Thirteenth comprehensive annual financial report for the fiscal year ended June 30, 1999

              CORRECTIONS OFFICER RETIREMENT PLAN
A PENSION TRUST FUND OF THE STATE OF ARIZONA
THIRTEENTH COMPREHENSIVE ANNUAL FINANCIAL REPORT
FOR THE FISCAL YEAR ENDED
JUNE 30, 1999
This report was prepared by the staff of the CORP
1020 East Missouri Avenue
Phoenix, Arizona 85014
(602) 255-5575
Fax (602) 255-5572
www.psprs.com
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
THIRTEENTH 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 …………………………………………………………………..… 22
Schedule of Employer Contributions ...................................................................................... 23
Supporting Schedule of Changes in Fund Balance Reserves .......................................................... 24
Supporting Schedule of Administrative and Investment Expenses ...........................................….... 25
Supporting Schedule of Payments to Consultants …………………………………………………...… 25
Supplemental Schedule of Cash Receipts and Cash Disbursements ........................................... 26
Schedule of Changes in Employers' Reserve – Year Ended June 30, 1999
and Unfunded Accrued Normal Costs at June 30, 1998 .......................................................…...
27
Schedule of Changes in Refundable Members’ Reserve Fiscal Year Ended June 30, 1999 .......... 28
INVESTMENT SECTION
Fund Objectives ……………………………………………………………………………………………. 31
Investment Performance Data ................................................................................................…....... 32
Supporting Schedule of Commissions Paid to Brokers ...........................................................…...... 36
Summary of Changes in Investment Portfolio .........................................................................…...... 37
Detailed List of Investments Acquired .....................................................................................…...... 38
Detailed List of Sales and Redemption of Investments ...........................................................…...... 48
Detailed List of Investments Owned .......................................................................................…....... 52
ACTUARIAL SECTION
Actuarial Certification Statement ............................................................................................…........ 65
Actuarial Balance Sheet – All Employers ................................................................................…...... 66
Summary of Valuation Methods and Assumptions ..................................................................…...... 67
Solvency Test ........................................................................................................................……..... 71
Summary of Active Member Data ...........................................................................................…....... 72
Summary of Inactive Member Data .........................................................................................…...... 73
Schedule of Retirants and Beneficiaries……………………………………………………………….… 73
Schedule of Experience Gain / (Loss)……………………���………………………………………….… 74
STATISTICAL SECTION
Schedule of Revenues by Source and Expenses by Type…………………………………………..… 77
Schedule of Benefit Expenses by Type ....................................................................................…..... 78
Summary of Retired Member and Survivor Data ......................................................................…..... 79
Summary of Benefit Increases .................................................................................................…...... 80
Participating Employers ........................................…………………................................................... 81
Summary of Growth of the System ..........................................................................................…...... 82
Earnings Distribution – Fiscal Year Ended June 30, 1999 …………………………………………….. 83
INTRODUCTORY SECTION
CORRECTIONS OFFICER RETIREMENT PLAN
THIRTEENTH COMPREHENSIVE ANNUAL FINANCIAL REPORT
FOR THE FISCAL YEAR ENDED
JUNE 30, 1999
Fund Managers' Report
Letter of Transmittal
Certificate of Achievement for
Excellence in Financial Reporting
The Retirement Board and
Administrative Organization
Organizational Chart
Summary of Plan Provisions
(See Note 1 in Notes to Financial Statements)
Page 2
Page 3
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
The Honorable Jane Dee Hull September 30, 1999
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 Thirteenth Annual
Report of the Corrections Officer Retirement Plan for the year ended June 30, 1999. We are pleased to report that
the Plan is in excellent financial and actuarial condition. Set forth below are some of the record-breaking highlights
for the fiscal year ending June 30, 1999.
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 ten years,
the Plan funding has improved from 69% to over 120%.
During the last year, total plan assets increased from $571,261,375 to $696,231,350—an increase of 21.8%. The
fair value of the total Plan assets was nearly 34% above cost. Benefits paid to retired Corrections Officers and their
beneficiaries for the fiscal year totaled $8,917,450 compared to $6,883,596 for the prior year. The net investment
income totaled $102,169,586 the best total on record and well above last year’s total of $99,003,314. The earnings
provided 71% of the total cost of the Plan compared to 17% provided by the members and only 12% provided by
the employers.
The total rate of return, which includes realized as well as unrealized gains and losses, for the entire fund was
17.60%. The individual rates of return for the stock portfolio and the bond portfolio were 23.69% and 2.26%,
respectively. The Plan continues to outperform the market indexes on a short-term and on a long-term basis. The
net effective yield, which takes into account only realized gains and losses, was 16.23%.
Total administrative and investment expenses increased about 6% from $369,377 last year to $392,683 this year.
Costs have increased only 78% during the past twelve years. This increase is incredibly low since the assets
managed have increased 916% and the Plan membership has increased 107% during this period
We sincerely appreciate the opportunity of serving the State and County Corrections Officers.
Respectfully submitted,
DONALD L. DeMENT/sig
CARMEN TORRIE/sig
Donald L. De Ment, Chairman
PATRICK CANTELME/sig
Carmen Torrie, Member
CAROL SPRINGER/sig
Patrick Cantelme, Member
ROBERT BLENDU/sig
Carol Springer, Member Robert Blendu, Member
Page 4
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
www.psprs.com
September 30, 1999
The Fund Manager
Public Safety Personnel Retirement System
State of Arizona
Phoenix, Arizona
Gentlemen:
There is presented, herewith, the Thirteenth Annual Report of the operation of the Corrections Officer Retirement
Plan, State of Arizona, for the fiscal year ended June 30, 1999. Incorporated in this report are the audited
financial statements from the June 30, 1999, report on examination of Barrows & Schatza, P.L.C., Certified Public
Accountants and auditors for the Plan. Also included is the Actuarial Certification Statement and the Actuarial
Balance Sheet from June 30, 1999, Actuarial Valuation prepared by the Plan's Consulting Actuary, Gabriel,
Roeder, Smith & Company, Consulting Actuaries.
This report has been organized into five sections: the Introductory Section contains general information regarding
the operations of the Corrections Officer Retirement Plan; the Financial Section contains the financial reports and
schedules of the funds administered by the Corrections Officer Retirement Plan; the Investment Section contains
detailed lists of the investment transactions and portfolios of the Plan, along with investment performance; the
Actuarial Section contains actuarial information regarding the funding of the pension trusts, and the Statistical
Section contains 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, but through prudent investment over several years, this
problem has been overcome.
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 Statement of Revenues by Source included with the financial statements
later in this report, the investment earnings totaled a record high of $102,213,967 during the 1998/1999 fiscal
year and provided 71% of the total funding of the Plan. Member contributions made up 17% of total revenue and
employer contributions made up 12% of the total revenues. Please refer to the Statistical Section for a ten-year
history of revenues and expenses.
ADMINISTRATIVE AND INVESTMENT EXPENSES
The 1998/1999 Administrative and Investment Expenses of the Administrative Office totaled $392,683 compared
to $369,377 for the prior year. Costs have risen 78% during the past eleven years. This is a compounded annual
rate of increase of 5.4% over the last eleven years. 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 ten years even though membership and assets managed have increased
substantially during this same period (over 107% and over 916%, respectively).
INVESTMENTS
Since the Plan is well-funded, the 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 10.53% U. S. Government Securities, 12.46% Corporate Bonds, 1.01%
Corporate Notes, 2.05% Other Investments, .07% insured Money Market Funds and 73.88% 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 twelve years and the equity portfolio has
outperformed the applicable Index (NYSE until 98/99, S&P 500 thereafter) in nine of the past twelve years. This
extraordinary performance resulted in a net effective yield of 16.23% and a total rate of return of 17.60% for the
1998/1999 fiscal year. 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 leveling off. It is likely the economy will continue its moderate growth. 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, 1999, is 133.5% 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 2000/2001 fiscal
year will be 1.88% of gross payroll. 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
Page 6
State law provides for an annual benefit increase for retirees or their survivors who are over age fifty-five on the
effective day of the increase and for disability retirees regardless of age. These increases are dependent upon
the production of excess earnings on a portion of the system'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
Cumulative Total - $126.37
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 (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,
1998. The Certificate of Achievement is a prestigious national award recognizing conformance with the highest
standards for preparation of state and local government financial reports.
In order to be awarded a Certificate of Achievement, a government unit must publish an easily readable and
efficiently organized comprehensive annual financial report, whose contents conform to program standards. Such
comprehensive annual financial 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
report continues to conform to the Certificate of Achievement program requirements and we are submitting it to
the Government Finance Officers Association.
SUMMARY
The System's Actuary, Gabriel, Roeder, Smith & Company, summarized the results of the latest Actuarial
Valuation as of June 30, 1999, as follows:
The results of the valuations indicate that Retirement Plan benefit obligations are being funded as incurred.
Current assets are 133.5% of actuarial accrued liabilities. This is an excellent level of accrued funding and
well ahead of schedule. Superior investment returns, over an extended period, have made possible the
excellent actuarial condition of the Retirement Plan, improved benefits for members retiring in the future,
cost-of-living increases to retired members and their beneficiaries without substantial increases in
contribution requirements.
The Plan has made excellent progress during the past thirteen years. Funding has increased from 69% to
133.5%. Investment and administrative expenses increased less than 78% during the past eleven years while total
assets and membership were up 916% and 107% respectively. Employer contribution rates have remained low.
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., C.F.A.
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, 1998
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
Donald L. De Ment
Retired City Clerk
City of Tucson
Member January 2000
Carmen Torrie
Retired Sergeant
Department of Public Safety
Member January 2001
Pat Cantelme
Retired Firefighter
City of Phoenix
Member January 2002
Carol Springer
State Treasurer
State of Arizona
Member January 2000
Robert Blendu
Public Member
Member January 2002
PROFESSIONAL ADVISORS
Standard & Poor’s Investment Counsel
Gabriel, Roeder, Smith & Company Consulting Actuaries
Barrows & Schatza, P.L.C. Auditors
Lieberman, Dodge, Sendrow & Gerding, Ltd. Legal Counsel
ADMINISTRATIVE STAFF
Jack M. Cross, C.P.A., C.F.A. Administrator
Michael H. Ong, J.D. Assistant Administrator
Donald B. Mineer Operations Director
William F. Mulholland, C.P.A. Finance Director
Jared A. Smout Administrative Assistant
Lori A. Boyle Office Manager
LaDawn M. Snodgrass Active Member Supervisor
Sheryl D. Saltsman Benefits Supervisor
Annette L. Jorgensen Administrative Assistant
Lisa A. Guerrero Active Member Clerk
Joann L. Lowey Accountant
Kathleen A. Mattoon Office Specialist
Deborah S. Irwin Accounting Clerk
Lilian L. Leung Benefits Clerk
Eric T. Ellsworth Benefits Clerk
1020 East Missouri
Phoenix, Arizona 85014
Telephone (602) 255-5575
Fax (602) 255-5572
www.psprs.com
Page 9
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
ORGANIZATIONAL CHART
JUNE 30, 1999
THE FUND MANAGER
ADMINISTRATOR
(CIO, Portfolio Manager)
INVESTMENT COUNSEL
(Standard & Poor's)
CONSULTING ACTUARIES
(Gabriel, Roeder, Smith & Co.)
AUDITORS
(Barrows & Schatza, P.L.C.)
FINANCE
DIRECTOR
(Cash Manager)
ASSISTANT
ADMINISTRATOR
LEGAL COUNSEL
(Lieberman, Dodge, Sendrow & Gerding, Ltd.)
OPERATIONS
DIRECTOR
ACTIVE
MEMBER
CLERK
OFFICE ACCOUNTANT
MANAGER
BENEFITS
SUPERVISOR
ACTIVE
MEMBER
SUPERVISOR
ADMINISTRATIVE
ASSISTANT
ACCOUNTING
CLERK
OFFICE
SPECIALIST
BENEFITS
CLERK
ADMINISTRATIVE
ASSISTANT
(Investment Analyst)
BENEFITS
CLERK
Page 10
FINANCIAL SECTION
CORRECTIONS OFFICER RETIREMENT PLAN
THIRTEENTH COMPREHENSIVE ANNUAL FINANCIAL REPORT
FOR THE FISCAL YEAR ENDED
JUNE 30, 1999
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, 1999,
and Unfunded Accrued Normal Costs at June 30, 1998
Schedule of Changes in Refundable Member Reserves
Fiscal Year Ended June 30, 1999
Page 12
Page 13
Phoenix, Arizona
INDEPENDENT AUDITOR'S REPORT
FUND MANAGER
STATE OF ARIZONA PUBLIC SAFETY
PERSONNEL RETIREMENT PLAN
PHOENIX, ARIZONA
We have audited the accompanying statements of plan net assets of the STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN as of June 30,1999 and 1998, and the related,
statements of changes in plan net assets for the years then ended, appearing on pages 14 and 15,
respectively. These financial statements are the responsibility of the Plan'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, 1999 and 1998, and the results of its operations and the changes in fund balances 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 22 and 23, 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 supplementary information, contained on pages 24 to 28, 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 1999 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 3, 1999
Book Cost See Note 2 Book Cost See Note 2
ASSETS
Cash
Receivables:
Members' Contributions $ 990,665 $ 140,056
Employers' Contributions 692,392 111,434
Interest and Dividends 5,039,543 3,508,699
Total Receivables 6,722,600 3,760,189
Investments at Fair value (Note 2):
U.S. Government Securities $ 68,582,937 72,586,724 $ 75,803,494 81,952,441
Corporate Bonds 85,756,458 85,886,788 74,423,007 81,671,002
Corporate Notes 6,993,088 6,993,088 1,999,165 1,999,165
Corporate Stocks 337,174,142 509,408,904 262,157,666 393,669,804
Other Investments 14,166,580 14,166,580 7,968,600 7,968,600
Money Market Account 466,666 466,666 240,174 240,174
Total Investments $ 513,139,871 689,508,750 $ 422,592,106 567,501,186
Total Plan Assets 696,231,350 571,261,375
Collateral Held in Trust for
Securities on Loan 113,607,093 78,812,175
Liability- Collateral Subject to
Return to Borrower (113,607,093) (78,812,175)
Net Assets Held in Trust
for Pension Benefits: $ 696,231,350 $ 571,261,375
Net Asset Reserves
Refundable Members' Reserve $ 106,390,221 $ 93,758,470
Employers' Reserve 547,386,717 461,992,484
Future Benefit Increase Reserve 42,454,412 15,510,421
Total Net Asset Reserves $ 696,231,350 $ 571,261,375
A schedule of funding progress is presented immediately following the financial footnotes.
The accompanying notes are an integral part of these financial statements.
