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 3/31/07 (SETTLEMENT BASIS)
CARRY-BASIS
IS BOOK-VALUE AMORTIZED THROUGH 3/31/07
STATE AGENCIES
II-DIVERSIFIED (3)
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE # PRICE $
CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ --------
------------------ ------ -------- ------ ---- ---- -------------- - ---------
- -------------- -------------- - -------------
--------------------------------
56660 912795ZE
====== -------------- -------------- -------------- -------------
5.081
25,000,000.00 24,888,555.55 24,888,555.50
1 ITEM IN SUBTOTAL FOR:
--------------------------------
57177 912828ER U S TREASURY NOTE 4.375 12/31/07 5.013 Aaa AAA 10,000,000.00 99.53900 2
9,953,151.30 9,953,900.00 748.70
56649 912828FJ U S TREASURY NOTE 5.125 6/30/08 5.052 Aaa AAA 10,000,000.00 100.35938 2
10,008,268.86 10,035,937.50 27,668.64
56655 912828FM U S TREASURY NOTE 5.000 7/31/08 5.046 Aaa AAA 10,000,000.00 100.26563 2
9,994,098.57 10,026,562.50 32,463.93
====== -------------- --------------
-------------- -------------
5.037
30,000,000.00 29,955,518.73 30,016,400.00 60,881.27
3 ITEMS IN SUBTOTAL FOR:
AGENCY MTN (30/360) 2X ( 21)
--------------------------------
33454 3128X0U4 FHLMC 3.170 9/28/07 3.196 Aaa AAA 10,000,000.00 99.00300 2
9,998,798.81 9,900,300.00 -98,498.81
======
--------------
-------------- --------------
-------------
3.196 10,000,000.00 9,998,798.81 9,900,300.00 -98,498.81
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 99.46875 2
24,996,882.70 24,867,187.50 -129,695.20
====== -------------- -------------- -------------- -------------
4.010
25,000,000.00 24,996,882.70 24,867,187.50 -129,695.20
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 3/31/07 (SETTLEMENT BASIS)
CARRY-BASIS
IS BOOK-VALUE AMORTIZED THROUGH 3/31/07
STATE AGENCIES
II-DIVERSIFIED (3)
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ --------
------------------ ------ -------- ------ ---- ---- -------------- - ---------
- -------------- -------------- - -------------
AGENCY NOTES (30/360) 2X (
23)
--------------------------------
34679 3128X1FN FHLMC 3.050 6/04/08 3.072 Aaa AAA 5,000,000.00 97.81700 2
4,998,823.21 4,890,850.00 -107,973.21
34930 3128X1JB FHLMC 2.850 6/03/08 2.893 Aaa AAA 5,000,000.00 97.59375 2
4,997,650.60 4,879,687.50 -117,963.10
46981 3128X3H5 FHLMC 3.250 11/02/07 3.290 Aaa AAA 10,000,000.00 98.87700 2
9,997,781.28 9,887,700.00 -110,081.28
53257 3128X43R FHLMC 5.500 4/24/09 5.511 Aaa AAA 20,000,000.00 100.00400 2
19,995,872.26 20,000,800.00 4,927.74
54752 3128X47H FHLMC 5.375 5/22/08 5.444 Aaa AAA 20,000,000.00 100.04000 2
19,983,946.48 20,008,000.00 24,053.52
52533 3128X4K6 FHLMC 5.250 3/07/08 5.277 Aaa AAA 13,480,000.00 99.99600 2
13,476,855.90 13,479,460.80 2,604.90
52218 3128X4YF FHLMC 5.000 1/28/08 5.004 Aaa AAA 20,000,000.00 99.84375 2
