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
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)
--------------------------------
57444 TPCG0420 CITIGROUP GLOBAL M 5.200
4/02/07 5.200 Aaa AAA 38,000,000.00 100.00000 2
38,000,000.00 38,000,000.00
====== -------------- -------------- -------------- -------------
5.200
38,000,000.00 38,000,000.00 38,000,000.00
1 ITEM IN SUBTOTAL FOR: TRI-PARTY REPO-TSY COLLATERAL (TYPE
7)
AGENCY NOTES-VAR (30/360) ( 8)
--------------------------------
51919 3128X4XS FHLMC Float Monthl 4.600
6/28/07 4.600 Aaa AAA 20,000,000.00 99.97100 2
20,000,000.00 19,994,200.00 -5,800.00
51734 3133XBK5 FHLB Float Monthly 4.275
4/27/07 4.443 Aaa AAA 10,000,000.00 99.97600 2
9,997,664.67 9,997,600.00 -64.67
======
--------------
-------------- --------------
-------------
4.548 30,000,000.00 29,997,664.67 29,991,800.00 -5,864.67
2 ITEMS IN SUBTOTAL FOR: AGENCY NOTES-VAR (30/360) 12X (TYPE
8)
--------------------------------
56661 912795ZE
====== -------------- --------------
-------------- -------------
5.081
25,000,000.00
24,888,555.55 24,888,555.50
1
ITEM IN SUBTOTAL FOR:
--------------------------------
57178 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
56650 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
56656 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:
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
LGIP (5)
==============================================================================================================================================
Pos#
Sec-Id Description RATE
Maturity YIELD MOO S&P
POSITION-SIZE # PRICE
$ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ --------
------------------ ------ -------- ------ ---- ---- -------------- - ---------
- -------------- -------------- - -------------
AGENCY MTN (30/360) 2X (
21)
--------------------------------
57365 3133XBLJ FHLB 4.020 4/20/07
5.417 Aaa
AAA
20,000,000.00 99.93750 2 19,984,958.33
19,987,500.00 2,541.67
======
--------------
-------------- --------------
-------------
5.417
20,000,000.00 19,984,958.33
19,987,500.00 2,541.67
1 ITEM IN SUBTOTAL FOR: AGENCY MTN (30/360) 2X (TYPE 21)
AGENCY STEP UP NOTE (30/3 ( 22)
--------------------------------
49622 3128X4BS FHLMC Step Cpn 4.550
6/15/07 4.550 Aaa AAA 5,800,000.00 99.84700 2
5,800,000.00 5,791,126.00 -8,874.00
====== -------------- --------------
-------------- -------------
4.550
5,800,000.00 5,800,000.00
5,791,126.00 -8,874.00
1 ITEM IN SUBTOTAL FOR: AGENCY STEP UP NOTE (30/360) 2X (TYPE
22)
AGENCY NOTES (30/360) 2X ( 23)
--------------------------------
46982 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
54753 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
55343 3128X4F4 FHLMC 5.000 2/08/08
5.255 Aaa
AAA
24,800,000.00 99.90625 2 24,747,170.30
24,776,750.00 29,579.70
56889 3128X5D5 FHLMC 5.500 2/13/09
5.500 Aaa
AAA
15,000,000.00 99.99800 2 15,000,000.00
14,999,700.00 -300.00
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 98.87500 2
4,575,000.00 4,523,531.25 -51,468.75
52246 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
54733 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
54398 3133XFUS FHLB 5.250 6/08/07
5.577 Aaa
AAA
20,000,000.00 100.00000 2 19,988,041.23
20,000,000.00 11,958.77
54399 3133XFWQ FHLB 5.250
6/18/07 5.570 Aaa AAA 20,000,000.00 100.00000 2
19,986,604.55 20,000,000.00 13,395.45
54750 3133XFWQ FHLB 5.250 6/18/07