1999 1998
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
STATEMENTS OF PLAN NET ASSETS
AS OF JUNE 30, 1999 AND 1998
Page 14
1999 1998
Additions:
Contributions
Members' Contributions (Notes 1 and 3) $ 24,408,816 $ 21,647,490
Employers' Contributions (Notes 1 and 3) 17,109,704 17,063,015
Total Contributions 41,518,520 38,710,505
Investment Income:
Net Appreciation in Fair Value
of Investments (Note 2) 83,922,290 80,371,594
Interest 12,945,589 13,960,434
Dividends 5,196,938 4,580,034
Securities Lending Activities
Securities Lending Income 6,282,181 $ 6,709,305
Borrower rebates (6,052,726) (6,507,651)
Agents Share of Income (80,305) (70,575)
Net Securities Lending Income (Note 2) 149,150 131,079
102,213,967 99,043,141
Less Investment Expense (44,381) (39,827)
Net Investment Income 102,169,586 99,003,314
Total Additions 143,688,106 137,713,819
Deductions:
Pension and Insurance Benefits (Note 1) 8,917,450 6,883,596
Refunds to Terminated Members (Note 1) 9,043,573 8,416,350
Administrative Expenses 348,302 329,550
Amounts Transferred to Other State-
Sponsored Pension Plans--Net 408,806 460,244
Total Deductions 18,718,131 16,089,740
Net Increase 124,969,975 121,624,079
Net Assets Held In Trust
for Pension Benefits
Beginning of Year, July 1 571,261,375 449,637,296
Ending of Year, June 30 $ 696,231,350 $ 571,261,375
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, 1999 AND 1998
Page 15
Page 16
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999 AND 1998
NOTE 1 - PLAN DESCRIPTION
Organization
The Corrections Officer Retirement Plan (CORP) is an agent multiple-employer public employee retirement system
established by Title 38, Chapter 5, Article 6 of the Arizona Revised Statutes, to provide benefits for prison and jail employees
of certain state 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. Three members are appointed by the Governor and two members are appointed
by the state legislature. Beginning August 6, 1999, the Governor will appoint all members. All members 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, 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, 1999 and 1998, the number of participating local government employer groups was:
1999 1998
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, 1999 and 1998, statewide CORP membership consisted
of:
1999 1998
Retirees and beneficiaries currently
receiving benefits 825 708
Terminated vested employees 165 109
Current employees
Vested 3,906 1,938
Non-vested 6,995 7,633
Total Members 11,891 10,388
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:
SUMMARY OF BENEFITS
Page 17
Eligibility (A.R.S. Section 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 which 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 which 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.
Credited Service (A.R.S. Section 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.
Salary (A.R.S. Section 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.
Average Monthly Salary (A.R.S. Section 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.
Normal Retirement (A.R.S. Section 38-885, Subsection B)
First day of month following 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:
2.5 percent of the member's average monthly salary multiplied by the member's credited service to a maximum
of thirty (30) years. The amount of a member's pension shall not exceed seventy-five percent (75%) of the
member's average monthly salary. (A.R.S. Section 38-885, Subsections C and D)
Accidental Disability Retirement
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 inmate(s), responding to a confrontational situation with inmate(s), 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.
Eligibility for an accidental disability or a total and permanent disability shall be based on medical evidence and
determination by the Local Board. 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. Section 38-
886)
Total and Permanent Disability Retirement
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.
Eligibility for an accidental disability or a total and permanent disability shall be based on medical evidence
and determination by the Local Board. 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. Section 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. Section 38-887)
Page 18
Surviving spouse of a non-retired member; thirty-seven and one-half percent (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.
Section 38-888)
Both surviving spouse pensions commence on first day of month following death of member.
Death Benefits (A.R.S. Section 38-904, Subsection B)
1. If an active or inactive member dies and no pension is payable, the member's beneficiary is entitled to receive two times
his contributions to the CORP. (A.R.S. Section 38-904, Subsection A)
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. Section 38-884 C and E)
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% after 30 days if left on deposit.
Reemployment and Repayment of Contributions (A.R.S. Section 38-884, Subsection F)
A member who terminates and takes a refund of his contributions may elect, upon reemployment within two years with the
same employer in a designated position, to recover his prior credited service if he submits a written election to reinstate the
forfeited credited service within 90 days after reemployment and reimburse the Plan within one year. The amount required
to reinstate the credited service is the amount previously withdrawn plus compound interest, at the rate of the Plan's net
effective yield, from the date of withdrawal to the date of repayment.
A retired member who becomes an employee in a designated position subsequent to retirement shall have his pension
suspended during his reemployment in a designated position and shall not make contributions to the Plan nor accrue
credited service during such re-employment. (A.R.S. Section 38-884, Subsection G)
Transfer Into or Out of Plan (A.R.S. Section 38-901, Subsection B)
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 CORP.
2. Apply for 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 his prior service to this Plan pursuant to the requirements for
transfer between Arizona state retirement systems.
Redemption of Prior Service (A.R.S. section 38-884, subsection G)
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. section 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.
Page 19
Transfer of Contributions (A.R.S. Section 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 Fund. The termination of employment does not constitute a break in service;
however, the period not employed shall not be considered as credited service.
Transfer Between State Retirement Systems (A.R.S. Section 38-921 and Section 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 average normal CORP
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 on July 1 of the current year and have been 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. Section 38-906)
For CORP retirees who have group health and accident insurance coverage provided and administered by the state or
another CORP employer, the CORP will pay up to $95 per month for part of the premium for the retirees' individual coverage
and an additional $80 per month for part of the premium for family health and accident insurance coverage. If the person is
eligible for Medicare, the subsidy is $65. If the dependent is eligible for Medicare, the family subsidy is an additional $50.
State Taxation of Corp Benefits (A.R.S. Sections38-896 and Section 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.
Contributions (A.R.S. Section 38-891, Subsection A)
Each member shall contribute 8.5% of his salary to the Plan on an after-tax basis by payroll deduction. (A.R.S. Section
38-891, Subsection B). Each employer shall contribute a level percent of compensation as determined by actuarial valuation
to ensure proper funding for the Plan.
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 Number 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 Realized Gains used in this calculation totaled $52,462,490
for FYE 1999 and $19,685,436 for FYE 1998.
Investments
CORP investments are reported at Fair Value and at Cost. Fair values are determined as follows. Short-term investments
Page 20
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." In making every
investment, the Fund Manager shall exercise the judgement 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 which, except for bank stocks and insurance
stocks, are either:
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.
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.
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" are not considered securities for
purpose 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 a 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 System is party to a securities lending agreement with a bank. The bank, on behalf of the System, 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 System 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 market value. As of June 30, 1999 and 1998 the fair value of securities
on loan was $110,617,539 and $75,633,424, respectively. The System receives a negotiated fee for its loan activities and
is indemnified for broker default by the securities lending agent. The System participates in a collateral investment pool.
Page 21
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, 1999 are not matched in maturity and have a weighted average maturity of 8 days, 16 days as of June 30, 1998.
The System 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.
During the year ended June 30, 1999, contributions totaling $41,518,520 ($17,109,704 employer and $24,408,816 member)
were made in accordance with contribution requirements determined by an actuarial valuation of the Plan as of June 30,
1997. The employer contributions consisted of $19,856,412 for normal cost less ($2,746,708) for amortization of the assets
in excess of the actuarial accrued liability in aggregate. Employer contributions represented 5.98% of covered payroll.
[6.94% for normal costs and (.96)% for amortization of assets in excess of the actuarial accrued liability in aggregate.]
Member contributions represented 8.50% of covered payroll and is all attributable to normal costs.
During the year ended June 30, 1998, contributions totaling $38,710,505 ($17,063,015 employer and $21,647,490 member)
were made in accordance with contribution requirements determined by an actuarial valuation of the Plan as of June 30,
1996. The employer contributions consisted of $18,607,179 for normal cost less ($1,544,164) for amortization of the assets
in excess of the actuarial accrued liability in aggregate. Employer contributions represented 6.63% of covered payroll.
[7.23% for normal costs and (.60)% for amortization of assets in excess of the actuarial accrued liability in aggregate.]
Member contributions represented 6.65% of covered payroll until July 21, when the rate increased to 8.50% and is 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.
NOTE 5 – YEAR 2000 ISSUE
The year 2000 issue is the result of shortcomings in many electronic data processing systems and other electronic
equipment that may adversely affect the plan’s operations this year.
The Plan has completed an inventory of computer systems and other electronic systems that are necessary to conduct
the plan’s operations, which may be affected by the year 2000 issue. These systems have been tested and validated to
comply with any problems created by the year 2000 issue. The Plan has also conducted tests with its bank to insure that
the bank is 2000 compliant for direct deposit of pension payments.
The Plan’s testing, as well as its bank’s testing, did not indicate any problem with the year 2000 issue. However, until the
year 2000, these efforts cannot be judged as to its success.
Page 22
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
REQUIRED SUPPLEMENTARY INFORMATION
SCHEDULE OF FUNDING PROGRESS
While not any one or two numeric indices can fully describe the financial condition of a retirement system, 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
system'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.
Actuarial
Valuation
Date
Actuarial
Value of
Assets
(a) 2
Actuarial
Accrued
Liability (AAL)
—Entry Age
(b)
Unfunded
(Excess)
AAL (UAAL)
(b-a)
Funded
Ratio
(a/b)
Covered
Payroll
(c)
UAAL as a
Percentage
of Covered
Payroll
((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 90.0 134,520 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)%
* 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 over age fifty-five are dependent upon excess earnings
created by the Fund.
1. Reflects significant plan amendments or assumption changes.
2. 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.
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%, (c) additional projected salary increases ranging from 0.0% to 3.0% per year,
depending on age, attributable to seniority/merit.
Page 23
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
REQUIRED SUPPLEMENTARY INFORMATION
SCHEDULE OF EMPLOYER CONTRIBUTIONS
Employer Contributions
Annual
Year Ended Required Percentage
June 30 Contribution Contributed
1990 $8,250,984 100%
1991 $9,764,220 100%
1992 $9,492,656 100%
1993 $10,099,143 100%
1994 $10,032,668 100%
1995 $10,565,831 100%
1996 $14,371,254 100%
1997 $16,704,445 100%
1998 $17,063,015 100%
1999 $17,109,704 100%
Refundable Future Benefit
Members' Employers' Increase
Reserve Reserve Reserve
Balance -- June 30, 1997 $ 82,948,061 $ 365,333,159 $ 1,356,076
Distribution of Revenues and Expenses:
Members' Contributions 21,647,490
Employers' Contributions 17,063,015
Earnings on Investments Net of Investment Expense 99,003,314
Pension Benefits (6,883,596)
Refunds to Terminated Members (8,416,350)
Administrative Expenses (329,550)
Distribution of Transfers:
Excess Investment Earnings to be used
for Future Benefit Increases (7,939,027) 7,939,027
Earnings on Excess Investment Earnings Acct Assets (296,303) 296,303
Amount Utilized by Benefit Increases Granted 1,391,471 (1,391,471)
Amount Transferred by HB 2496 Second Session 1998 (7,310,486) 7,310,486
Net Transfers to Other State-Sponsored Pension Plans (129,134) (331,110)
Inter-System Transfers -- Member Account
Balances Transferred to Employers' Reserve
due to Retirement (2,291,597) 2,291,597
Balance -- June 30, 1998 $ 93,758,470 $ 461,992,484 $ 15,510,421
Distribution of Revenues and Expenses:
Members' Contributions 24,408,816
Employers' Contributions 17,109,704
Earnings on Investments Net of Investment Expense 102,169,586
Pension Benefits (8,917,450)
Refunds to Terminated Members (9,043,573)
Administrative Expenses (348,302)
Distribution of Transfers:
Excess Investment Earnings to be used
for Future Benefit Increases (26,583,952) 26,583,952
Earnings on Excess Investment Earnings Acct Assets (2,729,834) 2,729,834
Amount Utilized by Benefit Increases Granted 2,369,795 (2,369,795)
Net Transfers to Other State-Sponsored Pension Plans (147,298) (261,508)
Inter-System Transfers -- Employer Account
Balances Transferred for Refund Interest 1,176,827 (1,176,827)
Inter-System Transfers net -- Member Account
Balances Transferred to Employers' Reserve
due to Retirement (3,763,021) 3,763,021
Balance -- June 30, 1999 $106,390,221 $ 547,386,717 $ 42,454,412
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
SUPPORTING SCHEDULE OF CHANGES IN FUND BALANCE RESERVES
FOR THE YEARS ENDED JUNE 30, 1999 AND 1998
Page 24
Administrative Investment Total
Accounting and Auditing Services $ 4,100 $ - $ 4,100
Actuarial Services 35,485 - 35,485
Contractual Services 13,819 1,065 14,884
Educational Expenses 5,193 1,931 7,124
Furniture and Equipment 24,223 2,743 26,966
Investment Equipment - 477 477
Investment Services - 173 173
Occupancy Expenses 15,490 585 16,075
Office Supplies 5,012 409 5,421
Payroll Taxes and Fringe Benefits 29,063 4,937 34,000
Postage Expense 12,582 475 13,057
Printing, Publications and Subscriptions 9,542 127 9,669
Professional Services 13,933 526 14,459
Salaries and Wages 174,750 29,685 204,435
Telephone Expense 4,141 248 4,389
Travel Expense 969 1,000 1,969
$ 348,302 $ 44,381 $ 392,683
Fees Paid
$ (1)
35,485
4,100
14,459
$ 54,044
(1) This Service was provided to the Plan without charge by Standard & Poor's Securities, Inc.
