A R IZO N A STA TE R ETIR E EN T SY STE
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39th COM PONEN T UNIT FINAN CIAL REPORT FOR THE YEAR ENDED JUN E 30, 1992
A RIZO N A STATE RETIREM EN T SYSTEM
3300 North Central Avenue Phoenix, Arizona 85012
39th Component Unit Financial Report For the Year Ended June 30, 1992
Ron Pelton Chairm an Retirement Board
Ron Pelton Chairm an Investm ent Advisory Council
Report prepared by the Arizona State Retirement System Staff David S. Hunt Director 1F VETJIU X ...... *...sp zj:y &>...... + * . . . +p '<;z ol.v paua ..* , tr t$+.4 o : :rz) :4 t r - ;:1 l z us*.. cp ..* kit *.. %*. Jt2 *.. **** ...**@ ..*36 ./953
2 ARIZONA STATE RETIREMENT SYSTEM ! 1
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# 1 TR CT RY SE TI ...... 5 Chaifm an/s Report ...... 6 ' Letter Of TransnAittal ...... 7 Certificate of Ach'evem ent ...... 13 Adm l'nl'stratl've Organl'zatl'on ...... 14 Retirenlent Board s4enlbers ...... 14 Inves ent Advisory Counm'l h4enabers ...... 14
Professional Consultants ...... 14 lndependent Audl'tors ...... 14
lnvestnAent anagers ...... 14 Organizational Chart...... 15 Sunlnlary of 1992 Retl'renAent Legislation ...... 16 F1 C1 L SECTI ...... 19 lndependent Auditors' Report ...... 21 BRSI'C Financial StatenAent ...... 22 Statements of Revenues, Expenses, and Changes in Fund Balance ...... 23 lcotes to Financial StatenAents ...... 24 Analysis of Funding Progress-Five Year Comparison ...... 34 Revenues and Expenditures-Ten Year Comparison ...... 35 Adml'nl'stratl've EXPenSeS ...... 36 Retiree Flealth Insurance Expenses ...... 37 Ouîeach Education Expenses ...... 38 ' Schedule of Cash Receipf.s and Cash Disbursements ...... 39 Summ ary Schedule of Commissions Paid to Brokers ...... 40 17 () r tftll1' () 65 tl111rll ét r1' (, S ...... - ...... 211! . Sunlnaary of Changes in lnvestnaent Portfolio ...... 43
Actuarial Certification Statenxent ...... 46 SunlnAary of the Benefit Provisions ...... 50 Table A - Schedule of Active M ember Valuation Data-Last 10 Years ...... 55 Table B - Schedule of Retirees Added to and Rem oved from Rolls-Last 10 Years . . 55 Table C - Summary of Unfunded (over) Accrued Liabilities-plan - Last 10 Years . . . 55 Table D - Relationship Between Accrued Liabilities and Assets - Last 10 Years . . . . . 56 Table E - Schedule of Recommended vs. Actual Contibutions - Last 10 Years . . . . . 56 F-l nancl- ng (:)1,J- eCt i A? (! ...... - ...... - . . . . . éi 7' General Actaariallnfornaah'on ...... 58
ARIZONA STATE RETIREMENT SYSTEM 3 Graph-conkl'butl'ons Received ...... 60 Graph-Total Benefit Paynaents ...... 61 Graph-Total Reserves for Benefits ...... 62 Graph-lionretl'red & Retired enabers ...... 63 Schedule of Average Benefit Paynxenî ...... Total Rate of Return for Inves ents ...... 65
INVESTM EU PORTFOLIO SECTION 73
1 1 ! i 1 1 i
4 ARIZONA STATE RETIREMENT SYSTEM IN TRO DU CTORY SECTION
Chairm an's Report
Letter of Transm ittal
Certificate of A chievem ent
A dm inistrative Organization
Professional Consultants
O rganizational Chart
Sum m ary of 1992 Retirem ent Legislation
ARIZONA STATE RETIREMENT SYSTEM 5 i4pvm?izruk.-ji-tn'tzrvzl - r .%i1 > - 's#.uk': ji A RIZONA STATE RETIREMENT SYSTEM jf4t$'7 t'J! . ..k 33œ NORTH CENTRAL AVENUE @ P.O. BOX 33910 * PHOENIX, ARIZONA 85067-3910 ,î hNk.. .)s :Nth.. . PHONE (602) 240-2(+ . 1-8*-621-3778 . 7;sz 7660 EM T BROADWAY BOULEVARD . SUITE 108 @ TUCSON, ARIZONA 857113776 PHONE (*2) 628-5170 DAVI :h S. HUNT DIRECTOR
Iattuary 6, 1993
The Honorable Fife Symington Gcvernor oj Arizona Sfgfe Capitol Ph/enfx, Arizona 85007 Dear Governor Symington: Op behalj of the Arizona State Retirement System Board, it is my pleasure to present to you the Thirtf-Ninth Annual Rmorl of the System, including pertinent jinancial statements, actuarial data, anJ tnvestment information. ne Report also includes ten-year summaries oj a variety oj indicators that J/jccl or reflect System operations. The Acluflricl wlufltit?n performed l)g the 'Wyatt Company infliccles lllct the Systetn, through prsfenl investment practices maintained a fully-junded status. During the fiscal year ended June 30, 1,992, the total rate oj return on investments was 14,6%. The 1992-93 jiscal yea cbntribution rate is 3.59%. The actuarially recommended rate for the 1993-94 fiscal yalrz as deter inedl by the Wyatt Co., is 4.09%. Resv Jvlip s mitt -
Ron Pelton Ch a ir ma n Arizona State RetirementSystem Board Rp:edj
6 ARIZONA STATE RETIREMENT SYSTEM 5 ./ sktlil/tt'ttv A luzoxA STATE RETIREMEXT SYSTEM q pr ëa . k. 33X NORTH CENTRAL AVENUE * P.O. BOX 33910 * PHOENIX ARRONA 85* 7-3910 . X . PHONE (602) 240-2% . 1-8œ-621-3778 s3 7660 EM T BROADWAY BOULEVARD . SUITE 108 . TUCSON, ARIZONA 857113776 PHONE (602) 628-5170 DAVDIRDE sC. T(jNT Letter pf Transmittal January 14, 1993
M r. Ron Pelton, Chairman Arizona State Retirement Board J300 North Central Avenue Phoenix, Arizona 85012 Dear M r. Chairman: lY? are pleased to present the Thirty-Ninth The Actuarial Section which includes the Component Unit Financial Report oj the independen t consulti ng act uary 's Arizona State Retirement System (z4SRS) certification statement, a summary of for the fiscal year ending June 30, 1992. As benefit provisions, the results of the most the administrative body jor the ASRS, the recent act uarial valuation, the ASRS State Retirement Board is required to jinancing objectice and general actuarial submit an Annual Report to the Governor information; (4) The Statistical Section and the Legislature within eight months oj which includes membership delineation, the clase of each fiscal year. This report financial and benefits data; and (5) The complies with alI legal requirements Investment Portfolio Sect ion which governing the preparation and submission presents a detailed listing oj ASRS oj annual reports. investmen ts. The Report consists of Fre sections: (1) The HISTORY ANll OFCRSVEW Introductory Section which includes the Board Chairman's Reporl, this Letter of In 1912, our first year of statehood, an Transmittal, pur Government Finance Arizona teacher received the first Ojficers Association (GFOA) Certtlicate of retirement benefit paid t t7 a public Achievement Award, an overview of pur employee in the State. Until 1943, teachers admin ist rative organization, a Iist of reaching the age of 65 with at least 30 years professional consultan ts retained. an OJ service in Arizona sc/lools were eligible organizational chart flnff a summary OJ 1992 to receive $50 per month. There were rI(7 retirement legislation; (2) The Financial member contributions rlor survivor pr Section which includes the Auditor's death benefits. Report, the ASRS financial statements, a summary PJ commissions paid to brokers, ln 1943, The Teachers' Retirement System portfolio summaries, and a summary of 7,t7ils created. BOth teachers and employers c/llngcs in the iavestment portfolio; (3) contributed, and Jllnffi?1# levelg 'Ipcre
ARIZONA STATE RETIREMENT SYSTEM 7 actuarially determined jor the first time. portfolio. The other major statutory This defined benefit plan paid death restriction is only a maximum of 60% OJ benefits as well as retirement pensions. the total portfolio may be allocated to The Arizona State Retirement System 'Itus domestic and in terna tional equity created in 1953 1/ provide retirement securities. The ASRS asset allocation as 0J bettefits fp state and university employees June 30, 1992, was 3.9.3% to domestic a , C?l tr jlt .: .Y t oIf. Nyf,afà nr ezu .rl-t/ ;F)l yo. 1 ir -l sf'l .c r-ao-ll-.f #.s.? u'J( J.bIf.f r j p mts r.f (l),Z .t tU -sn- t4.s . u c hw1 rula Jcts-i (jIqLyIUjIU tj.Yf I-sF 1j:.7 5fz ftXoU.I .at, jJN r.l. Utfu-rm-n ti t iN noe-fjL;aIj,I r. Iz elj t, t.ufbji .t ie1-4s Hj ita5 1*.17. .3:%0, l retiremetlt plan was a fixed-contribution cash equivalents. The asset allocation has i plan. In 1954, Arizona teachers voted to since changed modest ly to 43.4% to jtpf?l the new Retirement System. Eligible domestic equities; 3.5%, international fcgchers transferred ïlfo fhe ASRS on equities; 48.3%, domesfïc fixed fnc/ple ! January 1, 1955. securities; and 4.8%, cash equivalents at 1 September 30, 1992. This move away ?om j Ia 1970, the Legislature agreed to create a fixed income 10 equities was precipitated by ! defined beneht plan tj at least 70% of ASRS the near certainty of Clinton winning the members agreed to transfer t0 the new Presidential Elccli/n. Retirement Plan. More than 80% (?J the membership voted tp transfer t0 the Plan Clintan 's election has tp be viewed as and the ASRS defined benefit plan became meatting a better economy; more attention effective July 1, 1971. to the Federal budget deficit, and 10 reducing the u nemploym ent rate. The ZSR.S 's gll?l currently has Whatever is good for the economy, cpproxfmcfely 196,000 actfpe, fucctfpe cnJ genergllp fs Tlot gool Jor fixed income retired members. We service over 300 markets. However, the effects V a Slrtm#er participating employers, including Arizona economy may be negated by inflation rates State Government, 14 oj the 15 counties, below 3%, unless the gross domestic tbe state universities, a majority of our product accelerates much pster than the community colleges, cities and towns, and anticipated 2.5% for the first half of 1993. other political subdivisions. Expectations for equity returns are modest Today. ZASR,S members receive not only given the recent back-up in long-term retirement benefits but also Iong-term interest rates. The equity markets are disability coverage, contribution rejunds currently over-valued to fairly-vglued pa upon terminat ion PJ employment and current earnings, but improved corporate ret iree health insurance premium benefits. ecrrlings oper the next year should support The health plan is also available to retired modestly higher share prices. and disabled members of the Public Safety Person nel Ret iremen t System, the The total rate of return of the WSRS Correctioas Officers Retirement Plan and portfolio should be approximgtely 8%, thus the Electcd Ojjfcfqls Rctfremenf Plcn. Jlflpïsg Iiftlc or zltl impact on p'ur acfurigl funding status jor the fiscal year ending E CONOMIC CONWTTONAND OUTLOOK June J0, 199J. lve do nat foresee any dramatic shljts in investment strategy with The ASRS is a globul investor; however, the possible exception of additional fJ7: asset Jllocf/lit?rz 10 international allocations to ittternational equities jrom securit ies cannot exceed 15% (changed domest ic fixed iscome. from 10% effective Iuly 1, 1992) of the total
8 ARIZONA STATE RETIREMENT SYSTEM OPEBATIONS, ACTRVTJES zt?e distri bu ted $23,700,000 in premium ANll OBJECTIVES benejits for some 34,2 61 eligible participants. Current Yefzr Operations Participation in the Long-lkrm Disability The ASRS concent rates its resources on Program X TD) was established in 1988 and activities that serve the needs oj our has begun to stabilize after a period of rapid members. Direct services include a growth. Active claims stood at 1,080 as oj compreh en s ive mem ber edu ca t io n lune 30, 1992. Ner,p claims are being filed at program, benefit counseling and monetary the rate of approximately 53 per month. payments oj several types. For the 1991-92 jiscal year, LTD benefit payments totaled $9,700,000. During 1991-92 the Participant Services sfc/j in aur Phoenix office responded fo over Other Adivities 30,000 telephone inquiries and provided iadividual pre-retirement counseling to Wprk on the Arizona State Automated approximately 2,300 members 'Ip/;o visited Retirement System (ZSTARS) has oar office. The Tucson office responded to proceeded ahead oj schedule and under an additional 1 4,000 telephone inquiries badget, with implementation scheàuled for and provided retirement counseling to mid-1993. Unisys hardware was selected as approximately 250 members. the system platform. zrl in-house development team began work on the The Outreach Education Department system's design in M arch. Two nezp sub- presented 61 pre-retirement injormational systems, jor investments and health seminars to over 2,400 attendees, as well as insurance accounting, were added to the providing retirement counseling to over project. Design work has been completed 1,600 members. M oreover, the Education and development begun. Departmen t created or improved numerous i nformational brochures and New payroll and accou ntinglfinance issued Jpur member newsletters and systems have been implemtnted in order ittitiated the production oj a quarterly to improve fiscal controls and provide internal newsletter to slfl//'. improved management reporting. We expect that our automation projects will ds of llkne 30, 1992, we had a total of 39,302 signtjicantly improve the speed accuracy members receiving retirement benefits. f7ri/ productivity of all phases of our During the 1991-92 fiscal year, retired operation, thereby enhancing service members received $337,700,000 in post delivery. retirement benefits. IW also issued 16,214 contrfôulfprl rejund payments with a total In August, the XSRS purchased the value of approximately $24,800.000. Citibank Tower in downtown Phoenix. Although the purchase was initially Our HeaIth Insurance Unit administers the required to meet investment criteria, the Retiree Group Insurance Program flêlff the Tower will house the ASRS headquarters. Health I nsurance Premium Benejit The ne'ftl ofjices Jrf Considerably roomier Prqram. Duritlg tbe 1991-92 fiscal year than 0ur Indian School quarters and will 8,653 new plan participants 'avre enrolled allow us t 0 improve work flows and in the Insurance Program J0r a total OJ Otherwise imprave e//icieFlc#. We ezTecf 2.3,46.3 participants in pur medical and that our new facilities will be mare deatal programs. During the same period.
ARIZONA STATE RETIREMENT SYSTEM 9 accessible f7?7J convenient jor members and FINANCIAL INFORMATION other visitors. Discussion of Controls Governor Symington made several appoistments to the Stat e Ret irement The ZSR.S management is responsible jor Board. M rs. Susan Burns, a public member, establishing and maintaining a sound îpfks reappointed for a term to expire in system PJ internal accounting controls. The 1995. Public member Mr. John Steitler was objectives of internal accousting controls Jppofnfcd for J ternl 'frhich 'frïll fllso expfre cr: fo ensur: thct the ASRS csscts flre in 1 995, succeedlng Mr. Doug Martin. Dr. protected against theft, loss or misuse; that 1 Reginald Barr was nominated as an transactions are executed in accordance i educatar representative to succeed M r. Paul with management 's authorizations; and i Felix jor a term to expire in 1995. He will that all transactions are recorded properly I scrpc subject to conhrmation during the to permit the preparation of financial !' nex.t legislative session. statements in accordance with general accepted accounting principles. Although SIGNIFICANT LE GISLATION there are inherent limitations in any .system of internal controls, ollr Legislation enacted during the 1 992 management team makes every ejfort fp Iegislative session included a 5% cost (?J ensure that. through systematic reporting living adjustment Jpr alI members retired and int ernal reviews, errors or prior to October 31, 1992, fl/IJ an extension irregularities are quickly detected and (?J thc 3% lflx OJJSCf fncrecse J0r those corrected. retired between September 15, 1991, f7/IJ October 31, 1992. z4 minimum beneht was Revenues prozlïlïérfï jor rrlernscrs u?9/ f'tfflfncd 75 years of càrt, by September 30, with the The junds necessary to Jirlf7rlce retirement amount based on length of service. benefits are accumulated through the I Efjective until December 31, 1994, an active collection of employee and employer member may purchase previously credited contributions and through capital service at the cost of the emplayer and apprecia tion and i ncome from employee contributions, plus interest, based investmettts. The operating revenues for on act ual contribu tions and interest the jiscal years, ended June 30, 1991, and charged jor the forfeited period. The June 30, 1992, are shown as follows: ftriduusct iawrye rde utaiecsk noofw lthede geBdo aridn fosrt athuete ASRS 1992 1991 fncre/se Increqsr , flhlff - 10 ARIZONA STATE RETIREMENT SvsnM Expenses fund balance' in the Financial Section. ds of lune 30, 1992, the total Flnfl balance was The major categaries of expenditure jar the $8.46 billion. ZSRS are payment of retirement and disability benefits to members and The amount shown pn the balance sheet as beneficiaries, refund of cprllrfslflfprls to the ''total pension benefit obligation '' is the terminated participants and costs associated actuarial present value of the total pension with the pperclfpn of the System . benejits est imated to be payable in the Operating expenditures jor the fiscal years future to b0th current retirees and ended June 30, 1991, and June 3O, 1992, are beneficiaries and current employees. zs oj shown as fallows: June 30, 1 992. the total pension benefit obligation was $8.08 billion. 1992 1991 Increase Increase illecrelse> xklecrease> Dividing the total fund balance ($8.46 Exvense Cileepr'v (Millions) (Millions) Amount Percenllee jj/j io yj) jy thv jgjp j pctjs jpyj bvnejjt Brnefits 4.357.5 $320.5 ,.7z.2 11.6 % obligation (4J.p: billion) yields the lne jvyelsrltmse n t 24.8 27.4 (2.6) (9.5) z'z funding ratio z, expressed as a percentage. SecuMLimt qgfemfzwrzteza l 187.49 36.5# (1:1.1 ) (4196 .62 ) As oj June 30, 1992, the funding ratio for Adm'nlstratton 6.1 4.9 1.z 24Ls f/le XSRS was 1.047% based pa the Iwahgef r& suilding 1.73 .2 .1 .p.0 Governmental zcct)u tt ting Standards O l - 1,4 a 21.4 gogvd sjjyjjrmjyut .5 mjyjjjtu oj muyujsu. Total Operating Exptpnses .$416.7 $397.5 $19.2 4.8% l'nvestm ents Administrative expenses of the ASRS in the pscal year 1991-92 constituted only 7.2 The assets of the ASRS trust fund are basis points of the z45R.$ assets. ,4 detailed invested by external investment managers summary of these expenses is included in appointed by the Investment Advisory the Financial Section of this Report. ,4 :/0- Council with the approval of the Arizona year summary of all expenditures is also State Retirement B()fkrl. The ASRS has a sbown in the Investment Section of this hi&hly diversiped investment portfolio and Report. pursues a relatively aggressive investment strategy zt//lf/: adhering to the ''Prudent Funding Status M an'' standard. The X4SRS employs active, passive and specialty investment managers The ultimate test of the financial J0r both equity and Jix'el income soundness of a retirement plan is its ability investments. The ASRS investment to pay all promised benefits when due. ,4 managers Jre requireil to make each J?;J critical indicator of the ability of the Plan lp every frlreslrrlclll, not irl regard t0 Pa y its liabilit ies is the ''funding ratio '', a speculation, but in regard to the permanent measure of the relationship between J/,s p/sffl,on of the ASRS assets, considering available revenues and anticipated future the probable income and presernation of beaept obligations. ctlpital OJ such investments. Realized capital gains, dividends and interest Revenues in excess PJ expenditures are income Jropl the investment portfolio accumulated in the ASRS trust JNrfl and represent the major .ON/T: 01 A'CPPNN' lbr are used to meet future benefit obli&ations the XSRS, accounting J0r approximately to retirees and beneficiaries. The 74% Y the total revenues J0r the Jiscf?l year accumulated balaace is shown as the 'total endinI Iune 30. 1992. AluzoxA STATE RETIREMENT SYSTEM 11 I nvestment income and capital gains ncknow ledgements totaled $791 .1 millioa. The market value 0/ the ASRS portfolio, at June 30, 1 992, This Report repects the effarts of the XSRS increased to $9.5 5fl2ip>l. This increase SfJJJ and, the direction and leadership OJ pccurrel in spite of the fact that the ASRS the State Retirement System Board of had a negative cash pow (excess of benefits Trustees. The Report is intended to over contributions) oj over $118 million. provide complete flrll reliable injormation to be used for management decisions, for I1n4vestments earned a total rate of return of determin ing compliance with legal j .6% jor the year. Detailed injormafion on requirements flrlil as arl aid to fhe txtrcise 1 the investmetlt perjbrmance OJ the System OJ responsible stewardship V th6 JSSeI,S . is cottained in the Investment Section of contributed by our employee and employer this llepo'rl. merrlsers . . OTHER INFORMATION I woald like ltl express my gratitude to 0ur ccpflùlc dtdicat CJ stajf, f0 the Stgt: Audit Opinion Retirement Board oj Trustees, f/l: I n v es t m en t :4 J v i s o ry Co u n c i 1, o u r The ASRS Jfnflncifll stfltcments flre fludftcd projessfonfll consulfants, flnfl the many annually by an independent accounting others who have worked diligently to firm. The auditors' report for the fiscal year ensure t he successful operat i0n and euled June 3O, 1992, fs fldgcfn unçucll/fel. Jf/lcncfql sounlness of the Arfzoufl Stflte The opinion and the supporting schedules Retirement System. are contained in the Financial Section of this Report. Res/éctj lp suàrlftfel, z/ Certificate of Achievement z * A,. / , The G o p e r n m e n t Fi na n ce Officers David S. Hunt Association (GFOA) awarded fl Certîjicate oj Director Achievement for Excellence in Financial Reporting to the ZSRS J0r its Component DSH:edj l.Jrlp'f Financial Report for the jiscal year ended June 3% 1991 . This Certificate recognizes excellence in state and Iocal government jinancial report ing. To earn a Certificate of Acbievement, an entity must publish an easily readable and ejjiciently organized financial report whose contents conform to specified program standards as well as generally accepted accounting principles and applicable Iegal requirements. ./4 Certtjicate oj Achievement is valid Jpr a period of one year only. We believe that this Report also conforms to the requirements jor certijicat ion and we are submitting it to the GFOA. 12 ARIZONA STATE RETIREMENT SYSTEM ertificate ()f c *l eve ent for xcellence 1' n inancial eportl@ng Presented to The A rizona State Retirem ent System For its Component Unit Financial Report for the Fiscal Year Ended June 30, 1991 A Certificate of Achievement for Fxcellence in Financial Repoding is presented W the Government Finance Officers Association of the United States and Canada to government units and public employee retirement spstems whose component unit financial reports ICUIDRSI achieve the highest standards in government accounting and financial repoding. qW El WY * MRJ'E 1$ % T'%- .