Fifteenth comprehensive annual financial report for the fiscal year ended June 30, 2001

              CORRECTIONS OFFICER RETIREMENT PLAN
A PENSION TRUST FUND OF THE STATE OF ARIZONA
FIFTEENTH COMPREHENSIVE ANNUAL FINANCIAL REPORT
FOR THE FISCAL YEAR ENDED
JUNE 30, 2001
This report was prepared by the staff of the PSPRS
1020 East Missouri Avenue
Phoenix, Arizona 85014
(602) 255-5575
Fax (602) 255-5572
www.psprs.com
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
FIFTEENTH COMPREHENSIVE ANNUAL FINANCIAL REPORT
CONTENTS
INTRODUCTORY SECTION
Fund Managers' Report …………………………………………………………………………………… 3
Letter of Transmittal ………………………………………………………………………………………. 4
Certificate of Achievement for Excellence in Financial Reporting …………���……………………… 7
The Retirement Board and Administrative Organization ……………………………………………… 8
Organizational Chart ……………………………………………………………………………………….. 9
Summary of Plan Provisions (See Note 1 in Notes to Financial Statements) …………………......... 16
FINANCIAL SECTION
Independent Auditor's Report …………………………………………………………………………….. 13
Basic Financial Statements
Statements of Plan Net Assets…………………………………………………………………… 14
Statements of Changes in Plan Net Assets....................………………………………………… 15
Notes to Financial Statements…………��………………………………………………………… 16
(These Notes are an Integral Part of the Financial Statements)
Required Supplementary Information
Schedule of Funding Progress ……���…………………………………………………………… 23
Schedule of Employer Contributions……………………………………………………………… 24
Supporting Schedule of Changes in Fund Balance Reserves ………………………………………. 25
Supporting Schedule of Administrative and Investment Expenses ………………………………...… 26
Supporting Schedule of Payments to Consultants ……………………………………………………. 26
Supplemental Schedule of Cash Receipts and Cash Disbursements ………………………..…… 27
Schedule of Changes in Employer Reserves – Year Ended June 30, 2000
And Unfunded Accrued Normal Costs at June 30, 1999 …………………………………………… 28
Schedule of Changes in Refundable Member Reserves Fiscal Year Ended June 30, 2000 …… 29
Earnings Distribution, Fiscal Year Ended June 30, 2001 ……………………………………………… 30
INVESTMENT SECTION
Fund Objectives …………………………………………………………………………………………… 33
Investment Performance Data …………………………………………………………………………… 34
Supporting Schedule of Commissions Paid to Brokers ……………………………………...………… 38
Summary of Changes in Investment Portfolio …………………………………………………………. 39
Detailed List of Investments Acquired …………………………………………………………………… 40
Detailed List of Sales and Redemption of Investments ………………………...……………………… 47
Detailed List of Investments Owned ……………………………………………………………………… 51
ACTUARIAL SECTION
Actuarial Certification Statement ………………………………………………………………………… 63
Aggregate Actuarial Balance Sheet, June 30, 2001 ………….……………………………………… 64
Summary of Valuation Methods and Assumptions …………………………………………………… 65
Solvency Test ……………………………………………………………………………………………… 69
Summary of Active Member Data ………………………………………………………………………… 70
Summary of Inactive Member Data ……….……………………………………………………………… 71
Schedule of Retirants and Beneficiaries………………………………………………………………… 71
Schedule of Experience Gain / (Loss)…………………………………………………………………… 72
STATISTICAL SECTION
Schedule of Revenues by Source and Expenses by Type…………………………………………… 75
Schedule of Benefit Expenses by Type ……………………………………………………………....… 76
Summary of Retired Member and Survivor Data ………………………………………………….....… 77
Summary of Benefit Increases ………………………………………………………………………...… 78
Participating Employers …………….....................…………………………………………………....… 80
Summary of Growth of the Plan ………..……………………………………………………………….... 81
PUBLIC SAFETY PERSONNEL RETIREMENT SYSTEM
CORRECTIONS OFFICER RETIREMENT PLAN
ELECTED OFFICIALS’ RETIREMENT PLAN
1020 East Missouri Avenue
Phoenix, Arizona 85014-2613
Jack M. Cross, C.P.A., C.F.A.
Administrator TELEPHONE: (602) 255-5575
Michael H. Ong, J.D.
Assistant Administrator
FAX: (602) 255-5572
September 14, 2001
The Honorable Jane Dee Hull
Governor of the State of Arizona
State Capitol
Phoenix, Arizona 85007
Dear Governor Hull:
The Fund Manager of the Public Safety Personnel Retirement System respectfully submits the Fifteenth
Comprehensive Annual Financial Report of the Corrections Officer Retirement Plan for the fiscal year ended June
30, 2001. We are pleased to report that the Plan is in excellent financial and actuarial condition.
The Plan has continued to improve its funding level—even while dramatically improving benefits—including the
change to a straight 25-year retirement plan, the addition of a substantial health insurance subsidy and the
increase in the accrual rate from 2% of pay per year of credited service to 2.5%. In fact, in just the past fourteen
years, the Plan funding has improved from 69% to 140.0%. This is one of the best funded plans in the country. Set
forth below are some of the record-breaking highlights for the fiscal year ended June 30, 2001.
Benefits paid to retired corrections officers and their beneficiaries for the fiscal year totaled $13,433,499 compared
to $10,777,009 for the prior year. The average employer contribution rate as a percentage of gross payroll
decreased from a high of 6.97% to 1.88% for the current fiscal year. The Fair Market Value of the Plan’s assets
were 8% higher than the book value of the assets.
The 5-year and 10-year total rates of return, which includes realized as well as unrealized gains and losses, for the
entire fund were 10.52% and 10.78%, respectively. The 5-year rate of return for the stock portfolio and bond
portfolios were 12.53% and 7.49%, respectively. The 10-year rate of return for the stock portfolio and bond
portfolios were 13.04% and 7.96%, respectively. The Plan continues to perform well against the market indexes
(S&P 500/NYSE stock and Shearson Lehman Government/Corporate bond) on a long-term basis. The net effective
yield, which takes into account only realized gains and losses, was 4.96%.
Total administrative and investment expenses increased about 7% from $391,651 last year to $417,408 this year.
Costs have increased only 89% during the past fourteen years. This increase is incredibly low since the assets
managed have increased 897% and the Plan membership has increased 113% during this period.
We sincerely appreciate the opportunity of serving the State and County Corrections Officers.
Respectfully submitted,
DONALD L. DE MENT/sig
PAT CANTELME/sig
Don De Ment, Chairman
RON SNODGRASS/sig
Pat Cantelme, Member
BETSEY BAYLESS/sig
Ron Snodgrass, Member
WENDY HANCOCK/sig
Betsey Bayless, Member Wendy Hancock, Member
Page 4
PUBLIC SAFETY PERSONNEL RETIREMENT SYSTEM
CORRECTIONS OFFICER RETIREMENT PLAN
ELECTED OFFICIALS’ RETIREMENT PLAN
1020 East Missouri Avenue
Phoenix, Arizona 85014-2613
www.psprs.com
Jack M. Cross, C.P.A., C.F.A.
Administrator TELEPHONE: (602) 255-5575
Michael H. Ong, J.D.
Assistant Administrator
FAX: (602) 255-5572
September 14, 2001
The Fund Manager
Public Safety Personnel Retirement System
State of Arizona
Phoenix, Arizona
Gentlemen:
There is presented, herewith, the Fifteenth Comprehensive Annual Financial Report of the operations and
financial conditions of the Corrections Officer Retirement Plan, State of Arizona, for the fiscal year ended June 30,
2001. Incorporated in this report are the audited financial statements and other financial data from the June 30,
2001, report of Barrows & Schatza, P.L.C., Certified Public Accountants and auditors for the Plan. Also included
are the Actuarial Certification Statement and the Actuarial Balance Sheet from the June 30, 2000, Actuarial
Valuation prepared by the Plan's actuary, Rodwan & Nichols, Consulting Actuaries.
This report has been organized into five sections: (1) the Introductory Section containing general information
regarding the operations of the Corrections Officer Retirement Plan; (2) the Financial Section containing the
financial reports and schedules of the funds administered by the Corrections Officer Retirement Plan; (3) the
Investment Section containing detailed lists of the investment transactions and portfolios of the Plan, along with
investment performance; (4) the Actuarial Section containing actuarial information regarding the funding of the
pension trusts; and, (5) the Statistical Section containing statistical data pertaining to the benefits paid by the
Corrections Officer Retirement Plan and growth of the Plan.
TRANSFER OF ASSETS
House Bill 2310 was passed by the 37th Legislature during the second regular session of 1986. This bill created
the Corrections Officer Retirement Plan, provided for the transfer of assets into the new Plan, made the Fund
Manager of the Public Safety Personnel Retirement System responsible for the investment and administration of
the Plan and made all of its provisions effective July 1, 1986. The bill required the transfer of member account
balances plus the matching employer account balance from the Arizona State Retirement System for all new
members of the Plan. The bill did not require the transfer of unallocated investment earnings or employer
contributions made on behalf of terminated employees and still on deposit in the Arizona State Retirement System.
This caused the Plan to start at a distinct disadvantage (only 69% funded), but through prudent investment over
several years, this problem has been overcome (we are now 140% funded).
FINANCIAL INFORMATION
The primary responsibility for the integrity and objectivity of the financial statements and related financial data
rests with the management of the Plan. The financial statements were prepared in conformity with generally
accepted accounting principles appropriate for government-sponsored defined benefit pension plans.
Management believes that all other financial information included in this annual report is consistent with those
financial statements.
It is the Plan's policy to maintain a control-conscious environment through an effective system of accounting
controls. These controls are adequate to provide reasonable assurance that assets are safeguarded against loss
or unauthorized use and to produce the records necessary for the preparation of financial information. There are
limits inherent in all systems of internal control based on the recognition that the costs of such plans should be
related to the benefits to be derived. Management believes the Plan's controls provide this appropriate balance.
The Plan uses the accrual basis of accounting for both revenues and expenses. Contributions to the Plan are
based on principles of level-cost financing with current service financed as a level percent of payroll on a current
Page 5
basis and prior service amortized as a level percent of payroll over a rolling twenty (20) year period.
REVENUES
Revenues to the Plan are derived from three sources: member contributions, employer contributions, and
investment income. As shown by the Schedule of Revenues by Source included in the Statistical Section later in
this report, the Plan suffered an investment loss this fiscal year that was offset by member contributions, and
employer contributions. Please refer to the Statistical Section for a ten-year history of revenues and expenses.
ADMINISTRATIVE AND INVESTMENT EXPENSES
The 2000/2001 Administrative and Investment Expenses of the Administrative Office totaled $417,408 compared
to $391,651 for the prior year. Costs have risen 89% during the past fourteen years, which is a compounded
annual rate of increase of 5.03%. This rate of increase is well below the rate of growth of the Plan. A dedicated
staff and constantly improving internal expertise has allowed management to keep costs minus inflation very low
for the past fourteen years even though membership and assets managed have increased substantially during
this same period (over 113% and over 897%, respectively).
INVESTMENTS
Since the Plan is well funded, management takes a moderately conservative approach to investing. The Plan
invests primarily in bonds rated A or better and blue-chip common stock. A detailed summary of the investment
portfolio and all investment transactions is presented in the Investment Section. At year-end, the investment
portfolio was made up of 13.6% U. S. Government Securities, 13.2% Corporate Bonds, 2.5% Corporate Notes,
3.5% Other Investments, 0.2% insured Money Market Funds and 67.0% Common Stocks. All investments are
held in trust by the Arizona subsidiary of one of the largest banks in the world.
Even with this relatively conservative investment philosophy, the fixed income portfolio has outperformed the
Lehman Government/Corporate Bond Index in nine of the last thirteen years and the equity portfolio has
outperformed the applicable Index (NYSE until 98/99, S&P 500 thereafter) in nine of the past thirteen years. The
Plan’s performance resulted in a net effective yield of 4.96% and a 10-year total rate of return of 10.78%. Graphs
depicting the fund's extraordinary performance since 1986, the year internal staff took over the portfolio
management, can be found in the Investment Section.
ECONOMIC OUTLOOK
The economy seems to be bottoming out. It is likely the economy will restart this fall or early 2002. With interest
rates so low, it may be difficult to continue to outperform the Plan's 9% assumed rate of investment return over the
next couple of years.
ACTUARIAL AND FUNDING INFORMATION
Funding a retirement plan on a sound actuarial reserve basis involves the accumulation of substantial reserves to
guarantee the payment of promised benefits. These reserves are invested and the rate of investment earnings,
over time, is a major factor in determining the employer contribution requirement to meet the calculated level cost
of the Plan.
There is no single all-encompassing test to measure a retirement plan's funding progress and current status. A
traditional measure is the ratio of assets to unfunded accumulated normal costs, often referred to as the "percent
funded." The percent funded for the Plan at June 30, 2001, is 140.0% which is well ahead of schedule. All twelve
participating units have fully-funded actuarial accrued liabilities.
The Plan is funded through a member contribution of 8.50% of gross payroll, an employer contribution set by an
actuarial valuation expressed as a percent of gross payroll and a distribution of the net earnings of the Plan.
While each employer has a different contribution rate, the average for the entire Plan for the 2001/2002 fiscal
year would be 1.88% of gross payroll, however employer contributions cannot fall below 2% as a result of 2000
legislation. Of the 12 groups that make up the Plan, all twelve employers will pay less than the 8.50% which the
employees pay.
POST RETIREMENT BENEFIT INCREASES
State law provides for an annual benefit increase for retirees or their survivors either two years after retirement,
regardless of age, or when the retiree or survivor attains age 55 and has been retired for a year. These
Page 6
increases are dependent upon the production of excess earnings on a portion of the Plan's assets and are limited
to four percent of the average benefit being paid.
Below is a schedule of the increase in monthly benefits granted since this program began:
July 1, 1993 - $ 5.00
July 1, 1996 - $10.00
July 1, 1997 - $15.00
July 1, 1998 - $25.00
July 1, 1999 - $32.41
July 1, 2000 - $38.96
July 1, 2001 - $39.79
Cumulative total - $166.16
July 1, 2002 - 4.0%
Effective July 1, 2002, benefit increases are limited to a maximum of 4% of the benefit being received on the
preceding June 30 and contingent upon sufficient excess investment earnings for the fund. A benefit increase
schedule showing how these amounts were calculated can be found in the Statistical Section.
CERTIFICATE OF ACHIEVEMENT
The Government Finance Officers Association of the United States and Canada (GFOA) awarded a Certificate of
Achievement for Excellence in Financial Reporting to the CORP for its comprehensive annual financial report for
the fiscal year ended June 30, 2000. This was the seventh consecutive year that the Plan has achieved this
prestigious award. In order to be awarded a Certificate of Achievement, a government unit must publish an easily
readable and efficiently organized comprehensive annual financial report. This report must satisfy both generally
accepted accounting principles and applicable legal requirements.
A Certificate of Achievement is valid for a period of one year only. We believe our current comprehensive annual
financial report continues to meet the Certificate of Achievement Program’s requirements and we are submitting it
to the GFOA to determine its eligibility for another certificate.
SUMMARY
The Plan's actuary, Rodwan & Nichols, summarized the results of the latest Actuarial Valuation as of June 30,
2001, as follows:
The results of the actuarial valuations of the Arizona Corrections Officer Retirement Plan indicate that benefit
obligations are being funded as incurred. Valuation assets are 140.0% of actuarial accrued liability. This
excellent level of accrued funding is primarily attributable to favorable investment returns.
The Plan has made excellent progress during the past fourteen years. Funding has increased from 69% to
140.0%. Investment and administrative expenses increased only 89% during the past fourteen years while total
assets and membership were up 897% and 113% respectively. Employer contribution rates have dropped to less
than 2% on average. All this was accomplished even while improving benefits to members. The service multiplier
has been increased from 2% to 2.5%; members can now retire after 25 years of credited service at any age or if
the sum of their age and years of credited service equals 80; survivor and disability benefits have been improved
and a substantial health insurance subsidy has been added.
I am proud to have been part of the Plan's management team and I look forward to the Plan's continued success
in the future.
Respectfully submitted,
JACK M. CROSS/sig
Jack M. Cross, C.P.A., CFA
Administrator
Page 7
Certificate of
Achievement
for Excellence
in Financial
Reporting
Presented to
Corrections Officer
Retirement Plan, Arizona
For its Comprehensive Annual
Financial Report
for the Fiscal Year Ended
June 30, 2000
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.