The value of these services is approximately $10,000
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
SUPPORTING SCHEDULE OF ADMINISTRATIVE AND INVESTMENT EXPENSES
FOR THE FISCAL YEAR ENDED JUNE 30, 1999
SUPPORTING SCHEDULE OF PAYMENTS TO CONSULTANTS
Standard & Poor's - Investment Counsel
Gabriel, Roeder, Smith & Company - Consulting Actuaries
Barrows & Schatza, P.L.C. - Auditors
Leiberman, Dodge, Sendrow & Gerding, Ltd. - Legal Counsel
Page 25
1999 1998
RECEIPTS:
Members' Contributions $ 23,558,207 $ 21,610,999
Employers' Contributions 16,528,746 17,063,062
Interest 12,664,499 13,251,234
Dividends 3,951,738 4,743,476
Securities Lending Income 144,596 147,261
Amounts Transferred from Other
State-Sponsored Pension Plans 152,695 201,065
Maturities and Sales of:
U.S. Government Securities 22,117,763 19,487,974
Corporate Bonds 1,526,489 1,542,838
Corporate Notes 920,666,376 828,451,355
Other Investments 3,816,626 848,562
Common Stock 181,828,230 72,791,699
Net Decrease in Money Market Fund - 775,896
Total Receipts: 1,186,955,965 980,915,421
DISBURSEMENTS:
Pension Benefits 8,917,450 6,883,596
Refunds to Terminated Members 9,043,573 8,416,350
Investment and Administrative Expenses 392,683 369,377
Amounts Transferred to Other
State-Sponsored Pension Plans 561,501 661,309
Acquisitions of:
U.S. Government Securities 14,906,495 -
Corporate Bonds 12,808,581 27,720,954
Corporate Notes 925,660,300 818,495,931
Other Investments 10,012,500 7,817,162
Common Stock 204,426,390 110,556,759
Net Increase in Money Market Fund 226,492 -
Total Disbursements: 1,186,955,965 980,921,438
DECREASE IN CASH 0 (6,017)
BEGINNING CASH BALANCES, July 1 - 6,017
ENDING CASH BALANCES, June 30 $ 0 $ -
FOR THE YEARS ENDED JUNE 30, 1999 AND 1998
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
SUPPLEMENTAL SCHEDULE OF
CASH RECEIPTS AND CASH DISBURSEMENTS
Page 26
Unfunded
Accrued
Sys Balances Reserve Contributions Pension Distribution Balances Normal Costs
No. System June 30, 1998 Transfers Received Payment of Earnings June 30, 1999 at June 30, 1998
500 Dept. of Corrections 237,572,527.79 1,201,217.33 11,634,241.36 (6,682,663.17) 49,897,474.05 293,622,797.36 (56,071,063.00)
501 D.Y.T.R. 19,323,151.79 270,865.50 1,865,562.81 (416,661.16) 4,454,848.34 25,497,767.28 (1,768,253.00)
505 Maricopa County 46,926,271.37 685,947.90 2,110,870.86 (1,003,924.70) 9,997,905.60 58,717,071.03 (8,807,391.00)
510 Yuma County 3,511,739.07 10,780.78 217,018.18 (16,053.81) 748,873.55 4,472,357.77 (1,569,310.00)
515 Pima County 16,925,776.71 171,596.66 769,061.06 (577,453.84) 3,563,082.80 20,852,063.39 (3,003,531.00)
520 Apache County 316,648.87 (4,639.59) 27,670.98 0.00 71,311.14 410,991.40 (108,989.00)
525 Cochise County 1,900,413.33 (1,740.54) 58,314.68 (63,353.28) 375,544.62 2,269,178.81 (695,835.00)
530 Coconino County 533,733.78 6,154.86 86,954.88 (4,180.64) 127,493.82 750,156.70 (273,479.00)
535 Mohave County 1,879,092.72 (14,654.32) 78,577.26 (48,562.44) 360,730.50 2,255,183.72 (913,680.00)
540 Santa Cruz County 580,705.94 (13,040.92) 22,128.39 0.00 118,725.40 708,518.81 (352,792.00)
545 Navajo County 629,997.33 24,073.54 53,789.73 (13,286.91) 124,113.16 818,686.85 (275,361.00)
550 Yavapai County 2,493,766.22 (11,875.33) 185,513.39 (91,309.62) 521,380.64 3,097,475.30 (585,480.00)
(15,510,421.00) (42,454,412.00)
TOTAL 317,083,403.92 2,324,685.87 17,109,703.58 (8,917,449.57) 70,361,483.62 371,017,836.42 (74,425,164.00)
Future Benefit Increase Reserve
STATE OF ARIZONA
CORRECTIONS OFFICERS RETIREMENT PLAN
SCHEDULE OF CHANGES IN EMPLOYERS' RESERVE - YEAR ENDED JUNE 30, 1999
AND UNFUNDED ACCRUED NORMAL COSTS AT JUNE 30, 1998
Page 27
Balances Reserve Contributions Withdrawn
Sys No. System June 30, 1998 Transfers Received Members June 30, 1999
500 DEPT OF CORRECTIONS 65,594,436.70 (1,874,386.89) 17,030,964.43 (6,375,713.64) 74,375,300.60
501 D.Y.T.R. 6,797,392.23 (253,675.47) 2,322,764.54 (797,409.14) 8,069,072.16
505 MARICOPA COUNTY C.O.R.P. 13,473,174.24 (353,625.38) 2,900,050.73 (958,888.48) 15,060,711.11
510 YUMA COUNTY C.O.R.P. 985,586.63 (16,341.58) 362,616.01 (133,538.48) 1,198,322.58
515 PIMA COUNTY C.O.R.P. 4,902,382.99 (202,259.37) 1,039,254.25 (440,002.63) 5,299,375.24
520 APACHE COUNTY C.O.R.P. 106,605.34 (3,863.91) 38,684.18 (5,891.26) 135,534.35
525 COCHISE COUNTY C.O.R.P. 416,597.30 0.00 96,760.66 (19,239.15) 494,118.81
530 COCONINO COUNTY C.O.R.P. 181,430.62 (7,515.70) 136,097.68 (46,313.86) 263,698.74
535 MOHAVE COUNTY C.O.R.P. 373,866.75 12,544.23 140,124.79 (137,377.28) 389,158.49
540 SANTA CRUZ COUNTY CORP 153,985.05 (7,514.87) 47,498.12 (29,170.72) 164,797.58
545 NAVAJO COUNT C.O.R.P. 140,933.74 (28,766.04) 73,152.93 (33,740.89) 151,579.74
550 YAVAPAI COUNTY C.O.R.P. 632,078.24 1,913.11 220,847.48 (66,286.98) 788,551.85
TOTAL 93,758,469.83 (2,733,491.87) 24,408,815.80 (9,043,572.51) 106,390,221.25
STATE OF ARIZONA
CORRECTIONS OFFICERS RETIREMENT PLAN
STATEMENT OF CHANGES IN REFUNDABLE MEMBER RESERVES
FISCAL YEAR ENDED JUNE 30, 1999
Page 28
INVESTMENT SECTION
CORRECTIONS OFFICER RETIREMENT PLAN
THIRTEENTH COMPREHENSIVE ANNUAL FINANCIAL REPORT
FOR THE FISCAL YEAR ENDED
JUNE 30, 1999
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
Page 30
Page 31
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
Page 32
Standard & Poor’s Investment
Advisory Services, Inc.
55 Water Street
New York, NY 10041
Tel: (212) 438-9546
Fax: (212) 438-9511
September 8, 1999
The Fund Manager
Corrections Officers’ Retirement Plan
Dear Sirs:
The attached charts and tables depict the investment performance for the Corrections Officers’
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 through 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 outperformed the NYSE
and S&P 500 indices, while the bond portfolio underperformed the Lehman
Government/Corporate Index. The overall fund outperformed two custom benchmarks, each
using a bond and stock index invested the same proportion as the overall fund. The overall fund
has attained a rate of return over the past decade that compares favorably with these custom
indices.
Sincerely,
Kenneth Shea/sig
Kenneth Shea
VP - Director of Equity Research
Fair Total Balanced
FYE Value Contribution Return Index*
06-30-99 $689,508,750 ($174,542) 17.60% 11.94%
06-30-98 567,501,186 22,005,313 21.70% 17.82%
06-30-97 446,443,126 21,485,918 22.73% 16.85%
06-30-96 344,052,534 17,199,563 15.30% 12.99%
06-30-95 282,566,544 13,323,271 17.11% 14.82%
06-30-94 228,725,251 12,344,638 -0.70% -1.03%
06-30-93 218,076,361 14,234,677 8.80% 11.22%
06-30-92 186,696,553 14,047,050 15.68% 11.51%
06-30-91 148,567,837 18,448,295 13.23% 7.19%
06-30-90 113,343,482 12,540,673 11.24% 8.49%
06-30-89 90,034,663 11,245,876 15.21% 13.23%
06-30-88 67,462,178 17,014,108 3.40% -0.33%
06-30-87 48,123,723
Total Fund
3-year 20.65% 15.51%
5-year 18.85% 14.86%
*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.
Balanced Index
Cumulative Return - Total Fund
Corrections Officers
Since 1990, the asset class weightings have been calculated using the average weightings of the quarter's
beginning & ending market values.
Annualized Returns
100
150
200
250
300
350
400
450
500
87 88 89 90 91 92 93 94 95 96 97 98 99
FYE June 30
Index
Total Fund Balanced Index
Page 33
Fair Total NYSE S&P
FYE Value Contribution Return Index 500
06-30-99 $509,408,904 ($10,789,923) 23.69% 11.40% 22.76%
06-30-98 393,669,809 33,176,239 27.23% 27.35% 30.16%
06-30-97 282,295,331 24,625,056 31.78% 28.48% 34.69%
06-30-96 192,410,171 199,911,739 23.35% 23.08% 26.00%
06-30-95 136,792,031 (8,954,375) 22.83% 19.04% 26.06%
06-30-94 120,009,219 9,254,903 -1.14% 1.58% 1.23%
06-30-93 112,232,875 35,940,119 7.37% 11.04% 13.52%
06-30-92 88,979,250 19,472,103 17.41% 10.25% 13.45%
06-30-91 58,385,625 13,099,368 16.48% 4.09% 7.39%
06-30-90 38,044,750 12,336,990 18.39% 9.88% 16.44%
06-30-89 21,228,125 (430,650) 21.75% 15.17% 20.54%
06-30-88 17,925,000 4,678,349 -7.46% -9.70% -6.97%
06-30-87 14,739,500
Total Stocks NYSE S&P 500
3-year 27.52% 22.15% 29.11%
5-year 25.73% 21.71% 27.87%
*Our investment universe is the New York Stock Exchange (NYSE) prior to July 21,1997.
Annualized Returns
Cumulative Return - Stocks
Corrections Officers
100
200
300
400
500
600
87 88 89 90 91 92 93 94 95 96 97 98 99
FYE June 30
Index
Stocks NYSE S&P 500
Page 34
Fair Total
FYE Value Contribution Return Lehman*
06-30-99 $180,099,846 $10,615,381 2.26% 2.69%
06-30-98 173,831,382 (11,170,926) 12.28% 11.08%
06-30-97 164,147,795 (3,139,138) 10.31% 7.75%
06-30-96 151,642,363 (2,712,176) 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 8.20% 7.12%
5-year 8.50% 7.72%
*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.
Annualized Returns
Cumulative Return - Bonds
Corrections Officers
100
150
200
250
300
1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999
FYE June 30
Index
Bonds Lehman
Page 35
Average
Broker Traded Commission Commissions
Covato Lipsitz 340,859 0.050 $ 17,043
ISI Group Inc. 340,500 0.050 17,025
J.W.Garrett 807,000 0.050 40,400
Merrill Lynch 821,000 0.018 14,550
Paine Webber 791,500 0.031 24,600
Prudential Securities 916,500 0.032 29,075
Smith Barney--Phoenix 858,000 0.027 23,550
Smith Barney--Scottsdale 829,100 0.028 23,025
Simon Securities 912,505 0.050 45,625
Standard & Poor's Securities 938,000 0.050 47,150
Total Commissions 7,554,964 0.037 $ 282,043
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, 1999
SUPPORTING SCHEDULE OF COMMISSIONS PAID TO BROKERS
CORRECTIONS OFFICER RETIREMENT PLAN
Page 36
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 4.60% 26,085,160.00 23,085,562.00 0.00 5,009,290.00 (35,610.00) 18,040,662.00 20,284,060.00 2.94%
Federal Agency
Obligations 9.84% 55,867,281.14 52,717,932.46 14,906,495.24 17,082,153.09 0.00 50,542,274.61 52,302,663.76 7.59%
Total U.S. Government
Securities 14.44% 81,952,441.14 75,803,494.46 14,906,495.24 22,091,443.09 (35,610.00) 68,582,936.61 72,586,723.76 10.53%
Corporate Bonds 14.39% 81,671,001.95 74,423,006.59 12,808,580.70 1,397,645.94 (77,483.00) 85,756,458.35 85,886,788.12 12.46%
Total Bond
Portfolio 28.83% 163,623,443.09 150,226,501.05 27,715,075.94 23,489,089.03 (113,093.00) 154,339,394.96 158,473,511.88 22.98%
Corporate Notes 0.35% 1,999,165.00 1,999,165.00 925,660,299.54 920,666,376.20 0.00 6,993,088.34 6,993,088.34 1.01%
Common Stock 69.38% 393,669,803.94 262,157,666.37 204,426,390.13 129,409,915.01 0.00 337,174,141.49 509,408,904.00 73.88%
Other Investments 1.40% 7,968,599.87 7,968,599.87 10,012,500.00 3,814,520.43 0.00 14,166,579.44 14,166,579.44 2.05%
Money Market Account 0.04% 240,174.00 240,174.00 226,492.41 0.00 0.00 466,666.41 466,666.41 0.07%
Total Portfolio 100.0% 567,501,185.90 422,592,106.29 1,168,040,758.02 1,077,379,900.67 (113,093.00) 513,139,870.64 689,508,750.07 100.00%
Balance June 30, 1998 Balance June 30, 1999
