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 (5) ***
==============================================================================================================================================
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)
--------------------------------
56650 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
56656 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
====== -------------- -------------- -------------- -------------
5.049 20,000,000.00 20,001,266.59 20,140,600.00 139,333.41
2 ITEMS IN SUBTOTAL FOR: U.S. TREASURY NOTES & BONDS (TYPE 12)
AGENCY NOTES (30/360) 2X ( 23)
--------------------------------
46982 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
55343 3128X4F4 FHLMC 5.000 2/08/08 5.255 Aaa AAA 24,800,000.00 100.01500 2 24,778,057.95 24,803,720.00 25,662.05
46997 3133X95S FHLB 3.350 11/16/07 3.350 Aaa AAA 4,575,000.00 99.78125 2 4,575,000.00 4,564,992.19 -10,007.81
59115 3133X9M4 FHLB 3.250 12/17/07 5.245 Aaa AAA 20,000,000.00 99.65625 2 19,916,548.33 19,931,250.00 14,701.67
57940 3133XJZT FHLB 5.125 2/22/08 5.271 Aaa AAA 18,485,000.00 100.06250 2 18,474,044.81 18,496,553.12 22,508.31
58017 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa AAA 25,000,000.00 100.34375 2 24,960,021.04 25,085,937.50 125,916.46
57926 3133XKRZ FHLB 5.500 11/09/09 5.500 Aaa AAA 20,000,000.00 100.09375 2 20,000,000.00 20,018,750.00 18,750.00
57800 3134A4VF FHLMC 4.375 11/16/07 5.268 Aaa AAA 27,251,000.00 99.90625 2 27,221,174.25 27,225,452.19 4,277.94
59392 31359M2H FNMA 5.150 11/21/07 5.065 Aaa AAA 65,000,000.00 100.03125 2 65,000,935.00 65,020,312.50 19,377.50
58040 31359M5T FNMA 5.125 9/02/08 5.117 Aaa AAA 15,000,000.00 100.43750 2 15,000,211.95 15,065,625.00 65,413.05
54996 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
57675 31359MP5 FNMA 5.250 12/03/07 5.285 Aaa AAA 11,700,000.00 100.03125 2 11,699,102.66 11,703,656.25 4,553.59
57839 31359MP5 FNMA 5.250 12/03/07 5.286 Aaa AAA 30,000,000.00 100.03125 2 29,997,735.48 30,009,375.00 11,639.52
57922 31359MP5 FNMA 5.250 12/03/07 5.273 Aaa AAA 10,000,000.00 100.03125 2 9,999,470.09 10,003,125.00 3,654.91
57916 31359MQM FNMA 3.250 1/15/08 5.260 Aaa AAA 10,000,000.00 99.43750 2 9,943,535.41 9,943,750.00 214.59
58023 31359MU4 FNMA 5.500 1/15/08 5.281 Aaa AAA 10,000,000.00 100.15625 2 10,005,789.56 10,015,625.00 9,835.44
56099 31359MU9 FNMA 5.400 2/01/08 5.166 Aaa AAA 20,000,000.00 100.15625 2 20,014,822.28 20,031,250.00 16,427.72
55022 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
58067 3136F3CT FNMA 3.250 3/17/08 5.230 Aaa AAA 2,000,000.00 99.25000 2 1,982,390.10 1,985,000.00 2,609.90
59335 3136F5PH FNMA 2.880 10/22/07 5.091 Aaa AAA 20,000,000.00 99.87500 2 19,974,282.50 19,975,000.00 717.50
====== -------------- -------------- -------------- -------------
5.122 368,811,000.00 368,512,754.02 368,967,498.75 454,744.73
20 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 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 9/30/07 ***
