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 4/30/07 (SETTLEMENT
BASIS)
CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 4/30/07
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 24,993,034.72 24,993,034.75
1 ITEM IN SUBTOTAL FOR:
--------------------------------
57177 912828ER U S TREASURY NOTE 4.375 12/31/07 5.013 Aaa AAA 10,000,000.00 99.57813 2
9,958,280.72 9,957,812.50 -468.22
56649 912828FJ U S TREASURY NOTE 5.125 6/30/08 5.052 Aaa AAA 10,000,000.00 100.28900 2
10,007,724.85 10,028,900.00 21,175.15
56655 912828FM U S TREASURY NOTE 5.000 7/31/08 5.046 Aaa AAA 10,000,000.00 100.20313 2
9,994,462.11 10,020,312.50 25,850.39
====== -------------- --------------
-------------- -------------
5.037
30,000,000.00 29,960,467.68 30,007,025.00 46,557.32
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 99.19800 2
9,998,999.01 9,919,800.00 -79,199.01
======
--------------
-------------- --------------
-------------
3.196
10,000,000.00
9,998,999.01 9,919,800.00 -79,199.01
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 99.56250 2
24,997,075.12 24,890,625.00 -106,450.12
======
--------------
-------------- --------------
-------------
4.010
25,000,000.00 24,997,075.12 24,890,625.00 -106,450.12
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 4/30/07 (SETTLEMENT
BASIS)
CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 4/30/07
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 97.89063 2
4,998,905.31 4,894,531.25 -104,374.06
34930 3128X1JB FHLMC 2.850 6/03/08 2.893 Aaa AAA 5,000,000.00 97.68300 2
4,997,814.90 4,884,150.00 -113,664.90
46981 3128X3H5 FHLMC 3.250 11/02/07 3.290 Aaa AAA 10,000,000.00 98.99700 2
9,998,090.87 9,899,700.00 -98,390.87
54752 3128X47H FHLMC 5.375 5/22/08 5.444 Aaa AAA 20,000,000.00 100.01563 2
19,985,101.41 20,003,125.00 18,023.59
52533 3128X4K6 FHLMC 5.250 3/07/08 5.277 Aaa AAA 13,480,000.00 99.96400 2
13,477,132.50 13,475,147.20 -1,985.30
52218 3128X4YF FHLMC 5.000 1/28/08 5.945 Aaa AAA 20,000,000.00 99.80700 2
19,999,416.21 19,961,400.00 -38,016.21
56888 3128X5D5 FHLMC 5.500 2/13/09 5.500 Aaa AAA 30,000,000.00 100.01300 2
30,000,000.00 30,003,900.00 3,900.00
57109 3128X5J3 FHLMC 5.600 3/05/10 5.600 Aaa AAA 35,000,000.00 100.02300 2
35,000,000.00 35,008,050.00 8,050.00
56077 3128X5NT FHLMC 5.350 11/14/11 5.354 Aaa AAA 10,000,000.00 100.09900 2
9,997,673.96 10,009,900.00 12,226.04
56121 3128X5NT FHLMC 5.350 11/14/11 5.375 Aaa AAA 10,000,000.00 100.09900 2
9,989,363.42 10,009,900.00 20,536.58
57172 3128X5R7 FHLMC 5.250 3/15/12 5.271 Aaa AAA 10,000,000.00 99.76400 2
9,991,192.56 9,976,400.00 -14,792.56
55962 3128X5TZ FHLMC 5.375 12/27/11 5.375 Aaa AAA 10,000,000.00 99.91600 2
10,000,000.00 9,991,600.00 -8,400.00
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 97.75000 2