5.366 Aaa
AAA
27,245,000.00 100.00000 2 27,237,916.30
27,245,000.00 7,083.70
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
54996 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
56099 31359MU9 FNMA 5.400 2/01/08
5.166 Aaa
AAA
20,000,000.00 100.21875 2 20,036,874.94
20,043,750.00 6,875.06
55022 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
53294 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
====== -------------- --------------
-------------- -------------
5.253
276,620,000.00
276,503,034.00 276,514,118.75
11,084.75
16 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 3/31/07 (SETTLEMENT BASIS)
CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 3/31/07
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 10,000,000.00 100.00500 2
9,987,669.42 10,000,500.00 12,830.58
======
--------------
-------------- --------------
-------------
4.803
10,000,000.00
9,987,669.42 10,000,500.00 12,830.58
1 ITEM IN SUBTOTAL FOR: AGENCY NOTES-VAR (30/360) 4X (TYPE
25)
AGENCY NOTES (30/360) @ M ( 28)
--------------------------------
56908 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 NOTE-VAR (30/360) ( 29)
--------------------------------
35123 31339XVW FHLB Step Cpn 3.750
6/26/08 3.770 Aaa AAA 25,000,000.00 99.53125 2
24,994,201.56 24,882,812.50 -111,389.06
======
--------------
-------------- --------------
-------------
3.770
25,000,000.00
24,994,201.56 24,882,812.50 -111,389.06
1 ITEM IN SUBTOTAL FOR: AGENCY NOTE-VAR (30/360) 2X (TYPE
29)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
57360 313384EP FHLB DISCOUNT 5.160
4/20/07 5.178 P-1 A-1+
22,662,000.00 99.72767 2 22,600,283.82
22,600,283.90
56600 313396EK FHLMC DISCOUNT 5.135
4/16/07 5.195 P-1 A-1+
15,650,000.00 99.78604 2 15,616,515.52
15,616,515.57
56470 313396GN FHLMC DISCOUNT 5.090
6/06/07 5.197 P-1 A-1+
25,000,000.00 99.06683 2 24,766,708.33
24,766,708.25
57192 313396GT FHLMC DISCOUNT 5.145
6/11/07 5.213 P-1 A-1+
30,000,000.00 98.98529 2 29,695,587.50
29,695,587.60
57341 313396HA FHLMC DISCOUNT 5.130
6/18/07 5.192 P-1 A-1+
16,000,000.00 98.88850 2 15,822,160.00
15,822,160.00
57187 313396LN FHLMC DISCOUNT 5.070
9/10/07 5.203 P-1 A-1+
25,000,000.00 97.71850 2 24,429,625.00
24,429,625.00
55226 313588DX FNMA DISCOUNT 5.030
4/04/07 5.161 P-1 A-1+
48,000,000.00 99.95808 2 47,979,880.00
47,979,880.32
56436 313588FJ FNMA DISCOUNT 5.108
5/09/07 5.196 P-1 A-1+
25,000,000.00 99.46082 2 24,865,205.56
24,865,205.50
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
LGIP (5)
==============================================================================================================================================
Pos#
Sec-Id Description RATE
Maturity YIELD MOO S&P
POSITION-SIZE # PRICE
$ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ --------
------------------ ------ -------- ------ ---- ---- -------------- - ---------
- -------------- -------------- - -------------
56604 313588FQ FNMA DISCOUNT 5.110
5/15/07 5.191 P-1 A-1+
25,000,000.00 99.37544 2 24,843,861.11
24,843,861.00
56434 313588FR FNMA DISCOUNT 5.105
5/16/07 5.198 P-1 A-1+
26,843,000.00 99.36188 2 26,671,708.11
26,671,708.11
57237 313588GV FNMA DISCOUNT 5.135
6/13/07 5.203 P-1 A-1+
43,050,000.00 98.95874 2 42,601,735.90
42,601,735.85
======
-------------- --------------
-------------- -------------
5.192
302,205,000.00
299,893,270.85 299,893,271.10