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
SUMMARY OF CHANGES IN INVESTMENT PORTFOLIO
FOR THE FISCAL YEAR ENDED JUNE 30, 1999
Page 37
Purchase (Premium) Accrued
Security Coupon Maturity Price Par Value Principal Discount Interest Total Amount Yield
GNMA POOL #499876 7.000 06/15/29 99.46875 8,000,000.00 7,957,500.00 42,500.00 34,222.22 7,991,722.22 7.04%
GNMA POOL #499905 7.000 05/15/29 99.28125 5,999,402.76 5,956,282.02 43,120.74 25,664.10 5,981,946.12 7.05%
GNMA POOL #510958 7.000 05/15/29 99.28125 999,900.00 992,713.22 7,186.78 4,277.35 996,990.57 7.05%
TOTAL FEDERAL AGENCY OBLIGATIONS 14,999,302.76 14,906,495.24 92,807.52 64,163.67 14,970,658.91 7.04%
CORPORATE BONDS
FIRST EMPIRE CAPITAL TRUST I 8.234 02/01/27 108.52800 2,000,000.00 2,170,560.00 (170,560.00) 9,606.33 2,180,166.33 7.59%
JPM CAPITAL TRUST II 7.950 02/01/27 104.61500 4,000,000.00 4,184,600.00 (184,600.00) 32,683.33 4,217,283.33 7.60%
LEHMAN BROTHERS HOLDINGS INC 8.800 03/01/15 111.91104 2,000,000.00 2,238,220.70 (238,220.70) 77,733.33 2,315,954.03 7.86%
SECURITY NATIONAL MORTAGE LOAN 7.870 08/25/30 100.00000 2,000,000.00 2,000,000.00 0.00 0.00 2,000,000.00 7.87%
USF&G CAPITAL II, SERIES B 8.470 01/10/27 110.76000 2,000,000.00 2,215,200.00 (215,200.00) 15,057.78 2,230,257.78 7.65%
TOTAL CORPORATE BONDS 12,000,000.00 12,808,580.70 (808,580.70) 135,080.77 12,943,661.47 7.69%
TOTAL BONDS PURCHASED 26,999,302.76 27,715,075.94 (715,773.18) 199,244.44 27,914,320.38 7.34%
FEDERAL AGENCY OBLIGATIONS
CORRECTIONS OFFICER RETIREMENT PLAN
BONDS ACQUIRED
STATE OF ARIZONA
INVESTMENTS ACQUIRED
JULY 1, 1998 THROUGH JUNE 30, 1999
Page 38
Page 1 of 6
Date Interest Maturity Amount of Maturity
Acquired Description Rate Date Cost Interest Value
06/29/98 KZH-CNC CORP 6.020 07/02/98 999,498.33 501.67 1,000,000.00
07/02/98 MERRILL LYNCH & CO,INC. 5.550 07/08/98 1,998,150.00 1,850.00 2,000,000.00
07/08/98 HERTZ CORP 5.500 07/31/98 996,486.11 3,513.89 1,000,000.00
07/08/98 RELIASTAR MORTGAGE CO 5.520 07/14/98 2,997,240.00 2,760.00 3,000,000.00
07/09/98 DISTRIBUTOR FUNDING 5.530 07/15/98 999,078.33 921.67 1,000,000.00
07/13/98 BANCA CRT FINANCIAL COR 5.550 07/20/98 1,997,841.67 2,158.33 2,000,000.00
07/14/98 TRIDENT CAPITAL FINANCE 5.520 07/23/98 2,995,860.00 4,140.00 3,000,000.00
07/15/98 HERTZ CORP 5.500 07/20/98 999,236.11 763.89 1,000,000.00
07/15/98 ATLANTIC RICHFIELD 5.520 07/23/98 1,997,546.66 2,453.34 2,000,000.00
07/20/98 HALIFAX PLC 5.480 07/24/98 1,998,782.22 1,217.78 2,000,000.00
07/21/98 FLEET FUNDING CORP 5.480 07/24/98 999,543.33 456.67 1,000,000.00
07/23/98 HASBRO INC. 5.540 07/28/98 2,997,691.67 2,308.33 3,000,000.00
07/23/98 MERRILL LYNCH & CO,INC. 5.480 07/28/98 1,998,477.78 1,522.22 2,000,000.00
07/24/98 DUKE CAPITAL CORP 5.520 07/27/98 2,998,620.00 1,380.00 3,000,000.00
07/27/98 FORD MOTOR CREDIT CO. 5.520 07/29/98 2,999,080.00 920.00 3,000,000.00
07/28/98 HALIFAX PLC 5.610 07/30/98 2,999,065.00 935.00 3,000,000.00
07/28/98 EXXON ASSET MANAGEMENT 5.550 07/30/98 1,999,383.33 616.67 2,000,000.00
07/29/98 LEXINGTON PARKER CAP. 5.660 07/31/98 1,260,603.49 396.51 1,261,000.00
07/30/98 GENERAL MOTORS CORP 5.640 08/03/98 2,998,120.00 1,880.00 3,000,000.00
07/31/98 THUNDER BAY FUNDING INC 5.670 08/03/98 999,527.50 472.50 1,000,000.00
08/11/98 UBS FINANCE(DELAWARE) 5.470 08/12/98 1,999,696.11 303.89 2,000,000.00
08/11/98 CONSOLIDATED EDISON CO. 5.500 08/13/98 3,998,777.78 1,222.22 4,000,000.00
08/17/98 KZH-ING-3 5.810 08/18/98 2,999,515.84 484.16 3,000,000.00
08/17/98 FORD MOTOR CREDIT CO. 5.620 08/19/98 2,999,063.33 936.67 3,000,000.00
08/17/98 NEW ENGLAND ELECTRIC 5.650 08/21/98 2,998,116.67 1,883.33 3,000,000.00
08/18/98 DISTRIBUTION FUNDING 5.570 08/20/98 1,999,381.11 618.89 2,000,000.00
08/18/98 NORWEST CORPORATION 5.500 08/31/98 998,013.89 1,986.11 1,000,000.00
08/19/98 EXXON ASSET MANAGEMENT 5.460 08/24/98 1,998,483.33 1,516.67 2,000,000.00
08/21/98 DISTRIBUTION FUNDING 5.500 08/27/98 2,997,250.00 2,750.00 3,000,000.00
08/25/98 NEW ENGLAND ELECTRIC 5.520 08/28/98 999,540.00 460.00 1,000,000.00
08/26/98 TRIPLE A-1 FUNDING 5.590 08/28/98 999,689.44 310.56 1,000,000.00
08/27/98 COUNTRYWIDE HOME LOANS 5.570 08/28/98 1,999,690.55 309.45 2,000,000.00
08/27/98 NEW ENGLAND ELECTRIC 5.560 09/01/98 1,998,455.56 1,544.44 2,000,000.00
08/27/98 FORD MOTOR CREDIT CO. 5.500 09/01/98 1,998,472.22 1,527.78 2,000,000.00
08/28/98 AC ACQUISITION HOLDING 5.500 08/31/98 999,541.67 458.33 1,000,000.00
08/28/98 CAISSE DES DEPOTS 5.580 09/01/98 999,380.00 620.00 1,000,000.00
09/09/98 MONONGHELA POWER CO 5.740 09/10/98 1,999,681.11 318.89 2,000,000.00
09/10/98 POTOMAC ELECTRIC POWER 5.530 09/16/98 1,998,156.67 1,843.33 2,000,000.00
09/15/98 MERRILL LYNCH & CO,INC. 5.560 09/21/98 999,073.33 926.67 1,000,000.00
09/17/98 CENTERIOR FUEL 5.550 09/30/98 997,995.84 2,004.16 1,000,000.00
09/17/98 CARGILL INC. 5.460 09/22/98 1,998,483.33 1,516.67 2,000,000.00
09/21/98 FORD MOTOR CREDIT CO. 5.480 09/24/98 1,999,086.67 913.33 2,000,000.00
09/22/98 HALIFAX PLC 5.510 09/25/98 1,999,081.67 918.33 2,000,000.00
09/24/98 FORD MOTOR CREDIT CO. 5.320 09/29/98 999,261.11 738.89 1,000,000.00
09/25/98 MONTAUK FUNDING CORP 5.400 09/28/98 999,550.00 450.00 1,000,000.00
09/28/98 ENGELHARD CORP 5.500 09/29/98 3,999,388.88 611.12 4,000,000.00
09/30/98 MARKET STREET FUNDING 5.550 10/05/98 2,997,687.50 2,312.50 3,000,000.00
10/01/98 TRIDENT CAPITAL FINANCE 5.350 10/06/98 1,998,513.89 1,486.11 2,000,000.00
10/05/98 SUN BELT-DIX, INC. 5.500 10/13/98 3,995,111.10 4,888.90 4,000,000.00
10/06/98 LEXINGTON PARKER CAP. 5.530 10/15/98 998,617.50 1,382.50 1,000,000.00
10/06/98 TRIDENT CAPITAL FINANCE 5.370 10/30/98 996,420.00 3,580.00 1,000,000.00
10/08/98 BEST FOODS 5.180 10/13/98 1,998,561.11 1,438.89 2,000,000.00
SHORT TERM INVESTMENTS MATURED
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
JULY 1, 1998 THROUGH JUNE 30, 1999
Page 39
Page 2 of 6
Date Interest Maturity Amount of Maturity
Acquired Description Rate Date Cost Interest Value
SHORT TERM INVESTMENTS MATURED
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
JULY 1, 1998 THROUGH JUNE 30, 1999
10/13/98 PREFERRED RECEIVABLES 5.350 10/16/98 2,998,662.50 1,337.50 3,000,000.00
10/13/98 PHH CORPORATION 5.530 10/19/98 2,997,235.00 2,765.00 3,000,000.00
10/15/98 DUKE CAPITAL CORP 5.650 10/16/98 1,999,686.11 313.89 2,000,000.00
10/16/98 EDISON ASSET SECURT. 5.200 10/21/98 2,997,833.33 2,166.67 3,000,000.00
10/16/98 MONTAUK FUNDING CORP 5.250 10/23/98 2,996,937.50 3,062.50 3,000,000.00
10/19/98 CAISSE DES DEPOTS 5.060 10/22/98 2,998,735.00 1,265.00 3,000,000.00
10/20/98 ALLIEDSIGNAL INC. 5.450 10/26/98 999,091.67 908.33 1,000,000.00
10/21/98 CHARTA CORPORATION 5.150 10/26/98 2,997,854.17 2,145.83 3,000,000.00
10/22/98 FORD MOTOR CREDIT CO. 4.970 10/27/98 2,997,929.17 2,070.83 3,000,000.00
10/26/98 MERRILL LYNCH & CO,INC. 4.950 10/29/98 1,999,175.00 825.00 2,000,000.00
10/26/98 THAMES ASSET GLOBAL SEC 5.120 10/30/98 1,998,862.22 1,137.78 2,000,000.00
10/27/98 MOAT 5.320 11/02/98 2,997,340.00 2,660.00 3,000,000.00
10/29/98 COMMERZBANK U.S FINANCE 5.280 11/02/98 1,998,826.67 1,173.33 2,000,000.00
10/30/98 AMSTERDAM FUNDING CORP 5.680 11/03/98 1,998,737.78 1,262.22 2,000,000.00
11/02/98 CINCINNATI BELL INC. 5.550 11/05/98 2,998,612.50 1,387.50 3,000,000.00
11/02/98 COUNTRYWIDE HOME LOANS 5.550 11/05/98 1,999,075.00 925.00 2,000,000.00
11/03/98 HALIFAX PLC 5.380 11/05/98 999,701.11 298.89 1,000,000.00
11/04/98 HERTZ CORP 5.190 11/09/98 1,998,558.33 1,441.67 2,000,000.00
11/05/98 MERRILL LYNCH & CO,INC. 5.050 11/10/98 2,997,895.83 2,104.17 3,000,000.00
11/05/98 EXXON ASSET MANAGEMENT 5.020 11/09/98 1,998,884.44 1,115.56 2,000,000.00
11/06/98 ENTERPRISE FUNDING CORP 5.200 11/30/98 996,533.33 3,466.67 1,000,000.00
11/09/98 USAA CAPITAL CORP 5.090 11/13/98 3,997,737.78 2,262.22 4,000,000.00
11/10/98 HERTZ CORP 5.150 11/17/98 2,996,995.83 3,004.17 3,000,000.00
11/12/98 HALIFAX PLC 5.180 11/17/98 1,998,561.11 1,438.89 2,000,000.00
11/13/98 DUKE CAPITAL CORP 5.300 11/20/98 3,995,877.78 4,122.22 4,000,000.00
11/16/98 MARKET STREET FUNDING 5.670 11/19/98 2,998,582.50 1,417.50 3,000,000.00
11/17/98 CONSOLIDATED COAL CO. 5.620 11/23/98 2,997,190.00 2,810.00 3,000,000.00
11/17/98 QUINCY CAPITAL CORP 5.240 11/23/98 1,998,253.33 1,746.67 2,000,000.00
11/19/98 EAGLE FUNDING 5.020 12/03/98 1,996,095.55 3,904.45 2,000,000.00
11/19/98 NEPTUNE FUNDING 5.050 12/01/98 1,996,633.33 3,366.67 2,000,000.00
11/20/98 DUKE CAPITAL CORP 4.500 11/24/98 1,999,000.00 1,000.00 2,000,000.00
11/20/98 EXXON ASSET MANAGEMENT 4.500 11/25/98 2,998,125.00 1,875.00 3,000,000.00
11/23/98 COOPERATIVE ASSN OF TRA 4.650 11/24/98 4,999,354.17 645.83 5,000,000.00
11/24/98 CONSOLIDATED COAL CO. 5.350 12/01/98 1,997,919.44 2,080.56 2,000,000.00
11/24/98 DUKE CAPITAL CORP 4.980 12/03/98 1,997,510.00 2,490.00 2,000,000.00
11/25/98 AMSTERDAM FUNDING CORP 5.020 12/02/98 2,997,071.67 2,928.33 3,000,000.00
11/30/98 ENGELHARD CORP 5.500 12/01/98 999,847.22 152.78 1,000,000.00
12/01/98 HALIFAX PLC 4.880 12/04/98 1,999,186.67 813.33 2,000,000.00
12/01/98 EXXON ASSET MANAGEMENT 4.870 12/07/98 2,997,565.00 2,435.00 3,000,000.00
12/02/98 GEN. MTRS. ACCEPT. CORP 4.790 12/08/98 2,997,605.00 2,395.00 3,000,000.00
12/03/98 ENGELHARD CORP 4.700 12/04/98 1,999,738.89 261.11 2,000,000.00
12/03/98 HOLLAND LIMITED SECURT. 4.850 12/10/98 1,998,113.89 1,886.11 2,000,000.00
12/04/98 FORD MOTOR CREDIT CO. 4.630 12/09/98 1,998,713.89 1,286.11 2,000,000.00
12/04/98 FORD MOTOR CREDIT CO. 4.680 12/11/98 2,997,270.00 2,730.00 3,000,000.00
12/07/98 DAIMLER-BENZ N. AMERICA 4.720 12/10/98 2,998,820.00 1,180.00 3,000,000.00
12/08/98 FORD MOTOR CREDIT CO. 4.690 12/11/98 1,999,218.33 781.67 2,000,000.00
12/08/98 HALIFAX PLC 4.730 12/14/98 2,997,635.00 2,365.00 3,000,000.00
12/10/98 GEN. MTRS. ACCEPT. CORP 4.750 12/15/98 2,998,020.83 1,979.17 3,000,000.00
12/10/98 RECEIVABLES CAPIT. CORP 4.790 12/16/98 2,997,605.00 2,395.00 3,000,000.00
12/10/98 WORLD OMNI VEH. LEASING 4.800 12/18/98 2,996,800.00 3,200.00 3,000,000.00
12/11/98 ALLIEDSIGNAL INC. 5.000 12/15/98 2,998,333.33 1,666.67 3,000,000.00
12/11/98 BARTON CAPITAL CORP 4.900 12/16/98 1,998,638.89 1,361.11 2,000,000.00
Page 40
Page 3 of 6
Date Interest Maturity Amount of Maturity
Acquired Description Rate Date Cost Interest Value
SHORT TERM INVESTMENTS MATURED
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
JULY 1, 1998 THROUGH JUNE 30, 1999
12/14/98 HALIFAX PLC 5.160 12/17/98 2,998,710.00 1,290.00 3,000,000.00
12/16/98 ENGELHARD CORP 4.930 12/17/98 2,999,589.17 410.83 3,000,000.00
12/16/98 WORLD OMNI VEH. LEASING 4.920 12/18/98 3,998,906.67 1,093.33 4,000,000.00
12/17/98 TRIPLE A-1 FUNDING 4.890 12/23/98 3,996,740.00 3,260.00 4,000,000.00
12/18/98 AMSTERDAM FUNDING CORP 4.850 12/28/98 1,997,305.55 2,694.45 2,000,000.00
