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 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 9/30/07 ***
*** LGIP (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)
--------------------------------
58143 912828FG U S TREASURY NOTE 4.875 5/31/08 4.976 Aaa AAA 20,000,000.00 100.45313 2 19,986,837.50 20,090,625.00 103,787.50
56649 912828FJ U S TREASURY NOTE 5.125 6/30/08 5.052 Aaa AAA 10,000,000.00 100.71100 2 10,004,950.44 10,071,100.00 66,149.56
56655 912828FM U S TREASURY NOTE 5.000 7/31/08 5.046 Aaa AAA 10,000,000.00 100.69500 2 9,996,316.15 10,069,500.00 73,183.85
58197 912828FM U S TREASURY NOTE 5.000 7/31/08 4.956 Aaa AAA 20,000,000.00 100.69500 2 20,006,019.62 20,139,000.00 132,980.38
58252 912828FV U S TREASURY NOTE 4.875 10/31/08 5.008 Aaa AAA 10,000,000.00 100.87500 2 9,985,991.67 10,087,500.00 101,508.33
====== -------------- -------------- -------------- -------------
4.996 70,000,000.00 69,980,115.38 70,457,725.00 477,609.62
5 ITEMS IN SUBTOTAL FOR: U.S. TREASURY NOTES & BONDS (TYPE 12)
AGENCY MTN (30/360) 2X ( 21)
--------------------------------
59520 3128X6BP FHLMC 5.700 6/12/12 5.534 Aaa AAA 21,575,000.00 100.77500 2 21,597,249.22 21,742,206.25 144,957.03
59508 3133XK4R FHLB 5.500 3/19/10 5.499 Aaa AAA 20,000,000.00 100.06250 2 20,000,000.00 20,012,500.00 12,500.00
59552 3133XK4R FHLB 5.500 3/19/10 5.500 Aaa AAA 20,000,000.00 100.06250 2 20,000,000.00 20,012,500.00 12,500.00
59418 3133XM3V FHLB 5.450 2/23/09 5.448 Aaa AAA 20,000,000.00 100.06250 2 20,000,000.00 20,012,500.00 12,500.00
59662 3133XMJ3 FHLB 5.350 10/03/12 5.350 Aaa AAA 17,500,000.00 100.50000 2 17,500,000.00 17,587,500.00 87,500.00
59617 31359MN4 FNMA 5.700 5/12/11 4.894 Aaa AAA 20,000,000.00 100.75000 2 20,095,053.91 20,150,000.00 54,946.09
59360 3136F8JS FNMA 5.350 4/12/10 5.350 Aaa AAA 32,582,000.00 100.03125 2 32,580,333.01 32,592,181.88 11,848.87
====== -------------- -------------- -------------- -------------
5.368 151,657,000.00 151,772,636.14 152,109,388.13 336,751.99
7 ITEMS IN SUBTOTAL FOR: AGENCY MTN (30/360) 2X (TYPE 21)
AGENCY STEP UP NOTE (30/3 ( 22)
--------------------------------
36052 31339YQF FHLB Step Cpn 5.000 7/30/08 5.010 Aaa AAA 25,000,000.00 100.03125 2 24,998,056.50 25,007,812.50 9,756.00
====== -------------- -------------- -------------- -------------
5.010 25,000,000.00 24,998,056.50 25,007,812.50 9,756.00
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 98.86100 2 4,999,324.03 4,943,050.00 -56,274.03
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 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 9/30/07 ***
*** LGIP (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 98.73438 2 4,998,652.79 4,936,718.75 -61,934.04
46981 3128X3H5 FHLMC 3.250 11/02/07 3.290 Aaa AAA 10,000,000.00 99.85000 2 9,999,669.77 9,985,000.00 -14,669.77
52533 3128X4K6 FHLMC 5.250 3/07/08 5.277 Aaa AAA 13,480,000.00 100.05600 2 13,478,543.20 13,487,548.80 9,005.60
52218 3128X4YF FHLMC 5.000 1/28/08 5.004 Aaa AAA 20,000,000.00 100.00300 2 19,999,744.59 20,000,600.00 855.41
57923 3128X5K8 FHLMC 5.400 3/02/12 5.398 Aaa AAA 20,000,000.00 100.73800 2 20,000,000.00 20,147,600.00 147,600.00
56077 3128X5NT FHLMC 5.350 11/14/11 5.354 Aaa AAA 10,000,000.00 100.87800 2 9,997,888.61 10,087,800.00 89,911.39
56121 3128X5NT FHLMC 5.350 11/14/11 5.375 Aaa AAA 10,000,000.00 100.87800 2 9,990,344.96 10,087,800.00 97,455.04
57172 3128X5R7 FHLMC 5.250 3/15/12 5.271 Aaa AAA 10,000,000.00 100.58300 2 9,991,949.60 10,058,300.00 66,350.40
55962 3128X5TZ FHLMC 5.375 12/27/11 5.375 Aaa AAA 10,000,000.00 100.22700 2 10,000,000.00 10,022,700.00 22,700.00