*** 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) @ M ( 28)
--------------------------------
59251 3133XKNT FHLB 5.250 11/01/07 5.087 Aaa AAA 50,000,000.00 100.03125 2 50,003,269.86 50,015,625.00 12,355.14
====== -------------- -------------- -------------- -------------
5.087 50,000,000.00 50,003,269.86 50,015,625.00 12,355.14
1 ITEM IN SUBTOTAL FOR: AGENCY NOTES (30/360) @ MATURITY (TYPE 28)
AGENCY NOTE-VAR (30/360) ( 29)
--------------------------------
35123 31339XVW FHLB Step Cpn 5.000 6/26/08 5.019 Aaa AAA 25,000,000.00 100.03125 2 24,996,549.16 25,007,812.50 11,263.34
====== -------------- -------------- -------------- -------------
5.019 25,000,000.00 24,996,549.16 25,007,812.50 11,263.34
1 ITEM IN SUBTOTAL FOR: AGENCY NOTE-VAR (30/360) 2X (TYPE 29)
AGENCY NOTE-VAR (ACT/360) ( 30)
--------------------------------
59303 3128X5Y6 FHLMC FLOATING QRT 5.071 9/30/08 5.106 Aaa AAA 10,000,000.00 99.98000 2 9,994,398.52 9,998,000.00 3,601.48
59322 3128X5Y6 FHLMC FLOATING QRT 5.071 9/30/08 5.105 Aaa AAA 10,000,000.00 99.98000 2 9,994,479.38 9,998,000.00 3,520.62
59471 31331X3P FFCB FLOATING QRTL 4.790 3/17/09 4.781 Aaa AAA 25,000,000.00 99.97200 2 25,000,000.00 24,993,000.00 -7,000.00
59298 3133XK7D FHLB FLOATING QRTL 5.544 9/17/08 5.569 Aaa AAA 20,000,000.00 100.08500 2 19,991,375.55 20,017,000.00 25,624.45
59314 3133XLMS FHLB FLOATING QRTL 5.190 1/05/09 5.235 Aaa AAA 20,000,000.00 99.99900 2 19,983,397.75 19,999,800.00 16,402.25
59416 3133XLMS FHLB FLOATING QRTL 5.190 1/05/09 5.229 Aaa AAA 15,000,000.00 99.99900 2 14,988,639.34 14,999,850.00 11,210.66
59113 3133XLX9 FHLB FLOATING QRTL 5.236 2/11/09 5.200 Aaa AAA 20,000,000.00 99.99200 2 20,000,000.00 19,998,400.00 -1,600.00
59658 3133XLX9 FHLB FLOATING QRTL 5.236 2/11/09 5.148 Aaa AAA 29,000,000.00 99.99200 2 29,024,453.98 28,997,680.00 -26,773.98
====== -------------- -------------- -------------- -------------
5.164 149,000,000.00 148,976,744.52 149,001,730.00 24,985.48
8 ITEMS IN SUBTOTAL FOR: AGENCY NOTE-VAR (ACT/360) 4X (TYPE 30)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
59328 313312MM FFCB DISCOUNT 4.700 10/03/07 4.723 P-1 A-1+ 30,000,000.00 99.97389 2 29,992,166.67 29,992,166.70
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 (5) ***
==============================================================================================================================================
Pos# Sec-Id Description RATE Maturity YIELD MOO S&P POSITION-SIZE # PRICE $ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ---- ---- -------------- - --------- - -------------- -------------- - -------------
59491 313384MK FHLB DISCOUNT 4.630 10/01/07 4.642 P-1 A-1+ 18,000,000.00 100.00000 2 18,000,000.00 18,000,000.00
59687 313384MK FHLB DISCOUNT 4.000 10/01/07 4.001 P-1 A-1+ 50,000,000.00 100.00000 2 50,000,000.00 50,000,000.00
59688 313384MK FHLB DISCOUNT 4.000 10/01/07 4.001 P-1 A-1+ 50,000,000.00 100.00000 2 50,000,000.00 50,000,000.00
59689 313384MK FHLB DISCOUNT 4.000 10/01/07 4.001 P-1 A-1+ 50,000,000.00 100.00000 2 50,000,000.00 50,000,000.00