11 ITEMS IN SUBTOTAL FOR: AGENCY DISCOUNT NOTES (TYPE 35)
CORPORATE NOTES-VAR (ACT/ ( 52)
--------------------------------
35864 00878833
56926 02666QZD AMERICAN HONDA FIN 5.320
2/20/08 5.335 Aa3 A+
40,000,000.00 99.95500 2 40,000,000.00
39,982,000.00 -18,000.00
44723 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
46950 172967CR CITIGROUP INC Floa 5.420
11/01/07 5.441 Aa1 AA-
10,000,000.00 100.06900 2 10,000,000.00
10,006,900.00 6,900.00
53159 20825CAL CONNOCOPHILLIPS Fl 5.360
4/11/07 5.360 A1 A-
15,000,000.00 100.00000 2 15,000,000.00
15,000,000.00
47135 22237LPN COUNTRYWIDE HOME L 5.610 11/16/07 5.631 A3
A 10,000,000.00 100.08700 2
10,000,000.00 10,008,700.00 8,700.00
52733 24422EPZ JOHN DEERE CAPITAL 5.410
4/15/08 5.410 A2 A
20,000,000.00 100.04200 2 20,000,000.00
20,008,400.00 8,400.00
57071 24422EQE JOHN DEERE CAP Flo 5.400 9/01/09
5.391 A2 A 25,000,000.00 99.99200 2
25,000,000.00 24,998,000.00 -2,000.00
57189 36962G2H GENERAL ELECTRIC C 5.370
3/12/10 5.358 Aaa AAA 35,000,000.00 99.89600 2
35,000,000.00 34,963,600.00 -36,400.00
44991 36962GJ5 GENERAL ELECTRIC C 5.490
6/22/07 5.371 Aaa AAA 10,000,000.00 100.02900 2
10,000,000.00 10,002,900.00 2,900.00
48455 36962GP4 GENERAL ELEC CAP C 5.388
3/04/08 5.363 Aaa AAA 15,000,000.00 100.09000 2
15,000,000.00 15,013,500.00 13,500.00
55469 36962GP4 GENERAL ELECTRIC C 5.388
3/04/08 5.315 Aaa AAA 14,950,000.00 100.09000 2
14,957,942.06 14,963,455.00 5,512.94
45267 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
49846 45920QEU IBM CORP Float Qrt 5.350 6/28/07
5.234 A1 A+ 20,000,000.00 100.01563 2
20,000,000.00 20,003,125.00 3,125.00
56009 52517PQ4 LEHMAN BROTHERS HO 5.400 12/23/08 5.385 A1
A+ 25,000,000.00 99.96875 2
25,000,000.00 24,992,187.50 -7,812.50
48463 617446YC MORGAN STANLEY Flo 5.485 1/18/08
5.455 Aa3 A+ 10,000,000.00 100.08900 2
10,002,317.02 10,008,900.00 6,582.98
====== -------------- --------------
-------------- -------------
5.381
274,116,667.11
274,118,971.11 274,123,334.61
4,363.50
16 ITEMS IN SUBTOTAL FOR: CORPORATE NOTES-VAR (ACT/360)4X (TYPE
52)
COMMERCIAL PAPER ( 53)
--------------------------------
57331 0075N3R2 ADVANTAGE ASSET 5.310
4/02/07 5.315 P-1 A-1
1,523,000.00 99.98525 2 1,522,775.36 1,522,775.36
57164 0454E3R9 ASSET ONE SECURITI 5.275
4/09/07 5.300 NR A-1
15,838,000.00 99.88278 2 15,819,434.34
15,819,434.38
57131 0454E3RC ASSET ONE SECURITI 5.275
4/12/07 5.304 NR A-1
19,380,000.00 99.83882 2 19,348,763.21
19,348,763.12
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
LGIP (5)
==============================================================================================================================================
Pos#
Sec-Id Description RATE
Maturity YIELD MOO S&P
POSITION-SIZE # PRICE
$ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ --------
------------------ ------ -------- ------ ---- ---- -------------- - ---------
- -------------- -------------- - -------------
57201 0454E3RD ASSET ONE SECURITI 5.290
4/13/07 5.314 NR A-1
4,895,000.00 99.82367 2 4,886,368.49 4,886,368.50
57330 0454E3RG ASSET ONE SECURITI 5.285
4/16/07 5.301 NR A-1
30,937,000.00 99.77979 2 30,868,874.15
30,868,874.25
57402 04821URW ATLANTIC ASSET SEC 5.300
4/30/07 5.325 P-1 A-1
3,392,000.00 99.57306 2 3,377,518.04 3,377,518.03
57404 36959JR4 GENERAL ELECTRIC C 5.350
4/04/07 5.355 P-1 A-1+
2,750,000.00 99.95542 2 2,748,773.96 2,748,773.97
56598 36959JRG GENERAL ELECTRIC C 5.190