12/18/98 FORD MOTOR CREDIT CO. 4.770 12/23/98 1,998,675.00 1,325.00 2,000,000.00
12/21/98 TRIPLE A-1 FUNDING 4.910 12/28/98 999,045.28 954.72 1,000,000.00
12/23/98 FORD MOTOR CREDIT CO. 4.780 12/31/98 1,997,875.55 2,124.45 2,000,000.00
12/23/98 G.E. CAPITAL CORP 4.820 12/31/98 3,995,715.55 4,284.45 4,000,000.00
12/28/98 WINDMILL FUNDING CORP 5.050 12/29/98 2,999,579.17 420.83 3,000,000.00
12/31/98 COOPERATIVE ASSN OF TRA 5.200 01/07/99 2,996,966.67 3,033.33 3,000,000.00
12/31/98 DUKE CAPITAL CORP 5.300 01/06/99 3,996,466.67 3,533.33 4,000,000.00
12/31/98 LUCENT TECHNOLOGIES 4.950 01/06/99 3,996,700.00 3,300.00 4,000,000.00
12/31/98 MDU RESOURCES GROUP 5.350 01/07/99 3,995,838.89 4,161.11 4,000,000.00
12/31/98 THREE RIVERS FUNDING 5.200 01/07/99 3,995,955.56 4,044.44 4,000,000.00
01/04/99 GTE FUNDING INC. 4.940 01/08/99 2,998,353.34 1,646.66 3,000,000.00
01/06/99 COUNTRYWIDE HOME LOANS 4.930 01/29/99 996,850.28 3,149.72 1,000,000.00
01/06/99 DUKE CAPITAL CORP 4.650 01/11/99 3,997,416.67 2,583.33 4,000,000.00
01/06/99 GEN. MTRS. ACCEPT. CORP 4.700 01/13/99 2,997,258.33 2,741.67 3,000,000.00
01/07/99 JOHN HANCOCK CAPITAL CO 4.700 01/14/99 2,997,258.33 2,741.67 3,000,000.00
01/07/99 HOLLAND LIMITED SECURT. 4.680 01/14/99 2,997,270.00 2,730.00 3,000,000.00
01/08/99 TRIPLE A-1 FUNDING 4.680 01/14/99 1,998,440.00 1,560.00 2,000,000.00
01/11/99 COMMONWEALTH BANK AUST. 5.020 01/14/99 3,998,326.67 1,673.33 4,000,000.00
01/13/99 REPUBLIC INDUSTRIES 5.050 01/19/99 1,998,316.67 1,683.33 2,000,000.00
01/14/99 HOLLAND LIMITED SECURT. 4.910 01/21/99 3,996,181.11 3,818.89 4,000,000.00
01/14/99 LEXINGTON PARKER CAP. 4.950 01/19/99 3,997,250.00 2,750.00 4,000,000.00
01/14/99 TRIDENT CAPITAL FINANCE 4.900 01/20/99 3,996,733.33 3,266.67 4,000,000.00
01/15/99 COUNTRYWIDE HOME LOANS 4.890 01/21/99 1,998,370.00 1,630.00 2,000,000.00
01/15/99 THREE RIVERS FUNDING 4.900 01/21/99 2,997,550.00 2,450.00 3,000,000.00
01/19/99 CONSOLIDATION COAL CO. 4.990 01/25/99 2,997,505.00 2,495.00 3,000,000.00
01/19/99 REPUBLIC INDUSTRIES 4.800 01/22/99 3,998,400.00 1,600.00 4,000,000.00
01/20/99 TRIPLE A-1 FUNDING 4.760 01/26/99 3,996,826.66 3,173.34 4,000,000.00
01/21/99 HOLLAND LIMITED SECURT. 4.780 01/28/99 1,998,141.11 1,858.89 2,000,000.00
01/21/99 MARSH & MCLENNAN 4.700 01/27/99 3,996,866.67 3,133.33 4,000,000.00
01/21/99 COOPERATIVE ASSN OF TRA 4.750 01/28/99 2,997,229.17 2,770.83 3,000,000.00
01/22/99 REPUBLIC INDUSTRIES 4.770 01/28/99 3,996,820.00 3,180.00 4,000,000.00
01/27/99 COOPERATIVE ASSN OF TRA 4.900 02/02/99 3,996,733.33 3,266.67 4,000,000.00
01/27/99 DUKE CAPITAL CORP 4.900 02/02/99 3,996,733.33 3,266.67 4,000,000.00
01/27/99 GTE CORP 4.890 02/01/99 3,997,283.33 2,716.67 4,000,000.00
01/27/99 TRIPLE A-1 FUNDING 4.880 01/29/99 3,998,915.56 1,084.44 4,000,000.00
01/27/99 VULCAN MATERIALS CO. 4.870 02/01/99 3,997,294.44 2,705.56 4,000,000.00
01/28/99 CONCORD MINUTEMAN CAP. 4.870 02/02/99 2,997,970.83 2,029.17 3,000,000.00
02/01/99 FALCON ASSET SECURT. 4.840 02/03/99 1,999,462.22 537.78 2,000,000.00
02/02/99 AMSTERDAM FUNDING CORP 4.830 02/08/99 3,996,780.00 3,220.00 4,000,000.00
02/02/99 BRITISH GAS CAPITAL 4.840 02/05/99 3,998,386.66 1,613.34 4,000,000.00
02/02/99 COUNTRYWIDE HOME LOANS 4.770 02/04/99 3,998,940.00 1,060.00 4,000,000.00
02/02/99 INTREPID FUNDING MASTER 4.860 02/26/99 1,993,520.00 6,480.00 2,000,000.00
02/03/99 EXXON ASSET MANAGEMENT 4.650 02/08/99 3,997,416.67 2,583.33 4,000,000.00
02/04/99 REPUBLIC INDUSTRIES 4.800 02/10/99 3,996,800.00 3,200.00 4,000,000.00
02/05/99 DUKE CAPITAL CORP 4.720 02/09/99 3,997,902.22 2,097.78 4,000,000.00
02/08/99 FORD MOTOR CREDIT CO. 4.800 02/11/99 3,998,400.00 1,600.00 4,000,000.00
02/08/99 MARKET STREET FUNDING 4.850 02/12/99 4,997,305.56 2,694.44 5,000,000.00
Page 41
Page 4 of 6
Date Interest Maturity Amount of Maturity
Acquired Description Rate Date Cost Interest Value
SHORT TERM INVESTMENTS MATURED
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
JULY 1, 1998 THROUGH JUNE 30, 1999
02/09/99 G.E. CAPITAL CORP 4.800 02/11/99 3,998,933.33 1,066.67 4,000,000.00
02/10/99 HOLLAND LIMITED SECURT. 4.840 02/11/99 3,999,462.22 537.78 4,000,000.00
02/10/99 REPUBLIC INDUSTRIES 4.870 02/17/99 3,996,212.22 3,787.78 4,000,000.00
02/11/99 AMSTERDAM FUNDING CORP 4.850 02/19/99 3,995,688.89 4,311.11 4,000,000.00
02/11/99 BLOCK FINANCIAL CORP 4.800 02/19/99 3,995,733.33 4,266.67 4,000,000.00
02/11/99 HOLLAND LIMITED SECURT. 4.880 02/18/99 3,996,204.44 3,795.56 4,000,000.00
02/11/99 PENNSYLVANIA ELECTRIC 4.800 02/18/99 2,997,200.00 2,800.00 3,000,000.00
02/12/99 DISTRIBUTION FUNDING 4.820 02/19/99 2,997,188.33 2,811.67 3,000,000.00
02/16/99 REPUBLIC INDUSTRIES 4.900 02/19/99 1,999,183.34 816.66 2,000,000.00
02/17/99 DUKE ENERGY CORP 4.730 02/22/99 4,996,715.28 3,284.72 5,000,000.00
02/18/99 HOLLAND LIMITED SECURT. 4.830 02/25/99 2,997,182.50 2,817.50 3,000,000.00
02/18/99 REPUBLIC INDUSTRIES 4.800 02/23/99 3,997,333.34 2,666.66 4,000,000.00
02/19/99 ENGELHARD CORP 4.700 02/22/99 3,998,433.33 1,566.67 4,000,000.00
02/19/99 HOLLAND LIMITED SECURT. 4.680 02/22/99 2,998,830.00 1,170.00 3,000,000.00
02/19/99 KITTY HAWK FUNDING 4.740 02/23/99 3,997,893.33 2,106.67 4,000,000.00
02/22/99 DUKE CAPITAL CORP 4.820 02/23/99 2,999,598.34 401.66 3,000,000.00
02/22/99 HOLLAND LIMITED SECURT. 4.830 02/23/99 1,999,731.67 268.33 2,000,000.00
02/23/99 CINCINNATI BELL INC. 4.850 03/01/99 1,998,383.33 1,616.67 2,000,000.00
02/23/99 FALCON ASSET SECURT. 4.860 03/01/99 3,996,760.00 3,240.00 4,000,000.00
02/23/99 LIBERTY STREET FUNDING 4.850 03/02/99 3,996,227.78 3,772.22 4,000,000.00
02/23/99 REPUBLIC INDUSTRIES 4.830 02/26/99 3,998,390.00 1,610.00 4,000,000.00
02/25/99 ENGELHARD CORP 4.870 02/26/99 2,999,594.17 405.83 3,000,000.00
02/26/99 FORD MOTOR CREDIT CO. 4.800 03/02/99 1,998,933.33 1,066.67 2,000,000.00
02/26/99 KITTY HAWK FUNDING 4.860 03/01/99 3,998,380.00 1,620.00 4,000,000.00
03/01/99 BARTON CAPITAL CORP 4.950 03/03/99 3,998,900.00 1,100.00 4,000,000.00
03/01/99 DUKE CAPITAL CORP 5.050 03/02/99 2,999,579.17 420.83 3,000,000.00
03/01/99 ENGELHARD CORP 5.050 03/02/99 2,999,579.17 420.83 3,000,000.00
03/02/99 GILLETTE CO. 4.830 03/03/99 3,999,463.33 536.67 4,000,000.00
03/02/99 EXPORT DEVELOPMENT CORP 4.800 03/03/99 3,999,466.67 533.33 4,000,000.00
03/02/99 ATLANTIS ONE FUNDING 4.860 03/03/99 1,999,730.00 270.00 2,000,000.00
03/03/99 AMERTECH CORP 4.800 03/31/99 1,992,533.33 7,466.67 2,000,000.00
03/03/99 ENGELHARD CORP 4.850 03/04/99 3,999,461.11 538.89 4,000,000.00
03/03/99 DUKE CAPITAL CORP 4.820 03/08/99 3,997,322.22 2,677.78 4,000,000.00
03/03/99 METROPOLITAN EDISON 4.850 03/05/99 3,998,922.22 1,077.78 4,000,000.00
03/04/99 HERTZ CORP 4.730 03/09/99 3,997,372.22 2,627.78 4,000,000.00
03/05/99 FAIRWAY FINANCE CORP 4.720 03/09/99 3,997,902.22 2,097.78 4,000,000.00
03/08/99 HOLLAND LIMITED SECURT. 4.860 03/11/99 1,999,190.00 810.00 2,000,000.00
03/09/99 ENGELHARD CORP 4.820 03/10/99 3,999,464.45 535.55 4,000,000.00
03/09/99 GTE CORP 4.870 03/15/99 1,998,376.67 1,623.33 2,000,000.00
03/09/99 JOHNSON & JOHNSON 4.770 03/15/99 3,996,820.00 3,180.00 4,000,000.00
03/09/99 QUINCY CAPITAL CORP 4.760 03/11/99 3,998,942.22 1,057.78 4,000,000.00
03/10/99 DISTRIBUTION FUNDING 4.880 03/12/99 3,998,915.56 1,084.44 4,000,000.00
03/11/99 EXXON ASSET MANAGEMENT 4.780 03/16/99 1,998,672.22 1,327.78 2,000,000.00
03/11/99 QUINCY CAPITAL CORP 4.840 03/16/99 3,997,311.11 2,688.89 4,000,000.00
03/12/99 EAGLE FUNDING 4.820 03/17/99 2,997,991.66 2,008.34 3,000,000.00
03/15/99 CIBA SPECIALTY CHEMICAL 4.880 03/19/99 2,998,373.33 1,626.67 3,000,000.00
03/15/99 USAA CAPITAL CORP 4.910 03/18/99 4,997,954.17 2,045.83 5,000,000.00
03/16/99 CIBA SPECIALTY CHEMICAL 4.800 03/19/99 1,999,200.00 800.00 2,000,000.00
03/16/99 DISTRIBUTION FUNDING 4.780 03/19/99 3,998,406.66 1,593.34 4,000,000.00
03/17/99 ALLSTATE CORP 4.780 03/23/99 2,997,610.00 2,390.00 3,000,000.00
03/18/99 MERRILL LYNCH & CO,INC. 4.730 03/23/99 4,996,715.28 3,284.72 5,000,000.00
03/19/99 CENTENNIAL ENERGY HOLD. 4.750 03/22/99 3,998,416.67 1,583.33 4,000,000.00
Page 42
Page 5 of 6
Date Interest Maturity Amount of Maturity
Acquired Description Rate Date Cost Interest Value
SHORT TERM INVESTMENTS MATURED
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
JULY 1, 1998 THROUGH JUNE 30, 1999
03/19/99 HOLLAND LIMITED SECURT. 4.750 03/22/99 4,998,020.84 1,979.16 5,000,000.00
03/22/99 EATON CORPORATION 4.850 03/25/99 4,997,979.16 2,020.84 5,000,000.00
03/22/99 HOLLAND LIMITED SECURT. 4.830 03/25/99 3,998,390.00 1,610.00 4,000,000.00
03/23/99 ENGELHARD CORP 4.800 03/24/99 3,999,466.67 533.33 4,000,000.00
03/23/99 TRIPLE A-1 FUNDING 4.760 03/25/99 3,998,942.22 1,057.78 4,000,000.00
03/24/99 CAISSE DES DEPOTS 4.880 03/25/99 4,999,322.22 677.78 5,000,000.00
03/25/99 ASSET PORTFOLIO FUNDING 4.910 04/01/99 4,995,226.39 4,773.61 5,000,000.00
03/25/99 FRONTIER FUNDING 4.900 04/01/99 3,996,188.89 3,811.11 4,000,000.00
03/25/99 HALIFAX PLC 4.700 03/30/99 3,997,388.90 2,611.10 4,000,000.00
03/25/99 HOLLAND LIMITED SECURT. 4.930 04/01/99 4,995,206.94 4,793.06 5,000,000.00
03/31/99 BANK OF AUSTRIA CP,INC. 4.950 04/05/99 4,996,562.50 3,437.50 5,000,000.00
04/01/99 CAISSE DES DEPOTS 5.180 04/05/99 3,997,697.78 2,302.22 4,000,000.00
04/01/99 COOPERATIVE ASSN OF TRA 4.900 04/30/99 1,992,105.55 7,894.45 2,000,000.00
04/01/99 DUKE CAPITAL CORP 5.170 04/05/99 3,997,702.22 2,297.78 4,000,000.00
04/01/99 MARSH & MCLENNAN 5.020 04/07/99 4,995,816.66 4,183.34 5,000,000.00
04/05/99 EXXON PROJECT INVEST. 4.840 04/08/99 3,998,386.67 1,613.33 4,000,000.00
04/05/99 TRIPLE A-1 FUNDING 4.890 04/08/99 4,997,962.50 2,037.50 5,000,000.00
04/05/99 UNITED PARCEL SERVICE 4.850 04/09/99 3,997,844.44 2,155.56 4,000,000.00
04/06/99 COOPERATIVE ASSN OF TRA 4.800 04/09/99 1,999,200.00 800.00 2,000,000.00
04/07/99 CENTAURI (CC USA) 4.760 04/08/99 4,999,338.89 661.11 5,000,000.00
04/08/99 DORADA FINANCE 4.760 04/09/99 4,999,338.88 661.12 5,000,000.00
04/08/99 EXXON ASSET MANAGEMENT 4.650 04/12/99 2,998,450.00 1,550.00 3,000,000.00
04/08/99 HOLLAND LIMITED SECURT. 4.780 04/09/99 4,999,336.11 663.89 5,000,000.00
04/09/99 ENTERPRISE FUNDING CORP 4.700 04/14/99 3,997,388.89 2,611.11 4,000,000.00
04/09/99 HOLLAND LIMITED SECURT. 4.710 04/12/99 3,998,430.00 1,570.00 4,000,000.00
04/09/99 MERRILL LYNCH & CO,INC. 4.650 04/13/99 3,997,933.34 2,066.66 4,000,000.00
04/09/99 TRIPLE A-1 FINDING 4.710 04/14/99 3,997,383.33 2,616.67 4,000,000.00
04/12/99 DONNELLEY & SONS 4.750 04/15/99 2,998,812.50 1,187.50 3,000,000.00
04/12/99 FALCON ASSET SECURT. 4.750 04/15/99 2,998,812.50 1,187.50 3,000,000.00
04/13/99 HOLLAND LIMITED SECURT. 4.710 04/14/99 1,999,738.33 261.67 2,000,000.00
04/14/99 FORD MOTOR CREDIT CO. 4.730 04/16/99 3,998,948.89 1,051.11 4,000,000.00
04/14/99 GENERAL MOTORS ACCEPT. 4.770 04/16/99 3,998,940.00 1,060.00 4,000,000.00
