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
5/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE
AMORTIZED THROUGH 5/31/07 ***
*** 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 99.69500 2
9,963,581.12 9,969,500.00 5,918.88
58143 912828FG U S TREASURY NOTE 4.875
5/31/08 4.976 Aaa AAA
20,000,000.00 99.82000 2 19,980,229.17
19,964,000.00 -16,229.17
56649 912828FJ U S TREASURY NOTE 5.125
6/30/08 5.052 Aaa AAA
10,000,000.00 100.07000 2 10,007,162.72
10,007,000.00 -162.72
58151 912828FJ U S TREASURY NOTE 5.125
6/30/08 4.951 Aaa AAA
20,000,000.00 100.07000 2 20,035,050.06
20,014,000.00 -21,050.06
56655 912828FM U S TREASURY NOTE 5.000
7/31/08 5.046 Aaa AAA
10,000,000.00 99.96875 2 9,994,837.77 9,996,875.00 2,037.23
58197 912828FM U S TREASURY NOTE 5.000
7/31/08 4.956 Aaa AAA
20,000,000.00 99.96875 2 20,008,435.39
19,993,750.00 -14,685.39
58252 912828FV U S TREASURY NOTE 4.875 10/31/08 5.008 Aaa
AAA 10,000,000.00 99.81250 2
9,981,675.97 9,981,250.00 -425.97
58254 912828GB U S TREASURY NOTE 4.750 12/31/08 4.986 Aaa
AAA 10,000,000.00 99.63300 2
9,964,124.46 9,963,300.00 -824.46
58257 912828GJ U S TREASURY NOTE 4.750
2/28/09 4.951 Aaa AAA
10,000,000.00 99.66400 2 9,966,068.80 9,966,400.00 331.20
58195 912828GP U S TREASURY NOTE 4.500
4/30/09 4.858 Aaa AAA
20,000,000.00 99.21100 2 19,870,235.15
19,842,200.00 -28,035.15
======
--------------
-------------- --------------
-------------
4.967 140,000,000.00 139,771,400.61
139,698,275.00 -73,125.61
10 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 99.34800 2
9,999,205.88 9,934,800.00 -64,405.88
======
--------------
-------------- --------------
-------------
3.196 10,000,000.00 9,999,205.88 9,934,800.00 -64,405.88
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 99.43750 2 24,997,273.96
24,859,375.00 -137,898.96
====== -------------- --------------
-------------- -------------
4.010
25,000,000.00
24,997,273.96 24,859,375.00 -137,898.96
1 ITEM IN SUBTOTAL FOR: AGENCY STEP UP NOTE (30/360) 2X (TYPE
22)
AGENCY NOTES (30/360) 2X ( 23)
--------------------------------
34679 3128X1FN FHLMC 3.050 6/04/08
3.072 Aaa AAA 5,000,000.00 97.80800 2
4,998,990.15 4,890,400.00 -108,590.15
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
5/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE
AMORTIZED THROUGH 5/31/07 ***
*** STATE AGENCIES II-DIVERSIFIED (3)
***
==============================================================================================================================================
Pos#
Sec-Id Description RATE
Maturity YIELD MOO S&P
POSITION-SIZE # PRICE
$ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
34930 3128X1JB FHLMC 2.850 6/03/08
2.893 Aaa AAA 5,000,000.00 97.62200 2
4,997,984.67 4,881,100.00 -116,884.67
46981 3128X3H5 FHLMC 3.250 11/02/07 3.290 Aaa