Page 8
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
THE RETIREMENT BOARD AND ADMINISTRATIVE ORGANIZATION
THE FUND MANAGER Term Expires
Don De Ment
Retired City Clerk
City of Tucson
Chairman January 2003
Pat Cantelme
Retired Firefighter
City of Phoenix
Member January 2002
Ron Snodgrass
Police Officer
City of Phoenix
Member January 2004
Betsey Bayless
Secretary of State
State of Arizona
Member January 2003
Wendy Hancock
Public Member
Member January 2002
PROFESSIONAL ADVISORS
Standard & Poor’s Securities, Inc. Investment Counsel
Rodwan & Nichols Consulting Actuaries
Barrows & Schatza, P.L.C. Auditors
Lieberman, Dodge, Gerding, Kothe & Anderson, Ltd. Legal Counsel
ADMINISTRATIVE STAFF
Jack M. Cross, CPA, CFA Administrator
Michael H. Ong, JD Assistant Administrator
Donald B. Mineer Operations Director
Tracey D. Peterson, CPA, CFE Finance Director
Jared A. Smout Investment Analyst
Karen L. Lewis, CPA Controller
Lori A. Boyle Office Manager
LaDawn M. Snodgrass Active Member Supervisor
Sheryl D. Saltsman Benefits Supervisor
Annette L. Jorgensen Administrative Assistant
Lilian L. Leung Senior Benefits Analyst
Joann L. Lowey Benefits Specialist
Kathleen A. Mattoon Office Specialist
Deborah S. Irwin Active Member Specialist
Scott D. Willard Accounting Specialist
D. Steven Williams Active Member Specialist
1020 East Missouri
Phoenix, Arizona 85014
Telephone (602) 255-5575
Fax (602) 255-5572
www.psprs.com
OPERATIONS
DIRECTOR
INVESTMENT
ANALYST
(Cash Manager)
FINANCE
DIRECTOR
Admi nistrati ve
Assi stant
Benefits
Supervisor
Seni or
Benefi ts
Analyst
Active
Member
Special ist
Active
Member
Supervisor
Accounti ng
Manager
Accounti ng
Specialist (PT )
Acti ve
Member
Speci ali st (PT)
Senior
Benefits
Anal yst
Control ler Office
Speci alist
Office
Manager
ASSISTANT
ADMINISTRATOR
ADMINISTRATOR
(CIO, Portfolio Manager)
THE FUND MANAGER
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
ORGANIZATIONAL CHART
LEGAL COUNSEL
(Lieberman, Dodge, Gerding,
Kothe & Anderson, Ltd)
AUDITORS
(Barrows & Schatza, PLC)
CONSULTING ACTUARIES
(Rodwan & Nichols)
INVESTMENT COUNSEL
(Standard & Poor's Securities, Inc)
Page 9
Page 10
FINANCIAL SECTION
CORRECTIONS OFFICER RETIREMENT PLAN
FIFTEENTH COMPREHENSIVE ANNUAL FINANCIAL REPORT
FOR THE FISCAL YEAR ENDED
JUNE 30, 2001
Independent Auditor's Report
Statements of Plan Net Assets
Statements of Changes in Plan Net Assets
Notes to Financial Statements
Schedule of Funding Progress
Schedule of Employer Contributions
Supporting Schedule of Changes
In Fund Balance Reserves
Supporting Schedule of
Administrative and Investment Expenses
Supporting Schedule of Payments to Consultants
Supplemental Schedule of
Cash Receipts and Cash Disbursements
Schedule of Changes in Employers' Reserve – Year Ended June 30, 2001,
and Unfunded Accrued Normal Costs at June 30, 2000
Schedule of Changes in Refundable Member Reserves
Fiscal Year Ended June 30, 2001
Earnings Distribution, Fiscal Year Ended June 30, 2001
Phoenix, Arizona
INDEPENDENT AUDITOR'S REPORT
FUND MANAGER
STATE OF ARIZONA PUBLIC SAFETY
PERSONNEL RETIREMENT SYSTEM
PHOENIX, ARIZONA
We have audited the accompanying statements of system net assets of the STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN as of June 30, 2001 and 2000, and the related
statements of changes in system net assets for the years then ended, appearing on pages 14 and 15,
respectively. These financial statements are the responsibility of the System'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 audit 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 status of STATE OF ARIZONA CORRECTIONS OFFICER RETIREMENT PLAN as of
June 30, 2001 and 2000, and the results of its operations and the changes in system net assets for the years
then ended in conformity with generally accepted accounting principles.
Our audit was made for the purpose of forming an opinion on the financial statements taken as a whole.
The accompanying supplementary information, contained on pages 23 and 24, schedule of funding
progress and schedule of employer contributions, are required disclosures under Governmental
Accounting Standards Board (GASB) statement No. 25 and are not a required part of the basic financial
statements. Also, the accompanying additional information, contained on pages 25 to 30, are not required
disclosures under Governmental Accounting Standards Board (GASB) statement No. 25 and are not a
required part of the basic financial statements. The accompanying additional information described above
has been subjected to the auditing procedures applied in our audit of the 2001 financial statements and, in
our opinion, is fairly stated in all material respects in relation to the financial statements taken as a whole.
BARROWS & SCHATZA, P.L.C./sig
September 7, 2001
Book Cost See Note 2 Book Cost See Note 2
ASSETS
Receivables
Members' Contributions $ 234,809 $ 588,778
Employers' Contributions 27,797 355,220
Interest and Dividends 3,356,999 3,680,902
Total Receivables 3,619,605 4,624,900
Investments at Fair Value (Note 2)
U.S. Government Securities $ 87,474,972 92,152,279 $ 68,582,662 71,209,574
Corporate Bonds 94,381,334 89,401,198 83,594,145 75,241,080
Corporate Notes 17,000,409 17,000,409 8,988,586 8,988,586
Corporate Stocks 403,522,265 455,399,449 401,304,778 626,591,339
Other Investments 23,815,000 23,815,000 19,952,884 19,952,884
Money Market Account 1,804,503 1,804,503 1,157,517 1,157,517
Total Investments $ 627,998,483 679,572,838 $ 583,580,572 803,140,980
Total Plan Assets 683,192,443 807,765,880
Collateral Held in Trust for
Securities on Loan 182,959,666 188,485,150
Liability- Collateral Subject to
Return to Borrower (182,959,666) (188,485,150)
Net Assets Held in Trust
for Pension Benefits $ 683,192,443 $ 807,765,880
Net Asset Reserves
Refundable Members' Reserve $ 132,404,039 $ 119,562,020
Employers' Reserve 504,968,350 628,418,971
Future Benefit Increase Reserve 45,820,054 59,784,889
Total Net Asset Reserves $ 683,192,443 $ 807,765,880
A schedule of funding progress is presented immediately following the notes to the financial statements.
The accompanying notes are an integral part of these financial statements.
2001 2000
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
STATEMENTS OF PLAN NET ASSETS
AS OF JUNE 30, 2001 AND 2000
Page 14
2001 2000
Additions
Contributions
Members' Contributions (Notes 1 and 3) $ 28,966,162 $ 28,009,210
Employers' Contributions (Notes 1 and 3) 14,927,396 16,876,163
Total Contributions 43,893,558 44,885,373
Net (Depreciation) Appreciation
in Fair Value of Investments (Note 2) (155,800,969) 75,734,971
Interest 14,478,535 13,548,170
Dividends 2,581,913 3,322,117
Securities Lending Activities
Securities Lending Income $ 10,705,439 $ 9,548,155
Borrower Rebates (10,347,861) (9,218,889)
Agents Share of Income (125,147) (115,238)
Net Securities Lending Income (Note 2) 232,431 214,028
(138,508,090) 92,819,286
Less Investment Expense (51,666) (47,109)
Net Investment Income (138,559,756) 92,772,177
Total Additions (94,666,198) 137,657,550
Deductions
Pension and Insurance Benefits (Note 1) 13,433,499 10,777,009
Refunds to Terminated Members (Note 1) 14,609,539 14,385,327
Administrative Expenses 365,742 344,542
Amounts Transferred to Other State-
Sponsored Pension Plans--Net 1,498,459 616,142
Total Deductions 29,907,239 26,123,020
Net (Decrease) Increase (124,573,437) 111,534,530
Net Assets Held In Trust
for Pension Benefits
Beginning of Year - July 1 807,765,880 696,231,350
End of Year - June 30 $ 683,192,443 $ 807,765,880
The accompanying notes are an integral part of these financial statements.
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
STATEMENTS OF CHANGES IN PLAN NET ASSETS
FOR THE YEARS ENDED JUNE 30, 2001 AND 2000
Page 15
Page 16
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2001 AND 2000
NOTE 1 - PLAN DESCRIPTION
Organization
The Corrections Officer Retirement Plan (CORP) ), a pension trust fund of the State of Arizona, is an agent multiple-employer
public employee retirement plan established by Title 38, Chapter 5, Article 6 of the Arizona Revised Statutes, to
provide benefits for prison and jail employees of certain state, county and local governments. The Plan is jointly
administered by the Fund Manager of the Public Safety Personnel Retirement System (PSPRS) and 12 Local Boards.
The Fund Manager is a five-member board. Effective August 6, 1999, it became the Governor’s responsibility to appoint all
members of the Fund Manager, who serve a fixed three-year term. The Fund Manager is responsible for the investment of
the plan's assets, setting employer contribution rates in accordance with an actuarial study, adopting a budget, hiring
personnel to administer the plan, setting up records, setting up accounts for each member and each Local Board, paying
benefits and the general protection and administration of the Plan.
Each employer participating in the Plan has a five-member Local Board. Three members are appointed by the chief elected
official of the organization and two members are elected by the active members of the eligible group. In general, each
member serves a fixed four-year term. Each Local Board is responsible for determining eligibility for membership, service
credits, eligibility for benefits, timing of benefit payments, and the amount of benefits for its eligible group of employees. All
costs associated with the administration of the Local Boards are paid by the various governing bodies.
The addition or deletion of eligible groups does not require the approval of the other participating employers. New eligible
groups are approved for participation by the Fund Manager. The CORP is not reported as a component unit of any other
organization. The Local Boards are reported as component units of their respective sponsoring organization.
The Fund Manager of the CORP is also responsible for the investment and general administration of two other statewide
retirement plans—the Public Safety Personnel Retirement System and the Elected Officials' Retirement Plan. The
investments and expenses of these plans are held and accounted for separately from those of the CORP. Since none of the
plans have the authority to impose their will on any of the other plans, each plan is reported as its own stand-alone
government.
At June 30, 2001 and 2000, the number of participating local government employer groups was:
2001 2000
Counties 10 10
State Agencies 2 2
Total Employers 12 12
Any county or city in the State of Arizona may elect to have its eligible employees (generally, prison or jail personnel who
have direct inmate contact) covered by the CORP. At June 30, 2001 and 2000, statewide CORP membership consisted of:
2001 2000
Retirees and beneficiaries currently
receivi ng benefits
1,040 925
Terminated vested employees 146 164
Current employees
Vested 2,357 4,193
Non-vested 8,690 7,097
Total Members 12,233 12,379
CORP provides retirement benefits as well as death and disability benefits. Generally, all benefits vest after 10 years of
credited service. A summary of benefits and Plan provisions follows:
Page 17
SUMMARY OF BENEFITS
Purpose (A.R.S. § 38-900.01.B)
To provide a uniform, consistent and equitable statewide program for those eligible corrections officers as defined by the
Plan.
Eligibility (A.R.S. §38-881)
A. For a county, a county detention officer or a non-uniformed employee of a sheriff's department whose primary
duties require direct inmate contact, if the county elects to join the Plan.
B. For the State Department of Corrections, correctional service officers, state correctional program officers and
certain other designated positions within the department that are prescribed by statute.
C. For the State Department of Juvenile Corrections, youth corrections officers, youth program officers and certain
other designated positions within the department that are prescribed by statute.
D. For a city or town, a city or town detention officer, if the city or town elects to join the Plan.
E. For an employer in the Public Safety Personnel Retirement System, full-time dispatchers, if the employer
elects to join the Plan.
Contributions (A.R.S. §38-891)
Each member shall contribute 8.5% of salary to the Plan on a pre-tax basis by payroll deduction. Each employer shall
contribute a level percent of salary as determined by actuarial valuation to ensure proper funding for the Plan but not
less than 2% of salary.
Credited Service (A.R.S. §38-881)
Service in a designated position for which member contributions have been made to the Plan or transferred to the Plan
from another retirement system for public employees of this state.
Average Monthly Salary (A.R.S. §38-881)
One thirty-sixth (1/36) of aggregate salary paid a member during the highest three consecutive years out of the last ten
years of service.
Salary (A.R.S. §38-881)
The base salary, base wages, shift differential pay and holiday pay paid to a member in a designated position for
personal services rendered to a participating employer that is paid on a regular monthly, semimonthly or biweekly
payroll basis.
Normal Retirement Date (A.R.S. § 38-885.B)
Commences first day of month following completion of twenty years of service, except that for a full-time dispatcher,
upon completion of twenty-five years of service, a member's sixty-second birthday and completion of ten years of
service, or the month where the sum of the member's age and years of credited service equals eighty.
The amount of monthly normal pension is based on credited service and average monthly salary as follows:
For retirement with twenty years of credited service but less than twenty-five years of credited service, 50% of
average monthly salary for the first twenty years of credited service, plus 2% of average monthly salary for each year
of credited service between twenty and twenty-five. (A.R.S. §38-885.C, ¶ 1)
For retirement with less than twenty years of credited service, 2-1/2 % of average monthly salary times the
member’s years of credited service. (A.R.S. §38-885.C, ¶ 2)
For retirement with twenty-five or more years of credited service, 50% of average monthly salary for the first twenty
years of credited service, plus 2-1/2% of average monthly salary for each year of credited service above twenty
years, up to a maximum of 80% of average monthly salary. (A.R.S. §38-885.C, ¶ 1)
Accidental Disability Retirement (A.R.S. §38-881, ¶ 1)
A physical or mental condition which totally and permanently prevents an employee from performing a reasonable range
of duties within the employee's department, was incurred in the performance of the employee's duties and was the
result of either physical contact with inmates, responding to a confrontational situation with inmates or a job-related
motor vehicle accident and was not the result of a physical or mental condition or injury that existed or occurred before
the member's date of membership in the Plan.
Page 18
The Local Board shall base eligibility for an accidental disability or a total and permanent disability on medical evidence
and determination that such a disability exists. No credited service requirement. The monthly pension is fifty percent
(50%) of the member's average monthly salary. The Local Board may require periodic medical re-evaluations until the
member reaches age 62. Accidental disability or a total and permanent disability pension terminates if the Local Board
finds the retired member no longer meets the requirements for the disability pension. (A.R.S. §38-886)
Total And Permanent Disability Retirement (A.R.S. §38-881, ¶ 22)
A physical or mental condition which totally and permanently prevents a member from engaging in any gainful
employment, is the direct and proximate result of the member's performance of their duty as an employee and is not the
result of a physical or mental condition or injury that existed or occurred before the member's date of membership in the
Plan.
The Local Board shall base eligibility for an accidental disability or a total and permanent disability on medical evidence
and determination that such a disability exists. No credited service requirement. The monthly pension is fifty percent
(50%) of the member's average monthly salary. The Local Board may require periodic medical re-evaluations until the
member reaches age 62. Accidental disability or a total and permanent disability pension terminates if the Local Board
finds the retired member no longer meets the requirements for the disability pension. (A.R.S. §38-886)
Survivor Pension
The surviving spouse of a member who dies in service or after retirement is eligible for benefits as follows:
Surviving spouse of retired member; Three-fourths of retired member's pension at time of death. Requires two years
of marriage at time of death. Terminates on death of surviving spouse. (A.R.S. §38-887)
Surviving spouse of a non-retired member; 37.5% of deceased member's average monthly salary. Requires two
years of marriage at time of death. Terminates on death of surviving spouse. (A.R.S. §38-888)
The surviving spouse pension commences on first day of month following death of member.
Death Benefits (A.R.S. §38-904)
1. If an active or inactive member dies and no pension is payable, the member's beneficiary is entitled to receive
two times the member’s contributions to the CORP.
2. If there is no eligible surviving spouse or if the pension of the surviving spouse is terminated, surviving unmarried
children of a deceased retired or active member are entitled to a pension until age 18, or age 23 if a full-time
student. A disabled child is also entitled to a pension if the disability began before age 23. The amount of the
pension is an equal share of the surviving spouse's pension.
Termination Refund (A.R.S. §38-884.C)
Upon termination of employment, for any reason other than death or retirement, a member shall, within twenty days
after filing an application with the Fund Manager, receive a lump-sum payment, equal to his accumulated contributions,
as of the date of termination, less any benefits paid or any amounts owed to the Plan. A member forfeits all
membership rights and credited service in the Plan upon receipt of refund of contributions. If the member has 5 or more
years of credited service upon termination they shall receive an additional amount according to the schedule below.
5 to 5.9—25% of member contributions deducted from the member’s salary pursuant to ARS 38-891.B
6 to 6.9—40% of member contributions deducted from the member’s salary pursuant to ARS 38-891.B
7 to 7.9—55% of member contributions deducted from the member’s salary pursuant to ARS 38-891.B
8 to 8.9—70% of member contributions deducted from the member���s salary pursuant to ARS 38-891.B
9 to 9.9—85% of member contributions deducted from the member’s salary pursuant to ARS 38-891.B
10 or more—100% of member contributions deducted from the member’s salary pursuant to ARS 38-891.B, plus
interest at 3% if left on deposit after 30 days.
Transfer Of Contributions (A.R.S. §38-908)
A member who terminates employment with an employer and accepts a position with the same or another employer
participating in the Plan shall have their credited service transferred to their record with the new employer if they leave
their accumulated contributions on deposit with the Plan. The period not employed shall not be considered as credited
service.
Reemployment And Repayment Of Contributions (A.R.S. §38-884.H)
Page 19
A member who terminates and takes a refund of his contributions may elect only upon reemployment within two years
with the same employer in a designated position, to recover the prior credited service if the member submits a written
election to reinstate the forfeited credited service within 90 days after reemployment and reimburses the Plan within one
year. The amount required to reinstate the credited service is the amount previously withdrawn plus interest at the rate
of 9% compounded annually from the date of withdrawal to the date of repayment.
Reemployment After Retirement (A.R.S. §38-884.J)
A retired member who becomes an employee in a designated position subsequent to retirement shall have the pension
suspended during reemployment in a designated position and shall not make contributions to the Plan nor accrue
credited service during such reemployment.
Transfer Into Or Out Of Plan (A.R.S. §38-901)
A member who changes employment or transfers or is assigned to a non-eligible position, because of a change in
duties or otherwise, may elect one of the following options:
1. Leave service credits and contributions on account with the CORP.
2. Apply for a refund of accumulated member contributions (forfeiting all service credits and membership rights).
3. Transfer all service credits to the Arizona retirement system or plan applicable to the new position pursuant to
the requirements for transfer between Arizona state retirement systems.
A member who begins employment with a participating employer in this Plan and who has credited service from a
different Arizona state retirement system may transfer or redeem prior service to this Plan pursuant to the requirements
for transfer between Arizona state retirement systems.
Redemption Of Prior Service (A.R.S. §38-884.I)
Active members who previously contributed to the Plan but who refunded their contributions thereby forfeiting credited
service under the Plan may redeem some or all of this credited service. The member must pay the actuarial present
value of the increase of credited service resulting from the purchase of forfeited time in order to redeem this service.
Purchase Of Prior Active Military Service (A.R.S. §38-907)
A member may purchase up to four years of prior active military time that is not on account with any other retirement
system. The member must pay the actuarial present value of the increase of credited service resulting from this
purchase.
Transfer Between State Retirement Systems (A.R.S. §38-921 and §38-922)
Members of any of the four Arizona state retirement systems or plans who have credited service under another Arizona
state retirement system or plan may transfer or redeem the credited service to their current Arizona state retirement
system or plan by paying or transferring the full actuarial present value of the credited service into their current Arizona
retirement system or plan with approval of the Fund Manager or retirement boards involved. A reduced credited service
amount may be transferred based on the transfer of the actuarial present value of the credited service under the prior
Arizona state system or plan.
Cola Benefit Increases (A.R.S. §38-905)
Effective July 1 of each year, each retired member or survivor of a retired member may be entitled to a permanent benefit
increase in their base benefit. The maximum amount of the increase is four percent (4%) of the benefit being received
on the preceding June 30 and is contingent upon sufficient excess investment earnings for the fund. To be eligible for
the increase the member or survivor must be age 55 or older on July 1 of the current year and was receiving benefits on
or before July 31 of the previous year. A member or survivor is also eligible if they were receiving benefits on or before
July 31 of the two previous years regardless of age.