4/16/07 5.251 P-1 A-1+
15,000,000.00 99.78375 2 14,967,562.50
14,967,562.50
56526 64072MRG
56991 64072MRG
56757 64072MRP
56741 64072MS4
57029 64072MSW
57358 70017FR3 PARK AVE REC 5.280
4/03/07 5.285 P-1 A-1
14,000,000.00 99.97067 2 13,995,893.33
13,995,893.38
56850
57378
56778 88602URD
56767 9026X1T6 UBS AMERICAS INC 5.220
6/06/07 5.312 P-1 A-1+
30,000,000.00 99.04300 2 29,712,900.00
29,712,900.00
====== -------------- --------------
-------------- -------------
5.312
387,093,000.00
385,778,166.00 385,778,009.74
-156.20
18 ITEMS IN SUBTOTAL FOR: COMMERCIAL PAPER (TYPE 53)
CORPORATE MTN-VAR (ACT/36 ( 57)
--------------------------------
55889 36962GT6 GENERAL ELECTRIC C 5.360 12/12/08 5.313 Aaa AAA 30,000,000.00 100.00300 2
30,019,548.74 30,000,900.00 -18,648.74
======
--------------
-------------- --------------
-------------
5.313 30,000,000.00 30,019,548.74 30,000,900.00 -18,648.74
1 ITEM IN SUBTOTAL FOR: CORPORATE MTN-VAR (ACT/360) 12X (TYPE
57)
CORPORATE MTN-VAR (ACT/36 ( 58)
--------------------------------
55443 02666QYR AMERICAN HONDA FIN 5.330 10/30/07 5.330 Aa3
A+ 25,000,000.00 99.97800 2
25,000,000.00 24,994,500.00 -5,500.00
56737 02666QZA AMERICAN HONDA FIN 5.350
8/05/08 5.343 Aa3 A+
40,000,000.00 100.00900 2 40,000,000.00
40,003,600.00 3,600.00
46914 59018YUN MERRILL LYNCH & CO 5.485 10/19/07 5.487 NR
AA- 15,000,000.00 100.08500 2
14,999,863.96 15,012,750.00 12,886.04
48503 949746JP WELLS
48583 949746JP WELLS
======
--------------
-------------- --------------
-------------
5.364 94,650,000.00 94,650,174.17 94,667,589.00 17,414.83
5 ITEMS IN SUBTOTAL FOR: CORPORATE MTN-VAR (ACT/360) 4X (TYPE
58)
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
LGIP (5)
==============================================================================================================================================
Pos#
Sec-Id Description RATE
Maturity YIELD MOO S&P
POSITION-SIZE # PRICE
$ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------
------ -------- ------ ---- ---- -------------- - --------- - --------------
-------------- - -------------
ASSET BACKED COMMERCIAL P ( 135)
--------------------------------
57004 04529UR5
56498 04529URK
56798 06945MR9 BARTON CAPITAL LLC 5.250
4/09/07 5.297 P-1 A-1+
5,541,000.00 99.88333 2 5,534,535.50 5,534,535.48
57225 09151SRC BISHOPS GATE RESID 5.285
4/12/07 5.308 P-1 A-1
22,000,000.00 99.83851 2 21,964,473.06
21,964,473.08
57278 09151SRP BISHOPS GATE RESID 5.300
4/23/07 5.327 P-1 A-1
13,500,000.00 99.67611 2 13,456,275.00
13,456,274.99
57328 09151SRS BISHOPS GATE RESID 5.305
4/26/07 5.329 P-1 A-1
10,000,000.00 99.63056 2 9,963,159.73 9,963,055.60 -104.13
57353 09151SRS BISHOPS GATE RESID 5.320
4/26/07 5.344 P-1 A-1
10,500,000.00 99.63056 2 10,461,208.33
10,461,208.38
57235 10487HB2 BRAHMS FUNDING COR 5.280
5/14/07 5.328 P-1 A-1
20,000,000.00 99.36933 2 19,873,866.66
19,873,866.60
57416 10487HE7 BRAHMS FUNDING COR 5.270
6/01/07 5.320 P-1 A-1
15,000,000.00 99.10703 2 14,866,054.17
14,866,054.20
56863 10487HYQ BRAHMS FUNDING COR 5.280
4/18/07 5.329 P-1 A-1
80,000,000.00 99.75067 2 79,800,533.33
79,800,533.60
57160 10487HZV BRAHMS FUNDING COR 5.265
5/04/07 5.309 P-1 A-1
20,000,000.00 99.51738 2 19,903,475.00
19,903,475.00
57229 2284K1RG CROWN POINT CAPITA 5.290
4/16/07 5.316 P-1 A-1
4,216,000.00 99.77958 2 4,206,707.23 4,206,707.22
56586 2338F1RQ DAIMLERCHRYS REV A 5.240
4/24/07 5.310 P-1 A-1+
