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 *** *** LGIP (5) ***
==============================================================================================================================================
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)
--------------------------------
58193 912828FE U S TREASURY
NOTE 4.875 5/15/09 4.830 Aaa AAA 15,000,000.00 99.95313 2
15,011,657.07 14,992,968.75 -18,688.32
56650 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
56656 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
======
--------------
-------------- --------------
-------------
4.955 35,000,000.00 35,013,477.08 34,999,218.75 -14,258.33
3 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 99.29900 2
9,998,720.37 9,929,900.00 -68,820.37
55343 3128X4F4 FHLMC 5.000 2/08/08 5.255 Aaa AAA 24,800,000.00 99.77200 2
24,762,529.74 24,743,456.00 -19,073.74
57920 3128X4N3 FHLMC 4.875 9/05/07 5.314 Aaa AAA 12,000,000.00 99.91300 2
11,989,862.40 11,989,560.00 -302.40
56889 3128X5D5 FHLMC 5.500 2/13/09 5.500 Aaa AAA 15,000,000.00 99.97300 2
15,000,000.00 14,995,950.00 -4,050.00
56517 31331XMF FFCB 5.300 1/26/09 5.300 Aaa AAA 15,000,000.00 100.00000 2
15,000,000.00 15,000,000.00
46997 3133X95S FHLB 3.350 11/16/07 3.350 Aaa AAA 4,575,000.00 99.25000 2
4,575,000.00 4,540,687.50 -34,312.50
58601 3133XENK FHLB 4.750 8/08/07 5.306 Aaa AAA 15,000,000.00 99.93750 2
14,989,973.18 14,990,625.00 651.82
57940 3133XJZT FHLB 5.125 2/22/08 5.271 Aaa AAA 18,485,000.00 99.84375 2
18,467,045.66 18,456,117.19 -10,928.47
57221 3133XKA7 FHLB 5.500 3/19/09 5.500 Aaa AAA 25,000,000.00 99.96875 2
25,000,000.00 24,992,187.50 -7,812.50
58017 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa AAA 25,000,000.00 99.50000 2
24,951,158.24 24,875,000.00 -76,158.24
57926 3133XKRZ FHLB 5.500 11/09/09 5.500 Aaa AAA 20,000,000.00 99.90625 2
20,000,000.00 19,981,250.00 -18,750.00
57668 3134A4VD FHLMC 4.000 8/17/07 5.287 Aaa AAA 20,008,000.00 99.81250 2
19,974,624.36 19,970,485.00 -4,139.36
57979 3134A4VD FHLMC 4.000 8/17/07 5.299 Aaa AAA 15,120,000.00 99.81250 2
15,094,326.39 15,091,650.00 -2,676.39
57800 3134A4VF FHLMC 4.375 11/16/07 5.268 Aaa AAA 27,251,000.00 99.62500 2
27,161,522.75 27,148,808.75 -12,714.00
58040 31359M5T FNMA 5.125 9/02/08 5.117 Aaa AAA 15,000,000.00 99.81250 2
15,000,269.81 14,971,875.00 -28,394.81
54996 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
57667 31359MG5 FNMA 4.750 8/03/07 5.298 Aaa AAA 20,000,000.00 99.93750 2
19,989,366.67 19,987,500.00 -1,866.67
57676 31359MG5 FNMA 4.750 8/03/07 5.298 Aaa AAA 4,840,000.00 99.93750 2
4,837,426.73 4,836,975.00 -451.73
58602 31359MNP FNMA 4.250 7/15/07 5.465 Aaa AAA 5,286,000.00 99.96875 2
5,283,298.85 5,284,348.12 1,049.27
57675 31359MP5 FNMA 5.250 12/03/07 5.285 Aaa AAA 11,700,000.00 99.93750 2
11,697,792.26 11,692,687.50 -5,104.76
57839 31359MP5 FNMA 5.250 12/03/07 5.286 Aaa AAA 30,000,000.00 99.93750 2
29,994,428.57 29,981,250.00 -13,178.57
57922 31359MP5 FNMA 5.250 12/03/07 5.273 Aaa AAA 10,000,000.00 99.93750 2
9,998,696.26 9,993,750.00 -4,946.26
57916 31359MQM FNMA 3.250 1/15/08 5.260 Aaa AAA 10,000,000.00 98.87500 2