+ ,J president - 2M*%%% x cutive Director ARIZONA STATE RETIREMENT SYSTEM 13 ADM INISTRATIVE ORGAN IZATION l Rsrm Ev svrsoauo v m ssus Ron Pelton, Chairman, Cottonwood (Member since January, 1991) 1 Claudette Frederickson, Vice Chairman, Phoenix (Member since Januarp 1991) James M. 1-101st, Political Subdivision Employee Member, Prescott (Member since Febnlarp 1990) Paul Felixy Educator, Tucson (Member since June, 1989) David Greenaway, Retired Member, Casa Grande (Member since May, 1991) Sumn R. Burrks, Public Memhm Tempe (Member since June, 1989) John B. Steitler, Public Member, Phoenix (Member since January 1992) INVESTM ENTADVISORY COUNCILM EM BERS Ron Pelton, Chainnan, Cottonwood (Member since Octobec 1985) Peter S. Wainwright, Vice Chairman, Paradise Valley and Flagstaff (Member since Januarp 1991) Grace lau, Phoenix (Member since June, 1989) Norman Miller, Esq., Phoenix (Member since Januarp 1991) Richard L. Smith lI, PIUD., Tempe (Member since January, 1991) STAFF David S. Hunt, Director C. Douglas Lemon, Jr., Chief Investment Officer and Assistant Director - Finance Lynn J. Cochran, Assistant Director - Operations Vacant - Deputy Director John P. Hendricks, Chief Accountant n omas E. Finnertp Executive Staff Assistant PROFESSIONAL CONSULTANTS INDEPENDENT AUDITORS Deloitte & Touche, Phoenix ACTUARY The Wyatt Company, Dallas INVESTM ENTMANAGERS Axe-ldoughton Associates. Inc., New York The Boston Companp Los Angeles Capital Guardian Trust Co., Los Angeles Clay Finlay, Inc., New York Duff & Phelps lnvestment Management Co., Chicago ! D S Advisoly Group, M inneapolis INVESCO M IM, Atlanta J. P. Morgan lnvestment Management, Inc,, New York J. P. Morgan Investment Management, Inc., London Mellon Capital Management Corp., San Francisco Schroder Capital Management lnternational, Lordon Valley National Bank, Phoenix W ells Fargo Nikko lnvestment Advisors, San Francisco INVESTM ENTADVISOR W illiam M. M ercer Assct Planninp Inc., Los Angeles 14 ARIZONA STATE RETIREMENT Svs'rcsf .%J i: tl t; t * .z s. y' r: >.. tb .> mtu (A rl Fa ..8 .n N1 '/. rz .g uq tu . *a kl >g:. i: .$ d o u. $5 u i$ < h' 8 ' ARIZONA STATE RETIREMENT SYSTEM 15 SUM M ARY 0F 1992 RETIREM ENT LEGISLATION The Second Regular Session of the Fortieth Legislature considered 29 bills affecting the benefit programs and operations the Arizona State Retirem ent System . Eleven bills passed the process and were signed into 1aw by Governor Symington. CHAPTER 27 (H.B. 2038) - Allows members who were in the process of retiring when the level income option was adopted, but who did not know of the passage of the bill, to opt for that option. CHAPTER 53 (H.B. 1213) - Acknowledges the Board's role as fiduciary of the Arizona State Retirem ent System Trust Fund, and Prohibits the Board from m aking recom mendations for or against benefit enhancem ents. It permits recomm endations for im provement of the j Arizona State Retirement System operations. CHAPTER 137 (S.B. 1203) - Retroactive to May 1, 1992, until December 31, 1994, active participants may redeem forfeited credited service by paying the employer and employee contributions, along with accum ulated interest on both contributions. Active participants with at least five years of credited service who are terminated from employment by a Plan employer under a required reduction in force (RlF) are allowed to purchase credited service for the period of their unemploym ent if they return to work with a Plan em ployer within two years of the RIF. Cost of this service purchase is an amount equal to the employer and employee contributions the m ember would have paid, plus interest at a rate based on the average rates during the period of unemploym ent. CHAPTER 145 (H.B. 2035) - Long Term Disability (LTD) benefits will be reduced by 50% for any salary paid to an LTD participant who is working while receiving LTD benefits. It includes reductions for sick leave payments for which the recipient is eligible. A definition of 'received medical treatment'' is added to specify what constitutes an excluded illness or injury in the first 3 months of LTD coverage. CHAPTER 188 (H.B. 2065) - An emergency measure requiring the Department of Administration to obtain liability insurance for m embers of the Board and Investm ent Advisory Council. M embers of the Board and Council are declared immune from civil liability for acts taken in good faith in their official capacities. CHAPTER 252 (H.B 2037) - A Plan participant who elects a joint and survivor option is permitted to rescind or change the contingent annuitant by providing the Board with evidence of good health for both pariicipant and annuitant. Persons who have chosen the joint and survivor option will have their benefit recalculated as a straight life option in the event of the death of the contingent annuitant. CHAPTER 309 (H.B. 1260) - Effective November 1, a 5% ad hoc cost-of-living adjus% ent is granted to al1 retired and disabled Plan m embers who are retired or disabled on or before October 31, 1992. i 16 ARIZONA STATE RETIREMENT SYSTEM i I SUM M ARY 0F 1992 RETIREM ENT LEGISLATION (Continued) CHAPTER 320 (H.B. 2036) - This annual Corrections House Bill contains three major amendments: 1. It allows the Director, with the approval of the Board, to pay the Attorney General for legal services without going through the appropriations process. It requires the Arizona State Retirem ent System to provide health insurance for 12 m onths to m embers who are terminated from the LTD program, but who are not re- em ployed by a Plan employer. These recipients are required to pay the health insm ance premium personally. The bill retains the year 2002 as the end date for the valuation period while blocking the previously m andated shift to a 45 year amortization period when an increase in the contribution rate occurs. CHAPTER 321 (H.B. 2039) - Specifies types of experience required for members of the Arizona State Retirement System Investm ent Advisory Council. It prohibits any person who holds a real estate license or who is actively engaged in the profession of stockbroker or bond broker from serving on the Council. CHAPTER 325 (H.B. 2056) - The percentage of the Arizona State Retirement System assef.s that m ay be invested in foreign securities or the sale of options is increased to 15% from 10% of the investment portfolio. CHAPTER 339 (H.B. 2242) - A retired member who is at least 75 years of age on September 30, 1992, is eligible for a minimum monthly benefit payment with the following conditions: 10 years of credited service - $350 per month * 15 years of credited service - $500 per month 20 years of credited service - $600 per month System members must transfer to the Plan to qualify. Also included in this Bill was the continuation of the 3% Hold Harmless Tax Offset provision for members who retire after September 14, 1991, but before October 31, 1992. ARIZONA STATE RETIREMENT SYSTEM 17 ! 1 ! 1 i 1 ! 1 1 1 X gs'rzaz- ! %>i.* .. .. .+ t?h .** *.% ; . e 'qrm olvv osua q k J et.y '.an 1i: u) et.p .t r1 >H ,, 1% 1. *z a A*.*- -,-o *-. # *.. .%* 26 *.* **** .****** ..26 .1953 18 ARIZONA STATE RETIREMENT svsn M FIN AN CIA L SECTION Independent Auditors' Report Balance Sheets Statem ents of Revenues, Expenses, and changes in Fund Balance N otes to Financial Statem ents A nalysis of Funding Progress Five Year Com parison Revenues and Expenditures Ten Year Com parison A dm inistrative Expenses Retiree H ea1th lnsurance Expenses O utreach Education Expenses Schedule of Cash Receipts and Cash Disbursem ents Sum m ary Schedule of Com m issions Paid to Brokers Portfolio Sum m aries Sum m ary of Changes in Investm ent Portfolio ARIZONA STATE RETIREMENT SYSTEM 19 1 ! 1 ! i I 1 1 i t I1 I 1 1 '1' g..E..T..Z.J.U >N.. *...... 1 c& . .. ++ o .4 x a'm.#r; * olmm oaua ** %A1f1 sol i: 1-u) eWt % 1' ,, tra * z udtw *. 20 ARIZONA STATE RETIREMENT SYSTEM zebi e & Teuche Suite 1 200 Telephone: (602) 234-5100 2901 North Central Avenue Phoenix, Arizona 8501 2-2799 INDEPENDENT AUDITORS' REPORT To thc Arizona State Retirement System Board and the Auditor General of the State of Arizona: We have audited the balance sheets of the Arizona Sute Retirement System (tlle 'System') as of June 30, 1992 and 1991, and the related statements of revenues, exœ nses, and changes in fund balance for the years then ended. n ese linancial statement.s mr tàe responsibility of the System's management. 0. resm nsibility is to express an opinion on these tinancial statements based on our audits. W e conducted our audits in accordance with generally accepted auditing standards. Thosc standards requirc that we plan and perform the audits to obtain reasonable assurance about whether the tinancial statements are frec of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in tlle tinancial statemena. An audit alse includes assessing the accounting principles used and signiticant estimates made by management. as well as evaluating the overall linancial statement presentation. W e believe tlat our audits provide a reasonable basis for our opinion. In our opinion, such financial statements present fairly, in al1 material resm cts, the linancial position of the Arizona State Retirement System as of June 30, 1992 and 1991, and the results of its operatiorks for the years then ended, in confonnity witll generally accepted accounting principles. Our auclits of the financial statements of the Arizona State Retirement System for the years ended June 30, 1992 and 1991 were made for the ptupose of forming an opinion on the tinancial statements taken as a whole. The accompanying supplemenml schedules for the years ended June 30, 1992 and 1991 are presented for purposes of additional analysis and are not a required part of tle basic tinancial statements. Such information has been subjected to the auditing procedures applied in the audit of the basic ti nancial statements and, in our opinion, is fairly stated in aII material respects in relation to the tinancial sutements taken as a whole. - j October 9, 1992 Nbitteldlcie T ! 1I* dI- I AmzoxA STATE RETIREMENT SYSTEM 21 ARIZONA STATE RETIREMENT SYSTEM BALANCE SHEETS JUNE 30, 1992 and 1991 lkmeK. - IM 1W1 ASSETS: Cash (Note 3) $ 1.* 218 $ 7.V .755 RECEIVABLES: Accrued interest and clividends 22,195,473 22,783,497 Securities sold (Note 3) 165,996,969 13,948,691 Forward Contracts 3 A ,928 -0- Contribudons 4.980,735 5.024.974 Total receivables 196.238.105 41,757.162 INVESTMENTS (Note 3): Temporary investments at cost (market $793 999,060 ' and $811,910,697, respectively) 793,918,816 811,924,249 United States Government obligations, at amortized cost (market $4775,827 t3% and $3,750,016,469, respectzvely) 3,991,336.788 3,571,910,577 Corporate bonds, at amortized cost (market $321,421,279 and $254,370,298, respectively) 300,536,966 253,346,&35 Cornmon and preferred stocks at cost (market $4,175,342.223 and $3,686/876,751, respectively) 3,602,478,533 3,333,332,351 Mortgagts 223.414.519 239,770,&9 Total investments 8.911,685,622 8.210,284,321 FIXED ASSEK : Land 860,% 860,% Building 1,* ,511 1.740,544 Total fixed arxsets 2,7œ,544 2,*0.544 Less accumtzlated depredation (4+,126) (348.1œ) Total fixed assets 2,294,418 2,252.436 TOTAL ASSETS 9,111,296,363 8,261,802,674 LIABILITIES: Payable for securities purchased (Note 3) 279,8œ 936 28 139 ffus Obligations under security loan agreements (Note 3) :,19 (/9 (4.7 413,330 474 Forward Contracts 3 lW> -G. Other 483,823 48331 Total liabilities 652,435:œ6 441,953,962 NET AKETS AVAILABLE FOR BENEFITS $8/458,861k357 $7,819,848,712 FUND BALANCE (Note 4): Pension benefit obligation: Retirees and benefidaries currently receiving benefits $3 066 775 687 $2 715 084 696 Disabled members receiving benefits 87 583 500 52 (m 400 Terminated employees not yet receiving benefiLs 157 875 744 141 063 466 Current employees: Accumulated employee contributions, including alocated investment income 1 931 862 2W 1 649 712701 ' Employer-financed vested 2416 611 793 1 #55 (W0 +7 1 Employer-financed non-vested 619 ()s1 (a) 5.r239 future benefit credits 379 100 g26 729 7œ 762 I TOTAL FUND BALANCE $8.458.861,357 $7,819,848.712 'lhe accompanytng notes are an intep'al part of these finandal statements. 22 ArtlzoxA STATE RETIREMENT SYSTEM 1 1 ARIZONA STATE RETIREMENT SYSTEM STATEMENTS OF REVENUES, EXPENSES: AND CHANGES IN FUND BALANCE Y- Ended Iune 30. 1992 1991 OPERATING REVENUES: Member contribudorts (Note 5) $ 132773716 $ 133,364,246 Employer contribudons (Note 5) 132,273,316 133,364,246 Memlx'r mimbtzrsements 706,* 0 332,832 tnterest (Note 3): Temporary investments 12,576,552 51 ê439,949 United States Government obligations 327,896,746 291,808769 Corporate Y nds 27,929,257 19,849,443 Mortgages 19,234,959 20,241,6D Security loan program 20,120,013 38,274,907 Contracl 11,064 16,868 Dividends 105,850,359 98,743,584 Gain on Mles of investments, net 277,204,677 145,377,057 Other 239,196 455.785 TOTAL OPERATING REVENUES 1.056316,095 933.268.763 OPERATING EXPENSES: Retirement and disability benefits 347773,283 311,478,056 Death benefits 10,168,325 8,871,147 Refunds to withdrawing members, including interest 24,812,896 27,410,639 Invotment management fees and mordtor sel-vices 7,873,417 6,756,575 Security loan interest expense (Note 3) 18792,275 36,450,689 Administrative expenses 6,085,656 4,868,509 I-and and building operations, net 323,300 211,985 Other 1.707,010 1.435,983 TOTAL OPERATW G EXPF-NSES 416,736,162 397,483383 NET OPERATINC INCOME 639579,933 535,785,180 TRANSFER TO OTHER RETIREMENT SYSTEMS (567,288) (3,846,809) NET INCOM E 639,012,645 531,938,371 FUND BALANCE, beginning of year 7,819,848.712 7,287.910,341. FUND BALANCE, end of year $ 8-458-861,357 $ 7,819.848.712 The accompanying notes are an intep'al Part of these finandal statemenl. ARIZONA STATE RETIREMENT SYSTEM 23 ARIZO-NA STATE RETIREM ENT SYSTEM NOTES TO YINANCIAL STATEM ENTS YEARS ENDED IUNE 30. 1992 AND 1991 1. DESCRIPTION OF THE SYSTEM A. Orzanization The Arizona State Retirement System ('System') is a cost-sharinp multiple-employer, public employee retirement system established by the State of Arizona to provide pension benefits for employees of the state and employees of participating political subdivisions and school districts. The System is adminjstered in accordance with Title 38, Chapter 5 of the Arizona Revised Statutes. The State of Arizona designates the management of the System, establishes the contribution rate and has budgetary control and thus, the System is considered a component unit of the State of Arizona. The System administers the Arizona State Retirement System and the Arizona State Retirement Plan. The Arizona State Retirement System was established by the Arizona Legislature in 1953 to Provide retirement and other benefits for state employees and teachers, together with employees of political subdivisions that elected coverage. Previously, in 1943, the tejislamre had established the Arizona Teachers' Retirement System (the 'Teachers' System'') to provlde benefits for teachers. After the establishment of the Arizona State Retirement System, teachers who were, or later became, eligible through employment to be covered by the Arizona State Retirement System were transferred to that fund. The Teachers' System then became inactive, except for continuation of retirement benefits already being paid and obligations to teacher members who did not become eligible for the Arizona State Retirement System. The Arizona State Retirement Plan ('P1an''), enacted by the Legislature in 1970, became effective during the fiscal year ended June 30, 1972. Effective July 1, 1981, all nonretired members of the Arizona State Retirement System became members of the Arizona State Retirement Plan as prescribed by House Bill 2453. The Arizona State Retirement Plan provides for fixed benefits under formulas and provisions described in $he law. Benefits are paid from funds contributed by members and employers and from earnings on the invested funds. Members who were formerly Arizona State Retirement System members have the option to choose Arizona State Retirement System or Arizona State Retirement Plan benefits upon retirement. Both the Arizona State Retirement System and the Arizona State Retirement Plan are administered by the Arizona State Retirement System Board. 24 ARIZONA STATE RETIREMENT SYSTEM ARIZONA STATE RETIREM ENT SYSTEM NOTES TO FINANCIAL STATEM ENTS (Continued) YEARS ENDED IUNE 30, 1992 AND 1991 1. DESCRIPTION OF THE SYSTEM (Contpd) Oreanïzation (Cont'd) Employer and employee membership data as of June 30 is as follows: 1992 1991 EM PLOYER UNITS: School districts 214 212 Cities and towns 55 55 Counties 14 14 Special districts 11 10 Community college diskicts 10 9 State government 1 1 Aftor first obtaining Federal Social Security coverage for its employees, a goverrunental employer may then elect to cover its employees under the System . Once retirement coverage is obtained, a1l employees who qualify as participants, with the exception of those eligible for other state retirement programs, are required to become contzibuting members of the System. 1992 1991 EMPLOYEE MEMBERS: Retirees and beneficiaries currently receiving benefits and terminated employees entitled to benefits but not yet receiving them 56,668 53,695 Current employees: Vested 74,392 75,982 Non-vested 65.241 58,769 TOTAL 196.301 188,446 ARIZONA STATE RETIREMENT SYSTEM 25 ARIZONA STATE RETIREM E NT SYSTEM NOTES TO FINANCIAL STATEM ENTS (Continued) YEARS ENDED IUNE 30, 1992 AND 1991 1 l DESCRIN ION OF-THE SYSTEM tcont/dl 1 B. Benefits The Plan provides for retirement, disabilitp health insurance premium benefits, and death and survivor benefits. Retirem ent benefits are calculated on the basis of age, a'verage monthly compensationz and service credit. Members are eligible for full retirement benefits on the first day following (A) the attainment of age 65, (B) the attainment of age 62 and ten year of total credited service, or (C) the date when age plus total credited service equals 80. The benefit is based on 2% of average monthly compensation multiplied by t14e years of service credit. Average monthly compenmation is defined as the period of 36 consecutive months during which a partiiipant receives the highest compensation witlzin the last 120 months of service during which the employee made retirement contributions as required by Iaw. The compensation does not include lump sum payments on termination of employment for accumulated vacation or annual Ieave sick leave, compensatory time or any other form of termination pay. Members who began participation in the Plan prior to January 1, 1984, may choose to have average monthly compensation determined upon the period of 60 consecudve months during which the member receives the highest compensation within the last 120 months of servicey including lump sum payments as described above. Persons who have reached age 50 with at least five years of total credited service may take an early retirement which entides them to a reduced redrement benefit. Effective July 1, 1988, members of the Plan are eligible for a disability benefit in the event they become unable to perform their work. A participant continues to earn credit of up to a total of 25 years of service credit during the period of disability. Commencing January 1, 1989, retired and disabled members of the System and Plan with ten years of credited service who receive health insurance from their previous Plan employer or from the System's rctiree group health insurance program became eligible for a health insurance premium benefit. M edicare eligible members are eligible for a payment of $65 for individual coverage and an additional payment of $50 for dependent coverage. 'I'he premium benefit for non-Medicare eligible members is $95 for individual coverage and $80 additional for dependent coverage. Members who have at least five years of credited seaice but less than ten years of service are eligible for a proportional payment. Upon termination of employment, a member may withdraw contributions made to the Plan plus accrued interest. The acceptance of a refund forfeits the individual's rights and benefits in the Plan. SUM MARY OF SIGNIFICANT ACCOUNTING POLICIES A. Basis of Accounting The financial statements are prepared using the accrual basis of accounting under which expenses are recorded when the liability is incurred and revenues are recorded in the accounting period in which they are earned and become measurable. 26 ARIZONA STATE RETIREMENT SYSTEM ARIZONA STATE RETIREM ENT SYSTEM NOTES TO FINANCIAL STATEM ENTS (Continued) YEARS ENDED IUNE 30, 1992 AND 1991 2. SUM- M- A-RY OF SIGNIFICANT ACCOUNTING POLICIES (Cont'-d.l B. Investments Temporary investments are recorded at cost. United States Government obligadons and corporate bonds are recorded at cost, net of discounts or premiums, which are amoruzed using the interest method. Common and preferred stocks are carried at average cost, including acquisition costs. Mortgages are carried at the unpaid Principal balances, with adjustment for unamortized discount or premium. C. I-and and Building Land and building are recorded at historical cost. The building and any original improvements are depreciated over a 3o-year period using the straight-line method. The depreciation expense for both 1992 and 1991 was $58,018. n e System does not record property and equipment (plincipaily office furrdture and fixmres) as assets but includes the cost of such items in administradve expendimres in the year purchased due to the insignificant total cost. D. Federal Income Tax Stams During the years ended June 30, 1992 and 1991, the System qualified under Section 501(a) of the Internal Revenue Code and was exempt from federal income taxes. E. Recla- -ssifications Certain reclassifications were made to the 1991 amounts to conform to the classificatiorts used in 1992. 3. CASH AND INVESTMENTS A. Cash At June 30 1992, the carrying amount of the System's cash deposits with financial instimtions was $1,078,218 and the bank balance was $2,036,195. Of the bank balance, $200,000 was covered with federal depositoly insurance funds and $1,836,195 was collateralized with securities held by the pledging bank's trust department in the System's name. ARIZONA STATE RETIREMENT SYSTEM 27 ARIZONA STATE RETIREM ENT SYSTEM NOTES-TO FINANCIAL STATEM ENTS- (Continued) YEARS ENDED IUNE 30, 1992 AND 1991 3. CASH AND INVESTMENTS (Cont'd) 13 . Investments Statutes enacted by the Arizona State Legisla mre (the ''Statutes') authorize the System to make investments in accordance with the 'Prudent M an'' rule. This rule charges the System with the responsibility of making investments with the judgment and care that men of ordinary prudence would exercise in the management of their own affairs when cortsidering both the probable safety of their capital and the probable income from that capital. W ithin this broad framework, the System has chosen to invest in short-term securities, obligations of the United States Government or agencies of the United States Government, corporate bonds, common and preferred stocks and mortgages. The Statutes place the following restrkuons on the System's investment fund portfolio: 1. ''No more than sixty percent of the System's total assets may be invested at any given dme in corporate stock or equity equivalents, based on cost value of the stocks or equity equivalents irrespective of capital appreciation. 2. No more than five percent of the System's assets may be invested in securides issued by any one institution, agency or corporation, other than securities issued as direct oblàgations of or fully guaranteed by the United States Government. 3. No more than five percent of the voting stock of any one corporation may be owned. 4. No more than ten percent of the System's assets (based on cost value of the total fund) may be invested in foreign securities or the sale of options, and such investments shall be made only by investment managers with demonstrated expertise in such investments. This does not authorize any itwestment irt precious metals, venture capital or the purchase of options except closing purchases of options which have been previously sold. 5, No more than ten percent of the System's assets may be invested in bonds or other evidences of indebtedness of those multinational development banks in which the United States is a member nation including the International Bank for Reconstruction and Development, the African Developm ent Bank, the Asian Development Bank, and the Inter-American Development Bank. 6. No more than one percent of the System's assets may be invested, at the Council's discretion, in Economic Development Projects authorized as eligible for such investment by the Arizona State Department of Commerce.' 