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 6/30/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH
6/30/07 ***
*** STATE AGENCIES II-DIVERSIFIED (3) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
U.S. TREASURY NOTES & BON ( 12)
--------------------------------
57177 912828ER U S TREASURY
NOTE 4.375 12/31/07 5.013 Aaa AAA 10,000,000.00 99.74200 2
9,968,710.54 9,974,200.00 5,489.46
58143 912828FG U S TREASURY
NOTE 4.875 5/31/08 4.976 Aaa AAA 20,000,000.00 99.90625 2
19,981,854.17 19,981,250.00 -604.17
56649 912828FJ U S TREASURY
NOTE 5.125 6/30/08 5.052 Aaa AAA 10,000,000.00 100.09375 2
10,006,618.71 10,009,375.00 2,756.29
58151 912828FJ U S TREASURY
NOTE 5.125 6/30/08 4.951 Aaa AAA 20,000,000.00 100.09375 2
20,032,388.03 20,018,750.00 -13,638.03
56655 912828FM U S TREASURY
NOTE 5.000 7/31/08 5.046 Aaa AAA 10,000,000.00 99.96875 2
9,995,201.30 9,996,875.00 1,673.70
58197 912828FM U S TREASURY
NOTE 5.000 7/31/08 4.956 Aaa AAA 20,000,000.00 99.96875 2
20,007,841.35 19,993,750.00 -14,091.35
58252 912828FV U S TREASURY
NOTE 4.875 10/31/08 5.008 Aaa AAA 10,000,000.00 99.85938 2
9,982,737.21 9,985,937.50 3,200.29
58254 912828GB U S TREASURY
NOTE 4.750 12/31/08 4.986 Aaa AAA 10,000,000.00 99.69500 2
9,965,983.30 9,969,500.00 3,516.70
58257 912828GJ U S TREASURY
NOTE 4.750 2/28/09 4.951 Aaa AAA 10,000,000.00 99.69500 2
9,967,664.31 9,969,500.00 1,835.69
58272 912828GL U S TREASURY
NOTE 4.500 3/31/09 4.986 Aaa AAA 10,000,000.00 99.27300 2
9,919,045.61 9,927,300.00 8,254.39
58195 912828GP U S TREASURY
NOTE 4.500 4/30/09 4.858 Aaa AAA 20,000,000.00 99.32000 2
19,875,804.46 19,864,000.00 -11,804.46
58363 912828GP U S TREASURY
NOTE 4.500 4/30/09 5.001 Aaa AAA 10,000,000.00 99.32000 2
9,913,016.14 9,932,000.00 18,983.86
====== -------------- --------------
-------------- -------------
4.971
160,000,000.00
159,616,865.13 159,622,437.50
5,572.37
12 ITEMS IN SUBTOTAL
FOR: U.S. TREASURY NOTES &
BONDS (TYPE 12)
AGENCY MTN (30/360) 2X ( 21)
--------------------------------
33454 3128X0U4 FHLMC 3.170 9/28/07 3.196 Aaa AAA 10,000,000.00 99.47300 2
9,999,406.08 9,947,300.00 -52,106.08
======
--------------
-------------- --------------
-------------
3.196 10,000,000.00 9,999,406.08 9,947,300.00 -52,106.08
1 ITEM IN SUBTOTAL
FOR: AGENCY MTN (30/360) 2X (TYPE 21)
AGENCY STEP UP NOTE (30/3 ( 22)
--------------------------------
36052 31339YQF FHLB Step Cpn 4.000 7/30/08 4.010 Aaa AAA 25,000,000.00 99.59375 2
24,997,466.39 24,898,437.50 -99,028.89
====== -------------- -------------- -------------- -------------
4.010
25,000,000.00 24,997,466.39 24,898,437.50 -99,028.89
1 ITEM IN SUBTOTAL
FOR: AGENCY STEP UP NOTE (30/360) 2X (TYPE 22)
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 6/30/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH
6/30/07 ***
*** STATE AGENCIES II-DIVERSIFIED (3) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
AGENCY NOTES (30/360) 2X (
23)
--------------------------------
34679 3128X1FN FHLMC 3.050 6/04/08 3.072 Aaa AAA 5,000,000.00 97.98200 2
4,999,072.25 4,899,100.00 -99,972.25
34930 3128X1JB FHLMC 2.850 6/03/08 2.893 Aaa AAA 5,000,000.00 97.82100 2
4,998,148.96 4,891,050.00 -107,098.96
46981 3128X3H5 FHLMC 3.250 11/02/07 3.290 Aaa AAA 10,000,000.00 99.29900 2
9,998,720.37 9,929,900.00 -68,820.37
52533 3128X4K6 FHLMC 5.250 3/07/08 5.277 Aaa AAA 13,480,000.00 99.88300 2
13,477,694.94 13,464,228.40 -13,466.54