4,999,271.35 4,887,500.00 -111,771.35
46570 3133X8X5 FHLB 3.375 10/05/07 3.391 Aaa AAA 10,000,000.00 99.25000 2
9,999,338.64 9,925,000.00 -74,338.64
49796 3133XBFJ FHLB 5.170 4/21/10 4.251 Aaa AAA 3,500,000.00 99.75000 2
3,500,000.00 3,491,250.00 -8,750.00
50762 3133XCQC FHLB 4.500 8/23/07 4.500 Aaa AAA 20,000,000.00 99.75000 2
20,000,000.00 19,950,000.00 -50,000.00
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
19,992,006.71 20,000,000.00 7,993.29
54395 3133XG4M FHLB 5.875 6/29/09 5.882 Aaa AAA 20,000,000.00 100.09375 2
19,996,769.52 20,018,750.00 21,980.48
55352 3133XHHG FHLB 5.400 10/23/09 5.400 Aaa AAA 24,865,000.00 100.03125 2
24,865,000.00 24,872,770.31 7,770.31
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 20,000,000.00 100.00000 2
20,000,000.00 20,000,000.00
55973 3133XHX4 FHLB 5.375 11/28/11 5.397 Aaa AAA 10,000,000.00 99.96875 2
9,991,019.71 9,996,875.00 5,855.29
55791 3133XHY4 FHLB 5.500 12/07/09 5.500 Aaa AAA 20,000,000.00 100.00000 2
20,000,000.00 20,000,000.00
56967 3133XJML FHLB 5.375 2/09/10 5.437 Aaa AAA 30,000,000.00 99.87500 2
29,952,202.22 29,962,500.00 10,297.78
57246 3133XJXN FHLB 5.370 8/28/09 5.368 Aaa AAA 30,000,000.00 99.90625 2
30,000,000.00 29,971,875.00 -28,125.00
56970 3133XJYE FHLB 5.500 3/12/10 5.502 Aaa AAA 20,000,000.00 100.00000 2
19,999,045.62 20,000,000.00 954.38
57112 3133XK2F FHLB 5.550 3/04/10 5.550 Aaa AAA 30,000,000.00 100.03125 2
30,000,000.00 30,009,375.00 9,375.00
57220 3133XKA7 FHLB 5.500 3/19/09 5.500 Aaa AAA 43,000,000.00 100.03125 2
43,000,000.00 43,013,437.50 13,437.50
56501 31359M4P FNMA 5.500 1/23/12 5.507 Aaa AAA 20,000,000.00 100.03125 2
19,993,943.48 20,006,250.00 12,306.52
57367 31359M6L FNMA 5.390 3/27/12 5.392 Aaa AAA 25,000,000.00 99.87500 2
24,997,546.55 24,968,750.00 -28,796.55
54995 31359MF3 FNMA 5.000 7/25/08 5.220 Aaa AAA 15,000,000.00 99.96875 2
14,960,917.74 14,995,312.50 34,394.76
55214 31359MN8 FNMA 5.550 5/18/09 5.324 Aaa AAA 11,000,000.00 100.00000 2
11,001,075.66 11,000,000.00 -1,075.66
54487 31359MT4 FNMA 5.750 6/29/09 5.708 Aaa AAA 19,735,000.00 100.09375 2
19,736,108.92 19,753,501.56 17,392.64
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 4/30/07 (SETTLEMENT
BASIS)
CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 4/30/07
STATE AGENCIES II-DIVERSIFIED (3)
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ --------
------------------ ------ -------- ------ ---- ---- -------------- - ---------
- -------------- -------------- - -------------
56098 31359MU9 FNMA 5.400 2/01/08 5.166 Aaa AAA 10,000,000.00 100.12500 2
10,016,629.87 10,012,500.00 -4,129.87
55021 31359MX4 FNMA 5.000 9/15/08 5.047 Aaa AAA 10,000,000.00 100.03125 2
9,993,944.73 10,003,125.00 9,180.27
53293 3136F7ZH FNMA 5.350 5/08/08 5.350 Aaa AAA 20,000,000.00 100.06250 2