AAA 10,000,000.00 99.19700 2
9,998,410.78 9,919,700.00 -78,710.78
52533 3128X4K6 FHLMC 5.250 3/07/08
5.277 Aaa AAA 13,480,000.00 99.88900 2
13,477,418.33 13,465,037.20 -12,381.13
52218 3128X4YF FHLMC 5.000 1/28/08
5.945 Aaa AAA 20,000,000.00 99.76900 2
19,999,482.74 19,953,800.00 -45,682.74
56888 3128X5D5 FHLMC 5.500 2/13/09
5.500 Aaa AAA 30,000,000.00 99.93900 2
30,000,000.00 29,981,700.00 -18,300.00
57109 3128X5J3 FHLMC 5.600 3/05/10
5.600 Aaa AAA 35,000,000.00 99.95100 2
35,000,000.00 34,982,850.00 -17,150.00
57923 3128X5K8 FHLMC 5.400 3/02/12
5.398 Aaa AAA 20,000,000.00 99.50100 2
20,000,000.00 19,900,200.00 -99,800.00
56077 3128X5NT FHLMC 5.350 11/14/11 5.354 Aaa
AAA 10,000,000.00 99.47600 2
9,997,717.45 9,947,600.00 -50,117.45
56121 3128X5NT FHLMC 5.350 11/14/11 5.375 Aaa
AAA 10,000,000.00 99.47600 2
9,989,562.30 9,947,600.00 -41,962.30
57172 3128X5R7 FHLMC 5.250 3/15/12
5.271 Aaa AAA 10,000,000.00 99.16200 2
9,991,345.94 9,916,200.00 -75,145.94
55962 3128X5TZ FHLMC 5.375 12/27/11 5.375 Aaa
AAA 10,000,000.00 99.68400 2
10,000,000.00 9,968,400.00 -31,600.00
56516 31331XMF FFCB 5.300 1/26/09
5.300 Aaa AAA 20,000,000.00 99.90625 2
20,000,000.00 19,981,250.00 -18,750.00
35447 31339XQ5 FHLB 3.000 6/30/08
3.014 Aaa AAA 5,000,000.00 97.59375 2
4,999,324.37 4,879,687.50 -119,636.87
46570 3133X8X5 FHLB 3.375 10/05/07 3.391 Aaa
AAA 10,000,000.00 99.37500 2
9,999,469.23 9,937,500.00 -61,969.23
49796 3133XBFJ FHLB 5.170 4/21/10
4.251 Aaa AAA 3,500,000.00 99.46875 2
3,500,000.00 3,481,406.25 -18,593.75
50762 3133XCQC FHLB 4.500 8/23/07
4.500 Aaa AAA 20,000,000.00 99.81250 2
20,000,000.00 19,962,500.00 -37,500.00
58158 3133XFLG FHLB 5.250 6/12/09
5.050 Aaa AAA 25,000,000.00 100.18750 2
25,094,355.53 25,046,875.00 -47,480.53
54732 3133XFSX FHLB 5.500 6/13/08
5.495 Aaa AAA 20,000,000.00 100.00000 2
20,000,000.00 20,000,000.00
54400 3133XFWQ FHLB 5.250 6/18/07
5.560 Aaa AAA 20,000,000.00 100.00000 2
19,997,169.04 20,000,000.00 2,830.96
54395 3133XG4M FHLB 5.875 6/29/09
5.882 Aaa AAA 20,000,000.00 100.06250 2
19,996,896.28 20,012,500.00 15,603.72
55352 3133XHHG FHLB 5.400 10/23/09 5.400 Aaa
AAA 24,865,000.00 99.96875 2
24,865,000.00 24,857,229.69 -7,770.31
56500 3133XHMU FHLB 5.350 11/13/08 5.345 Aaa
AAA 13,490,000.00 99.90625 2
13,490,000.00 13,477,353.13 -12,646.87
55973 3133XHX4 FHLB 5.375 11/28/11 5.397 Aaa
AAA 10,000,000.00 99.71875 2
9,991,186.21 9,971,875.00 -19,311.21
55791 3133XHY4 FHLB 5.500 12/07/09 5.500 Aaa
AAA 20,000,000.00 99.96875 2
20,000,000.00 19,993,750.00 -6,250.00
58087 3133XJ3D FHLB 4.875 6/04/08
5.183 Aaa AAA 25,000,000.00 99.59375 2
24,924,806.64 24,898,437.50 -26,369.14
56967 3133XJML FHLB 5.375 2/09/10
5.437 Aaa AAA 30,000,000.00 99.75000 2
29,953,662.05 29,925,000.00 -28,662.05
57246 3133XJXN FHLB 5.370 8/28/09