19,999,351.82 19,968,750.00 -30,601.82
56888 3128X5D5 FHLMC 5.500 2/13/09 5.500 Aaa AAA 30,000,000.00 99.99800 2
30,000,000.00 29,999,400.00 -600.00
57109 3128X5J3 FHLMC 5.600 3/05/10 5.600 Aaa AAA 35,000,000.00 99.98200 2
35,000,000.00 34,993,700.00 -6,300.00
56077 3128X5NT FHLMC 5.350 11/14/11 5.354 Aaa AAA 10,000,000.00 100.09700 2
9,997,631.87 10,009,700.00 12,068.13
56121 3128X5NT FHLMC 5.350 11/14/11 5.375 Aaa AAA 10,000,000.00 100.09700 2
9,989,170.96 10,009,700.00 20,529.04
57172 3128X5R7 FHLMC 5.250 3/15/12 5.271 Aaa AAA 10,000,000.00 99.75200 2
9,991,044.12 9,975,200.00 -15,844.12
55962 3128X5TZ FHLMC 5.375 12/27/11 5.375 Aaa AAA 10,000,000.00 99.87000 2
10,000,000.00 9,987,000.00 -13,000.00
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 97.62500 2
4,999,220.03 4,881,250.00 -117,970.03
46570 3133X8X5 FHLB 3.375 10/05/07 3.391 Aaa AAA 10,000,000.00 99.06250 2
9,999,212.27 9,906,250.00 -92,962.27
49796 3133XBFJ FHLB 5.170 4/21/10 4.251 Aaa AAA 3,500,000.00 99.68750 2
3,500,000.00 3,489,062.50 -10,937.50
50762 3133XCQC FHLB 4.500 8/23/07 4.500 Aaa AAA 20,000,000.00 99.68750 2
20,000,000.00 19,937,500.00 -62,500.00
52245 3133XDGL FHLB 4.250 4/16/07 4.802 Aaa AAA 10,000,000.00 99.96875 2
9,997,797.30 9,996,875.00 -922.30
54732 3133XFSX FHLB 5.500 6/13/08 5.495 Aaa AAA 20,000,000.00 100.06250 2
20,000,000.00 20,012,500.00 12,500.00
54400 3133XFWQ FHLB 5.250 6/18/07 5.560 Aaa AAA 20,000,000.00 100.00000 2
19,987,010.90 20,000,000.00 12,989.10
54395 3133XG4M FHLB 5.875 6/29/09 5.882 Aaa AAA 20,000,000.00 100.12500 2
19,996,646.84 20,025,000.00 28,353.16
55352 3133XHHG FHLB 5.400 10/23/09 5.400 Aaa AAA 24,865,000.00 100.00000 2
24,865,000.00 24,865,000.00
56500 3133XHMU FHLB 5.350 11/13/08 5.345 Aaa AAA 13,490,000.00 100.06250 2
13,490,000.00 13,498,431.25 8,431.25
55445 3133XHNX FHLB 5.600 11/18/09 5.600 Aaa AAA 20,000,000.00 100.03125 2
20,000,000.00 20,006,250.00 6,250.00
55973 3133XHX4 FHLB 5.375 11/28/11 5.397 Aaa AAA 10,000,000.00 99.87500 2
9,990,858.58 9,987,500.00 -3,358.58
55791 3133XHY4 FHLB 5.500 12/07/09 5.500 Aaa AAA 20,000,000.00 99.93750 2
20,000,000.00 19,987,500.00 -12,500.00
56967 3133XJML FHLB 5.375 2/09/10 5.437 Aaa AAA 30,000,000.00 99.81250 2
29,950,789.47 29,943,750.00 -7,039.47
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 99.93750 2
19,999,018.25 19,987,500.00 -11,518.25
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
56501 31359M4P FNMA 5.500 1/23/12 5.507 Aaa AAA 20,000,000.00 99.96875 2
19,993,838.34 19,993,750.00 -88.34
57367 31359M6L FNMA 5.390 3/27/12 5.392 Aaa AAA 25,000,000.00 99.84375 2
24,997,505.48 24,960,937.50 -36,567.98
54995 31359MF3 FNMA 5.000 7/25/08 5.220 Aaa AAA 15,000,000.00 100.03125 2
14,958,318.04 15,004,687.50 46,369.46
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 3/31/07 (SETTLEMENT BASIS)
CARRY-BASIS
IS BOOK-VALUE AMORTIZED THROUGH 3/31/07
