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 ***
*** 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)
--------------------------------
58262 TPMS0271 MIZUHO SECURITIES 5.030
6/01/07 5.030 Aaa AAA
25,000,000.00 100.00000 2 25,000,000.00
25,000,000.00
====== -------------- -------------- -------------- -------------
5.030
25,000,000.00
25,000,000.00 25,000,000.00
1 ITEM IN SUBTOTAL FOR: TRI-PARTY REPO-TSY COLLATERAL (TYPE
7)
AGENCY NOTES-VAR (30/360) ( 8)
--------------------------------
51919 3128X4XS FHLMC Float Monthl 4.890
6/28/07 4.890 Aaa AAA
20,000,000.00 99.99000 2 20,000,000.00
19,998,000.00 -2,000.00
======
--------------
-------------- --------------
-------------
4.890
20,000,000.00
20,000,000.00 19,998,000.00 -2,000.00
1 ITEM IN SUBTOTAL FOR: AGENCY NOTES-VAR (30/360) 12X (TYPE
8)
U.S. TREASURY NOTES & BON (
12)
--------------------------------
57178 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
58193 912828FE U S TREASURY NOTE 4.875
5/15/09 4.830 Aaa AAA
30,000,000.00 99.93000 2 30,024,336.70
29,979,000.00 -45,336.70
56650 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
56656 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
======
--------------
-------------- --------------
-------------
4.934 60,000,000.00 59,989,918.31 59,952,375.00 -37,543.31
4 ITEMS IN SUBTOTAL FOR: U.S. TREASURY NOTES & BONDS (TYPE
12)
AGENCY STEP UP NOTE (30/3 ( 22)
--------------------------------
57487 3128X3ME FHLMC 3.755 6/01/07
5.317 Aaa AAA 50,000,000.00 100.00000 2
50,000,000.00 50,000,000.00
49622 3128X4BS FHLMC Step Cpn 4.550
6/15/07 4.550 Aaa AAA
5,800,000.00 99.97100 2 5,800,000.00 5,798,318.00 -1,682.00
======
--------------
-------------- --------------
-------------
5.237 55,800,000.00 55,800,000.00 55,798,318.00 -1,682.00
2 ITEMS 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
5/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 5/31/07 ***
*** LGIP (5) ***
==============================================================================================================================================
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)
--------------------------------
46982 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
55343 3128X4F4 FHLMC 5.000 2/08/08
5.255 Aaa AAA 24,800,000.00 99.77900 2
24,757,466.19 24,745,192.00 -12,274.19
57920 3128X4N3 FHLMC 4.875 9/05/07
5.314 Aaa AAA 12,000,000.00 99.91700 2
11,985,254.40 11,990,040.00 4,785.60
56889 3128X5D5 FHLMC 5.500 2/13/09
5.500 Aaa AAA 15,000,000.00 99.93900 2
15,000,000.00 14,990,850.00 -9,150.00
56517 31331XMF FFCB 5.300 1/26/09
5.300 Aaa AAA 15,000,000.00 99.90625 2
15,000,000.00 14,985,937.50 -14,062.50
46997 3133X95S FHLB 3.350 11/16/07 3.350 Aaa
AAA 4,575,000.00 99.15625 2
4,575,000.00 4,536,398.44 -38,601.56
54733 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
54398 3133XFUS FHLB 5.250 6/08/07
5.577 Aaa AAA 20,000,000.00 100.00000 2
19,998,768.95 20,000,000.00 1,231.05
54399 3133XFWQ FHLB 5.250 6/18/07
5.570 Aaa AAA 20,000,000.00 100.00000 2
19,997,080.48 20,000,000.00 2,919.52
54750 3133XFWQ FHLB 5.250 6/18/07
5.366 Aaa AAA 27,245,000.00 100.00000 2
27,243,456.12 27,245,000.00 1,543.88
57940 3133XJZT FHLB 5.125 2/22/08
5.271 Aaa AAA 18,485,000.00 99.84375 2
18,464,763.33 18,456,117.19 -8,646.14
57221 3133XKA7 FHLB 5.500 3/19/09
5.500 Aaa AAA 25,000,000.00 100.00000 2
25,000,000.00 25,000,000.00