59690 313384MK FHLB DISCOUNT 4.000 10/01/07 4.001 P-1 A-1+ 30,000,000.00 100.00000 2 30,000,000.00 30,000,000.00
59492 313384MN FHLB DISCOUNT 4.630 10/04/07 4.644 P-1 A-1+ 10,000,000.00 99.96142 2 9,996,141.67 9,996,141.70
59489 313384MP FHLB DISCOUNT 4.680 10/05/07 4.695 P-1 A-1+ 20,000,000.00 99.94800 2 19,989,600.00 19,989,600.00
59659 313384NJ FHLB DISCOUNT 4.600 10/24/07 4.616 P-1 A-1+ 30,000,000.00 99.70611 2 29,911,833.33 29,911,833.30
59566 313384PM FHLB DISCOUNT 4.600 11/20/07 4.637 P-1 A-1+ 86,880,000.00 99.36111 2 86,324,933.33 86,324,933.24
59651 313396QE FHLMC DISCOUNT 4.540 12/07/07 4.582 P-1 A-1+ 50,000,000.00 99.15506 2 49,577,527.78 49,577,528.00
58314 313396WF FHLMC DISCOUNT 5.030 4/30/08 5.274 P-1 A-1+ 40,000,000.00 97.43000 2 38,815,155.56 38,972,000.00 156,844.44
59336 313588ML FNMA DISCOUNT 4.670 10/02/07 4.692 P-1 A-1+ 35,000,000.00 99.98703 2 34,995,459.72 34,995,459.80
59337 313588NB FNMA DISCOUNT 4.880 10/17/07 4.914 P-1 A-1+ 25,000,000.00 99.78311 2 24,945,777.78 24,945,777.75
57891 313588NJ FNMA DISCOUNT 5.060 10/24/07 5.188 P-1 A-1+ 10,000,000.00 99.67672 2 9,967,672.22 9,967,672.20
59276 313588NS FNMA DISCOUNT 4.700 11/01/07 4.745 P-1 A-1+ 20,000,000.00 99.59528 2 19,919,055.56 19,919,055.60
59465 313588QC FNMA DISCOUNT 4.750 12/05/07 4.805 P-1 A-1+ 26,847,000.00 99.14236 2 26,616,749.69 26,616,749.66
====== -------------- -------------- -------------- -------------
4.519 581,727,000.00 579,052,073.31 579,208,917.95 156,844.44
17 ITEMS IN SUBTOTAL FOR: AGENCY DISCOUNT NOTES (TYPE 35)
AGENCY ZEROES & STRIPS (A ( 45)
--------------------------------
58475 31358DCM FNMA 2/15/08 5.324 Aaa AAA 20,000,000.00 98.45000 2 19,614,172.36 19,690,000.00 75,827.64
====== -------------- -------------- -------------- -------------
5.324 20,000,000.00 19,614,172.36 19,690,000.00 75,827.64
1 ITEM IN SUBTOTAL FOR: AGENCY ZEROES & STRIPS (ACT/ACT) (TYPE 45)
CORPORATE NOTES (30/360) ( 50)
--------------------------------
58250 637432CY NATIONAL RURAL UTI 3.875 2/15/08 5.422 A1 A+ 20,861,000.00 99.42000 2 20,743,678.63 20,740,006.20 -3,672.43
====== -------------- -------------- -------------- -------------
5.422 20,861,000.00 20,743,678.63 20,740,006.20 -3,672.43
1 ITEM 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 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 9/30/07 ***
*** 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)
--------------------------------
59563 00206RAC AT&T FLOATING QRTL 5.460 2/05/10 5.710 A2 A 18,500,000.00 99.64800 2 18,393,211.20 18,434,880.00 41,668.80
35864 00878833 MERIDIAN FUNDING C 6.023 6/09/08 6.128 Aaa AAA 2,500,000.49 99.60000 2 2,497,235.41 2,490,000.49 -7,234.92
56926 02666QZD AMERICAN HONDA FIN 5.470 2/20/08 5.429 Aa3 A+ 40,000,000.00 99.97200 2 40,000,000.00 39,988,800.00 -11,200.00
58426 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
59691 06050TJS BANK OF AMERICA FL 5.360 7/25/08 5.425 Aaa AA+ 1,400,000.00 99.89600 2 1,398,835.72 1,398,544.00 -291.72
