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
10/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 10/31/07 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity
YIELD MOO S&P POSITION-SIZE
# PRICE $
CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
AGENCY NOTES (30/360) 2X ( 23)
--------------------------------
59838 3128X1JB FHLMC 2.850 6/03/08
4.729 Aaa AAA 4,500,000.00 98.98200 2
4,451,542.45 4,454,190.00 2,647.55
46982 3128X3H5 FHLMC 3.250 11/02/07 3.290 Aaa
AAA 10,000,000.00 99.99600 2
9,999,989.68 9,999,600.00 -389.68
55343 3128X4F4 FHLMC 5.000 2/08/08
5.255 Aaa AAA 24,800,000.00 100.07600 2
24,783,290.29 24,818,848.00 35,557.71
59877 3133MVZA FHLB 3.375 2/15/08
4.725 Aaa AAA 21,000,000.00 99.62500 2
20,918,051.68 20,921,250.00 3,198.32
46997 3133X95S FHLB 3.350 11/16/07 3.350 Aaa
AAA 4,575,000.00 99.93750 2
4,575,000.00 4,572,140.63 -2,859.37
59115 3133X9M4 FHLB 3.250 12/17/07 5.245 Aaa
AAA 20,000,000.00 99.81250 2
19,950,145.76 19,962,500.00 12,354.24
57940 3133XJZT FHLB 5.125 2/22/08
5.271 Aaa AAA 18,485,000.00 100.12500 2
18,476,403.22 18,508,106.25 31,703.03
58017 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa
AAA 25,000,000.00 100.40625 2
24,963,007.42 25,101,562.50 138,555.08
57926 3133XKRZ FHLB 5.500 11/09/09 5.500 Aaa
AAA 20,000,000.00 100.03125 2
20,000,000.00 20,006,250.00 6,250.00
57800 3134A4VF FHLMC 4.375 11/16/07 5.268 Aaa
AAA 27,251,000.00 99.96875 2
27,241,274.21 27,242,484.06 1,209.85
59392 31359M2H FNMA 5.150 11/21/07 5.065 Aaa
AAA 65,000,000.00 100.03125 2
65,000,366.67 65,020,312.50 19,945.83
58040 31359M5T FNMA 5.125 9/02/08
5.117 Aaa AAA 15,000,000.00 100.46875 2
15,000,192.45 15,070,312.50 70,120.05
54996 31359MF3 FNMA 5.000 7/25/08
5.220 Aaa AAA 15,000,000.00 100.31250 2
14,976,862.61 15,046,875.00 70,012.39
57675 31359MP5 FNMA 5.250 12/03/07 5.285 Aaa
AAA 11,700,000.00 100.03125 2
11,699,544.21 11,703,656.25 4,112.04
57839 31359MP5 FNMA 5.250 12/03/07 5.286 Aaa
AAA 30,000,000.00 100.03125 2
29,998,849.77 30,009,375.00 10,525.23
57922 31359MP5 FNMA 5.250 12/03/07 5.273 Aaa
AAA 10,000,000.00 100.03125 2
9,999,730.84 10,003,125.00 3,394.16
57916 31359MQM FNMA 3.250 1/15/08
5.260 Aaa AAA 10,000,000.00 99.65625 2
9,960,048.64 9,965,625.00 5,576.36
58023 31359MU4 FNMA 5.500 1/15/08
5.281 Aaa AAA 10,000,000.00 100.15625 2
10,004,096.39 10,015,625.00 11,528.61
56099 31359MU9 FNMA 5.400 2/01/08
5.166 Aaa AAA 20,000,000.00 100.15625 2
20,011,086.58 20,031,250.00 20,163.42
55022 31359MX4 FNMA 5.000 9/15/08
5.047 Aaa AAA 10,000,000.00 100.65625 2
9,996,159.78 10,065,625.00 69,465.22
58067 3136F3CT FNMA 3.250 3/17/08
5.230 Aaa AAA 2,000,000.00 99.46875 2
1,985,639.54 1,989,375.00 3,735.46
======
--------------
