S T A T E
O F A R I Z O N A
S T A T E
T R E A S U R E R ' S O F F I C E
W A T E R M A R K I N V E N T O R Y
INVESTMENTS OUTSTANDING AS OF 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 8/31/07 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
TRI-PARTY REPO-TSY COLLAT ( 7)
--------------------------------
59386 TPDB0210 DEUTSCHE BANK 5.100 9/04/07 5.100 Aaa AAA 60,000,000.00 100.00000 2
60,000,000.00 60,000,000.00
====== -------------- --------------
-------------- -------------
5.100
60,000,000.00 60,000,000.00 60,000,000.00
1 ITEM IN SUBTOTAL FOR: TRI-PARTY REPO-TSY COLLATERAL (TYPE
7)
U.S. TREASURY NOTES & BON ( 12)
--------------------------------
56650 912828FJ U S TREASURY NOTE 5.125 6/30/08 5.052 Aaa AAA 10,000,000.00 100.50800 2
10,005,494.44 10,050,800.00 45,305.56
56656 912828FM U S TREASURY NOTE 5.000 7/31/08 5.046 Aaa AAA 10,000,000.00 100.48438 2
9,995,952.61 10,048,437.50 52,484.89
======
--------------
-------------- --------------
-------------
5.049 20,000,000.00 20,001,447.05 20,099,237.50 97,790.45
2 ITEMS IN SUBTOTAL FOR: U.S. TREASURY NOTES & BONDS (TYPE
12)
AGENCY NOTES (30/360) 2X (
23)
--------------------------------
46982 3128X3H5 FHLMC 3.250 11/02/07 3.290 Aaa AAA 10,000,000.00 99.67100 2
9,999,360.18 9,967,100.00 -32,260.18
55343 3128X4F4 FHLMC 5.000 2/08/08 5.255 Aaa AAA 24,800,000.00 99.88000 2
24,772,994.41 24,770,240.00 -2,754.41
57920 3128X4N3 FHLMC 4.875 9/05/07 5.314 Aaa AAA 12,000,000.00 99.99900 2
11,999,385.60 11,999,880.00 494.40
46997 3133X95S FHLB 3.350 11/16/07 3.350 Aaa AAA 4,575,000.00 99.62500 2
4,575,000.00 4,557,843.75 -17,156.25
59115 3133X9M4 FHLB 3.250 12/17/07 5.245 Aaa AAA 20,000,000.00 99.43750 2
19,884,034.70 19,887,500.00 3,465.30
57940 3133XJZT FHLB 5.125 2/22/08 5.271 Aaa AAA 18,485,000.00 99.90625 2
18,471,762.48 18,467,670.31 -4,092.17
57221 3133XKA7 FHLB 5.500 3/19/09 5.500 Aaa AAA 25,000,000.00 100.03125 2
25,000,000.00 25,007,812.50 7,812.50
58017 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa AAA 25,000,000.00 99.93750 2
24,957,131.00 24,984,375.00 27,244.00
57926 3133XKRZ FHLB 5.500 11/09/09 5.500 Aaa AAA 20,000,000.00 100.09375 2
20,000,000.00 20,018,750.00 18,750.00
57800 3134A4VF FHLMC 4.375 11/16/07 5.268 Aaa AAA 27,251,000.00 99.81250 2
27,201,722.67 27,199,904.37 -1,818.30
58040 31359M5T FNMA 5.125 9/02/08 5.117 Aaa AAA 15,000,000.00 100.28125 2
15,000,230.82 15,042,187.50 41,956.68
54996 31359MF3 FNMA 5.000 7/25/08 5.220 Aaa AAA 15,000,000.00 100.06250 2
14,971,576.54 15,009,375.00 37,798.46
57675 31359MP5 FNMA 5.250 12/03/07 5.285 Aaa AAA 11,700,000.00 99.96875 2
11,698,675.36 11,696,343.75 -2,331.61
57839 31359MP5 FNMA 5.250 12/03/07 5.286 Aaa AAA 30,000,000.00 99.96875 2
29,996,657.14 29,990,625.00 -6,032.14
57922 31359MP5 FNMA 5.250 12/03/07 5.273 Aaa AAA 10,000,000.00 99.96875 2
9,999,217.76 9,996,875.00 -2,342.76
57916 31359MQM FNMA 3.250 1/15/08 5.260 Aaa AAA 10,000,000.00 99.18750 2
9,927,554.86 9,918,750.00 -8,804.86
S T A T E
O F A R I Z O N A
S T A T E
T R E A S U R E R ' S O F F I C E
W A T E R M A R K I N V E N T O R Y
INVESTMENTS OUTSTANDING AS OF 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 8/31/07 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
58023 31359MU4 FNMA 5.500 1/15/08 5.281 Aaa AAA 10,000,000.00 100.06250 2
10,007,428.11 10,006,250.00 -1,178.11
56099 31359MU9 FNMA 5.400 2/01/08 5.166 Aaa AAA 20,000,000.00 100.06250 2