58937 3128X6HV FHLMC 6.000 7/30/12 6.000 Aaa AAA 20,000,000.00 100.12700 2 20,000,000.00 20,025,400.00 25,400.00
59016 3128X6JU FHLMC 5.500 8/13/09 5.425 Aaa AAA 20,000,000.00 100.12400 2 20,000,000.00 20,024,800.00 24,800.00
35447 31339XQ5 FHLB 3.000 6/30/08 3.014 Aaa AAA 5,000,000.00 98.71875 2 4,999,533.05 4,935,937.50 -63,595.55
46570 3133X8X5 FHLB 3.375 10/05/07 3.391 Aaa AAA 10,000,000.00 99.96875 2 9,999,983.15 9,996,875.00 -3,108.15
49796 3133XBFJ FHLB 5.170 4/21/10 4.251 Aaa AAA 3,500,000.00 100.03125 2 3,500,000.00 3,501,093.75 1,093.75
58158 3133XFLG FHLB 5.250 6/12/09 5.050 Aaa AAA 25,000,000.00 101.28125 2 25,078,841.54 25,320,312.50 241,470.96
55352 3133XHHG FHLB 5.400 10/23/09 5.400 Aaa AAA 24,865,000.00 100.06250 2 24,865,000.00 24,880,540.62 15,540.62
56500 3133XHMU FHLB 5.350 11/13/08 5.345 Aaa AAA 13,490,000.00 100.09375 2 13,490,000.00 13,502,646.88 12,646.88
55973 3133XHX4 FHLB 5.375 11/28/11 5.397 Aaa AAA 10,000,000.00 100.15625 2 9,991,841.47 10,015,625.00 23,783.53
55791 3133XHY4 FHLB 5.500 12/07/09 5.500 Aaa AAA 20,000,000.00 100.18750 2 20,000,000.00 20,037,500.00 37,500.00
58087 3133XJ3D FHLB 4.875 6/04/08 5.183 Aaa AAA 25,000,000.00 100.06250 2 24,949,667.32 25,015,625.00 65,957.68
56967 3133XJML FHLB 5.375 2/09/10 5.437 Aaa AAA 30,000,000.00 100.00000 2 29,959,407.20 30,000,000.00 40,592.80
57246 3133XJXN FHLB 5.370 8/28/09 5.368 Aaa AAA 30,000,000.00 100.00000 2 30,000,000.00 30,000,000.00
56970 3133XJYE FHLB 5.500 3/12/10 5.502 Aaa AAA 20,000,000.00 100.00000 2 19,999,185.22 20,000,000.00 814.78
57112 3133XK2F FHLB 5.550 3/04/10 5.550 Aaa AAA 30,000,000.00 100.18750 2 30,000,000.00 30,056,250.00 56,250.00
58016 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa AAA 50,000,000.00 100.34375 2 49,920,042.08 50,171,875.00 251,832.92
57925 3133XKRZ FHLB 5.500 11/09/09 5.500 Aaa AAA 50,000,000.00 100.09375 2 50,000,000.00 50,046,875.00 46,875.00
59078 3133XLWT FHLB 5.750 8/16/10 5.750 Aaa AAA 20,000,000.00 100.15625 2 20,000,000.00 20,031,250.00 31,250.00
58089 3134A2DT FHLMC 5.750 4/15/08 5.224 Aaa AAA 25,000,000.00 100.46875 2 25,067,293.54 25,117,187.50 49,893.96
56501 31359M4P FNMA 5.500 1/23/12 5.507 Aaa AAA 20,000,000.00 100.31250 2 19,994,479.74 20,062,500.00 68,020.26
58062 31359M5C FNMA 5.375 2/12/10 5.374 Aaa AAA 25,000,000.00 100.28125 2 24,998,707.67 25,070,312.50 71,604.83
58039 31359M5T FNMA 5.125 9/02/08 5.117 Aaa AAA 25,000,000.00 100.43750 2 25,000,353.25 25,109,375.00 109,021.75
57367 31359M6L FNMA 5.390 3/27/12 5.392 Aaa AAA 25,000,000.00 100.40625 2 24,997,756.02 25,101,562.50 103,806.48
58063 31359M7T FNMA 5.300 4/16/10 5.382 Aaa AAA 25,000,000.00 100.37500 2 24,988,689.91 25,093,750.00 105,060.09
54995 31359MF3 FNMA 5.000 7/25/08 5.220 Aaa AAA 15,000,000.00 100.25000 2 14,974,176.25 15,037,500.00 63,323.75
57921 31359MP5 FNMA 5.250 12/03/07 5.273 Aaa AAA 11,650,000.00 100.03125 2 11,649,382.66 11,653,640.63 4,257.97
56098 31359MU9 FNMA 5.400 2/01/08 5.166 Aaa AAA 10,000,000.00 100.15625 2 10,007,411.14 10,015,625.00 8,213.86
55021 31359MX4 FNMA 5.000 9/15/08 5.047 Aaa AAA 10,000,000.00 100.65625 2 9,995,786.59 10,065,625.00 69,838.41
58743 3136F8QE FNMA 5.750 7/19/10 5.669 Aaa AAA 20,000,000.00 100.06250 2 20,000,000.00 20,012,500.00 12,500.00
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 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 9/30/07 ***
*** LGIP (3) ***
==============================================================================================================================================