20,000,000.00 20,012,500.00 12,500.00
====== -------------- --------------
-------------- -------------
5.318
669,070,000.00
668,919,511.86 668,480,006.57
-439,505.29
38 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 98.28500 2
6,998,386.97 6,879,950.00 -118,436.97
52739 3133XCZL FHLB Float Qrtly 4.525 9/14/07 4.803 Aaa AAA 10,000,000.00 99.97500 2
9,989,897.84 9,997,500.00 7,602.16
======
--------------
-------------- --------------
-------------
4.275
17,000,000.00 16,988,284.81 16,877,450.00 -110,834.81
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 25,000,000.00 100.00000 2
25,000,000.00 25,000,000.00
======
-------------- -------------- -------------- -------------
5.400
25,000,000.00 25,000,000.00 25,000,000.00
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 99.85814 2
25,000,483.65 25,000,483.68
56471 313396GH FHLMC DISCOUNT 5.100 6/01/07 5.203 P-1
A-1+ 20,000,000.00 99.56083 2
19,912,166.67 19,912,166.60
56438 313588FJ FNMA DISCOUNT 5.108 5/09/07 5.196 P-1
A-1+ 27,073,000.00 99.88649 2
27,042,269.14 27,042,269.17
56603 313588FQ FNMA DISCOUNT 5.110 5/15/07 5.191 P-1
A-1+ 15,000,000.00 99.80128 2
14,970,191.67 14,970,191.70
57794 313588RJ FNMA DISCOUNT 5.010 1/04/08 5.193 P-1
A-1+ 25,000,000.00 96.54867 2
24,137,166.66 24,137,166.75
======
--------------
-------------- --------------
-------------
5.196
112,109,000.00
111,062,277.79 111,062,277.90
5 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 4/30/07 (SETTLEMENT
BASIS)
CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 4/30/07
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 4,359,898.18 98.88600 2
4,341,768.09 4,311,328.91 -30,439.18
55971 31392WB3 FNMA PAC(11)
2512 5.500 2/15/22
5.486 Aaa
AAA
10,717,000.00 101.19954 2 10,743,153.66
10,845,554.70 102,401.04
52288 31392WJJ FHLMC SEQ 2509 CA 5.000 9/15/15 5.023 Aaa AAA 2,798,143.20 99.63781 2
2,795,667.90 2,788,008.61 -7,659.29
52498 31392XB9 FHLMC PAC 11 2513 6.000 2/15/32 5.942 Aaa AAA 5,871,637.00 101.36473 2
5,926,769.41 5,951,768.99 24,999.58
52532 31392XCA FHLMC PAC 11 2513 5.500 5/15/29 5.497 Aaa AAA 2,308,661.00 99.81758 2
2,312,597.15 2,304,449.54 -8,147.61
51054 31393KYD FHLMC SEQ 2574 HQ 4.500 11/15/16 4.583 Aaa AAA 3,836,552.59 98.67640 2
3,815,433.87 3,785,771.98 -29,661.89
49881 31394PVR FHLMC PAC 11 2743 4.000 4/15/21 4.021 Aaa AAA 4,309,194.60 99.02608 2
4,304,432.97 4,267,226.49 -37,206.48
51053 31395FEC FHLMC PAC 11 2836 5.000 5/15/22 4.971 Aaa AAA 7,736,134.38 99.60208 2
7,767,887.94 7,705,350.75 -62,537.19
51157 31395HGR FHLMC EXCH,PAC
11 3.500 10/15/15 3.671 Aaa AAA 468,430.40 99.62411 2 463,087.85 466,669.62 3,581.77
53323 31395HTQ FHLMC PAC 11 2894 5.500 12/15/24 5.508 Aaa AAA 5,827,377.90 100.28281 2
5,828,669.43 5,843,858.31 15,188.88
