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 11/30/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 11/30/07 ***
*** 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)
--------------------------------
56649 912828FJ U S TREASURY
NOTE 5.125 6/30/08 5.052 Aaa
AAA 10,000,000.00 101.00000 2
10,003,844.29 10,100,000.00 96,155.71
58252 912828FV U S TREASURY
NOTE 4.875 10/31/08 5.008 Aaa AAA
10,000,000.00 101.38300 2 9,988,149.52
10,138,300.00 150,150.48
======
--------------
-------------- --------------
-------------
5.030
20,000,000.00 19,991,993.81 20,238,300.00 246,306.19
2 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 21,575,000.00 100.91100 2
21,591,926.86 21,771,548.25 179,621.39
59507 3128X6ML FHLMC 5.000 10/01/10 5.000 Aaa AAA
20,000,000.00 100.68900 2 20,000,000.00
20,137,800.00 137,800.00
59662 3133XMJ3 FHLB 5.350 10/03/12 5.350 Aaa AAA
17,500,000.00 101.06250 2 17,500,000.00
17,685,937.50 185,937.50
59748 3133XMM2 FHLB 5.000 10/22/10 5.000 Aaa AAA
20,000,000.00 100.75000 2 20,000,000.00
20,150,000.00 150,000.00
59617 31359MN4 FNMA 5.700 5/12/11 4.894 Aaa
AAA 20,000,000.00 100.78125 2
20,069,168.70 20,156,250.00 87,081.30
59360 3136F8JS FNMA 5.350 4/12/10 5.350 Aaa
AAA 32,582,000.00 100.15625 2
32,582,000.00 32,632,909.37 50,909.37
======
--------------
-------------- --------------
-------------
5.204
131,657,000.00
131,743,095.56 132,534,445.12
791,349.56
6 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 25,000,000.00 100.09375 2
24,998,447.76 25,023,437.50 24,989.74
======
-------------- -------------- -------------- -------------
5.010
25,000,000.00 24,998,447.76 25,023,437.50 24,989.74
1 ITEM IN SUBTOTAL
FOR: AGENCY STEP UP NOTE (30/360) 2X (TYPE 22)
AGENCY NOTES (30/360) 2X (
23)
--------------------------------
52533 3128X4K6 FHLMC 5.250 3/07/08 5.277 Aaa
AAA 13,480,000.00 100.00900 2
13,479,105.64 13,481,213.20 2,107.56
57923 3128X5K8 FHLMC 5.400 3/02/12 5.398 Aaa
AAA 20,000,000.00 101.08300 2
20,000,000.00 20,216,600.00 216,600.00
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 11/30/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 11/30/07 ***
*** LGIP (3) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
56077 3128X5NT FHLMC 5.350 11/14/11 5.354 Aaa AAA
10,000,000.00 101.34200 2 9,997,974.19
10,134,200.00 136,225.81
56121 3128X5NT FHLMC 5.350 11/14/11 5.375 Aaa AAA
10,000,000.00 101.34200 2 9,990,736.30
10,134,200.00 143,463.70
57172 3128X5R7 FHLMC 5.250 3/15/12 5.271 Aaa
AAA 10,000,000.00 101.01500 2
9,992,251.43 10,101,500.00 109,248.57
55962 3128X5TZ FHLMC 5.375 12/27/11 5.375 Aaa AAA