Pos# Sec-Id Description RATE Maturity YIELD MOO S&P POSITION-SIZE # PRICE $ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ---- ---- -------------- - --------- - -------------- -------------- - -------------
58744 3136F8QE FNMA 5.750 7/19/10 5.669 Aaa AAA 5,000,000.00 100.06250 2 5,000,000.00 5,003,125.00 3,125.00
58868 3136F8QE FNMA 5.750 7/19/10 5.750 Aaa AAA 5,000,000.00 100.06250 2 5,000,000.00 5,003,125.00 3,125.00
59035 3136F8QP FNMA 5.600 8/13/10 5.803 Aaa AAA 20,000,000.00 100.12500 2 19,993,456.52 20,025,000.00 31,543.48
58185 3137EAAT FHLMC 5.000 6/11/09 5.076 Aaa AAA 25,000,000.00 100.90625 2 24,969,174.13 25,226,562.50 257,388.37
59138 31398AGA FNMA 6.000 8/27/12 6.001 Aaa AAA 55,000,000.00 100.25000 2 54,997,547.89 55,137,500.00 139,952.11
====== -------------- -------------- -------------- -------------
5.313 841,985,000.00 841,843,833.89 844,054,614.43 2,210,780.54
44 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 99.10800 2 6,998,973.18 6,937,560.00 -61,413.18
====== -------------- -------------- -------------- -------------
3.522 7,000,000.00 6,998,973.18 6,937,560.00 -61,413.18
1 ITEM IN SUBTOTAL FOR: AGENCY NOTES-VAR (30/360) 4X (TYPE 25)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
59631 31315KNH FAMC DISCOUNT 4.530 10/23/07 4.546 P-1 A-1+ 50,920,000.00 99.72317 2 50,779,036.47 50,779,036.64
59574 313312NA FFCB DISCOUNT 4.550 10/16/07 4.565 P-1 A-1+ 20,000,000.00 99.81042 2 19,962,083.33 19,962,083.40
59630 313312PM FFCB DISCOUNT 4.530 11/20/07 4.562 P-1 A-1+ 25,000,000.00 99.37083 2 24,842,708.32 24,842,708.25
59598 313384ML FHLB DISCOUNT 4.550 10/02/07 4.556 P-1 A-1+ 30,000,000.00 99.98736 2 29,996,208.33 29,996,208.30
59599 313384MT FHLB DISCOUNT 4.550 10/09/07 4.560 P-1 A-1+ 20,000,000.00 99.89889 2 19,979,777.78 19,979,777.80
59575 313384NB FHLB DISCOUNT 4.600 10/17/07 4.616 P-1 A-1+ 20,000,000.00 99.79556 2 19,959,111.11 19,959,111.20
59597 313384NC FHLB DISCOUNT 4.550 10/18/07 4.566 P-1 A-1+ 20,000,000.00 99.78514 2 19,957,027.78 19,957,027.80
59681 313384NL FHLB DISCOUNT 4.600 10/26/07 4.617 P-1 A-1+ 50,000,000.00 99.68194 2 49,840,277.78 49,840,972.00 694.22
59684 313384NL FHLB DISCOUNT 4.580 10/26/07 4.596 P-1 A-1+ 20,000,000.00 99.68194 2 19,936,388.89 19,936,388.80
59686 313384NP FHLB DISCOUNT 4.550 10/29/07 4.568 P-1 A-1+ 20,000,000.00 99.64611 2 19,929,222.22 19,929,222.20
59629 313384PF FHLB DISCOUNT 4.530 11/14/07 4.559 P-1 A-1+ 32,035,000.00 99.44144 2 31,857,632.88 31,856,066.59 -1,566.29
59683 313384PF FHLB DISCOUNT 4.570 11/14/07 4.597 P-1 A-1+ 5,470,000.00 99.44144 2 5,439,447.01 5,439,446.99
59682 313384PN FHLB DISCOUNT 4.530 11/21/07 4.561 P-1 A-1+ 34,000,000.00 99.35825 2 33,781,805.00 33,781,805.00
59685 313384QS FHLB DISCOUNT 4.550 12/19/07 4.598 P-1 A-1+ 20,000,000.00 99.00153 2 19,800,305.55 19,800,305.60
59486 313396MM FHLMC DISCOUNT 4.750 10/03/07 4.764 P-1 A-1+ 50,000,000.00 99.97361 2 49,986,805.56 49,986,805.50
57794 313588RJ FNMA DISCOUNT 5.010 1/04/08 5.193 P-1 A-1+ 25,000,000.00 98.84000 2 24,669,479.17 24,710,000.00 40,520.83
====== -------------- -------------- -------------- -------------
4.630 442,425,000.00 440,717,317.18 440,756,966.07 39,648.76
16 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 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 9/30/07 ***
*** LGIP (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 3,973,396.95 98.38500 2 3,957,543.57 3,909,226.59 -48,316.98
55971 31392WB3 FNMA PAC(11) 2512 5.500 2/15/22 5.486 Aaa AAA 10,717,000.00 101.71732 2 10,742,413.19 10,901,045.18 158,631.99
52288 31392WJJ FHLMC SEQ 2509 CA 5.000 9/15/15 5.023 Aaa AAA 1,756,299.60 99.95159 2 1,754,823.65 1,755,449.38 625.73