STATE AGENCIES
II-DIVERSIFIED (3)
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ --------
------------------ ------ -------- ------ ---- ---- -------------- - ---------
- -------------- -------------- - -------------
55214 31359MN8 FNMA 5.550 5/18/09 5.324 Aaa AAA 11,000,000.00 100.03125 2
11,002,973.89 11,003,437.50 463.61
54487 31359MT4 FNMA 5.750 6/29/09 5.708 Aaa AAA 19,735,000.00 100.09375 2
19,736,672.78 19,753,501.56 16,828.78
56098 31359MU9 FNMA 5.400 2/01/08 5.166 Aaa AAA 10,000,000.00 100.21875 2
10,018,437.47 10,021,875.00 3,437.53
55021 31359MX4 FNMA 5.000 9/15/08 5.047 Aaa AAA 10,000,000.00 100.09375 2
9,993,583.58 10,009,375.00 15,791.42
53293 3136F7ZH FNMA 5.350 5/08/08 5.350 Aaa AAA 20,000,000.00 100.03125 2
20,000,000.00 20,006,250.00 6,250.00
====== -------------- -------------- -------------- -------------
5.289
699,070,000.00
698,905,011.72 698,311,881.11
-593,130.61
40 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 98.25200 2
6,998,272.03 6,877,640.00 -120,632.03
52739 3133XCZL FHLB Float Qrtly 4.525 9/14/07 4.803 Aaa AAA 10,000,000.00 100.00500 2
9,987,669.42 10,000,500.00 12,830.58
======
--------------
-------------- --------------
-------------
4.275 17,000,000.00 16,985,941.45 16,878,140.00 -107,801.45
2 ITEMS IN SUBTOTAL FOR: AGENCY NOTES-VAR (30/360) 4X (TYPE
25)
AGENCY NOTES (30/360) @ M ( 28)
--------------------------------
56907 3133XJYH FHLB 5.400 3/17/08 5.400 Aaa AAA 25,000,000.00 100.03125 2
25,000,000.00 25,007,812.50 7,812.50
====== -------------- --------------
-------------- -------------
5.400
25,000,000.00 25,000,000.00 25,007,812.50 7,812.50
1 ITEM IN SUBTOTAL FOR: AGENCY NOTES (30/360) @ MATURITY (TYPE 28)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
56435 313396FL FHLMC DISCOUNT 5.107 5/11/07 5.196 P-1
A-1+ 25,036,000.00 99.43256 2
24,893,934.61 24,893,934.72
56471 313396GH FHLMC DISCOUNT 5.100 6/01/07 5.203 P-1
A-1+ 20,000,000.00 99.13583 2
19,827,166.67 19,827,166.60
55227 313588DX FNMA DISCOUNT 5.030 4/04/07 5.161 P-1
A-1+ 30,000,000.00 99.95808 2
29,987,425.00 29,987,425.20
56605 313588EE FNMA DISCOUNT 5.135 4/11/07 5.191 P-1
A-1+ 15,875,000.00 99.85736 2
15,852,356.08 15,852,356.06
56438 313588FJ FNMA DISCOUNT 5.108 5/09/07 5.196 P-1
A-1+ 27,073,000.00 99.46082 2
26,927,028.40 26,927,028.34
56603 313588FQ FNMA DISCOUNT 5.110 5/15/07 5.191 P-1
A-1+ 15,000,000.00 99.37544 2
14,906,316.67 14,906,316.60
======
--------------
-------------- --------------
-------------
5.188
132,984,000.00
132,394,227.43 132,394,227.52
6 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 3/31/07 (SETTLEMENT BASIS)
CARRY-BASIS
IS BOOK-VALUE AMORTIZED THROUGH 3/31/07
STATE AGENCIES
II-DIVERSIFIED (3)
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ --------
------------------ ------ -------- ------ ---- ---- -------------- - ---------