28 ARIZONA STATE RETIREMENT SYSTEM ARIZONA STATE RETIREM ENT SYSTEM NOTES TO FINANCIAL STATEM ENTS (Continued) YEARS ENDED IUNE 30, 1-992 AND 1991 3. CASH AND INVESTM EN'IY (Cont'd) 'Ihe System is responsible for the investment of temporary surplus funds which, by stattzte, can be invested only in obligations of the United States Governments agencies whose obligations are guaranteed by the Urdted States Government and commercial paper or bankers' acceptances for a term not to exceed fifteen days. n e cost and reported market value of investments were as follows; lune s'kl 1%2 1991 Cost Markd & st M arket Temporary investments $ 793,918,816 $ 793,999,060 $ 811,924,249 $ 811,910,697 Uhited States Government obligations 3,657,708,061 4,025,369.336 3,204,692,399 3777,219,442 Corporate bonds 295,033,054 315,684,459 221,788,173 224574,207 Commonand preferred stocks 3,588,353.125 4,154,188,482 3,322,348,264 3:76,924,001 M ortgages 223,414,519 223,414,519 239,770,609 239,770,609 Investments held by broker- dealers under security loan propam: United States Govemment obligations 333,628,727 350,457,972 367,218,178 372,797,027 Corporate hlnds 5,503,912 5,736,820 31,558,362 29,796,091 Cornmon and preferred stock - 14.1.25,408 21,153.741 10,984.087 9.952.750 Total investment costs and market value 8,911,685,622 9,890,004,389 8,210,284,321 8,742,944.824 Obligations under security loans 369,039,647 369,039,647 413.330.474- 413.330,474 Invcstment costs and market value - net $ 8,542.645,975 $ 9,520,964.742 $7,796,953,8.47 $8.329,614.350 ARIZONA STATE RETIREMENT SYSTEM 29 ARIZONA STATE RETIREM ENT SYSTEM NOTES T0 FINANCIAL STATEM ENTS (Continued) YEARS-ENDED IUNE 30, 1992 AND 19- 91 3. CA- SH- AND INVESTMENV tcont-fd) lf avgilable, quoted market prices have been used to value investmests as of June 30' 1992 and 1991. Securities not having a quoted market price have been valued on yields currently available on comparable securities of issuers with similar credit ratings. Mortgages are valued at the ou/tanding principal balance. lnvestments in foreigrt stock of $403,091,765 cost; $393,735,767 market value ard $497,328,861 cost; $523,306,977 market value at June 30y 1992 and 1991, are included in cornmon and preferred stocks. Net foreign securities and currency (lossesl/gains recognized and included in determining net income for the ycars ended June 30, 1992 and 1991 were $44,815,051 apd (9795,857). respectively. Ginovveesrtnmmenentst aflo Ar cthcoe upnutrinpgo sSet aonf dgairvdins gB oaanr din Sdtiacaîetmioenn ot fN thuem bIeevre l3 orfe qriusikr eass sguomveemd mbye ntth e netnittiietsy taot cyaetaegr-oernizde. Category 1 includes investments that are insured or registered or for which securities are held by the System or its agent in the name of the System. Category 2 includes uninsured and unresstered investments for which securities are held by the bank's trust department or agent in the name of the System . Category 3 includes uninsured and unregistered investments for which the securities are held by the broker or dealer but not in the System's name. Al investments of the System (other than thox held under the security loan program which are in Category 3) meet the criteria of Category 1. Due to the flow of securities to and from transfer agents and the security loan program, securities occasionally cannot be delivered for a sale or received for a purchase resulting in a 'failed' transaction. Securities with t'rade dates in June @nd settlement dates in July result in, ''outstanding'' transactions. Since these securities have contractually changed ownership, receivables and payables result from these transactions. Such transactions resulted in a receivable for securities sold of $165,996,969 and $13,948,691 at June 30. 1992 and 1991, respectively, and a payable for securities purchased of $279,803,936 and $28,139,6* at June 30, 1992 and 1991, respectively. The Stamtes also allow the System to lend securities to brokers under a security loan program. n e System enfers into agreements with brokers to loan securities and have the >me securities redelivered at a later' date. It is the policy of the System to receive and maintain as collateral at least 102% Df the market value of the loaned securities ïn the form of cash. The System records the cash received and the same amount as an obligation for securities on Ioan. The cash received is invested in temporary investments. Interest income from the investment of the collateral is rettrned to the broker. The System receives a negotiated fee for its loan activities. At June 30, 1992 and 1991, the System had $369,039,647 and $413,330,474, respectively, outstanding as payable for securities on loan. 30 ARlzoxw STATE RETIREMENT Svsn wl ARIZONA STATE RETIREM ENT SYSTEM 2 ' NOTES TO FINANCIAL STATEM ENTS g (Continued) YEARS ENDED JUNE 30, 1992 AND 1991 4 . F UND I.N G STATUS AND .P-R-- -OGRESS The amount shown below as ''Pension Benefit Obligation' is a standardized disclosure measure of the present value of pensïon benefits, adjusted for the effect of projected rsalary increases and any step-rate benefits estimated to be payable in the future as a result of employee service to date. n e measure is the actuari4l present value of credited projected benefits and is intended to help users arxsess a public employees retirement system's funding stams on a golng-concem basis, assess progress made in accumulating suffident assets to pay benefits when due and make comparisons among such systems. The memsure is indem ndent of the actuarial funding method used to determine contribudons to the System discussed below. The pension benefit obligation was determined as part of an actuarial valuation at June 30, 1992. Significant acmarial assumptions used include: (a) a rate of remrn on investment of present and fumre assets of 8% per year compounded annually; (b) projeded salary increases of 5.50%, compounded ammally, attributable to cost-of-living and salary merit increases ranging from .50% to 3.00%; and (c) no postretirement benefit increases. Legislation during fiscal year 1992 resulted in an increase in the pension benefit obligation due to Plan amendments and assumption changes by $81,040,457 and $199,450,178 respectively. Plan amendments that became effective after June 30, 1992 accounted for a $261,197,558 increase in the pension benefit obligation, subsequent to June 30, 1992. The assets in excess of the pension benefit obligation as of June 30, 1992 and 1991 are as follows: Itmer . 1992 1991 Pension benefit obligation: Retirees and beneficiaries currently receiving benefits $3,066,775,687 $2,715,084,696 Disabled members receiving benefits 87,583500 52,004,400 Terminated employees not yet receiving benefits 157,875,744 141,063.466 current employees: Accumulated employee contributions, induding allocated investment income 1,931,862,207 1.649,712,301 Employer - financed vested 2,216,611,793 1,955,040,687 Employer - financed nonvested 619,051,600 577-.,-239.4* Total pension benefit obligation 8,079,760,531 7,090,144,950 Net assets available for benefits, at cost (market value $9,437,180,124 and $8,352,509,215, respectively) 8.458,861.357 7,819,848,712 Net assets available for fumre benefit credits $ 379,100,826 $ 729.703,762 The System had no related party investments. ARIZONA STATE RETIREMENT SYSTEM 31 ARIZONA STATE RETIREM ENT SYSTEM NOTES TO FINANCIAL STATEM ENTS (Continued) YEARS ENDED IUNE 30, 1992 AND 1991 CONTRIBUTIONS REOUIRED AND CONTRIBUTIONS M ADE The Arizona Revised Stamtes (''ARS') provide statutory authority for determining the employees? and employers' contribution amounts as a percentage of covered payroll. Employers are required to contribute at the same rate as employees. Although the statutes prescribe the basis of making the acmarial calculation, the Arizona legislature is able to change the contribution rate from that acmarially determined. n e actuarial computation is made two years in advance based on the June 30 infonnation (the rate for 1992 was based on June 30, 1990 information). The contribution rates were actuarially determined using the Projeded Unit Credit funding method (PUC). The contribution rate consists of a factor to cover normal costs using the same actuarial assumptions used to compute the pension benefit obligation and a factor to amortize the under funded past service liability based on the criteria of the Arizona Revised Stamtes, not to exceed an amortization period of 45 years. The current amorEzation period is 11 years. The contribution rates, as actuarially determinedy for the years ended June 30, 1992 and 1991 were as follows: 1992 1991 Percent of Pertvnt of covered covered Amount . pavroll Amount payroll Nonnal cost $342,073,492 9.31 % $319.794,894 9.16% Amortization of over funded past service liabili ty (77.526,860) (2.11) (53,066,402) (1.52) Tota l $264,546,632 7.20 To $266.728.492 7.64% Employers' share $132,273,316 3.60 % $133,364,246 3.82% Employees' share 132,273,316 3.60 133,364,246 3.82 Total $264.546.632 7.20 t/o' $266,728,492 7.64% The actuarial determined rate for the year ended June 30: 1993 is 3.59% for both the employers' and employees' portion. 32 ARIZONA STATE RETIREMENT SYS'I'EM ARIZONA STATE RETIREM ENT SYSTEM NOTES TO FINANCIAL STATEM ENTS (Continued) YEARS ENDED IUNE 30, 1992 AND 1991 6. ADDITIONAL BENEFITS In addition to the pension benefi/ described, the Arizona State Retirement System offers the Retiree Group Insurance Program and the Hea1th Insurance Premium Benefit Program to eligible retired and disabled members. Retired is defined as actively receiving an annuity benefit and disabled is defined as receiving a Long Term Disability (LTD) benefit through the LTD program administered by the Arizona State Retirement System or through their fonner member employer's group LTD plan. Pursuant to ARS 38-781.25 the Retiree Group Insurance Program makes available group health insurance coverage to eligible retired and disabled members. Retired and disabled members of the Arizona State Retirement System, Public Safety Personne! Rehrement System, Elected Officials Retirement Plan and Corrections Officers Retirement Plan may participate if they are no longer eligible for health insurance benefits through their former employer. Approximately 23,463 coverage agreements currently exist. Pursuant to ARS 38-781.41, retired and disabled members with at least five years of credited service are eligible to participate in the Health Insurance Premium Benefit (subsidy) Program. This assistance is provided to those members that elect group coverage through either the Retiree Group Insurance Program or their former member employer. The following chart illustrates the amount of the monthly available benefit: Manber With Dependentts) Memlxr With Dependentts) Years of Percent of Only Not Only Not Crediled Premium Not Medicare Medicare Medicare Medicare Medicare Medicare Service Benefit Elicible Elizible Elizible Elizible Elizible Elizible 5.0 - 5.9 50% $47.50 $ 87.50 $ 72.50 $32.50 $ 72.50 $ 57.50 6.0 - 6.9 60% 57.00 105.00 87.00 39.00 87.00 69.* 7.0 - 7.9 70% *.50 122.50 101.50 45.50 101.50 80.50 8.0 - 8.9 80% 76.% 140.00 116.00 52.00 116.% 92.* 9.0 - 9.9 90% 85.50 157.50 130.50 58.50 130.50 103.50 10.0 + 100% 95.00 175.00 145.00 65.00 145.% 115.* The Arizona State Retirement System reimbursed approximately $23,700,000 towards the cost of group health insurance coverage for the year. This figure represents an increase of 28.11% over the previous year. CONTINGENT LIABILITIES The System is a party in various Iitigation matters. W hile the final outcome cannot be determined at this time, management is of the opinion that the liabilil, if any, for these legal actions will not have a material adverse effect on the System's financial position or results of operations. 8. HISTORICAL TREND INFORM ATION Historical trend information designed to provide information about the System's progress made in accumulating sufficient assets to pay benefits when due is presented immediately following the notes to the financial statements. ARIZONA STATE RETIREMENT SYSTEM 33 ARIZONA STATE RETIREM ENT SYSTEM SUPPLEM ENTM SCHEDULE ANALYSIS OF FUNDING PROGRES.S FIVE YEAR COM PARISON (000,000 omitted) ( 1 ) (2) (3) (4 ) (5) (6) Assets in excess Net assets Assets in of PBO as a a v a i l ab 1 e Pension Percent excess of Annual percentage of Fiscal for benefit funded PBO covered covered payroll year benefits obligation (1)+(2) (1)-(2) P3YrO1 (4+ 5) 5,989.8 5,392.7 111.1 597.1 2,817.7 21.2 ' 1989 6,652.7 6,016.9 635.8 2,993.6 21.2 1990 7,287.9 6,639.7 109.8 648.2 3,211.7 20.2 1991 7,819.8 7,090.1 110.3 729.7 3,453.0 21.1 1992 8,458.9 8,079.8 104.7 379.1 3,616.0 10.5 Analysis of the dolar amounts of net assets available for benefits, pension benefit obligation and unfunded pension benefit obligation in isolation can be misleading. Expressing the net assets available for benefits as a percentage of the Pension benefit obligation provides one indication of the Plan's funded stat'us on a going- concern basis. Analysis of this percentage over time indicates whether the System is becoming financially stronger or weaker. Generally, the greater the percentage, the stronger the retirement plan. The assets in excess of pension benefit obligation and annual covered payroll are both affected by inflation. Expressinj the assets in excess of pension benefit obligation as a percentage of anntzal covered payroll approximately adjusts for the effects of inflation and aids analysis of the progress being made in maintainlng sufficient assets to pay benefits when dut!. Generally, the larger this percentage, the stronger the Plan. 34 ARIZONA STATE RETIREMENT SYSTEM ARIZONA STATE RETIREM ENT. SY-STEM SUPPLEM ENTAL SCHEDULE REVENUES AND EXPENDITURES TEN YEAR COM FARISON Revenues by rurtv Percent of M ember Employee Employer Covered Investment reimbursements Year- Contribution Contribution Payroll income and other Total 1983 133,674,763 133,674.763 7.00 368748,266 410,671 636,008,463 1984 138,324,132 138,324,132 7.00 269,770,694 310,286 546,729,244 1985 135,821,858 135,821,858 6.27 393,568,879 352576 665,565,171 1986 136,623,121 136,623,121 5.67 712702,441 294,488 986,243,171 1987* 142,364,075 142,364,075 5.53 996,973,351 8,416,227 1,290,117,728 1988 112,968,568 112,968,568 4.00 557,984,212 1,445,972 785,367,320 1989 154,504,181 154,504,181 5.09 673,913,931 390535 983,312,828 1990 64,434,561 64,434,561 2.00 884,364,512 1,538,939 1.014,7720$73 1991 133,364,246 133,364,246 3.82 665,751,654 788,617 933,268,763 1992 132,273,316 132,273,316 3.60 790,823,627 945,836 1,056,316, 095 'Other income includes Chapter 77 reimbursements, which are outlined by State Statute, of $6,307,255 by members buying back service into ASRS. Ex- byhw Administration Year Benefits Rehmds Investment and other Total 1983 74,183,266 32,420,066 3,791,881 1,413,373 111,808,586 1984 101,661,320 41,557,733 4,585,170 1,417,602 149,221,825 1985 125,412,286 47502,996 4,750,448 1,502,311 179,168,041 , 1986 145,855,501 40,098,824 5,866,474 1,526,055 193,346,854 1987* 164,096,903 35,729,947 26,269,641 2,212,859 228,309,350 1988* 188,325,908 32,496,166 62,032,053 2,871,460 285,725,587 1989* 216,729,236 32,593,126 65,878,235 3,565,431 318,766,028 1990+ 297,568,990 32,014,486 44,976,514 4,311.496 378,871,486 1991* 320,349,203 27,410,639 43,207,264 6,516,477 397,483,583 1992* 357541,608 24,811,896 26,265,692 8,115,966 416,736,162 * As required by GASB 5, the security loan interest expense has been shown as gross. In prior years, the security loan interest was reported as net. Thus, security loan interest of $18,392,275, $36,450,689, $38,212,225, $58,205,819, $54,608,084 and $19,996,419 has been included as investment expenses for 1992, 1991, 1990, 1989, 1988 and 1987, respectively. ARIZONA STATE RETIREMENT SYSTEM 35 ARIZONA STATE RETIREM ENT SYSTEM SUPPLEM ENTAL SCHEDULE ADMINISTRATIVE EXPENSES Year ende Iune 30. 1%2 1991 Budeet Adual BudM Actual PERSONNEL SERVICES: S a 1 a r i es $ 1,899,600 $ 1,897,460 $ 1,906,200 $ 1,873,112 Retirement contributions 68,300 64,954 7 5, 800 66,279 Insurance 376,4œ 381,872 380,1* :'k51.1œ TOTAL PERSONNEL 2,344,300 2,344,286 2,362,100 2,290,491 SERVICES ' PROFESSIONAL SERVICES: Computer support 5,000 .547 116,800 14,162 Audit and consulting fees 30/000 29,950 35,000 43,210 Actuary 80,000 136,279 67,500 99,020 Legal Fees -0- 3,078 -0- -0- Medical Fees -0- 42 -0- -0- Arizona Legislative Council .(> -0- 57,820 57.820 TOTAL PROFESSIONAL SERVICES 115,(V 169.896 277,120 214,212 COMM UNICATIONS: Postage 79,600 76:218 60,000 89,103 Printing 5,000 7,377 8,000 -0- Telephone 90,6* 41569 87,(V 1œ .988 TOTAL COM MUNICATIONS 174,600 125.164 155,(V 190.1 1 MISCELLANEOUS: Board and Council 8,000 8700 8,000 6,700 Equipment 47,700 63,142 283,200 356,420 Repair and maintenance 164,000 156.849 126,000 24,868 Depreciation 58,018 58,018 58,018 58,018 Office rental -0- -0- 13,000 12,023 Equipment rental 1,000 180 3,000 1,231 Tra veI 33,000 22.880 35,300 44,921 Supplies 98,000 93,134 98,000 124,564 lnsurance 5,000 4700 7,000 6,157 Dues, subscriptions and publications, and advertisement 6/000 7J10 51 00 18 061 Education and training 8,000 8,943 5,000 15,154 ASTARS Design 143,700 143,700 250,000 250,000 ASTARS Development 1,785,500 1,785,484 .0- .0- TOTAL MISCELLANEOUS 2,357,918 2,352.440 891,618 918,117 TOTAL $ 4,991,818 $ 4,991,786 $ 3.685,838 $ 3.612,911* Uhe above schedule does not include Hea1th Insurance and Outreach Education expenses which are reported separately. 36 ARIZONA STATE RETIREMENT SYSTEM ARIZONA STATE RETIREM ENT SYSTEM SUPPLEM ENTAL SCHEDULE RETIREE HEALTH INSURANCE EXPENSES Yearende Iune 30. 1992 1*1 Budget Actual Budget Anhxnl PERSONNEL SERVICES; Salaries $ 356,9œ $ 339,671 $ 312,100 $ 283,994 Retirement contributions 12,400 11,501 11,500 9,100 Insurance i'l.sœ 61.896 * ,1œ 41,* 8 TOTAL PERSONNEL SERVICES k140,8* 413,* 389.7* 334.782 PROFESSIONAL SERVICES: Computer s'upm rt 62,200 82,535 82,200 116,426 Actualy 5,% - 9,433 10,(u) 8,0% TOTAL PROFESSIONAL SERVICES 67,2* 91.968 92.2œ 124,504 COMM UNICATIONS: Postage 30,000 6,081 30,000 6,310 Printing 10,000 1,907 10,000 347 Telephone 25.% 18,563 18.4* 23,156 TOTAL COMMUNICATIONS &5.(XX) 26,551 58,4* 29.813 MISCELLANEOUS: Equipment 129,000 60,320 242,700 309,984 Repair and maintenance 18,400 18,873 18,400 7,378 Equipment rental -0- 385 -0- -0- Travel 2,000 * 2 5,500 76 Supplies 5,000 20,103 7,900 4,184 Dues, subscliptïons and publication sr and advertisement 500 230 500 75 Education and training 5,A 5% 16,(Y 3,343 TOTAL M ISCELLANEOUS 159.9* 101.183 291,(* 325,040 TOTAL $ 732.9+ $ 632,770 $ 831,300 $ 814.139 ARIZONA STATE RETIREMENT SYSTEM 37 ARIZONA STATE RETIREM ENT SYSTEM SUFFLEM ENTAL SCHEDULE OUTREACH EDUCATION EXPENSES Year ende Iune 30. 1992 1991 Budgd Acmal Budget Actual PERSONNEL SERVICES: Salaries $ 164,872 $ 174,235 $ 95780 $ 65793 Retirement contributions 5,900 5,750 3,600 1,871 lnsurance 52,028 32.4U 20,10 10.220 TOTAL PERSONNEL SERVICES 212.462 118-910 PROFESSIONAL SERVICES: Computer support .G TOTAL PROFESSIONAL I SERVICES .0- 2% -0- COM MUNICATIONS: Postage 118,500 83,662 102,000 46,052 Printing 175,000 76,122 160,000 136,782 Telephone 11m5œ 6,7.53 12,7* m. TOTAL COM MUNICATIONS 305,% 166,537 274.7* 182,834 MISCELLANEOUS: Equipment 18,200 27,268 131,100 161,777 Repair and maintenance 500 7,510 8,400 -0- Office rental -0- 252 -0- 25 Equipment rental -0- -0- -0- 750 Travel 36,800 20,712 26,400 4,480 Supplies 2500 20,827 9,800 2,138 Dges, subscriptions and publications, and advertisement 500 2745 500 10,270 Education and training 3,A 2.921 3,A 1,7* TOTAL M ISCELLANEOUS 61,5q) 81,835 179,2* 181.140 TOTAL $ 589,3œ $ 461,1œ $ 572,810 $ 441,458 38 ARIZONA STATE RETIREMENT SYSTEM ARIZONA STATE RETIREMENT SYSTEM SUPPLEM ENTAL SCHEDULE SCHEDULE OF CASH RECEIPTS AND CASH DISBURSEMENTS Year Ende IuneY , 1%2 1%1 CASH BALANCE, beginning of year $ 7.508.755 $ 1,035,491 RECEIP'IS: Member contribuuons 132795,436 132,247,800 Employer contributiorts 132,295,436 132,247,800 Purchase of back service 706,640 332,832 Transfers from other retirement systems 300,595 332,915 Short-term securities mamred and sold 2,958,462,437 3,474,600,335 Investments mamred and sold 4,274,380,271 2.501,891,115 Mortgage principal payments and sales 17,792,729 6,202713 Security loan program 20,120,013 38,274,907 lnterest 389565,253 384,119,372 Dividends 104,521,708 98,743,585 Miscelaneous 239,196 455,787 TOTAL RECEP'IS 8.030.679.714 6.769,448,761 DISBURSEM ENTS: Retirement, disability and subsidy payments 347,373,283 311,478,056 Death benefits 10,168,325 8,871,147 Refunds to withdrawing members 24,812,896 27,410,639 Transfers to other retirement systems 867,883 4,179,726 Short-term investments purchaxd 2,996,239,173 2,601,710522 Investment purchases 4,620,925,051 3,757579,689 Building Purchase 100,000 -0- Mortgage purchases 2,300,000 2,080,000 Security loan program charges 18,392,275 36,450,689 lnvestment rnanager fees 7,873,417 6,756575 Mortgage service fees 254,437 260,033 : Building expenses 323,300 211,985 Administrative expenses 6,027,638 4,810,491 I M iscellaneous 1,452,573 1,175,945 TOTAL DISBURSEMENTS 8,037,110,251 6,762,975.497 CASH BALANCE, end of year $ 1.078,218 $ 7,508.755 ARIZONA STATE RETIREMENT SYSTEM 39 SU ARY SC EDULE F C ISSI S P ID T BR KERS ( ESTIC F REI ) R E ED JU E 30, 1992 BROKER COMMISSIONS - DOMESTIC EQUIW BROKER COMMISSIONS - DOMESTIC EQIJIW Adams Harkness & Hill, lnc...... $ 1,1)2 Kidder Peabody & Co., lnc...... 68,300 Alex Brown & Sons ...... 14,294 Kleinwort Grieveson Securides ...... - . . . 49,304 Arnhold & Bleichroeder, Inc...... 1,447 Lazard kV. R. Laidlaw & Nleadz Inc...... 6,966 Autranet, lnc...... 14,975 Leg 'Mason Wood 'Walker, Inc...... 3,420 Blackburn & C0.,1nc. ....- ....- .....- ..... 36 Lipper Analytical Securities Corp...... 1,883 Brick Securideg Partners L.P...... 882 Lynch Jones & Ryan ...... 201,140 Brid ge Trading Co...... 9,114 Nlabon èiugent & Co...... 4,999 BH naberg & Co...... 2,65 7 sferhll Lynch Pierce ...... 211,483 Broadcort Capital Corp...... 89,083 Nlontgo n3ery Secu dties ...... 6,864 l Bro wn Bros. LlardnAan & Co...... 2,216 h4organ Keegan & Co.wlnc...... 12,352 ' Bu rns Fry Lloare Coved, Inc...... 4,920 s4orga n Stanley ...... 258 C. L. Glazer ...... 16,494 s4organ S lnley & Co.,Inc...... -...... 31,320 C. L. Global Parmers Securities Corp...... 31,882 National Financial Svcs. Corp...... 786 : Cantor Fitzgerald & Co., Inc...... 15,353 Neuberger & Berman ...... 4,151 I Ca pital lnsight ...... - .... 18,291 Oco no Trade ...... 1,134 Capital lnstibatio nal S vcs...... 10,979 Oppenheimer & Co., Inc...... 40,766 ' Correspondent Svcs...... 6,102 Orar Gruss & Son ...... 2,124 ' Coun P SecuH ues Corp...... 45,838 Paine kvebber Jackson & Curis ...... 144,522 Co wen & Co, ...... ,...... 36,000 Peacock Hislop p Staley & Civen ...... 8,826 : Credit Ly o nnais èkorth A nnerica ...... 120 Pershing Divisio n of D.L.J...... 52,253 t C sJ. Lancence,lncorp...... 37,509 Piper Jaffray & :lop wood ...... 5.600 Dain Bosworth & Co...... 4,672 P ru dential Securiues, Inc...... 63,884 Dean &vitter Reynolds, Inc...... 10,404 Ragen slackenzie, Inc...... 5,551 Dillon Read & Co., Inc...... 34,794 Rausher Pierce Refsnes, lnc...... 12 Do n4inick In vestor Services ...... ,. 2,394 Ra o nd Jannes & Associates ...... 710 ! Ernst & Conapany ...... 11.846 Robinson Flunaphrey Co, ...... 