58242 31392X2Y FHLMC PAC11 2517 O 5.000 5/15/16 5.135 Aaa AAA 15,000,000.00 99.82254 2 14,870,260.79 14,973,381.00 103,120.21
52498 31392XB9 FHLMC PAC 11 2513 6.000 2/15/32 5.942 Aaa AAA 5,302,449.60 101.12930 2 5,351,396.40 5,362,330.16 10,933.76
52532 31392XCA FHLMC PAC 11 2513 5.500 5/15/29 5.497 Aaa AAA 972,296.00 100.00751 2 973,922.21 972,369.02 -1,553.19
51054 31393KYD FHLMC SEQ 2574 HQ 4.500 11/15/16 4.583 Aaa AAA 3,384,804.41 98.92208 2 3,366,990.14 3,348,318.93 -18,671.21
57953 31393LWC FHLMC PAC(11) 2592 5.000 7/15/14 5.089 Aaa AAA 10,500,000.00 100.00490 2 10,452,690.00 10,500,514.50 47,824.50
49881 31394PVR FHLMC PAC 11 2743 4.000 4/15/21 4.021 Aaa AAA 2,936,168.00 99.52894 2 2,933,020.92 2,922,336.89 -10,684.03
58207 31395CUZ FHLMC SEQ 2827 AT 5.000 4/15/22 5.138 Aaa AAA 17,702,690.94 99.40283 2 17,465,552.79 17,596,975.78 131,422.99
51053 31395FEC FHLMC PAC 11 2836 5.000 5/15/22 4.971 Aaa AAA 6,043,772.41 99.96753 2 6,067,888.58 6,041,810.00 -26,078.58
53323 31395HTQ FHLMC PAC 11 2894 5.500 12/15/24 5.508 Aaa AAA 4,844,963.10 100.45130 2 4,846,011.39 4,866,828.42 20,817.03
51769 31395JSK FHLMC EXCH,PAC 11 5.000 9/15/24 5.017 Aaa AAA 4,842,826.90 100.00054 2 4,838,720.95 4,842,853.05 4,132.10
58206 31395KFW FHLMC EXCH SEQ 289 5.000 4/15/19 5.168 Aaa AAA 12,895,578.09 99.36113 2 12,717,501.38 12,813,192.11 95,690.73
50270 31395KNR FHLMC SEQ,NAS 2903 4.500 1/15/18 4.521 Aaa AAA 3,894,060.60 99.57923 2 3,890,540.35 3,877,675.56 -12,864.79
52234 31395L3Y FHLMC SEQ 2918 ME 5.000 10/15/25 5.024 Aaa AAA 3,298,031.14 99.71803 2 3,292,372.88 3,288,731.68 -3,641.20
54286 31395PNH FHLMC PAC 11 2948 5.000 10/15/25 5.126 Aaa AAA 9,109,082.55 100.07088 2 8,982,423.73 9,115,539.07 133,115.34
56101 31395T6X FNMA EXCH,SEQ 2965 5.000 10/15/22 5.138 Aaa AAA 17,033,615.50 99.12206 2 16,802,805.89 16,884,070.58 81,264.69
51770 31395TKK FHLMC EXCH,PAC-1 1 5.000 10/15/24 5.028 Aaa AAA 5,916,997.90 99.97432 2 5,904,868.65 5,915,478.41 10,609.76
51645 31395TWE FHLMC SEQ 2970 YA 5.000 9/15/18 5.051 Aaa AAA 5,752,056.00 99.64408 2 5,732,801.01 5,731,583.28 -1,217.73
50327 31395WNR FHLMC SEQ 3000 BA 4.500 7/15/23 4.592 Aaa AAA 5,509,169.80 98.43172 2 5,458,754.76 5,422,770.59 -35,984.17
51222 31396C3C FHLMC MR,EXCH,SEQ 5.125 10/15/15 5.163 Aaa AAA 6,930,078.60 99.67535 2 6,917,639.49 6,907,580.10 -10,059.39
55303 31396NSD FHLMC PAC-1(11) 31 5.500 11/15/26 5.496 Aaa AAA 17,002,296.40 100.58869 2 17,031,389.62 17,102,387.22 70,997.60
55381 31396NSD FHLMC PAC-1(11) 31 5.500 11/15/26 5.498 Aaa AAA 8,501,148.20 100.58869 2 8,513,812.97 8,551,193.61 37,380.64
54382 31396RX8 FHLMC PAC-1 11 317 6.000 12/15/26 5.975 Aaa AAA 8,606,768.20 101.31130 2 8,642,209.91 8,719,628.75 77,418.84
58205 31396UNL FHLMC EXCH SEQ 318 5.000 11/15/32 5.150 Aaa AAA 17,059,646.40 98.83428 2 16,699,370.67 16,860,778.69 161,408.02
55390 31397AED FNMA SC EXCH SEQ 3 5.500 8/15/13 5.544 Aaa AAA 14,510,059.60 100.25498 2 14,486,086.40 14,547,057.35 60,970.95
56911 31397EUZ FHLMC MR SEQ R010 5.500 12/15/19 5.545 Aaa AAA 18,315,868.40 99.79781 2 18,258,681.40 18,278,835.55 20,154.15
58174 31397G7M FHLMC MR SEQ R011 5.500 12/15/20 5.579 Aaa AAA 18,872,837.00 99.69907 2 18,748,619.63 18,816,042.97 67,423.34
57690 31397GB9 FHLMC GOLD SERIES 5.000 4/01/37 5.103 Aaa AAA 19,253,084.40 98.90726 2 18,955,010.97 19,042,698.25 87,687.28
====== -------------- -------------- -------------- -------------
5.258 280,437,046.69 278,656,124.29 279,868,682.67 1,212,558.38
30 ITEMS IN SUBTOTAL FOR: AGENCY MBS (30/360) 12X 14 DY DL (TYPE 36)
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 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 9/30/07 ***