59301 079860AM BELLSOUTH CORP FLO 5.658 8/15/08 5.723 A2 A 8,500,000.00 99.90625 2 8,492,799.97 8,492,031.25 -768.72
59404 084664AN BERKSHIRE HATHAWAY 5.410 1/11/08 5.458 Aaa AAA 5,000,000.00 100.03900 2 4,998,040.95 5,001,950.00 3,909.05
46950 172967CR CITIGROUP INC Floa 5.416 11/01/07 5.299 Aa1 AA 10,000,000.00 100.01000 2 10,000,000.00 10,001,000.00 1,000.00
59122 172967EG CITIGROUP INC FLOA 5.650 8/13/10 5.669 Aa1 AA 15,000,000.00 99.71300 2 14,987,963.32 14,956,950.00 -31,013.32
47135 22237LPN COUNTRYWIDE HOME L 5.780 11/16/07 5.654 Baa3 A- 10,000,000.00 99.64200 2 10,000,000.00 9,964,200.00 -35,800.00
52733 24422EPZ JOHN DEERE CAPITAL 5.410 4/15/08 5.379 A2 A 20,000,000.00 100.05300 2 20,000,000.00 20,010,600.00 10,600.00
57071 24422EQE JOHN DEERE CAP Flo 5.661 9/01/09 5.653 A2 A 25,000,000.00 100.15000 2 25,000,000.00 25,037,500.00 37,500.00
59606 24422EQK JOHN DEERE CAP Flo 5.383 9/25/08 5.354 A2 A 5,000,000.00 99.97400 2 5,000,000.00 4,998,700.00 -1,300.00
58832 25468PCF WALT DISNEY CO. 5.430 7/16/10 5.584 A2 A- 15,000,000.00 99.56800 2 14,936,316.09 14,935,200.00 -1,116.09
57189 36962G2H GENERAL ELECTRIC C 5.734 3/12/10 5.727 Aaa AAA 35,000,000.00 99.48100 2 35,000,000.00 34,818,350.00 -181,650.00
57545 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
48455 36962GP4 GENERAL ELEC CAP C 5.661 3/04/08 5.640 Aaa AAA 15,000,000.00 99.96200 2 15,000,000.00 14,994,300.00 -5,700.00
55469 36962GP4 GENERAL ELECTRIC C 5.661 3/04/08 5.601 Aaa AAA 14,950,000.00 99.96200 2 14,953,642.07 14,944,319.00 -9,323.07
59040 38141EKV GOLDMAN SACHS GROU 5.290 12/23/09 5.508 Aa3 AA- 800,000.00 99.39300 2 796,629.13 795,144.00 -1,485.13
58618 38141ELE GOLDMAN SACHS GROU 5.298 6/28/10 5.293 Aa3 AA- 10,000,000.00 99.14400 2 10,000,000.00 9,914,400.00 -85,600.00
57955 46623ECW JPM FLOAT QRTLY 5.400 5/07/10 5.389 Aa2 AA- 50,000,000.00 99.61900 2 50,000,000.00 49,809,500.00 -190,500.00
58504 52517P2K LEHMAN BROTHERS HO 5.645 5/25/10 5.634 A1 A+ 5,650,000.00 97.47200 2 5,649,948.94 5,507,168.00 -142,780.94
59038 52517PK8 LEHMAN BROTHERS HO 5.600 8/21/09 5.857 A1 A+ 8,800,000.00 97.60100 2 8,752,558.95 8,588,888.00 -163,670.95
56009 52517PQ4 LEHMAN BROTHERS HO 5.260 12/23/08 5.250 A1 A+ 25,000,000.00 98.88700 2 25,000,000.00 24,721,750.00 -278,250.00
57990 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
58812 59018YE7 MERRILL LYNCH FLOA 5.899 6/05/12 6.017 Aa3 AA- 14,750,000.00 98.15625 2 14,677,030.20 14,478,046.88 -198,983.32
58823 59018YE7 MERRILL LYNCH Floa 5.899 6/05/12 5.963 Aa3 AA- 15,000,000.00 98.15625 2 14,956,582.42 14,723,437.50 -233,144.92
48463 617446YC MORGAN STANLEY FLO 5.485 1/18/08 5.394 Aa3 AA- 10,000,000.00 99.91700 2 10,000,864.92 9,991,700.00 -9,164.92
59316 617446YC MORGAN STANLEY FLO 5.485 1/18/08 5.542 Aa3 AA- 10,000,000.00 99.91700 2 9,995,838.18 9,991,700.00 -4,138.18
58267 617446YT MORGAN STANLEY FLO 5.610 1/18/11 5.509 Aa3 AA- 10,000,000.00 98.69000 2 10,029,209.63 9,869,000.00 -160,209.63