12,95 7 ' Execution SerWces ...... 8 Robert Brandt & Co...... 540 ' Factset Data Syste nAs, Inc...... 7,716 Rochdale Secu : Hes ...... 8,232 First Bosto n Com...... -.. 56,42 7 Rothschild, Inc...... 2,436 First Nlanhattan Co...... 15,605 Ro ulsto n Research Corp...... 1,182 Fo urtecn Research Corp...... -... 2,555 Salonao n Brothers ...... 35,533 Fox Pitt Kelto n ...... ,..... 600 Sa nford C Bernstein & Co., Inc...... 52,468 Fu rnaan Selz slager Diet ...... 5,853 S.E.I. Funds E valuatio n ...... 1,800 Gerard Klauer slatEson & Co...... ,... 5,239 Snaith Barney & Co., lnc...... 93,739 Gold naa n Sachs & Co...... 97.982 Snnith New Co urt, Carl h4arks ...... 108 G ru ntal & Co., Inc...... 8,852 Su ko & Co., Incorporated ...... 7,413 Howard Nveil Labouissa ...... 774 Swiss Bancorp Int'l Securities, lnc...... 1,:32 Inn pact Securities Co rp- ...... 3,342 Standard & Poors SecuriH es, Inc...... 32,732 Ins u net ...... 9,638 U.B.S. Securities, lnc...... 5,757 Instieatio na1 Bro kera ge S vcs. -...... 9 900 &V. & D. Securities . ... .,...... 330 . lnterstate/lohnson Lane ...... ,...... 16,400 #vagner Stott & Co...... ,...... 396 I.S.I. Grou p, Inc...... 2,316 &varburg Rowe & Pitnnan ...... 3,774 Jefferies & Conapa n y, Inc...... 37,495 kveeden & Co.,Inc...... ,...... 3,582 . Kena per Ca pital Ntarkets ...... 2,748 kvna. C. Roney & Co...... 2,730 1 40 ARIZONA STATE RETIREMENT SYSTEM SUM M ARY SCHEDULE 0F COM M ISSIONS PAID TO BROKERS (CONT'D) kvells Fargo Bank ...... 3 08,074 Nikko Securities Co., Int'l, Inc...... 3,517 VVOOd GU ndxylnc...... 2,334 Nomura Securities Int'l, Inc. 3,477 Paribas Securities, Inc., ...... 2,794 TOTAL COM MISSIONS - DOMESTIC . . . 2,420,147 Peterbroeck Van Campenhout ...... 521 Pictet & Cie...... 9,218 BROKER COMMISSIONS - FOREIGN EQUITY S. G. &varburg & Co., Ltd...... 6,769 Sa1 Clppenheinl Jr. Et. Cie ...... 1,979 B.S.N. S.A. Sociedad De ...... 577 Schroder Munchmeyer Hengst Co...... 864 Bacot Allain ...... 1 6,726 Shearson Lehman Brothers ...... 1,920 Bank Julias Baer & Co., Ltd...... 5,227 Smith New Court Securities 12,631 Bank in Liechtenstein A. G. 17 #285 Sociedad De Valores & Bolsa ...... 843 Bank Oppenheim Pierson ...... 2,814 Union Bank of Switzerland ...... 536 Barclays De Zoete 'Wedd, Ltd...... 1,202 Warburg Securities 15,833 Baring Securities (Grece) ...... 1526 W . 1. Carr America 2,430 Brockhouse & Cooper 13,143 kvesselius & Co...... 2,271 BQ ERS Fry, Ltd...... 3520 &vood Gundy,lnc...... 1,750 Cantonal Bank of Berne ...... 271 Ya nlaichi Int'l ...... 6,806 Carnegie Fondkomission ...... 6,064 Capel James Securities, Ltd...... 7,358 Cazenove Co. London ...... 1.632 TOTAL COMMISSIONS - FOREIGN 285,837 Cheuvreux Jr. De Viriev S. A...... 8 400 C. L. Alexanders taing & Cruick ...... 1,045 GRAND TOTAL COMMISSIONS PAID $2.705.984 County Natwest Securities ...... 3,558 County Natwest Securities Corp. USA ...... 2,823 Credit Lyo n nais ...... 6,9 63 Credit Lyonnais S. A. 8,631 Crodit SUiSSC ...... 319 Crosby Securities, Ltd. 2,436 Descenza h4u rphy ...... 756 Deutsche Ba nk ...... 1,550 Deutsche Bank h. G...... 166 Dominion Securities, Inc, 4,557 Dynabourse 1,951 F. G.lnversiones ...... 3,149 F. & G Inversiones Bursatiles 5,422 First Marathon Securities, Ltd...... 750 Coldman Sachs & Co...... , , . . . . . 6,436 Gordon Capital Corp ...... 10,592 Hoare GO Vel, Ltd...... 3,742 J. Vontobel & CO...... 278 J. B. kfere & S0n ...... 10,902 J. Cheu vreux R De Virieu ...... 3,150 Jardine Reming In rl, Inc...... 1,359 Jannes Capel & Co...... 4,775 Klein wort Benso n,Inc...... 7,8 64 M clntosh & Co., Ltd. . . . . 2.789 Morgan Stanley & Co., Inc...... 25,717 Morgan Stanley S. A. .*...... 4,253 ARIZONA STATE RETIREMENT SYSTEM 41 PO RTFO LIO SUM ARIES YEAR ENDED Jk;c 30# 1992 (Market Values In n ousands of Dollars) MARKETVALIJE REALLOCATION NET AFPRECICATION VALUE TEMPORARY INVESTMENTS 7.1.91 OFASSF'T S PURCHASES (DEPRECIATION) f-* 72 INvu co MIM $ 253,179 & 0 $ (244772) $ 0 $ 8,907 VNB - Mortgage 1,209 0 26,940 0 28719 Duff & r'helps 421 0 19 0 470 n e soston Co 75,872 0 91/128 0 117,000 wels Fargo- dore 0 0 0 2 () Wens Fargo - TAA 0 0 0 0 0 wekb NIA 0 117 0 10 127 warburg 12,496 (117) 306 (12,685) () J1.PD .sM. Aor:1g:a,1nr, 0v 3127/.,513131 0 (452V 3204) 0 2579,44635 J.P. Morgan - lnternaticmal () i) 1ie17l 393 11.*7 Schroder Capital 0 0 32,516 1 32.517 Capital Guardian 0 0 25/374 7%7 26,161 çrlily Rnlay $) Q 33415 () :'k3,05 A:e -; loughton 0 0 70312 (f6) 7,246 CMa ts! hl( 1nM Can a apî )w taml er.t 8.7290 ()0 11,/ 791258 150 - 671. 0!.878 TOTAL $ 398,5* $ 0 $ 37789 $ (11,110) $ 424,959 GOV'T & CORPORATE DEBT SECURITIES INVESCO MIM $ 398/459 $ 0 $ (10.352) $ 20/256 $ 4087* Duff & Pbelps 17U,739 (1 15,182 1$5,967 1,536,F.* The Boston Co. 199,603 0 6 3, 727 20,368 283,698 Warburg 229 0 (272) 43 0 Wetls Farso - Core 678,723 0 1C7,118 37,189 823,030 Wells Fargœ TAA 983,132 0 22,457 74,688 1,080,277 I.D.S. Advisory 168,290 0 79.927 17,634 265,651 J.P. Morpaa 198,412 0 81,401 17,529 297,312 Mcllen Capital 0 0 (15) 25 0 TOTAL $ 4.004,387 $ 0 $ 359,163 $ 333,699 $ 4/697,249 M C) RTGA G ES VNB - Mortgage $ 239,771 $ 0 $ (15,494) $ (X ) $ 223,414 COMMON & PREFERRED STOCK INVESCO M EM $ 592,210 $ 0 $ (71,454) $ 55/780 $ 626.536 n e Boston Co. 314.931 0 59 448 50,924 425,303 Wells Fargo - Core :,150,594 0 ( l 1z 221 ) 128,463 1,267,836 Nells Fargo - TAA 485,926 () 77,819 58,447 622,192 Warburg 253,946 (42,942) (222524) 11,540 0 State Street 344,448 Q&%650) (79,4&3) (2eA'$5) 0 JI.PD. Sû Aordgvains ol'y 322 86,703819 0 4W0,282561 6324,362724 433018,2.67149 J.P. Morgan - International 0 10,251 23 823 1 764 35,811 Schroder Capital 0 17,474 2 tgh 144 (02) 42,716 Capi la1 Guardian 0 73*2 40,842 1,553 19.937 Clay Finlay 0 7,692 18,: 87 659 26,53.8 AMxe-l loughîon () 37,818 61j 6 38 346 99 '802 011014 Capital 0 225.832 1 .71 1 Q.&39) 238,701 TOTAL $ 3,686,875 $ 0 $ 87,027 $ 401796 $ 4.175,298 TOTAL COHBINED I INV FSCO MlM $ 1,243,848 $ 0 & (276,:78) $ 76 036 $ 1 043.806 VNB - Mortgages 240,980 0 11.446 (E;63) ,251*63 Duff & Phelps 1,378,160 0 15 23: 145 967 1.539,358 lYe Boston Co. 54 B.4 26 Q 214 3:3 71 292 826 û;1 Flvells Ffabrrggœo T- CAAor e 17,,486299.725187 0 :09;5* 287967 1lr65' 16l552 12 .700920 w 18696 Vfelb hêlA 0 117 0 10 127 VVarburg 266,6 71 ((3 279) (227 490) (1 :02) 0 state street 341.448 (ZfK'I w650) (79 4fk3) (1,335) 0 I.D.S. Atlvisory 401,322 0 1&1716)2 52 308 633. 730 J. 13 . M organ 55 9, 676 0 1 16'537 79'85 1 756 ()64 J. P. Morgan - International () 10 254 38 ,297 2157 .**708 j CS u a h p r i çt ) ad I k ' Gr Cu a rp d 1 it a n 1 (Q) 1 77 , 5rl 17 42 65 68 ' 26 61 60 2 (M W 10't ) 7 65 a0293 38 C1a Y Finlay 0 7 692 51'272 ' 659 59, / , ,623 j Axe.l loughton 0 37, 818 68, 950 2* 107,018 cMp eslhl oMn Canaapgiteaml ent 55,7292 7.25' 83()2 11 71/ n61.15 (2' 664() 24670' 7t!842 . , I'OTAL $ 8,329,6 13 $ () $ 468,485 $ 722.822 $ 9320,920 l T%e above summaries, by manager, rellect the year's activi ly by investmenk category in terms of market values. M of Jurte 30 p1992 the market value of titese lrlvestments was equal to 111% of the cost of suc.h investments. 'Iyis compares to a figure of 107% for khe same groups of investments as of June 30, 1991. 42 ARIZONA STATE RETIREMENT SYSTEM SUM M ARY OF CHANGES IN INVESTM ENT PORTFOLIO YEAR ENDED JUNE 30a 1992 (Book Values, In Thotlsands of Dolars) SALES NFT BALANCE REALLOCATION MATURITIES BAIANCE INCREASE TEMPORARY INVESIM ENTS 7.1.91 OFASSETS ACOUISITION: COLI FCTIONS &.35.92 (DECREASE) 1NV F-SCO MIM $ 253,179 $ 0 $ 405,471 $ 649,743 $ 8 *7 $ (244,272) VNJI - Marlgages 1/20: 0 16c128 19,189 28 14# 26 940 Duff & Phelm (21 0 5503.36 55 287 64A1 ' 49 'f'he Boston C o . 25,872 0 376,002 284,874 1 17 000 91 1 28 Wells Fargo - Core 0 0 1 1 z 0 y 0 Wells Fargo - TAA 0 0 7 7 0 0 We.lb M A Q 1 17 0 0 117 117 Warburg 17J10 (117) *6,676 319,*9 0 (12J10) 1.D.S. Advisory 17 111 0 289 966 247,642 59,465 42,321 J.P. Movan 321533 0 345:367 350,457 27,443 (5,090) sJ c.Ph. rModoerg Ca-na p-i tlnalt ernational 0 0 s4s7',r6u9o2 z:.83,204173 3124 ,16&739 3:244 68739 Capital Guardian 0 0 82.078 55,761 26,317 26717 Clay Rnlay 0 0 38>15 5,430 33/085 :t3 085 A XP- Hou ton 0 0 57 161 49 915 7 246 7'246 Mellon apital () 0 21,8 25 19,g7 51 2,y0 74 2 ,074 CTaOshT AMLa nagement $ 39558,572949 $ 0 $ 2,16324.3,1650 $ 2.13/6,0.63405 $ 42647,8(7t9! $ 21611 7815 GOV'T & CORPORATE DEBT SECURITIES INVESCO MIM $ 390:797 $ 0 $ 553/367 $ 550,222 $ 393/942 $ 3/:45 Dtzff & Phelps 1 201 +7 0 359 665 282 569 1,279 003 77 096 ne Boston Co. '206123 0 413,181 338,w304 275',000 74*,877 worburg 252 0 0 252 0 (252) h'ells Faro - Cot'e 674,7.:31 () 831413 723,820 781,924 107,2#-1 wells F4rgo - TAA 993,986 0 1750397 145/X8 1,02 l z315 30,329 I.D.S. Advisory 167,483 0 141,081 58,197 250,367 82.891 Jû Pe.l lMono rCg apn ital 195,9709 0 529,16l6l4 437,684210 287 '3203 91,3404 'I'(ITAL $ 3 825 258 $ 0 $ 3003,509 $ 2536 893 $ 4 291 374 $ 166 616 M O RTGAG ES VNB - Mortgages $ 239,771 $ 0 $ 2,300 $ 18,657 $ 223,4:4 $ (1675/ COMMON & PREFERRED STOCK rlvv ESCO M IM $ 497,586 $ 0 $ 116,790 $ 117,597 $ 496,N9 $ (&)D 'rhe ikaton Co 285,994 () 249,911 156,321 379,584 93590 Wells Fargo- Core 1,09 9 /M6 0 35,934 41,1 91 1,094,089 (5/257) Wells Fargo - TAA 418.680 0 171,471 76,236 513/215 940535 Warburg 250,508 (42/962) 899 208/445 0 (250508) State Street 311,471 (2fx%6%) 10788 58,112 0 (311,4741 I.D. Sm Adsisory 16,3,4:7 Q 238,11,8 164.856 256,751 73,257 J.P. Mormsan - Intemauonal 286,2470 107501 23264,.045160 162,754903 33594,152104 3D1/,21&234 Schroder Capital 0 17/474 26,144 0 13,618 43,618 Capital cuardian 0 7.%42 40,842 0 48,384 48.384 Clay Rnlay 0 7,6* 1S,1&/ 0 25,879 25.87V Axe-Houghton 0 37,818 61,638 0 99,456 99,456 Mellon Capktal 0 225,832 269 48 244,226 251,087 151,287 TOTAL $ 3,333,332 $ 0 $ 1X00.16 $ 1 ,231.020 $ 3,602.479 $ 269.117 TOTAL COMBINED INV FSCO M IM $ 1,14 1.562 $ 0 $ 1,075,628 $ 1,3:7.562 $ 899,628 $ /41,9M) VN 3 - Mortgages 240,980 0 48,428 37/845 251.563 10583 Duff &: Pbelps :,202,328 () 415,001 337,856 1779/473 77,145 l'he Boston 'C o . 51 1,989 0 1,039:097 779,502 771,584 259/595 Wells Fargo - Core 1,774.077 0 %6,948 765,012 1/876,013 101.936 Wells Pargo - TAA 1:412,666 0 346,875 222,011 1.537530 124,%4 Welb NIA 0 1 17 0 0 117 117 Warbueg 263,270 (43,079) 3:17.575 527,766 0 (263770) Siate Street 311,474 (263,650) 107% 58,112 0 (311/474) I.D. S. Advisory 368,121 0 669,162 170,695 566,586 198:465 J . P. Morgarl 511,759 () 1,110.587 951,070 674,276 1590517 SJ cPh.i rMdoerg aCna p- ilfanlt ernational 0 170 ,:27541 8712,.817042 123,525173 Z4$8,81 013 Z468:.18013 Clapy itFailn G! a uyardlan 0 7,X692 15762,/792020 55,746301 5784,796041 5784,976041 Axmlloughton 2 37,818 118,799 49,915 106,702 106,702 Mellon Capital 0 225,832 291,947 261/61 8 253.161 7.5 3, 161 Cash Management 55 9 0 31760 22.&1.5 62444 . 1 1C15 TOTAL $ 7,796,.97515 $ () $ 6,668,291 $ - 5,922,600 $ 8,.542.646 $ 745,691 The above summaries, by manager. reflect the changes which took place during the year ending June 30, 1.992 in tenns of acquisiuons and disposjHons by investment categcdes and the net change for each category. nese summarie.s are based on the cost of investments rather th= on market values. ARIZONA STATE RETIREMENT SYSTEM 43 1M vETzxz. .o@@@*e.o. >X.. * .. .Z.) y C*& .* . .N ++ J . #$ 1r, plmam osua @1gj Qi : te G 1 1:z t r- ç:1 ! z 2b*.. =v . *. .%-.* kse *. %* **.. ..@** 7953 44 ARIZONA STATE RETIREMENT SYSTEM ACTUA RIAL SECTION A ctuarial Certification Statem ent Sum m ary of Benefit Provisions Table A - Schedule of A ctive M em ber Valuation D ata - Last 10 Years Table B - Schedule of Retirees A dded to and Rem oved from Rolls - Last 10 Years Table C - Sum m ary of Unfunded (over) Accrued Liabilities - Plan - Last 10 Years Table D - Relationship betw een A ccrued Liabitilities and Assets - Last 10 Years Table E - Schedule of Recom m ended Vs. A ctual Contributions - Last 10 Years Financing Objective General A ctuarial Inform ation ARIZONA STATE RETIREMENT SYSTEM 45 December 21, 1992 GuyDaœ ARIZONA STATE RETIREM ENT PLAN Actuarial Certification Statem ent This is to certify that The Wyat Company has prepared an actuarial valuation of the Arizona State Retirement Ran as of June 30, 1992. Actuarial calculations have been made with respect to a total of 194 593 members, comprised of 139 633 active employees, 17,366 inactive members, and 37,594 retired members and beneficiaries (including 1,104 disabled retirees). In addition, there are 1,708 System retirees receiving ad hoc benefits from Plan assets. The actuarial calculations establish a total benefit cost of 8.18% of the annual com Penution of employees. The total normal cost rate is 10.39% of compensation, and the required amortization payment determined lrt accordance with Gxtion 38-781.05 is -2.21% of compensation. n e aduargal t-ost factors as of June 30 1992 are as follows: Actgarial accrued liabilities A Liabilities due to members' benefits 1. Active members a. Retirement benefits $3.639,007,(X0 b. Hea1th insurance premium supplement 281,011,7œ c. Disability benefits 331,373,1œ d. Pre-retirement death benefiis 179 292 434 e. Withdrawal benefits 358,369,947 f. Total active members $4,789,054,181 2. Inactive members 157 875 744 3. Retired members and beneficiaries 3139,671,910 4. Disabled members , 87 583,5œ 5. Benefit increases for other-than-plan participants 33,317.919 6. Total present value of benefits $8,207.503,254 B. Other miscellaneous liabilities and resenres 2.294,418 C- Total actuarial accrued liability $ 8,209,797,672 Actuarial value of assets $ 8,841,715,685 Unfgnded actuarial accrued Iiability (ltenA I - ltem lI) Amclrtization of unfunded actuarial accrued liability $ (631,918,013) (Per Section 38.-781 .û5) $ (&5 1@) tf)'zl V. Normal cost for the year 4œ 314 138 V1. Total contribution for the year (Item IV + Item V) $ 315 204 671 VlI ' Total covemd paymll (projected to 1992/93 plan year) $ 3 ,851 p ,107 ,100 VIlI. Total contribution as a percentage of covered payroll 8 18% A Employee portion 4.(y.?% B Employer porlion 41.)% I I1 ; i 1 46 ARIZONA STATE RETIREMENT svsn wf - 1 Arizona State Retiament Plan Acmarial Valuauon as of June 30 1992 ne assumptions applied in the actuarial valuation as of June 30, 1992 are as follows: 1. Investment yield - 8% per annum (adopted 05-1&.84) 2. Salary increases Total Yems of Merit Salary Comxnent Increase* 1 3.œ % 8.50% 2 2.K 8.œ 3 2.œ 7 50 4 1.K 7b0 5 1.40 6.90 6 1.10 6.60 7 1.œ 6.50 8 0.80 6.30 9 0.K 6.10 10 0.K 6.œ 11 (x' more 0.(X) 5.50 Uotal salary increase rate = inflation (or growth) rate (5%) + productivily increa.* rate (0.5%) + merit comjxment 3. Rates of disabilîty Aee Males Females 22 0.œ% 0.10% ; 32 0.11 0.16 42 0.20 0.31 52 0.e 0.73 62 1.67 1.25 Rates of vdthdràwal - Sample ages and years of service . . .. . Yeœsof- œ Yearsofsuviœ MzeMantus zeMemlus y ee . .1 2 5 8 10+ Aee 1 2 5 8 1N. 22 33.24% 25.31% 12.68% 6.60% 11.%% 22 26.86% 23.58% 18.08% 12.31% 18.*% 32 18.87 14.03 8.76 4.80 4.67 32 18.51 15.39 9.69 7.K 6.47 42 16.93 9.82 6.24 3.80 2u01 42 16.44 11.X 6.20 4.14 2.08 52 16.18 8.54 4.43 3.10 138 52 14.31 9.(N 5.05 2.V 1.52 Q 19.05 10.18 3.73 2.K 1.10 Q 14.57 9.71 4.65 2.41 0.83 Rates of redrement - Fumple ages and years of service (adopted (1.30-92) Yeaa of Suviœ Aze 10.14 20 25 30 35+ 50 3.*% 4.00% 5.*% 8.*% 6.œ% 55 4.œ 6.œ 13.% 15.* 10.X 60 9.œ 21.* 20.œ 24.œ 24.œ 62 29.œ 37.œ 39.œ 45.œ 45.(X) 65 K.(X) 50.* 55.(X) 55.* 55.* fz and above K .(X) 55.œ B.(X) 55.* 55.* fMoro rfteamliatyle rsa.tes pre-retirement - 1983 Group Annuity Mortality Table with mar#ns, set forward one year for males and ret forward three years fMemoratalelsit 1.rates ast-reoement - 1983 Groug Annuity Mortality Table (with mar#ns, xt back one year for males and with no setback for 8. Mortality rates after disability - Post disablement mortality rates are based on experience of other large public sec-tor system, Fading into post-retizement mortality rates at age K3. Valualion assets - Market value 1- five year phase-in of Excess ( Shortfall) Investment income. aFcucnrudei nd g limabeitlhitoyd. A- Ps rsoujcehct. etdh euyn aitr-ec raemdoitr. tizUkwndd oevr etrh tihs ev arelmuaatinomn' gm setahholdtoy rayc tfuanrdiianl g paien ns'o (dIo.sses) increase (decrease) the tnftmded actuarial ne actuarial calculauons have been performed by qualified actuazies in accordance with accepted actuarial prxedttres, baxd on the current provisions of the Retirement Plan and on the actuanal assumptions adopted by the Retirement Mard. ae arter, . . , . . . , ., Ctuary J ARIZONA STATE RETIREMENT SYSTEM 47 ! . ' The Wyatt Company Suite 2100 Telephone 2i# 978 3100 Consultants and Actuarics 2121 San Jacinto Slrcet Fax 214 978 3650 Da I las 7 èxas 7 5 2 0 l 61 December 21, 1992 Retirement Board Arizona State Retirement System 3815 North Black Canyon Highway Photnix, Arizona 85015 (v Dear Retirem ent Board M em bers: Actuarial Valuation as of June 30. 1992 è W e are pleased to present our report on th e actuarial valuation of the Arizona State Retirement Plan as of June 30, 1992. n e results of the 1992 Plan valuation take 111t0 account the new actuarial asset valuation method and actuarial assumptions adopted by the Retirement Board during 1992 and the adclitional acmarial liability rcsulting from the 1992 legislative changes. Based on this actuarial valuation as of June 30, 1992, the matching employee and employer contribution rate for the fiscal year 1993/94 should be 4.09% of the compensation. This matchmg contribution rate reflects the impact of the cutback in the contribution rate from an anticipated 4.69% for 1989/90 to 2% for that year. n e required 4.09% contribution rate would have been 3.79% if the contribution rate had not been cut back dllring 1989/90. Sincerely, W . M ichael Carter, F.S.A.. M.A.A.A., E.A. Actuary mt Enclosure 48 ARIZONA STATE RETIREMENT SYSTEM 'Fhe Wyat t Company Su ite 2 100 Tclephone 211 978 3400 Consultants and Actuaries 2121 San Jacinto Street Fax 214 978 3650 Dallas , Texas 7 520 1 Guypas December 21 1992 ! I Retirement Board Arizona State ReA ment System P.O. Box 33910 Phoenix, AZ 85067 Dear Retirement Board Members: Acmarial Valuation as of June 30. 1992 In prepazing the above referenced actuarial valuadon, the actuary has relie,d on data provided by the staff of the Arizona State Retirement System and on the assets certiled by the plan's auclitor. W hile not verifym' g the dam at their source, the actuary has performed tests for consistency mzd reasonableness. Sincerely, THEW YATFCOM PANY W . M ichael Cm er, F.S.A., M .A.A.A.. E.A. Actuary mt ARIZONA STATE RETIREMENT SYSTEM 49 Arizona State Retirement Flan Actuarial Valuation as of Jtme 30, 1992 Summjry of tlle Benefit Provisions of tl:e Rehrement Plan as of June 30, 1992 n e Arizona State Retirement Plan makes provision for the retirement disability, and death and survivor beneflts to all employees of the State instrumentalities of the State and certain political subdivisions. The major provisions of ihe Ran may be summarized as follows: A RETIREVENT BENEFITS Normal Retirement Date: (a) first day following attainment of age 65 (b) first day following attainment of age 62 and 10 years of total credited service, or (c) first day following the date when age plus total credited sewice equals 80. Monthlv Life Annuitv: the product of 2% of the partidpant's best 36-month average compensation (in last 120 months) multiplied by his or her year, of total credited service. Normal Retirement Benefits: the sum of the monthly life annuity and any prior service benefits to whkh the employee was entitled under the System. t Early-pue-yirement : after age 50 with 5 or more years of credited service. 5. Early-R- etirement Benefits: if not eligible for normal retirement and at least age 50 with 5 years of total credited service, normal retirement benefit earncd to the date of rctirement, reduced according to the following table: AGE AT DATE OF MENT . YEARS OF SE R VICE 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 5 - 10 35% 40% 45% 50% 55% 60% 65% 70% 75% 8)% fptio 88% 91% 94% 97% 1œ% 10 - 25 44% 49% 54% 59% 64% 69% 74% 79% 84% 89% 94% 97% 1œ% 1œ% 1œ% 1œ% 25 OR MORE .*% 55% 91% 94% 97% 1œ% 1œ% 1(X)% 1œ% 1œ% 1œ% 1(m 1(X% 1œ% 1œ% 1œ% provided, however, that if the employee meets the Rule of 77 @ut not the Rule of &9, the redudion will l:* 3% for each unit below 80. Norm-al Form of Benefit : straight life annuity payable monthly with benefits commencing on the day following the date of termination of employment. O tional Forms: (a) joint and contingent annuity with either 100%, 66-2/3% or 50% of the reduced retirement income payable for the life of the contingent annuitant upon the death of the retiring participant, (b) period certain and life annuity with either five or ten years of payments guaranteed, (c) g social security Ieveling option combined with any of the other forms of payment. J 50 ARIZONA STATE RETIREMENT SYSTEM Arizona State Retirement Plan Aûtuarial Valuation as of June 30. 1992 B. DISABILI'IY BENEFITS (for disability afler June 30, 1988): 1. Lonz Term Disabilitv: monthly benefit equal to two-thirds of monthly compensation, reduced byk any social security disability or workers' compensation benefitw payable commencing six months after dale of disabllity until the earlier of: (a) date of cessation of total disability, or (b) normal rdirement date. l .D isability-pawnents if Partidpant Remains Disabled Throuzh Normal Retirement Date: monthly benefit participant would have received if service had continued to normal retirement date assuming the participant's salary remained at the level it was at his or her date of disability, also provided that the amount of totai credited service is limited to 25 years unless he or she had more than 25 years at date of disability. 3. The minimum monthly benefit payable to a disabled participant is $50.(X). C- DISABILITY BENERTS (for disability before July 1, 1988): 1. Elip'bilitv : age 50 with syears of service l Benefit Amount : a life annuity which can be provided by the employee's contribution account. Disability payments ahe.r normal or early retirement eligibility are reduced by the actuarial vaiue of the disability payments made up to the date of normal or early retirement eligibility. D, PRE-RETIREMENT DEATH BENEFITS 1. Elim'bilitv: applicable îf death occurs prior to rdirement ?. Benefit : any one of the folowing, at the option of the beneficiary: (a) a lump sum equal to the sum of (i) and (ii): (i) two times participant's contributions to the Plan, with interest, and (i) the amount of the participant's employee and employer accounts, along with supplemental credits, if any, transferred from the System to the Ran, with interest (b) if (a) is greater than $5.000, the Y nesciary may elec.t to receive a monthly income for five or ten years œrtain and life thereafter which is actuarialy equivalent to the amount in (a). l Death. of an Active Participant After 15 Years of Credited Ar-v ice or After Eligibility for Earlv R- etirement: beneficiary receives a benefit in the form of a survivor annuity equal to the beneflt that would have been payable to the beneficiary if the pal-tidpant had retired on the date of his or her death and eleded to receive an annuity Payable in the form of foint and 100% survivor with the beneficiary named as the joint pensioner. J ARIZONA STATE RETIREMENT SYSTEM 51 Arizona State Retirement Plan Actuarial Valuation as of June 30, 1992 E VESTINC OF BENEFITS Vesfinç: a partîcipant is fully vested after 5 years of total credited servicx. 