10,000,000.00 100.10000 2 10,000,000.00
10,010,000.00 10,000.00
49796 3133XBFJ FHLB 5.170 4/21/10 4.251 Aaa
AAA 3,500,000.00 100.40625 2
3,500,000.00 3,514,218.75 14,218.75
58158 3133XFLG FHLB 5.250 6/12/09 5.050 Aaa
AAA 25,000,000.00 102.15625 2
25,071,084.55 25,539,062.50 467,977.95
55791 3133XHY4 FHLB 5.500 12/07/09 5.500 Aaa AAA
20,000,000.00 100.03125 2 20,000,000.00
20,006,250.00 6,250.00
58087 3133XJ3D FHLB 4.875 6/04/08 5.183 Aaa
AAA 25,000,000.00 100.15625 2
24,962,097.66 25,039,062.50 76,964.84
57112 3133XK2F FHLB 5.550 3/04/10 5.550 Aaa
AAA 30,000,000.00 100.00000 2
30,000,000.00 30,000,000.00
58016 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa AAA
50,000,000.00 100.71875 2 49,931,794.94
50,359,375.00 427,580.06
58089 3134A2DT FHLMC 5.750 4/15/08 5.224 Aaa
AAA 25,000,000.00 100.53125 2
25,046,456.46 25,132,812.50 86,356.04
56501 31359M4P FNMA 5.500 1/23/12 5.507 Aaa
AAA 20,000,000.00 100.21875 2
19,994,693.54 20,043,750.00 49,056.46
58062 31359M5C FNMA 5.375 2/12/10 5.374 Aaa
AAA 25,000,000.00 100.25000 2
24,998,798.80 25,062,500.00 63,701.20
58039 31359M5T FNMA 5.125 9/02/08 5.117 Aaa
AAA 25,000,000.00 100.59375 2
25,000,289.31 25,148,437.50 148,148.19
57367 31359M6L FNMA 5.390 3/27/12 5.392 Aaa
AAA 25,000,000.00 100.46875 2
24,997,839.54 25,117,187.50 119,347.96
58063 31359M7T FNMA 5.300 4/16/10 5.382 Aaa
AAA 25,000,000.00 100.43750 2
24,992,174.33 25,109,375.00 117,200.67
54995 31359MF3 FNMA 5.000 7/25/08 5.220 Aaa
AAA 15,000,000.00 100.37500 2
14,979,462.32 15,056,250.00 76,787.68
57921 31359MP5 FNMA 5.250 12/03/07 5.273 Aaa AAA
11,650,000.00 100.00000 2 11,649,980.40 11,650,000.00 19.60
60274 31359MU4 FNMA 5.500 1/15/08 4.496 Aaa
AAA 50,000,000.00 100.12500 2
50,055,487.39 50,062,500.00 7,012.61
56098 31359MU9 FNMA 5.400 2/01/08 5.166 Aaa
AAA 10,000,000.00 100.15625 2
10,003,735.70 10,015,625.00 11,889.30
55021 31359MX4 FNMA 5.000 9/15/08 5.047 Aaa
AAA 10,000,000.00 100.78125 2
9,996,520.93 10,078,125.00 81,604.07
58185 3137EAAT FHLMC 5.000 6/11/09 5.076 Aaa
AAA 25,000,000.00 101.81250 2
24,972,211.90 25,453,125.00 480,913.10
======
--------------
-------------- --------------
-------------
5.180 493,630,000.00 493,612,695.33
496,465,369.45 2,852,674.12
24 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 99.45313 2
6,999,206.90 6,961,718.75 -37,488.15
60114 3133XMXZ FHLB
FLOATING QRTL 4.905
11/16/12 4.905 Aaa AAA
39,500,000.00 100.00000 2 39,500,000.00
39,500,000.00
======
--------------
-------------- --------------
-------------
4.697
46,500,000.00 46,499,206.90 46,461,718.75 -37,488.15
2 ITEMS IN SUBTOTAL
FOR: AGENCY NOTES-VAR (30/360) 4X (TYPE