59451 617446ZA MORGAN STANLEY FLO 5.470 2/09/09 5.790 Aa3 AA- 15,000,000.00 99.40100 2 14,933,150.61 14,910,150.00 -23,000.61
59315 949746NF WELLS FARGO & CO F 5.270 3/23/10 5.581 Aa1 AA+ 4,325,000.00 99.55900 2 4,305,284.27 4,305,926.75 642.48
====== -------------- -------------- -------------- -------------
5.553 500,175,000.49 499,755,141.98 497,711,585.87 -2,043,556.11
32 ITEMS IN SUBTOTAL FOR: CORPORATE NOTES-VAR (ACT/360)4X (TYPE 52)
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 (5) ***
==============================================================================================================================================
Pos# Sec-Id Description RATE Maturity YIELD MOO S&P POSITION-SIZE # PRICE $ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ---- ---- -------------- - --------- - -------------- -------------- - -------------
COMMERCIAL PAPER ( 53)
--------------------------------
59562 4662J0BF J P MORGAN CHASE 4.800 2/15/08 4.897 P-1 A-1+ 25,000,000.00 98.07750 2 24,543,333.33 24,519,375.00 -23,958.33
59603 4662J1X5 J P MORGAN CHASE 4.650 10/05/07 4.658 P-1 A-1+ 15,000,000.00 99.94833 2 14,992,250.00 14,992,249.95
58950 64072MXN NEPTUNE FUNDING 5.285 10/22/07 5.356 NR A-1 20,000,000.00 99.69171 2 19,938,341.67 19,938,341.60
59452 90262CA7 UBS FINANCE (DE) 5.450 1/07/08 5.553 P-1 A-1+ 30,000,000.00 98.60355 2 29,554,916.67 29,581,065.00 26,148.33
59561 90262CAN UBS FINANCE (DE) 5.000 1/22/08 5.088 P-1 A-1+ 30,000,000.00 98.39438 2 29,529,166.67 29,518,314.00 -10,852.67
59431 90262DXN UBS FINANCE (DE) 5.600 10/22/07 5.640 P-1 A-1+ 6,600,000.00 99.67333 2 6,578,440.00 6,578,439.98
59449 90262DY6 UBS FINANCE (DE) 5.500 11/06/07 5.551 P-1 A-1+ 30,000,000.00 99.45000 2 29,835,000.00 29,835,000.00
59614 9026X1XF UBS AMERICAS INC 4.680 10/15/07 4.693 P-1 A-1+ 25,000,000.00 99.81800 2 24,954,500.00 24,954,500.00
====== -------------- -------------- -------------- -------------
5.174 181,600,000.00 179,925,948.34 179,917,285.53 -8,662.67
8 ITEMS IN SUBTOTAL FOR: COMMERCIAL PAPER (TYPE 53)
CORPORATE MTN-VAR (ACT/36 ( 57)
--------------------------------
58821 0258M0CN AMERICAN EXPRESS C 5.913 6/16/11 5.893 Aa3 A+ 2,800,000.00 99.08700 2 2,801,887.64 2,774,436.00 -27,451.64
58822 0258M0CN AMERICAN EXPRESS C 5.913 6/16/11 5.894 Aa3 A+ 12,500,000.00 99.08700 2 12,508,000.91 12,385,875.00 -122,125.91
59692 06050TJR BANK OF AMERICA FL 5.131 7/25/08 5.253 Aaa AA+ 13,500,000.00 99.89500 2 13,486,901.86 13,485,825.00 -1,076.86
59693 06050TKD BANK OF AMERICA FL 5.614 12/18/08 5.723 Aaa AA+ 10,000,000.00 99.84100 2 9,987,186.58 9,984,100.00 -3,086.58
55889 36962GT6 GENERAL ELECTRIC C 5.846 12/12/08 5.809 Aaa AAA 30,000,000.00 99.73100 2 30,013,788.00 29,919,300.00 -94,488.00
59593 459200CN IBM CORP FLOATING 5.830 9/08/08 5.881 A1 A+ 10,000,000.00 99.94900 2 9,995,331.66 9,994,900.00 -431.66
57530 637432DD NATIONAL RURAL UTI 5.730 6/01/11 5.730 A1 A+ 27,000,000.00 100.01800 2 27,000,000.00 27,004,860.00 4,860.00
====== -------------- -------------- -------------- -------------