- -------------- -------------- - -------------
AGENCY MBS (30/360) 12X 1 ( 36)
--------------------------------
44831 3128GVTY FHLMC GOLD E91467 5.000 9/01/17 5.064 Aaa AAA 4,500,308.23 98.92300 2
4,481,445.59 4,451,839.91 -29,605.68
55971 31392WB3 FNMA PAC(11)
2512 5.500 2/15/22
5.486 Aaa
AAA
10,717,000.00 101.14122 2 10,743,298.85
10,839,304.55 96,005.70
52288 31392WJJ FHLMC SEQ 2509 CA 5.000 9/15/15 5.023 Aaa AAA 3,004,115.20 99.57550 2
3,001,431.63 2,991,362.73 -10,068.90
52498 31392XB9 FHLMC PAC 11 2513 6.000 2/15/32 5.942 Aaa AAA 5,986,264.70 101.09753 2
6,042,659.63 6,051,965.75 9,306.12
52532 31392XCA FHLMC PAC 11 2513 5.500 5/15/29 5.497 Aaa AAA 2,528,207.00 99.78928 2
2,532,533.53 2,522,879.56 -9,653.97
51054 31393KYD FHLMC SEQ 2574 HQ 4.500 11/15/16 4.583 Aaa AAA 3,928,695.42 98.69451 2
3,906,883.38 3,877,406.69 -29,476.69
49881 31394PVR FHLMC PAC 11 2743 4.000 4/15/21 4.021 Aaa AAA 4,588,178.50 98.95898 2
4,583,078.76 4,540,414.64 -42,664.12
51053 31395FEC FHLMC PAC 11 2836 5.000 5/15/22 4.971 Aaa AAA 8,079,998.94 99.58752 2
8,113,345.05 8,046,670.56 -66,674.49
51157 31395HGR FHLMC EXCH,PAC
11 3.500 10/15/15 3.671 Aaa AAA 588,233.78 99.51509 2 581,459.68 585,381.38 3,921.70
53323 31395HTQ FHLMC PAC 11 2894 5.500 12/15/24 5.508 Aaa AAA 6,026,941.00 100.18132 2
6,028,282.99 6,037,869.05 9,586.06
51769 31395JSK FHLMC EXCH,PAC
11 5.000 9/15/24
5.017 Aaa
AAA
6,037,928.10 99.54360 2
6,032,657.64 6,010,371.00 -22,286.64
50270 31395KNR FHLMC SEQ,NAS
2903 4.500 1/15/18
4.521 Aaa
AAA
5,000,000.00 99.14971 2 4,995,259.94 4,957,485.50 -37,774.44
52234 31395L3Y FHLMC SEQ 2918 ME 5.000 10/15/25 5.024 Aaa AAA 3,768,223.36 99.42914 2
3,761,578.87 3,746,712.08 -14,866.79
54286 31395PNH FHLMC PAC 11 2948 5.000 10/15/25 5.126 Aaa AAA 10,760,882.25 99.53295 2
10,607,100.03 10,710,623.55 103,523.52
56101 31395T6X FNMA EXCH,SEQ
2965 5.000 10/15/22 5.138 Aaa AAA 18,770,334.75 99.17914 2
18,507,518.71 18,616,256.58 108,737.87
51770 31395TKK FHLMC EXCH,PAC-1
1 5.000 10/15/24 5.028 Aaa AAA 7,144,062.80 99.43997 2
7,128,987.61 7,104,053.91 -24,933.70
51645 31395TWE FHLMC SEQ 2970 YA 5.000
9/15/18 5.051 Aaa AAA 6,535,677.60 99.52133 2
6,512,799.01 6,504,393.27 -8,405.74
50327 31395WNR FHLMC SEQ 3000 BA 4.500 7/15/23 4.592 Aaa AAA 6,284,263.40 98.34481 2
6,224,930.21 6,180,246.90 -44,683.31
51222 31396C3C FHLMC MR,EXCH,SEQ 5.125 10/15/15 5.163 Aaa AAA 7,705,691.20 99.42599 2
7,690,997.82 7,661,459.76 -29,538.06
55303 31396NSD FHLMC PAC-1(11) 31 5.500
11/15/26 5.496 Aaa AAA 18,460,147.80 100.37752 2
18,492,563.16 18,529,838.55 37,275.39
55381 31396NSD FHLMC PAC-1(11) 31 5.500
11/15/26 5.498 Aaa AAA 9,230,073.90 100.37752 2
9,244,184.85 9,264,919.27 20,734.42
54382 31396RX8 FHLMC PAC-1 11 317 6.000 12/15/26 5.975 Aaa AAA 9,337,199.20 101.11469 2
9,376,651.78 9,441,280.03 64,628.25
55390 31397AED FNMA SC EXCH SEQ 3 5.500 8/15/13
5.544 Aaa
AAA