51769 31395JSK FHLMC EXCH,PAC
11 5.000 9/15/24
5.017 Aaa
AAA
5,819,745.90 99.58892 2 5,814,689.79 5,795,822.09 -18,867.70
50270 31395KNR FHLMC SEQ,NAS
2903 4.500 1/15/18
4.521 Aaa
AAA
5,000,000.00 99.23926 2 4,995,296.01 4,961,963.00 -33,333.01
52234 31395L3Y FHLMC SEQ 2918 ME 5.000 10/15/25 5.024 Aaa AAA 3,699,748.65 99.39336 2
3,693,253.80 3,677,304.49 -15,949.31
54286 31395PNH FHLMC PAC 11 2948 5.000 10/15/25 5.126 Aaa AAA 10,493,622.45 99.62874 2
10,344,323.95 10,454,663.83 110,339.88
56101 31395T6X FNMA EXCH,SEQ
2965 5.000 10/15/22 5.138 Aaa AAA 18,441,867.00 99.17414 2
18,185,014.84 18,289,563.00 104,548.16
51770 31395TKK FHLMC EXCH,PAC-1
1 5.000 10/15/24 5.028 Aaa AAA 6,951,139.10 99.53257 2
6,936,539.69 6,918,647.39 -17,892.30
51645 31395TWE FHLMC SEQ 2970 YA 5.000
9/15/18 5.051 Aaa AAA 6,425,741.40 99.48148 2
6,403,408.90 6,392,422.65 -10,986.25
50327 31395WNR FHLMC SEQ 3000 BA 4.500 7/15/23 4.592 Aaa AAA 6,144,007.80 98.31166 2
6,086,291.37 6,040,276.06 -46,015.31
51222 31396C3C FHLMC MR,EXCH,SEQ 5.125 10/15/15 5.163 Aaa AAA 7,573,512.80 99.39460 2
7,559,210.36 7,527,662.75 -31,547.61
55303 31396NSD FHLMC PAC-1(11) 31 5.500
11/15/26 5.496 Aaa AAA 18,244,256.20 100.54623 2
18,276,158.39 18,343,911.80 67,753.41
55381 31396NSD FHLMC PAC-1(11) 31 5.500
11/15/26 5.498 Aaa AAA 9,122,128.10 100.54623 2
9,136,015.65 9,171,955.90 35,940.25
54382 31396RX8 FHLMC PAC-1 11 317 6.000
12/15/26 5.975 Aaa AAA 9,231,183.20 101.22167 2
9,270,025.26 9,343,957.80 73,932.54
55390 31397AED FNMA SC EXCH SEQ 3 5.500 8/15/13
5.544 Aaa
AAA
16,539,049.80 100.26014 2 16,509,775.25
16,582,074.48 72,299.23
56911 31397EUZ FHLMC MR SEQ R010 5.500 12/15/19 5.545 Aaa AAA 19,512,382.60 100.39321 2
19,449,368.88 19,589,107.24 139,738.36
57690 31397GB9 FHLMC GOLD SERIES 5.000 4/01/37 5.103 Aaa AAA 20,000,000.00 98.42968 2
19,685,966.24 19,685,936.00 -30.24
======
--------------
-------------- --------------
-------------
5.255 211,431,414.25 210,644,806.65
211,045,256.38 400,449.73
25 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
1,040,526.36 99.41819 2 1,040,450.12 1,034,472.47 -5,977.65
52783 31392FC3 FNMA PAC 11 2002-7 5.500 12/25/15 5.504 Aaa AAA 5,715,354.75 99.82805 2
5,717,720.84 5,705,527.20 -12,193.64
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 4/30/07 (SETTLEMENT
BASIS)
CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 4/30/07
STATE AGENCIES II-DIVERSIFIED (3)
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ --------
------------------ ------ -------- ------ ---- ---- -------------- - ---------
- -------------- -------------- - -------------
49417 31392FST FNMA EXCH,PAC
11 2 4.250 3/25/15
4.254 Aaa
AAA
4,928,583.46 98.91107 2 4,930,440.04 4,874,914.64 -55,525.40
55301 31392FT9 FNMA PAC(11)