*** LGIP (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 2 ( 39)
--------------------------------
51175 31392EU3 FNMA SEQ 2002-66 A 5.000 5/25/30 5.011 Aaa AAA 729,982.62 99.75399 2 729,930.10 728,186.79 -1,743.31
52783 31392FC3 FNMA PAC 11 2002-7 5.500 12/25/15 5.504 Aaa AAA 4,454,175.45 100.26951 2 4,455,930.14 4,466,179.90 10,249.76
49417 31392FST FNMA EXCH,PAC 11 2 4.250 3/25/15 4.254 Aaa AAA 3,655,379.78 99.39768 2 3,656,683.73 3,633,362.70 -23,321.03
55301 31392FT9 FNMA PAC(11) 2002- 5.000 5/25/14 5.109 Aaa AAA 6,720,698.64 99.83975 2 6,683,986.40 6,709,928.72 25,942.32
58243 31392FZ2 FNMA EXCH PAC 2002 5.000 7/25/16 5.192 Aaa AAA 20,000,000.00 99.53536 2 19,743,841.72 19,907,072.00 163,230.28
51632 31392GPK FNMA SEQ 2002-89 C 5.000 4/25/16 5.029 Aaa AAA 6,061,791.60 99.80837 2 6,053,990.48 6,050,175.39 -3,815.09
54269 31392HTR FNMA PAC 11 2003-1 5.500 4/25/28 5.580 Aaa AAA 6,067,924.40 100.17148 2 6,014,232.53 6,078,329.68 64,097.15
32843 31392JQV FNMA SEQ 2003-16 N 3.500 2/25/15 3.468 Aaa AAA 441,787.75 99.27734 2 442,929.28 438,595.13 -4,334.15
58422 31392JYC FNMA EXCH SEQ 2003 5.000 6/25/17 5.211 Aaa AAA 16,186,103.38 99.44636 2 15,937,855.22 16,096,490.64 158,635.42
33994 31393BFL FNMA PAC 11 2003-3 3.500 3/25/33 3.545 Aaa AAA 2,321,911.05 93.84541 2 2,308,308.33 2,179,006.94 -129,301.39
51066 31394BD3 FNMA SEQ 2004-101 5.000 2/25/18 4.993 Aaa AAA 5,437,732.44 99.68558 2 5,444,875.48 5,420,635.12 -24,240.36
55850 31394CN6 FNMA PAC(11) 2005- 5.000 6/25/27 5.030 Aaa AAA 7,897,676.85 99.95814 2 7,877,520.88 7,894,370.88 16,850.00
53060 31394EFZ FNMA PAC 11 2005-6 5.500 10/25/24 5.510 Aaa AAA 3,742,704.06 100.20703 2 3,742,704.06 3,750,452.58 7,748.52
55659 31396LYT FNMA MR,EXCH 2006- 5.500 5/25/14 5.525 Aaa AAA 7,760,859.60 100.23364 2 7,754,685.43 7,778,992.07 24,306.64
55664 31396LYT FNMA MR,EXCH 2006- 5.500 5/25/14 5.525 Aaa AAA 14,357,589.65 100.23364 2 14,346,167.43 14,391,134.72 44,967.29
57349 31396P6D FNMA MR,EXCH 2007- 5.450 12/25/20 5.469 Aaa AAA 18,471,439.80 99.66181 2 18,456,160.15 18,408,971.24 -47,188.91
58070 31396V2P FNMA MR,SEQ 2007-B 5.500 12/25/20 5.518 Aaa AAA 19,095,302.80 99.54240 2 19,080,798.65 19,007,922.69 -72,875.96
44123 31400HYD FNMA FNCI CL 68840 5.000 2/01/18 4.952 Aaa AAA 4,375,324.49 98.29800 2 4,394,658.24 4,300,856.47 -93,801.77
44125 31401EBE FNMA FNCI CL 70573 5.000 6/01/18 4.953 Aaa AAA 2,197,133.70 98.29800 2 2,206,916.51 2,159,738.48 -47,178.03
====== -------------- -------------- -------------- -------------
5.261 149,975,518.06 149,332,174.76 149,400,402.14 68,227.38
19 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 17,141,500.50 100.33960 2 17,054,083.75 17,199,713.04 145,629.29
54270 38373XMP GNMA AD,SEQ 2002- 6.000 4/16/13 6.010 Aaa AAA 1,355,305.54 100.01120 2 1,355,305.54 1,355,457.33 151.79
57313 38374GKR GNMA EXCH,AD, SEQ 5.000 8/16/29 5.072 Aaa AAA 17,259,050.00 99.52833 2 17,111,523.00 17,177,644.24 66,121.24
58053 38374GKR GNMA EXCH,AD, SEQ 5.000 8/16/29 5.082 Aaa AAA 8,629,525.00 99.52833 2 8,543,048.71 8,588,822.12 45,773.41
====== -------------- -------------- -------------- -------------
5.190 44,385,381.04 44,063,961.00 44,321,636.73 257,675.73
4 ITEMS IN SUBTOTAL FOR: AGENCY MBS (30/360) 12X 15 DY DL (TYPE 40)
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 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 9/30/07 ***
*** LGIP (3) ***
==============================================================================================================================================