25)
AGENCY
DISCOUNT NOTES ( 35)
--------------------------------
60288 313312QB FFCB
DISCOUNT 4.200 12/04/07 4.202 P-1 A-1+
30,000,000.00 99.96500 2 29,989,500.00
29,989,500.00
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 11/30/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 11/30/07 ***
*** LGIP (3) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
60290 313312QC FFCB
DISCOUNT 4.200 12/05/07 4.203 P-1 A-1+
30,000,000.00 99.95333 2 29,986,000.00
29,985,999.90
60296 313312RB FFCB
DISCOUNT 4.210 12/28/07 4.224 P-1 A-1+
30,000,000.00 99.68425 2 29,905,275.00
29,905,275.00
60291 313384QE FHLB
DISCOUNT 4.200 12/07/07 4.204 P-1 A-1+
30,000,000.00 99.93000 2 29,979,000.01
29,979,000.00
60292 313384QH FHLB
DISCOUNT 4.200 12/10/07 4.205 P-1 A-1+
30,000,000.00 99.89500 2 29,968,500.00
29,968,500.00
60293 313384QJ FHLB
DISCOUNT 4.200 12/11/07 4.206 P-1 A-1+ 30,000,000.00 99.88333 2
29,965,000.00 29,964,999.90
60264 313384QK FHLB
DISCOUNT 4.230 12/12/07 4.237 P-1 A-1+
50,000,000.00 99.87075 2 49,935,375.00
49,935,375.00
60294 313384QL FHLB
DISCOUNT 4.280 12/13/07 4.287 P-1 A-1+
30,000,000.00 99.85733 2 29,957,200.01
29,957,199.90
60265 313384QM FHLB
DISCOUNT 4.230 12/14/07 4.238 P-1 A-1+
50,000,000.00 99.84725 2 49,923,625.00
49,923,625.00
60299 313384QQ FHLB
DISCOUNT 4.250 12/17/07 4.259 P-1 A-1+
50,000,000.00 99.81111 2 49,905,555.56
49,905,555.50
60295 313384QR FHLB
DISCOUNT 4.200 12/18/07 4.209 P-1 A-1+
30,000,000.00 99.80167 2 29,940,500.00
29,940,500.10
59685 313384QS FHLB
DISCOUNT 4.550 12/19/07 4.598 P-1 A-1+
20,000,000.00 99.77250 2 19,954,500.00
19,954,500.00
60298 313384QZ FHLB
DISCOUNT 4.290 12/26/07 4.304 P-1 A-1+
30,000,000.00 99.70208 2 29,910,625.00
29,910,624.90
60218 313384RV FHLB
DISCOUNT 4.240 1/15/08 4.265 P-1
A-1+ 50,000,000.00 99.47000 2
49,735,000.01 49,735,000.00
60230 313384SF FHLB
DISCOUNT 4.280 1/25/08 4.310 P-1
A-1+ 25,000,000.00 99.34611 2
24,836,527.79 24,836,527.75
60236 313396QT FHLMC
DISCOUNT 4.370 12/20/07 4.382 P-1 A-1+
25,000,000.00 99.77094 2 24,942,340.29
24,942,736.00 395.71
60179 313396QX FHLMC
DISCOUNT 4.370 12/24/07 4.388 P-1 A-1+
50,000,000.00 99.72081 2 49,860,402.75
49,860,403.00
60235 313396RE FHLMC
DISCOUNT 4.340 12/31/07 4.358 P-1 A-1+
25,000,000.00 99.63833 2 24,909,583.33
24,909,583.25
60297 313396SC FHLMC
DISCOUNT 4.200 1/22/08 4.227 P-1
A-1+ 30,000,000.00 99.39333 2
29,818,000.00 29,817,999.90
60220 313396TN FHLMC
DISCOUNT 4.285 2/25/08 4.331 P-1
A-1+ 25,000,000.00 98.97708 2
24,744,090.28 24,744,269.50 179.22
60232 313396TN FHLMC
DISCOUNT 4.282 2/25/08 4.328 P-1
A-1+ 25,000,000.00 98.97708 2
24,744,269.44 24,744,269.50