2002- 5.000 5/25/14
5.109 Aaa AAA 10,796,512.46 99.53795 2
10,733,819.43 10,746,627.17 12,807.74
51632 31392GPK FNMA SEQ 2002-89 C 5.000 4/25/16
5.029 Aaa
AAA
7,092,012.60 99.36654 2 7,082,439.37 7,047,087.54 -35,351.83
54269 31392HTR FNMA PAC 11 2003-1 5.500 4/25/28
5.580 Aaa
AAA
7,046,797.10 99.95320 2 6,983,173.73 7,043,499.20 60,325.47
32843 31392JQV FNMA SEQ 2003-16 N 3.500 2/25/15
3.468 Aaa
AAA
626,793.00 98.73482 2 628,504.19 618,862.94 -9,641.25
33994 31393BFL FNMA PAC 11 2003-3 3.500 3/25/33
3.545 Aaa
AAA
2,548,949.40 94.28120 2 2,533,771.10 2,403,180.08 -130,591.02
51066 31394BD3 FNMA SEQ 2004-101 5.000 2/25/18 4.993 Aaa AAA 6,202,027.80 99.43664 2
6,210,502.84 6,167,088.06 -43,414.78
55850 31394CN6 FNMA PAC(11)
2005- 5.000 6/25/27
5.030 Aaa
AAA
9,070,538.85 99.48566 2 9,046,898.13 9,023,885.44 -23,012.69
53060 31394EFZ FNMA PAC 11 2005-6 5.500 10/25/24 5.510 Aaa AAA 4,475,657.16 100.00258 2
4,475,657.16 4,475,772.63 115.47
55659 31396LYT FNMA MR,EXCH
2006- 5.500 5/25/14
5.525 Aaa
AAA
8,831,382.50 100.23329 2 8,823,913.94 8,851,985.23 28,071.29
55664 31396LYT FNMA MR,EXCH
2006- 5.500 5/25/14
5.525 Aaa
AAA
16,338,057.61 100.23329 2 16,324,240.77
16,376,172.66 51,931.89
57349 31396P6D FNMA MR,EXCH
2007- 5.450 12/25/20 5.469 Aaa AAA 19,735,021.20 100.07000 2
19,718,179.61 19,748,835.71 30,656.10
44123 31400HYD FNMA FNCI CL 68840 5.000
2/01/18 4.952 Aaa AAA 4,655,266.14 98.83300 2
4,676,670.41 4,600,939.18 -75,731.23
44125 31401EBE FNMA FNCI CL 70573 5.000
6/01/18 4.953 Aaa AAA 2,391,395.50 98.83300 2
2,402,461.41 2,363,487.91 -38,973.50
======
--------------
-------------- --------------
-------------
5.221
111,494,875.89
111,328,843.09 111,082,338.06
-246,505.03
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 18,693,387.50 100.30170 2
18,596,325.34 18,749,785.45 153,460.11
54270 38373XMP GNMA AD,SEQ 2002-
6.000 4/16/13 6.010 Aaa AAA 3,850,099.75 99.99163 2
3,850,099.75 3,849,777.50 -322.25
57313 38374GKR GNMA EXCH,AD,
SEQ 5.000 8/16/29
5.072 Aaa
AAA
19,364,551.20 99.19646 2 19,195,857.16
19,208,949.29 13,092.13
====== -------------- --------------
-------------- -------------
5.259
41,908,038.45 41,642,282.25 41,808,512.24 166,229.99
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 99.77300 2
17,980,567.02 17,959,140.00 -21,427.02
57520 931142CF WAL-MART STORES 5.000 4/05/12 5.081 Aa2
AA 20,000,000.00 99.72600 2
19,930,207.55 19,945,200.00 14,992.45
======
--------------
-------------- --------------
-------------
5.037
51,000,000.00 50,885,711.25 50,857,540.00 -28,171.25
3 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 4/30/07 (SETTLEMENT
BASIS)
CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 4/30/07
STATE AGENCIES II-DIVERSIFIED (3)
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