Health Insurance Premium Subsidy (A.R.S. §38-906)
For CORP retirees or survivors who have elected group health and accident insurance coverage provided and
administered by the state or another CORP employer, the CORP will pay up the following amounts:
Single Family
Not Medicare
Eligible Medicare Eligible
All Not Medicare
Eligible All Medicare Eligible One with Medicare
$150.00 $100.00 $260.00 $170.00 $215.00
Page 20
Until June 30, 2003, a retiree or survivor who lives in a nonservice area receives up to the following amounts in addition
to the subsidy listed above. A nonservice area is defined as an area in this state where the state retiree group
insurance program or employer’s retiree health insurance program does not provide or administer a health maintenance
organization (HMO) for which the member or survivor is eligible. The subsidy consists of up to the following amounts:
Single Family
Not Medicare
Eligible Medicare Eligible
All Not Medicare
Eligible All Medicare Eligible One with Medicare
$300.00 $170.00 $600.00 $350.00 $470.00
State Taxation Of Corp Benefits (A.R.S. §38-896 and §43-1022)
Effective tax year commencing January 1, 1989, all CORP retirement benefits in excess of $2,500 annually will be
subject to Arizona state tax.
NOTE 2 – SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES AND PLAN ASSET MATTERS
Basis of Accounting
CORP financial statements are prepared using the accrual basis of accounting. Member and employer contributions are
recognized as revenues in the period in which employee services are performed. Benefits due are paid in arrears on the last
working day of each month. Refunds are due and payable by state law within 20 days of receipt of a written application for a
refund. Refunds are recorded when paid. Furniture and equipment purchases, which are not material in amount, are
expensed in the year of purchase. Investment income net of administrative and investment expenses is allocated to each
employer group based on the average relative fund size for each employer group for that year.
The Plan implemented Statement No. 25 of the Governmental Accounting Standards Board for Fiscal Year End 1997. As
such, the Plan reports assets on a Fair Value Basis. Certain cost information is provided to comply with state law.
By state statute, this Plan is required to provide information in the financial statements used to calculate Net Effective Yield.
Net Effective Yield includes only realized gains and losses. The Net Realized Gains used in this calculation totaled
$12,185,084 for FYE 2001 and $32,543,442 for FYE 2000.
The System will implement Statement Number 34 of the Governmental Accounting Standards Board next Fiscal Year End.
This Standard requires a Management’s Discussion & Analysis (MD&A) letter to precede the Statement of Net Assets and
Statement of Changes in Net Assets. The purpose of the MD&A letter is a narrative overview and analysis of the financial
activities for the year and to highlight areas of interest for the readers of the Annual Report.
Investments
CORP investments are reported at Fair Value and at Cost. Fair Values are determined as follows: Short-term investments
are reported at Fair Value, which approximates Cost. Equity securities are valued at the last reported sales price. Fixed-income
securities are valued using the last reported sales price or the estimated fair market value as determined by one of
the world's largest and most prominent fixed-income broker/dealers. Investments that do not have an established market are
reported at estimated fair value. Investment income is recognized as earned.
Statutes enacted by the Arizona Legislature authorize the Fund Manager to make investments in accordance with the
"Prudent Man" rule. The Fund Manager is not limited to so-called "Legal Investments for Trustees." (A.R.S. §38-848.D) In
making every investment, the Fund Manager shall exercise the judgment and care under the circumstances then prevailing
which men of ordinary prudence, discretion and intelligence exercise in the management of their own affairs, not in regard to
speculation but in regard to the permanent disposition of their funds, considering the probable income from their funds as
well as the probable safety of their capital, provided:
1) That not more than seventy per cent of the pension fund shall be invested at any given time in corporate stocks, based
on cost value of such stocks irrespective of capital appreciation.
2) That not more than five per cent of the pension fund shall be invested in securities issued by any one institution, agency
or corporation, other than securities issued as direct obligations of and fully guaranteed by the United States
Government.
3) That not more than five per cent of the voting stock of any one corporation shall be owned.
4) That corporate stocks eligible for purchase shall be restricted to stocks that, except for bank stocks and insurance
stocks, are either:
Page 21
a) Listed or approved on issuance for listing on an exchange registered under the Securities Exchange Act of 1934, as
amended (15 United States Code §78a through §7811);
b) Designated or approved on notice of issuance for designation on the national market system of a national securities
association registered under the Securities Exchange Act of 1934, as amended (15 United States Code §78a
through §7811);
c) Listed or approved on issuance for listing on an exchange registered under the laws of this [Arizona] state or any
other state; or
d) Listed or approved on issuance for listing on an exchange of a foreign country with which the United States is
maintaining diplomatic relations at the time of purchase, except that no more than ten per cent of the pension fund
shall be invested in foreign equity securities on these exchanges, based on the cost value of the stocks irrespective
of capital appreciation.
A.R.S. §38-848.D
The Plan's investment portfolio is in compliance with state law.
Statement No. 3 of the GASB requires government entities to categorize investments for the purpose of giving an indication
of the level of risk assumed by the entity at year-end. Category 1 includes investments that are insured or registered or for
which securities are held by the Plan or its agent in the name of the Plan. Category 2 includes uninsured and unregistered
investments for which the securities are held by the counterparty, or by its trust department or agent but not in the Plan's
name.
All investments of the Plan (other than those held by broker/dealers under the security loan program and those investments
categorized as "Other Investments”) meet the criteria of Category 1. "Other Investments", which primarily consists of loans
and real estate investments, are not considered securities for purposes of credit risk classification. Substantially all
investments are held in the name of the Plan by its custodian bank.
Money Market Account
The money market account is on deposit with an Arizona bank. These deposits are insured by federal depository insurance.
The money market account is subject to the general depository laws of the State of Arizona which require deposits to be
either insured by the Federal Deposit Insurance Corporation or collateralized by certain securities including U.S. Government
obligations and first mortgages.
Securities Lending Income
The Plan is party to a securities lending agreement with a bank. The bank, on behalf of the Plan, enters into agreements
with brokers to loan securities and have the same securities returned at a later date. The loans are fully collateralized
primarily by cash. Collateral is marked-to-market on a daily basis. Non-cash collateral can be sold only upon borrower
default. The Plan requires collateral of at least 102% of the fair value of the loaned U.S. Government or corporate security.
Securities on loan are carried at fair value. As of June 30, 2001 and 2000 the fair value of securities on loan was
$175,474,394 (consisting of Stocks-$82,473,991, Corporate Bonds-$20,992,417 and Treasuries and Agencies-$72,007,986)
and $164,666,187 (consisting of Stocks-$111,287,529, Corporate Bonds-$4,948,120 and Treasuries and Agencies-
$48,430,538), respectively. The Plan receives a negotiated fee for its loan activities and is indemnified for broker default by
the securities lending agent. The Plan participates in a collateral investment pool. All security loans can be terminated on
demand by either the pool participants or the borrower. All term loans have a matched collateral investment. Cash collateral
received for open loans is invested for longer term, however, at least 20% of total collateral investments must be invested on
an overnight basis and at least 30% of total collateral investments must be invested with a maturity of 7 days or less.
Additionally, no more than 20% of the total collateral investments will be invested in instruments maturing in over 91 days.
In lending securities, investments of cash collateral for open loans as of June 30, 2001 are not matched in maturity and have
a weighted average maturity of 9 days,7 days as of June 30, 2000. The Plan has no credit risk under this program and has
experienced no default or losses on these loans.
NOTE 3 - CONTRIBUTIONS REQUIRED AND CONTRIBUTIONS MADE
The Retirement Plan's funding policy provides for periodic employer contributions at actuarially determined rates that,
expressed as percentages of annual covered payroll, are designed to accumulate sufficient assets to pay benefits when due.
The normal cost and actuarial accrued liability are determined using an entry age actuarial funding method. Unfunded
actuarial accrued liabilities and assets in excess of actuarial accrued liabilities are being amortized as a level percent of
payroll over a rolling twenty (20) year period. Beginning with Fiscal Year 2001-2002, the employer contribution rate shall not
be less than two percent of compensation.
Page 22
During the year ended June 30, 2001, contributions totaling $43,893,558 ($14,927,396 employer and $28,966,162 member)
were made in accordance with contribution requirements determined by an actuarial valuation of the Plan as of June 30,
1999. The employer contributions consisted of approximately $16,766,296 for normal cost less ($1,838,900) for amortization
of the assets in excess of the actuarial accrued liability in aggregate. Employer contributions represented 1.88% of covered
payroll. [4.92% for normal costs and (3.04)% for amortization of assets in excess of the actuarial accrued liability in
aggregate.] Member contributions represented 8.50% of covered payroll and are all attributable to normal costs.
During the year ended June 30, 2000, contributions totaling $44,885,373 ($16,876,163 employer and $28,009,210 member)
were made in accordance with contribution requirements determined by an actuarial valuation of the Plan as of June 30,
1998. The employer contributions consisted of $22,720,437 for normal cost less ($5,844,274) for amortization of the assets
in excess of the actuarial accrued liability in aggregate. Employer contributions represented 5.14% of covered payroll.
[6.92% for normal costs and (1.78)% for amortization of assets in excess of the actuarial accrued liability in aggregate.]
Member contributions represented 8.50% of covered payroll and are all attributable to normal costs.
NOTE 4 – REQUIRED SCHEDULES
The Schedule of Funding Progress and the Schedule of Employer Contributions are presented immediately following the
notes to the financial statements.
Actuarial Unfunded UAAL as a
Actuarial Accrued (Excess) Percentage
Actuarial Value of Liability (AAL) AAL Funded Covered of Covered
Valuation Assets at Entry Age (UAAL) Ratio Payroll Payroll
Date (a)2 (b) (b-a) (a/b) (c) ((b-a)/c))
6-30-87 $ 47,550 $ 68,932 $ 21,382 69.0% $102,910 20.8%
6-30-88 $ 69,842 $ 76,884 $ 7,042 90.8% $117,234 6.0%
6-30-89 1 $ 88,756 $ 99,113 $ 10,357 89.6% $134,520 7.7%
6-30-90 1 $ 108,973 $ 122,578 $ 13,605 88.9% $136,693 10.0%
6-30-91 1 $ 138,901 $ 146,300 $ 7,399 94.9% $153,351 4.8%
6-30-92 $ 168,553 $ 163,640 $ (4,913) 103.0% $156,257 -3.1%
6-30-93 * $ 198,692 $ 184,299 $ (14,393) 107.8% $166,831 -8.6%
6-30-94 1 $ 223,902 $ 221,487 $ (2,415) 101.1% $177,717 -1.4%
6-30-95 $ 265,006 $ 254,189 $ (10,817) 104.3% $198,603 -5.4%
6-30-96 * $ 319,255 $ 290,518 $ (28,737) 109.9% $224,686 -12.8%
6-30-97 *1 $ 393,904 $ 355,590 $ (38,314) 110.8% $249,203 -15.4%
6-30-98 $ 484,956 $ 410,531 $ (74,425) 118.1% $261,700 -28.4%
6-30-99 $ 592,152 $ 443,676 $ (148,476) 133.5% $305,478 -48.6%
6-30-00 $ 704,991 $ 501,323 $ (203,668) 140.6% $339,440 -60.0%
6-30-01 $ 776,177 $ 554,387 $ (221,790) 140.0% $339,783 -65.3%
*
1.
2.
While not any one or two numeric indices can fully describe the financial condition of a retirement plan, the
ratio of unfunded actuarial accrued liabilities to active member payroll is significant. The ratio of unfunded
actuarial accrued liabilities to member payroll is a relative index of condition where inflation is present in both
items. Observation of the ratio over a period of years gives an indication of funding achievement. The
smaller the index, the stronger the plan's condition. Shown below is a Comparative Schedule ($ in
thousands) since legislation was enacted in 1987, setting up a 40-year amortization schedule. Effective
June 30,1997, Unfunded (Excess) Actuarial Accrued Liabilities are being amortized on a level percent
method over a rolling twenty (20) year period.
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
REQUIRED SUPPLEMENTARY INFORMATION
SCHEDULE OF FUNDING PROGRESS
AAL is calculated using the entry-age normal method. Significant assumptions used in determining AAL include: (a) a
rate of return on the investment of present and future assets of 9.0% per year compounded annually; (b) projected
salary increases of 6.5% per year compounded annually, attributable to an assumed inflation rate of 5.5% and other
across-the-board factors of 1.0%; and (c) additional projected salary increases ranging from 0.0% to 3.0% per year,
depending on age, attributable to seniority/merit.
Excludes the amount held in reserve for future benefit increases. Beginning 6-30-95, includes an amount for partial recognition of
the difference between market value and book value of Plan assets amortized over a four-year period.
One-time cost-of-living adjustments for retired members and survivors, effective July 1 were included in this valuation. Future
increases for retirees and their survivors are dependent upon excess earnings created by the System.
Reflects significant Plan amendments or assumption changes.
Page 23
Fiscal Annual
Year Ended Required Percentage
June 30 Contributions Contributed
1990 $8,250,984 100.00%
1991 $9,764,220 100.00%
1992 $9,492,656 100.00%
1993 $10,099,143 100.00%
1994 $10,032,668 100.00%
1995 $10,565,831 100.00%
1996 $14,371,254 100.00%
1997 $16,704,445 100.00%
1998 $17,063,015 100.00%
1999 $17,109,704 100.00%
2000 $16,876,163 100.00%
2001 $14,927,396 100.00%
Employer Contributions
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
REQUIRED SUPPLEMENTARY INFORMATION
SCHEDULE OF EMPLOYER CONTRIBUTIONS
Page 24
Refundable Future Benefit
Members' Employers' Increase
Reserve Reserve Reserve
Balance - June 30, 1999 $106,390,221 $ 547,386,717 $ 42,454,412
Distribution of Revenues and Expenses
Members' Contributions 28,009,210
Employers' Contributions 16,876,163
Earnings on Investments Net of Investment Expenses 92,772,177
Pension Benefits (10,777,009)
Refunds to Terminated Members (10,900,555) (3,484,772)
Administrative Expenses (344,542)
Distribution of Transfers
Excess Investment Earnings to be used
for Future Benefit Increases (14,971,383) 14,971,383
Earnings on Excess Investment Earnings Account Assets (5,612,473) 5,612,473
Amount Utilized by Benefit Increases Granted 3,253,379 (3,253,379)
Net Transfers to Other State-Sponsored Pension Plans (288,498) (327,644)
Inter-System Transfers -- Employer Account
Balances Transferred for Refund Interest 91,921 (91,921)
Inter-System Transfers -- Member Account
Balances Transferred to Employers' Reserve
due to Retirement (3,740,279) 3,740,279
Balance - June 30, 2000 $119,562,020 $ 628,418,971 $ 59,784,889
Distribution of Revenues and Expenses
Members' Contributions 28,966,162
Employers' Contributions 14,927,396
Earnings (Loss) on Investments Net of Investment Expenses (138,559,756)
Pension Benefits (13,433,499)
Refunds to Terminated Members (11,491,724) (3,117,815)
Administrative Expenses (365,742)
Distribution of Transfers
Excess Investment Earnings to be used
for Future Benefit Increases - -
Earnings (Loss) on Excess Investment Earnings Account Assets 10,202,889 (10,202,889)
Amount Utilized by Benefit Increases Granted 3,761,946 (3,761,946)
Net Transfers to Other State-Sponsored Pension Plans (538,336) (960,123)
Inter-System Transfers -- Employer Account
Balances Transferred for Refund Interest 290,320 (290,320)
Inter-System Transfers -- Member Account
Balances Transferred to Employers' Reserve
due to Retirement (4,384,403) 4,384,403
Balance - June 30, 2001 $132,404,039 $ 504,968,350 $ 45,820,054
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
SUPPORTING SCHEDULE OF CHANGES IN FUND BALANCE RESERVES
FOR THE YEARS ENDED JUNE 30, 2001 AND 2000
Page 25
Administrative Investment Total
Accounting and Auditing Services $ 4,100 $ - $ 4,100
Actuarial Services 20,150 - 20,150
Contractual Services 5,195 - 5,195
Educational Expenses 5,890 4,639 10,529
Furniture and Equipment 16,593 - 16,593
Occupancy Expenses 19,168 785 19,953
Office Supplies 3,688 329 4,017
Payroll Taxes and Fringe Benefits 32,676 6,022 38,698
Postage Expense 12,771 523 13,294
Printing, Publications and Subscriptions 15,206 138 15,344
Professional Services 18,470 757 19,227
Salaries and Wages 205,594 37,892 243,486
Telephone Expense 4,395 286 4,681
Travel Expense 1,846 295 2,141
$ 365,742 $ 51,666 $ 417,408
Fees Paid
$ (1)
20,150
4,100
19,227
$ 43,477
(1) This service was provided to the Plan without charge by Standard & Poor's Securities, Inc.