52218 3128X4YF FHLMC 5.000 1/28/08 5.945 Aaa AAA 20,000,000.00 99.77200 2
19,999,547.13 19,954,400.00 -45,147.13
56888 3128X5D5 FHLMC 5.500 2/13/09 5.500 Aaa AAA 30,000,000.00 99.97300 2
30,000,000.00 29,991,900.00 -8,100.00
57109 3128X5J3 FHLMC 5.600 3/05/10 5.600 Aaa AAA 35,000,000.00 99.92800 2
35,000,000.00 34,974,800.00 -25,200.00
57923 3128X5K8 FHLMC 5.400 3/02/12 5.398 Aaa AAA 20,000,000.00 99.44100 2
20,000,000.00 19,888,200.00 -111,800.00
56077 3128X5NT FHLMC 5.350 11/14/11 5.354 Aaa AAA 10,000,000.00 99.37700 2
9,997,759.54 9,937,700.00 -60,059.54
56121 3128X5NT FHLMC 5.350 11/14/11 5.375 Aaa AAA 10,000,000.00 99.37700 2
9,989,754.76 9,937,700.00 -52,054.76
57172 3128X5R7 FHLMC 5.250 3/15/12 5.271 Aaa AAA 10,000,000.00 99.05600 2
9,991,494.38 9,905,600.00 -85,894.38
55962 3128X5TZ FHLMC 5.375 12/27/11 5.375 Aaa AAA 10,000,000.00 99.56250 2
10,000,000.00 9,956,250.00 -43,750.00
56516 31331XMF FFCB 5.300 1/26/09 5.300 Aaa AAA 20,000,000.00 100.00000 2
20,000,000.00 20,000,000.00
35447 31339XQ5 FHLB 3.000 6/30/08 3.014 Aaa AAA 5,000,000.00 97.78125 2
4,999,375.68 4,889,062.50 -110,313.18
46570 3133X8X5 FHLB 3.375 10/05/07 3.391 Aaa AAA 10,000,000.00 99.46875 2
9,999,595.60 9,946,875.00 -52,720.60
49796 3133XBFJ FHLB 5.170 4/21/10 4.251 Aaa AAA 3,500,000.00 99.40625 2
3,500,000.00 3,479,218.75 -20,781.25
50762 3133XCQC FHLB 4.500 8/23/07 4.500 Aaa AAA 20,000,000.00 99.84375 2
20,000,000.00 19,968,750.00 -31,250.00
58158 3133XFLG FHLB 5.250 6/12/09 5.050 Aaa AAA 25,000,000.00 100.09375 2
25,090,540.61 25,023,437.50 -67,103.11
55352 3133XHHG FHLB 5.400 10/23/09 5.400 Aaa AAA 24,865,000.00 99.90625 2
24,865,000.00 24,841,689.06 -23,310.94
56500 3133XHMU FHLB 5.350 11/13/08 5.345 Aaa AAA 13,490,000.00 99.93750 2
13,490,000.00 13,481,568.75 -8,431.25
55973 3133XHX4 FHLB 5.375 11/28/11 5.397 Aaa AAA 10,000,000.00 99.68750 2
9,991,347.34 9,968,750.00 -22,597.34
55791 3133XHY4 FHLB 5.500 12/07/09 5.500 Aaa AAA 20,000,000.00 99.90625 2
20,000,000.00 19,981,250.00 -18,750.00
58087 3133XJ3D FHLB 4.875 6/04/08 5.183 Aaa AAA 25,000,000.00 99.62500 2
24,930,919.92 24,906,250.00 -24,669.92
56967 3133XJML FHLB 5.375 2/09/10 5.437 Aaa AAA 30,000,000.00 99.68750 2
29,955,074.79 29,906,250.00 -48,824.79
57246 3133XJXN FHLB 5.370 8/28/09 5.368 Aaa AAA 30,000,000.00 99.78125 2
30,000,000.00 29,934,375.00 -65,625.00
56970 3133XJYE FHLB 5.500 3/12/10 5.502 Aaa AAA 20,000,000.00 99.81250 2
19,999,101.28 19,962,500.00 -36,601.28
57112 3133XK2F FHLB 5.550 3/04/10 5.550 Aaa AAA 30,000,000.00 99.90625 2
30,000,000.00 29,971,875.00 -28,125.00
57220 3133XKA7 FHLB 5.500 3/19/09 5.500 Aaa AAA 43,000,000.00 99.96875 2
43,000,000.00 42,986,562.50 -13,437.50
58016 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa AAA 50,000,000.00 99.50000 2
49,902,316.47 49,750,000.00 -152,316.47
57925 3133XKRZ FHLB 5.500 11/09/09 5.500 Aaa AAA 50,000,000.00 99.90625 2
50,000,000.00 49,953,125.00 -46,875.00
58089 3134A2DT FHLMC 5.750 4/15/08 5.224 Aaa AAA 25,000,000.00 100.31250 2
25,098,719.97 25,078,125.00 -20,594.97
56501 31359M4P FNMA 5.500 1/23/12 5.507 Aaa AAA 20,000,000.00 99.75000 2
19,994,157.28 19,950,000.00 -44,157.28
58062 31359M5C FNMA 5.375 2/12/10 5.374 Aaa AAA 25,000,000.00 99.81250 2
24,998,570.22 24,953,125.00 -45,445.22
58039 31359M5T FNMA 5.125 9/02/08 5.117 Aaa AAA 25,000,000.00 99.81250 2
25,000,449.69 24,953,125.00 -47,324.69