20,018,437.47 20,012,500.00 -5,937.47
55022 31359MX4 FNMA 5.000 9/15/08 5.047 Aaa AAA 10,000,000.00 100.46875 2
9,995,425.44 10,046,875.00 51,449.56
58067 3136F3CT FNMA 3.250 3/17/08 5.230 Aaa AAA 2,000,000.00 98.93750 2
1,979,245.47 1,978,750.00 -495.47
59335 3136F5PH FNMA 2.880 10/22/07 5.091 Aaa AAA 20,000,000.00 99.68750 2
19,937,543.21 19,937,500.00 -43.21
58613 3136F7KW FNMA 4.250 9/21/07 5.328 Aaa AAA 10,000,000.00 99.93750 2
9,993,903.45 9,993,750.00 -153.45
======
--------------
-------------- --------------
-------------
5.172 350,811,000.00 350,387,286.67
350,490,857.18 103,570.51
22 ITEMS IN SUBTOTAL FOR: AGENCY NOTES (30/360) 2X (TYPE
23)
AGENCY NOTES-VAR (30/360) ( 25)
--------------------------------
52740 3133XCZL FHLB Float Qrtly 4.985 9/14/07 5.262 Aaa AAA 10,000,000.00 99.99900 2
9,999,034.35 9,999,900.00 865.65
======
--------------
-------------- --------------
-------------
5.262 10,000,000.00 9,999,034.35 9,999,900.00 865.65
1 ITEM IN SUBTOTAL FOR: AGENCY NOTES-VAR (30/360) 4X (TYPE
25)
AGENCY NOTES (30/360) @ M ( 28)
--------------------------------
59251 3133XKNT FHLB 5.250 11/01/07 5.087 Aaa AAA 50,000,000.00 100.00000 2
50,006,434.25 50,000,000.00 -6,434.25
====== -------------- --------------
-------------- -------------
5.087
50,000,000.00 50,006,434.25 50,000,000.00 -6,434.25
1 ITEM IN SUBTOTAL FOR: AGENCY NOTES (30/360) @ MATURITY (TYPE 28)
AGENCY NOTE-VAR (30/360) (
29)
--------------------------------
35123 31339XVW FHLB Step Cpn 5.000 6/26/08 5.019 Aaa AAA 25,000,000.00 99.87500 2
24,996,164.30 24,968,750.00 -27,414.30
======
--------------
-------------- --------------
-------------
5.019
25,000,000.00 24,996,164.30 24,968,750.00 -27,414.30
1 ITEM IN SUBTOTAL FOR: AGENCY NOTE-VAR (30/360) 2X (TYPE
29)
S T A T E
O F A R I Z O N A
S T A T E
T R E A S U R E R ' S O F F I C E
W A T E R M A R K I N V E N T O R Y
INVESTMENTS OUTSTANDING AS OF 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 8/31/07 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
AGENCY NOTE-VAR (ACT/360) ( 30)
--------------------------------
59303 3128X5Y6 FHLMC FLOATING QRT 5.200 9/30/08
5.229 Aaa
AAA
10,000,000.00 99.95900 2 9,993,938.12 9,995,900.00 1,961.88
59322 3128X5Y6 FHLMC FLOATING QRT 5.200 9/30/08
5.228 Aaa
AAA
10,000,000.00 99.95900 2 9,994,025.63 9,995,900.00 1,874.37
59298 3133XK7D FHLB FLOATING QRTL 5.210 9/17/08
5.227 Aaa
AAA
20,000,000.00 99.98900 2 19,990,640.51
19,997,800.00 7,159.49
59314 3133XLMS FHLB FLOATING QRTL 5.190 1/05/09
5.235 Aaa
AAA
20,000,000.00 99.97500 2 19,982,319.68
19,995,000.00 12,680.32
59113 3133XLX9 FHLB FLOATING QRTL 5.236 2/11/09
5.200 Aaa
AAA
20,000,000.00 99.93400 2 20,000,000.00
19,986,800.00 -13,200.00
======
--------------
-------------- --------------
-------------
5.222 80,000,000.00 79,960,923.94 79,971,400.00 10,476.06
5 ITEMS IN SUBTOTAL FOR: AGENCY NOTE-VAR (ACT/360) 4X (TYPE
30)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
59330 31315KLY FAMC DISCOUNT 4.900 9/20/07 4.916 P1
A-1+ 25,000,000.00 99.74139 2
24,935,347.22 24,935,347.25
59221 313312LJ FFCB DISCOUNT 5.000 9/06/07 5.015 P1
A-1+ 12,451,000.00 99.93056 2
12,442,353.47 12,442,353.53
59328 313312MM FFCB DISCOUNT 4.700 10/03/07 4.723 P1 A-1+
30,000,000.00 99.58222 2 29,874,666.66
29,874,666.60
59222 313384LG FHLB DISCOUNT 4.950 9/04/07 4.964 P1
A-1+ 14,000,000.00 99.96042 2