60226 313396VK FHLMC DISCOUNT 4.200 4/10/08 4.267 P-1
A-1+ 25,910,000.00 98.51000 2
25,514,008.83 25,523,941.00 9,932.17
60125 313588QQ FNMA
DISCOUNT 4.340 12/17/07 4.356 P-1 A-1+ 250,000,000.00 99.80711 2 249,517,777.81
249,517,777.50
57794 313588RJ FNMA
DISCOUNT 5.010 1/04/08 5.193 P-1
A-1+ 25,000,000.00 99.58728 2
24,881,708.33 24,896,819.50 15,111.17
60227 313588UP FNMA
DISCOUNT 4.230 3/21/08 4.288 P-1
A-1+ 25,000,000.00 98.73000 2
24,673,937.50 24,682,500.00 8,562.50
60287 880592QA TENNESSEE
VALLEY A 4.100
12/03/07 4.102 P-1 A-1+
10,000,000.00 99.97722 2 9,997,722.22 9,997,722.20
====== -------------- --------------
-------------- -------------
4.316
1030910000.00 1027496024.16 1027530204.30 34,180.77
26 ITEMS IN SUBTOTAL
FOR: AGENCY DISCOUNT NOTES (TYPE 35)
AGENCY MBS (30/360) 12X 1 ( 36)
--------------------------------
44831 3128GVTY FHLMC GOLD
E91467 5.000 9/01/17 5.064 Aaa
AAA 3,826,830.14 100.26100 2
3,811,818.62 3,836,818.17 24,999.55
55971 31392WB3 FNMA PAC(11) 2512
5.500 2/15/22 5.486 Aaa
AAA 10,717,000.00 101.66598 2
10,742,117.97 10,895,543.08 153,425.11
52288 31392WJJ FHLMC SEQ 2509
CA 5.000 9/15/15 5.023 Aaa
AAA 1,398,004.40 99.90408 2
1,396,854.21 1,396,663.43 -190.78
58242 31392X2Y FHLMC PAC11
2517 O 5.000 5/15/16
5.135 Aaa AAA 14,691,629.10 100.13878 2
14,567,018.62 14,712,018.14 144,999.52
52498 31392XB9 FHLMC PAC 11
2513 6.000 2/15/32 5.942 Aaa
AAA 5,160,507.30 101.69545 2
5,207,817.44 5,248,001.12 40,183.68
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 11/30/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 11/30/07 ***
*** LGIP (3) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
52532 31392XCA FHLMC PAC 11
2513 5.500 5/15/29 5.497 Aaa
AAA 708,079.50 99.87700 2 709,254.65 707,208.56 -2,046.09
51054 31393KYD FHLMC SEQ
2574 HQ 4.500 11/15/16 4.583 Aaa AAA
3,229,817.24 99.51233 2 3,213,129.78 3,214,066.39 936.61
57953 31393LWC FHLMC PAC(11) 2592
5.000 7/15/14 5.089 Aaa
AAA 10,500,000.00 99.94759 2
10,453,854.14 10,494,496.95 40,642.81
49881 31394PVR FHLMC PAC 11
2743 4.000 4/15/21 4.021 Aaa
AAA 2,524,669.00 99.64916 2
2,521,996.37 2,515,811.45 -6,184.92
58207 31395CUZ FHLMC SEQ
2827 AT 5.000 4/15/22 5.138 Aaa
AAA 17,183,409.54 99.62099 2
16,955,871.76 17,118,282.70 162,410.94
51053 31395FEC FHLMC PAC 11
2836 5.000 5/15/22 4.971 Aaa
AAA 5,435,460.29 100.00489 2
5,456,901.38 5,435,726.08 -21,175.30
53323 31395HTQ FHLMC PAC 11
2894 5.500 12/15/24 5.508 Aaa AAA
4,484,853.50 100.39173 2 4,485,814.45 4,502,422.02 16,607.57
51769 31395JSK FHLMC EXCH,PAC 11 5.000 9/15/24 5.017 Aaa AAA 4,501,690.90 100.08972 2 4,497,911.77