5.729 105,800,000.00 105,793,096.65 105,549,296.00 -243,800.65
7 ITEMS 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 5.271 Aa3 A+ 25,000,000.00 99.99500 2 25,000,000.00 24,998,750.00 -1,250.00
56737 02666QZA AMERICAN HONDA FIN 5.350 8/05/08 5.325 Aa3 A+ 40,000,000.00 99.91100 2 40,000,000.00 39,964,400.00 -35,600.00
59202 060505DG BANK OF AMERICA FL 5.728 8/13/10 5.716 Aa1 AA 10,000,000.00 100.01900 2 10,000,000.00 10,001,900.00 1,900.00
58145 24422EQG JOHN DEERE CAP Flo 5.704 12/12/08 5.691 A2 A 35,000,000.00 99.86200 2 35,000,000.00 34,951,700.00 -48,300.00
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 (5) ***
==============================================================================================================================================
Pos# Sec-Id Description RATE Maturity YIELD MOO S&P POSITION-SIZE # PRICE $ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ---- ---- -------------- - --------- - -------------- -------------- - -------------
58998 438516AU HONEYWELL INTERNAT 5.410 7/27/09 5.396 A2 A 7,500,000.00 100.02500 2 7,500,000.00 7,501,875.00 1,875.00
59188 44924EAA IBM FLOATING QRTLY 5.550 2/13/09 5.529 A1 A+ 15,000,000.00 99.80700 2 15,000,000.00 14,971,050.00 -28,950.00
46914 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
59160 78387GAR AT&T INC FLOATING 5.785 11/14/08 5.686 A2 A 10,000,000.00 100.08100 2 10,009,847.16 10,008,100.00 -1,747.16
59095 87612EAQ TARGET CORP FLOTIN 5.485 8/07/09 5.467 A1 A+ 20,000,000.00 100.03125 2 20,000,000.00 20,006,250.00 6,250.00
48503 949746JP WELLS FARGO COMPAN 5.764 3/10/08 5.742 Aa1 AA+ 8,000,000.00 100.05200 2 8,000,000.00 8,004,160.00 4,160.00
48583 949746JP WELLS FARGO COMPAN 5.764 3/10/08 5.739 Aa1 AA+ 6,650,000.00 100.05200 2 6,650,145.19 6,653,458.00 3,312.81
====== -------------- -------------- -------------- -------------
5.492 192,150,000.00 192,159,980.17 192,061,343.00 -98,637.17
11 ITEMS IN SUBTOTAL FOR: CORPORATE MTN-VAR (ACT/360) 4X (TYPE 58)
CERTIFICATES OF DEPOSIT ( 62)
--------------------------------
59437 06050GU2 BANK OF AMERICA CD 5.450 11/05/07 5.450 P-1 A-1+ 40,000,000.00 100.00000 2 40,000,000.00 40,000,000.00
59219 1730D0N3 CD CITI (SD) 5.480 11/16/07 5.480 P-1 A-1+ 30,000,000.00 100.00000 2 30,000,000.00 30,000,000.00
59252 1730D0P7 CD CITI (SD) 5.480 11/20/07 5.480 P-1 A-1+ 20,000,000.00 100.00000 2 20,000,000.00 20,000,000.00
59291 1730D0Q7 CD CITI (SD) 5.440 11/26/07 5.440 P-1 A-1+ 20,000,000.00 100.00000 2 20,000,000.00 20,000,000.00
====== -------------- -------------- -------------- -------------
5.462 110,000,000.00 110,000,000.00 110,000,000.00
4 ITEMS IN SUBTOTAL FOR: CERTIFICATES OF DEPOSIT (TYPE 62)
ASSET BACKED COMMERCIAL P ( 135)
--------------------------------
58783 0075N3XB ADVANTAGE ASSET FU 5.280 10/11/07 5.352 P-1 A-1 25,000,000.00 99.85278 2 24,963,333.33 24,963,194.50 -138.83
58811 0075N3XB ADVANTAGE ASSET FU 5.290 10/11/07 5.362 P-1 A-1 25,000,000.00 99.85278 2 24,963,263.89 24,963,194.50 -69.39
58935 04529UXN ASPEN FUNDING CORP 5.250 10/22/07 5.321 P-1 A-1+ 37,000,000.00 99.69375 2 36,886,687.50 36,886,687.50
