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 (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
AGENCY MTN (30/360) 2X ( 21)
--------------------------------
60306 3128X1CD FHLMC 3.500 5/21/08 4.330 Aaa AAA 25,000,000.00 99.57100 2
24,903,560.69 24,892,750.00 -10,810.69
60103 3133XN3J FHLB 4.350 5/19/08 4.350 Aaa AAA 9,000,000.00 99.93750 2
9,000,000.00 8,994,375.00 -5,625.00
======
--------------
-------------- --------------
-------------
4.335
34,000,000.00 33,903,560.69 33,887,125.00 -16,435.69
2 ITEMS IN SUBTOTAL
FOR: AGENCY MTN (30/360) 2X (TYPE 21)
AGENCY STEP UP NOTE (30/3 ( 22)
--------------------------------
60277 3133XCNT FHLB STEP
CPN 4.750 2/08/08 4.486 Aaa AAA 7,120,000.00 100.06250 2
7,122,602.47 7,124,450.00 1,847.53
====== -------------- --------------
-------------- -------------
4.486
7,120,000.00
7,122,602.47 7,124,450.00 1,847.53
1 ITEM IN SUBTOTAL
FOR: AGENCY STEP UP NOTE (30/360) 2X (TYPE 22)
AGENCY NOTES (30/360) 2X (
23)
--------------------------------
59838 3128X1JB FHLMC 2.850 6/03/08 4.729 Aaa AAA 4,500,000.00 99.17300 2
4,458,303.96 4,462,785.00 4,481.04
55343 3128X4F4 FHLMC 5.000 2/08/08 5.255 Aaa AAA 24,800,000.00 100.10200 2
24,788,353.84 24,825,296.00 36,942.16
59877 3133MVZA FHLB 3.375 2/15/08 4.725 Aaa AAA 21,000,000.00 99.78125 2
20,941,244.60 20,954,062.50 12,817.90
59115 3133X9M4 FHLB 3.250 12/17/07 5.245 Aaa AAA 20,000,000.00 99.96875 2
19,982,659.39 19,993,750.00 11,090.61
57940 3133XJZT FHLB 5.125 2/22/08 5.271 Aaa AAA 18,485,000.00 100.15625 2
18,478,685.55 18,513,882.81 35,197.26
58017 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa AAA 25,000,000.00 100.71875 2
24,965,897.47 25,179,687.50 213,790.03
58040 31359M5T FNMA 5.125 9/02/08 5.117 Aaa AAA 15,000,000.00 100.59375 2
15,000,173.58 15,089,062.50 88,888.92
54996 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
57675 31359MP5 FNMA 5.250 12/03/07 5.285 Aaa AAA 11,700,000.00 100.00000 2
11,699,971.51 11,700,000.00 28.49
57839 31359MP5 FNMA 5.250 12/03/07 5.286 Aaa AAA 30,000,000.00 100.00000 2
29,999,928.11 30,000,000.00 71.89
57922 31359MP5 FNMA 5.250 12/03/07 5.273 Aaa AAA 10,000,000.00 100.00000 2
9,999,983.18 10,000,000.00 16.82
57916 31359MQM FNMA 3.250 1/15/08 5.260 Aaa AAA 10,000,000.00 99.84375 2
9,976,029.18 9,984,375.00 8,345.82
58023 31359MU4 FNMA 5.500 1/15/08 5.281 Aaa AAA 10,000,000.00 100.12500 2
10,002,457.83 10,012,500.00 10,042.17
60273 31359MU4 FNMA 5.500 1/15/08 4.496 Aaa AAA 20,000,000.00 100.12500 2
20,022,194.96 20,025,000.00 2,805.04
56099 31359MU9 FNMA 5.400 2/01/08 5.166 Aaa AAA 20,000,000.00 100.15625 2
20,007,471.39 20,031,250.00 23,778.61
55022 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
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 (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
60276 31359MXP FNMA 3.875 2/01/08 4.502 Aaa AAA 4,149,000.00 99.90625 2