04/14/99 MERRILL LYNCH & CO,INC. 4.770 04/19/99 1,998,675.00 1,325.00 2,000,000.00
04/15/99 BANK OF AUSTRIA 4.850 04/19/99 3,997,844.45 2,155.55 4,000,000.00
04/15/99 MERRILL LYNCH & CO,INC. 4.800 04/19/99 2,998,400.00 1,600.00 3,000,000.00
04/15/99 MOBIL CREDIT FINANCE 4.780 04/20/99 2,998,008.33 1,991.67 3,000,000.00
04/19/99 FORD MOTOR CREDIT CO. 4.690 04/22/99 4,998,045.83 1,954.17 5,000,000.00
04/19/99 MERRILL LYNCH & CO,INC. 4.650 04/21/99 2,999,225.00 775.00 3,000,000.00
04/20/99 ENTERPRISE FUNDING CORP 4.680 04/23/99 3,998,440.00 1,560.00 4,000,000.00
04/20/99 UNITED TECHNOLOGIES 4.700 04/23/99 1,999,216.67 783.33 2,000,000.00
04/22/99 MERRILL LYNCH & CO,INC. 4.620 04/23/99 999,871.67 128.33 1,000,000.00
04/23/99 FORD MOTOR CREDIT CO. 4.590 04/28/99 1,998,725.00 1,275.00 2,000,000.00
04/23/99 GEN. MTRS. ACCEPT. CORP 4.590 04/29/99 3,996,940.00 3,060.00 4,000,000.00
04/29/99 EXXON PROJECT INVEST. 4.830 05/05/99 1,998,390.00 1,610.00 2,000,000.00
04/29/99 LEXINGTON PARKER CAP. 4.870 05/04/99 4,996,618.06 3,381.94 5,000,000.00
04/29/99 MERRILL LYNCH & CO,INC. 4.850 05/05/99 4,995,958.34 4,041.66 5,000,000.00
04/29/99 NATIONAL AUSTRALIA 4.840 05/04/99 3,997,311.11 2,688.89 4,000,000.00
04/29/99 TRIPLE A-1 FUNDING 4.850 05/04/99 4,996,631.95 3,368.05 5,000,000.00
04/30/99 COOPERATIVE ASSN OF TRA 4.850 05/28/99 996,227.77 3,772.23 1,000,000.00
05/03/99 DUKE CAPITAL CORP 5.050 05/04/99 999,859.72 140.28 1,000,000.00
05/04/99 INTERNT'L LEASE FINANCE 4.820 05/06/99 4,998,661.11 1,338.89 5,000,000.00
05/04/99 EXXON PROJECT INVEST. 4.810 05/07/99 4,997,995.84 2,004.16 5,000,000.00
Page 43
Page 6 of 6
Date Interest Maturity Amount of Maturity
Acquired Description Rate Date Cost Interest Value
SHORT TERM INVESTMENTS MATURED
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
JULY 1, 1998 THROUGH JUNE 30, 1999
05/04/99 FORD MOTOR CREDIT CO. 4.800 05/07/99 4,998,000.00 2,000.00 5,000,000.00
05/04/99 CARGILL GLOBAL FUNDING 4.750 05/10/99 1,998,416.67 1,583.33 2,000,000.00
05/05/99 CARGILL GLOBAL FUNDING 4.750 05/10/99 2,998,020.83 1,979.17 3,000,000.00
05/05/99 GEN. MTRS. ACCEPT. CORP 4.730 05/11/99 3,996,846.67 3,153.33 4,000,000.00
05/06/99 LIBERTY MUTUAL CAPITAL 4.700 05/10/99 999,477.78 522.22 1,000,000.00
05/07/99 CONCORD MINUTEMAN CAP. 4.720 05/12/99 3,997,377.78 2,622.22 4,000,000.00
05/07/99 SOMERSET RAILROAD CORP 4.680 05/10/99 3,998,440.00 1,560.00 4,000,000.00
05/10/99 MERRILL LYNCH & CO,INC. 4.720 05/13/99 3,998,426.67 1,573.33 4,000,000.00
05/10/99 TRIPLE A-1 FUNDING 4.740 05/13/99 1,999,210.00 790.00 2,000,000.00
05/11/99 TRIPLE A-1 FUNDING 4.690 05/14/99 3,998,436.66 1,563.34 4,000,000.00
05/11/99 UNITED PARCEL SERVICE 4.620 05/13/99 1,999,486.66 513.34 2,000,000.00
05/12/99 COUNTRYWIDE HOME LOANS 4.710 05/17/99 1,998,691.67 1,308.33 2,000,000.00
05/12/99 GEN. MTRS. ACCEPT. CORP 4.720 05/17/99 3,997,377.78 2,622.22 4,000,000.00
05/13/99 YORKSHIRE BUILD. SOC. 4.780 05/18/99 2,998,008.33 1,991.67 3,000,000.00
05/14/99 TOYS R US 4.820 05/19/99 3,997,322.22 2,677.78 4,000,000.00
05/17/99 GREYHAWK FUNDING LLC 4.900 05/19/99 1,999,455.56 544.44 2,000,000.00
05/17/99 TRIDENT CAPITAL FINANCE 5.060 05/20/99 3,998,313.33 1,686.67 4,000,000.00
05/17/99 UNITED PARCEL SERVICE 5.050 05/20/99 4,997,895.84 2,104.16 5,000,000.00
05/20/99 EAGLE FUNDING 4.770 05/25/99 3,997,350.00 2,650.00 4,000,000.00
05/20/99 METROPOLITAN EDISON 4.800 05/25/99 2,998,000.00 2,000.00 3,000,000.00
05/21/99 DUKE CAPITAL CORP 4.680 05/25/99 999,480.00 520.00 1,000,000.00
05/25/99 ATLANTIS ONE FUNDING 4.700 05/27/99 999,738.89 261.11 1,000,000.00
05/25/99 EAGLE FUNDING 4.720 05/28/99 3,998,426.66 1,573.34 4,000,000.00
05/25/99 ENTERPRISE FUNDING CORP 4.700 05/28/99 3,998,433.33 1,566.67 4,000,000.00
05/28/99 CONCOLIDATED EDISON CO. 4.920 06/03/99 3,996,720.00 3,280.00 4,000,000.00
05/28/99 EAGLE FUNDING 4.950 06/03/99 3,996,700.00 3,300.00 4,000,000.00
06/02/99 EAGLE FUNDING 4.870 06/30/99 1,992,424.44 7,575.56 2,000,000.00
06/03/99 CIBA SPECIALTY CHEMICAL 4.810 06/08/99 3,997,327.78 2,672.22 4,000,000.00
06/03/99 TRANSAMERICA ASSET 4.820 06/08/99 3,997,322.22 2,677.78 4,000,000.00
06/08/99 EXXON PROJECT INVEST. 4.770 06/23/99 7,984,100.00 15,900.00 8,000,000.00
06/09/99 FORD MOTOR CREDIT CO. 4.700 06/14/99 4,996,736.12 3,263.88 5,000,000.00
06/14/99 LUCENT TECHNOLOGIES 4.870 06/17/99 4,997,970.83 2,029.17 5,000,000.00
06/15/99 TRIPLE A-1 FUNDING 4.890 06/18/99 1,999,185.00 815.00 2,000,000.00
06/17/99 FORD MOTOR CREDIT CO. 4.630 06/21/99 3,997,942.22 2,057.78 4,000,000.00
06/17/99 MERRILL LYNCH & CO,INC. 4.720 06/22/99 2,998,033.33 1,966.67 3,000,000.00
06/18/99 WINDMILL FUNDING CORP 4.720 06/23/99 999,344.44 655.56 1,000,000.00
06/21/99 WORLD OMNI VEH. LEASING 4.770 06/23/99 3,998,940.00 1,060.00 4,000,000.00
06/22/99 CINCINNATI BELL INC. 4.770 06/23/99 3,999,470.00 530.00 4,000,000.00
06/23/99 WORLD OMNI VEH. LEASING 4.800 06/28/99 4,996,666.67 3,333.33 5,000,000.00
06/24/99 HOLLAND LIMITED SECURT. 4.760 06/25/99 1,999,735.55 264.45 2,000,000.00
TOTALS 920,666,376.20 594,623.80 921,261,000.00
Page 44
Page 1 of 2
No. Dividend Annual Book Average Book
Company Shares Rate Income Yield Cost Cost
3COM CORPORATION 16,000 0.00 0.00 0.00% 30.02 480,286.40
ABBOTT LABORATORIES 8,000 0.68 5,440.00 1.39% 49.06 392,500.00
AIRBORNE FREIGHT CORP 30,000 0.16 4,800.00 0.53% 30.03 901,002.00
AIRTOUCH COMMUNICATIONS 30,000 0.00 0.00 0.00% 60.68 1,820,481.00
ALASKA AIR GROUP 17,000 0.00 0.00 0.00% 38.06 646,952.00
ALLTEL CORPORATION 21,000 1.22 25,620.00 1.85% 65.82 1,382,264.10
AMERICA ONLINE 37,000 0.00 0.00 0.00% 141.97 5,253,072.10
AMERICAN EXPRESS 55,000 0.92 50,600.00 0.86% 107.24 5,898,127.00
AMGEN 92,000 0.00 0.00 0.00% 71.49 6,576,817.00
APPLIED MATERIALS 85,000 0.00 0.00 0.00% 35.92 3,052,952.00
AT&T CORP 123,000 0.88 108,240.00 1.44% 61.30 7,540,497.50
BANK OF AMERICA CORP 28,000 1.80 50,400.00 2.63% 68.37 1,914,222.80
BANK OF NEW YORK 20,000 0.56 11,200.00 1.45% 38.53 770,650.00
BANK ONE CORPORATION 124,100 1.68 208,488.00 5.70% 29.45 3,655,320.14
BESTFOODS 80,000 0.98 78,400.00 1.76% 55.63 4,450,000.00
BIOGEN INC 71,000 0.00 0.00 0.00% 94.84 6,733,633.40
BRISTOL-MYERS SQUIBB CO. 39,000 0.88 34,320.00 0.80% 110.21 4,298,220.00
CABLEVISION SYSTEMS CORP 150,000 0.00 0.00 0.00% 57.41 8,611,743.00
CMS ENERGY 15,000 1.32 19,800.00 2.72% 48.55 728,250.00
COMCAST CORP. 212,000 0.00 0.00 0.00% 54.03 11,453,995.00
COMPUWARE CORPORATION 94,000 0.00 0.00 0.00% 70.11 6,590,360.20
CONTINENTAL AIRLINES 75,000 0.00 0.00 0.00% 52.54 3,940,424.50
COSTCO COMPANIES, INC. 140,000 0.00 0.00 0.00% 68.12 9,536,146.20
CVS CORP 61,000 0.24 14,640.00 0.55% 43.88 2,676,675.00
DANA CORP 75,000 1.24 93,000.00 2.95% 42.07 3,154,956.05
DAYTON HUDSON 87,000 0.40 34,800.00 0.71% 56.62 4,925,876.50
DUKE ENERGY 12,000 2.20 26,400.00 3.66% 60.05 720,600.00
EMC CORP 20,000 0.00 0.00 0.00% 61.00 1,220,061.00
ERICSSON 15,000 0.00 0.00 0.00% 27.36 410,437.50
EXPRESS SCRIPTS 9,000 0.00 0.00 0.00% 75.74 681,624.51
FIRST UNION CORP 20,000 1.88 37,600.00 3.53% 53.32 1,066,426.00
FOX ENTERTAINMENT GROUP, INC 44,000 0.00 0.00 0.00% 27.11 1,193,056.80
FURNITURE BRANDS INTL 42,000 0.00 0.00 0.00% 26.08 1,095,473.60
GENERAL NUTRITION COMPANIES 156,000 0.00 0.00 0.00% 13.45 2,098,886.60
HOME DEPOT 17,000 0.12 2,040.00 0.19% 63.16 1,073,687.50
IMS HEALTH, INC. 100,500 0.08 8,040.00 0.19% 42.80 4,301,434.00
IBM 5,000 0.48 2,400.00 0.28% 170.38 851,875.00
JABIL CIRCUIT 74,000 0.00 0.00 0.00% 47.62 3,523,858.60
JOHNSON CONTROLS 22,000 1.00 22,000.00 1.57% 63.53 1,397,663.28
LEXMARK INTERNATIONAL GROUP 16,000 0.00 0.00 0.00% 100.52 1,608,300.80
LILLY ELI 3,000 0.92 2,760.00 1.12% 82.13 246,375.00
MBNA CORP 57,500 0.28 16,100.00 0.99% 28.34 1,629,551.50
MERCK & CO. 23,000 1.08 24,840.00 0.84% 129.10 2,969,398.90
MICROSOFT CORPORATION 152,000 0.00 0.00 0.00% 102.38 15,562,367.50
MOBIL CORPORATION 22,000 2.28 50,160.00 2.21% 103.16 2,269,625.60
NEWS CORPORATION 23,000 0.07 1,610.00 0.22% 31.14 716,213.20
NOKIA CORPORATION 41,000 0.37 15,170.00 0.36% 103.53 4,244,709.30
NORTH FORK BANCORPORATION 32,000 0.60 19,200.00 2.81% 21.36 683,376.60
COMMON STOCK ACQUIRED
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
JULY 1, 1998 THROUGH JUNE 30, 1999
Page 45
Page 2 of 2
No. Dividend Annual Book Average Book
Company Shares Rate Income Yield Cost Cost
COMMON STOCK ACQUIRED
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
JULY 1, 1998 THROUGH JUNE 30, 1999
OFFICEMAX INC. 240,000 0.00 0.00 0.00% 11.34 2,722,687.00
PARAMETRIC TECHNOLOGY 40,000 0.00 0.00 0.00% 14.38 575,368.00
PPG INDUSTRIES 16,000 1.52 24,320.00 2.60% 58.40 934,375.00
PROFFITT'S, INC. 25,000 1.52 38,000.00 4.86% 31.31 782,631.50
SAFEWAY INC 98,000 0.00 0.00 0.00% 42.96 4,210,347.20
SAKS INCORPORATED 55,000 0.00 0.00 0.00% 30.48 1,676,421.50
SBC COMMUNICATIONS INC. 72,500 0.98 71,050.00 1.82% 53.93 3,909,953.50
SCHERING-PLOUGH CORP 2,000 0.50 1,000.00 0.95% 52.50 105,000.00
SCHOLASTIC CORPORATION 18,000 0.00 0.00 0.00% 56.75 1,021,500.00
SEALED AIR 22,000 0.00 0.00 0.00% 62.60 1,377,299.00
SOLUTIA INC. 60,000 0.04 2,400.00 0.21% 19.13 1,147,634.00
STARBUCKS CORP. 12,500 0.00 0.00 0.00% 39.92 499,038.75
TEXACO INC 75,000 1.80 135,000.00 2.79% 64.61 4,845,420.50
TEXAS UTILITIES 15,000 2.30 34,500.00 4.89% 47.01 705,208.50
TRAVELERS GROUP INC 40,000 2.30 92,000.00 3.80% 60.55 2,421,980.00
TYCO INTERNATIONAL LTD. 38,000 0.10 3,800.00 0.15% 68.23 2,592,810.00
UNIVISION COMMUNICATIONS 35,000 0.00 0.00 0.00% 36.75 1,286,104.40
WAL-MART STORES 50,000 0.20 10,000.00 0.27% 72.85 3,642,643.80
WARNER-LAMBERT 40,000 0.80 32,000.00 1.05% 76.24 3,049,739.00
WORLDCOM INC. 55,000 0.00 0.00 0.00% 53.08 2,919,176.00
XIRCOM, INC. 120,000 0.00 0.00 0.00% 34.62 4,154,020.50
ZEBRA TECHNOLOGIES 100,000 0.00 0.00 0.00% 28.97 2,896,605.30
TOTAL COMMON STOCK BOUGHT 1,412,138.00 0.69% 204,426,390.13
Page 46
Purchase
Name Coupon Maturity Price Book Cost
BRIDGE FINANCIAL
BRIDGE FINANCIAL--15 E. MONROE 12.500 01/05/00 100.00 222,000.00
BRIDGE FINANCIAL--69TH & BELL 12.750 10/07/99 100.00 300,000.00
BRIDGE FINANCIAL--DESERT MIRAGE GC 11.500 09/09/00 100.00 234,000.00
BRIDGE FINANCIAL--GRAND INN 12.500 09/25/00 100.00 300,000.00
BRIDGE FINANCIAL--HAWTHORN SUITES 12.500 05/11/00 100.00 480,000.00
BRIDGE FINANCIAL--MONTEAS HOMES 13.000 05/23/00 100.00 120,000.00
BRIDGE FINANCIAL--SAN TAN RANCH 12.000 07/29/99 100.00 579,000.00
BRIDGE FINANCIAL--SCOTTSDALE LINKS 11.500 03/21/01 100.00 231,000.00
BRIDGE FINANCIAL--SHEA MEDICAL PLAZA 12.000 05/28/99 100.00 420,000.00
TOTAL BRIDGE FINANCIAL ACQUIRED 2,886,000.00
MISCELLANEOUS
DESERT TROON,LLC 100.00 2,280,000.00
PIVOTAL X,LLC 100.00 4,205,250.00
PIVOTAL X,LLC-SPA AT RED CANYON 100.00 641,250.00
TOTAL MISCELLANEOUS ACQUIRED 7,126,500.00
TOTAL OTHER INVESTMENTS ACQUIRED 10,012,500.00
L.L.C.