9,894,528.40 9,887,500.00 -7,028.40
58023 31359MU4 FNMA 5.500 1/15/08 5.281 Aaa AAA 10,000,000.00 100.06250 2
10,010,814.46 10,006,250.00 -4,564.46
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 *** ***
LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
56099 31359MU9 FNMA 5.400 2/01/08 5.166 Aaa AAA 20,000,000.00 100.00000 2
20,025,908.86 20,000,000.00 -25,908.86
55022 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
58067 3136F3CT FNMA 3.250 3/17/08 5.230 Aaa AAA 2,000,000.00 98.56250 2
1,972,746.58 1,971,250.00 -1,496.58
58613 3136F7KW FNMA 4.250 9/21/07 5.328 Aaa AAA 10,000,000.00 99.75000 2
9,975,004.14 9,975,000.00 -4.14
======
-------------- --------------
-------------- -------------
5.214
421,065,000.00
420,605,927.56 420,220,625.06
-385,302.50
28 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 99.96000 2
9,994,428.96 9,996,000.00 1,571.04
======
--------------
-------------- --------------
-------------
5.262 10,000,000.00 9,994,428.96 9,996,000.00 1,571.04
1 ITEM IN SUBTOTAL
FOR: AGENCY NOTES-VAR (30/360) 4X (TYPE
25)
AGENCY NOTE-VAR (30/360) (
29)
--------------------------------
35123 31339XVW FHLB Step Cpn 5.000 6/26/08 5.019 Aaa AAA 25,000,000.00 99.68750 2
24,995,368.94 24,921,875.00 -73,493.94
====== -------------- --------------
-------------- -------------
5.019
25,000,000.00 24,995,368.94 24,921,875.00 -73,493.94
1 ITEM IN SUBTOTAL
FOR: AGENCY NOTE-VAR (30/360) 2X (TYPE
29)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
58654 313384HQ FHLB
DISCOUNT 4.800 7/02/07 4.802 P-1
A-1+ 50,000,000.00 99.98667 2
49,993,333.33 49,993,333.50
58615 313384HR FHLB
DISCOUNT 5.050 7/03/07 5.055 P-1
A-1+ 15,000,000.00 99.97194 2
14,995,791.67 14,995,791.60
58629 313384HR FHLB
DISCOUNT 5.050 7/03/07 5.053 P-1
A-1+ 25,000,000.00 99.97194 2
24,992,986.11 24,992,986.00
58408 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
58657 313384HT FHLB
DISCOUNT 4.950 7/05/07 4.954 P-1
A-1+ 25,000,000.00 99.94500 2
24,986,250.00 24,986,250.00
57840 313384HZ FHLB
DISCOUNT 5.130 7/11/07 5.183 P-1
A-1+ 11,049,000.00 99.85750 2
11,033,255.18 11,033,255.18
58598 313396KB FHLMC
DISCOUNT 5.155 8/06/07 5.186 P-1
A-1+ 46,200,000.00 99.48450 2
45,961,839.00 45,961,839.00
57575 313396LC FHLMC
DISCOUNT 5.091 8/31/07 5.195 P-1
A-1+ 15,000,000.00 99.13736 2
14,870,603.75 14,870,603.70
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 *** ***
LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
57187 313396LN FHLMC
DISCOUNT 5.070 9/10/07 5.203 P-1
A-1+ 25,000,000.00 99.00008 2
24,750,020.83 24,750,020.75
58314 313396WF FHLMC
DISCOUNT 5.030 4/30/08 5.274 P-1
A-1+ 40,000,000.00 95.78000 2
38,300,977.78 38,312,000.00 11,022.22
57795 313588JP FNMA
DISCOUNT 5.125 7/25/07 5.192 P-1
A-1+ 30,000,000.00 99.65833 2
29,897,500.00 29,897,499.90
57994 313588JW FNMA DISCOUNT 5.120 8/01/07 5.183 P-1
A-1+ 20,000,000.00 99.55825 2
19,911,822.22 19,911,650.00 -172.22
58599 313588JW FNMA
DISCOUNT 5.155 8/01/07 5.182 P-1
A-1+ 77,769,000.00 99.55825 2
77,423,781.25 77,425,455.44 1,674.19
58600 313588JW FNMA
DISCOUNT 5.130 8/01/07 5.157 P-1
A-1+ 45,000,000.00 99.55825 2
44,801,212.50 44,801,212.50
58656 313588JX FNMA