5.368 Aaa AAA 30,000,000.00 99.84375 2
30,000,000.00 29,953,125.00 -46,875.00
56970 3133XJYE FHLB 5.500 3/12/10
5.502 Aaa AAA 20,000,000.00 99.87500 2
19,999,073.91 19,975,000.00 -24,073.91
57112 3133XK2F FHLB 5.550 3/04/10
5.550 Aaa AAA 30,000,000.00 99.96875 2
30,000,000.00 29,990,625.00 -9,375.00
57220 3133XKA7 FHLB 5.500 3/19/09
5.500 Aaa AAA 43,000,000.00 100.00000 2
43,000,000.00 43,000,000.00
58016 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa
AAA 50,000,000.00 99.40625 2
49,896,536.38 49,703,125.00 -193,411.38
57925 3133XKRZ FHLB 5.500 11/09/09 5.500 Aaa
AAA 50,000,000.00 99.96875 2
50,000,000.00 49,984,375.00 -15,625.00
58089 3134A2DT FHLMC 5.750 4/15/08
5.224 Aaa AAA 25,000,000.00 100.34375 2
25,108,967.72 25,085,937.50 -23,030.22
56501 31359M4P FNMA 5.500 1/23/12
5.507 Aaa AAA 20,000,000.00 99.84375 2
19,994,052.14 19,968,750.00 -25,302.14
58062 31359M5C FNMA 5.375 2/12/10
5.374 Aaa AAA 25,000,000.00 99.87500 2
24,998,525.40 24,968,750.00 -29,775.40
58039 31359M5T FNMA 5.125 9/02/08
5.117 Aaa AAA 25,000,000.00 99.78125 2
25,000,481.13 24,945,312.50 -55,168.63
57367 31359M6L FNMA 5.390 3/27/12
5.392 Aaa AAA 25,000,000.00 99.59375 2
24,997,588.99 24,898,437.50 -99,151.49
58063 31359M7T FNMA 5.300 4/16/10
5.382 Aaa AAA 25,000,000.00 99.75000 2
24,981,721.07 24,937,500.00 -44,221.07
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
5/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE
AMORTIZED THROUGH 5/31/07 ***
*** STATE AGENCIES II-DIVERSIFIED (3)
***
==============================================================================================================================================
Pos#
Sec-Id Description RATE
Maturity YIELD MOO S&P
POSITION-SIZE # PRICE
$ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
54995 31359MF3 FNMA 5.000 7/25/08
5.220 Aaa AAA 15,000,000.00 99.65625 2
14,963,604.11 14,948,437.50 -15,166.61
57921 31359MP5 FNMA 5.250 12/03/07 5.273 Aaa
AAA 11,650,000.00 99.96875 2
11,648,187.17 11,646,359.38 -1,827.79
54487 31359MT4 FNMA 5.750 6/29/09
5.708 Aaa AAA 19,735,000.00 100.03125 2
19,735,526.27 19,741,167.19 5,640.92
56098 31359MU9 FNMA 5.400 2/01/08
5.166 Aaa AAA 10,000,000.00 100.03125 2
10,014,762.03 10,003,125.00 -11,637.03
55021 31359MX4 FNMA 5.000 9/15/08
5.047 Aaa AAA 10,000,000.00 99.62500 2
9,994,317.92 9,962,500.00 -31,817.92
58185 3137EAAT FHLMC 5.000 6/11/09
5.076 Aaa AAA 25,000,000.00 99.65625 2
24,963,098.60 24,914,062.50 -49,036.10
======
-------------- --------------
-------------- -------------
5.281
904,720,000.00
904,559,224.55 902,806,540.34
-1,752,684.21
45 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 98.13400 2 6,998,505.75 6,869,380.00 -129,125.75
52739 3133XCZL FHLB Float Qrtly 4.525
9/14/07 4.803 Aaa AAA