2, Benefits upon Vesting : a fully vested participant is entitled to either: (a) return of contributions with interest, or (b) the retirement benefit payable at normal retirement earned to the date of participant's termination. F. RETIREE HEALTH INSURANCE PREMIUM SUPPLEMENT Ili jslil itq? : retirement or disability after 5 years of credited service and covered by an employer-sponsored group insurance program for which the retimd or disabled member must pay part of the cost. Benefit : the benefit is payable only with respect to allowable health insurance premiums for which the participant is responsible. The maximum benefits for participants with 10 or more years of service are: (a) with respect to premiums paid for the retiree's own coverage: $95 per month if the retiree is under age 65 $65 per month if the retiree is 65 or over (b) with resped to premiums paid for the retiree's dependent coverage: $80 per month if the retiree is under age 65 $50 per month if the retiree is 65 or over for employees with five to nine years of service the benefits are the same dollar amounts as above multiplied by a vesting fraction equal to 10% for each completed year of service (i.e. 50% to 90%). (;. EMPLOYEE AND EMPLOYER CONTRIBUTIONS The contribution rate for a plan year is based on the results of the actuarial valuation as of the last day of the plan year preceding the preceding plan year. Participants' contribution rate is equal to the required employer contribution rate. For the 1992/93 plan year, the contdbution rate is 3.59%. For the 1993/94 plan year, the required contribution rate is 4.09%. H. LECISLATED PLAN CHANGES ENACTED BY THE 1989 LK ISLATURE OF 'ITIE STATE OF ARIZONA Putl-Funding Method Beginning with the June 30, 1989 actuarial valuation the total employee and employer contributions payable beginning July 1, 1990 shall be determined using the Projeded Unitxredit (PUC) funding method. $12.000 Minimum Average Compensation for Current Retirees Rectlculation of the retirement benefit for al1 plart members retired before Jun.e 30, 1989 who had 10 years of credited service using a minimum average compensation of one thousand dollars per month. l 2.0% Ad Hoc COLAS Effective July 1, 1989 a11 members retired on or before June 30, 1988 shal receive a 2.0% permanent benefit increase to their December 31, 1988 base benefit. * Effective July 1, 1990 a11 members retired on or before June 30, 1989 shal receive a 2.0% permanent benefit increase to their June 30, 1990 base benefit. J 52 ARIZONA STATE RETIREMENT SYSTEM Arizona State Retirement Plan Actualial Valuation as of June 30, 1992 4. Earlv Retirement Window During the period of May 15, 1989 through November 14, 1989 a member who is eligible for either Nonnal Retirement or Early Retirement with age plus credited service at least equal to 80, may retire and receive a benefit calculated using a 2.2% multiplier instead of 2.0%. 5. 3.0% Tax Ecluitv Allowance Retroactive to the later of January 1, 1989 or the date payments commence, each member retiring on or before September 14, 1989 shall receive a tax equity benefit allowance consisting of a permanent increase of 3.0% in his or her January 1, 1989 base benefit. LECISLATED PLAN CHANGES ENACTED BY THE 1990 LEGISLATURE OF THE STATE OF ARIZONA Rule of 82 Effective May 1, 1990, the number of points (sum of member's age and years of service) required to be eligible for normal retirement shal be reduced from 85 to 82. Also the early retirement redudion fador for employees with 77 or more points but less than 82 points shall be 3% for each point or fraction thereof less than 82. l 3.0% Tax Equitv Alowance Each member who retires between September 15 1989 and September l4, 1990 shall receive a tax equity benefit allowance consisting of a permanent increase of 3.0% in his or her base benest, retroactive to the date of retirement. 3, Graded Vesting for Hea1th Insurance Premium Supplement The Health lnsurance Premium Supplement is extended to those qualifying members with between five and nine years of service. n e member wi1 be eligible to receive 10% of the benefit for each completed year of ser'vice (i.e., 50% to 90%), J. LEGISLATED PLAN CHANGES ENACTED BY THE 1991 LEGISLATION OF THE STATE OF ARIZONA 1. 3.0% Tax Equitv Allowance Each member who retires between September 15 1990 and September 14, 1991 shall receive a tax equity benefit allowance consisting of a permanent increase of 3.0% in his or her base beneht retroactive to the date of retirement. 2. Recalculation of Retiree Benefits Usin 2.0% Benefit Multi lier Each retired member with at least 10 years of service who rGired prior to June 30, 1985 shall have his or her benefit recomputed. n e recomputed benefit shal be equal to 2% times final average earnings times credited service plus an additional $2 for each year of service. 'Ihe retired member will receive the larger of the recalculated benefit or his/hor curront boneflt. n is increase is effective October 1, 1991. 1 2.3% Ad Hoc Increase Effective July 1, 1991 a1I members retired on or before June 30, 1990 shall receive a 2.3% permanent benefh increase in their June 30, 1991 base benefit. 4. Rule of &) Effective July 1, 1992, the number of points (sum of member's age and years of senrice) required to be eligïble for normal retirement shall be reduced from 82 to 80. (For continuation purposes this legislation is not reflected until the 1993/94 fiscal year). ' 5. Pop-up Option A pop-up option is added for retiring members who first participate in the Plan on or after December 31 1W1, ôktyMaœ ARIZONA STATE RETIREMENT SYSTEM 53 Arizona State Retirem ent Plan Actuarial Valuatiolt - June 30, 1992 K. LEGISLATED PLAX CHANGES ENACTED BY THE 1992 LECISLATURE OF THE STATE OF APJZONA 3.0% Tax Equity Allowance Each member who retired between September 15, 1991 and September 14, 1992 shall receive a tax equity benefit allowance consisting of a permanent increase of 3.0% in his or her base benefit retroactive to the date of retirement. Minimum Retiree Benefit Each retiree of the Arizona State Retirement Plan who is at least age 75 on December 31 1992 and who had at least ten years of ser'vice upon retirement from the plan shall be eligible for a mininmm benelit. If the eligible retiree had at least ten years of sewice but less than fifleen years. his minimum benefit is $350 a month. If the eligible retiree had at least fifteen years of service but less than twenty, his minimum benefit is $500. If the eligible retiree had at least twenty years of service his minimum benefit is $600. The minimum benefit shall be compared to the retiree's current benefit (including al1 ad hoc increases). 5% Ad Hoc Increase Effective November 1, 1992 a1l members retired on or before Odober 31, 1992, shall receive a 5% permanent benefit increase tn their October 31, 1992. benefit. t Forfcited Service Repurchase Any present active member who has previously forfeited sewice has until December 31 1994 to repurchase the forfeited service by paying the plan the employee and employer contributions (accumulated with interest) which would have laoen contributed during the members period of forfeited service. Re urchase kaf Service Due to Reduction in Force Any present active member who was terminated prior to December 31 1992 as a result of a required redudicm in force may ptrchase the credited service for the following period of unemploynynt if the member had five or more years of servîce at the time of termination and resumed employment with a partldpating employer within two years of termination. 'I'he cost of the repurchase is the total of the employee and employer contribution (accumulated with interest) which would have been contributed during the members period of unemployment. Chan e in Scction 38-781.05 Fundin Method Section 38-781.05 of the plan was amended so that the funding period for the plan would continue to be the m riod between the valuation and June 30, 2002 as long as the jlan has a negative Unftmded Actuarial Accrued Liability. If fhe plan were to have a positive UAAL then the old fundlng mechanism would apply, li 1 1 I 6 YJtt 54 ARIZONA STATE RETIREMENT svs'rEM TABLE A SCHEDULE OF AW IVE MEMBERVALUATION DATA LAST IOYEARS CONTRYLRW GAG IVEM EMBERS VALUATION ANNUAL ANNUAL % INCREASE AS OF &30 NUMBER PAYROLL AVERAGE PAY IN AVERAGE PAY 1983 11,174 $1,841,095,1* $17,845 6.9% 1984 103,889 1, 905,904,9* 18,346 2.8 1985 jW , 695 2 119,735,900 19,*3 7.3 1986 114 456 27361.318 800 20 631 4 8 1 987 11 7,426 2,477,742,400 21, 100 2.3 1988 119,073 2,817c719,900 23,&4 12.2 1989 124,436 2,993,5.71700 24,*7 1.7 1990 129,701 3,211,682,400 24,762 2.9 1991 134,751 3,452,982,1* 25,625 3.5 1992 139,633 3,615,960,3* 25,896 1.1 TABLE B SG IEDULE OF RETIIIEES ADDED TO AND REM OVED FROM ROLLS LAST 10 YEARS YEAR AVERAGE % INCREASE ENDED ADDEDTO REMOVED m OM ROLI.S ANNUAL IN ANNUAL 6/30 ROLI.S ROLLS END OFYEAR ALLOWANCES ALLOW ANCES 1983 1,931 4* 21,116 3.326 4.6% 1984* 4,81 539 25385 4,632 39.3 1985 899 399 25c 1986 2,0% 506 27,38.835 5,29576 39.56 1987 1,726 421 28,688 5,688 8.2 1988 2,210 252 30,64.6 6,276 10.3 1 989** 3,469 638 &3.4D 7,053 12.4 1990 2,671 738 35,410 7,6%7 8.4 1991 2,428 547 37791 8,120 6.2 1992 2.387 376 39,302 8753 2.9 * Chapter 293 Laws of 1983 provided temporary early retirement incentives +# Chapter 310 Laws of 1989 provided temporary early retirement tncentives. TABLEC SUMMARY OF UNFUNDED (OVER) ACCRUED LIABILITIES - PLAN LAST 10 YEAI:S AGGREGATE UNFUNDED (OVER- YEAR ACCRUED ACTUARIAL FUNDED) ACCRW D ACTIVE UAL AS A ENDED LIABILITIES VALUE OF NET LIABILITIES-PLAN MEM BER % OFAG IVE 6/30 PLAN PLAN ASSETS (UAD PAYROLL MEM BER PAYROLL 1983 $3,078,011,600 $2,776,937,300 $ 301,074,300 $1,909,640,100 15.8% 1 984 3,421,628,300 3,173,753,200 247,875,100 1,976,058,600 12.5 1 9865 43,695465,413102,4800 43,563584,714874,1800 31%1 ,272838,3(00 2,410696,:52718,500 143.59 1987 s 401,272,400 5,530,671,900 (129,b99,500) 2574,396,000 (5.0) 1988 5,708,060,300 5,999 640,800 (291,580,500) 2,824,215,000 (10.3) 1989 6,176,469.3% 6,686/17,5œ (508,748,200) 3,035,446,000 (16.8) 19910 76,174684,39975,9400 7,282926,255728,2000 (65531,865062,3600) 3,74921,271208,6000 (187.71) 1992 &,3ù9,%7, 700 8,841,715,700 (fx31,918,000) 3,674.258,800 (17.2) ARIZONA STATE RETIREMENT SYSTEM 55 TABLE D RELATIONSHIP BETW EEN ACCRUED LIABILITIES AND ASSETS LAST D YEARS AGGREGATE ACCRUED LIABILITIES FOR (1) (2) (3) Adive M tmbeas YEAR Retirees (Employer Actuarial LiabPâplpltteons Cofo Aveccrzeude dBy ENDED Active Merpber al!d Financed Value of Net Net Plan Assets 6/30 Contributlons Benefzcian'es Portlon) Plan Assets f11 Q) f31 $ 895,331,2œ K4,845,600 $1,577,834,800 $2,776,937,300 100% 100% 80.9% 1984 9470350,(00 1,015,309,700 1,458,968,6œ 3,173,753,2œ 100 1(X) 83.0 1985 1,092,084,100 1,107,199,3* 1,755,829,4* 3,654,384,8* 1(X) 100 82.9 1986 1,230727,500 1,237,679,400 2,178,423,500 4,538,147,1* 100 1(X) 95.0 1987 1/277,730,300 1,463,977,000 2,659,565,100 5,530,671,900 100 100 1œ .9 1988 1,480,809,500 1.664,622,000 2,562,628,800 5,999,640,800 100 100 111.4 1989 1,637.307,6* 2.300,943,900 2,238,217,8* 6,686,217,5œ 100 1(X) 122.8 1990 1/649,418,700 2,567,352,7* 2,528,204,500 7296,578,000 1(X) 100 121.8 1991 1,806,773,400 2,775,297,100 2,586,325,300 7,822,252,2* 100 100 125.3 1992 1,973,747,0œ 3,260,573,300 2,975,477,4* 8,841,715,7* IX 1(X) 121.2 TABLE E SCHEDULE OFRECOMMENDED VS.ACTUAL CONTRIBW IONS LAST 1Q YEXRS YEAR COVERED EMPLOYER ACFUARY j ENDED EM PLOYEE EMPLOYER CONTRIBUTION RECOMMENDED 6/30 - PAYROLL CONTRIBUTIONS RATE - AW UAL CONTRIBW ION 1983 $1,909,640,100 $133,674,800 7.00% 7.00% 1984 1,976,058,600 138.324.100 7.00 7.œ 1985 2,166,218,500 135,821,900 6.27 6.27 1986 2,409,578,500 136,67-3,1* 5.67 5.67 1987 2,574.396,000 1427*,1% 5.53 5.B 1988 2,824 215,000 112,9% 600 4.00 5.16 1989 3,035,446,000 154,5*,200 5.09 5.(N 1990 3,221 728,000 64,434 600 2.œ 4.69 1991 3,491710,600 133.361.,2œ 3.82 3.82 1992 3,674,258,800 132.273.300 3.60 3.60 56 ARIZONA STATE RETIREMENT SYSTEM FINANCING OBJECTIVE Turning first to the normal cost of the Plan, this year's valuation indicates that the norm al cost as of June 30, 1992 is 10.39% of pay, compared to 9.58% in the 1991 valuation. This normal cost is developed based on the prescnbed projected unit credit (PUC) actuarial funding m ethod. It is inclusive of the am ount contributed by the em ployee. The normal cost for the health insurance premium supplement is 0.42% of pay. The normal cost for the disability benefits is 0.96%. The normal cost for the retirem ent benefits is 7.36%, while the norm al cost for the death benefits is 0.42% of pay. The rem aining 1.23% of pay is the cost of termination benefits under the Plan. The June 30, 1992, actuarial valuation is the first to incorporate the new actuarial asset valuation m ethod approved by the Board. In this method, the m arket value of assets is modified by a five year phase-in of the difference between the expected investment return and actual income. The gain from the change in the actuarial asset valuation m ethod as of June 30, 1992, was $344.1 million. For this yearr the Plan's market value is $*.378 billion and the actuarial value under the new asset valuatlon method is $8.842 billioit. The difference of $534 million represents excess net investment gainsz the recognition of which is deferred until subsequent years. The norm al cost rate has increased from 9.58% of pay to 10.39% as noted above. The actuarial accrued liability has increased from $7.2 billion to $8.2 billion. The present actuarial assets increased by roughly $1.0 billion during the year, from $7.8 billion to $8.8 billion. As provided by Section 38-781.05 of the Arizona Revised Statutes, the required contribution rate should increase from 3.59% of pay to 4.09% of Pay for both the employee and the employers for the 1993/94 fiscal year. Even though the Plan remains overfunded (in actuarial terminology) as of June 30, 1992, care should be taken in how this overfunded status is viewed. It has been a practice of the Legislature over the last several years to grant ad hoc increases to retirees. No current funding has been provided for these increases. Instead, they are assumed to be paid from prior actuarial gains. In actual practice they increase the next year's unfunded actuarial accrued liability (UAAL) and therefore flow into the calculation of the following year's contribution rate. No assumption is made as to the occurrence of future ad hoc increases. At some point it m ay be necessary to reflect these future ad hoc enhancements in the current valuatiom if it becomes evident that they are in fact a contintling event. In several separate reports on the cost of various benefit proposals, it has been seen that the recognition of even a modest automatic cost of living adjustment results in increases in the employee/employer contribution rate. Therefore, the Plan's apparent overfunding may be misleading if, in fact, the ad hoc retiree increases are becom ing a de facto automatic increase. The financing objective is to maintain a 100% funding status for the Plan. ARIZONA STATE RETIREMENT SYSTEM 57 GENERALACTUARIAL INFORG TION n e following charts will serve to indicate some of the more important statistics regarding the retirement program; each chart wil identify each membership category separately where possible. All figures are as of July 1, 1992: Pplitical S tat e Subdivision Nort-ltetired M embers: E m p I oye e s Teachers Employees Tolal Number of Members tActivel 38,246 VA% 55,878 139,633 Average Age c l 42.4 41.9 zl2.1 Average Years of Service 7.8 9.8 6,9 8.1 Avelage Annual Salary $24,740 $31,028 $22,508 $25,896 n e retirement program now exceeds the eligible employees of 300 public employers in al1 areas of the State. While the State of Arizona is the largest single employer, state employees constitute only about 27% of the active participants in the retirement program. Conversely. political subdivision employees, including teachers, constitute a significant majority of the active membership, or about 73%. Polilical State Subdivlslon Retired Members: Emp leyees Teachers Employees Toùal* Number of Retirees 10,493 11,214 14,783 36,490 Average Age 71.6 70.5 70.5 70.8 Average Monthly Benefit $632 $989 $498 $703 Average Years of Service 165 22.6 15.3 17.9 (Nncludes only Plan retirees) Of al1 retirees at July 1, 1992, 2% received annuities of less than $100 per month; 10% received from $100 to $199 per month; 14% received from $200 to $299 per mortth; 13% received from TS')I)O to K')X per month; l0% received from $400 to $499 per month; 8% received from $500 to $599 per month; 7% received from $600 to SE?.? per month; 13% received from $700 to $999 per month; 23% received $1 000 or more per month. Of all retirees, 23% are under age 65; 25% are age 65.699 22% are age 70-74; 15% are age 75-79; 15% are age 80 or older. One of the most critical factors bearing on retirement costs is that of changes in the average salary level of active participants. The folowing chart will show for each of the last 5 fiscal years the average salaly level for state employees, for leachers, and for political subdivision employees other than teachers and the average for al1 groups combined: Flscal Year 1987-88 1988-89 1989-90 1990-91 1991-92 state Employees $2.3,480 $2.3,311 $2.3,415 $24,695 $24,740 Teachers 28,826 29 8+ 31 085 30 471 31,028 Political Subdivision Employees 20,764 21.2/ 21,999 22,407 22.508 All Groups $2.3.655 $24.057 $24,762 $2.5.625 $25,896 58 ARIZONA STATE RETIREMENT SYSTEM STATISTICAL SECTION G raph - Contributions Received Graph - Total Benefit Paym ents Graph - Total Reserves for Benefits G raph - N onretired & Retired M em bers Schedule of Average Benefit Paym ents Total Rate of Return for Investm ents N et Investm ent Incom e Experience by M anager Schedule of lnvestm ents G raph - Portfolio Com ponents Graph - N et Incom e from lnvestm ents List of Em ployers Retirem ent Benefit O ptions Graph - Retirem ent Benefit O ptions Selected Retired M em bers by Type of Benefits ARIZONA STATE RETIREMENT SYSTEM 59 CO N TRIBU TIO N S RECEIV ED in m illions $ 300,000,000 $ 280,000,000 YEAR ENDEDJUNE 30 MAXIMUM CONTRIBW ION RATES In Percentage of Payroll 1983 1984 1985 1986 :987 19& 3989 1990 Employor 7.00 7.00 1991 1992 6.17 56. 7 5 Employee 7.00 .5$ 4.0: 5 7.00 6.27 5.67 5 .09 2.00 3.82 3.60 .53 4.00 5 .09 2.00 3.82 3.60 60 ARIZONA STATE RETIRBME NT SYSW M TOTAL RESERVES FOR BENEFITS (at cost) in m illions $ 8,000,000,000 $ 7,œ0,000,0()0- YEAR ENDED JUNE 30 W e increase in total raerves for benefits over 202% in the pask nkne yearw refiects th e actuarial strengtb of the Retirement System. 62 ARIZONA STATE RETIREMENT SYSTEM N O NR ETIRED & RETIRED M EM BERS . y Norzetjred YEAR ENDED JUNE 3: n eArizona State Retirement Systemas itexlsts todaylus evolved fromtheconsolldation of theoriginal StateRetirementsystem with the formerTeachers' Retiremenl System in 1955. n e numberof retired membea has increased even more l'apldlythan tbe numberof nonretired members. n e category of retired members includes many sttlviv'em of fcrmer membea who haye qualifled formonlly benefit paymenl rather than for single death beneflt payments. ARIZONA STATE RETIREMENT SYSTEM 63 SCHEDULE OF AVERAGE BENEFIT PAYM ENTS FOR RETIREES UNDER THE PLAN* YM RSCPEDC SERWCE 0d 5-9 1114 15-19 20-24 2129 30-34 35-39 4044 45+ TOTAL Fiscal Yoar 1985 Avcrage NConthly Benefit $130 $181 $290 $427 $561 $765 $921 $877 $738 $661 $447 Number of Retirees 399 4356 5468 4781 3771 2419 1293 660 438 101 23686 A VE RA G E C REDITED S ERVICE 17.6 Fiscal Year 1986 Average Nlonthly Benefit $134 $186 $303 $452 $596 $808 $972 $938 $778 $704 $469 Nu mber of Retirees 406 4683 5879 5120 4015 2578 1348 670 417 97 25213 A VE RA G E C REDITE D S E RVIC E 175 Fiscal Year 1987 Avcrage hlonthly Benefit $138 $194 $320 $478 $637 $875 $1075 $1028 $832 $742 $505 Number of Retirees 4G1 4893 6137 5430 4260 2799 1484 682 398 90 26577 AVERA GE CREDITED SERVICE 17J Fiscal Year 1988 A vcrage Monthly Benefit $134 $194 $325 $490 $662 $943 $1182 $1124 $847 $740 $535 Nulnber of Retirces 442 5173 6508 5739 4599 3208 1724 709 390 83 28575 AV E R A G E C REDITED S ERVIC E 17.6 Fiscal Year 1989 Avcrage N4onthly Benefit $131 $195 $334 $511 $713 $1087 $1423 $1302 $907 $757 $603 Nulnber of Retirees 504 5426 6993 6188 5030 3810 2237 774 355 79 31396 AV E RA G E C REDITE D S ERVICE 17.9 Fiscal Year 1990 Avcrage N4onthly Benefit $128 $203 $362 $555 $777 $1200 $1540 $1431 $1043 $928 $659 Nu mber of Retirees 548 5671 7487 6537 5357 4144 2426 803 345 67 33385 AVE RA G E C REDITE D S ERVIC E 17.9 Fiscal Year 1991 A vcrage Monthly Benefit $128 $208 $372 $577 $817 $1259 $1610 $1476 $1086 $966 $687 Nu mber of Retirees 587 5932 7851 6747 5624 4438 2558 790 322 57 34906 A VE RA G E CR EDITE D S ERVICE 17.9 Fiscal Year 1992 A verage NConthly Benefit $124 $207 $377 $588 $839 $1292 $1650 $1521 $1112 $936 $703 Nu mber of Retirees 646 6220 8215 6952 5888 4687 2718 800 308 56 36490 A VE RA G E CREDITE D S E RVICE 17.9 *sinnilar Statisu cs are not available for reurees of the Systeux 64 ARIZONA STATE RETIREMENT svs'rEM INW STM ENTS Assets of the retirement fund other than amounts needed for current expenso and benefit laayments, are kept fully invested at all ttmes ne lnvestmertt Advisory Cotmdl the Retirement Board, and the Ilirector eacll ltave resposstbiltty for slyecific aspects of tlw inv erstnen.t program, as do investment managers who serve tmder contract to the Retirement System. Spedfic responsibiliues are assigned by )aw as follows: ne Investment Advisory Councz selects and apm ints investment managers, with the approval of the Retirement Board. n e Coundl is also required to: (1) meet at least quarterly; (2) meet at least xmi-annualy with each investment manager to review the investment portfolio and (3) make recommendations to the investment manageo. ne Retirement Board has the responsibility for the final approval of the invetment managers, and for the supervision of the Diredor in the inves% ent of temporm'y smplus monies the safekeeping of all investments, and the eperation of a secuzity Ioan program. n e Director has staff responsibility for the investment of temmrary surplus monies, the safekeeping of all investments, and the omrauon of a secwity loan prop'am. Investment managers have full responsibility for all investment dedsions, other th% those relating to the investment of temporary surpltts monies. By law there mtzst be at least two investment managers. ne Coundl and the Board akso detennined that the selvices of investment performance measmement smadalists should be provided Coundl has adopted as the standard meastzre of investment performance the formtzla recommended by tl!e Bank M ministation lnsd. tnute and tbe lnvestment Cotmselors Assodation of America. Sucb a formula produces a total rate ()f rehzrn tlefined as the rehzzn wbich includes aIl income (dividends and interest less expenses), al realized capital gains (or 10*0) and al unrealized capital gains (or 1- 0). 'Ihe total rate of return figures for the System, since this meastzre of performanœ was adopted in 1976 are as follows: 1975-76 10.79% 1980-81 4.95% 1985-86 31.50% 1990-91 7.99% 1976-77 8.74% 1981-82 2.40% 1986-87 11.80% 1991-92 14.62% 1977-78 1 .18 tro 1982-83 40.30% 1987-88 3.10% 1 978-79 8.62 tl'o 1983-84 (5.20%) 1988-89 14.33% 1 979-80 9.54% 1984-85 32.10% 1989-90 9.52% We following chart will serve to show the amotmt of investment income produced during tlze year by eacb of tlle tnvestment managem NET INVESTMENT INCOME EXPERIENCE BY MANAGER YEAR ENDED JUNE 30, 1992 NET REALIZED DIVIDENDS & CAPITAL GAINS NET INVESTMENT MANAGER INTERF.SF (OR LOSSESI MANAGEMENTFEES INCOME PRODUCED INVESCO MIM $ 48,199,139 $ 34 143 288 $ 1,396.349 $ 80,946,078 VNB-Mortgage 19,916,883 (àfx3à61) 205,849 18,847,673 Duff & Phelps 120743,576 61-915,04 90,000 182,067,430 n e Bœton Company 37,197,855 45,292,384 937,490 81,552,749 Wells Fargo Core 95,430,381 6,* 8,761 581,565 100,887,577 Wells Fargo - TAA 99,719.