4,144,300.98 4,145,110.31 809.33
58067 3136F3CT FNMA 3.250 3/17/08 5.230 Aaa AAA 2,000,000.00 99.68750 2
1,988,784.17 1,993,750.00 4,965.83
======
--------------
-------------- --------------
-------------
5.100 271,634,000.00 271,432,422.95
272,044,886.62 612,463.67
18 ITEMS IN SUBTOTAL
FOR: AGENCY NOTES (30/360) 2X (TYPE
23)
AGENCY NOTES (30/360) @ M ( 28)
--------------------------------
60215 3133XNEU FHLB 4.450 3/26/08 4.450 Aaa AAA 41,000,000.00 99.87500 2
41,000,000.00 40,948,750.00 -51,250.00
====== -------------- -------------- -------------- -------------
4.450
41,000,000.00 41,000,000.00 40,948,750.00 -51,250.00
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
24,997,331.69 25,007,812.50 10,480.81
====== -------------- --------------
-------------- -------------
5.019
25,000,000.00 24,997,331.69 25,007,812.50 10,480.81
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 99.99500 2 9,995,334.65 9,999,500.00 4,165.35
59322 3128X5Y6 FHLMC
FLOATING QRT 5.071 9/30/08
5.105 Aaa
AAA
10,000,000.00 99.99500 2 9,995,402.00 9,999,500.00 4,098.00
59471 31331X3P FFCB
FLOATING QRTL 4.540 3/17/09
4.529 Aaa
AAA
25,000,000.00 99.98000 2 25,000,000.00
24,995,000.00 -5,000.00
59298 3133XK7D FHLB
FLOATING QRTL 5.544 9/17/08
5.569 Aaa
AAA
20,000,000.00 100.02900 2 19,992,870.13
20,005,800.00 12,929.87
60140 3133XL6T FHLB
FLOATING QRTL 5.534
12/15/08 5.404 Aaa AAA 20,000,000.00 100.02200 2
20,022,896.94 20,004,400.00 -18,496.94
59314 3133XLMS FHLB
FLOATING QRTL 5.074 1/05/09
5.112 Aaa
AAA
20,000,000.00 100.01400 2 19,985,589.82
20,002,800.00 17,210.18
59416 3133XLMS FHLB
FLOATING QRTL 5.074 1/05/09
5.113 Aaa
AAA
15,000,000.00 100.01400 2 14,990,139.34
15,002,100.00 11,960.66
59113 3133XLX9 FHLB
FLOATING QRTL 4.767 2/11/09
4.740 Aaa
AAA
20,000,000.00 99.94500 2 20,000,000.00
19,989,000.00 -11,000.00
59658 3133XLX9 FHLB
FLOATING QRTL 4.767 2/11/09
4.681 Aaa
AAA
29,000,000.00 99.94500 2 29,021,464.61
28,984,050.00 -37,414.61
59960 3133XMW3 FHLB
FLOATING QRTL 4.707 5/13/09
4.689 Aaa
AAA
20,000,000.00 99.88700 2 20,000,000.00
19,977,400.00 -22,600.00
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 (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
60141 3133XNCD FHLB 4.739 5/20/09 4.721 Aaa AAA 20,000,000.00 99.88700 2
20,000,000.00 19,977,400.00 -22,600.00
60146 3133XNDG FHLB
FLOATING QRTL 4.802
11/20/09 4.788 Aaa AAA 15,000,000.00 99.83500 2
15,000,000.00 14,975,250.00 -24,750.00
======
--------------
-------------- --------------
-------------
4.930
224,000,000.00
224,003,697.49 223,912,200.00
-91,497.49
12 ITEMS IN SUBTOTAL
FOR: AGENCY NOTE-VAR (ACT/360) 4X (TYPE
30)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
60253 31315KRB FAMC
DISCOUNT 4.340 12/28/07 4.356 P-1 A-1+
50,000,000.00 99.67450 2 49,837,250.00
49,837,250.00
60019 313312QD FFCB