The value of their services is approximately $22,500
*Effective 7/1/01, Contract awarded to Rodwan & Nichols-Consulting Actuaries
Lieberman, Dodge, Gerding, Kothe & Anderson, Ltd. - Legal Counsel
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
SUPPORTING SCHEDULE OF ADMINISTRATIVE AND INVESTMENT EXPENSES
FOR THE YEAR ENDED JUNE 30, 2001
SUPPORTING SCHEDULE OF PAYMENTS TO CONSULTANTS
Consultants
Standard & Poor's Securities, Inc. - Investment Counsel
Gabriel, Roeder, Smith & Company - Consulting Actuaries
Barrows & Schatza, P.L.C. - Auditors
Page 26
2001 2000
RECEIPTS
Members' Contributions $ 29,359,220 $ 28,644,655
Employers' Contributions 15,254,818 16,979,776
Interest 14,802,433 13,503,965
Dividends 2,591,694 4,732,083
Securities Lending Income 222,654 206,908
Amounts Transferred from Other
State-Sponsored Pension Plans 147,192 226,271
Maturities and Sales of
U.S. Government Securities 9,577,850 12,532,793
Corporate Bonds 2,335,129 9,407,574
Corporate Notes 1,907,303,821 1,134,606,073
Other Investments 3,664,358 3,457,965
Common Stock 131,108,149 143,736,316
Net Decrease in Money Market Fund - -
Total Receipts 2,116,367,319 1,368,034,379
DISBURSEMENTS
Pension Benefits 13,433,499 10,777,009
Refunds to Terminated Members 14,609,539 14,385,327
Investment and Administrative Expenses 456,496 391,651
Amounts Transferred to Other
State-Sponsored Pension Plans 1,645,651 842,413
Acquisitions of
U.S. Government Securities 28,470,161 12,534,925
Corporate Bonds 13,051,370 7,220,598
Corporate Notes 1,915,315,644 1,136,601,570
Other Investments 7,417,905 9,126,225
Common Stock 121,320,068 175,463,810
Net Increase in Money Market Fund 646,986 690,851
Total Disbursements 2,116,367,319 1,368,034,379
DECREASE IN CASH - -
BEGINNING CASH BALANCE - July 1 - -
ENDING CASH BALANCE - June 30 $ - $ -
FOR THE YEARS ENDED JUNE 30, 2001 AND 2000
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
SUPPLEMENTAL SCHEDULE OF
CASH RECEIPTS AND CASH DISBURSEMENTS
Page 27
Unfunded
Accrued
Sys Balance Reserve Contributions Pension Enhanced Distribution Balance Normal Costs
No. System June 30, 2000 Transfers Received Payment Refunds of Earnings June 30, 2001 at June 30, 2000
500 Dept. of Corrections $ 332,376,296.42 $ 2,688,430.95 $ 12,206,693.95 $ (9,670,727.87) $ (2,022,992.78) $ 20,705,409.88 $ 356,283,110.55 $ (141,753,067.00)
501 Dept. of Juv. Correc. $ 30,221,400.74 $ 299,776.85 $ 2,002,218.68 $ (889,744.20) $ (226,349.62) $ 1,967,335.00 $ 33,374,637.45 $ (11,076,396.00)
505 Maricopa County $ 66,147,160.58 $ 171,723.43 $ 259,873.69 $ (1,785,260.56) $ (580,781.88) $ 3,974,293.85 $ 68,187,009.11 $ (30,611,469.00)
510 Yuma County $ 4,996,084.13 $ (56,718.70) $ 50,764.46 $ (28,551.96) $ (27,159.29) $ 304,570.26 $ 5,238,988.90 $ (3,470,706.00)
515 Pima County $ 23,095,977.05 $ (7,748.96) $ 169,086.41 $ (663,849.69) $ (205,500.63) $ 1,393,645.27 $ 23,781,609.45 $ (10,042,541.00)
520 Apache County $ 474,612.28 $ 22,337.74 $ 12,924.86 $ (44,527.54) $ - $ 30,267.34 $ 495,614.68 $ (304,427.00)
525 Cochise County $ 2,525,889.44 $ 17,375.56 $ 32,717.16 $ (93,131.76) $ (20,647.82) $ 148,291.57 $ 2,610,494.15 $ (1,365,456.00)
530 Coconino County $ 939,718.57 $ (262.61) $ 73,186.18 $ (13,009.44) $ (2,835.38) $ 67,896.24 $ 1,064,693.56 $ (558,096.00)
535 Mohave County $ 2,508,868.10 $ (982.36) $ 4,721.71 $ (52,685.64) $ (2,631.09) $ 144,594.25 $ 2,601,884.97 $ (1,799,077.00)
540 Santa Cruz County $ 813,131.15 $ (4,602.73) $ 0.00 $ - $ (7,772.69) $ 49,760.80 $ 850,516.53 $ (688,136.00)
545 Navajo County $ 929,376.58 $ (13,294.04) $ 14,436.43 $ (23,441.16) $ - $ 55,501.35 $ 962,579.16 $ (624,271.00)
550 Yavapai County $ 3,614,936.38 $ 17,925.52 $ 100,772.41 $ (168,569.38) $ (21,144.04) $ 218,988.71 $ 3,762,909.60 $ (1,373,948.00)
TOTAL $ 468,643,451.42 $ 3,133,960.65 $ 14,927,395.94 $ (13,433,499.20) $ (3,117,815.22) $ 29,060,554.52 $ 499,214,048.11 $ (203,667,590.00)
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
SCHEDULE OF CHANGES IN EMPLOYER RESERVES - YEAR ENDED JUNE 30, 2001
AND UNFUNDED ACCRUED NORMAL COSTS AT JUNE 30, 2000
Page 28
Balance Reserve Contributions Withdrawn Balance
Sys No. System June 30, 2000 Transfers Received Members June 30, 2001
500 Dept. of Corrections $ 85,070,230.64 $ (3,385,136.94) $ 20,990,378.75 $ (7,470,425.64) $ 95,205,046.81
501 Dept. of Juv. Correc. $ 8,842,845.69 $ (348,313.73) $ 2,626,760.25 $ (1,086,702.00) $ 10,034,590.21
505 Maricopa County $ 16,045,840.71 $ (506,240.33) $ 2,892,500.28 $ (1,793,246.34) $ 16,638,854.32
510 Yuma County $ 1,214,252.45 $ (101,050.14) $ 370,714.73 $ (136,932.39) $ 1,346,984.65
515 Pima County $ 5,696,019.69 $ (201,615.04) $ 1,133,662.13 $ (622,916.36) $ 6,005,150.42
520 Apache County $ 144,995.18 $ (22,193.74) $ 44,123.16 $ (11,132.77) $ 155,791.83
525 Cochise County $ 506,881.15 $ (16,001.56) $ 133,014.19 $ (36,285.90) $ 587,607.88
530 Coconino County $ 363,443.11 $ (324.39) $ 222,172.68 $ (115,265.07) $ 470,026.33
535 Mohave County $ 451,395.35 $ (1,576.64) $ 129,474.40 $ (68,007.57) $ 511,285.54
540 Santa Cruz County $ 211,889.72 $ (7,423.27) $ 51,521.21 $ (42,760.01) $ 213,227.65
545 Navajo County $ 204,856.37 $ (11,695.96) $ 70,933.43 $ (31,745.55) $ 232,348.29
550 Yavapai County $ 809,370.40 $ (30,847.52) $ 300,907.24 $ (76,304.62) $ 1,003,125.50
TOTAL $ 119,562,020.46 $ (4,632,419.26) $ 28,966,162.45 $ (11,491,724.22) $ 132,404,039.43
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
SCHEDULE OF CHANGES IN REFUNDABLE MEMBER RESERVES
FISCAL YEAR ENDED JUNE 30, 2001
Page 29
Employer Employer Member Member
Sys Reserve Reserve Reserve Reserve Combined Mean Investment
No. System June 30, 2000 June 30, 2001 June 30, 2000 June 30, 2001 Reserves Balance Factor Earnings
500 Dept. of Corrections $ 297,475,697.08 $ 335,577,700.67 $ 85,070,230.64 $ 95,205,046.81 $ 813,328,675.20 $ 406,664,337.60 71.2492% $ 20,705,409.88
501 Dept. of Jun. Correc. $ 26,994,096.93 $ 31,407,302.45 $ 8,842,845.69 $ 10,034,590.21 $ 77,278,835.28 $ 38,639,417.64 6.7698% $ 1,967,335.00
505 Maricopa County $ 59,216,724.43 $ 64,212,715.26 $ 16,045,840.71 $ 16,638,854.32 $ 156,114,134.72 $ 78,057,067.36 13.6759% $ 3,974,293.85
510 Yuma County $ 4,468,160.71 $ 4,934,418.64 $ 1,214,252.45 $ 1,346,984.65 $ 11,963,816.45 $ 5,981,908.23 1.0481% $ 304,570.26
515 Pima County $ 20,654,609.75 $ 22,387,964.18 $ 5,696,019.69 $ 6,005,150.42 $ 54,743,744.04 $ 27,371,872.02 4.7957% $ 1,393,645.27
520 Apache County $ 422,796.09 $ 465,347.34 $ 144,995.18 $ 155,791.83 $ 1,188,930.44 $ 594,465.22 0.1042% $ 30,267.34
525 Cochise County $ 2,268,345.82 $ 2,462,202.58 $ 506,881.15 $ 587,607.88 $ 5,825,037.43 $ 2,912,518.72 0.5103% $ 148,291.57
530 Coconino County $ 836,763.78 $ 996,797.32 $ 363,443.11 $ 470,026.33 $ 2,667,030.54 $ 1,333,515.27 0.2336% $ 67,896.24
535 Mohave County $ 2,259,831.96 $ 2,457,290.72 $ 451,395.35 $ 511,285.54 $ 5,679,803.57 $ 2,839,901.79 0.4976% $ 144,594.25
540 Santa Cruz County $ 728,780.06 $ 800,755.73 $ 211,889.72 $ 213,227.65 $ 1,954,653.16 $ 977,326.58 0.1712% $ 49,760.80
545 Navajo County $ 835,864.84 $ 907,077.81 $ 204,856.37 $ 232,348.29 $ 2,180,147.31 $ 1,090,073.66 0.1910% $ 55,501.35
550 Yavapai County $ 3,245,673.38 $ 3,543,920.89 $ 809,370.40 $ 1,003,125.50 $ 8,602,090.17 $ 4,301,045.09 0.7536% $ 218,988.71
TOTAL $ 419,407,344.83 $ 470,153,493.59 $ 119,562,020.46 $ 132,404,039.43 $ 1,141,526,898.31 $ 570,763,449.16 100.00% $ 29,060,554.52
:
CORRECTIONS OFFICERS RETIREMENT PLAN
EARNINGS DISTRIBUTION - FISCAL YEAR ENDED JUNE 30, 2001
STATE OF ARIZONA
Page 30
INVESTMENT SECTION
CORRECTIONS OFFICER RETIREMENT PLAN
FIFTEENTH COMPREHENSIVE ANNUAL FINANCIAL REPORT
FOR THE FISCAL YEAR ENDED
JUNE 30, 2001
Fund Objectives
Investment Performance Data
Supporting Schedule of Commissions Paid to Brokers
Summary of Changes in Investment Portfolio
Detailed List of Investments Acquired
Detailed List of Sales
and Redemption of Investments
Detailed List of Investments Owned
FUND OBJECTIVES
1. The intent of the Public Safety Personnel Retirement System, the Elected Official's Retirement Plan and the
Corrections Officer Retirement Plan (herein after referred to as the Plan) is to provide the Plan participants
benefits as defined in Title 38, chapter 5, articles 3, 4 and 6 of the Arizona Revised Statutes.
2. The Fund Manager and the Administrator will discharge their duties with respect to the Plan solely in the
interest of the Plan participants, beneficiaries and employer sponsors. In making every investment, the Fund
Manager shall exercise the judgment and care under the circumstances then prevailing which men of ordinary
prudence, discretion and intelligence exercise in the management of their own affairs, not in regard to
speculation but in regard to the permanent disposition of their funds, considering the probable income from
their funds as well as the probable safety of their capital, provided these investments are made in conformity
with all applicable laws.
3. The intention of the Plan is to maintain the benefit level as stated in Title 38, chapter 5, articles 3, 4 and 6 of the
Arizona Revised Statutes and as amended from time to time by the Arizona State Legislature. In order to
maintain this benefit level the Plan will annually adjust the employer contribution rate based on the
recommendations made by the annual actuarial valuations. The Plan’s funding goal is for the Plan assets to be
equal to Plan liabilities within any twenty-year period.
4. It is the intent of the Plan to level off or reduce the employer contribution rate to the Plan as well as to provide
the opportunity for increased benefits for retirees as the legislature may from time to time enact, through the
systematic growth of the investments of the fund.
5. The primary objective of the investment program of the Plan is a reasonable, long-range total rate of return.
Inherent in this goal is the preservation and enhancement of capital through effective management of the
portfolio in order to take advantage of attractive opportunities various market sectors have to offer.
Adopted this 17th day of June, 1998, by the Fund Manager.
John A. Cochran/sig
_______________________________
John A. Cochran, Ph.D., Chairman
F. Michael Geddes/sig
_____________________________
F. Michael Geddes, Member
Donald L. De Ment/sig
___________________________
Donald L. De Ment, Member
Carmen Torrie/sig
_____________________________
Carmen Torrie, Member
Tony West/sig
___________________________
Tony West, Member
Added 11-57-92
Revised 11-55-97
Revised 06-45-98
S&P Investment Advisory Services LLC
55 Water Street, 44th Floor
New York, NY 10041
Tel 212 438 3737
Fax 212 438 3929
August 31, 2001
The Fund Manager
State of Arizona
Corrections Officer Retirement Plan
1020 East Missouri Avenue
Phoenix, Arizona 85014
Dear Sirs:
The attached charts and tables depict the investment performance for the Corrections Officer
Retirement Plan of the State of Arizona. The performance results shown are based entirely on
data provided by the plan's staff and does not constitute an audit on Standard & Poor's part.
We note that Standard & Poor's has assumed that all data that has been supplied by the staff
is accurate and complete and that Standard & Poor's has not taken steps to verify same. We
also note that the performance was calculated under the assumption that cash inflows and
outflows take place uniformly throughout each month.
The performance data include realized and unrealized capital gains and losses, as well as
interest and dividend income earned by the fund. We believe these computations were
performed in accordance with accepted AIMR procedures.
Based on the foregoing, during the past fiscal year, the stock portfolio underperformed the
NYSE and S&P 500 indices, while the bond portfolio equaled the Lehman Government/Credit
Index. The overall fund underperformed two custom benchmarks, each using bond and stock
indices weighted in the same proportion as the investments in the overall fund. The overall
fund has attained a rate of return over the past decade that compares favorably with these
custom benchmarks.
Sincerely,
Kenneth Shea/sig
Kenneth Shea
Vice President
Director of Equity Research
KS/rt
Enclosures
tgletters/Arizona 8/01
Fair Total Balanced
FYE Value Contribution Return Index*
06-30-01 $ 679,572,838 $ 15,092,575 -17.07% -1.40%
06-30-00 $ 803,140,980 $ 20,812,944 13.22% 6.02%
06-30-99 $ 689,508,750 $ 19,793,597 17.60% 12.23%
06-30-98 $ 567,501,186 $ 22,020,935 21.70% 17.66%
06-30-97 $ 446,443,126 $ 21,510,046 22.73% 17.87%
06-30-96 $ 344,052,534 $ 17,224,177 15.30% 13.98%
06-30-95 $ 282,566,544 $ 13,323,271 17.11% 16.30%
06-30-94 $ 228,725,251 $ 12,344,638 -0.70% 0.25%
06-30-93 $ 218,076,361 $ 14,234,677 8.80% 12.26%
06-30-92 $ 186,696,553 $ 14,047,050 15.68% 12.12%
06-30-91 $ 148,567,837 $ 18,448,295 13.23% 8.32%
06-30-90 $ 113,343,482 $ 12,540,673 11.24% 9.21%
06-30-89 $ 90,034,663 $ 11,245,876 15.21% 13.98%
06-30-88 $ 67,462,178 $ 17,014,108 3.40% 1.19%
06-30-87 $ 48,123,723
Total Fund
3-year 3.36% 5.47%
5-year 10.52% 10.23%
10-year 10.78% 10.53%
Investment Performance Data
Cumulative Return - Total Fund
Corrections Officer Retirement Plan
Balanced Index
Since 1990, the asset class weightings have been calculated using the average weightings of the quarter's beginning
& ending market values.
Annualized Returns
*Balanced Index is 45% NYSE + 45% Lehman Government/Corporate Bond + 10% 91 day T-bill. Beginning FY
98/99, S&P 500 replaces NYSE.
Prior to 1990 the weightings in each asset class were calculated using the fiscal year-end market values.
0
100
200
300
400
500
600
87 88 89 90 91 92 93 94 95 96 97 98 99 00 01
FYE June 30
Index
CORP Total Fund Balanced Index
Page 35
Fair Total NYSE S&P
FYE Value Contribution Return Index 500
06-30-01 $ 455,399,449 $ (12,369,993) -25.58% -1.77% -14.83%
06-30-00 $ 626,591,339 $ 28,405,378 16.94% 0.84% 7.25%
06-30-99 $ 509,408,904 $ 17,401,223 23.69% 13.86% 22.76%
06-30-98 $ 393,669,809 $ 33,176,239 27.23% 27.28% 30.16%
06-30-97 $ 282,295,331 $ 24,635,056 31.78% 31.51% 34.69%
06-30-96 $ 192,410,171 $ 19,911,538 23.35% 25.91% 26.00%
06-30-95 $ 136,792,031 $ (8,954,375) 22.83% 22.40% 26.06%
06-30-94 $ 120,009,219 $ 9,254,903 -1.14% 1.24% 1.23%
06-30-93 $ 112,232,875 $ 35,940,119 7.37% 13.32% 13.52%
06-30-92 $ 88,979,250 $ 19,472,103 17.41% 11.59% 13.45%
06-30-91 $ 58,385,625 $ 13,099,368 16.48% 5.50% 7.39%
06-30-90 $ 38,044,750 $ 12,336,990 18.39% 11.25% 16.44%
06-30-89 $ 21,228,125 $ (430,650) 21.75% 16.81% 20.54%
06-30-88 $ 17,925,000 $ 4,678,349 -7.46% -8.57% -6.97%
06-30-87 $ 14,739,500
Total Stocks NYSE S&P 500
3-year 2.48% 4.09% 3.89%
5-year 12.53% 13.55% 14.47%
10-year 13.04% 14.05% 15.07%
Annualized Returns
Cumulative Return - Stocks
Corrections Officer Retirement Plan
Investment Performance Data
*Our investment universe is the New York Stock Exchange (NYSE) prior to July 21,1997.
0
100
200
300
400
500
600
700
800
87 88 89 90 91 92 93 94 95 96 97 98 99 00 01
FYE June 30
Index
CORP Stocks NYSE S&P 500
Page 36
Fair Total
FYE Value Contribution Return Lehman*
06-30-01 $ 224,173,388 $ 27,462,568 10.78% 11.14%
06-30-00 $ 176,549,641 $ (7,592,434) 2.28% 4.29%
06-30-99 $ 180,099,846 $ 2,392,374 2.26% 2.69%
06-30-98 $ 173,831,382 $ (11,155,304) 12.28% 11.08%
06-30-97 $ 164,147,795 $ (3,125,010) 10.31% 7.75%
06-30-96 $ 151,642,363 $ (2,687,361) 6.26% 4.65%
06-30-95 $ 145,774,513 $ 22,277,646 11.71% 12.75%
06-30-94 $ 108,716,032 $ 3,089,735 -0.21% -1.45%
06-30-93 $ 105,843,386 $ (7,458,392) 10.46% 13.15%
06-30-92 $ 97,717,303 $ (5,425,053) 14.54% 14.17%
06-30-91 $ 90,182,212 $ (5,348,927) 11.54% 10.21%
06-30-90 $ 75,298,732 $ 203,683 9.02% 7.11%
06-30-89 $ 68,806,538 $ 11,676,526 13.18% 12.34%
06-30-88 $ 49,537,189 $ 12,335,759 9.18% 7.48%
06-30-87 $ 33,384,223
Total Bonds Lehman
3-year 5.03% 5.98%
5-year 7.49% 7.34%
10-year 7.96% 7.91%
Annualized Returns
Cumulative Return - Bonds, Notes, Other Investments and Money Market
Corrections Officer Retirement Plan
Investment Performance Data
*The Lehman Government/Corporate bond index includes more than 5,000 public traded bond issues of $25 million
or more rated Baa or better for a total fair value of more than $2 trillion.