13,994,225.00 13,994,458.38 233.38
59174 313384LH FHLB DISCOUNT 5.179 9/05/07 5.198 P1
A-1+ 35,000,000.00 99.94944 2
34,979,859.44 34,982,305.40 2,445.96
59223 313384LH FHLB DISCOUNT 4.950 9/05/07 4.964 P1
A-1+ 12,950,000.00 99.94944 2
12,942,877.50 12,943,453.00 575.50
59375 313384LJ FHLB DISCOUNT 4.800 9/06/07 4.804 P1
A-1+ 39,746,000.00 99.93333 2
39,719,502.68 39,719,502.53
59374 313384LN FHLB DISCOUNT 4.900 9/10/07 4.907 P1
A-1+ 54,975,000.00 99.87750 2
54,907,655.63 54,907,655.63
59331 313384LP FHLB DISCOUNT 4.750 9/11/07 4.759 P1
A-1+ 25,000,000.00 99.86806 2
24,967,013.88 24,967,014.00
59230 313384LQ FHLB DISCOUNT 4.888 9/12/07 4.906 P1
A-1+ 71,000,000.00 99.85064 2
70,893,957.56 70,893,957.24
57187 313396LN FHLMC DISCOUNT 5.070 9/10/07 5.203 P1
A-1+ 25,000,000.00 99.87325 2
24,968,312.50 24,968,312.50
58314 313396WF FHLMC DISCOUNT 5.030 4/30/08 5.274 P1
A-1+ 40,000,000.00 96.93000 2
38,647,488.89 38,772,000.00 124,511.11
59198 313588LH FNMA DISCOUNT 5.150 9/05/07 5.166 P1
A-1+ 14,277,000.00 99.94278 2
14,268,830.38 14,268,830.42
59279 313588LN FNMA DISCOUNT 4.400 9/10/07 4.411 P1
A-1+ 53,000,000.00 99.89000 2
52,941,700.00 52,941,700.00
59201 313588LV FNMA DISCOUNT 5.160 9/17/07 5.185 P1
A-1+ 25,560,000.00 99.77067 2
25,501,382.40 25,501,382.49
59280 313588LW FNMA DISCOUNT 4.660 9/18/07 4.677 P1
A-1+ 60,000,000.00 99.77994 2
59,867,966.66 59,867,966.40
59187 313588MC FNMA DISCOUNT 5.160 9/24/07 5.191 P1
A-1+ 40,000,000.00 99.67033 2
39,868,133.33 39,868,133.20
59329 313588MG FNMA DISCOUNT 4.840 9/28/07 4.861 P1
A-1+ 25,000,000.00 99.63700 2
24,909,250.00 24,909,250.00
59336 313588ML FNMA DISCOUNT 4.670 10/02/07 4.692 P1 A-1+
35,000,000.00 99.59786 2 34,859,251.39
34,859,251.35
59337 313588NB FNMA DISCOUNT 4.880 10/17/07 4.914 P1 A-1+
25,000,000.00 99.37644 2 24,844,111.11
24,844,111.00
57891 313588NJ FNMA DISCOUNT 5.060 10/24/07 5.188 P1 A-1+
10,000,000.00 99.25506 2 9,925,505.56 9,925,505.60
59276 313588NS FNMA DISCOUNT 4.700 11/01/07 4.745 P1 A-1+
20,000,000.00 99.20361 2 19,840,722.22
19,840,722.00
======
--------------
-------------- -------------- -------------
4.899
692,959,000.00
690,100,113.48 690,227,878.52
127,765.95
22 ITEMS IN SUBTOTAL FOR: AGENCY DISCOUNT NOTES (TYPE 35)
S T A T E
O F A R I Z O N A
S T A T E
T R E A S U R E R ' S O F F I C E
W A T E R M A R K I N V E N T O R Y
INVESTMENTS OUTSTANDING AS OF 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 8/31/07 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
AGENCY ZEROES & STRIPS (A ( 45)
--------------------------------
58475 31358DCM FNMA 2/15/08 5.324 Aaa AAA 20,000,000.00 97.97200 2
19,529,684.55 19,594,400.00 64,715.45
====== -------------- --------------
-------------- -------------
5.324
20,000,000.00 19,529,684.55 19,594,400.00 64,715.45
1 ITEM IN SUBTOTAL FOR: AGENCY ZEROES & STRIPS (ACT/ACT)
(TYPE 45)
CORPORATE NOTES (30/360) (
50)
--------------------------------
58250 637432CY NATIONAL RURAL UTI 3.875 2/15/08
5.422 A1 A+ 20,861,000.00 99.28500 2
20,717,987.82 20,711,843.85 -6,143.97
======
--------------
-------------- --------------
-------------
5.422
20,861,000.00 20,717,987.82 20,711,843.85 -6,143.97
1 ITEM IN SUBTOTAL FOR: CORPORATE NOTES (30/360) 2X (TYPE
50)
CORPORATE
NOTES-VAR (ACT/ ( 52)
--------------------------------
35864 00878833 MERIDIAN FUNDING C 5.680 6/09/08 5.786 Aaa AAA 3,333,333.81 99.75000 2