+9 24,587,979 2,201,051 122,105,997 Warbtu.g 7.349,365 2,298,910 212,750 9,435,525 State Street 331.&34 31,638,840 346,743 31,613.931 I.D.S. Advisory 29763,243 18762,294 7/2,412 46,853,125 J.P. Morgan 13,557,817 42,980,531 925.986 75,612762 J.P. Morgan - International 176,4A3 252,489 11,681 417,471 Schroder 180,029 (33 274) 28,510 118745 Capital Guardian 167,944 94à448 10,264 1,1œ ,928 Clay Finlay 87,923 6,748 81,175 Axe-l-loughton 257,586 (66 1 04) 16,667 174,815 Mellon Capital 333,079 9-716,838 19,712 1 0, (F2 8 ,2 0 5 Cash Management 1,587,931 1(N,fW0 1.478,291 TOTAL $494,000,317 $277,204,677 $7,873,417 $763331,577 For Fiscal 1991-92 the total rate of rettzrn was 14.62% the yield on cost was 9.44% and the not effective yield was 9.42%. ne Management fees classified as cash management are for the services of William M. Mercer Arxset Planninp Inc. for performance analysis of the activity of the System's investment managers. ARIZONA STATE RETIREMENT SYSTEM 65 SCHEDULE oF INVESTA ENTS (Investment Fund) : YEAR ENDED JUNE 30, 1992 COST CORPORATE EQUIW SECURITIES $ 3,602,478433 $ 4.175,342,223 FIXED INCOM E SECURITIES: CORPORATE DEBT SECURITIES 300,536,966 321,421,279 U.S. TSY. & GOVT. AGENCY SECURITIES 3,991,336,788 4,375,827,308 REAL ESTATE MORTGAGES 223,4140519 223,414,519 TEMPORARY INVESTM ENTS 424,879,169 424,959,413 TOTAL FIXED W COM E SECURITIES 4,940,167,442 5745,622519 NET PAYABLE ON TM NSAG IONS (90,8-.42,212) (90,842,212) TOTAL PORTFOLIO $ 8.451,803.763 $ 9,430,122330 (NOTE: The retirement fund balance includes some assets which are not part of the investment fund. These differcnces are set forth in detail in the financial statements in this Report.) 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(.E(?iëh jqEë:E!Eë è7EtFE ë:!2y ëjyjjygqyhqàiqà.jyyygz.jqygyijjyëEèljjqjgjyTy.yjgylt lli! yg jgtàyygygjyyjygyjggjgjy;ij :.ygL;j g:ysgyjyg :.ë,j; g j:ygyjy .isgàyyyj gy.r.;., y,, , :':!r:!r;E5 iE;EëFiEë!5;!!! EEJEEErS E EëJ EJEEiIEEEjEqEFEEIEë 3FCEE jqjëijlygjgjgjygjyjjgjlygglgEgigjyjgggyigEEjilJ El! ài, jë ë glg yg ëgyj jgjyygjgygg yjyayjygjyg .:5iE:!qi!2E!:i!5jEë?EëiEgiETiJjE!3Eëà!EjEi!;(Fi2ëiEjJi5?E:E!FrE5iEë5ErEëi!EE;qE2ë;Eë:iE EiIEC !yi:! Jikgsl ëEiq EglIJyë:FjIë(E !ëjg:q!Eà j:g àrjy!l E; j; grj.gysjyigjygjëyjyjgir yji tsy.rgyg:y..g '' ''.::.:'.:':!;gjj!(!Egg!SiEg jEi! )!ëj!gE1! ' IIEjEEIIEJEJCEi:E;IEEJEqjEEJEëiESjECIjj.E..E.ZE.EEEë..E.9E !. .i !j!.. .E 9(! qjë E((g!?jg ; ::. . . .:. ësilêi !!ss!2 :g::ë!.rJ!2 :. ' ' :E'' ' lëli.i 'EF! E ;.8:E!sëE?!ëEiiE?E t:!ë!sEs!E!:sE:7'i!@ sEiCIEi l'i! éIEë@li !E j2!Ei! iE.!i' ëEiëbE!l3Eit:!i fs5!i!:.Es. ë'E: F:'!: '.:. ' . :. h5!. E':.FE: .:.: FEECEEiIEIECET:EiEZIEE.SEEEEEEET: Eg : : :::2:5:.. . :. 1-I 1. Corporate Equity rities 1 4. Temporary Investments Qtliët! 2. U.S. Treasury & Gov. Agency Securities 1 5. Corporate Debt Securities Z9fJ. 3. Real Estate Mortgages 66 ARIZONA STATE RETIREMENT sys'rEM NET INCOM E FROM INW STM ENTS (INVESTM ENT FUND) in mlllions $ 1,000,0(q000 $ 900,œ0,000- $ 8(X),000,000- $ 700,œ0,000- $ 600,œ0,000- $ 500,œ0,000- YEAR ENDED JIJNE 31V TEN YEA.R REVIEW OF INVESTMENT INCOME (M Rgures Rounded to Nemwt $1,0œ) Realiztkd Capital Invtsstment NG Inœme Fiscal In vesknent Gains (or Lo- ) Expen- From InVeSIZZAenI Year Incon4e 1982-83 225,640,œ 0 1R 608,% 3,9D,% 361769.% 1983-84 252,4G4.*0 17,367,% 4,9(:?,4(4) 2G,876,% 1984-85 294,845,(* 98,798,0* 5,2 s6,(ï)0 388,4:18,* 1985-86 31,861,(m 402,841,% 6.055,(%:) 7*,647,* 1986-87 330,618,*0 648,376,*0 7,5 14,(ïX) 971,480,% 1987-88 374,238,*0 130J21,(X)0 8,3œ.% 496756,% 1988-89 446745,(00 169,660,*0 8,230,(*y) 6ö7,675.* 1989-90 470,984,*0 376,108,% 7,8 53,(4X3 839439,* 1990u91 481,435,*0 145777,% 8,(k17,(4)0 621,765,% 1991-92 495,404.(00 277,205,*0 9,277,(4X) 763,332,% ARIZONA STATE RETIREMENT SYSTEM 67 LIST 0F EM PLOYERS PUBLIC SCHOOLS Agua Fria LJHS Dist. 216 Double Adobe Elem. Dist. 45 A uila Elem. Dist, 63 Douglas Unified Dist. 27 AJo Unified Djst. 15 Duncan Unified Dist. 2 Alhambra Elem. Dist. 68 Dysart Unified Dist. 89 Alpine Elem. Dist. 7 Eagle Elem. Dist. 45 Amphitheater Unified Dist. 10 East Valley Technical Institute Antelope UHS Dist. 50 Elfrida Elem. Dist. 12 Apache Elem. Dist. 42 Eloy Elem. Dist. 11 Apache Junction Unified Dist. 43 Fisher (Ruth) Elem. Dist. 90 Arlington Elem. Dist. 47 Ragstaff Unified Dist. 1 Ash Creek Elem. Dist. 53 Rorence Unified Dist. 1 Ash Fork Unified Dist. 31 Rowing Wells Unified Dist. 8 Avondale Elem. Dist. 44 Ft. n omas Unified Dist. 7 Bagdad Unified Dist. 20 Fotmtain Hills Unified Dist. 98 Balsz Elem. Dist. 31 Fowler Elem. Dist. 45 Beaver Creek Elem. Dist. 26 Fredonia-Moccasin Unified Dist. 6 Benson Elem. Dist. 9 Gadsden Elem. Dist. 32 Benson UHS Dist. 9 Ganado Unified Dist. 20 Bicentennial UHS Dist. 76 Cila Bend Unified Dist. 24 Bisbee Unified Dist. 2 Gilbert Unified Dist. 41 Blue Elem. Dist. 22 Glendale Elem. Dist. 40 Blue Ridge Unified Dist. 32 Glendale UHS Dist. 205 Bonita Elem. Dist. 16 Globe Unified Dist. 1 ! Bouse Elem. Dist. 26 Crand Canyon Unified Dist. 4 . Bowie Urtified Dist. 14 Hackberry Elem. Dist. 3 1 Buckeye Elem. Dist. 33 Hayden-W inkelman Unified Dist. 41 1 Buckeye UHS Dist. 201 Heber-overgaard USD No, 6 'j Bullhead City Elem. Dîst. 15 Higley Elem. Dist. 60 I Camp Verde Unified Dist. 28 Hillside Elem. Dist. 35 Canon Elem. Dist. 50 Holbrook Unified Dist. 3 Cartwright Elem. Dist. 83 Humboldt Unified Dist. 22 Casa Crande Elem. Dist. 4 Hyder Elem. Dist. No. 16 Casa Crande UHS Dist. 82 Indian Oasis-Baboquivari 40 Catalina Foothills Unified Dist. 16 lsaac Elem. Dist. 5 Cave Creek Unified Dist. 93 Joseph City Unified Dist. 2 Cedar Unified Dist. 25 Kayenta Unified Dist. 27 Chandler Unified Dist. 80 Kingman Elem. Dist. 4 Chevelon Butte Elem. Dist. 5 Kirldand Elem. Dist. 23 Chinle Unified Dist. 24 Kyrene Elem. Dist. 28 Chino Valley Unihed Dist. 51 take Havasu Unified Dist. 1 Chloride Elem. Dist. 11 Laveen Elem. Dist. 59 Clarkdale-lerome Elem. Dist. 3 Libert ïElem. Dist. 25 Clifton Unified Dist. 3 Litchheld Elem. Dist. 79 Cochise Elem. Dist. 26 Littlefield Elem. Dist. 9 Colorado City Unified Dist. 14 Littleton Elem. Dist. 65 Colorado River Union H.S. Dist. 2 Madison Elem, Dist. 38 Combs (J.O.) Elem. Dist. 44 Maine Cons. Elem. Dist. 10 Concho Elem. Dist. 6 Mammoth-san Manuel Unified Dist. 8 Congress Elem. Dist, 17 Marana Unified Dist. 6 Continental Elem. Dist. 39 Maricopa Unified Dist. 20 Coolidge Unificd Dist. 21 Mayer Unified Dist. 43 Cottonwood-oak Creek Elem. Dist. 6 McNazy Elem. Dist. 23 Crane Elem. Dist. 13 McNeal Elem . Dist. 55 Creighton Elem. Dist. 14 Mesa Unified Dist, 4 Crown King Elem. Dist. 41 Miami Unified Dist. 40 Deer Valey Unified Dist. 97 Mingus UHS Dist. 4 Dil tMary E.) Elem. Dist. 41 Mobile Elem. Dist. 86 1 68 ARIZONA STATE RETIREMENT SYSTEM 1 PUBLIC SCHOOLS (COM vD) Mohave UHS Dist. 30 San Simon Unified Dist. 18 Mohave Valley Elem. Dist. 16 Santa Crttz Elem. Dîst. 28 Mohawk Valley Elem. Dist. 17 San Cruz Valley Dist. :k5 Morenci Unified Dist. 18 Santa CnIZ Valley UHS Dist. 840 Morristown Elem. Dist. 75 Qotsdale UIGIiCXI Dist. 48 Murphy Elem. Dist. 21 Sedona - Oak Creek Ahool Dist. 9 Naco Elem. Dist. 23 %li lmart Unified Dist. 40 Nadaburg Elem. Dist. 81 Sentlnel Elem. Dist. 71 Nogales Unified Dist. 1 Show tow UMIGI Dist. 10 Oracle Elem. Dist. 2 Stena Vista Unii'ied Dist. 68 Osborn Elem. Dist. 8 Skull Valey Elem. Dist. 15 Owens Whitne ïElem. Dist. 6 Snowflake Unified Dist. 5 Page Unified D1st. 8 Solomonville Elem. Dist. 5 Palo Verde Elem. Dist. 49 Rmerton Elem. Dist. 11 Paloma Elem. Dist. 94 Sonoita Elem. Dist. 25 Palominas Elem. Dist. 49 Stanfleld Elem. Dist. 24 Paradise Valley Dist. 69 Sunnyside Unified Dist. 12 Parker Unified Dist. 27 Sumnor Unified Dist. 15 Patagonia Elem. Dist. 6 Tanque Verde Unilied Dist. 13 Patagonia UHS Dist. 20 Tempe Elem. Dist. 3 Payson Unified Dist. 10 Tempe UHS Dist. 213 Peach Springs Elem. Dist. 8 n atcher Unified Dist. 4 Pearce Elem. Dist. 22 Toleson Elem. Dist. 17 Pendergast Elem. Dist. 92 Tolleson IJHS Dist. 214 Peoria Unified Dist. 11 Toltec Elem. Dist. 22 Phoenix Elem. Dist. 1 Tombstone Unified Dist. 1 Phoenix UHS Dist. 210 Tonto Basin œhool Dist. 33 Picacho Elem. Dist. 33 Tuba City Unified Dist. 15 Pima Unit'ied Dist. 6 Tucson Unilled Dist. 1 Rne Elem. Dist. 12 Unfon Elem. Dist. 62 Pinon Unified Dist. 4 Vail Elem. Dist. 20 Pomerene Elem. Dist. 64 Valentine Elem. Dist. 22 Prescott Unified Dist. 1 Valley UHS Dist. 22 Puerco Unified Dist. 18 Vernon Elem. Dist. 9 Quarlzsite Elem. Dist. 4 Washington Elem. Dist. 6 Queen Creek Unified Dist. 95 Welton Elem. Dist. 24 Ray Unified Dist. 3 W enden Elem. Dist. 19 Red Mesa Unified Dist. 27 W hiteriver Unified Dist. 20 RH Rock Elem. Dist. 5 W ickenburg Unified Dist. 9 Riverside Elem. Dist. 2 W illcox Unified Dist. 13 Roosevelt Elem. Dist. 66 Willlams Unified Dist. 2 Round Valey Unified Dist. 10 Williamson Valley Elem. Dist. 2 Sacaton Elem. Dist. 18 Wilson Elem. Dist. 7 Safford Unified Dist. 1 Window Rœk Unilied Disi. 8 Sahuarita Unified Dist. 30 Winslow Unified Dist. 1 St. David Unified Dist. 21 Yarnel Elem. Dist. 52 St. Johns Unified Dist. 1 Yotmg Elem. Dist. 5 Salome Cons. Elem. Dist. 30 Yucca Elem. Dist. 13 San Carlos Uniied Dist. 20 Yuma Elem. Dist. 1 San Fernando Elem. Dist. 35 Yuma UHS Dist. 7* COIZEGES Arizona Western College Maricopa County Comm. Central Arizona College Mohave Community College Cochise College Northland Pioneer College Coconino County Community College Pima Community Colege Eastem Arizona Colege Yavapai College ARIZONA STATE RETIREMENT SYSTEM 69 CITIES AND TOW NS City of Apache Junction City of Avondale City of Benxn City of Bisbee Town of Buckeye City of Casa Grande Town of Clifton City of Coolidge City of Chandler City of Douglas Town of E1 Mirage Town of Cotkmwood City of Glendale City of R agstaff City of Eloy Town of Gila Bend Town of Cilbert Town of Flozence City of Goodyear Town of Guadalum City of Globe Town of Hayden City of Kingman City of Holbrook City of Lake Havasu City of Litchfield Park City of Mesa 1 City of Nogales City of Paradise Valley Town of Miami ' Town of Patagonia City of Peoria Town of Parker City of Prescott City of Safford Town of Pirna City of Scottsdale City of Show Low City of Sierra Vista ' Town of Snowflake City of So. Tucson Town of Springerville . Town of Taylor City of Tempe Town of Surprix Town of Thatcher City of Tolleson City of Tombstone Town of W ellton Town of W ickenburg ' City of W illcox City of W inslow Town of Youngtown City of W illiams City of Yuma COUNTIES Apache County Cochise County Cx'onino County Gila County Graham County Greertlee County Maricopa County Mohave County Navajo County Pirma County Pinal County Santa Caxtz Couny Yavapai County Yuma County SPECIAL Arizona Assodation of Coundes Maricopa W ater District Bullhead City Fire District State of Alizona Colorado River Sewage System Tucson Airport Authority Kino Cornmunity Hospital W estern Arizona Coundl of Governments Little Colorado Sanitary District Yuma County Airport Authority Maricopa County Hea1th Services Yuma Mesa Irrigation District 70 ARIZONA STATE RETIREMENT SYSTEM I ' RETIREM ENT BENEHT OPTIONS LIFE ANNUIRY REFUND PROVISION Provides member monthly benefit for life. If death occurs before a1l contributions. plus interest have been paid the remainins balanœ * 11 be paid in a lump sum to the dc>signated benefkiazy. LIFE ANNUITFFIVE YEARS CERTAIN Wovides member monthly beneht for life. lf death occurs before receiving 60 monthly m yments, tbe remaining mouthly payments (or balance of the 60 payments) will be paid to the designated beneficiary. LIFE ANNUIW -TEN YEARS CERTAIN Provides member monthly benefit for life. If death occurs before receiving 120 monthly payments. the remaining monthly pam ents (or balance of the 120 monthly payments) V I be paid to the designated beneficiary. LIFE ANNUITFFIFFEEN YEARS CERTAIN Provides member monthly benefit for life. If death occurs before rœeiving 180 monthly payments, the remaining monlhly pam ents (or balanœ of ihe 180 payments) will be paid to the designated beneficiary. JOINT ANNUITY-IOO% TO CONTINGENT SURVIVOR Provides member monthly benefit for life then aiso provides a life annuity equal to 100% of the member's monthly benefit for one designated beneficiary should the beneficiary suwive the member. JOINT ANNUITY-66 N3% TO CONTINGENT SURVIVOR Provides member monthly beneht for life then also provides a life annuity equal to 66 2/3% of the member's monthly benefit for one designated benefidary should the beneficlary suwive the member. JOINT ANNUITY-50% TO CONTINGENT SURVIVOR Provides member monthly benefit for life then also provides a life annuity equal to 50% of the member's monthly benefit for one designated beneficiary should the beneficiary survive the member. GRAPH 0F RETIREM ENT BENEFIT OPTIONS SELECTED fjliljg qEfigjlgjlkfjfg k(gjt'kjjgkjgj'' ' ' '' '' qpipi ëil qdiëipipjàëëplégkjglijgljjgjtgkgjjjkjlgjtjjjjjjtjj .,jjj , j:i jèi @(! tjiàjgjgljj;. jjj Firilëlrër Liljrgpgrjjt g(j.i rjëgk jjkgygjyzgkjjkgjjyjyjgyjg jyjy, gjjgjygyjj ys,jj ,yjgyj.jy-.yjy, gyy,yy,y Eq.i' E:ëiEq!àil gi4ë jëg tijqëggjt ;zrjjy ,g;jr, j(kg jkjt yjg,j .jjjjjjjjyj yjgs, jyg;jyy, i.JL:'Jt;.g ëL;.r ) ( .:;jà,F :.:.tl :Eiët,éijgpëig.@àj,ihj;. iJ@ ji!ë;.iqt Jëiléjiljq?il .ipè. iqjgi45t) iikgjtlkëqjlfëjlfgtlgftfjlg:q. . '.::ilpEplëglitëilit@tiqidëi j.ëië t ljlgtgy! . t!y;d, ;j;rj ...;.:::E@tëëjgg q [email protected])jigjiàri:(t::. tES;.'ESIE). :1. . qi . . E) Life AnnuitpReftmd Provision K Joint Annuity-lœl E1 ufe AnnuitpFive Years certain K Joint Annuitye 2/3% E:l:'). Life Annuity--ren Years certain K Joint Annuity-sol Qu's Life Annuity-ls Years Certain ARIZONA STATE RETIREMENT SYSTEM 71 RETIRED M EM BERS BY TYPE O F BEN EFITS TOTAL TYPE OF BENEFITS NUM BER PLAN SYSTEM Life Annuitp with Refund Provision 13,061 12,254 807 Life Annuitp s-Years Certain 3,676 3,625 51 Life Annuity, lo-Years Certain 9,510 9,074 436 Life Annuity, ls-Years Certain 2,018 1,926 92 Joint Survivorship: 50% 1 to Contingent Survivor 2,077 2,059 18 *-2/3% to Contingent Sulvivor 2,098 1,950 148 100% to Contingent Survivor 5.487 TOTAL RETIREMFN T BENEFIT OPTIONS SELECTED 37,927 36,226 1,701 Disability Retirements 1,108 1,104 4 Beneficiary (Member died before Retiring) 3 TOTAL - ALL W PES 3-7.59.4 ! I 1 i i 72 ARIZONA STATE RETIREMENT sys'rEM IN VESTM EN T PORTF-O LIO SECTIO N Tem porary Investm ents U nited States Treasury & G overnm ent A gency Securities Convertible and Corporate Bonds Preferred and Com m on Stock Foreign Securities M ortgages ARIZONA STATE RETIREMENT SYSTEM 73 LIST OF INVESTM ENTS AS OF JUNE 30, 1992 TEM PORARY INVESTM ENTS CURRENCY DEPOSITS PAR VALUE BOOK VALW M ARKET VALUE AUSTRALIAN DOLLARS $ (571,438) (427.036) $ (426,979) BELCIUM FRANC (32,316,636) (1,018,395) (1,031,159) CANADIAN DOLLARS (4,552,194) (3,788,936) (3,+3,954) DUTCH GUILDERS (1,297,160) (759,750) (755,524) FRENCH FRANCS (2,9 27, 6(X) (568,853) (570,349) CERMAN MARKS (448306) (28 $ 643) (29 .4r 453) HONG KONC DOLLARS 18,302 2,366 2,M8 INDONESIAN RUPIAH (313,82 1 ,200) (154,403) (1 ,53, 772) MITALAIAYNS IALIN1l ER INGGIT 45(13U8 20800) (154.,023925) (43,9œ44) 1 NORWECIAN KRONER 11,271 1.897 1,890 : IJOUNDS STERLING (11,127,433) (21,101,975) (21,181,076) è SINGAPORE DOLLAHS (1,218) (33,677) (753) SPANISH PESETAS (234,989,182) (2,444,2.55) (2,447,172 SWEDISH KRONA (2,035,2œ) (353.818) (369,835) swlss FRANCS (2,060 681) (1,5M,511) (1.500,860) U. S. DOLLARS (4,217,778) (4.217,778) (4,217,778) VARIABLE RATETIM EDU OSITS ALCEMENE BANK - CANADIAN DOLLARS 5,005.000 4,191,732 4,182,333 ALGEMENE BANK - DUTCH GUILDERS 6,250,000 3,597,744 3,640,281 ALGEMENE BANK - ITALIAN LIRE 9,120,900,0œ 7,910771 7,853,697 ALCEMENE BANK - POUNDS STERLING 14,975,000 28,405,933 28,504,913 ALGEMENE BANK - SPAM SH PESETAS 280,000,000 2,916,059 2,915,920 ALCEMENE BANK - SWISS FRANCS 6,545,000 4,756,381 4,766,933 BANQUE NATIONALE DE PARIS - FRENCH FRANCS 2 2O5 000 432,607 429,574 BAYERISCHE VEREINSBANK - GERMAN MARKS 7,525,000 4,878,444 4,942,525 GENERALE DE BANQUE SA - FRENCH FRANCS 15,115,000 2.950,516 2,950,519 GENEIIALE DE BANQW SA - SWEDISH KRONA 7,365,000 1,325,355 1738.360 M ONEYM ARKETDW ESTM ENTS WF MONEY MARKET b'Uh;:l FOR EMPLOYEE BENEFIT TRUSTS 347 347 34Z WF SHORT-TERM ASSET ALLOCATION FUND 62 62 62 TEMPORARY INVESTMENT FUND 400,184,322 400,184,322 400,184,322 TOTAL TEMPORARY INVESTMENTS $424,879,169 $424.959,413 UNITED STATES TREASURY & GOVERNM ENT AGENCY SECURITIES UNITED STATES TREASURYZERO COW ON SECUIUTIES CERTIFICATE OF ACCRUAL ON UNITED STATES TREASURY SECURITIES - INTEREST RATE M ATURITY PAR VALUE BOOK VALUE MARKET VALUE ..0- 02-15-2004 $ 4,753,000 $ 1,807,613 $ 1,904,146 .. 0- 02-15-2005 441,œ0 158,020 161717 74 ARIZONA STATE RETIREMENT SYSTEM D STATES TREASURY ZERO COUPON SECURITIES CERTIHCATE OF ACCRUM ON UNITED STATES TREASURY SECURITIES -INTEREST RATE MATURITY PAR VALUE BOOK VALUE MARKET VALUE ..0- 0,5-15-2004 $ 3,851,0œ $ 1,279,065 $ 1,509,360 4)- 05-15-2003 10,0(q000 4,101,449 4,290700 ..0- 05-15-2003 1,492,000 628,947 640,172 -0- 05-15-2œ4 1,578,0œ 562.297 618,481 .0- 05-15-2003 12,792,000 4,404,753 5,488,663 ..0- 05-15-2004 54,306,000 13,855,127 21.284,693 .0. - 0.5-15-2003 19.0*,000 7,844,265 8,152730 4)- 05-15-2004 1,975,000 762,072 774,081 ..0- 02-15-2003 3,696,000 1,481,046 1,621,878 ..0- 08-15-2003 5,003,000 1,956,945 Z'IIXIJIK ..0- 05-15-2003 9.157,000 3,755,697 3,928,993 .0- 05-15-2003 15,000,000 6,152,264 6,436,050 ..0- 05-15-2004 1,156,000 446,053 453,082 ..0- 02-15-2œ3 6,993,000 2,503,278 3,068,668 ..0- 02-15-2004 12,986,000 4,824,313 5,202,451 CERTIFICATE OF ACCRUAL ON UNITED STATES TRM SURYSECURITIES - FRINCIPAL ..0- 11-15-2*3 24596,œ0 10,077,356 10,105,7,58 4- 05-15-2*4 321512,*0 83,121,372 126.013,413 't)- 05-15-2004 52,897,*0 19,664,&7 20,732,450 4)- 08-1502004 2,000.0* 756,385 767,600 .0- 08-15-2004 29,525,000 11,448,269 11,331,695 COUPON TREASURY RECEIPTS ON TREASURY BONDS ..0- 02-15-2004 7,023,750 2,554,916 2,813,854 ..0- 08-15-2004 7,610,000 2,568,953 2,920,718 ..(k. 02-15-2006 6.045,000 1,862,814 2,025,679 4)- 08-15-2008 5787,000 1,424,824 1,445,008 4. 11-15-2*1 913,750 356,228 451,136 ..0- 02-15-2001 8,589,250 3,789,189 4,520779 ..0- 05-15-2001 4,995,000 1,861,431 2,571,875 4)- 08-15-2001 15,412,375 6,453537 7,789,113 ..*- 01-15-2003 2,862,187 1,045,948 1,255,985 4- 08-15-1999 24,480,000 12,421,658 14,729,371 .4- 02-15-2000 24,916,440 12,796,262 14,328,198 -0- 02-15-2œ1 91,174,680 41,994,869 47,987,969 ..0- 0&112001 19,825,020 8,*6,406 9,999,740 .0.- 02-15-2002 19,637,640 8,488,774 9,V1,988 .0- 08-15-2002 63,691,380 26,792748 29,368,095 4)- 01-15-2003 44,269,680 17,389,902 19.426,420 .0.- 08-15-2003 14,972,400 5,846,817 6,286.162 -0- 02-15-2004 29,636,400 10,164,396 11,872,934 .0.- 08-15-2004 55,577,220 19,016,059 21,330,537 4)- 08-15-2005 16,530540 5,121.398 5,7&,3.33 4)- 02-15-2006 39,501,900 10,434,391 13,237,0% ..0- 08-15-2006 59,141,520 15,022,853 18,935,340 4- 02-15-2007 16575,960 4,238,851 5,068597 ..0- 08-15-2007 35,383,740 8,584,051 10,359,297 -0- 08-15-2008 10,928,880 2,302557 2,931562 ..0- 05-15-2001 6,175,000 2,301,168 3,179,445 ..0- 11-15-2001 12,766/575 5,424,576 6,303,113 ..0- 11-15-2002 10,450,000 3,881,222 4,718,070 4)- 11-15-2002 7,000,000 2,956,856 3,160,430 ARIZONA STATE RETIREMENT SYSTEM 75 UM TED STATES TREASUIW ZERO COW ON SECURITIXS CERTIFICATE OF ACCRUAL ON UM TED STATES TREASIJRY SECURITIES - INTEREST RATE M ATURITY PAR VALUE BOOK VALUE MARKET VALUE 4)- 05-15-2001 $ 1,+1.875 $ 849,982 $ 927,767 4)- 11-15-2001 4,475,625 1,744,836 2,209,705 0. - 11-15-2002 5580,000 2,357,036 2,519,314 4. 11-15-2œ1 8,750.(K 3,411,214 4720,050 ..0- 11-15-2002 7,437,5œ 3,141,659 3,357,9.% 4)- 08-15-2001 13,M8,345 5,347,164 6,783745 .0.- 02-15-2œ3 4,472.250 1,875,834 1,962,512 .0- 08-1.5-2003 5729,375 2,112,126 2,405,478 ..0- 11-1F2000 2,065.410 935,607 1,115,693 ..0- 05-15-2001 33,877,600 15,036,521 17,443,237 t.)- 11-15-2001 24,352,705 9,936776 12,023,417 .. 0- 05-15-2002 19,496,845 6,718,432 9,182,039 4)- 11-15-2002 5,674,180 1,606,756 2,561,835 4. 0115-2003 2556,918 994,383 1,097,097 I 4)- 11-15-2003 17,858,880 6,792,426 7,337,678 l ..0- 05-15-2004 18,584,450 6,096,850 7,283,989 ,' .0- 11-15-2004 2,006,050 600, .0- 05-15-2005 30,085,715 8,058,98201 10,677523,.21611 j 4)- 05-15-2006 8,657,020 1,485,821 2,836.039 .0- 11-15-2006 9,267,050 2,546,155 2903,922 4)- 05-15-2007 13,2.34,365 3,181797 3,960751 ..0- 05-15-2*8 19,350,7.33 3.423,327 5,298,094 ..0- 11-15-2008 2,925,070 702,114 767,626 .0.- 05-15-1999 18,094,000 7,558,557 11, .. 120,934 j 0- 11-15-1999 15,706,090 7,040,588 9,263,766 Q- ,1 05-15-2001 20,750,000 6,473,065 10.683.967 I .0- 11-15-2001 26,101,424 8,912,478 12 886 795 4)- 05-15-2*2 12,092,477 3,985,898 5,694,952 4- 11-15-2002 1,031,067 302,664 465,516 .. 0- 05-15-2004 31,125,000 10,903,827 12,199,132 .0- 11-15-2004 23,212,713 7,918,478 8,714516 4)- 05-15-2005 20,750,000 3,907,046 7 422 690 4)- 05-15-2006 22,428,675 4, Q- 103,958 7,347,633 1 11-15-2006 32,569,511 6,151591 10,205,982. ' .. 0- 05-15-2007 42,568,728 9,157,178 12, 4)- 02-15-1999 5,000,050 2.,761 843 3 17378 ,923616 1 41- 08-15-1999 7,975 000 4,455,418 4 798 477 .. 0- 02-15-2000 18,000,125 8:807,084 10 350 971 ' .Ij- 08-15-2001 27,259,306 11,663,982 13 749.594 4)- 02-15-2002 4,1 14,687 1,778 795 1 980 481 4)- 02-152003 6,927,250 2,590,030 3.039,815 4)- 08-15-2003 28,917,625 10,709,860 12 141 064 i UNITED STATES TREASURYINVESTMENT GROW TH RYCEIPTS.INTERESTPAYM ENTS .& 05-15-2001 4 460 000 1 987 968 2 296 109 1 4)- 11-15-2003 3,667,000 1,343,388 1 - ,.506,660 0- 05-15-2005 5,297 IXX) 1 822 319 1 894,842 .. 0- 05-15-2000 6,020,000 2. 857,610 3 391 908 .. 0- 11-15-2000 5,929,000 2,798,961 3,202,727 ..0- 05-15-2001 3,493,000 1 645 551 1 798510 O. - 11-15-2001 6,517 (XX) 2 919 999 3 217573 - . 0- 05-15-2003 5,012,% 2 ()7-3 87.5 2 150,498 4)- 11-15-2003 7,000,000 2.406.417 2 876,090 4)- 05-15-2004 13,468,000 5 011 978 5 278 647 ..0- 11-15-2004 7560 000 2 191 087 2 838 175 76 ARIZONA STATE RETIREMENT SYSTEM UM TED STATES TRFASURYINVESTM ENT GROW TH RECEIIVS.INTK ESTPAYM N S RATE MATURITY PAR VALUE BOOK VALUE MARKET VALUE .0- 08-15Q001 $ 5,354,% $ 2,463,274 $ 2,7*,557 4)- 05-1&2œ1 2,135,625 985,886 1,099,611 -0- 11-15-2002 4,481,625 1,887,823 2,02.3,408 4- 0.5-15-2œ4 25,720,750 5.713,670 6,161590 .0- 05-15-2*4 6,090,% 2,177,300 2,31,914 4)- 11-1F24X)1 1,938,000 844,913 956,829 -0- 0&15-2(X)1 6,600,% 2,168,786 3,329,040 -0- 02-15-2002 6,*0,000 1,854,326 2,887,920 -0- 11-1.5-2001 12,910.500 4,115743 6,374,172 -0- 0F1&2œ2 380,0œ 114,129 178.%1 -0- 05-15-2003 6,893,tV 2,831,128 2,957379 -0- 0.5-15-2œ4 10,811,0œ 3,681,585 4,237,263 -0- 11-15-1X8 5,000,% 2.&31.187 3,27.5,450 4b. 05-15-2000 2,.581,% 1739,304 1,454,238 -0- 11-15-2001 6,496,% 2,943,7&3 3,207,205 ..0- 11-15-2003 5,415,000 1,748,922 2,224,861 4)- 08-15-2001 9,845,% 4,141,209 4,965,818 4)- 02-15-2œ2 5,*0,* 2,072,016 2,406,600 -0- 02-15-2003 6,974,% 2,760,456 3.060,330 .0- 08-15-2003 6,872,000 2,556,701 2,885,209 .0- 08-15-2001 3,774,000 1,7%,760 1,903,605 UNITED STATES TREASURY IW ESTM ENT GROW TH RECEIPTS.PRINCIFAL PAYM ENTS ..0- 05-15-2*5 4,549,a* 1,438,789 1,627,268 .0- 05-15-2004 4,382,000 1,456,587 1,717,481 4)- 11-15-2003 86,200,000 31,378,469 35,416,994 .0.