0
50
100
150
200
250
300
350
87 88 89 90 91 92 93 94 95 96 97 98 99 00 01
FYE June 30
Index
CORP Bonds Lehman
Page 37
Average
Broker Traded Commission Commissions
Covato Lipsitz 218,000 0.050 $ 10,900.00
Dain Rauscher 116,000 0.039 $ 4,500.00
ISI Group 225,000 0.050 $ 11,250.00
J.W.Garrett 209,000 0.050 $ 10,450.00
Merrill Lynch 609,706 0.034 $ 20,735.30
Paine Webber 614,500 0.046 $ 27,975.00
Prudential Securities 479,000 0.026 $ 12,500.00
Simon Securities 146,800 0.050 $ 7,340.00
Smith Barney--Phoenix 534,000 0.028 $ 14,750.00
Smith Barney--Scottsdale 654,000 0.026 $ 17,000.00
Standard & Poor's Securities 1,532,006 0.050 $ 76,600.30
U. S. Securities and Futures 165,000 0.050 $ 8,250.00
Wells Fargo / Van Kasper 207,000 0.050 $ 10,350.00
Total Commissions 5,710,012 0.041 $ 232,600.60
The Plan typically pays $ .05 per share traded plus SEC charges on sale transactions. Over the
Counter stocks are typically traded net of commissions. The firms with an average commission
of less than $.05 have traded Over the Counter net of commissions for the Plan.
STATE OF ARIZONA
Number of Shares
FISCAL YEAR ENDED JUNE 30, 2001
SUPPORTING SCHEDULE OF COMMISSIONS PAID TO BROKERS
CORRECTIONS OFFICER RETIREMENT PLAN
Page 38
Percent Percent
at Fair Fair Book Maturities (Premium) Book Fair at Fair
Description Value Value Value Acquisitions and Sales Discount Value Value Value
U.S. Treasury
Obligations 1.9% 15,052,680.00 13,008,488.00 - - (31,214.55) 12,977,273.45 15,428,720.00 2.3%
Federal Agency
Obligations 7.0% 56,156,893.72 55,574,173.73 28,470,161.14 9,546,635.78 - 74,497,699.09 76,723,558.51 11.3%
Total U.S. Government
Securities 8.9% 71,209,573.72 68,582,661.73 28,470,161.14 9,546,635.78 (31,214.55) 87,474,972.54 92,152,278.51 13.6%
Corporate Bonds 9.4% 75,241,079.95 83,594,145.17 13,051,370.00 2,225,023.79 (39,157.42) 94,381,333.96 89,401,198.47 13.2%
Total Bond
Portfolio 18.3% 146,450,653.67 152,176,806.90 41,521,531.14 11,771,659.57 (70,371.97) 181,856,306.50 181,553,476.98 26.8%
Corporate Notes 1.1% 8,988,585.84 8,988,585.84 1,915,315,643.93 1,907,303,821.28 - 17,000,408.49 17,000,408.49 2.5%
Common Stock 78.0% 626,591,339.25 401,304,777.88 121,320,068.37 119,102,581.29 - 403,522,264.96 455,399,449.26 67.0%
Other Investments 2.4% 19,952,884.10 19,952,884.10 7,417,905.05 3,555,788.98 - 23,815,000.17 23,815,000.17 3.5%
Money Market Account 0.2% 1,157,517.17 1,157,517.17 646,985.50 - - 1,804,502.67 1,804,502.67 0.2%
Total Portfolio 100.0% 803,140,980.03 583,580,571.89 2,086,222,133.99 2,041,733,851.12 (70,371.97) 627,998,482.79 679,572,837.57 100.0%
Balance June 30, 2000 Balance June 30, 2001
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
SUMMARY OF CHANGES IN INVESTMENT PORTFOLIO
FOR THE FISCAL YEAR ENDED JUNE 30, 2001
Page 39
Purchase (Premium) Accrued Book
Security Coupon Maturity Price Par Value Principal Discount Interest Total Amount Yield
GNMA Pool #434101 7.000 12/15/2028 98.03125 2,538,981.05 2,488,994.86 49,986.19 10,861.20 2,499,856.06 7.14%
GNMA Pool #458918 7.000 8/15/2028 98.18750 4,000,000.33 3,927,500.33 72,500.00 17,111.11 3,944,611.44 7.13%
GNMA Pool #475872 7.000 7/15/2028 99.18750 2,999,999.97 2,975,624.97 24,375.00 11,083.33 2,986,708.30 7.06%
GNMA Pool #530611 6.500 5/15/2031 99.91406 4,000,000.00 3,996,562.50 3,437.50 14,444.44 4,011,006.94 6.51%
GNMA Pool #530631 6.500 6/15/2031 99.55470 5,700,000.00 5,674,617.90 25,382.10 19,554.17 5,694,172.07 6.53%
GNMA Pool #539629 6.500 4/15/2031 99.62500 1,999,700.88 1,992,202.00 7,498.88 7,221.14 1,999,423.14 6.52%
GNMA Pool #548963 6.500 3/15/2031 99.75000 999,900.75 997,401.00 2,499.75 3,971.83 1,001,372.83 6.52%
GNMA Pool #549915 6.500 5/15/2031 99.62500 2,000,300.00 1,992,798.88 7,501.12 7,223.30 2,000,022.18 6.52%
GNMA Pool #560189 6.500 4/15/2031 99.75000 2,999,703.00 2,992,203.74 7,499.26 11,915.49 3,004,119.23 6.52%
GNMA Pool #780896 7.000 11/15/2028 98.03125 1,461,018.77 1,432,254.96 28,763.81 6,249.91 1,438,504.87 7.14%
TOTAL FEDERAL AGENCY OBLIGATIONS 28,699,604.75 28,470,161.14 229,443.61 109,635.92 28,579,797.06 6.75%
CORPORATE BONDS
ANTHEM INSURANCE COMPANY 9.125 4/1/2010 91.43900 3,000,000.00 2,743,170.00 256,830.00 78,322.92 2,821,492.92 9.98%
AT&T CORPORATES 8.350 1/15/2025 101.50000 1,000,000.00 1,015,000.00 (15,000.00) 17,395.83 1,032,395.83 8.23%
AXA SA 8.600 12/15/2030 108.62500 1,000,000.00 1,086,250.00 (86,250.00) 25,083.33 1,111,333.33 7.92%
GOODRICH CORPORATION 7.100 11/15/2027 90.64700 5,000,000.00 4,532,350.00 467,650.00 36,486.11 4,568,836.11 7.83%
ROCKWELL INTERNATIONAL 6.700 1/15/2028 90.74500 3,000,000.00 2,722,350.00 277,650.00 82,633.33 2,804,983.33 7.38%
US WEST COMMUNICATIONS 7.500 6/15/2023 95.22500 1,000,000.00 952,250.00 47,750.00 22,291.67 974,541.67 7.88%
TOTAL CORPORATE BONDS 14,000,000.00 13,051,370.00 948,630.00 262,213.19 13,313,583.19 8.23%
TOTAL BONDS ACQUIRED 42,699,604.75 41,521,531.14 1,178,073.61 371,849.11 41,893,380.25 7.21%
FEDERAL AGENCY OBLIGATIONS
CORRECTIONS OFFICER RETIREMENT PLAN
BONDS ACQUIRED
STATE OF ARIZONA
INVESTMENTS ACQUIRED
JULY 1, 2000 THROUGH JUNE 30, 2001
Page 40
Page 1 of 4
Amount of Maturity
Description Cost Interest Value
AEGON FUNDING CORP 1,999,778.33 221.67 2,000,000.00
AEP CREDIT INC 7,989,831.11 10,168.89 8,000,000.00
AI CREDIT CORP 1,998,841.67 1,158.33 2,000,000.00
AIG FUNDING INC. 3,995,706.11 4,293.89 4,000,000.00
ALLERGAN, INC 998,911.67 1,088.33 1,000,000.00
ALLMERICA FINANCIAL CORP 999,845.83 154.17 1,000,000.00
ALLSTATE CORPORATION 5,998,637.22 1,362.78 6,000,000.00
ALLTEL CORP 3,995,913.33 4,086.67 4,000,000.00
AMERICAN HOME PRODUCTS 9,991,344.45 8,655.55 10,000,000.00
AML LEASING TRUST 5,997,002.78 2,997.22 6,000,000.00
AMSTEL FUNDING 10,987,184.45 12,815.55 11,000,000.00
AMSTERDAM FUNDING CORP 26,974,332.78 25,667.22 27,000,000.00
ANC RENTAL FUNDING CORP 7,995,421.68 4,578.32 8,000,000.00
ARIESONE METAFOLIO 1,998,906.67 1,093.33 2,000,000.00
ARTESIA NORTH AMERICA 1,997,568.89 2,431.11 2,000,000.00
ASSET ONE SECURITIZATION 8,991,729.44 8,270.56 9,000,000.00
ASSET PORTFOLIO FUNDING 3,494,689.59 5,310.41 3,500,000.00
ASSET SECURT. COOPERATIVE 999,814.44 185.56 1,000,000.00
AT&T CORP 2,997,643.06 2,356.94 3,000,000.00
ATLANTIS ONE FUNDING 3,498,497.50 1,502.50 3,500,000.00
AUTOBAHN FUNDING CORP 137,269,085.48 42,914.52 137,312,000.00
BANQUE ET CAISSE D'EPARGNE DE L'ETAT 3,994,897.78 5,102.22 4,000,000.00
BARTON CAPITAL CORP 16,487,132.65 12,867.35 16,500,000.00
BAVARIA FINANCE FUNDING 1,996,241.67 3,758.33 2,000,000.00
BEETHOVEN FUNDING CORPORATION 11,489,798.61 10,201.39 11,500,000.00
BELFORD FUNDING COMPANY LLC 4,997,655.01 2,344.99 5,000,000.00
BELLSOUTH TELEPHONE 1,997,491.67 2,508.33 2,000,000.00
BOEING CAPITAL CORPORATION 1,999,555.56 444.44 2,000,000.00
BRADFORD & BINGLEY BUILDING SOCIETY 1,999,742.78 257.22 2,000,000.00
BROADWAY CAPITAL 1,997,205.56 2,794.44 2,000,000.00
CAISSE CENTRALE DESJARDINS DU QUEBEC 999,860.83 139.17 1,000,000.00
CARDINAL HEALTH 3,997,891.67 2,108.33 4,000,000.00
CARGILL ASIA PACIFIC LTD 3,999,062.22 937.78 4,000,000.00
CARGILL GLOBAL FUNDING PLC 3,997,856.11 2,143.89 4,000,000.00
CATERPILLAR FINANCIAL SERVICES 1,999,283.33 716.67 2,000,000.00
CBA(DELAWARE) FINANCE INC 5,999,045.00 955.00 6,000,000.00
CDC COMMERCIAL PAPER PROGRAM 9,998,242.22 1,757.78 10,000,000.00
CENTENNIAL ENERGY HOLD 7,989,455.00 10,545.00 8,000,000.00
CENTERIOR FUEL 1,996,020.56 3,979.44 2,000,000.00
CENTRICA PLC 1,996,360.00 3,640.00 2,000,000.00
CHECK POINT CHARLIE INC. 3,499,598.33 401.67 3,500,000.00
CINTAS CORPORATION NO. 2 1,498,113.75 1,886.25 1,500,000.00
CINTAS EXECUTIVE SERVICES 1,997,833.33 2,166.67 2,000,000.00
COMPUTER SCIENCE CORPORATION 1,997,850.00 2,150.00 2,000,000.00
CONCORD MINUTEMAN CAP. 11,997,730.84 2,269.16 12,000,000.00
CONSOLIDATED EDISON COMPANY 17,995,819.45 4,180.55 18,000,000.00
CONSOLIDATED NATURAL GAS 5,998,158.06 1,841.94 6,000,000.00
CONSTELLATION ENERGY 11,988,412.77 11,587.23 12,000,000.00
COOP. ASSN. OF TRACTOR DEALERS 115,962,662.56 37,337.44 116,000,000.00
COUNTRYWIDE HOME LOANS 35,975,001.37 24,998.63 36,000,000.00
CROWN POINT CAPITAL 9,998,021.68 1,978.32 10,000,000.00
CVS CORPORATION 5,996,045.55 3,954.45 6,000,000.00
JULY 1, 2000 THROUGH JUNE 30, 2001
SHORT TERM INVESTMENTS MATURED
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
Page 41
Page 2 of 4
Amount of Maturity
Description Cost Interest Value
JULY 1, 2000 THROUGH JUNE 30, 2001
SHORT TERM INVESTMENTS MATURED
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
CXC INC. 499,564.44 435.56 500,000.00
DAIRY INVESTMENTS(BERMUDA) LTD 1,997,480.00 2,520.00 2,000,000.00
DEALERS CAPITAL ACCEPTANCE 11,997,742.78 2,257.22 12,000,000.00
DEALERS CAPITAL ACCESS TRUST INC. 134,475,089.36 24,910.64 134,500,000.00
DELAWARE FUNDING CORP 5,994,583.33 5,416.67 6,000,000.00
DIAGEO CAPITAL PLC 5,997,838.33 2,161.67 6,000,000.00
DIXIE PIPELINE CO 1,999,053.33 946.67 2,000,000.00
DOW CHEMICAL COMPANY 11,997,075.00 2,925.00 12,000,000.00
DUKE CAPITAL CORP 38,983,250.01 16,749.99 39,000,000.00
DUKE ENERGY CORP 9,998,413.35 1,586.65 10,000,000.00
EAGLE FUNDING CAPITAL 11,490,957.92 9,042.08 11,500,000.00
EATON CORPORATION 6,997,647.23 2,352.77 7,000,000.00
EDISON ASSET SECURITIZATION 3,996,160.56 3,839.44 4,000,000.00
EKSPORT FINANS 1,997,260.00 2,740.00 2,000,000.00
EMINENT FUNDING 9,105,574.20 7,425.80 9,113,000.00
ENTERPRISE FUNDING CORPORATION 1,999,276.67 723.33 2,000,000.00
ERASMUS CAPITAL CORP 5,015,727.80 4,272.20 5,020,000.00
ESTEE LAUDER COMPANIES 999,818.06 181.94 1,000,000.00
EW SCRIPPS COMPANY 3,499,518.61 481.39 3,500,000.00
EXPORT DEVELOPMENT CORP 1,999,697.22 302.78 2,000,000.00
EXXON PROJECT INVESTMENT 3,496,320.83 3,679.17 3,500,000.00
EXXONMOBIL AUSTRALIA PROPERTY 24,969,757.24 30,242.76 25,000,000.00
FAIRWAY FINANCE CORP 10,993,241.39 6,758.61 11,000,000.00
FALCON ASSET SECURITIZATION 10,990,121.12 9,878.88 11,000,000.00
FORD MOTOR CREDIT CO. 3,988,815.56 11,184.44 4,000,000.00
FORRESTAL FUNDING MASTER TRUST 1,998,205.56 1,794.44 2,000,000.00
FORTIS FUNDING 1,499,258.33 741.67 1,500,000.00
FOUR WINDS FUNDING CORP 33,994,726.67 5,273.33 34,000,000.00
FPL FUELS, INC. 7,992,083.90 7,916.10 8,000,000.00
FRANCE TELECOM 5,997,123.90 2,876.10 6,000,000.00
GENERAL MOTORS ACCEPTANCE CORP 1,997,850.00 2,150.00 2,000,000.00
GILLETTE COMPANY 1,999,643.89 356.11 2,000,000.00
GIRO FUNDING (US) 3,996,785.56 3,214.44 4,000,000.00
GIRO MULTI-FUNDING U.S. CORP 9,482,346.96 17,653.04 9,500,000.00
GRAND FUNDING CORP 1,997,468.33 2,531.67 2,000,000.00
GREYHAWK FUNDING LLC 5,998,028.33 1,971.67 6,000,000.00
HALOGEN CAPITAL COMPANY 4,998,979.86 1,020.14 5,000,000.00