58017 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa
AAA 25,000,000.00 99.40625 2
24,948,268.19 24,851,562.50 -96,705.69
57926 3133XKRZ FHLB 5.500 11/09/09 5.500 Aaa
AAA 20,000,000.00 99.96875 2
20,000,000.00 19,993,750.00 -6,250.00
57668 3134A4VD FHLMC 4.000 8/17/07
5.287 Aaa AAA 20,008,000.00 99.75000 2
19,953,320.76 19,957,980.00 4,659.24
57979 3134A4VD FHLMC 4.000 8/17/07
5.299 Aaa AAA 15,120,000.00 99.75000 2
15,077,938.98 15,082,200.00 4,261.02
57800 3134A4VF FHLMC 4.375 11/16/07 5.268 Aaa
AAA 27,251,000.00 99.59375 2
27,142,071.18 27,140,292.81 -1,778.37
58040 31359M5T FNMA 5.125 9/02/08
5.117 Aaa AAA 15,000,000.00 99.78125 2
15,000,288.68 14,967,187.50 -33,101.18
54996 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
57667 31359MG5 FNMA 4.750 8/03/07
5.298 Aaa AAA 20,000,000.00 99.90625 2
19,979,700.00 19,981,250.00 1,550.00
57676 31359MG5 FNMA 4.750 8/03/07
5.298 Aaa AAA 4,840,000.00 99.90625 2
4,835,087.40 4,835,462.50 375.10
57675 31359MP5 FNMA 5.250 12/03/07 5.285 Aaa
AAA 11,700,000.00 99.96875 2
11,697,364.96 11,696,343.75 -1,021.21
57839 31359MP5 FNMA 5.250 12/03/07 5.286 Aaa
AAA 30,000,000.00 99.96875 2
29,993,350.23 29,990,625.00 -2,725.23
57922 31359MP5 FNMA 5.250 12/03/07 5.273 Aaa
AAA 10,000,000.00 99.96875 2
9,998,443.93 9,996,875.00 -1,568.93
57916 31359MQM FNMA 3.250 1/15/08
5.260 Aaa AAA 10,000,000.00 98.75000 2
9,878,547.86 9,875,000.00 -3,547.86
58023 31359MU4 FNMA 5.500 1/15/08
5.281 Aaa AAA 10,000,000.00 100.09375 2
10,012,453.01 10,009,375.00 -3,078.01
56099 31359MU9 FNMA 5.400 2/01/08
5.166 Aaa AAA 20,000,000.00 100.03125 2
20,029,524.05 20,006,250.00 -23,274.05
55022 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
58007 31359MZR FNMA 4.840 6/22/07
5.296 Aaa AAA 10,000,000.00 99.96875 2
9,996,864.32 9,996,875.00 10.68
58067 3136F3CT FNMA 3.250 3/17/08
5.230 Aaa AAA 2,000,000.00 98.40625 2
1,969,601.95 1,968,125.00 -1,476.95
======
--------------
-------------- --------------
-------------
5.257
488,024,000.00 487,490,947.78
487,129,326.69 -361,621.09
30 ITEMS IN SUBTOTAL FOR: AGENCY NOTES (30/360) 2X (TYPE
23)
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 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos#
Sec-Id Description RATE
Maturity YIELD MOO S&P
POSITION-SIZE # PRICE
$ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
AGENCY NOTES-VAR (30/360) ( 25)
--------------------------------
52740 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
======
-------------- -------------- -------------- -------------
4.803
10,000,000.00
9,992,200.54 9,996,400.00 4,199.46
1 ITEM IN SUBTOTAL FOR: AGENCY NOTES-VAR (30/360) 4X (TYPE
25)
AGENCY NOTE-VAR (30/360) ( 29)
--------------------------------
35123 31339XVW FHLB Step Cpn 3.750
6/26/08 3.770 Aaa AAA
25,000,000.00 99.56250 2 24,994,984.09
24,890,625.00 -104,359.09
======
--------------
-------------- --------------
-------------
3.770
25,000,000.00
24,994,984.09 24,890,625.00 -104,359.09
1 ITEM IN SUBTOTAL FOR: AGENCY NOTE-VAR (30/360) 2X (TYPE
29)
AGENCY
DISCOUNT NOTES ( 35)
--------------------------------
57840 313384HZ FHLB DISCOUNT 5.130
7/11/07 5.183 P-1 A-1+
11,049,000.00 99.43000 2 10,986,020.70
10,986,020.70
56470 313396GN FHLMC DISCOUNT 5.090
6/06/07 5.197 P-1 A-1+
25,000,000.00 99.93000 2 24,982,326.39
24,982,500.00 173.61
57192 313396GT FHLMC DISCOUNT 5.145
6/11/07 5.213 P-1 A-1+