- 11-15-2003 295,869,000 98.667,729 121,563,696 ..0- 11-15-2001 69,142,000 7.2,768,936 34.136,788 ..0- 11-15-2004 59,243,0œ 20,322,208 22,241,*7 ..0- 05-15-2œ4 15,232,000 5,376,196 5,970,030 4b. 08-15-2004 21,159,000 66,556,172 79,123,824 UNITED STATES TRM SURY STRIPPED COIJPON .INTEREST 4b. 02-15-2œ6 610,0* 206,100 207,601 -0- 02-15-2œ8 8,790,% 2,302,042 2,504,358 -0- 0&1&2(X)8 10,087,0* 2,546598 2,756,474 -0- 05-15-2008 32,249,000 8,342,953 8,992,633 UNITED STATE TREASURY STRIPPED COUPON . PRINCIFAL ..0- 11-15-2001 14,000,000 5,6*,560 7,472$* ..0- 02-15-2œ2 4,000,*0 1,745516 1,940,000 UNITED STATES TRFASURY ZERO COW ON OBLIGATIONS - INTEREST .C- 11-15-1%9 3,228,750 1,449,605 1,805,936 -0- 05-15-2000 3559,500 1513,609. 1.895,113 -0- 11-15-2001 40,000,000 12,931.519 18,461,600 ..0- 11-15-2œ0 10,150,0* 3.982,145 5,162,391 ..0- 05-15-2001 9,000,000 3,910,414 4,347,630 UNITED STATES TREASURYZERO COW ON OBLIGATIONS - PRINCIFAL -0- 11-15-2*1 5,*0,000 1,731,658 2.+7.7* ARIZONA STATE RETIREMENT SYSTEM 77 PRINCIPAL TREASURY RECEIPT RATE M ATURITY PAR VALUE BOOK VALUE MARKET VALUE 4). 02-15-2003 $ 143,690,()(X1 $ 49& 6* $ 63,154,* T- 11-15-2003 10,727,0œ 3,843.020 4.407,402 .0. 11-15-2002 8,060,(V 3,038,009 3,639,*9 4). 05-15-2004 42.216,000 14.131,553 16,546,139 01.15-1.œ3 10,(X)%0œ 3,526,992 4,198,M0 4)- 08-15-2004 106,835,000 36,288,466 41,œ3,273 .0. 05-15-2*3 16,596,0œ 6,794,065 7,120,81.5 Q. 02-15-2001 117,110,(X% 61,454,201 61,6385% 4). 05-15-2001 22,665,000 11,442,M5 11,*9,981 RESOEUTION FUNDING CORPORATION COW ON M SERIES A .INTEREST 04-15-2*1 15,717,()œ 7,627.567 8,138,262. 04-15-2002 47,592,0* 21,3*,744 22,543,854 10-15-2002 27,920,000 11,823,795 12,680,147 10-15-2003 9,*0,(K 3,671,770 3,736530 04-15-2004 6,905.000 2,556,897 2,735,484 04-15-2005 21,116,0œ 6,814,717 7,639,135 04-15-2*6 3710,000 1,026,089 1,094,21 10-15-2006 11,500,0œ 3,.562,397 3,637,335 04-15-2007 5,œ0,(m 1,505,969 1,512,> 10-15-2007 25,*0,000 6,783,909 7,241,750 04-15-2008 13,691,000 3,580,148 3,791,174 10-15-2008 17,728,000 4,582,026 4,706,074 04-15-2012 2,877,(+ 532,œ7 564,611 07-15-2001 11,000,000 5,019,030 5,51k),11R) 01-15-2002 10,922,000 5,037,054 5,2é:5,3 23 01-15-2003 23,905,000 10,155,132 10,597,325 07-15-2003 3.013,000 1,141136 1,278,325 07-15-2004 3,416,(K 1,285,179 1,324,041 01-15-2005 11,615,000 3,838,159 4,296,969 07-15-2005 2,893,000 936,888 1,024,787 07-15-2006 5,030,(K 1,491,796 1,625,645 07-15-2007 7,792,000 2,115,915 2.306,821 01-15-2008 8,000,000 2,098,253 2,260,960 07-15-2008 2,377,*0 617,357 645,022 RESOLUTION FUNDING CORPORATION BONDS 8.13% 10-15-2019 8,œ0,000 7,798,511 8,167,520 8.84 03-25-2021 7,000,000 7.130,133 7,192.5œ UNrrO STATES TRFASURYBONDS 8.25 05-15-2005 27,000,0œ 28,064,816 28,628770 10.38 11-15-2012 12,œ0,0* 13,389,œ1 14,917,440 11.13 08-15-2003 14,840,0œ 18,648,403 19,097,150 10.75 08-15-2005 13,400,000 17,003,062 17,022,154 7.% 11-15-2016 11 ,500,000 10,890,387 11,068,750 8.% 02-15-2019 2,*0,000 2,149,851 7.,228,7* 8.% 02-15-2020 4,000,000 4,084,706 4295,0œ 8.œ 11-15-2021 10 , ,000,0œ 10,048,584 10,234,400 UM TED STATES TRM SURY NOTES 7.W 04-15-1998 23,œ0,000 23,046,068 24,459,120 1 7.œ 04-30-1993 8,935 8 ,(0 9,12.9,968 9,1u,<% 1 .œ 05-15-2001 17,500,0œ 18,329,150 18,489,*0 I 1 78 ARIZONA STATE RETIREMENT SYSTEM UNITED STATES TREASURY NOTES RATE MATURITY PAR VALUE BOOK VALUE MARKET VALUE 7M % 06-30-1996 $ 187.50,% $ 19,185,597 $ 19,577,064 8.25 07-15-1998 4,950,% 16,046,428 16,155,269 7.œ 09-311996 1 œ0 (XX) 1 0:k3 404 1 034 0&) 7.50 11-15-2001 14,*0,0* 14,158,966 14706,180 5.* 12-31-1993 7,600,(V 7,601,789 7,657,000 6.25 01-31-1997 5,œ0,(D 5,014,835 5,0125œ 5.75 03-31-1994 10,275,0œ 10761,603 10,457,997 7.00 04-15-1999 10,(Xq0œ 9,885,672 10,15%(X)0 6.88 04-30-1997 6.œ0,(+ 6,*5,434 6,1*,1* 6.38 06-30-1997 35,10,0* 35,101,116 35,131,2.50 11.75 11-15-1993 25,600,0œ 26,252,949 28,064,œ0 11.25 02-1&1*5 11,920,0œ 12,316,308 13,637,195 10.50 08-15-1995 17,856,0œ 18,663,653 20,366,910 8.88 02-15-1996 5,œ0,0œ 4,973,671 5,493,750 738 05-15-1996 21,500,0* 20,885,083 22.561,455 7.25 11-15-1996 6,*0,(0 5,955,190 6,255,0œ 8.50 05-15-1*7 5,000,(K 5,316,507 5,.157,8œ 9.25 08-15-1998 2,500,*0 2,763.527 2,825,0* 8.63 10-15-1995 7,œ0.(4)0 7,311,141 7,6155* 8.88 11-15-1998 20,440,000 21,607,106 22,707,613 9.25 01-15-1*6 10,800,0* 10,965,356 11,984,652 8.88 02-15-1999 32,385,0œ 33,881.%2 35,997,870 9.63 03-31-1993 9,.550,4V 9,707,107 9,937 921 9.13 05-15-1999 23,160,000 24.475,206 26,055,œ0 7.W 07-15-1996 6,480,000 6,484.584 6,913,317 7.88 11-15-1999 2,10,4+ 2,097,090 2,113,740 8.œ 01-15-1997 7.500,4V 7.537,636 8,032,050 8.50 02-15-2œ0 17,600,0œ 18,779,488 19,211,456 8.50 04-15-1997 17,700,0* 19,091,834 19,315,125 8.63 05-15-1993 19,750,0* 20,318,842 20,502,870 850 07-15-1997 10,000,000 10,002,038 10,925,œ0 8.75 08-15-2000 7,890,*0 8,482,322 8,712.5,866 8.50 11-15-1995 4,*0,4V 4,183,249 4,3*,760 8.75 10-15-1997 18,œ0,000 18,888,742 19,861,920 7.W 01-15-1998 18,635,000 18,788,732 19,834.534 UM TED STATES GOVERNM EG AGENCY SECURITIES FEDERAL HOM E LOAN BANKS 8.25 06-25-1 996 1,800,000 1,800,000 1,935,000 FEDERAL HOM E :0AN M ORTGAGE CORT. 7.90 05.01-2*1 2700,% 2,109,915 2,341,860 FO O LHOO LOM M ORTGAGECOU .O D G SS M TG.FARTICIFATION CITK GTD. 8.* 09-15-2015 1,837,271 1,679.019 1,888.531 10.00 10-15-2011 3,000,(00 2,950,092 3,2557œ 10.00 04-15-2013 4,200,(* 4,185,279 4,457,040 FEDERAL HOM E LOAN MORTGAGE CORP. ACIXJRED HSG.PARTICIPATION CTFS.GTD. 10.15 04-15-2*6 1,699,913 1,676,975 1,+3,499 ARIZONA STATE RETIREMENT SYSTEM 79 FEDERAL NATIONAL MTG.ASSOCIATION GTD.REM IC PASS THRU G fs RATE M ATURITY PAR VALUE BOOK VALUE MARKET VALUE 9.œ t.:l 05-25-2019 $ 2,882,130 $ 2,828,887 $ 2.970,035 9.04 10-25-2020 1,805,336 1,999,799 1,8*,469 16.20 10-25-2020 1,077,454 795,312 1,1317r 8.(t 02-25-2017 6,350,% 6,1.44.,944 6,522,085 5.% 10-25-1996 8,485,581 8,502,380 8,489,824 11.34 01-25-2022 10,466,0œ 7709,894 7.535J20 19.89 05-25-2022 335,000 4,238,772 4,639,750 8.% 05-25-2007 4,000,000 3,967,497 4,141,7% 6.V 11-25-2020 %(XJ0,(XX) 6,923,307 7,073,6* 89.75 05-25-2017 171,638 2,101,873 2.239,876 FEDERALNATIONALM TG.ASSOG ATION M EDIUM TERM NOTES 12.35 02-18-1999 6,œ0,% 6,(4)2,0(4) 5,940,% FEDERAL NATIONAL MTG.ASSOCIATION STRIPPED M TG.BACKED SECURITIES 9.% 01-01-201 8 5,063,599 2,450,675 IA J?S 10.00 08-01-201 8 2,053,484 1,039,348 600,644 9.% 09-01-201 8 2,239,440 1,12.3,801 695,615 02-01-2022 68,679 4,082,615 3,674,358 FEDERALNATIONAL MTG. ASSOCIATION 'FORWARD COM MITM ENT 8.50 05-15-2022 49,000,0* 49,809,410 51,235,623 8.œ 05-25-2022 28,500,000 28,615,718 29,381,719 FEDEM L HOM E LOAN M ORTGAGE POOL # RATE M ATURITY PAR VALUE BOOK VALUE M ARKET VALUE 140541 6.00 % 10-01-1996 $ 263,490 $ 220,926 $ 263,983 220010 8.75 08.01-2001 4,151,564 3,947,208 4,311,1* 501733 8.50 12-01-2001 2,261,925 2.197550 2,154,515 ' 502202 8.00 10-15-2002 5,340,039 5,088,981 5,508,570 FEDERAL NATIONALM ORTGAGE ASSOCIATION 4743 7.50 08-01-2007 513,585 440,060 532,921 50279 8.50 02.01-2005 32,362 33,104 33,848 50070 8.50 05-01-2003 884,740 905,162 925,376 50444 8-50 06-01-2006 1+571 45,581 46,618 50517 8.00 12-01-2021 598,312 592,362 603,170 50553 8.00 04-01-2022 6,431,919 6,368,014 6.484,146 50557 7.50 04-01-2007 34,410 33,844 34,679 50589 7.50 06-01-2007 1,615,793 1,593,114 1,628,412 50590 S.00 06-01-2007 2.585,000 2,611512 2.663,,351 28768 9.00 06-01-2001 477,027 474 115 502,963 31986 9.00 08.01-2001 1,151,269 1,342,436 1,424,737 UO.IE 7.50 02-014014 2,032,965 1.862,124 2,078,707 70355 8S0 0341-2004 33,266 34,037 34,794 70167 830 12-01-2004 1,794,365 1,752,685 1,876,781 107432 8.50 11-01-2005 30,615 31 376 32,02.1 88460 8.50 02-01-2020 4,531,951 4 400 389 4,689 119 120098 850 05+1-2006 44,035 45 080 46,058 124205 7J0 0221-2007 366,610 362 965 369 473 125113 7.50 06.01-2007 683 159 671 906 688 494 1 24341 730 054)1-2007 44,820 44 374 45,170 $0 ARIZONA STATE RETIREMENT SYSTEM FEDERAL NATIONAL M ORTGAGE ASSOCG TION IU OL # RA'l'E MATURITY PARVALUE BOOK VALUE MARKET VALW 125032 8.œ% 11Q1Q021 $ 29,550 $ 29,156 $ 29,7% 127388 8.50 08-01-2006 38,083 38,938 39,833 149461 7.+ 04-01-2007 35,3,50 34,768 35,626 148860 8.50 0321-2007 47,558 48,624 49,742 152219 7.50 04-01-2007 67794 66,284 67,9* 152766 8.50 01-01-2005 33,849 34,659 35,404 154690 7.50 0421-2007 115,862 113,954 116,767 154977 7.50 04.01-2007 159,665 157,036 1K,912 155482 8.00 04-01-2022 592,534 5/,6.50 597745 155483 8.00 03-01-2022 1,614,602 1598,565 1,627,712 155484 8.00 04-01-2022 1,289,822 1777,010 1,300,296 156663 8.50 04.01-2007 904,768 92.5,056 946724 156665 8,50 04.01-2007 899,343 919504 940,650 155910 8.œ 04.01-2022 988.102 978,284 996726 156557 7.50 04-01-2007 54,706 53,&1 &5,1M 157348 7.+ 04-01-2007 164,833 162,118 1*,120 158207 8.œ 04.01-2022 27,871 27.595 28, 7 158586 7.+ 04-01-2007 39.633 38,981 39,943 158646 7.+ 05-01-2007 491,539 4+,651 495778 159129 8.50 04-01-2007 898,216 918,399 939,471 159554 8.00 04-01-2022 2,936,582 2,*7,421 2,960,427 163282 7.50 05-01-2007 648,450 642,002 653515 163679 7S0 06-01-2007 2.695,565 2,655,&)6 2,643724 164059 7.50 06-01-2007 645784 638,965 632,876 164343 7.50 06-01-2007 1,267,152 1,250,114 1,242594 164576 750 04.01-2007 2.100,381 2,079.494 2,116,785 164590 7.50 05.01-2007 39,648 39,2,.54 39,957 165622 7.50 05.01-2007 2,124,708 2,X9,711 2,141,%2 165851 7.50 06-01-2007 1,768,353 1,739,225 1,734,082 166981 7.% 06-01-2007 487501 479,471 491,308 16822$ 750 06-01-2007 975,002 962,124 982,616 168264 8.00 06.01-2007 1,990,000 1,010,409 2,050716 168597 8.00 06.01-2007 408,887 413,081 421,2% 168593 8.* 06-01-2007 1,990,000 2.010,409 2,050,316 168594 8.œ 06-01-2007 4%,113 491,098 51,847 168843 7.50 06-01-2007 342,12.3 338,701 335,492 169498 7.50 œ-01-2007 356,962 353,412 359,749 GOVER NATIONALM ORTGAGE ASSOG ATION 19979 8.(X 10-15-2007 718,028 672,388 738,693 154532 9.œ 05-15-2019 670,017 674,140 710,812 184549 9.œ 12-15-2016 413,024 415715 438,1* 185904 8.00 05-15-2002 2,313,460 2,141,712 2,395,8* 162595 9.00 07-15-2016 345,484 347,453 366,535 164543 9.œ 07-15-2016 419,893 422,2% 445,477 16Z5Z$ 8.50 02-20-2017 868,722 792.582 898,311 167579 850 01-20-2017 888,082 811,694 918,330 170904 8.50 01-20-2017 535,248 4:58,274 5*,478 17711) 9.œ 01-15-2020 77,052 T7,@9 81,747 191701 8.50 02-20-2017 1,038,383 917,946 1,073,7K 192815 9.00 12-15-2016 259,476 261,020 275,286 195947 8.50 03-20-2017 809,395 732,826 836,963 199244 8.50 10-20-2016 171507 157,762 177749 200031 8.00 06-15-2002 670,492 622,299 694,374 207997 9.00 02-15-2020 51,697 52,047 54,847 238256 9.œ 04-15-2018 239,472 240,845 254,0&3 225888 9.00 03-15-2020 398,159 400,434 422.419 ARIZONA STATE RETIREMENT SYSTEM 81 GOW XNM ENTNATIONAL M ORTGAGE ASSOU ATION IrOL # RATE MATURIW PAR VALUE BOOK VALW MARKET VALW 232990 9.œ% 11-15-2019 $ 776,413 $ 780,88 $ &.3752 251389 9.œ 09-15-2018 116,451 117,068 113,547 293952 9.œ 02-15-2021 266,934 268,479 283,1% 295505 9.œ 07-15-2021 7,145,902 7,110.525 7,581* 2 296153 9.œ * 15-2.020 67,436 677* 71.%45 296639 9.œ 09-15-2020 152,713 153,576 162,018 297326 9.% 03-15-2021 107,758 108, 334 114,324 298798 9.œ 04-15-2021 190.010 191,716 201588 299157 9.50 11-15-2020 2,953,444 3.010,673 3,174,*8 301243 9.œ 04-15-2021 809,276 813,654 KV,.VS 278650 9.œ 09-15-2019 79,282 79,7* 84713 283134 9.œ 01-15-2020 320,333 322.103 339,851 284575 9.00 12-15-2019 164,267 165,182 174.276 286261 9.* 02-15-2020 262,2% 263,765 278,260 289293 9.œ 05-15-2020 505,995 508,729 536,825 302400 9.00 04-15-2021 972,415 91,554 1,031,665 . 303616 9.œ 04-15-2021 950,708 955.847 1,œ8,634 304924 9.00 04-15-2021 435.504 437,811 462,039 ' 305648 9.œ 04-15-2021 294,060 295,688 311,9r WF U.S. DEBT MARKET FuhlD 781,923,915 781,923,915 823.029,813 W F LONG-TERM GOW T. BOND FI.IN D C 1,024715795 1,024.315.196 1.080.277222 TOTAL UM TED STATES TREASURY & GOVERNMENT AGENCW SECURITIES $3.991.336.788 $4.375.827.308 CON VERTIBLE AND CORPOM TE BONDS CONVERTIBLE BONDS SECURITY NAME RATE MATURIW PARVALUE Bœ K VALUE M ARKET VALUE FREEPORT-MCMORAN CV 08-05-2œ6 $ 5,100,% $ 1,591.551 $ 1,498,125 CORPORATE BONDS AFRICAN DEVELOPMEX BANK EIJRO 8.K1% 09-01-2019 7.*0,% 6,*5.306 7,651.12.0 AMERICAN BRANDSr INC. 8.63 11-15-2021 4,000,% 3,M2,611 4,00$320 AMERICAN GENERAL FW ANCE 8.13 0845-2009 1,500.(K 1.458751 10594,.5* ASSX IATES COlU3. NORTH AMERICA 6.œ 06-15-2001 3,500,% 2,931,667 3,093,* ATLANTIC RICHFIELD CO. 8.51 05-20-1998 5,œ0,% 5,21772 5,3œ,.R AVCO FINANCIAL SERVICE 7.+ 11-15-1996 3,*0,% 3,* .0* 3,061,c BP NORTH AMERICA, INC. 9.50 01-01-1998 6,*0,% 6,063732 6,675,840 BP NORTH AMERICA, INC. 9.38 11.01-2000 5,*0,% 5.164,072 5,489,A BELL TELEPHONE CO. OF PA. 6.75 05-01-2008 1,500,000 1,193,979 1760,305 BENEFICIAL CO1tP. 9.13 02-15-1998 3,*0.% 2+ 3377 37.29,2œ BERKLEY W. R. CORP. 8.70 01-01-2022 ttX)0,(XX) 3,987,245 3,9*,320 CATERPILLAR, INC. 6.œ 05-01-2007 2,550,% 1,915,402 2,048,874 CHESAPEAKE & POTOMAC 6.75 95.01-2008 3,œ0,% 2,458755 2,746,020 CHRYSLER BUILDINGS. N.Y. 9.13 05-01-1999 2,500,% 2,491,861 2,671,7œ 82 ARIZONA STATE RETIREMENT SYSTEM CORPORATEBONDS SECURIIY NAME RATE MATURITY PARVALUE Bœ K VALUE MARKET VALUE CINCINNATI BELL, INC. 8.63 07-01-1997 $ 3,œ0,% $ 2,*6,014 $ 3J o46r 440 COCA COLA CO. 7.88% 09-15-1998 5,000,000 4,991,114 5.7.œ.- ,2œ COCA COLA ENTERPRISES 8.* 02-01-2072 4,000,0* 3,953,849 3,994,040 DU PONlT E. 1. DE NEMOURS & CO. 8.25 01-15-2022 5,000,% 4,982,085 4,942,% DUKE POWER CO. 6.38 02-01-1998 3,350,% 3,032,181 3705,715 EMPIRE DISTRICT ELECTRIC CO. 9.75 12-01-2020 8,500,% 8,955,483 9.521,7œ FLEET FINANCIAL HOME EQUI'IY 8.45 04-17-20% 3,%1,018 3,138,4.54 3,1*,927 FORD MOTOR CREDIT CARD TRUST 7.38 04-15-1997 7,125,% 7,103791 77.87,450 FORD MOTOR CREDIT CORP. 8.88 03-15-1996 4,000,% 3,996,291 47.89,920 GTE CORP. 9.37 12.01-20œ 3,250,% 3715,985 3,581,.< GENERAL ELECTRIC CREDIT CORP. 5.* 11Q1Q001 3,750,% 3,(%1730 3.773,387 GENERAL ELEG RIC CAPITAL CORP. 8.75 05-21-2007 5,*0,% 4,9+713 5,458,a GENERAL FOODS CORP. 6.œ 06-15-2001 1,(Xq(XX) 874,175 *3,000 CENERAL FOODS CORP. 7.œ 06-15-2011 4,700,% 3,814,666 4,064,0% GENERAL MIL LgS INC. 8.00 02-15-19% 12,520,0œ 12,654,460 12,617,280 CENERAL MOTORS ACCEN ANCE COlIP. 8.œ 04.01-1994 5,*0,% 5,148,035 5,191,% CENERAL MOTORS ACCEH ANCE COlU3. 9.25 11-29-1995 1,(X)0,A 1,0617&3 1,0+,6&) CENERAL MOTORS ACCEN ANCE COlP. 7.95 0440-1997 5,*0,% 4,991,040 5,1K,M GENERAL MOTORS ACCEPTANCE COlIP. 7.35 05-27-1997 10,(X)0,0(X) 9,9%,223 10,* ,200 GENERAL MOTORS ACCEPTANCE COlIP. 8.85 07-01-1994 6,*0,% 6,073,462 6750,994 COVERNMENT TRUST CERTIFICATES 9.25 11-15-2001 3,500,% 3,464,117 3,8*,* INTER-AMERICAN DEVELPMENT BANK 8.* 09-01-2009 4,000,000 3,973,254 4707,2* INITERNATIONAL BUSINESS MACHINES 9.00 05-01-1998 5.000,0œ 5,328,849 5759,650 INTERNATIONAL PAPER CO. 5.13 11-15-2012 1,635,000 1.023,076 1.108,415 K. F. W. INTERNATIONAL FINANCE 9.38 07-15-1998 1,(Xq000 1,031,815 1,113,460 K. F. W. IG ERNATIONAL FINANCE 9.50 12-15-2000 2,000,% 2,081724 2,263,340 l MANITOBA PROVINCE CDA 9.13 01-15-2018 4,000,000 4,094.882 4,456,2% MERRILL LYNCH & CO., INC. 8.60 07-08-1995 1,000,000 1.050,816 1,068,% MID STATES TRUST 11 9.15 04-01-1998 4,300,000 4,250,745 4,601,% MONSANTO CO. 1127 11-15-2015 4,670,000 5,072,872 5,042,666 MOTOROLA, INC. 8.40 08-15-2031 13,000,000 13,033,068 13,815,100 NEW JEENRGSELYA NBEDL LT ETLEELPEHPOHNOEN E 79.W50 110-1051-21092992 2,*0,%000 12,9*877,09040 2,09210,c9% j NEW YORK TELEPHONE CO. 4.88 01Q1-20% 4,*0,% 2,888,952 3,067,320 NEW YORK TELEPHONE CO. NOTES 938 07-15-2031 3,200,000 3,192,195 3,460,896 NORTHERN ILLINOIS GAS CO. 9.25 07-01-1996 1,900,(XX) 1,891,012 1,936,081 OHlO BELL TELEPHONE CO. 5.œ 02-01-2006 2,750,000 1,920,486 2,135,072 PACIFIC BELL NOTES 8.70 06-15-2001 2.100,000 2,240,093 2742,%3 PACIFIC BELL TELEPHONE CO. 7.25 07.01-2002 10,000,000 9,744580 9,728,* ' PACIFIC N W BELL TELEPHONE CO. 6.75 12-01-2007 2,500,000 1,989,110 2.270,= PENNEY JC, INC. 9.05 03-01-2001 2,000,000 2,013530 2,137,360 PENNA POWER AhlD LIGHT CO. 6.75 11-01-1997 1,(X)0,(XX) 897,851 974,700 PENNSYLVANIA POWER & LICHT CO. 9.15 10-01-2019 4,*0,000 3,976,014 4725,840 PEPSICO SWAP SPREAD-LNKD. VAR. h1-13. 6.63 07-01-1998 3,500,% 3,500,000 3J(X),X PHILIP MORRIS C O., INC. 9.œ 05-15-1998 5500,000 5,473,853 5,902,9% PHILLIP MORIUS COS., INC. 8.75 06-01-2001 3,000,000 2,982,806 3,115,4* POTLATCH CORP. 9.13 12-01-2009 2,000,000 2,*0,0œ 2,069,M PRX TER & CAMBLE CO. 8,œ 11-15-2003 5,000,000 5,072,706 5,156,350 PRUDENTIAL HOME M'I'G . SECURITIES 9.50 03-25-2014 5,000,000 5,051,777 5,1%$995 ! QUESTAR PIPELINES CO. 9.38 06.41-2021 3,000,000 2,997,107 3,101,040 : GE RAILCAR TRUST 1992-1 7.75 06-01-2004 4,500,000 4.493,758 4,612,5* ! SHAWMW HOME EQUI'IY 1992-A 6.40 09-15-2006 4,013,817 4,003,123 4,049,139 SOUTHWESTERN BELL TELEPHONE 5.88 06-01-2003 3,150,* 2,489,144 2,734578 STANDARD OIL CO. 9.00 06-01-2019 2,.500,* 2.138,589 2.545,075 TEXACO CAPJAL, INC. 8.49 08-06-1998 5,250,% 5,234758 5555,182 TIMES MIRROR CO. 8.00 12-15-1996 5,500,% 5,229,917 5,544,495 U .S. WEST CAPFI'AL FUNDING 8.œ 10-15-19% 4,000,% 3,* ,4œ 4,176,1K U. S. WEST COMMUM CATIONS 8.88 06-01-2031 4,000,000 3,%1,462 4,125,640 ARIZONA STATE RETIREMENT SYSTEM 83 CORPORATE BONDS SECLJRI'I'Y NAME PM E MATURIW PARVALUE Bœ K VALUE M ARKET VALW UNITED TECHNOLOCIES CORP. 8.88% 11-15-2019 $ 2,650.0* $ 2,617,445 $ 2,742,008 VIRGINIA ELEG RIC & POWER CO. 7.13 01-01-1999 3,*0,000 2750,479 2.,968,622 WASTE MANACEME lTf, INC. 8.75 05-01-2018 5,500,000 5,446597 5,603,125 WISCONSIN TELEPHONE CO. 675 08.01-2004 1,615,0* 1,368,895 1,443,958 TOTAL CONVERTIBLE AND CORPORATE BONDS $3œ536.966 $321,421,279 PREFERRED AND COM M ON STOCK PREFERRED STOCK - DOMESTIC SECURITY NAME SHARES BOOK VALUE MARKET VALUE CELLW AR COMMUNICATIONS, INC. 112,5œ $ 3,2œ796 $ 3768750 CHEMICAL BANKING CORP. 36,(XX) 1,&q0(X) 2,875.%0 FORD MOTOR CO. DEP. SHARES 263700 13,165,*0 20,866,525 LIBERR'Y MEDIA CORP. 3,426 41,695 181.578 RJR NABISCO HOLDINGS CORP. DEP. SHARES 290/.:) 2.9447K 2,871,650 SEARS ROEBUCK & CO. DEPOSITORY SHARES 138,7œ 5.964,1œ 5,946,762 TRANSWORLD AIRLINES, INC. 43,&x3 1 <3, 863 COMM ON STOCK - DOM ESTIC ADT LTD. WARRANTS 35,050 216,829 61,337 ADT LTD. 210,299 5,117,2% 1,787N 1 AMR CORP. 67,% 4,52 4, 172 4,388,037 ABBO7'7' LABORAAORIES 824,0% 14,129,547 24,514,œ0 AETNA LlFE & CASUALTY CO. 117,9œ 5,922,157 4.878.112 AIR LIQUIDE ADR 33,000 955,237 990,000 AJINOMOTO, INC. ADR 9,7œ 956,2.21 884,446 AKTIEBOLAGET ELECTROLI.JX ADR 2,400 106,730 10t100 AIf.ZO N V ADR 10,100 436,969 436,825 ALLIED SIGNAL, INC. 120,300 5,030512 6,466,125 ALUMINUM CO. OF AMEIUCA 274,0* 17,928.556 20,789,750 ALZA CORP. 81,6* 2 097,351 3,723,*0 AMBA C, INC. 193,500 3, 'à7 0, 0(X) 6,%9,250 AMDAHL COlIP. 336,8œ 5,608,148 5,936,100 AMERICAN EXPRESS CO. 347,7œ 6,986,888 8,084.025 AMEIUCAN GENERAL CORP. 126.601 4,6 Z5. 446 6,203,449 AMERICAN HOME PRODUCTS CORP. 210,000 11,092,004 15,015,œ0 AMERICAN INTERNATJONAL GROUP, INC. 44,200 2,970,501 3,917,225 AMERICAN STORES CO. 73,.5* 3,106,869 2,499,*0 AMEIUCAN TELEPHONE & TELEGRAPH 169,000 6,468,114 7,267,œ0 AMERTECH COItP. 269,200 13,442,051 16,925,950 AMSOUTH BANCORPORATION 95,100 2,431,829 2,734,125 ANHEUSER-BUSCH CO., INC. 113,000 4,810,892 6,271,500 APPLE COMPUTE R, INC. 38,200 1,989,276 1,833,600 APPLIED POWER, INC. 175,800 2,682,061 2,637,*0 ASAHI CHEMICAL INDUSTRIES LTD. 13J00 648,948 651,700 ASAHI GLASS CO. ADR 12,500 1,032,577 1.010,875 ASHIKACA BANK LTD. 8,000 93,717 102,080 ATLANTIC RICHFIELD CO. 91,500 9,370,833 9,859,125 BAAVSNFE AT2 I NACD. R 1761,900 4 '393J 764 4 '7 48 '737 ,250 18 ,513 198.562 BAT INDUSTRIES PLC ADR 96,800 1,368,049 1,361 298 BIC BROWN BOVERI LTD. ADR 59,% 838,878 715,375 BOC GROUP PLC ADR 11 400 145,363 140 106 84 ARIZONA STATE RETIREMENT SYSTEM COMM ON STOG -DOM ESTIC SECURITY NAME SHARES BOOK VALUE MARKET VALUE BSN GROUP ADR $ $ BTR LTD. ADR BALL CORPORATION BANCO BILBAO VIZCAYA SA ADR i BANCO CENTIG L SA ADR BANCO DE SANTANDER ADR BANK OF NEW YORK CO., INC. BANK TOIW O LTD. ADR BANK YOKOHAG LTD. ADR BANKAMERICA CORP. BANKERS TRUST NEW YORK CORP. BARCLAYS PLC ADR ) BASS PUB LTD ,.CO. ADR l BAXTER INTERNATIONAL, INC. BAYER AG ADR BERKLE Y, W. R. CORP. BETHLEHEM STEEL CORP. BOATMENS BANCSHARES, INC. BOISE CASCADE CORP. BOISE CASCADE CORP. DEPOSITORY SHARES BY TS CO. PLC ADR BORAL LID. ADR BOW ATE R 'INC. BRIDGESTONE CORP. ADR BRISTOL MYERS SQUIBB CO. BRITISH PETROLEUM PLC ADR BRITISH GAS PLC ADR BRITISH TELECOMMUNICATIONS PLC ADR BROKEN HILL PROPIUETARY CO. ADR BROWNING FERRIS INDUSTRIES, INC. B R U N 0 S, l N C . CM5 ENERGY COlIP. CPC IU ERNATIONAL, INC. C R A LTD. ADR CABLE & WIRELESS PUB. LTD. CO. ADR CADBURY SCHWEPPES PLC ADR CANNON, INC. ADR CAPITAL CITIES ABC, INC. CAPITAL RECORP CATHAY PAC AWYS LTD. ADR CATERPILLA RJ INC. CELLULAR COMMUM CATIONS INTERNATIONAL CELLULAR COMMUM CATIONS PUERTO IUCO CENTERIOR ENERCY CORP. CERDIAN COltP. CHAMPION INTERNATIONAL CORP. CHARMING SHOPPES, INC. CHEMICAL BANKING CORP. CHEUNG KONG HOLDINGS LTD. ADR CHEVRON CORP. CHINA LIGHT & POWER LTD. ADR CHRYSLER CORP. CIBA GEIGY AG ADR CISCO SYSTEMS, INC. CITICORP COCA-COLA ENTERPRISES, INC. COLES MYER LTD. ADR COLONIAL COMPANIES, INC. ARIZONA STATE RETIREMENT SYSTEM 85 COMM ON STOCK- DOM ESTIC SECURITY NAME SHARES BOOK VALUE MARKET VALUE COMMONWEALTH EDISON CO. $ COMPACNIE DE SUEZ ADR COMPLJTER ASSX IATES INTERNATIONAL, INC. CONSOLIDATED RAIL CORP. CONTINENTAL CORP. CRAY RESEARCH, INC. CROW N COIG & SEAL CO., INC. CYPRESS SEMICONDUG OR CORP. DAI ICHI KANCYO BANK LTD. ADR DAI NPPON PRTC. LTD. ADR DAIMLER BENZ AC ADR DAIWA HOUSE INDUSTRIES LTD. ADR DAIWA SECURITIES LTD. ADR DAYTON-HUDSON CORP DEN DANSKE BANK ADR DEUTSCHE BANK AC ADR DEVELOPMENT BANK SINGAPORE ADR DEVELOPMENT BANK SINCAPORE ADR DIAL CORP. DIEBOLD, INC. DIGITAL EQUIPMENT CORP. DIME SAVINGS BANK NY DOW CHEMICAL CO. DRESDNER BANK AG ADR DU POIVr E. 1. DE NEMOURS & CO. EATON CORP. EMERSON ELECTRIC CO. EMPRESA NACIONAL DE ELECTRICIDAD ADR ENRON OIL & GAS CO. ENTERGY CORP. ERICSSON L.M. TELEPHONE CO. ADR EXXON CORP. FEDERAL HOME LOAN MORTCACE COlIP. FEDERAL NATIONAL MORTGAGE ASSOCIATION FIAT SPA ADR FIRST ALABAMA BANCSHARES FIRST CHICAGO CORP. FIRST INTERSTATE BANCORP FIRST SECURITY CORP. FIRST UNION CORP. FLEET FINANCIAL GRO UP, INC. FLEETWOOD ENTERPRISES, INC. FLUOR CORP. FORD MOTOR CO. FREEPORT-MCMORAN, INC. FREEPORT-MCMORAN COPPER & COLD, INC. FUJI BANK ADR F1.71 PHOTO FILM CO. LTD. ADR FUJITSU LTD. ADR GTE CORP. GENERAL ELECTRIC CO. CENERAL ELECTRIC PLC ADR GENERAL MOTORS CORP. GENERAL MOTORS COlIP. CLASS E GENERAL lE CORP. GENERAL SIGNAL CORP. GLAXO HOLDINGS PLC ADR GOODYEAR TIRE & RIJBBER CO. GRAINGER, W. W. ,INC. 86 ARIZONA STATE RETIREMENT SYSTEM ' COM MON STOCK - DOM ESTIC SECURITY NAME SHARES BOOK VALUE MARKET VALUE CRAND METROPOLITAN PLC ADR 37 855 $ 1 123 2œ $ 1 320193 CREAT UNIVERSAL STORES PLC ADR 6 0(X) 168 732 169 ,620 GUINNESS PLC ADR 25,430 1 392,515 1719N 2 CULF STATES W ILITIES CO. 526 9* 5 251.697 8,035,225 HCA HOSPITAL COR.P. OF AMERICA 117.500 2.526,2.* 2,452,812 655 HSBC HOLDINGS PLC ADR 18Jœ 1,017,931 1458:.. HANOVER INSURANCE CO. 300,000 8,292,937 1 0J 4 ?