HANNOVER FUNDING 13,612,583.09 11,416.91 13,624,000.00
HERTZ CORPORATION 5,994,266.12 5,733.88 6,000,000.00
HOLLAND LIMITED SECURTIZATION 29,976,144.86 23,855.14 30,000,000.00
HOMESIDE LENDING 5,994,983.89 5,016.11 6,000,000.00
HONEYWELL INTERNATIONAL 1,999,773.89 226.11 2,000,000.00
IBM CREDIT CORPORATION 1,999,798.89 201.11 2,000,000.00
INDIANA GAS COMPANY 15,678,276.47 11,723.53 15,690,000.00
INTERNATIONAL NEDERLANDEN 1,997,476.11 2,523.89 2,000,000.00
JOHNSON & JOHNSON 1,998,568.89 1,431.11 2,000,000.00
KANSAS CITY POWER & LIGHT 1,999,625.00 375.00 2,000,000.00
KEYSPAN CORPORATION 9,996,652.78 3,347.22 10,000,000.00
KITTY HAWK FUNDING CORP 17,488,664.99 11,335.01 17,500,000.00
LEXINGTON PARKER CAPITAL CORP. 17,489,634.16 10,365.84 17,500,000.00
LIBERTY MUTUAL CAPITAL 12,986,279.45 13,720.55 13,000,000.00
LIBERTY STREET FUNDING 19,494,716.53 5,283.47 19,500,000.00
Page 42
Page 3 of 4
Amount of Maturity
Description Cost Interest Value
JULY 1, 2000 THROUGH JUNE 30, 2001
SHORT TERM INVESTMENTS MATURED
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
LONG LANE MASTER TRUST 3,497,228.33 2,771.67 3,500,000.00
LONG LANE MASTER TRUST IV 4,993,408.05 6,591.95 5,000,000.00
L'OREAL USA INC. 999,846.39 153.61 1,000,000.00
MARKET STREET FUNDING 33,984,119.45 15,880.55 34,000,000.00
MARSH USA INC 1,998,769.45 1,230.55 2,000,000.00
MAXIMILIAN CAPITAL CORPORATION 499,025.83 974.17 500,000.00
MERRILL LYNCH & CO, INC. 5,997,195.00 2,805.00 6,000,000.00
METROPOLITAN EDISON COMPANY 5,995,643.89 4,356.11 6,000,000.00
MICHIGAN CONSOLIDATED GAS 999,818.06 181.94 1,000,000.00
MIDAMERICAN ENERGY CO 3,997,874.45 2,125.55 4,000,000.00
MOAT FUNDING 10,994,500.01 5,499.99 11,000,000.00
MONSANTO CORPORATION 4,998,004.17 1,995.83 5,000,000.00
MONTAUK FUNDING CORP 27,987,468.34 12,531.66 28,000,000.00
NATIONAL GRID USA 5,998,914.45 1,085.55 6,000,000.00
NATIONAL RURAL UTILITIES CFC 1,999,111.11 888.89 2,000,000.00
NEPTUNE FUNDING 23,984,511.51 24,488.49 24,009,000.00
NESS LLC 27,487,278.62 12,721.38 27,500,000.00
NESTLE CAPITAL CORP 11,991,556.11 8,443.89 12,000,000.00
NESTLE HOLDINGS UK PLC 1,998,920.00 1,080.00 2,000,000.00
NEW ENGLAND POWER COMPANY 3,997,833.34 2,166.66 4,000,000.00
NIKE INC. 1,999,640.56 359.44 2,000,000.00
OGE ENERGY CORP 2,997,865.55 2,134.45 3,000,000.00
OGLE THORPE POWER 3,998,508.89 1,491.11 4,000,000.00
OLD LINE FUNDING 3,997,094.44 2,905.56 4,000,000.00
ORANGE & ROCKLAND UTILITY 21,995,531.69 4,468.31 22,000,000.00
PARADIGM FUNDING 5,495,272.64 4,727.36 5,500,000.00
PENNSYLVANIA ELECTRIC COMPANY 5,995,321.66 4,678.34 6,000,000.00
PREFERRED RECEIVABLES FUNDING CORP 1,996,103.33 3,896.67 2,000,000.00
QUESTAR CORP 1,997,977.78 2,022.22 2,000,000.00
QUINCY CAPITAL CORPORATION 5,997,645.56 2,354.44 6,000,000.00
RECEIVABLES CAPITAL CORP 1,999,243.33 756.67 2,000,000.00
REPSOL INTERNATIONAL BV 3,993,668.89 6,331.11 4,000,000.00
REVOLVING COMMITMENT VEHICLE 3,999,330.56 669.44 4,000,000.00
RIVER FUEL TRUST #1 2,998,361.11 1,638.89 3,000,000.00
ROCKWELL INTERNATIONAL 2,998,789.44 1,210.56 3,000,000.00
SCHERING CORPORATION 1,999,086.67 913.33 2,000,000.00
SIEFUNDS CORPORATION 1,499,312.50 687.50 1,500,000.00
SIGMA FINANCE 7,997,771.67 2,228.33 8,000,000.00
SPECIAL PURPOSE ACCTS. REC. 8,294,464.00 5,536.00 8,300,000.00
STARBIRD FUNDING CORPORATION 34,989,092.79 10,907.21 35,000,000.00
STEAMBOAT FUNDING 5,993,960.56 6,039.44 6,000,000.00
SUNBELT FUNDING CORP 45,379,748.42 30,251.58 45,410,000.00
SUNFLOWERS FUNDING CO 1,996,300.00 3,700.00 2,000,000.00
SWEDBANK 1,999,011.67 988.33 2,000,000.00
SWEETWATER CAPITAL 11,995,228.07 4,771.93 12,000,000.00
SYDNEY CAPITAL CORP 1,998,194.44 1,805.56 2,000,000.00
THREE CROWNS FUNDING 126,718,823.03 31,176.97 126,750,000.00
THREE RIVERS FUNDING 14,487,486.67 12,513.33 14,500,000.00
THUNDER BAY FUNDING 24,586,298.80 13,701.20 24,600,000.00
TOTAL FINA ELF SA 3,999,465.56 534.44 4,000,000.00
TRANSAMERICA ASSET FUNDING 25,987,529.46 12,470.54 26,000,000.00
TRIBUNE COMPANY 3,988,841.67 11,158.33 4,000,000.00
Page 43
Page 4 of 4
Amount of Maturity
Description Cost Interest Value
JULY 1, 2000 THROUGH JUNE 30, 2001
SHORT TERM INVESTMENTS MATURED
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
TRIDENT CAPITAL FINANCE 7,992,850.00 7,150.00 8,000,000.00
TRIGON HEALTHCARE 3,498,768.61 1,231.39 3,500,000.00
TRIPLE A-1 FUNDING 41,971,211.96 28,788.04 42,000,000.00
TULIP FUNDING 2,998,441.67 1,558.33 3,000,000.00
UBS AMERICAS, INC 9,994,168.34 5,831.66 10,000,000.00
UBS FINANCIAL(DELAWARE) 21,993,898.32 6,101.68 22,000,000.00
UNITED HEALTHCARE 5,997,458.06 2,541.94 6,000,000.00
UNITED PARCEL SERVICE 3,996,272.78 3,727.22 4,000,000.00
US CENTRAL CREDIT UNION 1,998,222.22 1,777.78 2,000,000.00
USA GROUP SECOND 2,997,661.39 2,338.61 3,000,000.00
USAA CAPITAL CORP 2,997,518.34 2,481.66 3,000,000.00
VECTREN UTILITY HOLDING CORP 8,994,618.62 5,381.38 9,000,000.00
VERMONT AMERICAN CORP 1,997,840.00 2,160.00 2,000,000.00
VISTAONE METAFOLIO L.L.C. 24,479,699.72 20,300.28 24,500,000.00
W.W. GRAINGER INC. 1,999,692.78 307.22 2,000,000.00
WALT DISNEY CO. 999,820.83 179.17 1,000,000.00
WASHINGTON GAS LIGHT COMPANY 8,997,859.73 2,140.27 9,000,000.00
WESTPAC TRUST NZ 3,999,387.22 612.78 4,000,000.00
WGL HOLDINGS 3,998,002.78 1,997.22 4,000,000.00
WISCONSIN ELECTRIC FUEL TRUST 1,997,764.44 2,235.56 2,000,000.00
WISCONSIN PUBLIC SERVICE 1,998,253.33 1,746.67 2,000,000.00
WOOD STREET FUNDING 1,999,641.11 358.89 2,000,000.00
WORLD OMNI VEH. LEASING 15,492,559.02 7,440.98 15,500,000.00
YORKSHIRE BUILDING SOCIETY 10,991,548.89 8,451.11 11,000,000.00
1,907,303,821.28 1,024,178.72 1,908,328,000.00
Page 44
Page 1 of 1
No. Dividend Annual Book Average Book
Company Shares Rate Income Yield Cost Cost
AES CORPORATION 31,000 - - 0.00% 50.15 1,554,553.90
ALLSTATE CORPORATION 26,000 0.76 19,760.00 2.07% 36.80 956,800.00
ALLTEL CORPORATION 37,000 1.32 48,840.00 2.54% 51.92 1,921,039.20
AMGEN 33,000 - - 0.00% 59.97 1,979,082.60
APACHE CORPORATION 55,000 0.14 7,700.00 0.24% 58.15 3,198,047.90
BJ SERVICES COMPANY 115,000 - - 0.00% 76.41 8,787,004.51
BJ'S WHOLESALE CLUB, INC. 120,000 - - 0.00% 42.41 5,089,008.34
BROADWING INC. 126,000 0.40 50,400.00 1.55% 25.83 3,254,335.10
CHARTER COMMUNICATIONS, INC 30,000 - - 0.00% 22.22 666,693.00
CITIGROUP, INC. 57,000 0.56 31,920.00 0.80% 70.00 3,989,982.18
CONSTELLATION ENERGY GROUP INC 31,000 0.48 14,880.00 1.10% 43.80 1,357,939.50
COVAD COMMUNICATIONS GROUP 90,000 - - 0.00% 4.40 395,847.00
CYTYC CORPORATION 28,000 - - 0.00% 61.00 1,708,000.00
DEVON ENERGY CORPORATION 24,000 0.20 4,800.00 0.35% 57.48 1,379,485.30
EL PASO CORPORATION 28,000 0.85 23,800.00 1.32% 64.17 1,796,776.00
EXXON MOBIL CORP 69,000 0.08 5,520.00 0.09% 88.96 6,138,156.40
FLEETBOSTON FINANCIAL CORPORATION 62,000 1.32 81,840.00 3.48% 37.91 2,350,477.80
GENENTECH, INC. 31,000 - - 0.00% 45.05 1,396,422.90
GUIDANT CORPORATION 32,000 - - 0.00% 65.29 2,089,215.60
HELLER FINANCIAL, INC. 25,000 0.40 10,000.00 1.52% 26.30 657,415.50
JDS UNIPHASE CORPORATION 170,000 - - 0.00% 70.58 11,999,266.90
KIMBERLY-CLARK CORPORATION 62,000 1.12 69,440.00 1.66% 67.63 4,192,956.65
KINDER MORGAN, INC. 61,000 0.20 12,200.00 0.37% 54.09 3,299,641.00
LENNAR CORPORATION 26,000 0.01 260.00 0.02% 43.67 1,135,310.80
MEDTRONIC, INC. 60,000 - - 0.00% 51.50 3,090,276.20
MOODY'S CORPORATION 30,000 0.04 1,200.00 0.12% 33.02 990,647.84
NABORS INDUSTRIES, INC. 92,000 0.24 22,080.00 0.44% 54.57 5,020,324.92
NATIONAL-OILWELL, INC. 53,000 - - 0.00% 38.80 2,056,240.40
NOBLE DRILLING CORPORATION 108,000 - - 0.00% 44.90 4,849,413.68
OXFORD HEALTH PLANS, INC. 32,000 - - 0.00% 27.64 884,553.60
PHARMACEUTICAL PRODUCT DEVELOPMENT, INC 31,000 - - 0.00% 48.10 1,491,164.60
QUAKER OATS COMPANY 23,000 - - 0.00% 71.80 1,651,386.30
QUALCOMM INCORPORATED 31,000 - - 0.00% 75.50 2,340,500.00
QUANTA SERVICES, INC. 34,000 - - 0.00% 33.90 1,152,685.24
SANTA FE INTERNATIONAL CORPORATION 98,000 0.13 12,740.00 0.38% 34.58 3,389,123.50
SCHOLASTIC CORPORATION 55,000 - - 0.00% 41.41 2,277,546.90
SEI INVESTMENTS COMPANY 54,000 0.10 5,400.00 0.18% 56.24 3,037,217.30
SEITEL, INC 138,000 - - 0.00% 18.69 2,579,823.57
SOLECTRON 54,000 - - 0.00% 41.95 2,265,537.40
SYMANTEC CORPORATION 40,000 - - 0.00% 56.58 2,263,120.00
TENET HEALTHCARE CORPORATION 47,000 - - 0.00% 38.14 1,792,475.00
TXU CORP 77,000 2.40 184,800.00 5.84% 41.09 3,163,685.74
UNITED RENTALS, INC 26,000 - - 0.00% 21.75 565,450.60
VALERO ENERGY CORPORATION 33,000 0.32 10,560.00 0.64% 50.03 1,650,970.20
VISHAY INTERTECHNOLOGY INC 99,000 - - 0.00% 22.63 2,240,340.30
WILLIAMS COMPANIES, INC. 30,000 0.60 18,000.00 1.41% 42.47 1,274,127.00
TOTAL COMMON STOCK ACQUIRED 636,140.00 0.01 121,320,068.37
COMMON STOCK ACQUIRED
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
JULY 1, 2000 THROUGH JUNE 30, 2001
Page 45
Purchase
Name Coupon Maturity Price Book Cost
BRIDGE FINANCIAL
BRIDGE FINANCIAL-DYNAMITE MTN. RANCH 12.750 04/30/02 100.00 101,130.05
BRIDGE FINANCIAL-LAKE PLEASANT 14.000 09/15/01 100.00 396,000.00
BRIDGE FINANCIAL-LAKE PLEASANT HEIGHTS 12.000 11/11/01 100.00 264,000.00
BRIDGE FINANCIAL-VILLAGE AT HASSAYAMPA 12.000 11/11/01 100.00 303,000.00
TOTAL BRIDGE FINANCIAL ACQUIRED 1,064,130.05
MISCELLANEOUS
CENTURY PLAZA HOTEL 2,882,250.00
NXTV, LLC 364,500.00
PIVOTAL 650, LLC 1,471,500.00
PIVOTAL PROMONTORY 1,417,500.00
SPA AT RED CANYON 218,025.00
TOTAL MISCELLANEOUS ACQUIRED 6,353,775.00
TOTAL OTHER INVESTMENTS ACQUIRED 7,417,905.05
STATE OF ARIZONA
OTHER INVESTMENTS ACQUIRED
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
JULY 1, 2000 THROUGH JUNE 30, 2001
Page 46
Accrued Amortized
Security Coupon Maturity Par Value Sale Price Interest Principal Cost Gain or (Loss) Amount Due
9,546,635.78 9,546,635.78
CORPORATE BONDS
AMERICAN SAVINGS MORTGAGE CORP 8.450 05/25/08 167,526.39 100.00000 - 167,526.39 167,526.39 - 167,526.39
FUND AMERICA ENTERPRISES 7.750 02/01/03 1,000,000.00 100.39180 16,361.00 1,003,918.00 1,041,520.00 37,602.00 1,020,279.00
LEHMAN BROTHERS HOLDINGS 8.500 05/01/07 1,000,000.00 104.00540 16,055.56 1,040,054.00 1,073,400.00 33,346.00 1,056,109.56
SECURITY NATIONAL MORTGAGE 7.870 08/25/30 13,525.40 100.00000 - 13,525.40 13,525.40 - 13,525.40
TOTAL CORPORATE BONDS 2,181,051.79 32,416.56 2,225,023.79 2,295,971.79 70,948.00 2,257,440.35
TOTAL BONDS SOLD 2,181,051.79 32,416.56 11,771,659.57 11,842,607.57 70,948.00 2,257,440.35
STATE OF ARIZONA
SALES AND REDEMPTION OF INVESTMENTS
JULY 1, 2000 THROUGH JUNE 30, 2001
TOTAL FEDERAL AGENCY OBLIGATIONS
Detailed information for the redemptions of Federal Agency Obligations are too lengthy to include in this report; therefore, only totals are given.