Pos# Sec-Id Description RATE Maturity YIELD MOO S&P POSITION-SIZE # PRICE $ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ---- ---- -------------- - --------- - -------------- -------------- - -------------
CORPORATE NOTES (30/360) ( 50)
--------------------------------
57307 06406HBB BANK OF NEW YORK 5.000 3/23/12 5.045 Aa2 A+ 13,000,000.00 99.19400 2 12,977,081.36 12,895,220.00 -81,861.36
58335 36962GZ3 GENERAL ELECTRIC C 5.250 10/27/09 5.346 Aaa AAA 15,000,000.00 100.60500 2 14,971,580.06 15,090,750.00 119,169.94
57288 459200DU IBM Corp 4.950 3/22/11 4.981 A1 A+ 18,000,000.00 99.60500 2 17,982,659.38 17,928,900.00 -53,759.38
58113 713448BF PEPSICO INC 5.150 5/15/12 5.161 Aa2 A+ 25,800,000.00 101.01700 2 25,788,759.64 26,062,386.00 273,626.36
57520 931142CF WAL-MART STORES 5.000 4/05/12 5.081 Aa2 AA 20,000,000.00 99.12200 2 19,936,136.62 19,824,400.00 -111,736.62
====== -------------- -------------- -------------- -------------
5.122 91,800,000.00 91,656,217.06 91,801,656.00 145,438.94
5 ITEMS IN SUBTOTAL FOR: CORPORATE NOTES (30/360) 2X (TYPE 50)
CORPORATE NOTES-VAR (ACT/ ( 52)
--------------------------------
56925 02666QZD AMERICAN HONDA FIN 5.470 2/20/08 5.429 Aa3 A+ 37,000,000.00 99.97200 2 37,000,000.00 36,989,640.00 -10,360.00
58421 02666QZT AMERICAN HONDA FIN 5.695 6/11/08 5.674 Aa3 A+ 10,000,000.00 99.98800 2 10,000,000.00 9,998,800.00 -1,200.00
58425 02666QZU AMERICAN HONDA FIN 5.714 6/12/09 5.704 Aa3 A+ 20,000,000.00 99.84375 2 20,000,000.00 19,968,750.00 -31,250.00
59123 172967EG CITIGROUP INC FLOA 5.650 8/13/10 5.669 Aa1 AA 35,000,000.00 99.71300 2 34,971,914.42 34,899,550.00 -72,364.42
57070 24422EQE JOHN DEERE CAP Flo 5.661 9/01/09 5.653 A2 A 20,000,000.00 100.15000 2 20,000,000.00 20,030,000.00 30,000.00
57188 36962G2H GENERAL ELECTRIC C 5.734 3/12/10 5.727 Aaa AAA 32,700,000.00 99.48100 2 32,700,000.00 32,530,287.00 -169,713.00
57544 36962G2M GENERAL ELECTRIC C 5.480 4/10/12 5.473 Aaa AAA 10,000,000.00 98.69200 2 10,000,000.00 9,869,200.00 -130,800.00
44990 36962GJ6 GENERAL ELECTRIC C 5.350 6/22/09 5.341 Aaa AAA 10,000,000.00 99.83500 2 10,000,000.00 9,983,500.00 -16,500.00
57954 46623ECW JPM Float Qrtly 5.400 5/07/10 5.389 Aa2 AA- 40,000,000.00 99.61900 2 40,000,000.00 39,847,600.00 -152,400.00
56008 52517PQ4 LEHMAN BROTHERS HO 5.260 12/23/08 5.250 A1 A+ 20,000,000.00 98.88700 2 20,000,000.00 19,777,400.00 -222,600.00
57989 59018YC9 MERRILL LYNCH Floa 5.406 5/08/09 5.390 Aa3 AA- 50,000,000.00 99.59900 2 50,000,000.00 49,799,500.00 -200,500.00
58334 59018YE7 MERRILL LYNCH Floa 5.899 6/05/12 5.895 Aa3 AA- 25,000,000.00 98.15625 2 25,000,000.00 24,539,062.50 -460,937.50
58870 59018YE7 MERRILL LYNCH FLOA 5.899 6/05/12 6.058 Aa3 AA- 5,000,000.00 98.15625 2 4,967,075.63 4,907,812.50 -59,263.13
58871 59018YE7 MERRILL LYNCH FLOA 5.899 6/05/12 6.058 Aa3 AA- 2,500,000.00 98.15625 2 2,483,537.82 2,453,906.25 -29,631.57
58875 59018YE7 MERRILL LYNCH FLOA 5.899 6/05/12 6.058 Aa3 AA- 3,475,000.00 98.15625 2 3,452,117.56 3,410,929.69 -41,187.87
====== -------------- -------------- -------------- -------------
5.559 320,675,000.00 320,574,645.43 319,005,937.94 -1,568,707.49
15 ITEMS IN SUBTOTAL FOR: CORPORATE NOTES-VAR (ACT/360)4X (TYPE 52)
COMMERCIAL PAPER ( 53)
--------------------------------
59633 36959JXP GENERAL ELECTRIC C 4.690 10/23/07 4.707 P-1 A-1+ 20,000,000.00 99.71339 2 19,942,677.77 19,942,677.80
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 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 9/30/07 ***
*** LGIP (3) ***
==============================================================================================================================================