30,000,000.00 99.85708 2 29,957,125.00
29,957,124.90
57341 313396HA FHLMC DISCOUNT 5.130
6/18/07 5.192 P-1 A-1+
16,000,000.00 99.75775 2 15,961,240.00
15,961,240.00
57575 313396LC FHLMC DISCOUNT 5.091
8/31/07 5.195 P-1 A-1+
15,000,000.00 98.71311 2 14,806,966.25
14,806,966.20
57187 313396LN FHLMC DISCOUNT 5.070
9/10/07 5.203 P-1 A-1+
25,000,000.00 98.57758 2 24,644,395.83
24,644,395.75
57237 313588GV FNMA DISCOUNT 5.135
6/13/07 5.203 P-1 A-1+
43,050,000.00 99.82883 2 42,976,312.75
42,976,312.61
57795 313588JP FNMA DISCOUNT 5.125
7/25/07 5.192 P-1 A-1+
30,000,000.00 99.23125 2 29,769,375.00
29,769,375.00
57994 313588JW FNMA DISCOUNT 5.120
8/01/07 5.183 P-1 A-1+
20,000,000.00 99.13244 2 19,826,488.89
19,826,488.80
58024 313588KD FNMA DISCOUNT 5.120
8/08/07 5.186 P-1 A-1+
27,625,000.00 99.03289 2 27,357,835.56
27,357,835.59
58037 313588KD FNMA DISCOUNT 5.120
8/08/07 5.186 P-1 A-1+
15,000,000.00 99.03289 2 14,854,933.33
14,854,933.35
57891 313588NJ FNMA DISCOUNT 5.060 10/24/07 5.188 P-1
A-1+ 10,000,000.00 97.96195 2
9,796,194.45 9,796,194.50
======
--------------
-------------- --------------
-------------
5.196 267,724,000.00 265,919,214.15
265,919,387.40 173.61
12 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
5/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 5/31/07 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos#
Sec-Id Description RATE
Maturity YIELD MOO S&P
POSITION-SIZE # PRICE
$ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
CORPORATE NOTES-VAR (ACT/ ( 52)
--------------------------------
35864 00878833 MERIDIAN FUNDING C 5.675
6/09/08 5.792 Aaa AAA
4,166,667.11 100.00000 2 4,159,827.57 4,166,667.11 6,839.54
56926 02666QZD AMERICAN HONDA FIN 5.320
2/20/08 5.289 Aa3 A+
40,000,000.00 99.97300 2 40,000,000.00
39,989,200.00 -10,800.00
44723 172967CL CITIGROUP INC Floa 5.408
6/04/07 5.347 Aa1 AA
10,000,000.00 100.00000 2 10,000,000.00
10,000,000.00
46950 172967CR CITIGROUP INC Floa 5.416 11/01/07 5.356 Aa1
AA 10,000,000.00 100.05100 2
10,000,000.00 10,005,100.00 5,100.00
47135 22237LPN COUNTRYWIDE HOME L 5.610 11/16/07 5.547 A3
A 10,000,000.00 100.07000 2
10,000,000.00 10,007,000.00 7,000.00
52733 24422EPZ JOHN DEERE CAPITAL 5.406
4/15/08 5.393 A2 A
20,000,000.00 100.04900 2 20,000,000.00
20,009,800.00 9,800.00
57071 24422EQE JOHN DEERE CAP Flo 5.400
9/01/09 5.391 A2 A
25,000,000.00 100.03000 2 25,000,000.00
25,007,500.00 7,500.00
57189 36962G2H GENERAL ELECTRIC C 5.370
3/12/10 5.358 Aaa AAA
35,000,000.00 100.03300 2 35,000,000.00
35,011,550.00 11,550.00
57545 36962G2M GENERAL ELECTRIC C 5.470
4/10/12 5.468 Aaa AAA
10,000,000.00 100.00800 2 10,000,000.00
10,000,800.00 800.00
44991 36962GJ5 GENERAL ELECTRIC C 5.490
6/22/07 5.371 Aaa AAA
10,000,000.00 100.00400 2 10,000,000.00
10,000,400.00 400.00
48455 36962GP4 GENERAL ELEC CAP C 5.388
3/04/08 5.363 Aaa AAA
15,000,000.00 100.08300 2 15,000,000.00
15,012,450.00 12,450.00
55469 36962GP4 GENERAL ELECTRIC C 5.388
3/04/08 5.315 Aaa AAA
14,950,000.00 100.08300 2 14,956,508.73
14,962,408.50 5,899.77
45267 38141EJP GOLDMAN SACHS GROU 5.474
7/02/07 5.414 Aa3 AA-
10,000,000.00 100.00800 2 10,000,000.00
10,000,800.00 800.00
49846 45920QEU IBM CORP Float Qrt 5.350
6/28/07 5.234 A1 A+
20,000,000.00 100.00100 2 20,000,000.00
20,000,200.00 200.00
57955 46623ECW JPM Float Qrtly 5.396 5/07/10 5.385 Aa2 AA- 50,000,000.00 99.98300 2 50,000,000.00 49,991,500.00