10,000,000.00 99.96400 2 9,992,200.54 9,996,400.00 4,199.46
======
--------------
-------------- --------------
-------------
4.275
17,000,000.00
16,990,706.29 16,865,780.00 -124,926.29
2 ITEMS IN SUBTOTAL FOR: AGENCY NOTES-VAR (30/360) 4X (TYPE
25)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
56471 313396GH FHLMC DISCOUNT 5.100
6/01/07 5.203 P-1 A-1+
20,000,000.00 100.00000 2 20,000,000.00
20,000,000.00
57794 313588RJ FNMA DISCOUNT 5.010
1/04/08 5.193 P-1 A-1+
25,000,000.00 96.98008 2 24,245,020.83
24,245,020.75
======
--------------
-------------- --------------
-------------
5.198 45,000,000.00 44,245,020.83 44,245,020.75
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
4,290,092.29 97.81100 2 4,272,398.94 4,196,182.17 -76,216.77
55971 31392WB3 FNMA PAC(11) 2512 5.500
2/15/22 5.486 Aaa AAA
10,717,000.00 100.08936 2 10,743,003.63
10,726,576.71 -16,426.92
52288 31392WJJ FHLMC SEQ 2509 CA 5.000
9/15/15 5.023 Aaa AAA
2,534,906.40 99.63967 2 2,532,686.68 2,525,772.37 -6,914.31
52498 31392XB9 FHLMC PAC 11 2513 6.000
2/15/32 5.942 Aaa AAA
5,723,760.70 100.47252 2 5,777,320.64 5,750,806.61 -26,514.03
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
5/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE
AMORTIZED THROUGH 5/31/07 ***
*** STATE AGENCIES II-DIVERSIFIED (3)
***
==============================================================================================================================================
Pos#
Sec-Id Description RATE
Maturity YIELD MOO S&P
POSITION-SIZE # PRICE
$ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
52532 31392XCA FHLMC PAC 11 2513 5.500
5/15/29 5.497 Aaa AAA
2,000,908.00 99.87465 2 2,004,306.31 1,998,399.86 -5,906.45
51054 31393KYD FHLMC SEQ 2574 HQ 4.500 11/15/16 4.583 Aaa
AAA 3,743,950.73 98.13315 2
3,723,525.02 3,674,056.79 -49,468.23
57953 31393LWC FHLMC PAC(11) 2592 5.000
7/15/14 5.089 Aaa AAA
10,500,000.00 99.32967 2 10,450,361.71
10,429,615.35 -20,746.36
49881 31394PVR FHLMC PAC 11 2743 4.000
4/15/21 4.021 Aaa AAA 4,031,680.30 99.06673 2
4,027,252.41 3,994,053.84 -33,198.57
58207 31395CUZ FHLMC SEQ 2827 AT 5.000
4/15/22 5.138 Aaa AAA
18,887,944.68 98.55200 2 18,629,116.20
18,614,447.24 -14,668.96
51053 31395FEC FHLMC PAC 11 2836 5.000
5/15/22 4.971 Aaa AAA
7,394,079.55 99.49622 2 7,424,257.84 7,356,829.66 -67,428.18
51157 31395HGR FHLMC EXCH,PAC 11 3.500 10/15/15 3.671 Aaa
AAA 324,287.00 99.67728 2 320,625.55 323,240.46 2,614.91
53323 31395HTQ FHLMC PAC 11 2894 5.500 12/15/24 5.508 Aaa
AAA 5,628,848.60 100.08323 2
5,630,090.13 5,633,533.49 3,443.36
51769 31395JSK FHLMC EXCH,PAC 11 5.000
9/15/24 5.017 Aaa AAA
5,622,296.10 99.38398 2 5,617,435.39 5,587,661.63 -29,773.76
58206 31395KFW FHLMC EXCH SEQ 289 5.000
4/15/19 5.168 Aaa AAA
13,880,384.04 98.33842 2 13,683,158.79
13,649,750.35 -33,408.44