-------------- --------------
-------------
5.096 374,311,000.00 373,991,282.19
374,508,087.69 516,805.50
21 ITEMS IN SUBTOTAL
FOR: AGENCY NOTES (30/360) 2X (TYPE
23)
AGENCY NOTES (30/360) @ M ( 28)
--------------------------------
59251 3133XKNT FHLB 5.250 11/01/07 5.087 Aaa
AAA 50,000,000.00 100.00000 2
50,000,000.00 50,000,000.00
======
--------------
-------------- --------------
-------------
5.087
50,000,000.00
50,000,000.00 50,000,000.00
1 ITEM IN SUBTOTAL FOR: AGENCY NOTES (30/360) @ MATURITY (TYPE 28)
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
10/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 10/31/07 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity
YIELD MOO S&P POSITION-SIZE
# PRICE $
CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
AGENCY NOTE-VAR (30/360) ( 29)
--------------------------------
35123 31339XVW FHLB Step
Cpn 5.000 6/26/08
5.019 Aaa AAA 25,000,000.00 100.06250 2
24,996,946.84 25,015,625.00 18,678.16
====== -------------- --------------
-------------- -------------
5.019
25,000,000.00
24,996,946.84 25,015,625.00 18,678.16
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 10,000,000.00 100.03125 2
9,994,874.26 10,003,125.00 8,250.74
59322 3128X5Y6 FHLMC
FLOATING QRT 5.071 9/30/08
5.105 Aaa AAA 10,000,000.00 100.03125 2
9,994,948.25 10,003,125.00 8,176.75
59471 31331X3P FFCB
FLOATING QRTL 4.790 3/17/09
4.781 Aaa AAA 25,000,000.00 99.97500 2
25,000,000.00 24,993,750.00 -6,250.00
59298 3133XK7D FHLB
FLOATING QRTL 5.544 9/17/08
5.569 Aaa AAA 20,000,000.00 100.09100 2
19,992,135.09 20,018,200.00 26,064.91
59314 3133XLMS FHLB
FLOATING QRTL 5.074 1/05/09
5.112 Aaa AAA 20,000,000.00 100.05600 2
19,984,511.75 20,011,200.00 26,688.25
59416 3133XLMS FHLB
FLOATING QRTL 5.074 1/05/09
5.113 Aaa AAA 15,000,000.00 100.05600 2
14,989,401.63 15,008,400.00 18,998.37
59113 3133XLX9 FHLB
FLOATING QRTL 5.236 2/11/09
5.200 Aaa AAA 20,000,000.00 99.99300 2
20,000,000.00 19,998,600.00 -1,400.00
59658 3133XLX9 FHLB
FLOATING QRTL 5.236 2/11/09
5.148 Aaa AAA 29,000,000.00 99.99300 2
29,022,934.79 28,997,970.00 -24,964.79
======
--------------
-------------- --------------
-------------
5.136 149,000,000.00 148,978,805.77
149,034,370.00 55,564.23
8 ITEMS IN SUBTOTAL
FOR: AGENCY NOTE-VAR (ACT/360) 4X (TYPE
30)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
59854 313312NY FFCB
DISCOUNT 4.530 11/07/07 4.541 P-1
A-1+ 25,000,000.00 99.92450 2
24,981,125.00 24,981,125.00
59903 313384NS FHLB
DISCOUNT 4.450 11/01/07 4.454 P-1
A-1+ 50,000,000.00 100.00000 2
50,000,000.00 50,000,000.00
59819 313384NX FHLB
DISCOUNT 4.680 11/06/07 4.693 P-1
A-1+ 25,000,000.00 99.93500 2
24,983,750.00 24,983,750.00
59733 313384NY FHLB
DISCOUNT 4.650 11/07/07 4.671 P-1