-sg œo HANSON PLC ADR 624,466 9027,1:k5 12,25:,145 HARLAND. JOHN H. CO. 593 3œ 12,454,736 12,236,812 HAVAS ADR 36 6œ 879,œ 3 ,7,7, HEALTH CARE & RETIREMENT CORP. 29 ()(K) 554,102 551,000 HECHINGER CO. 392.5* 4,871,694 3,532,.500 HEINEKEN NV ADR 1 240 119 498 120.503 HEIN ZC H. J. CO. 12.3 ,200 4,789,925 4,727,+0 HEWLYU -PACKARD CO. 2.50 000 9,343,323 17,218,750 HITACHI LTD. ADR 13,400 1,4% 516 1,404,*0 HOKW IKU BANK LTD. ADR 1,800 1104.m 1 107,028 HOLNAM, INC. m 1,088 &rd HOME DEPO TS INC. 117.5œ 5,213,793 7,*1,875 HONDA MOTOR CO. LTD. ADR 13,5œ 323,*0 297,000 HONEYWELQ INC. 114,800 7,059,574 8,0%,œ0 HUTCHISON WHAMPOA LTD. ADR 13,4* 259,678 267,228 IMC FERTILIZER GROUP, INC. 153,600 5, 655: 822 6,585,600 l T T CORP. 246,400 15,123.161 15954,400 ILLINOIS POWER CO. 173,2œ 3 049,273 3,940* 0 ILLINOIS TOOL WORKS, INC. 73,% 2,717,095 4,498,662 IMCERA CROUPZ INC. 247,600 5,413,796 7,892.250 IMPERIAL CHEMICAL INDUSTRIES PLC ADR 112,965 8,466,186 10,350,418 INDUSTRIAL BANK OF JAPAN ADR 7,000 945,%5 848750 INCERSOLL RAND CO. 218,400 5,543,233 6,*6,(X)0 INLAND STEEL INDUSTRIES, INC. 92,000 1,699,234 2,392,œ0 INTEL CORP, 412,1œ 17,099,851 23,489,700 INTERNATIONAL BUSINESS MACHINES CORP. 420,700 46.799,088 41,176,012 INTERNATIONAL PAPER CO. 256,4* 15,% 7r 016 17,915,950 ITO YOKADO LTD. ADR 8,750 1,107.,891 1,206,406 ITOH C & CO. LTD. ADR 3,700 123,484 108,687 JAPAN AIRLINES LTD. ADR 93,000 1,031,491 953,250 JEFFERSON PILOT CORP. 450,000 15,046,500 18,843,750 JOHNSON & JOHNSON 351,400 10,005,351 15,725,150 JOHNSON CONTROLS, INC. %,300 2,697,226 3P 7,275 K MART COllP. ' 450,0œ 7,714.509 10,350,œ0 K MART CORP. DEP. SHARES 149,000 6,556,0œ 6.854,œ0 KAJIMA CORP. ADR 13,7œ 1,117g 1K 895,637 KAO CORPORATION ADR 9,7œ 755.098 791,762 KAWASAKI STEEL CORP. ADR 44,lœ 1.010,417 953.662 KEMPER CORP. 200,300 5,230,108 4.857,275 KIRIN BREWERY LTD. ADR 11,2* 1,037,947 980,000 KNICHT RIDDER, INC. 79,600 3,519,509 4,646,650 KOMATSU LTD. ADR 1,4œ 132,296 131,950 KUBOTA CORP. ADR 1,&X) 139,046 129u600 KYOCERA LTD ADR 2,5% 17 5 ,120 167,50 KYOWA SAITAM. A BANK LTD. ADR 9700 515,106 428,358 LOREAL CO. ADR 5,500 168,787 194,535 LVMH MOET-HENNESSY LOUIS YUIU ON ADR 5,800 918714 880,150 LIBERW MEDIA CORP. 34,260 331,111 IJMJ?.S LILLY, ELI AND CO. 250,000 18,450,511 16,343,750 LIMITED, INC. 301,100 5,802,164 6,850,025 LITTON INDUSTRIES, INC. 520,000 21,018,408 24710,*0 ARIZONA STATE RETIREMENT SYSTEM 87 COM MON STOG -DOMESTIC SECURITY NAME SHARES BOOK VALUE MARKET VALUE LOEWS CORP. LUFKI N INDUSTIU ES, IN C. LYONDELL PETROCHEMICAL CO. MCI COMMUNCATIONS CORP. MANNESMANN AG ADR MANOR CARE, INC. MARGARETTEN FINANCIAL CORP. MARION MERRELL DOW, INC. MARKS & SPENSER LTD. ADR MARSH & MCLENNAN COMPANIES, INC. MARLJBENI COlIP. ADR MATSUSHITA ELECTRIC INDUSTIUAL CO. LTD. ADR MAY DEPTARTMENT STORES CO. MCDERMOTT INTERNATIONAL, INC, MCDONALDS CORP. MELVILLE CORP. I MERCK & CO .,INC. MEREDITH CO1tP. MERRILL LYNCH & CO.,INC. MICROSOFT CORP. MILLER, HERMAN INC. MINNESOTA MINIVC & MFG. CO. MITSUBISHI CORP. ADR MITSUBISHI ELECTRIC CORP. ADR MITSUBISHI ESTATE LTD. ADR MITSUBISHI KASEI CORP. ADR MITSUBISHI TRUST & BANKING COlIP. ADR MITSUI & CO. LTD. ADR MOBIL CORP. MONSANTO CO. MONITEDISON SPA ADR MORGAN, J. P. & CO., INC. MORGAN STANLEY CROUP, INC. MOTOROL A ,INC . NBD BANCOR P, INC. N K K CORP. ADR N E C CORP. ADR NAGOYA RAILROAD LTD. ADR NATIONAL AUSTRALIA BANK LTD. ADR NATIONAL POWER PLC ADR NATIONAL RECORP NATIONAL SERVICE INDUSTRI ES, INC. NATIONAL WESTMIM STER BANK PLC ADR NESTLES SA ADR NESTLES SA ADR NEWS LTD. ADR NIACARA MOHAWK POWER CORP. NIPPON YUSEN KABUSHIKI KAISHA ADR NIPPONDENSO LTD. ADR NISSAN MOTORS LTD. ADR NOMURA SECURITIES LTD. ADR NORSK HYDRO AS ADR N O V E L L, I N C . NOVO NORDISK A/S ADR NYNEX CORP. OCOM CORP. OLD REPUBLIC INTERNATIONAL COIU3. OWENS ILLINOIS, INC. PNC FINANCIAL CORP. 88 ARIZONA STATE RETIREMENT SYSTEM COM MON STOCK -DOM ESTIC SECURITY NAME SHARES BOOK VALUE MARKET VALUE PEAPRSAICMOOUNT COMMUNICATION, INC. $ j , INC. PETROFINA SA ADR PEUGEOT CITROEN SA ADR PHFCELEVR IDNOCD.GE COllP. ! PHILADELPHIA ELECTRIC CO. PHILIP MORRIS COMPANIES, INC. PHILIPS NV PHILLIPS PETROLEUM CO. PINNACLE WEST CAPITAL CORP. i PIONEER ELEG RIC ADR PIRELLI SPA ADR PRX TER & GAMBLE CO. PRUDENTIAL PLC ADR QUANTUM CHEMICAL CORP. RJR NABISCO HOLDINGS CO1tP. RTZ PLC ADR RWE AG ADR l RAEDYLTHANEODN L CTOD. . AoR k REEBOK INTERNATIONAL l REELDIA INNCTE RENLEACTTIROINCA cLo P.LC LTD. ADR REPSOL SA ADR REUTERS HOLDINGS PLC ADR REYNOLDS METALS CO. RIVERWOOD INTERNATIONAL CORP. ROCKWELL INTERNATIONAL CORP. ROYAL DUTCH PETROLEUM CO. RUSSELL CORP. RYDER SYSTEM, INC. J. SAINSBURG PLC ADR SAKURA BANK LTD. ADR S A LOMO N, INC. SANYO ELEG RIC CO. LTD. ADR SCHLUMBERCER LTD. SEAGRAM CO. LTD. SEARS ROEBUCK & CO. SECOM C0. LTD. ADR SEKISUI HOMES LTD. ADR SELECTIVE INSURANCE GROUP, INC. SEVEN ELEVEN JAPAN LTD. ADR SHARP CORP. ADR SHISEIDO CO. LTD. ADR SHIZUOKA BANK LTD. ADR SIEMENS AG ADR SMITHKLINE BEECHAM PLC ADR SMITHKLINE BEECHAM PLC ADR SX IETE NATIONALE ELF AQUITAINE ADR SONA T, INC. SONY COIU3. ADR SOUTHWEST AIRLINES CO. STOP & SHOP COMPANIE S, INC. SUMITOMO BANK LTD. ADR SUMITOMO ELEG RIC INDUSTRIES LTD. ADR SUMITOMO METAL INDUSTRIES LTD. ADR SUN HUNC KAI PROPERTIES LTD. ADR ARIZONA STATE RETIREMENT SYSTEM 89 COMM ON STOCK-DOMESTIC SECURITY NAME SHARES BOOK VALUE MARKET VALUE SUN MICROSYSTEMS, INC. 122,9* $ 3530,202 $ 3.210,762 SUPER VALU STORES, INC. 420,0* 10,675,632 10,()80,œ0 TJX COMPAME S, INC. 245,4* 4,4+,604 4,K 1,250 TAISEI CONSTRUCTION LTD. ADR 2,6œ 136,106 132,925 TELE-COMMUNICATION S ,INC. 454,492 6,27: 070 8,919,405 TELEFONICA DE ESPANA SA ADR 31,987 996,740 1,0:.k5579 TENNEC 0, INC. 197,% 7,316,405 7,318,*0 TESCO PLC ADR 90,6* 481,417 472,932 TEXACO, INC. 275,6œ 14,797.541 17,018,300 THOMSON CSF ADR 9,475 1.76,468 1.78,328. THYSSEN AG ADR 10,250 288435 319,031 TjME WARNER, INC. 45,2œ 3,874,810 5,017,200 TIMES MIRROR CO. 127,2* 4,270,953 4,261,200 TOKAI BANK LTD. ADR 8,6œ 1,216.821 1,161,œ0 TOI(IO MARINE & FIRE INSUIG NCE LTD. ADR 20,c 774,738 790500 TOPPAN PIUNTING LTD. ADR 3,8œ 159.595 148,2* TORAY INDUSTRIES, INC. ADR 14,6œ 676,960 733.650 TOTO LTD. ADR 9* 114,071 116,316 TOTAL SA ADR 10.5œ 237,107 238,875 TOYOTA MOTOR CORP. PLC ADR 55,500 1,214,631 1,262,625 TOYS R U S ,INC. 119,425 2.217.554 4,120,162 TRANSATLANTIC HOLDINGS, INC. 27,% 729,*0 884,250 TYCO LABORATORIES. INC. 119,1œ 3,850,076 4.049,400 ULTRAMAR COlIP. 175,0œ 2,625,000 2,646,875 UNILEVER PLC AMERN SHARES ADR 10,6* 717,323 755,250 UNILEVER NV ADR 12,170 1,252,746 1,318,923 UNION CARBIDE CORP 282.% 6,02.9,3% 7,6167% UNION PACIFIC CORP 88,1œ 3,075,479 4,416,012 UNITED OVERSEAS BANK LTD. ADR 4,0œ 36,7+ 32,.%0 U.S. WEST. INC. 183,700 6,899,772 6,705,050 UNITRIN, INC. 3.50,000 11,024,443 11,9(q(X)0 UNIVERSAL CORP. 517,2* 7,754,795 13511,&50 UNOCAL CORP. 223,4œ 5,396,913 5,6*,700 VOLKSWAGON AG ADR 3,0œ 139,251 148,050 WAL-MART STORE S ,INC. 109,2œ 1, 75 % 4 99 5,869.500 WEYERHAEUSER CO. 395,0* 10,875,344 13.528,750 WHIRLPOOL CORP. 315,0œ 9,849,970 11,733,750 YAMAICHI SECIJRITIES LTD. ADR 3,1œ 129,033 129,037 YASIJDA TRUST & BANKING LTD. ADR 2,8% 172,195 166,600 WF U.S. EQUIR'Y MARKET FLIND 76,320,954 1,094,087,660 1,267,%4,987 WF EQUITY INDEX FUND D 31,733,197 513,181,780 622,192.254 TOTAL PREFERRED AND COMMON STOCK - DOMESTIC $3,199,354.09$ $3.781.606,456 FOREIGN SECURITIES PREFERRED STOCK - FORHGN SECURITY NAME SHARES BOOK VALUE MARKET VALUE UNITED KINGDOM WfLLIAMS HOLDINCS PLC 61,000 $ 145.288 $ 141,658 TOTAL PREFERRED STOCK - FOREIGN 145,258 141,658 90 ARIZONA STATE RETIREMENT SYSTEM COM MON STOG - YOREIGN SECURITY NAME SHARES BOOK VALUE M ARKET VALUE AUSTRALIA AMCOR EIMITED 17 (ïX) $ 96 452 $ *,792 AUSTRALIAN NATIONAL INDUSTIUES LTD. 115,0œ 172,876 169,278 BORAL LTD. 60,% 141,731 140724 BRAMBLAS INDUSTRIES LTD. 5,722 62,217 75,932 BROKEN HILL PROPIUETARY 85,% 6+,882 914573 BURNS PHILP & CO. LTD. 9t(V 225,349 252,852 COLES MYER 11,(XX) 1œ,093 97,315 CRA LTD 49,% 324,513 511,115 MIM HOLDINCS LTD. 90,% 193727 201,744 NATIONAL AUSTRALIA BANK LTD. 171 0(X) 897 198 985 116 NEWS CORP. LTD. 40,(XX) 615,202 630,039 PACIFIC DUNLOP 130,0œ 504,769 *4,136 WESTERN MINING HOLDINGS CORP. LTD. 110,A 433.568 416,713 AMPOLFA LTD. 35,% 93,203 91,% TOTAL AUSTRALIA 4,547780 5,0+,938 BELGIUM A. C. FINANCIERE PORT 3,8* 234,621 227,879 CIMENTERIES CBR CEMENTBEDRIFEN .5N) 144,1% 143,127 ELECTRABEL 4750 651,402 697,190 GB - INNO - BM 4,2* 190,199 192,980 CLAVERBEL SA 1,150 151,050 146,777 KREDITBANK NV 2730 340,943 342,611 PETROFINA SA IJœ 41,149 *7,337 SOLVAY & ClE :W) 145,573 144,448 U.C.B. SA 2œ 139.578 136.885 TOTAL BELGIUM 2,477,695 2539,234 CANADA INCO LTD. 95(X) 284,920 290,938 ALCAN ALIJMINUM LTD. I0,NX) 226,460 225750 AMERICAN BARRICK RESOURCES 12,% 332,765 133,417 BANK OP MONTREAL 25,% 955,425 966,198 BANK OP NOVA SCOTIA 21,.5œ 392.726 393,008 BC EZ INC. 4,650 160,614 173.399 CANADIAN PACIFIC LTD. 27,% 408,666 404,146 DOFASCO, INC. 19,5œ 225,067 222,017 HUDSONS BAY CO. 9,500 219,280 218109 IMPERIAL OIL LTD. 6,000 226,432 219,980 LAIDLAW TRANSPORTATION 21,% 226,337 226,822 MOLSON COMPANIES LTD. 6J(X) 170742 203,938 MOORE COIlP. LTD. 20,% 3*,452 346,787 NORTHERN TELECOM LTD. 4,0œ 148,318 146,653 NOVA-AN ALBERTA COlP. 34,% 243,202 241,497 QUEBECOR PRINTIN G INC. 68,* 965,692 951.784 ROGERS CANTEL MOBILE COMM. 60,* 1,0817.30 1,095,% SEAGRAM CO. LTD. 21,* 586726 581786 SHELL CANADA LTD. zvstxl 84,031 Ki,500 TORONTO-DOMINTON BANK 27,5* 417.567 416.510 TRANSCANADA PIPELINE LTD. 24,% 345.427 352.168 TOTAL CANADA 8,092,079 8,096,107 ARIZONA STATE RETIREMENT SYSTEM 91 COM M ON STOCK-FOREIGN SECURITY NAME SHARES BOOK VALUE MARKET VALUE FRANCE ACCOR $ 189,933 $ 1*,201 ALCATEL ALTHOM 2,298,516 3,010,873 HAVAS SA 992.579 947,010 ALCATEL CABLE SA - RICHTS 1,583 ALCATELCABLE SA 137,3* 136,840 m 139,908 145,066 B S N CERVAIS DANONE 192,772 199,118 CREDIT LOCAL DE FRANCE SA 189,626 207,670 CANAL PLUS 1,120,526 1,1.54,297 CARREFOUR SUPERMARCHE SA 57,516 .vg W 8 COMPTOIRS MODERNES SA 688,214 678,259 CREDIT FONCIER DE FRANCE 1*557 190,659 CREDIT NATIONAL SA 188,122 187,376 COMPAGNIE DE SAINT-GOBAIN 333,477 342,930 CIE FINANCIERE DE PARIBAS SA 18.5,&52. 1K,574 COMPAGM E GEIVERALE DES EAUX 2,250,632 2742,139 DOCKS DE FRANCE 7,862 8.280 EURO DISNEYLAND 165,956 164,115 ELF SANOFI SA 141,054 143.055 AlR LIQUIDE 142,707 149,231 L'OREAL SA 144,679 150.526 LAFARGE COPPEE 23,984 24,559 LVMH MOET HENNESSY LOUIS VUITTON 532,9* 537,376 PECHINEY 1R 740 144,438 PEUGEOT SA 403,364 396,90 RHONE-POULENC SA 144,453 146,055 ROUSSEL-UCLAF 141,098 139,926 SCHNEIDER 144,603 145,880 SOVAC 18,021 18,118 SYNTHELABO 138,764 140,549 SOCIETE CENERALE 166779 166,832 ELF AQUITAINE STE NATIONALE 1,198,055 1,932,445 TOTAL SA 661q497 675,481 VALEO 1,0155.7.3 1.(13.7% TOTAL FRANCE 14,490.259 16,027,035 GERMANY AACHENER & MUENCHENER 375 212.269 211.823 ALLIANZ AKTIENGESELLSCHAU 599,922 637.569 B. A. S. F. CO. 3,200 505,777 *9,477 B. M. W. 700 205,401 271764 BILFINGER & BERGER 140,374 142,832 DAIMLER-BENZ AG 1,400 717,536 700505 DEUTSCHE BANK AG 4,775 1.939,041 2,170710 DELJTSCHE BANK WARRANTS 2,2œ 55,411 8,199 MANNESMANN CO. 10,250 2,022,495 1,964,498 MUNCHENER RUCKVERSICHERUNG 969,125 999,014 SYSTIME ANWENDUNGEN 811,091 841,182 SCHEIUNG AG 310 143,424 146,601 SIEMENS AG 2,32.5 918,372 1,015,822 THYSSEN AG 7,0œ 1,047,032 1,0.%,(K1 VOLKSW AGENWERK AG 1V1œ 160,739 SIEMENS CAPITAL CORP. - WARRANTS W0 101,595 98,752 TOTAL GERMANY 10,556,810 10,981,678 92 ARIZONA STATE RETIREMENT SYSTEM COM MON STOCK - FOREIGN SECURITY NAME SHARES BOOK VALUE M ARKET VALUE HONG KONG AMOY PROPERTIES LTD. 320,0œ $ 249.352 $ 258,7% HONG KONG TELECOMMUNICATIONS 483,0* 324,722 549,929 CHINA LIGHT & POWER CO. 303,0* 808,914 1732,*4 CHEUNG KONG HOLDINGS LTD. 407,0œ 904,404 1779,683 HUTCHISON WHAMPOA LTD. 734,0œ 1,379721 1,6+,918 CITIC PACIFIC LTD. 90,% 150,058 158,365 SWIRE PACIFIC LTD. 298,0œ 873,517 1,416,938 SHUN TAK HOLDINGS 320,0* 250,064 242,205 JARDINE MATHESON HOLDINGS LTD. 244,0œ 321,5% 1,9*,952 JARDINE MATHESON HOLDINGS - ORD. SHARES 34,&X) 285,944 292,664 HONG KONG LAND HOLDINGS I*),0* 295,9% 316,730 DAIRY FARM INTERNATIONAL 665,% 946,781 1.101.K8 TOTAL HONG KONG 6,7*,645 10,640,342 INDONESIA SEMAN CIBINONG 21,% 1œ,602 *.552 P.T. UM LEVER 14,% 154,403 154,007 P.T. KALBE FARMA 14,% 98306 %,040 TOTAL INDONESIA 353.511 340,599 JAPAN AMADA CO. LTD. 150,000 1,237754 1,239,420 COMPUTER SERVICES CORP. 14,% 281572 268.064 BRIDGESTONE CORP. 32,% 288,955 287,291 CANNON SALES CO., W C. 19.% 301,663 K9,458 C A NO N' I NC . 1&3,0œ 1,754,938 1,787,148 CHUDENKO CORP. 14,* 468,448 470503 DAIICHI CO. LTD. 30,% 3œ.020 283,637 DAI NIPPON PIUNTINC LTD. 70,* 729,334 750,803 DAINIPPON SCREEN MFG. CO. LTD. 2œ,0œ 1,234,994 1,234,653 DAI TOKYO FIRE & MARINE W SURANCE ,50,* 250,117 252,651 EISAI CO. LTD. 110,0œ 1,167.236 1,179,813 17W 1 PHOTO FILM CO. LTD. 86,* 2,œ5714 1,913,1% HIROSE ELECTRIC CO. LTD. 57,% 2,127,1.54 1,639,371 HONDA MOTOR CO. LTD. &),(XX) 866,435 883,484 JUSCO CO. LTD. 5.0,tXX) 600,852 611,765 ITGYOKADO CO, LTD. 106,0œ 3,455788 3,629,753 JAPAN SECURITIES FW ANCE CO. LTD. 60,% 406,428 414,729 KANSAI ELECTRIC POWER CO ., INC. 35,000 624,996 622,888 KOMORI PRINTING MACHINERY CO. LTD. 17,% 295,835 257,974 MARUI CO. LTD. 196,000 2,459790 1,821,947 MATSUSHITA ELECTRIC INDUSTRIAL 90,% 897,266 936,716 KYOCERA CORP. 79,% 3,439,850 2,636,151 MITSUBISHI HEAVY INDUSTRIES LTD. 70,% 299,012 294760 AOYAMA TRADING CO. LTD. 20,000 1.145,&2 1,145,669 NATIONAL HOUSE INDUSTRIAL CO. LTD. 45,000 611,255 614,943 NINTENDO CO. LTD. 14,000 1,193,672 1,201,284 N.E.C. CORP. 403,000 5,D7,652 2,638712 NIPPON TELEVISION NETWORK CORP. 3,300 439,2% *7762 NISSHIN STEEL CO. LTD. 110,000 272,835 263,933 DAI DAN CO. 52,% 1,165,552 1,144,398 OJI PAPER CO. LTD. 50,% 323,989 311,444 SEKISUI HOUSE LTD. 183,0* 1,727,154 1,657,486 ARIZONA STATE RPTIREMENT SYSTEM 93 COM MON STOC.K - FOREIGN SECURITY NAME SHARES BOOK VALUE M ARKET VALUE JAPAN tcont'd) SHARP COl1P. lt14,(1œ 1,2.15,149 $ 1,189,843 SHIN-ETSU CHEMICAL CO. LTD. 165,0œ 1,71,098 1,691,*3 SHISEIDO CO. LTD. 100,0(X) 1,132,022 1,112,M SONY CORP. 36,(XX) 1,195774 1,17 8, 402 SUMITOMO ELECTRIC INDUSTRIES 60,% 444,416 434,274 TAISHO PHARMACEW ICAL CO. LTD. 30,% 444,937 BW XS TOHO CO. LTD. 5,0œ 5.*,446 540,260 TOKYO ELECTRIC POW ER CO., INC. 20,% 408,799 403,606 TOBU RAILWAY CO. LTD. 70,% 311,754 310,888 TOKIO MARINE & FIRE INSURANCE 230,0œ 1,782,425 1,809,0D TOSHIBA CORP. 125,0* 587,218 642,552 TOTROA YL TINDD. USTRIES, INC. 1245,%0œ 350958,145741 361209,860481 .1! TOYOTA MOTOR CO. LTD. 200,0œ 2,540,995 27&,160 j YAMANOUCHI PHARMACEIJTICAL CO. LTD. 30,% 584,720 576,807 ' YASUDA FIRE & MAIUNE INSURANCE 12S,0œ 584,266 585,944 YOKOGAWA HOKUSHIN ELECTRIC CORP. &),(u) 454,287 470,980 MAKITA 20,% 291,2% 297,143 TOTAL JAPAN 52,827,932 48.055,629 MALAYSIA CUINESS ANCHOR 70,% 153,288 149,621 MALAYAN BANKINC BERHAD 90,% 294,221 294,846 SIME DARBY BERHAD 1(X),0(X) 157570 152,617 TAN CHONG MOTOR HOLDINGS 2œ,0* 208,950 198,162. ROTHMANS OF PALL MALL 40,000 200,925 201,359 CENTING BERHAD 40,(XX) 196704 194,966 TELEKOM &),(XX) 440.030 431.483 TOTAL MALAYSIA 1,651788 1:23,054 NETHERLANDS D. A. F. 80,% 1,029.550 1.076,158 HEINEKEN. NV 12,000 1,143,246 1,168,618 INTERNATIONAL NEDERLANDEN CROUP CERT. 7,6* 214,445 213,804 KONINKLIJKE NEDERLANDSE PAPIERFABRIEKEN 5,0œ 142,251 141,825 ROYAL DUTCH PETROLEUM CO. 6.5œ 471,170 573,184 UNILEVER NN 2,(% 217.0% 216,670 WOLTEIS KLUWER NV 20,000 845,653 8.4 22 15 TOTAL NETHERLANDS 4,413,401 4,232,674 NEW ZEALAND CARTER HOLT HARVEY 200,0* 283,406 289702 FLETCHER CHALLENCE LTD. 1(q000 193.152 1*,874 TOTAL NEW ZEALAND 476,558 480,176 94 ARIZONA STATE RETIREMENT SYSTEM COM MON STOG - FOREIGN SECURITY NAME SHARES BOOK VALUE MARKET VALUE NORWAY HAFSLUND NYCOMED - CLASS 'A' 9 375 $ 176,114 $ 248.324 HAFSLUND NYCOMED - CLASS 'B' 2:344 43,*5 61,1X AG INOR SHIPPING AS 375 4.778 TOTAL NORWAY $ 219,7* $ 314,2X PHILIPPINES SAN MIGUEL CORP. 30,% 137,295 127.736 TOTAL PHILIPPINES 137,295 127,736 SINGAPORE FRASFR & NEAVP LTD. X,* 146,778 141,523 ROTHMANS INDUSTRIES 14,% 53,846 52,824 SINGAPORE M RLINES LTD. 115,0œ 1,266,978 1,29 4, 613 SINGAPORE PRESS HOLDINCS 16,% 134,604 128,657 DEVELOPMENT BANK 1(X),0(X) 699,641 872.147 TOTAL SINGAPORE 2,301,847 2,489,764 SPAIN BANCO BILBAO VIZCAYA 31,4œ 867,089 846,929 BANCO IX PLJLAR ESPANOL SA 1,225 139,915 137,139 BANCO INTERCONTINENTAL ESPANOL t4(X) 284,574 286,843 CENTROS COMERCIALES PRYCA SA 30,% 614705 599,846 CORPOIG CION KNANCIERA ALBA 3,6œ 188,152 182,953 MAPFRE CORPORACION 16,% 717,983 699,821 MAPFRE CIA IN'L 28,050 289 28,0.* IBERDROLA I 5A 84,% 459,215 655,207 TELEFOM CA NACIONAL DE ESPANA 85,% 837,554 911746 CUBIERTAS & MYOV 1,5œ 131,442 121,531 HORNOS IBERICOS ALBA SA 12,% 138,887 1.275 TABACALERA SA 37,254 37,298 UNION ELEG RICA - FENOSA 5.5,3* 319,124 314,438 VALLEHERMOSO SA 43,150 844.6% 826.8% TOTAL SPAIN 5,5+,489 5,649,% S WE DE N ELECTROLUX AB LIBRE 17,% 739,284 741,414 ASEA - FREE SHARES 18,% 1,243,504 1762,584 INVESTOR AB 20,% 503,442 508,813 KINNEVIK INDUSTRIFOERVALTNINCS 1,7* 44,660 42,940 L. M. ERICSSON TELEFON 40,000 1.(m ,1B 981,283 TOTAL SWEDEN 3,535,045 3.537,034 SW ITZERLAND S.B.S, 1%,115 136,926 ASCOM HOLDING AG 831,202 813,408 CIBA CEIGY %4,784 1734.&59 CIBA GEIGY AG . WAIUG NTS 2,313 2,%6 C.S. HOLDING 1,218,671 1,227,*4 NESTLE SA 1.082,689 1,098,325 ARIZONA STATE RETIREMENT SYSTEM 95 COM MON STOCK - FOREIGN SECURITY NAME SHARES BOOK VALUE MARKET VALUE SW ITZERLAND (Cont'd) NESTLE-UM LAC SA 38 268,899 $ 269,570 IIOCHE HOLDINC AG 145 341.,607 354,843 SANDOZ - BEARER SHARES 70 153,2% 153,969 9ANDOZ - PARTNER SHARES t% 939796 973,416 GEBRUEDER SULZER AG 5 20.500 2.210 SWISSAIR SCHW EIZERISCHE 259 110J02 111,296 3.B.C. BROWN BOVEQI & CO. 1,304,697 1,096,285 S.T.E. CENERALE DE SIJRVEILLANCE 809,569 821558 SANDOZ OVERSEAS FINANCE - WARRANTS 2,2œ 47.850 74.21 TOTAL SWITZERLAND 8,135,0% 87œ,215 THAILAND SIAM COMMERCIAL BANK 9,0œ 245,986 246,461 INTERNATIONAL COSMETICS 5,500 165.267 163.674 TOTAL THAILAND 411,253 410,135 UNITED KINGDOM ALLIED COLLOIDS GROUP PLC 143779 141,773 ARIWLL GIOI.JP PLC 293,092 347.027 BARCLAYS BANK PLC 233,964 229,277 gRITISH AMERICAN TOBACCO 1,357,909 1,356,244 BOC GROUP PLC 148,366 147,788 BODDINCTON GROUP PLC 835521 828,023 BOOTS CO. PLC 284,058 290,141 BAA GROUP PLC 145,276 151,699 BRITISH AIRWAYS 148,076 147,112 BRITISH GAS CORP, 302,897 300,334 BIUTISH PETROLEUM CO. PLC 307771 218,860 BRITISH STEEL PLC 1,068,005 930507 BRITISH TELECOMMUNICATIONS 478,076 479,682 3TR PLC 235,796 282,356 CABLE & WIRELESS 3*,372 406,953 CADBURY SCHWEPPES PLC 185,079 187,076 CARLTON COMMUNICATIONS 885,483 870,851 ELECTROCOMPONENTS PLC 141,460 138,480 ENTERPRISE OIL PLC 1,061,270 1,0.50,408 FISONS PLC 697,177 690,057 FORTE 142,964 138,261 GENERAL ACCIDENT 244,902 238,984 GENERAL ELEG RIC CO. PLC 282,579 286,953 GLM O HOLDINGS LTD. 587,672 1706,694 GRAND METROPOLITAN LTD. 380,939 383,374 GUINNESS (ARTHUR) & SONS PLC 79,459 246717 HANSON TRUST LTD. 340,093 330,471 HARRISONS & CROSFIELD 148,043 153,270 HILLSDOWN HOLDINGS 189,750 195.489 HUNTINGDON INTERNATIONAL HOLDINGS 311,922 300,658 IMPERIAL CHEMICAL INDUSTRIES 238,493 241,090 KING RSHER PLC 224,968 330,448 LADBROKE CROUP PLC 146,043 149777 LASMO PLC 147.542 147,331 LLOYDS BANK PLC 5*,196 505,703 LUCAS INDUSTRIES 800,891 696,681 VARKS & SPENCER PLC 329,456 333,931 MEPC PLC 136,822 138,480 96 ARIZONA STATE RETIREMENT SYSTEM COM MON STOG - YOREIGN SECURIR NAME SHARES BOOK VALUE MARKET VALUE UNITED KINGDOM (Cont'd) NORTHERN ELECTRIC PLC 53,500 $ 331738 $ 353,375 PILKINGTON BROTHERS LTD. 41,0œ 1,033,642 951,750 PRUDENTIAL PLC 252,0œ 1,147,604 1770,424 RANK ORGAM SATION PLC 19,1% 261,969 239,592 RANKS HOVIS MCDOUGALL PLC 49> 192,583 195,042 RIO TINTO-ZINC PLC 21,% 213,0* 249,834 R.M.C. GROUP PLC D,(XX) 2%,9* 231,599 ROLLS-ROYCE LD . 297,0œ %%5W 870,623 SECURICOR 75,% 7*,950 790,904 SMITHKLINE BEECHAM 22,7* 309,433 385,860 SOUFH WALES ELECTRICITY 1(q0œ 705,076 706,199 TARMAC PLC IINJIXI 365,021 206,349 THORN EMI PLC 15,500 242,358 236,919 T.I. GROUP PLC 28,% 191.418 IK3JZIS T.S.B. GROUP PLC fx3,% 149,633 171,503 UNILEVER PLC 15,% 228,82.3 284,512 UNITED BISCUITS HOLDINGS 21J(% 1* 0&5 143,648 WELSH WATER 104,000 845,5&3 900,736 WHITBREAD & CO. PLC 17J(X) 135,792 146,236 WILLIS CORROON GROUP 55,% 312,301 228,363 VODAFONE CROUP 150,0œ 966,8% *7,930 SOW H WEST WATER PLC 31> 235,% 250,034 TOTAL UNITED KINGDOM 24,436,872 25,182,937 UNITED STATES SAF'RA REPUBLIC HOLDING SA 15,% 795.000 777.œ0 TOTAL UNITED STATES 795,0œ r7,000 MELLON CAPITAL MANAGEMENT COMMINGLED MORGAN STANLEY CAPITAL INTERNATIONAL'S EUROPE, AUSTRALIA, FAR EAST INDEX 2508,821 251.066387 238.701.716 TOTAL COMMON STOCK - FOREIGN 402,946,485 393.594,116 TOTAL FOREIGN SECURITIES $ 403.091.D3 $ 393.735.D4 ARIZONA STATE RETIREMENT SYSTEM 97 M O RTG A G ES FHA M ORTGAGES M H PRINCIPAL The Lomas & Nettleton Company 6.750% $ 4.934 TOTAL FHA M ORTGAGES 4,934 CONVSVHONALM ORTGAGES Catalina M ortgage Company 10.000 8,0* ,122 10.000 1,245,* 1 10.125 1,358,370 12.625 1,642,337 10.000 336,316 10.625 486,991 9.250 2,100,000 7.270 1,485,806 11.125 972,713 11.125 1,358,375 10.500 882,959 10.625 1,449,360 10.750 542,089 9.370 937,485 12.000 542,160 10.375 7,897,037 8 .650 1,043,178 10.625 611,751 10.750 874,328 9.500 127,386 9.750 731,210 9.625 498,322 9.625 1,222,031 10.250 192,237 12.000 1,428,498 8.500 3,933,764 8.500 222,994 Chase Home M ortgage 9.625 430,080 9.750 456,276 10.125 399,288 10.625 486,590 Coldwell Bankers 12.125 643,317 Colorado Springs Savings & Loan Assoc. 6.000 2.716,656 First Interstate Mortgage-cA 13.750 1,692,535 13.000 1753,279 ! 98 ARIZONA STATE RETIREMENT SYSTEM I CO IONAt MORTGAGES (Contfd) RA.TE PRINCIPAL GMAC Mortgage 10.500% $ ,133,781 9.625 80,334 9.625 535,367 9.625 103,815 10.750 268,887 Groat W estern Bank 9.375 1,938,412 Lomas & Nettleton 6.750 8,461 Lumlxrznans Inv. 10.000 347474 M -W est Mortgage 9.500 1,904,902 9.500 528,356 11.500 2,248,970 9.500 254,030 9.750 522,7,54 10.500 196,945 9.750 309,848 9.750 827,773 9.500 180,480 9.562 888,507 9.625 347,302 10.273 42.5,153 10.250 271,121 12.125 318,754 2.000 2,250,000 Matrix 9.500 782,588 10.625 1,874,887 Mellon M ortgage Company 9.750 117,103 9.500 319,203 10.750 785,625 11.000 794.874 12.625 9,597,286 10.000 2,798,866 N örthland 10.000 880,320 10.000 816,194 3.690 1,703,122 Pacific M umal 10.125 404,868 Security Pacific Bank 11.625 2,410.044 ARIZONA STATE RETIREMENT SYSTEM 99 CONVEG IONAL MORTGAGES (ConPd) M R PRINCIPAL Security Pacific National 10.000% $ 492,282 9.500 6,137,457 9.875 1,1.11,713 9.750 241,200 9.625 451,632 9.625 757,401 9.625 1,836,795 9.500 281,814 9.500 409,160 9. 750 1,107,160 9.500 1,471,189 12.875 403,248 12.500 1,201,871 9.125 1,634,965 10.375 1,378,171 10.000 1,499,994 Stan Chart Mortgage Co. 8.875 3.477,409 Union Planters National 9.875 142,725 10.000 248,* 4 9.850 1,846,958 10.125 204,370 10.250 205,007 11.125 225,272 Vanguard Financial 9.125 9,309,382 10.500 924,682 10.125 8,123,401 10.125 4,803,297 9.875 961,158 6.000 1,537,370 9.500 2,258,216 9.625 752,784 5.000 1,094,754 10.625 2,442,472 7.000 3,746,948 10.125 1,705,622 10.500 2,696,573 10.000 2,631,032 10.500 1,081,556 .158 7,584,732 10.500 631,970 9.875 339,430 9.150 3,&50,000 11.000 398,874 10,750 881,323 10.875 2,168,070 10.250 1,524,482 10.125 666,828 9.750 5,435,395 9.750 9,848,125 10.750 1,182,669 100 ARIZONA STATE RETIREMENT SYSTEM CO ONAL M ORTCAGES (Cont'd) RATE PRINCIPAL Vanguard Financial (Contpd) 9.000% $ 2,296555 W ilkins 12.500 821,529 12.375 1,714,151 12.375 2 ,028,010 10.375 1,478336 TOTM CO ONALMORTGAGES 202,327,150 TERM CONIRACFM ORTCAGFS Stan Chart M ortgage Co. 8.250 1q).143 TOTAL TERM CONTM G M ORTGAGES 1(X).143 TW AL MORTGAGES $ 202.432,227 REAL ESTATE Office Building I 6232 N. 7th Street Phoenix, AZ $ 1,742,770 Apartment Project 3450 N. Stone Tucrn, AZ 1,116,683 . Office Building 4520 N. 12th Street Phoenix, AZ 574,632 M otel Frys Boulevard & 2nd Street Sierra Vista, AZ 3,126,495 Office Building 40 E. Virginia Phoenix, AZ 949,555 Office Building 7650-7660-7670 E. Broadway Tucxn, A'Z 3,663,203 Office W arehouse 3700 E. Columbia Tucson, A'Z 2,242,12.5 ARIZONA STATE RETIREMENT SYSTEM 101 REAL ESTATE (Cont'd) PRINCIFAL Office Building 1480 E. Bethany Home Road Phoenix, AZ $ 1,165,478 Industrial Office Building 1651-1681 W . Grant Road Tucson' AZ 1,353,943 Office Building 6157 E. lndian School Road 6155 E. lndian School Road 309.169 Scgttsdale, AZ 571,794 Offîce Building 1œ2 E. M issouri Phoenix, AZ 947,729 Office Building 4222 N. 12th Street Ph/enix, AZ 633.640 Office Building 1212/1220/1224 E. Washington Phtnenix, AZ $ 2385.077 TOTALREALESTATE $ 20.982,293 1 ï I 102 ARIZONA STATE RETIREMENT SYSTEM I