FEDERAL AGENCY OBLIGATIONS
CORRECTIONS OFFICER RETIREMENT PLAN
BONDS SOLD
Page 47
Page 1 of 2
Shares Sale Gain (Loss) % Gain
Company Sold Price Amount + SEC Fee Net Amount Book Cost on Sale on Sale
ABBOTT LABORATORIES 19,000 49.12 933,226.80 981.11 932,245.69 563,162.73 369,082.96 65.54%
AMERICA ONLINE 80,000 53.39 4,271,007.20 4,142.38 4,266,864.82 3,089,155.49 1,177,709.33 38.12%
AMERICAN EXPRESS 70,000 44.05 3,083,238.70 3,602.80 3,079,635.90 2,464,652.50 614,983.40 24.95%
AMGEN 30,000 70.51 2,115,384.00 70.52 2,115,313.48 1,172,613.03 942,700.45 80.39%
AOL TIME WARNER 115,000 43.52 5,004,755.90 5,916.83 4,998,839.07 5,265,272.04 (266,432.97) -5.06%
APPLIED MATERIALS 11,000 69.43 763,676.20 25.47 763,650.73 192,846.06 570,804.67 295.99%
AT&T CORP 90,000 31.01 2,790,830.00 4,593.05 2,786,236.95 3,732,683.10 (946,446.15) -25.36%
BANK OF AMERICA CORPORATION 78,000 49.60 3,868,935.67 4,028.99 3,864,906.68 4,766,268.30 (901,361.62) -18.91%
BESTFOODS 30,000 69.50 2,085,000.00 1,569.50 2,083,430.50 1,160,884.29 922,546.21 79.47%
BP AMOCO PLC 124,400 51.27 6,377,505.86 6,432.61 6,371,073.25 6,748,595.70 (377,522.45) -5.59%
BRISTOL-MYERS SQUIBB CO. 130,000 54.73 7,114,376.60 6,737.16 7,107,639.44 7,136,333.04 (28,693.60) -0.40%
CITIGROUP 1 18.74 18.74 - 18.74 - 18.74 0.00%
COMPUTER ASSOCIATES INTL. INC 50,706 24.05 1,219,352.81 2,575.95 1,216,776.86 1,619,278.50 (402,501.64) -24.86%
COSTCO WHOLESALE CORP 272,000 36.21 9,849,327.88 328.38 9,848,999.50 9,263,684.88 585,314.62 6.32%
ECHOSTAR COMMUNICATIONS 'A' 109,000 27.49 2,995,892.96 2,349.89 2,993,543.07 5,181,901.27 (2,188,358.20) -42.23%
EMC CORP 58,000 87.20 5,057,374.80 3,068.59 5,054,306.21 553,553.16 4,500,753.05 813.07%
GENENTECH, INC. 32,000 62.57 2,002,192.00 1,666.74 2,000,525.26 2,174,844.80 (174,319.54) -8.02%
HOME DEPOT 31,000 44.87 1,390,929.70 1,596.37 1,389,333.33 399,831.23 989,502.10 247.48%
IBP, INC. 198,000 25.66 5,081,291.54 10,069.42 5,071,222.12 3,239,446.50 1,831,775.62 56.55%
IMS HEALTH, INC. 60,000 17.51 1,050,427.60 3,035.04 1,047,392.56 1,888,014.78 (840,622.22) -44.52%
INTEL CORPORATION 21,000 64.70 1,358,693.70 45.29 1,358,648.41 448,198.97 910,449.44 203.14%
JABIL CIRCUIT 16,000 28.61 457,772.80 815.26 456,957.54 331,657.28 125,300.26 37.78%
MCDATA CORP CLASS A 12,147 26.52 322,152.50 618.04 321,534.46 68,974.63 252,559.83 366.16%
MEDTRONIC, INC. 154,000 44.21 6,808,679.54 7,926.99 6,800,752.55 7,658,181.10 (857,428.55) -11.20%
MICROSOFT CORPORATION 65,000 57.41 3,731,453.67 1,474.41 3,729,979.26 5,247,761.49 (1,517,782.23) -28.92%
NOKIA CORPORATION 56,000 43.28 2,423,954.80 2,880.81 2,421,073.99 1,007,219.16 1,413,854.83 140.37%
NORTEL NETWORKS CORP 201,000 14.63 2,940,414.85 10,148.04 2,930,266.81 3,167,527.79 (237,260.98) -7.49%
PFIZER INC. 90,000 43.23 3,891,034.80 4,629.71 3,886,405.09 1,842,689.26 2,043,715.83 110.91%
PPG INDUSTRIES 45,000 38.41 1,728,574.60 2,307.63 1,726,266.97 2,450,202.46 (723,935.49) -29.55%
QUAKER OATS COMPANY 23,000 97.00 2,231,096.60 1,224.37 2,229,872.23 1,651,386.30 578,485.93 35.03%
QUALCOMM INCORPORATED 31,000 62.26 1,929,979.40 64.34 1,929,915.06 2,340,500.00 (410,584.94) -17.54%
RAINBOW MEDIA GROUP 53,000 22.96 1,216,860.46 2,690.58 1,214,169.88 861,433.35 352,736.53 40.95%
ROPER INDUSTRIES, INC. 56,000 28.12 1,574,568.45 2,852.51 1,571,715.94 1,992,132.24 (420,416.30) -21.10%
SANMINA CORP. 40,000 48.22 1,928,798.99 64.31 1,928,734.68 1,299,813.32 628,921.36 48.39%
SBC COMMUNICATIONS INC. 72,500 42.24 3,062,753.75 3,727.10 3,059,026.65 3,909,953.50 (850,926.85) -21.76%
SCHERING-PLOUGH CORP 65,000 37.71 2,451,463.30 3,331.73 2,448,131.57 884,172.36 1,563,959.21 176.88%
SUN MICROSYSTEMS, INC 90,000 15.88 1,428,878.00 3,247.64 1,425,630.36 3,712,170.04 (2,286,539.68) -61.60%
TARGET CORP 44,000 38.60 1,698,545.20 2,256.62 1,696,288.58 1,265,227.14 431,061.44 34.07%
TEXACO INC. 110,000 68.63 7,549,190.80 5,751.66 7,543,439.14 7,025,570.50 517,868.64 7.37%
Commission
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
JULY 1, 2000 THROUGH JUNE 30, 2001
COMMON STOCK SOLD
SALES AND REDEMPTION OF INVESTMENTS
Page 48
Page 2 of 2
Shares Sale Gain (Loss) % Gain
Company Sold Price Amount + SEC Fee Net Amount Book Cost on Sale on Sale
Commission
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
JULY 1, 2000 THROUGH JUNE 30, 2001
COMMON STOCK SOLD
SALES AND REDEMPTION OF INVESTMENTS
UNIVISION COMMUNICATIONS 41,800 89.42 3,737,665.74 2,214.62 3,735,451.12 1,286,104.40 2,449,346.72 190.45%
VERIZON COMMUNICATIONS 52,460 43.78 2,296,736.95 2,699.58 2,294,037.37 1,899,525.00 394,512.37 20.77%
VODAFONE GROUP PLC 47,000 35.32 1,660,098.80 2,405.34 1,657,693.46 969,417.11 688,276.35 71.00%
WALGREEN COMPANY 22,000 31.58 694,846.40 1,123.17 693,723.23 119,116.24 574,606.99 482.39%
WILLIAMS COMMUNICATION GROUP 1 0.45 0.45 - 0.45 0.45 - 0.00%
XIRCOM, INC. 120,000 25.00 3,000,000.00 - 3,000,000.00 4,154,020.50 (1,154,020.50) -27.78%
ZEBRA TECHNOLOGIES A 100,000 40.58 4,057,864.98 1,385.29 4,056,479.69 2,896,605.30 1,159,874.39 40.04%
TOTAL STOCK SOLD 3,216,015 131,236,824.49 128,675.84 131,108,148.65 119,102,581.29 12,005,567.36 10.08%
Page 49
Name Coupon Maturity Sale Price Book Cost
BRIDGE FINANCIAL
BRIDGE FINANCIAL-DESERT MIRAGE GC 11.500 12/10/00 100.00 234,000.00
BRIDGE FINANCIAL-HAWTHORN SUITES 12.500 07/11/01 100.00 480,000.00
BRIDGE FINANCIAL-LAKE PLEASANT 14.000 09/15/01 100.00 1,896,000.00
BRIDGE FINANCIAL-LAKE PLEASANT HEIGHTS 12.000 11/11/01 100.00 264,000.00
BRIDGE FINANCIAL-SUN VALLEY II (SPURLOCK) 13.125 09/17/99 100.00 342,600.00
BRIDGE FINANCIAL-VILLAGE AT HASSAYAMPA 12.000 11/11/01 100.00 339,188.98
TOTAL BRIDGE FINANCIAL SOLD 3,555,788.98
TOTAL OTHER INVESTMENTS SOLD 3,555,788.98
STATE OF ARIZONA
OTHER INVESTMENTS SOLD
CORRECTIONS OFFICER RETIREMENT PLAN
JULY 1, 2000 THROUGH JUNE 30, 2001
SALES AND REDEMPTION OF INVESTMENTS
Page 50
Page 1 of 4
Book Current Current Gain or Annual Book
Par Value Security Cpn Maturity Book Cost Price Price Value (Loss) Income Yield YTM
4,000,000.00 U.S. TREASURY BOND 9.125 05/15/09 4,001,743.12 100.04358 111.59400 4,463,760.00 462,016.88 365,000.00 9.12 7.19
1,000,000.00 U.S. TREASURY BOND 7.500 11/15/16 963,392.68 96.33927 116.50000 1,165,000.00 201,607.32 75,000.00 7.78 5.87
3,000,000.00 U.S. TREASURY BOND 9.125 05/15/18 3,000,000.00 100.00000 134.56200 4,036,860.00 1,036,860.00 273,750.00 9.13 5.88
2,000,000.00 U.S. TREASURY BOND 8.125 08/15/19 2,001,653.23 100.08266 124.51500 2,490,300.00 488,646.77 162,500.00 8.12 5.90
1,000,000.00 U.S. TREASURY BOND 8.000 11/15/21 1,000,000.00 100.00000 124.56200 1,245,620.00 245,620.00 80,000.00 8.00 5.92
2,000,000.00 U.S. TREASURY NOTE 7.500 11/15/01 2,010,484.42 100.52422 101.35900 2,027,180.00 16,695.58 150,000.00 7.46 0.00
13,000,000.00 99.82518 2,451,446.55 1,106,250.00 8.52
47,252.66 GNMA Pool #136472 9.000 04/15/16 45,392.07 96.06247 107.77300 50,925.61 5,533.54 4,252.74 9.37 7.74
62,943.47 GNMA Pool #148586 9.000 04/15/16 60,465.06 96.06248 108.12400 68,057.00 7,591.94 5,664.91 9.37 7.68
494,837.19 GNMA Pool #173878 9.000 08/15/16 489,579.51 98.93749 108.12400 535,037.76 45,458.25 44,535.35 9.10 7.70
267,723.40 GNMA Pool #174481 9.000 07/15/16 259,273.37 96.84375 108.12400 289,473.25 30,199.88 24,095.11 9.29 7.70
599,416.75 GNMA Pool #176431 9.000 08/15/16 580,310.37 96.81250 108.12400 648,113.37 67,803.00 53,947.51 9.30 7.70
238,579.80 GNMA Pool #184656 9.000 12/15/16 231,049.65 96.84376 108.12400 257,962.02 26,912.37 21,472.18 9.29 7.73
238,868.53 GNMA Pool #185289 9.000 09/15/19 232,448.93 97.31250 107.74900 257,378.45 24,929.52 21,498.17 9.25 7.91
29,955.37 GNMA Pool #186088 9.000 08/15/17 29,243.95 97.62507 108.12400 32,388.94 3,144.99 2,695.98 9.22 7.76
128,417.38 GNMA Pool #190095 9.000 12/15/16 121,876.12 94.90625 108.12400 138,850.01 16,973.89 11,557.56 9.48 7.73
119,496.79 GNMA Pool #202505 9.000 10/15/19 116,845.44 97.78124 107.74900 128,756.60 11,911.16 10,754.71 9.20 7.92
186,480.69 GNMA Pool #217956 10.000 11/15/17 184,389.67 98.87869 111.00000 206,993.57 22,603.90 18,648.07 10.11 8.32
145,003.05 GNMA Pool #226529 9.000 06/15/18 133,448.12 92.03125 108.12400 156,783.10 23,334.98 13,050.27 9.78 7.81
39,088.97 GNMA Pool #232237 9.000 01/15/20 38,050.67 97.34375 107.74900 42,117.97 4,067.30 3,518.01 9.25 7.93
43,531.95 GNMA Pool #234937 9.000 03/15/18 40,212.65 92.37503 108.12400 47,068.49 6,855.84 3,917.88 9.74 7.79
256,897.05 GNMA Pool #238600 10.000 11/15/17 255,211.17 99.34375 111.00000 285,155.73 29,944.56 25,689.71 10.07 8.32
48,077.65 GNMA Pool #238840 9.000 05/15/18 44,561.99 92.68754 108.12400 51,983.48 7,421.49 4,326.99 9.71 7.80
49,461.68 GNMA Pool #248951 9.000 05/15/18 46,741.33 94.50009 108.12400 53,479.95 6,738.62 4,451.55 9.52 7.80
36,948.00 GNMA Pool #252056 9.000 06/15/18 35,908.86 97.18756 108.12400 39,949.66 4,040.80 3,325.32 9.26 7.81
287,361.48 GNMA Pool #256195 9.000 08/15/18 271,915.82 94.62501 108.12400 310,706.73 38,790.91 25,862.53 9.51 7.82
46,799.87 GNMA Pool #263385 9.000 11/15/18 44,745.09 95.60943 108.12400 50,601.89 5,856.80 4,211.99 9.41 7.83
24,586.72 GNMA Pool #274245 9.000 04/15/19 22,627.47 92.03127 107.74900 26,491.94 3,864.47 2,212.80 9.78 7.90
25,671.87 GNMA Pool #277836 9.000 09/15/19 24,067.39 93.75005 107.74900 27,661.18 3,593.79 2,310.47 9.60 7.91
66,269.70 GNMA Pool #285597 9.000 03/15/20 63,246.15 95.43751 107.12400 70,990.75 7,744.60 5,964.27 9.43 8.01
252,202.50 GNMA Pool #285803 9.000 03/15/20 240,932.20 95.53125 107.12400 270,169.41 29,237.21 22,698.23 9.42 8.01
30,909.58 GNMA Pool #298952 9.000 04/15/21 30,909.58 100.00000 107.24900 33,150.22 2,240.64 2,781.86 9.00 8.03
38,807.44 GNMA Pool #303324 9.000 04/15/21 38,807.44 100.00000 107.24900 41,620.59 2,813.15 3,492.67 9.00 8.03
FEDERAL AGENCY OBLIGATIONS
U.S. TREASURY OBLIGATIONS
12,977,273.45 15,428,720.00
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
BOND PORTFOLIO
TOTAL U.S. TREASURY OBLIGATIONS
INVESTMENTS OWNED
JUNE 30, 2001
Page 51
Page 2 of 4
Book Current Current Gain or Annual Book
Par Value Security Cpn Maturity Book Cost Price Price Value (Loss) Income Yield YTM
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
BOND PORTFOLIO
INVESTMENTS OWNED
JUNE 30, 2001
47,793.21 GNMA Pool #304625 9.000 03/15/21 47,778.30 99.96880 107.24900 51,257.74 3,479.44 4,301.39 9.00 8.03
170,687.98 GNMA Pool #305187 9.000 06/15/21 170,634.62 99.96874 107.24900 183,061.15 12,426.53 15,361.92 9.00 8.04
844,627.94 GNMA Pool #330725 8.000 07/15/22 839,085.08 99.34375 104.84300 885,533.27 46,448.19 67,570.24 8.05 7.39
2,294,531.95 GNMA Pool #375887 7.000 05/15/24 2,146,821.43 93.56250 101.37500 2,326,081.76 179,260.33 160,617.24 7.48 6.84
1,156,184.30 GNMA Pool #377589 7.500 08/15/25 1,152,932.54 99.71875 102.68700 1,187,250.97 34,318.43 86,713.82 7.52 7.20
1,035,587.87 GNMA Pool #386038 7.000 06/15/24 971,996.29 93.85937 101.37500 1,049,827.20 77,830.91 72,491.15 7.46 6.84
857,523.32 GNMA Pool #389845 8.000 09/15/24 842,248.67 98.21875 104.21900 893,702.23 51,453.56 68,601.87 8.15 7.50
1,619,819.69 GNMA Pool #398831 8.000 08/15/26 1,617,288.71 99.84375 103.71800 1,680,044.59 62,755.88 129,585.58 8.01 7.58
720,598.08 GNMA Pool #403979 8.500 10/15/24 708,325.33 98.29687 105.25000 758,429.48 50,104.15 61,250.84 8.65 7.87
942,895.61 GNMA Pool #421711 7.500 04/15/26 941,717.00 99.87500 102.65600 967,938.92 26,221.92 70,717.17 7.51 7.20
1,473,013.09 GNMA Pool #427556 7.500 03/15/26 1,468,640.18 99.70313 102.65600 1,512,136.32 43,496.14 110,475.98 7.52 7.20
2,376,916.63 GNMA Pool #432701 8.000 06/15/26 2,376,916.63 100.00000 103.71800 2,465,290.39 88,373.76 190,153.33 8.00 7.58
2,361,486.91 GNMA Pool #434101 7.000 12/15/28 2,314,995.13 98.03125 100.90600 2,382,881.98 67,886.85 165,304.08 7.14 6.91
888,165.64 GNMA Pool #434237 6.000 03/15/29 822,524.65 92.60938 96.78100 859,575.59 37,050.94 53,289.94 6.48 6.32
456,373.07 GNMA Pool #439645 8.000 09/15/26 456,087.84 99.93750 103.71800 473,341.02 17,253.18 36,509.85 8.01 7.58
1,805,513.68 GNMA Pool #441619 7.500 11/15/29 1,798,460.89 99.60937 102.53100 1,851,211.23 52,750.34 135,413.53 7.53 7.24
3,455,037.25 GNMA Pool #458918 7.000 08/15/28 3,392,414.70 98.18750 100.90600 3,486,339.89 93,925.19 241,852.61 7.13 6.91
2,722,111.31 GNMA Pool #475872 7.000 07/15/28 2,699,994.16 99.18750 100.90600 2,746,773.64 46,779.48 190,547.79 7.06 6.91
7,114,586.66 GNMA Pool #499876 7.000 06/15/29 7,076,790.41 99.46875 100.87500 7,176,839.29 100,048.88 498,021.07 7.04 6.91
4,847,217.67 GNMA Pool #499905 7.000 05/15/29 4,812,378.27 99.28125 100.87500 4,889,630.82 77,252.55 339,305.24 7.05 6.91
3,528,747.46 GNMA Pool #499907 7.000 05/15/29 3,382,635.26 95.85937 100.95600 3,562,482.29 179,847.03 247,012.32 7.30 6.90
2,592,381.18 GNMA Pool #507496 7.000 06/15/29 2,512,989.49 96.93750 100.87500 2,615,064.52 102,075.03 181,466.68 7.22 6.91
806,215.33 GNMA Pool #510958 7.000 05/15/29 800,420.66 99.28125 100.87500 813,269.71 12,849.05 56,435.07 7.05 6.91
791,130.79 GNMA Pool #512888 7.000 07/15/29 766,902.42 96.93750 100.87500 798,053.18 31,150.76 55,379.16 7.22 6.91
1,765,025.00 GNMA Pool #513367 7.000 08/15/29 1,690,011.45 95.75000 100.95600 1,781,898.64 91,887.19 123,551.75 7.31 6.90
3,995,589.68 GNMA Pool #530611 6.500 05/15/31 3,992,155.97 99.91406 98.90600 3,951,877.93 (40,278.04) 259,713.33 6.51 6.61
5,700,000.00 GNMA Pool #530631 6.500 06/15/31 5,674,617.90 99.55470 98.90600 5,637,642.00 (36,975.90) 370,500.00 6.53 6.61
1,997,424.66 GNMA Pool #539629 6.500 04/15/31 1,989,934.32 99.62500 98.90600 1,975,572.83 (14,361.49) 129,832.60 6.52 6.61
998,082.69 GNMA Pool #548963 6.500 03/15/31 995,587.49 99.75000 98.90600 987,163.67 (8,423.82) 64,875.37 6.52 6.61
1,997,638.42 GNMA Pool #549915 6.500 05/15/31 1,990,147.28 99.62500 98.90600 1,975,784.26 (14,363.02) 129,846.50 6.52 6.61
2,993,384.67 GNMA Pool #560189 6.500 04/15/31 2,985,901.21 99.75000 98.99500 2,963,301.15 (22,600.06) 194,570.00 6.52 6.60
3,960,260.01 GNMA Pool #780076 8.000 02/15/25 3,891,883.57 98.27344 104.21900 4,127,343.38 235,459.81 316,820.80 8.14 7.51