L.L.C.
L.L.C.
STATE OF ARIZONA
OTHER INVESTMENTS ACQUIRED
CORRECTIONS OFFICER RETIREMENT PLAN
INVESTMENTS ACQUIRED
JULY 1, 1998 THROUGH JUNE 30, 1999
Page 47
Accrued Amortized
Security Coupon Maturity Par Value Sale Price Interest Principal Cost Gain or (Loss) Amount Due
U.S TREASURY OBLIGATIONS
U.S. TREASURY NOTE 5.125 12/31/98 1,000,000.00 100.00000 8,913.04 1,000,000.00 1,000,516.00 (516.00) 1,008,913.04
U.S. TREASURY NOTE 5.125 12/31/98 2,000,000.00 100.00000 51,250.00 2,000,000.00 2,001,032.00 (1,032.00) 2,051,250.00
U.S. TREASURY NOTE 6.375 01/15/99 2,000,000.00 100.00000 63,750.00 2,000,000.00 2,007,742.00 (7,742.00) 2,063,750.00
5,000,000.00 123,913.04 5,000,000.00 5,009,290.00 (9,290.00) 5,123,913.04
CORPORATE BONDS
AMERICAN SAVINGS MORTGAGE CORP 8.450 05/25/08 316,936.17 100.00000 61,629.03 316,936.17 313,175.78 3,760.39 378,565.20
AUTO BOND RECEIVABLES TRUST 6.400 04/15/99 84,470.16 100.00000 9,227.46 84,470.16 84,470.16 0.00 93,697.62
CAJUN ELECTRIC CO-OP UTILITY 9.520 03/15/19 1,000,000.00 104.76000 6,875.00 1,047,600.00 1,000,000.00 47,600.00 1,054,475.00
TOTAL CORPORATE BONDS 1,401,406.33 77,731.49 1,449,006.33 1,397,645.94 51,360.39 1,526,737.82
TOTAL BONDS SOLD 6,401,406.33 201,644.53 6,449,006.33 6,406,935.94 42,070.39 6,650,650.86
CORRECTIONS OFFICER RETIREMENT PLAN
BONDS SOLD
STATE OF ARIZONA
TOTAL U.S. TREASURY OBLIGATIONS
SALES AND REDEMPTION OF INVESTMENTS
JULY 1, 1998 THROUGH JUNE 30, 1999
Page 48
Page 1 of 2
Shares Sale Gain (Loss) % Gain
Company Sold Price Amount + SEC Fee Net Amount Book Cost on Sale on Sale
3COM CORPORATION 94,000 23.30 2,190,432.10 73.03 2,190,359.07 3,726,231.80 -1,535,872.73 -41.22%
ADAPTEC, INC 55,000 13.52 743,465.00 24.79 743,440.21 2,307,500.50 -1,564,060.29 -67.78%
ALLSTATE CORP 70,000 42.22 2,955,380.00 3,598.52 2,951,781.48 1,992,704.74 959,076.74 48.13%
AMERICAN HOME PROD 108,000 54.31 5,865,546.50 5,595.54 5,859,950.96 1,797,958.14 4,061,992.82 225.92%
AMERICAN INT'L GROUP 33,500 97.77 3,275,233.00 1,784.19 3,273,448.81 2,038,819.94 1,234,628.87 60.56%
AMP INC 12,775 44.50 568,487.50 0 568,487.50 508,842.81 59,644.69 11.72%
AUTOLIV, INC. 17,000 32.75 556,750.00 868.56 555,881.44 482,036.04 73,845.40 15.32%
AUTO DATA PROCESS 30,000 42.87 1,285,967.50 1,542.88 1,284,424.62 502,173.00 782,251.62 155.77%
BANC ONE CORP 64,505 45.18 2,914,079.77 3,322.39 2,910,757.38 2,184,458.85 726,298.53 33.25%
BELL ATLANTIC 70,000 42.00 2,940,095.20 3,598.02 2,936,497.18 1,969,326.33 967,170.85 49.11%
BESTFOODS 65,000 52.27 3,397,594.00 3,363.26 3,394,230.74 2,515,249.31 878,981.43 34.95%
BOEING CO. 103,000 36.88 3,798,234.90 5,276.62 3,792,958.28 4,890,552.00 -1,097,593.72 -22.44%
CORN PRODUCTS INT'L 10,000 32.63 326,250.00 510.88 325,739.12 128,717.11 197,022.01 153.07%
DIAMOND OFFSHR DRILL 60,000 22.17 1,330,254.00 3,044.35 1,327,209.65 2,622,387.00 -1,295,177.35 -49.39%
DISNEY CO. (WALT) 132,000 34.38 4,538,378.80 6,751.31 4,531,627.49 2,706,715.00 1,824,912.49 67.42%
ELECTRONIC DATA SYS 53,000 39.90 2,114,503.60 2,720.50 2,111,783.10 1,830,559.26 281,223.84 15.36%
EMERSON ELECTRIC 25,000 61.67 1,541,827.50 1,301.40 1,540,526.10 1,090,177.08 450,349.02 41.31%
ERICSSON 175,000 25.40 4,444,988.00 148.19 4,444,839.81 3,604,578.67 840,261.14 23.31%
FEDERATED DEPT STORES 60,000 43.88 2,632,746.00 3,087.76 2,629,658.24 3,076,971.00 -447,312.76 -14.54%
FIRST CHICAGO NBD CORP 55,000 28.72 1,579,820.14 0 1,579,820.14 1,579,820.14 0 0.00%
GANNETT COMPANY 10,000 67.56 675,579.00 522.52 675,056.48 272,097.50 402,958.98 148.09%
GENERAL MOTORS CO 37,000 72.04 2,665,445.70 1,938.86 2,663,506.84 2,264,910.91 398,595.93 17.60%
GLOBAL MARINE 110,000 8.63 948,923.00 5,531.65 943,391.35 2,689,807.50 -1,746,416.15 -64.93%
HEWLETT PACKARD 70,000 69.35 4,854,162.00 3,661.81 4,850,500.19 3,320,000.00 1,530,500.19 46.10%
ILLINOIS TOOL WORKS 15,000 68.00 1,020,000.00 784 1,019,216.00 372,339.19 646,876.81 173.73%
INTERSTATE BAKERIES 90,000 22.68 2,040,912.50 4,568.05 2,036,344.45 3,058,044.50 -1,021,700.05 -33.41%
JOHNSON & JOHNSON CO 120,000 87.11 10,453,734.65 6,348.49 10,447,386.16 6,948,526.97 3,498,859.19 50.35%
KIMBERLY-CLARK CORP 55,000 45.66 2,511,565.00 2,833.74 2,508,731.26 1,291,101.79 1,217,629.47 94.31%
LILLY ELI 81,000 75.13 6,085,135.80 4,252.85 6,080,882.95 4,161,943.84 1,918,939.11 46.11%
LOEWEN GROUP 78,000 15.43 1,203,562.05 3,940.13 1,199,621.92 2,114,379.80 -914,757.88 -43.26%
MARSH & MCLENNAN COS 105,000 61.09 6,414,355.60 5,463.84 6,408,891.76 2,934,672.22 3,474,219.54 118.39%
MCDONALDS CORP 150,000 51.94 7,790,977.50 7,759.73 7,783,217.77 4,154,556.01 3,628,661.76 87.34%
MERCK & CO. 77,000 98.78 7,605,860.80 4,103.56 7,601,757.24 4,249,695.43 3,352,061.81 78.88%
MOBIL CORPORATION 82,000 84.08 6,894,156.40 4,329.83 6,889,826.57 4,810,292.64 2,079,533.93 43.23%
MORTON INTL CORP 95,000 35.87 3,407,622.00 4,863.61 3,402,758.39 2,334,136.80 1,068,621.59 45.78%
Commission
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
JULY 1, 1998 THROUGH JUNE 30, 1999
COMMON STOCK SOLD
SALE AND REDEMPTION OF INVESTMENTS
Page 49
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, 1998 THROUGH JUNE 30, 1999
COMMON STOCK SOLD
SALE AND REDEMPTION OF INVESTMENTS
MOTOROLA, INC. 30,000 53.97 1,618,990.50 1,553.97 1,617,436.53 1,650,078.53 -32,642.00 -1.98%
NATIONAL CITY CORP 95,000 69.92 6,641,928.04 4,971.41 6,636,956.63 2,862,510.10 3,774,446.53 131.86%
NORTHROP GRUMMAN 12,000 61.81 741,775.20 624.73 741,150.47 1,364,590.80 -623,440.33 -45.69%
PACIFIC CENTURY FINAN 180,000 19.84 3,571,710.50 9,119.09 3,562,591.41 2,639,771.00 922,820.41 34.96%
PARAMETRIC TECH 130,000 14.75 1,917,402.50 63.93 1,917,338.57 3,408,693.00 -1,491,354.43 -43.75%
PEPSICO 101,000 36.16 3,652,064.35 5,171.76 3,646,892.59 2,296,192.97 1,350,699.62 58.82%
PFIZER INC. 36,000 110.06 3,962,250.00 0 3,962,250.00 1,441,149.66 2,521,100.34 174.94%
PNC BANK CORPORATION 80,000 53.50 4,280,218.00 4,142.69 4,276,075.31 1,880,874.98 2,395,200.33 127.35%
PROCTER & GAMBLE CO. 98,000 89.87 8,807,069.50 4,245.85 8,802,823.65 5,331,598.56 3,471,225.09 65.11%
QUANTUM CORPORATION 70,000 17.09 1,196,372.75 39.9 1,196,332.85 2,007,912.00 -811,579.15 -40.42%
QUORUM HEALTH GROUP 71,600 10.19 729,514.49 24.33 729,490.16 1,787,164.56 -1,057,674.40 -59.18%
RAYTHEON CORP 2,359 56.31 132,841.19 122.38 132,718.81 8,055.39 124,663.42 1547.58%
ROYAL DUTCH PETRO 80,000 49.01 3,920,831.00 4,130.71 3,916,700.29 3,510,000.00 406,700.29 11.59%
SARA LEE CORP. 220,000 27.05 5,950,909.50 11,198.38 5,939,711.12 3,168,059.32 2,771,651.80 87.49%
SCHERING-PLOUGH CORP 64,000 96.45 6,172,820.00 3,405.79 6,169,414.21 1,686,426.66 4,482,987.55 265.83%
SCHLUMBERGER 80,000 49.77 3,981,216.50 4,132.72 3,977,083.78 2,499,333.34 1,477,750.44 59.13%
STERLING SOFTWARE 42,000 19.79 831,245.40 2,127.72 829,117.68 755,663.30 73,454.38 9.72%
UNION PACIFIC CORP 30,000 40.88 1,226,250.00 1,540.88 1,224,709.12 1,103,200.63 121,508.49 11.01%
WALGREEN COMPANY 173,000 40.03 6,925,689.40 6,823.21 6,918,866.19 1,423,980.49 5,494,885.70 385.88%
WARNER-LAMBERT 30,000 72.25 2,167,632.00 1,572.26 2,166,059.74 2,052,375.90 113,683.84 5.54%
TOTAL STOCK SOLD 4,092,739 182,000,756.33 172,526.57 181,828,229.76 129,409,915.01 52,418,314.75 40.51%
Page 50
Name Coupon Maturity Sale Price Book Cost
BRIDGE FINANCIAL
BRIDGE FINANCIAL--AMBASSADOR INN OF PHX 13.000 03/09/98 100.00 312,000.00
BRIDGE FINANCIAL--BELL LOAN 13.000 07/22/99 100.00 308,400.00
BRIDGE FINANCIAL--CRYSTAL SPRINGS 12.750 08/17/99 100.00 4,350.00
BRIDGE FINANCIAL--GREENFIELD LAKES GOLF 12.750 10/31/99 100.00 210,000.00
BRIDGE FINANCIAL--HOLIDAY INN III 12.625 07/07/98 100.00 942,000.00
BRIDGE FINANCIAL--MONTEAS HOMES 13.000 05/23/00 100.00 120,000.00
BRIDGE FINANCIAL--PIONEER INDUST. PARK 15.000 05/24/99 100.00 172,429.66
BRIDGE FINANCIAL--SAN TAN RANCH 12.000 07/29/99 100.00 579,000.00
BRIDGE FINANCIAL--TARGET STORE SITE 12.625 04/01/99 100.00 270,000.00
BRIDGE FINANCIAL--UNITED HOMES 12.500 03/26/99 100.00 309,600.00
BRIDGE FINANCIAL--WHITE PEAK LAND 14.000 06/19/99 100.00 456,000.00
TOTAL BRIDGE FINANCIAL SOLD 3,683,779.66
MISCELLANEOUS
PEBBLECREEK PROPERTIES L.P. 10.000 02/19/02 100.00 25,740.77
PIVOTAL X,LLC 100.00 105,000.00
TOTAL MISCELLANEOUS SOLD 130,740.77
TOTAL OTHER INVESTMENTS 3,814,520.43
STATE OF ARIZONA
OTHER INVESTMENTS SOLD
CORRECTIONS OFFICER RETIREMENT PLAN
JULY 1, 1998 THROUGH JUNE 30, 1999
SALES AND REDEMPTION OF INVESTMENTS