10,000,000.00 99.66522 2 9,966,522.22 9,966,522.20
57026 2338G1RP DAIMLERCHRYS REV A 5.260
4/23/07 5.303 P-1 A-1+
1,000,000.00 99.67856 2 996,785.56 996,785.56
57090 3686M1R5 GEMINI SEC CORP 5.265
4/05/07 5.292 P-1 A-1+
16,000,000.00 99.94150 2 15,990,640.00
15,990,640.00
56577 3686M1RP GEMINI SEC CORP 5.240
4/23/07 5.310 P-1 A-1+
21,250,000.00 99.67978 2 21,181,952.78 21,181,952.82
56499 38362WRH GOVCO INCORPORATED 5.240
4/17/07 5.310 P-1 A-1+
28,750,000.00 99.76711 2 28,683,044.44
28,683,044.41
55228 39789MR2 GREYHAWK FUNDING L 5.165
4/02/07 5.302 P-1 A-1+
50,000,000.00 99.98539 2 49,992,826.39
49,992,694.50 -131.89
57006 39789MR3 GREYHAWK FUNDING L 5.265
4/03/07 5.295 P-1 A-1+
15,000,000.00 99.97075 2 14,995,612.50
14,995,612.50
56467 39789MRC GREYHAWK FUNDING L 5.240
4/12/07 5.310 P-1 A-1+
25,000,000.00 99.83989 2 24,959,972.22
24,959,972.25
56584 39789MRQ GREYHAWK FUNDING L 5.250
4/24/07 5.320 P-1 A-1+
20,000,000.00 99.66458 2 19,932,916.67
19,932,916.60
57044 39789MT4 GREYHAWK FUNDING L 5.235
6/04/07 5.310 P-1 A-1+
20,000,000.00 99.06933 2 19,813,866.66
19,813,866.60
56933 49833MRG KITTY HAWK FUNDING 5.250
4/16/07 5.292 P-1 A-1+
18,478,000.00 99.77917 2 18,437,579.37
18,437,194.48 -384.89
56934 49833MRG KITTY HAWK FUNDING 5.250
4/16/07 5.292 P-1 A-1+
12,267,000.00 99.77917 2 12,240,165.94
12,239,910.42 -255.52
57354 49833MRG KITTY HAWK FUNDING 5.300
4/16/07 5.316 P-1 A-1+
8,871,000.00 99.77917 2 8,851,409.87 8,851,409.90
57363 53127URG LIBERTY STREET FDG 5.280
4/16/07 5.296 P-1 A-1
17,451,000.00 99.78000 2 17,412,607.80
17,412,607.80
56957 53127USE LIBERTY STREET FDG 5.235
5/14/07 5.298 P-1 A-1
8,800,000.00 99.37471 2 8,744,974.33 8,744,974.30
57336 53974UR3 LOCKHART FUNDING 5.320
4/03/07 5.326 P-1 A-1
59,564,000.00 99.97044 2 59,546,395.53
59,546,395.26
57387 53974UR5 LOCKHART FUNDING 5.350
4/05/07 5.356 P-1 A-1
2,876,000.00 99.94056 2 2,874,290.38 2,874,290.39
56858 53974USF LOCKHART FUNDING 5.250
5/15/07 5.321 P-1 A-1
20,000,000.00 99.35833 2 19,871,666.67
19,871,666.60
57334 6191F0M7 MITTEN GMAC MORTGA 5.315
4/12/07 5.328 P-1 A-1+
45,000,000.00 99.83760 2 44,926,918.76
44,926,918.65
57335 6191F0M8 MITTEN GMAC MORTGA 5.315
4/10/07 5.327 P-1 A-1+
50,000,000.00 99.86713 2 49,933,562.51 49,933,562.50
57379 65184UR4 NEWPORT FUNDING 5.300
4/04/07 5.305 P-1 A-1+
10,000,000.00 99.95583 2 9,995,583.33 9,995,583.30
56951 67983URD OLD LINE FUNDING L 5.255
4/13/07 5.294 P-1 A-1+
1,206,000.00 99.82500 2 1,203,887.49 1,203,889.50 2.01
57128 67983URD OLD LINE FUNDING L 5.250
4/13/07 5.279 P-1 A-1+
6,413,000.00 99.82500 2 6,401,777.25 6,401,777.25
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
LGIP (5)
==============================================================================================================================================
Pos#
Sec-Id Description RATE
Maturity YIELD MOO S&P
POSITION-SIZE # PRICE
$ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ --------
------------------ ------ -------- ------ ---- ---- -------------- - ---------
- -------------- -------------- - -------------
57093 7528A3RB RANGER FUNDING CO 5.250
4/11/07 5.282 P-1 A-1+
60,000,000.00 99.85417 2 59,912,500.00
59,912,500.20
57412 82124MR2 SHEFFIELD RECEIVAB 5.260
5/25/07 5.304 P-1 A-1+
30,000,000.00 99.21100 2 29,763,300.00
29,763,300.00
57391 82124MRB SHEFFIELD RECEIVAB 5.300
4/11/07 5.311 P-1 A-1+
46,459,000.00 99.85278 2 46,390,602.03
46,390,602.13