59157 2338G1XA DAIMLERCHRYS REV A 5.750 10/10/07 5.808 P-1 A-1+ 678,000.00 99.85625 2 677,025.38 677,025.38
59049 3686M1X3 GEMINI SEC CORP 5.290 10/03/07 5.339 P-1 A-1+ 14,000,000.00 99.97061 2 13,995,885.56 13,995,885.54
59135 3686M1X9 GEMINI SEC CORP 5.350 10/09/07 5.400 P-1 A-1+ 13,810,000.00 99.88111 2 13,793,581.44 13,793,581.43
58825 53974UXC LOCKHART FUNDING 5.270 10/12/07 5.341 P-1 A-1 50,000,000.00 99.83897 2 49,919,486.11 49,919,486.00
58908 53974UXN LOCKHART FUNDING 5.265 10/22/07 5.339 P-1 A-1 21,466,000.00 99.69288 2 21,400,072.55 21,400,072.55
58848 6706X2AF NYALA FUNDING 5.220 1/15/08 5.362 P-1 A-1+ 45,000,000.00 98.49200 2 44,308,350.00 44,321,400.00 13,050.00
59066 86888NX9 SURREY FUNDING 5.295 10/09/07 5.348 P-1 A-1+ 20,000,000.00 99.88200 2 19,976,466.67 19,976,400.00 -66.67
58764 92646LXA VICTORY RECEIVABLE 5.260 10/10/07 5.332 P-1 A-1 15,000,000.00 99.86850 2 14,980,275.00 14,980,275.00
====== -------------- -------------- -------------- -------------
5.349 266,954,000.00 265,864,427.43 265,877,202.40 12,775.11
11 ITEMS IN SUBTOTAL FOR: ASSET BACKED COMMERCIAL PAPER (TYPE 135)
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 (5) ***
==============================================================================================================================================
Pos# Sec-Id Description RATE Maturity YIELD MOO S&P POSITION-SIZE # PRICE $ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ---- ---- -------------- - --------- - -------------- -------------- - -------------
AGENCY NOTES-VAR (ACT/360 ( 151)
--------------------------------
59338 31331S4X FFCB FLOATING MONT 5.575 9/01/10 5.553 Aaa AAA 15,000,000.00 100.24900 2 15,008,786.51 15,037,350.00 28,563.49
59255 31331SG6 FFCB Float Monthly 5.056 6/22/10 5.037 Aaa AAA 22,000,000.00 100.17300 2 22,010,976.66 22,038,060.00 27,083.34
59429 31331VCF FFCB FLOATING MONT 5.686 10/12/10 5.668 Aaa AAA 25,000,000.00 100.09800 2 25,012,712.90 25,024,500.00 11,787.10
59260 31331XPY FFCB Float Monthly 4.989 10/28/08 5.011 Aaa AAA 5,000,000.00 100.00800 2 4,998,732.26 5,000,400.00 1,667.74
59258 31331XQN FFCB Float Monthly 5.026 2/22/12 5.036 Aaa AAA 40,000,000.00 100.07813 2 39,984,018.22 40,031,250.00 47,231.78
59580 31331XQN FFCB FLOATING MONT 5.026 2/22/12 5.026 Aaa AAA 15,000,000.00 100.07813 2 15,000,283.06 15,011,718.75 11,435.69
57801 31331XXR FFCB Float Monthly 5.525 5/02/08 5.543 Aaa AAA 23,000,000.00 99.99800 2 22,997,337.28 22,999,540.00 2,202.72
59297 3133XM4P FHLB FLOATING MONT 5.001 8/22/08 5.001 Aaa AAA 15,000,000.00 99.99000 2 15,000,000.00 14,998,500.00 -1,500.00
====== -------------- -------------- -------------- -------------
5.251 160,000,000.00 160,012,846.89 160,141,318.75 128,471.86
8 ITEMS IN SUBTOTAL FOR: AGENCY NOTES-VAR (ACT/360) 12X (TYPE 151)
====== -------------- -------------- -------------- -------------
5.173 2752078000.49 2745411949.91 2744030221.95 -1,381,727.88
132 ITEMS IN SUBTOTAL FOR: LGIP 5