Page 51
Page 1 of 3
Book Current Annual Book
Par Value Security Coupon Maturity Book Cost Price Price Current Value Gain or (Loss) Income Yield YTM
U.S. TREASURY OBLIGATIONS
4,000,000.00 U.S. TREASURY BOND 9.125 05/15/09 4,002,190.00 100.05475 112.75000 4,510,000.00 507,810.00 365,000.00 9.12 8.09
1,000,000.00 U.S. TREASURY BOND 7.500 11/15/16 958,619.00 95.86190 112.70300 1,127,030.00 168,411.00 75,000.00 7.82 6.65
3,000,000.00 U.S. TREASURY BOND 9.125 05/15/18 3,000,000.00 100.00000 131.07800 3,932,340.00 932,340.00 273,750.00 9.13 6.97
2,000,000.00 U.S. TREASURY BOND 8.125 08/15/19 2,001,836.00 100.09180 120.78100 2,415,620.00 413,784.00 162,500.00 8.12 6.73
1,000,000.00 U.S. TREASURY BOND 8.000 11/15/21 1,000,000.00 100.00000 120.57800 1,205,780.00 205,780.00 80,000.00 8.00 6.63
1,000,000.00 U.S. TREASURY NOTE 6.000 10/15/99 1,001,295.00 100.12950 100.29700 1,002,970.00 1,675.00 60,000.00 5.99 5.98
4,000,000.00 U.S. TREASURY NOTE 5.500 04/15/00 4,001,112.00 100.02780 100.17200 4,006,880.00 5,768.00 220,000.00 5.50 5.49
2,000,000.00 U.S. TREASURY NOTE 7.500 11/15/01 2,075,610.00 103.78050 104.17200 2,083,440.00 7,830.00 150,000.00 7.23 7.20
18,000,000.00 18,040,662.00 100.22590 20,284,060.00 2,243,398.00 1,386,250.00 7.7% 6.8%
FEDERAL AGENCY OBLIGATIONS
50,938.57 GNMA POOL #136472 9.000 04/15/16 48,932.83 0.96000 106.46400 54,231.24 5,298.41 4,584.47 9.37 8.45
66,499.91 GNMA POOL #148586 9.000 04/15/16 63,881.46 0.96000 106.49900 70,821.74 6,940.28 5,984.99 9.37 8.45
62,150.64 GNMA POOL #152344 9.000 04/15/16 57,605.88 0.93000 106.49900 66,189.81 8,583.93 5,593.56 9.71 8.45
760,024.53 GNMA POOL #173878 9.000 08/15/16 751,949.25 0.99000 106.48200 809,289.32 57,340.07 68,402.21 9.10 8.45
446,686.44 GNMA POOL #174481 9.000 07/15/16 432,587.88 0.97000 106.49900 475,716.59 43,128.71 40,201.78 9.29 8.45
742,079.10 GNMA POOL #176431 9.000 08/15/16 718,425.33 0.97000 106.49900 790,306.82 71,881.49 66,787.12 9.30 8.45
537,297.27 GNMA POOL #184656 9.000 12/15/16 520,338.84 0.97000 106.49900 572,216.22 51,877.38 48,356.75 9.29 8.45
423,923.62 GNMA POOL #185289 9.000 09/15/19 412,530.63 0.97000 106.68700 452,271.39 39,740.76 38,153.13 9.25 8.44
54,839.79 GNMA POOL #186088 9.000 08/15/17 53,537.35 0.98000 106.48200 58,394.51 4,857.16 4,935.58 9.22 8.45
187,480.97 GNMA POOL #190095 9.000 12/15/16 177,931.17 0.95000 106.87400 200,368.41 22,437.24 16,873.29 9.48 8.42
256,075.22 GNMA POOL #202505 9.000 10/15/19 250,393.54 0.98000 106.68700 273,198.97 22,805.43 23,046.77 9.20 8.44
471,869.89 GNMA POOL #217956 10.000 11/15/17 466,578.76 0.99000 106.65700 503,282.27 36,703.51 47,186.99 10.11 9.38
33,330.57 GNMA POOL #225662 9.000 01/15/19 30,789.09 0.92000 106.68700 35,559.39 4,770.30 2,999.75 9.74 8.44
218,532.34 GNMA POOL #226529 9.000 06/15/18 201,118.07 0.92000 106.74900 233,281.09 32,163.02 19,667.91 9.78 8.43
52,977.17 GNMA POOL #232237 9.000 01/15/20 51,569.98 0.97000 106.59300 56,469.95 4,899.97 4,767.95 9.25 8.44
64,626.85 GNMA POOL #234937 9.000 03/15/18 59,699.08 0.92000 106.49900 68,826.95 9,127.87 5,816.42 9.74 8.45
419,027.30 GNMA POOL #238600 10.000 11/15/17 416,277.44 0.99000 106.65700 446,921.95 30,644.51 41,902.73 10.07 9.38
51,332.76 GNMA POOL #238840 9.000 05/15/18 47,579.08 0.93000 106.74900 54,797.21 7,218.13 4,619.95 9.71 8.43
88,386.11 GNMA POOL #248951 9.000 05/15/18 83,524.89 0.95000 106.74900 94,351.29 10,826.40 7,954.75 9.52 8.43
120,567.22 GNMA POOL #252056 9.000 06/15/18 117,176.29 0.97000 106.74900 128,704.30 11,528.01 10,851.05 9.26 8.43
434,544.84 GNMA POOL #256195 9.000 08/15/18 411,188.10 0.95000 106.74900 463,872.27 52,684.17 39,109.04 9.51 8.43
158,425.10 GNMA POOL #263385 9.000 11/15/18 151,469.26 0.96000 106.74900 169,117.21 17,647.95 14,258.26 9.41 8.43
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
BOND PORTFOLIO
TOTAL U.S. TREASURY OBLIGATIONS
INVESTMENTS OWNED
JUNE 30, 1999
Page 52
Page 2 of 3
Book Current Annual Book
Par Value Security Coupon Maturity Book Cost Price Price Current Value Gain or (Loss) Income Yield YTM
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
BOND PORTFOLIO
INVESTMENTS OWNED
JUNE 30, 1999
48,172.75 GNMA POOL #274245 9.000 04/15/19 44,333.99 0.92000 106.68700 51,394.06 7,060.07 4,335.55 9.78 8.44
41,392.43 GNMA POOL #277836 9.000 09/15/19 38,805.41 0.94000 106.68700 44,160.34 5,354.93 3,725.32 9.60 8.44
190,211.06 GNMA POOL #285597 9.000 03/15/20 181,532.75 0.95000 106.59300 202,751.68 21,218.93 17,119.00 9.43 8.44
317,456.33 GNMA POOL #285803 9.000 03/15/20 303,270.02 0.96000 106.59300 338,386.23 35,116.21 28,571.07 9.42 8.44
54,100.80 GNMA POOL #298952 9.000 04/15/21 54,100.80 1.00000 106.49900 57,616.81 3,516.01 4,869.07 9.00 8.45
75,097.71 GNMA POOL #303324 9.000 04/15/21 75,097.71 1.00000 106.49900 79,978.31 4,880.60 6,758.79 9.00 8.45
85,596.53 GNMA POOL #304625 9.000 03/15/21 85,569.80 1.00000 106.49900 91,159.45 5,589.65 7,703.69 9.00 8.45
265,392.97 GNMA POOL #305187 9.000 06/15/21 265,310.00 1.00000 106.49900 282,640.86 17,330.86 23,885.37 9.00 8.45
1,514,687.26 GNMA POOL #330725 8.000 07/15/22 1,504,747.14 0.99000 103.09300 1,561,536.54 56,789.40 121,174.98 8.05 7.76
3,244,518.61 GNMA POOL #375887 7.000 05/15/24 3,035,652.69 0.94000 98.96900 3,211,067.62 175,414.93 227,116.30 7.48 7.07
1,629,371.12 GNMA POOL #377589 7.500 08/15/25 1,624,788.50 1.00000 100.96800 1,645,143.43 20,354.93 122,202.83 7.52 7.43
1,396,334.21 GNMA POOL #386038 7.000 06/15/24 1,310,590.54 0.94000 98.96900 1,381,938.00 71,347.46 97,743.39 7.46 7.07
1,313,564.12 GNMA POOL #389845 8.000 09/15/24 1,290,166.27 0.98000 102.93700 1,352,143.50 61,977.23 105,085.13 8.15 7.77
2,284,981.46 GNMA POOL #398831 8.000 08/15/26 2,281,411.16 1.00000 102.84300 2,349,943.48 68,532.32 182,798.52 8.01 7.78
1,309,207.85 GNMA POOL #403979 8.500 10/15/24 1,286,910.25 0.98000 104.78100 1,371,801.08 84,890.83 111,282.67 8.65 8.11
1,280,234.70 GNMA POOL #421711 7.500 04/15/26 1,278,634.41 1.00000 100.93700 1,292,230.50 13,596.09 96,017.60 7.51 7.43
1,886,408.68 GNMA POOL #427556 7.500 03/15/26 1,880,808.53 1.00000 100.93700 1,904,084.33 23,275.80 141,480.65 7.52 7.43
3,774,201.63 GNMA POOL #432701 8.000 06/15/26 3,774,201.63 1.00000 102.84300 3,881,502.18 107,300.55 301,936.13 8.00 7.78
768,012.24 GNMA POOL #439645 8.000 09/15/26 767,532.23 1.00000 102.84300 789,846.83 22,314.60 61,440.98 8.01 7.78
8,000,000.00 GNMA POOL #499876 7.000 06/15/29 7,957,500.00 0.99000 100.00000 8,000,000.00 42,500.00 560,000.00 7.04 7.00
5,999,402.76 GNMA POOL #499905 7.000 05/15/29 5,956,282.02 0.99000 100.00000 5,999,402.76 43,120.74 419,958.19 7.05 7.00
999,900.00 GNMA POOL #510958 7.000 05/15/29 992,713.22 0.99000 100.00000 999,900.00 7,186.78 69,993.00 7.05 7.00
5,848,507.18 GNMA POOL #780076 8.000 02/15/25 5,747,528.84 0.98000 102.93700 6,020,277.84 272,749.00 467,880.57 8.14 7.77
3,280,727.70 GNMA POOL #780220 7.500 08/15/25 3,279,702.50 1.00000 101.06200 3,315,569.03 35,866.53 246,054.58 7.50 7.42
51,309,096.31 50,542,274.61 98.50549 52,302,663.76 1,760,389.15 3,951,187.83 7.8% 7.6%
CORPORATE BONDS
2,500,000.00 AGL CAPITAL TRUST 8.170 06/01/37 2,548,062.50 101.92250 107.27700 2,681,925.00 133,862.50 204,250.00 8.02 7.62
564,126.23 AMERICAN SAVINGS MORTGAGE CORP 8.450 05/25/08 558,107.95 98.93317 103.32900 582,905.99 24,798.04 47,668.67 8.54 8.18
1,530,000.00 AMERICAN UNITED LIFE INS CO 7.750 03/30/26 1,488,123.00 97.26294 98.80900 1,511,777.70 23,654.70 118,575.00 7.97 7.84
8,000,000.00 ANTHEM INSURANCE COMPANY INC 9.000 04/01/27 8,600,066.00 107.50083 99.41400 7,953,120.00 (646,946.00) 720,000.00 8.37 9.05
116,514.95 AUTO BOND RECEIVABLES TRUST 6.400 04/15/99 116,514.95 100.00000 100.01200 116,528.93 13.98 7,456.96 6.40 6.40
2,000,000.00 BANKERS TRUST CORP 144A 8.090 12/01/26 2,000,000.00 100.00000 98.88400 1,977,680.00 (22,320.00) 161,800.00 8.09 8.18
1,500,000.00 COUNTRYWIDE CAPITAL I 8.000 12/15/26 1,500,000.00 100.00000 94.33900 1,415,085.00 (84,915.00) 120,000.00 8.00 8.48
TOTAL FEDERAL AGENCY OBLIGATIONS
Page 53
Page 3 of 3
Book Current Annual Book
Par Value Security Coupon Maturity Book Cost Price Price Current Value Gain or (Loss) Income Yield YTM
STATE OF ARIZONA
CORRECTIONS OFFICER RETIREMENT PLAN
BOND PORTFOLIO
INVESTMENTS OWNED
JUNE 30, 1999
1,000,000.00 DISCOVER CREDIT 9.100 04/13/12 1,000,000.00 100.00000 115.55900 1,155,590.00 155,590.00 91,000.00 9.10 7.87
5,250,000.00 FARMERS