Pos# Sec-Id Description RATE Maturity YIELD MOO S&P POSITION-SIZE # PRICE $ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ---- ---- -------------- - --------- - -------------- -------------- - -------------
59577 4662J1X4 J P MORGAN CHASE 4.750 10/04/07 4.759 P-1 A-1+ 20,000,000.00 99.96042 2 19,992,083.33 19,992,083.40
59632 4662J1XG J P MORGAN CHASE 4.650 10/16/07 4.663 P-1 A-1+ 25,000,000.00 99.80625 2 24,951,562.50 24,951,562.50
59094 64072MX1 NEPTUNE FUNDING 5.360 10/01/07 5.405 NR A-1 38,696,000.00 100.00000 2 38,696,000.00 38,696,000.00
58898 64072MXA NEPTUNE FUNDING 5.275 10/10/07 5.341 NR A-1 15,000,000.00 99.86813 2 14,980,218.75 14,980,218.75
58857 90262CDB UBS FINANCE (DE) 5.140 4/11/08 5.345 P-1 A-1+ 5,000,000.00 97.34127 2 4,862,219.45 4,867,063.50 4,844.05
58858 90262CDB UBS FINANCE (DE) 5.140 4/11/08 5.345 P-1 A-1+ 5,000,000.00 97.34127 2 4,862,219.45 4,867,063.50 4,844.05
59601 90262DXC UBS FINANCE (DE) 4.670 10/12/07 4.683 P-1 A-1+ 30,000,000.00 99.85731 2 29,957,191.67 29,957,191.80
59504 90262DXF UBS FINANCE (DE) 5.500 10/15/07 5.528 P-1 A-1+ 50,000,000.00 99.78611 2 49,893,055.56 49,893,055.50
59615 9026X1XQ UBS AMERICAS INC 4.900 10/24/07 4.920 P-1 A-1+ 25,000,000.00 99.68694 2 24,921,736.11 24,921,736.00
====== -------------- -------------- -------------- -------------
5.085 233,696,000.00 233,058,964.59 233,068,652.75 9,688.10
10 ITEMS IN SUBTOTAL FOR: COMMERCIAL PAPER (TYPE 53)
CORPORATE MTN (30/360) 2X ( 55)
--------------------------------
57542 36962G2L GENERAL ELECTRIC C 5.000 4/10/12 5.122 Aaa AAA 25,000,000.00 99.05100 2 24,879,666.67 24,762,750.00 -116,916.67
59531 89233PK4 TOYOTA MOTOR CREDI 5.200 9/24/09 5.200 Aaa AAA 10,000,000.00 100.00700 2 10,000,000.00 10,000,700.00 700.00
====== -------------- -------------- -------------- -------------
5.144 35,000,000.00 34,879,666.67 34,763,450.00 -116,216.67
2 ITEMS IN SUBTOTAL FOR: CORPORATE MTN (30/360) 2X (TYPE 55)
CORPORATE MTN-VAR (ACT/36 ( 57)
--------------------------------
55888 36962GT6 GENERAL ELECTRIC C 5.846 12/12/08 5.809 Aaa AAA 20,000,000.00 99.73100 2 20,009,192.00 19,946,200.00 -62,992.00
58901 86787ARQ SUNTRUST BANK FLOA 5.838 11/06/09 5.823 Aa2 AA- 20,000,000.00 100.00000 2 20,005,901.41 20,000,000.00 -5,901.41
59419 91159HGL U.S. BANCORP FLOAT 5.159 4/28/09 5.312 Aa2 AA 5,600,000.00 99.51800 2 5,586,385.23 5,573,008.00 -13,377.23
====== -------------- -------------- -------------- -------------
5.754 45,600,000.00 45,601,478.64 45,519,208.00 -82,270.64
3 ITEMS IN SUBTOTAL FOR: CORPORATE MTN-VAR (ACT/360) 12X (TYPE 57)
CORPORATE MTN-VAR (ACT/36 ( 58)
--------------------------------
55442 02666QYR AMERICAN HONDA FIN 5.330 10/30/07 5.271 Aa3 A+ 20,000,000.00 99.99500 2 20,000,000.00 19,999,000.00 -1,000.00
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 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 9/30/07 ***
*** LGIP (3) ***
==============================================================================================================================================
Pos# Sec-Id Description RATE Maturity YIELD MOO S&P POSITION-SIZE # PRICE $ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ---- ---- -------------- - --------- - -------------- -------------- - -------------
56736 02666QZA AMERICAN HONDA FIN 5.350 8/05/08 5.325 Aa3 A+ 35,000,000.00 99.91100 2 35,000,000.00 34,968,850.00 -31,150.00
59203 060505DG BANK OF AMERICA FL 5.728 8/13/10 5.716 Aa1 AA 40,000,000.00 100.01900 2 40,000,000.00 40,007,600.00 7,600.00
57306 06406HBC BANK OF NEW YORK F 5.310 3/23/12 5.306 Aa2 A+ 12,000,000.00 98.64063 2 12,000,000.00 11,836,875.00 -163,125.00