16,960,440.60 100.12717 2 16,930,028.28
16,982,009.19 51,980.91
56911 31397EUZ FHLMC MR SEQ R010 5.500 12/15/19 5.545 Aaa AAA 19,777,360.40 100.23356 2
19,713,075.41 19,823,552.40 110,476.99
======
--------------
-------------- -------------- -------------
5.268
195,720,228.13
195,232,752.41 195,478,296.81
245,544.40
24 ITEMS IN SUBTOTAL FOR: AGENCY MBS (30/360) 12X 14 DY DL (TYPE 36)
AGENCY MBS
(30/360) 12X 2 ( 39)
--------------------------------
51175 31392EU3 FNMA SEQ 2002-66 A 5.000 5/25/30
5.011 Aaa
AAA
1,115,438.94 99.36860 2 1,115,356.92 1,108,396.06 -6,960.86
52783 31392FC3 FNMA PAC 11 2002-7 5.500 12/25/15 5.504 Aaa AAA 6,022,223.70 99.77721 2
6,024,740.50 6,008,806.79 -15,933.71
49417 31392FST FNMA EXCH,PAC
11 2 4.250 3/25/15
4.254 Aaa
AAA
5,210,124.39 98.84502 2 5,212,107.44 5,149,948.50 -62,158.94
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 3/31/07 (SETTLEMENT BASIS)
CARRY-BASIS
IS BOOK-VALUE AMORTIZED THROUGH 3/31/07
STATE AGENCIES
II-DIVERSIFIED (3)
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ --------
------------------ ------ -------- ------ ---- ---- -------------- - ---------
- -------------- -------------- - -------------
55301 31392FT9 FNMA PAC(11)
2002- 5.000 5/25/14
5.109 Aaa
AAA
11,640,310.04 99.48771 2 11,571,931.60
11,580,677.90 8,746.30
51632 31392GPK FNMA SEQ 2002-89 C 5.000 4/25/16
5.029 Aaa
AAA
7,325,494.80 99.33688 2 7,315,516.01 7,276,917.98 -38,598.03
54269 31392HTR FNMA PAC 11 2003-1 5.500 4/25/28
5.580 Aaa
AAA
7,329,357.80 99.80280 2 7,262,924.27 7,314,904.31 51,980.04
32843 31392JQV FNMA SEQ 2003-16 N 3.500 2/25/15
3.468 Aaa
AAA
665,006.40 98.65230 2 666,840.98 656,044.11 -10,796.87
33994 31393BFL FNMA PAC 11 2003-3 3.500 3/25/33
3.545 Aaa
AAA
2,595,701.70 95.09019 2 2,580,195.99 2,468,257.68 -111,938.31
51066 31394BD3 FNMA SEQ 2004-101 5.000 2/25/18 4.993 Aaa AAA 6,372,879.96 99.44464 2
6,381,654.57 6,337,487.53 -44,167.04
55850 31394CN6 FNMA PAC(11)
2005- 5.000 6/25/27
5.030 Aaa
AAA
9,341,232.30 99.40694 2 9,316,786.84 9,285,833.19 -30,953.65
53060 31394EFZ FNMA PAC 11 2005-6 5.500 10/25/24 5.510 Aaa AAA 4,624,549.08 99.93626 2
4,624,549.08 4,621,601.39 -2,947.69
55659 31396LYT FNMA MR,EXCH
2006- 5.500 5/25/14
5.525 Aaa
AAA
9,110,705.50 100.12274 2 9,102,911.16 9,121,887.98
18,976.82
55664 31396LYT FNMA MR,EXCH
2006- 5.500 5/25/14
5.525 Aaa
AAA
16,854,805.16 100.12274 2 16,840,385.64
16,875,492.75 35,107.11
57349 31396P6D FNMA MR,EXCH
2007- 5.450 12/25/20 5.469 Aaa AAA 20,000,000.00 99.91400 2
19,982,829.61 19,982,800.00 -29.61
44123 31400HYD FNMA FNCI CL 68840 5.000
2/01/18 4.952 Aaa AAA 4,712,710.27 98.88200 2
4,734,544.11 4,660,022.17 -74,521.94
44125 31401EBE FNMA FNCI CL 70573 5.000
6/01/18 4.953 Aaa AAA 2,424,061.45 98.88200 2
2,435,361.63 2,396,960.44 -38,401.19
======
--------------
-------------- --------------
-------------
5.220 115,344,601.49 115,168,636.35