DISCOUNT 5.100 8/02/07 5.125 P-1
A-1+ 50,000,000.00 99.54667 2
49,773,333.34 49,773,333.50
58655 313588JY FNMA
DISCOUNT 5.100 8/03/07 5.125 P-1
A-1+ 50,000,000.00 99.53250 2
49,766,250.00 49,766,250.00
58024 313588KD FNMA
DISCOUNT 5.120 8/08/07 5.186 P-1
A-1+ 27,625,000.00 99.45956 2
27,475,702.22 27,475,702.34
58037 313588KD FNMA
DISCOUNT 5.120 8/08/07 5.186 P-1
A-1+ 15,000,000.00 99.45956 2
14,918,933.33 14,918,933.40
57891 313588NJ FNMA
DISCOUNT 5.060 10/24/07 5.188 P-1 A-1+
10,000,000.00 98.38361 2 9,838,361.11 9,838,361.10
======
--------------
-------------- --------------
-------------
5.129 602,643,000.00 598,677,648.06
598,690,727.91 13,079.75
19 ITEMS IN SUBTOTAL
FOR: AGENCY DISCOUNT NOTES (TYPE 35)
AGENCY ZEROES & STRIPS (A ( 45)
--------------------------------
58475 31358DCM FNMA 2/15/08 5.324 Aaa AAA 20,000,000.00 96.78800 2
19,355,076.42 19,357,600.00 2,523.58
====== -------------- -------------- -------------- -------------
5.324
20,000,000.00 19,355,076.42 19,357,600.00 2,523.58
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 99.00800 2
20,664,893.48 20,654,058.88 -10,834.60
======
-------------- -------------- -------------- -------------
5.422
20,861,000.00 20,664,893.48 20,654,058.88 -10,834.60
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
3,333,333.81 100.00000 2 3,328,301.07 3,333,333.81 5,032.74
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 *** ***
LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
56926 02666QZD AMERICAN
HONDA FIN 5.320 2/20/08
5.289 Aa3 A+ 40,000,000.00 99.97800 2
40,000,000.00 39,991,200.00 -8,800.00
58426 02666QZU AMERICAN
HONDA FIN 5.370 6/12/09
5.354 Aa3 A+ 20,000,000.00 99.93600 2
20,000,000.00 19,987,200.00 -12,800.00
58476 06050MBL BANK OF
AMERICA CO 5.670 9/06/07
5.189 Aa1 AA 10,000,000.00 100.06900 2
10,006,063.50 10,006,900.00 836.50
46950 172967CR CITIGROUP
INC Floa 5.416 11/01/07 5.356 Aa1
AA 10,000,000.00 100.04200 2
10,000,000.00 10,004,200.00 4,200.00
47135 22237LPN COUNTRYWIDE
HOME L 5.610
11/16/07 5.547 A3 A
10,000,000.00 100.05900 2 10,000,000.00
10,005,900.00 5,900.00
52733 24422EPZ JOHN DEERE CAPITAL 5.406 4/15/08
5.393 A2 A 20,000,000.00 100.05200 2
20,000,000.00 20,010,400.00 10,400.00
57071 24422EQE JOHN DEERE
CAP Flo 5.400 9/01/09
5.391 A2 A 25,000,000.00 100.04300 2
25,000,000.00 25,010,750.00 10,750.00
57189 36962G2H GENERAL
ELECTRIC C 5.390 3/12/10
5.378 Aaa
AAA
35,000,000.00 100.04300 2 35,000,000.00
35,015,050.00 15,050.00
57545 36962G2M GENERAL
ELECTRIC C 5.470 4/10/12
5.468 Aaa
AAA
10,000,000.00 100.01700 2 10,000,000.00
10,001,700.00 1,700.00
48455 36962GP4 GENERAL ELEC
CAP C 5.400 3/04/08
5.369 Aaa
AAA
15,000,000.00 100.07600 2 15,000,000.00
15,011,400.00 11,400.00
55469 36962GP4 GENERAL
ELECTRIC C 5.400 3/04/08
5.325 Aaa
AAA
14,950,000.00 100.07600 2 14,955,803.81
14,961,362.00 5,558.19
45267 38141EJP GOLDMAN
SACHS GROU 5.474 7/02/07
5.414 Aa3 AA- 10,000,000.00 100.00000 2
10,000,000.00 10,000,000.00
58618 38141ELE GOLDMAN
SACHS GROU 5.460 6/28/10
5.448 Aa3 AA- 10,000,000.00 99.97300 2
10,000,000.00 9,997,300.00 -2,700.00
57955 46623ECW JPM FLOAT QRTLY 5.396 5/07/10 5.385 Aa2 AA- 50,000,000.00 99.99800 2 50,000,000.00