59137 200340AM COMERICA INC FLOAT 5.530 7/27/10 5.652 A2 A 17,500,000.00 100.01563 2 17,439,493.47 17,502,734.38 63,240.91
58144 24422EQG JOHN DEERE CAP Flo 5.704 12/12/08 5.691 A2 A 34,500,000.00 99.86200 2 34,500,000.00 34,452,390.00 -47,610.00
58999 38141EJV GOLDMAN SACHS GROU 5.760 10/07/11 5.805 Aa3 AA- 10,000,000.00 98.72300 2 9,980,810.99 9,872,300.00 -108,510.99
59107 38141EKA GOLDMAN SACHS GROU 5.821 3/02/10 6.001 Aa3 AA- 10,000,000.00 99.51400 2 9,954,434.94 9,951,400.00 -3,034.94
58967 41659EFK HARTFORD LIFE GLOB 5.460 1/17/12 5.473 Aa3 AA- 6,000,000.00 98.30800 2 5,995,336.18 5,898,480.00 -96,856.18
58966 438516AU HONEYWELL INTERNAT 5.410 7/27/09 5.394 A2 A 10,000,000.00 100.02500 2 10,000,000.00 10,002,500.00 2,500.00
46915 59018YUN MERRILL LYNCH & CO 5.485 10/19/07 5.367 Aa3 AA- 15,000,000.00 99.99800 2 14,999,987.82 14,999,700.00 -287.82
59161 78387GAR AT&T INC FLOATING 5.785 11/14/08 5.686 A2 A 42,550,000.00 100.08100 2 42,591,899.67 42,584,465.50 -7,434.17
59096 87612EAQ TARGET CORP FLOTIN 5.485 8/07/09 5.467 A1 A+ 30,000,000.00 100.03125 2 30,000,000.00 30,009,375.00 9,375.00
====== -------------- -------------- -------------- -------------
5.559 282,550,000.00 282,461,963.07 282,085,669.88 -376,293.19
13 ITEMS IN SUBTOTAL FOR: CORPORATE MTN-VAR (ACT/360) 4X (TYPE 58)
CERTIFICATES OF DEPOSIT ( 62)
--------------------------------
59220 1730D0N3 CD CITI (SD) 5.480 11/16/07 5.480 P-1 A-1+ 20,000,000.00 100.00000 2 20,000,000.00 20,000,000.00
====== -------------- -------------- -------------- -------------
5.480 20,000,000.00 20,000,000.00 20,000,000.00
1 ITEM IN SUBTOTAL FOR: CERTIFICATES OF DEPOSIT (TYPE 62)
WHOLE LOAN MBS (30/360) 1 ( 71)
--------------------------------
55176 00105HDA AFC H.E.L.T. 1997- 7.470 9/27/27 6.041 Aaa AAA 1,076,347.01 99.63805 2 1,076,347.01 1,072,451.17 -3,895.84
====== -------------- -------------- -------------- -------------
6.041 1,076,347.01 1,076,347.01 1,072,451.17 -3,895.84
1 ITEM IN SUBTOTAL FOR: WHOLE LOAN MBS (30/360) 12X (TYPE 71)
WHOLE LOAN MBS (30/360) 1 ( 77)
--------------------------------
33586 12669EAV COUNTRYWIDE HOME L 8.000 5/25/18 7.005 NR AAA 5,993,837.58 102.63865 2 6,385,087.47 6,151,993.98 -233,093.49
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 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 9/30/07 ***
*** LGIP (3) ***
==============================================================================================================================================
Pos# Sec-Id Description RATE Maturity YIELD MOO S&P POSITION-SIZE # PRICE $ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ---- ---- -------------- - --------- - -------------- -------------- - -------------
33121 36185NVX GMAC MORTGAGE CORP 5.250 3/25/18 4.855 Aaa AAA 3,102,809.36 99.70074 2 3,160,339.91 3,093,523.89 -66,816.02
33296 36228FNZ GSR MORTGAGE LOAN 8.500 4/25/33 7.689 NR AAA 2,626,896.74 103.00884 2 2,839,016.38 2,705,935.86 -133,080.52
33295 36228FPS GSR MORTGAGE LOAN 8.500 4/25/33 7.610 NR AAA 1,782,886.10 101.34598 2 1,942,006.98 1,806,883.39 -135,123.59
33369 45660NPF RES ASSET SEC TRUS 4.250 5/25/33 4.044 NR AAA 14,560,613.30 94.29578 2 14,727,046.28 13,730,043.88 -997,002.40
33349 55265KUH MASTER ASSET SEC T 5.500 4/25/18 5.142 NR AAA 1,082,956.45 100.04227 2 1,100,515.02 1,083,414.22 -17,100.80
33350 55265KUH MASTER ASSET SEC T 5.500 4/25/18 5.282 NR AAA 270,735.88 100.04227 2 275,006.83 270,850.32 -4,156.51
33462 76111JD2 RESIDENTIAL FDG MT 5.250 12/25/17 5.019 Aaa AAA 5,372,719.13 99.86034 2 5,462,543.00 5,365,215.59 -97,327.41
50814 94982MAA WELLS FARGO MBS 2