A-1+ 6,000,000.00 99.92733 2
5,995,350.00 5,995,639.98 289.98
59754 313384PE FHLMC
DISCOUNT 4.600 11/13/07 4.624 P-1
A-1+ 30,000,000.00 99.84667 2
29,954,000.00 29,954,000.10
59891 313384PF FHLB
DISCOUNT 4.460 11/14/07 4.472 P-1
A-1+ 50,000,000.00 99.83894 2
49,919,472.21 49,919,472.00
59853 313384PH FHLB
DISCOUNT 4.592 11/16/07 4.608 P-1
A-1+ 50,000,000.00 99.80917 2
49,904,333.33 49,904,583.50 250.17
59857 313384PH FHLB
DISCOUNT 4.580 11/16/07 4.596 P-1
A-1+ 35,000,000.00 99.80917 2
34,933,208.33 34,933,208.45
59566 313384PM FHLB DISCOUNT 4.600 11/20/07 4.637 P-1
A-1+ 86,880,000.00 99.75722 2
86,669,074.67 86,669,074.47
59946 313384PQ FHLB
DISCOUNT 4.380 11/23/07 4.392 P-1
A-1+ 5,000,000.00 99.73233 2
4,986,616.66 4,986,616.65
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
10/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 10/31/07 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity
YIELD MOO S&P POSITION-SIZE
# PRICE $
CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
59947 313384PV FHLB
DICOUNT 4.385 11/28/07 4.400 P-1
A-1+ 25,000,000.00 99.67113 2
24,917,781.25 24,917,781.25
59952 313384RG FHLB
DISCOUNT 4.350 1/02/08
4.383 P-1 A-1+ 60,000,000.00 99.25083 2
59,550,500.00 59,550,499.80
59731 313396PA FHLMC
DISCOUNT 4.590 11/09/07 4.612 P-1
A-1+ 50,000,000.00 99.90289 2
49,949,000.00 49,951,444.50 2,444.50
59822 313396PQ FHLMC
DISCOUNT 4.680 11/23/07 4.703 P-1
A-1+ 35,000,000.00 99.71400 2
34,899,900.00 34,899,900.00
59651 313396QE FHLMC
DISCOUNT 4.540 12/07/07 4.582 P-1
A-1+ 50,000,000.00 99.54600 2
49,773,000.00 49,773,000.00
58314 313396WF FHLMC
DISCOUNT 5.030 4/30/08
5.274 P-1 A-1+ 40,000,000.00 97.88000 2
38,988,411.11 39,152,000.00 163,588.89
59276 313588NS FNMA
DISCOUNT 4.700 11/01/07 4.745 P-1
A-1+ 20,000,000.00 100.00000 2
20,000,000.00 20,000,000.00
59953 313588NS FNMA
DISCOUNT 4.400 11/01/07 4.401 P-1
A-1+ 50,000,000.00 100.00000 2
50,000,000.00 50,000,000.00
59844 313588PG FNMA
DISCOUNT 4.540 11/15/07 4.556 P-1
A-1+ 30,000,000.00 99.82344 2
29,947,033.33 29,947,033.20
59465 313588QC FNMA
DISCOUNT 4.750 12/05/07 4.805 P-1
A-1+ 26,847,000.00 99.55139 2
26,726,561.38 26,726,561.40
59905 313588RJ FNMA
DISCOUNT 4.370 1/04/08
4.407 P-1 A-1+ 50,000,000.00 99.22311 2
49,611,555.56 49,611,555.50
======
--------------
-------------- --------------
-------------
4.587 799,727,000.00 796,690,672.83 796,857,245.80 166,573.54
21 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 98.76500 2
19,701,476.42 19,753,000.00 51,523.58
======
--------------
-------------- --------------
-------------
5.324 20,000,000.00 19,701,476.42 19,753,000.00 51,523.58
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 99.64600 2
20,770,225.80 20,787,152.06 16,926.26