2,277,783.94 GNMA Pool #780220 7.500 08/15/25 2,277,072.16 99.96875 102.84300 2,342,541.34 65,469.18 170,833.80 7.50 7.18
1,231,392.05 GNMA Pool #780896 7.000 11/15/28 1,207,149.01 98.03125 100.90600 1,242,548.46 35,399.45 86,197.44 7.14 6.91
75,631,317.28 TOTAL FEDERAL AGENCY OBLIGATIONS 74,497,699.09 98.50113 76,723,558.51 2,225,859.42 5,432,056.28 7.29
Page 52
Page 3 of 4
Book Current Current Gain or Annual Book
Par Value Security Cpn Maturity Book Cost Price Price Value (Loss) Income Yield YTM
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
BOND PORTFOLIO
INVESTMENTS OWNED
JUNE 30, 2001
CORPORATE BONDS
227,921.46 AMERICAN SAVINGS MORTGAGE CORP 8.450 05/25/08 225,762.57 99.05279 102.76700 234,228.05 8,465.48 19,259.36 8.53 7.92
116,514.95 AUTO BOND RECEIVABLE TRUST 6.400 04/15/01 116,514.95 100.00000 99.87500 116,369.31 (145.64) 7,456.96 6.40 0.00
2,500,000.00 AGL CAPITAL TRUST 8.170 06/01/37 2,545,524.06 101.82096 92.84400 2,321,100.00 (224,424.06) 204,250.00 8.02 8.83
1,530,000.00 AMERICAN UNITED LIFE INS CO 7.750 03/30/26 1,491,258.56 97.46788 88.47300 1,353,636.90 (137,621.66) 118,575.00 7.95 8.91
3,000,000.00 ANTHEM INSURANCE COMPANY 9.125 04/01/10 2,769,738.60 92.32462 100.15600 3,004,680.00 234,941.40 273,750.00 9.88 9.10
8,000,000.00 ANTHEM INSURANCE COMPANY INC 9.000 04/01/27 8,556,750.44 106.95938 92.42400 7,393,920.00 (1,162,830.44) 720,000.00 8.41 9.81
1,000,000.00 AT&T CORPORATES 8.350 01/15/25 1,014,790.20 101.47902 101.36000 1,013,600.00 (1,190.20) 83,500.00 8.23 8.22
1,000,000.00 AXA SA 8.600 12/15/30 1,085,282.93 108.52829 109.85310 1,098,531.00 13,248.07 86,000.00 7.92 7.75
1,000,000.00 BANC ONE CORP 8.000 04/29/27 1,026,202.40 102.62024 107.56700 1,075,670.00 49,467.60 80,000.00 7.80 7.34
2,000,000.00 BANKERS TRUST CORP 144A 8.090 12/01/26 2,000,000.00 100.00000 99.72400 1,994,480.00 (5,520.00) 161,800.00 8.09 8.12
1,500,000.00 COUNTRYWIDE CAPITAL I 8.000 12/15/26 1,500,000.00 100.00000 98.94300 1,484,145.00 (15,855.00) 120,000.00 8.00 8.10
1,000,000.00 DISCOVER CREDIT 9.100 04/13/12 1,000,000.00 100.00000 113.63300 1,136,330.00 136,330.00 91,000.00 9.10 7.28
5,250,000.00 FARMERS INSURANCE EXCHANGE 8.625 05/01/24 4,901,423.08 93.36044 102.15300 5,363,032.50 461,609.42 452,812.50 9.24 8.41
2,000,000.00 FIRST EMPIRE CAPITAL TRUST I 8.234 02/01/27 2,156,052.35 107.80262 95.55400 1,911,080.00 (244,972.35) 164,680.00 7.64 8.67
3,000,000.00 FIRST HAWAIIAN CAPITAL TRUST 8.343 07/01/27 3,165,018.68 105.50062 98.20900 2,946,270.00 (218,748.68) 250,290.00 7.91 8.52
500,000.00 FIRST UNION CAPITAL II 7.950 11/15/29 451,463.17 90.29263 101.48100 507,405.00 55,941.83 39,750.00 8.80 7.82
1,000,000.00 FORD MOTOR COMPANY 9.500 09/15/11 999,581.40 99.95814 116.20500 1,162,050.00 162,468.60 95,000.00 9.50 7.20
2,500,000.00 GENERAL AMERICAN LIFE INSURANCE CO 7.625 01/15/24 2,223,224.35 88.92897 99.84300 2,496,075.00 272,850.65 190,625.00 8.57 7.64
1,000,000.00 GOLDMAN SACHS GROUP INC. 8.000 03/01/13 996,988.04 99.69880 107.57900 1,075,790.00 78,801.96 80,000.00 8.02 7.03
5,000,000.00 GOODRICH CORPORATION 7.100 11/15/27 4,533,825.24 90.67650 89.47900 4,473,950.00 (59,875.24) 355,000.00 7.83 8.07
1,000,000.00 HUNTINGTON BANKS SUB NTS 6.600 06/15/18 911,718.08 91.17181 90.66000 906,600.00 (5,118.08) 66,000.00 7.24 7.59
3,000,000.00 JOHN HANCOCK MUTUAL LIFE INS CO 7.375 02/15/24 2,826,498.12 94.21660 100.16000 3,004,800.00 178,301.88 221,250.00 7.83 7.36
4,000,000.00 JPM CAPITAL TRUST II 7.950 02/01/27 4,169,155.40 104.22889 102.00000 4,080,000.00 (89,155.40) 318,000.00 7.63 7.77
1,000,000.00 KEY CORP CAPITAL III 7.750 07/15/29 953,949.16 95.39492 95.95000 959,500.00 5,550.84 77,500.00 8.12 8.12
1,000,000.00 LEHMAN BROTHERS HOLDINGS INC 8.750 05/15/02 1,005,192.14 100.51921 103.53000 1,035,300.00 30,107.86 87,500.00 8.70 5.09
2,000,000.00 LEHMAN BROTHERS HOLDINGS INC 8.800 03/01/15 2,202,340.50 110.11703 112.76900 2,255,380.00 53,039.50 176,000.00 7.99 7.30
6,000,000.00 LUMBERMANS MUTUAL CASUALTY CO 9.150 07/01/26 6,859,617.36 114.32696 90.89800 5,453,880.00 (1,405,737.36) 549,000.00 8.00 10.16
1,000,000.00 MERRILL LYNCH & COMPANY 8.000 06/01/07 1,000,000.00 100.00000 108.53900 1,085,390.00 85,390.00 80,000.00 8.00 6.27
3,000,000.00 NATIONWIDE MUTUAL INS CO 7.500 02/15/24 2,878,194.20 95.93981 90.85200 2,725,560.00 (152,634.20) 225,000.00 7.82 8.41
2,000,000.00 OHIO NATIONAL LIFE INSURANCE 8.500 05/15/26 1,996,220.68 99.81103 96.88200 1,937,640.00 (58,580.68) 170,000.00 8.52 8.81
1,000,000.00 OKLAHOMA GAS & ELECTRIC 6.500 04/15/28 835,170.54 83.51705 85.85800 858,580.00 23,409.46 65,000.00 7.78 7.76
2,000,000.00 PMI CAPITAL 8.309 02/01/27 2,059,926.92 102.99635 94.89400 1,897,880.00 (162,046.92) 166,180.00 8.07 8.82
2,000,000.00 PRINCIPAL MUTUAL LIFE INSURANCE CO 7.875 03/01/24 1,909,761.76 95.48809 95.57200 1,911,440.00 1,678.24 157,500.00 8.25 8.31
1,000,000.00 PRUDENTIAL INSURANCE CO OF AMERICA 8.300 07/01/25 981,116.27 98.11163 106.40000 1,064,000.00 82,883.73 83,000.00 8.46 7.71
3,000,000.00 ROCKWELL INTERNATIONAL 6.700 01/15/28 2,723,220.38 90.77401 90.65200 2,719,560.00 (3,660.38) 201,000.00 7.38 7.52
2,500,000.00 SAFECO CAPITAL TRUST 8.072 07/15/37 2,515,817.82 100.63271 83.19100 2,079,775.00 (436,042.82) 201,800.00 8.02 9.77
Page 53
Page 4 of 4
Book Current Current Gain or Annual Book
Par Value Security Cpn Maturity Book Cost Price Price Value (Loss) Income Yield YTM
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
BOND PORTFOLIO
INVESTMENTS OWNED
JUNE 30, 2001
1,000,000.00 SEARS ROEBUCK & CO. 9.375 11/01/11 1,000,000.00 100.00000 114.46100 1,144,610.00 144,610.00 93,750.00 9.38 7.37
2,000,000.00 SECURITY MUTUAL LIFE NEW YORK 9.375 12/15/16 2,211,364.39 110.56822 102.40000 2,048,000.00 (163,364.39) 187,500.00 8.48 9.08
1,986,474.60 SECURITY NATIONAL MORTGAGE LOAN 7.870 08/25/30 1,986,474.60 100.00000 103.13400 2,048,730.71 62,256.11 156,335.55 7.87 7.60
1,000,000.00 SOUTHERN COMPANY CAPITAL TRUST 8.190 02/01/37 1,075,963.16 107.59632 94.43100 944,310.00 (131,653.16) 81,900.00 7.61 8.70
1,000,000.00 TYCO INTERNATIONAL GROUP 6.875 01/15/29 902,545.48 90.25455 93.03000 930,300.00 27,754.52 68,750.00 7.62 7.48
2,000,000.00 UNION CENTRAL LIFE 8.200 11/01/26 2,022,834.68 101.14173 87.08600 1,741,720.00 (281,114.68) 164,000.00 8.11 9.56
1,000,000.00 US WEST COMMUNICATIONS 7.500 06/15/23 952,790.57 95.27906 93.22600 932,260.00 (20,530.57) 75,000.00 7.87 8.17
2,000,000.00 USF&G CAPITAL II, SERIES B 8.470 01/10/27 2,196,844.32 109.84222 101.63200 2,032,640.00 (164,204.32) 169,400.00 7.71 8.32
3,275,000.00 XEROX CAPITAL TRUST I CAP SEC. 8.000 07/01/27 3,445,216.41 105.19745 44.00000 1,441,000.00 (2,004,216.41) 262,000.00 7.60 18.42
93,885,911.01 100.52769 (4,980,135.49) 7,697,114.37 8.16
182,517,228.29 181,856,306.50 99.63789 (302,829.52) 14,235,420.65 7.83
TOTAL CORPORATE BONDS 94,381,333.96 89,401,198.47
BOND PORTFOLIO TOTALS 181,553,476.98
Page 54
Date Interest Maturity Amount of Maturity
Acquired Description Rate Date Cost Interest Value
6/27/2001 TRANSAMERICA ASSET FUNDING 3.79 7/2/2001 1,998,947.22 1,052.78 2,000,000.00
6/29/2001 NEPTUNE FUNDING 4.35 7/2/2001 1,999,275.00 725.00 2,000,000.00
6/29/2001 BELFORD FUNDING COMPANY LLC 4.33 7/2/2001 1,999,278.33 721.67 2,000,000.00
6/29/2001 DEALERS CAPITAL ACCEPTANCE 4.30 7/2/2001 1,999,283.33 716.67 2,000,000.00
6/29/2001 NESTLE CAPITAL CORP 3.98 7/2/2001 1,999,336.67 663.33 2,000,000.00
6/29/2001 LONG LANE MASTER TRUST 4.27 7/2/2001 1,999,288.33 711.67 2,000,000.00
6/29/2001 SUNBELT FUNDING CORP 4.33 7/2/2001 1,007,636.28 363.72 1,008,000.00
6/29/2001 AIR LIQUIDE US 4.05 7/5/2001 1,998,650.00 1,350.00 2,000,000.00
6/29/2001 EXXON PROJECT 3.86 7/5/2001 1,998,713.33 1,286.67 2,000,000.00
TOTAL CORPORATE NOTES 17,000,408.49 7,591.51 17,008,000.00
CORRECTIONS OFFICER RETIREMENT PLAN
CORPORATE NOTES
STATE OF ARIZONA
JUNE 30, 2001
INVESTMENT OWNED
Page 55
Page 1 of 3
Div Book Cost Market Market Annual Gain or (Loss)
Description Rate per Share Book Cost Price Value Income Amount
154,000 ABBOTT LABORATORIES 0.84 29.640 4,564,582.15 48.0000 7,392,000.00 129,360.00 2,827,417.85
106,000 ADOBE SYSTEMS 0.05 34.155 3,620,406.40 47.0000 4,982,000.00 5,300.00 1,361,593.60
31,000 AES CORPORATION - 50.147 1,554,553.90 43.0500 1,334,550.00 - (220,003.90)
131,000 ALLSTATE CORPORATION 0.76 30.121 3,945,857.11 43.9900 5,762,690.00 99,560.00 1,816,832.89
99,000 ALLTEL CORPORATION 1.32 63.475 6,284,071.90 61.2600 6,064,740.00 130,680.00 (219,331.90)
185,000 AMERICAN EXPRESS 0.32 35.209 6,513,724.50 38.8000 7,178,000.00 59,200.00 664,275.50
74,000 AMERICAN GENERAL CORPORATION 0.96 38.669 2,861,502.50 46.4500 3,437,300.00 71,040.00 575,797.50
176,250 AMERICAN INT'L GROUP 0.15 32.459 5,720,867.89 85.0100 14,983,012.50 26,085.00 9,262,144.61
222,000 AMGEN - 39.087 8,677,336.41 60.6800 13,470,960.00 - 4,793,623.59
100,000 ANALOG DEVICES, INC. - 77.776 7,777,626.20 43.2500 4,325,000.00 - (3,452,626.20)
162,000 APACHE CORPORATION 0.14 53.166 8,612,950.00 50.7500 8,221,500.00 22,680.00 (391,450.00)
219,000 APPLIED MATERIALS - 17.531 3,839,389.94 49.1000 10,752,900.00 - 6,913,510.06
128,000 BIOGEN INC - 52.421 6,709,892.91 54.3600 6,958,080.00 - 248,187.09
230,000 BJ SERVICES COMPANY - 38.204 8,787,004.51 29.0000 6,670,000.00 - (2,117,004.51)
153,000 BJ'S WHOLESALE CLUB, INC. - 39.959 6,113,658.34 53.2600 8,148,780.00 - 2,035,121.66
126,000 BROADWING INC. 0.40 25.828 3,254,335.10 24.4500 3,080,700.00 50,400.00 (173,635.10)
170,000 CABLEVISION SYSTEMS CORP - 45.793 7,784,872.96 58.5000 9,945,000.00 - 2,160,127.04
30,000 CHARTER COMMUNICATIONS, INC - 22.223 666,693.00 23.3500 700,500.00 - 33,807.00
520,000 CISCO SYSTEMS - 8.681 4,513,875.23 18.2000 9,464,000.00 - 4,950,124.77
285,333 CITIGROUP, INC. 0.56 43.316 12,359,485.18 52.8400 15,076,995.72 159,786.48 2,717,510.54
290,000 COMCAST CORP. - 32.639 9,465,307.56 43.4000 12,586,000.00 - 3,120,692.44
31,000 CONSTELLATION ENERGY GROUP INC 0.48 43.805 1,357,939.50 42.6000 1,320,600.00 14,880.00 (37,339.50)
93,000 CORNING INCORPORATED 0.24 69.806 6,491,949.70 16.7100 1,554,030.00 22,320.00 (4,937,919.70)
410,500 COVAD COMMUNICATIONS GROUP - 38.663 15,871,207.45 1.0100 414,605.00 - (15,456,602.45)
228,000 CYTYC CORPORATION - 16.400 3,739,091.20 23.0500 5,255,400.00 - 1,516,308.80
24,000 DEVON ENERGY CORPORATION 0.20 57.479 1,379,485.30 52.5000 1,260,000.00 4,800.00 (119,485.30)
60,000 ECHOSTAR COMMUNICATIONS 'A' - 47.540 2,852,422.73 32.4200 1,945,200.00 - (907,222.73)
61,000 EL PASO CORPORATION 0.85 57.474 3,505,925.20 52.5400 3,204,940.00 51,850.00 (300,985.20)
330,000 EMC CORP - 9.335 3,080,551.97 29.2500 9,652,500.00 - 6,571,948.03
220,000 ENRON CORPORATION 0.50 18.830 4,142,668.00 49.1000 10,802,000.00 110,000.00 6,659,332.00
200,000 EXPRESS SCRIPTS - 21.073 4,214,558.06 55.0300 11,006,000.00 - 6,791,441.94
137,647 EXXON MOBIL CORP 0.08 73.868 10,167,645.16 87.3500 12,023,465.45 11,011.76 1,855,820.29
62,000 FLEETBOSTON FINANCIAL CORPORATION 1.32 37.911 2,350,477.80 39.4500 2,445,900.00 81,840.00 95,422.20
31,000 GENENTECH, INC. - 45.046 1,396,422.90 55.1000 1,708,100.00 - 311,677.10
32,000 GUIDANT CORPORATION - 65.288 2,089,215.60 36.0000 1,152,000.00 - (937,215.60)
25,000 HELLER FINANCIAL, INC. 0.40 26.297 657,415.50 40.0000 1,000,000.00 10,000.00 342,584.50
254,000 HOME DEPOT 0.16 12.898 3,276,036.50 46.5500 11,823,700.00 40,640.00 8,547,663.50
Shares
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
AS OF JUNE 30, 2001
COMMON STOCK PORTFOLIO
INVESTMENTS OWNED
Page 56
Page 2 of 3
Div Book Cost Market Market Annual Gain or (Loss)
Shares Description Rate per Share Book Cost Price Value Income Amount
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
AS OF JUNE 30, 2001
COMMON STOCK PORTFOLIO
INVESTMENTS OWNED
349,000 INTEL CORPORATION 0.08 21.343 7,448,640.11 29.2500 10,208,250.00 27,920.00 2,759,609.89
130,000 INTERNATIONAL BUSINESS MACH. 0.56 33.057 4,297,447.90 113.0000 14,690,000.00 72,800.00 10,392,552.10
154,000 JABIL CIRCUIT - 20.729 3,192,201.32 30.8600 4,752,440.00 - 1,560,238.68
170,000 JDS UNIPHASE CORPORATION - 70.584 11,999,266.90 12.5000 2,125,000.00 - (9,874,266.90)
138,000 JP MORGAN CHASE & CO 1.36 35.292 4,870,314.10 44.6000 6,154,800.00 187,680.00 1,284,485.90
92,000 KIMBERLY-CLARK CORPORATION 1.12 53.230 4,897,193.98 55.9000 5,142,800.00 103,040.00 245,606.02
61,000 KINDER MORGAN, INC. 0.20 54.092 3,299,641.00 50.2500 3,065,250.00 12,200.00 (234,391.00)
26,000 LENNAR CORPORATION 0.01 43.666 1,135,310.80 41.7000 1,084,200.00 260.00 (51,110.80)
115,000 LEXMARK INTERNATIONAL GROUP - 72.917 8,385,426.30 67.2500 7,733,750.00 - (651,676.30)
197,000 LSI LOGIC - 38.063 7,498,339.90 18.8000 3,703,600.00 - (3,794,739.90)
190,000 MBNA CORP 0.36 12.895 2,450,107.06 33.0000 6,270,000.00 68,400.00 3,819,892.94
8,580 MCI Group - 33.308 285,784.41 16.1000 138,138.00 - (147,646.41)
60,000 MEDIMMUNE, INC. - 59.457 3,567,406.00 47.2000 2,832,000.00 - (735,406.00)
154,000 MICROSOFT CORPORATION - 80.735 12,433,158.01 73.0000 11,242,000.00 - (1,191,158.01)
30,000 MOODY'S CORPORATION 0.04 33.022 990,647.84 33.5000 1,005,000.00 1,200.00 14,352.16
92,000 NABORS INDUSTRIES, INC. 0.24 54.569 5,020,324.92 37.2000 3,422,400.00 22,080.00 (1,597,924.92)
53,000 NATIONAL-OILWELL, INC. - 38.797 2,056,240.40 26.8000 1,420,400.00 - (635,840.40)
155,000 NEWS CORPORATION 0.06 22.680 3,515,355.23 37.1500 5,758,250.00 8,742.00 2,242,894.77
108,000 NOBLE DRILLING CORPORATION - 44.902 4,849,413.68 32.7500 3,537,000.00 - (1,312,413.68)
180,000 NOKIA CORPORATION 0.21 17.986 3,237,490.14 22.1900 3,994,200.00 37,962.00 756,709.86
43,000 NORTEL NETWORKS CORP 0.15 15.759 677,630.32 9.0300 388,290.00 6,467.20 (289,340.32)
385,000 OFFICEMAX INC. - 13.774 5,303,134.59 3.6900 1,420,650.00 - (3,882,484.59)
32,000 OXFORD HEALTH PLANS, INC. - 27.642 884,553.60 28.6000 915,200.00 - 30,646.40
145,750 PFIZER INC. 0.58 20.474 2,984,132.88 40.0500 5,837,287.50 84,118.74 2,853,154.62
62,000 PHARMACEUTICAL PRODUCT DEVELOPMENT, INC - 24.051 1,491,164.60 30.51