114,846,038.78 -322,597.57
16 ITEMS IN SUBTOTAL FOR: AGENCY MBS (30/360) 12X 24 DY DL (TYPE 39)
AGENCY MBS (30/360) 12X 1 ( 40)
--------------------------------
55923 31392GQA FNMA PAC(11)
2002- 5.250 10/25/30 5.296 Aaa AAA 18,992,295.50 100.11078 2
18,893,336.42 19,013,335.16 119,998.74
54270 38373XMP GNMA AD,SEQ 2002-
6.000 4/16/13 6.010 Aaa AAA 4,407,131.26 99.95056 2
4,407,131.26 4,404,952.37 -2,178.89
57313 38374GKR GNMA EXCH,AD,
SEQ 5.000 8/16/29
5.072 Aaa
AAA
19,703,916.40 99.18568 2 19,531,633.61
19,543,463.47 11,829.86
======
--------------
-------------- --------------
-------------
5.267
43,103,343.16 42,832,101.29 42,961,751.00 129,649.71
3 ITEMS IN SUBTOTAL FOR: AGENCY MBS (30/360) 12X 15 DY DL (TYPE 40)
CORPORATE NOTES (30/360) (
50)
--------------------------------
57307 06406HBB BANK OF
57288 459200DU IBM Corp 4.950 3/22/11 4.981 A1
A+ 18,000,000.00 99.68000 2
17,980,156.76 17,942,400.00 -37,756.76
======
--------------
-------------- --------------
-------------
5.008
31,000,000.00 30,954,672.92 30,880,780.00 -73,892.92
2 ITEMS IN SUBTOTAL FOR: CORPORATE NOTES (30/360) 2X (TYPE
50)
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 3/31/07 (SETTLEMENT BASIS)
CARRY-BASIS
IS BOOK-VALUE AMORTIZED THROUGH 3/31/07
STATE AGENCIES
II-DIVERSIFIED (3)
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ --------
------------------ ------ -------- ------ ---- ---- -------------- - ---------
- -------------- -------------- - -------------
CORPORATE NOTES-VAR (ACT/ ( 52)
--------------------------------
56925 02666QZD AMERICAN HONDA FIN 5.320 2/20/08
5.335 Aa3 A+ 37,000,000.00 99.95500 2
37,000,000.00 36,983,350.00 -16,650.00
44722 172967CL CITIGROUP INC Floa 5.408
6/04/07 5.347 Aa1 AA-
10,000,000.00 100.01200 2 10,000,000.00
10,001,200.00 1,200.00
57070 24422EQE JOHN DEERE CAP Flo 5.400
9/01/09 5.391 A2 A
20,000,000.00 99.99200 2 20,000,000.00
19,998,400.00 -1,600.00
57188 36962G2H GENERAL ELECTRIC C 5.370 3/12/10
5.358 Aaa
AAA
32,700,000.00 99.89600 2 32,700,000.00
32,665,992.00 -34,008.00
44990 36962GJ6 GENERAL ELECTRIC C 5.490 6/22/09
5.476 Aaa
AAA
10,000,000.00 100.21300 2 10,000,000.00
10,021,300.00 21,300.00
45266 38141EJP GOLDMAN SACHS GROU 5.485 7/02/07
5.485 Aa3 AA- 10,000,000.00 100.03800 2
10,000,000.00 10,003,800.00 3,800.00
49845 45920QEU IBM CORP Float Qrt 5.350
6/28/07 5.234 A1 A+
10,000,000.00 100.01563 2 10,000,000.00
10,001,562.50 1,562.50
56008 52517PQ4 LEHMAN BROTHERS HO 5.400
12/23/08 5.385 A1 A+
20,000,000.00 99.96875 2 20,000,000.00
19,993,750.00 -6,250.00
======
--------------
-------------- --------------
-------------
5.368
149,700,000.00 149,700,000.00 149,669,354.50 -30,645.50
8 ITEMS IN SUBTOTAL FOR: CORPORATE NOTES-VAR (ACT/360)4X (TYPE 52)
COMMERCIAL PAPER ( 53)
--------------------------------
56931 0075N3RB ADVANTAGE ASSET 5.280 4/11/07 5.319 P-1 A-1 16,280,000.00