====== -------------- --------------
-------------- -------------
5.422
20,861,000.00
20,770,225.80 20,787,152.06 16,926.26
1 ITEM IN SUBTOTAL
FOR: CORPORATE NOTES (30/360) 2X (TYPE
50)
CORPORATE NOTES-VAR (ACT/ ( 52)
--------------------------------
59563 00206RAC AT&T FLOATING
QRTL 5.460 2/05/10
5.710 A2 A 18,500,000.00 99.37500 2
18,397,069.54 18,384,375.00 -12,694.54
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
10/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 10/31/07 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity
YIELD MOO S&P POSITION-SIZE
# PRICE $ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
59888 00206RAC AT&T
FLOATING QRTL 5.460 2/05/10
5.726 A2 A 3,970,000.00 99.37500 2
3,946,542.99 3,945,187.50 -1,355.49
35864 00878833 MERIDIAN
FUNDING C 6.023 6/09/08
6.128 Aaa AAA 2,500,000.49 99.80000 2
2,497,575.56 2,495,000.49 -2,575.07
58426 02666QZU AMERICAN
HONDA FIN 5.714 6/12/09
5.704 Aa3 A+ 20,000,000.00 99.86400 2
20,000,000.00 19,972,800.00 -27,200.00
59691 06050TJS BANK OF
AMERICA FL 5.084 7/25/08
5.149 Aaa AA+ 1,400,000.00 99.93900 2
1,398,956.84 1,399,146.00 189.16
59301 079860AM BELLSOUTH
CORP FLO 5.658 8/15/08
5.723 A2 A 8,500,000.00 99.90800 2
8,493,499.66 8,492,180.00 -1,319.66
59404 084664AN BERKSHIRE
HATHAWAY 5.299 1/11/08
5.324 Aaa AAA 5,000,000.00 100.08400 2
4,998,636.35 5,004,200.00 5,563.65
46950 172967CR CITIGROUP
INC Floa 5.416 11/01/07 5.299 Aa2
AA 10,000,000.00 100.00000 2
10,000,000.00 10,000,000.00
59122 172967EG CITIGROUP
INC FLOA 5.650 8/13/10
5.669 Aa2 AA 15,000,000.00 99.71300 2
14,988,319.71 14,956,950.00 -31,369.71
59849 1730T0EK CITIGROUP
FUNDING 5.430 10/22/09 5.414 Aa2
AA 25,000,000.00 99.97100 2
25,000,000.00 24,992,750.00 -7,250.00
47135 22237LPN COUNTRYWIDE
HOME L 5.780 11/16/07 5.654 Baa3 BBB+ 10,000,000.00 98.87500 2
10,000,000.00 9,887,500.00 -112,500.00
52733 24422EPZ JOHN DEERE
CAPITAL 5.293 4/15/08
5.253 A2 A 20,000,000.00 100.10400 2
20,000,000.00 20,020,800.00 20,800.00
57071 24422EQE JOHN DEERE
CAP Flo 5.661 9/01/09
5.653 A2 A 25,000,000.00 100.15500 2
25,000,000.00 25,038,750.00 38,750.00
59606 24422EQK JOHN DEERE
CAP Flo 5.383 9/25/08
5.354 A2 A 5,000,000.00 100.02700 2
5,000,000.00 5,001,350.00 1,350.00
59812 24422EQL JOHN DEERE
CAP Flo 5.514 10/16/09 5.498 A2
A 10,000,000.00 100.08500 2
10,000,000.00 10,008,500.00 8,500.00
58832 25468PCF WALT DISNEY
CO. 5.294 7/16/10
5.435 A2 A 15,000,000.00 99.65500 2
14,938,253.48 14,948,250.00 9,996.52
57189 36962G2H GENERAL
ELECTRIC C 5.734 3/12/10
5.727 Aaa AAA 35,000,000.00 99.72200 2
35,000,000.00 34,902,700.00 -97,300.00
57545 36962G2M GENERAL ELECTRIC C 5.373 4/10/12 5.366 Aaa AAA 10,000,000.00 99.74700 2 10,000,000.00 9,974,700.00<