57367 31359M6L FNMA 5.390 3/27/12 5.392 Aaa AAA 25,000,000.00 99.50000 2
24,997,630.07 24,875,000.00 -122,630.07
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 6/30/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH
6/30/07 ***
*** STATE AGENCIES II-DIVERSIFIED (3) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
58063 31359M7T FNMA 5.300 4/16/10 5.382 Aaa AAA 25,000,000.00 99.71875 2
24,983,434.72 24,929,687.50 -53,747.22
54995 31359MF3 FNMA 5.000 7/25/08 5.220 Aaa AAA 15,000,000.00 99.71875 2
14,966,203.81 14,957,812.50 -8,391.31
57921 31359MP5 FNMA 5.250 12/03/07 5.273 Aaa AAA 11,650,000.00 99.93750 2
11,648,481.14 11,642,718.75 -5,762.39
56098 31359MU9 FNMA 5.400 2/01/08 5.166 Aaa AAA 10,000,000.00 100.00000 2
10,012,954.43 10,000,000.00 -12,954.43
55021 31359MX4 FNMA 5.000 9/15/08 5.047 Aaa AAA 10,000,000.00 99.68750 2
9,994,679.07 9,968,750.00 -25,929.07
58185 3137EAAT FHLMC 5.000 6/11/09 5.076 Aaa AAA 25,000,000.00 99.62500 2
24,964,592.58 24,906,250.00 -58,342.58
======
--------------
-------------- --------------
-------------
5.244 824,985,000.00 824,835,337.00
822,896,961.21 -1,938,375.79
41 ITEMS IN SUBTOTAL
FOR: AGENCY NOTES (30/360) 2X (TYPE
23)
AGENCY NOTES-VAR (30/360) ( 25)
--------------------------------
35403 3128X1LU FHLMC
Variable 3.500 6/25/08 3.522 Aaa AAA 7,000,000.00 98.29800 2
6,998,620.69 6,880,860.00 -117,760.69
52739 3133XCZL FHLB Float Qrtly 4.985 9/14/07 5.262 Aaa AAA 10,000,000.00 99.96000 2
9,994,428.96 9,996,000.00 1,571.04
======
--------------
-------------- --------------
-------------
4.545 17,000,000.00 16,993,049.65 16,876,860.00 -116,189.65
2 ITEMS IN SUBTOTAL
FOR: AGENCY NOTES-VAR (30/360) 4X (TYPE
25)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
58407 313384HT FHLB
DISCOUNT 5.150 7/05/07 5.170 P-1
A-1+ 25,000,000.00 99.94500 2
24,985,694.44 24,986,250.00 555.56
57794 313588RJ FNMA
DISCOUNT 5.010 1/04/08 5.193 P-1
A-1+ 25,000,000.00 97.39758 2
24,349,395.83 24,349,395.75
======
--------------
-------------- --------------
-------------
5.181
50,000,000.00 49,335,090.27 49,335,645.75 555.56
2 ITEMS IN SUBTOTAL
FOR: AGENCY DISCOUNT NOTES (TYPE 35)
AGENCY
MBS (30/360) 12X 1 (
36)
--------------------------------
44831 3128GVTY FHLMC GOLD
E91467 5.000 9/01/17 5.064 Aaa AAA 4,169,535.63 97.00400 2
4,152,477.23 4,044,616.34 -107,860.89
55971 31392WB3 FNMA PAC(11) 2512
5.500 2/15/22 5.486 Aaa AAA 10,717,000.00 99.95391 2
10,742,858.44 10,712,060.53 -30,797.91
52288 31392WJJ FHLMC SEQ
2509 CA 5.000 9/15/15 5.023 Aaa AAA 2,307,119.60
99.64169 2 2,305,119.37 2,298,852.96 -6,266.41
58242 31392X2Y FHLMC PAC11
2517 O 5.000 5/15/16
5.135 Aaa
AAA
15,000,000.00 99.02817 2 14,866,470.38
14,854,225.50 -12,244.88
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 6/30/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH
6/30/07 ***
*** STATE AGENCIES II-DIVERSIFIED (3) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
52498 31392XB9 FHLMC PAC 11
2513 6.000 2/15/32 5.942 Aaa AAA 5,605,862.10 100.17273 2
5,658,144.43 5,615,545.11 -42,599.32
52532 31392XCA FHLMC PAC 11
2513 5.500 5/15/29 5.497 Aaa AAA 1,773,506.50 99.85046 2
1,776,507.33 1,770,854.40 -5,652.93
51054 31393KYD FHLMC SEQ
2574 HQ 4.500 11/15/16 4.583 Aaa AAA 3,652,841.92 98.13474 2
3,633,086.31 3,584,706.92 -48,379.39
57953 31393LWC FHLMC PAC(11) 2592
5.000 7/15/14 5.089 Aaa AAA 10,500,000.00 99.38909 2
10,450,934.24 10,435,854.45 -15,079.79