DISCOUNT 4.330 12/06/07 4.346 P-1 A-1+
20,000,000.00 99.93986 2 19,987,972.22
19,987,972.20
60018 313312QL FFCB
DISCOUNT 4.320 12/13/07 4.339 P-1 A-1+
20,000,000.00 99.85600 2 19,971,200.00
19,971,200.00
60035 313312QS FFCB
DISCOUNT 4.310 12/19/07 4.332 P-1 A-1+
20,000,000.00 99.78450 2 19,956,900.00
19,956,900.00
60308 313384QA FHLB
DISCOUNT 3.750 12/03/07 3.751 P-1 A-1+
50,000,000.00 99.97917 2 49,989,583.33
49,989,583.50
60017 313384QH FHLB
DISCOUNT 4.300 12/10/07 4.318 P-1 A-1+
20,000,000.00 99.89500 2 19,978,500.00
19,979,000.00 500.00
60016 313384QJ FHLB
DISCOUNT 4.300 12/11/07 4.318 P-1 A-1+
20,000,000.00 99.88333 2 19,976,111.11
19,976,666.60 555.49
60015 313384QK FHLB
DISCOUNT 4.300 12/12/07 4.319 P-1 A-1+
20,000,000.00 99.87075 2 19,973,722.22
19,974,150.00 427.78
60124 313384QK FHLB
DISCOUNT 4.350 12/12/07 4.364 P-1 A-1+
35,000,000.00 99.87075 2 34,953,479.16
34,954,762.50 1,283.34
60014 313384QM FHLB
DISCOUNT 4.300 12/14/07 4.320 P-1 A-1+
20,000,000.00 99.84725 2 19,968,944.44
19,969,450.00 505.56
60203 313384QZ FHLB
DISCOUNT 4.320 12/26/07 4.336 P-1 A-1+ 120,000,000.00 99.70208 2 119,640,000.00
119,642,499.60 2,499.60
60271 313384QZ FHLB
DISCOUNT 4.340 12/26/07 4.355 P-1 A-1+
30,000,000.00 99.70208 2 29,909,583.33
29,910,624.90 1,041.57
60310 313384RB FHLB DISCOUNT 4.250 12/28/07 4.264 P-1 A-1+
50,000,000.00 99.68125 2 49,840,625.00
49,840,625.00
59952 313384RG FHLB
DISCOUNT 4.350 1/02/08 4.383 P-1
A-1+ 60,000,000.00 99.61333 2
59,768,000.00 59,767,999.80
59988 313384RJ FHLB
DISCOUNT 4.370 1/04/08 4.404 P-1
A-1+ 20,000,000.00 99.58822 2
19,917,455.56 19,917,644.40 188.84
60000 313384RJ FHLB
DISCOUNT 4.360 1/04/08 4.392 P-1
A-1+ 30,000,000.00 99.58822 2
29,876,466.67 29,876,466.60
60309 313384SN FHLB
DISCOUNT 4.290 2/01/08 4.322 P-1
A-1+ 50,000,000.00 99.26117 2
49,630,583.33 49,630,583.50
60266 313384TQ FHLB
DISCOUNT 4.296 2/27/08 4.343 P-1
A-1+ 100,000,000.00 98.94987
2 98,949,866.67 98,949,867.00
59651 313396QE FHLMC
DISCOUNT 4.540 12/07/07 4.582 P-1 A-1+
50,000,000.00 99.92433 2 49,962,166.67
49,962,166.50
60267 313396QQ FHLMC
DISCOUNT 4.320 12/17/07 4.330 P-1 A-1+
17,950,000.00 99.80800 2 17,915,536.00
17,915,536.00
60193 313396QT FHLMC
DISCOUNT 4.380 12/20/07 4.394 P-1 A-1+
60,000,000.00 99.77094 2 59,861,300.00
59,862,566.40 1,266.40
60241 313396QT FHLMC
DISCOUNT 4.340 12/20/07 4.352 P-1 A-1+
23,169,000.00 99.77094 2 23,115,930.12
23,115,930.02
60178 313396QX FHLMC
DISCOUNT 4.370 12/24/07 4.388 P-1 A-1+
60,000,000.00 99.72081 2 59,832,483.35
59,832,483.60
59999 313396RB FHLMC
DISCOUNT 4.360 12/28/07 4.388 P-1 A-1+
30,000,000.00 99.67300 2 29,901,900.00
29,901,900.00
59981 313396RE FHLMC
DISCOUNT 4.340 12/31/07 4.371 P-1 A-1+
25,000,000.00 99.63833 2 24,909,583.33
24,909,583.25
60164 313396RE FHLMC
DISCOUNT 4.360 12/31/07 4.382 P-1 A-1+
40,000,000.00 99.63833 2 39,854,666.67
39,855,333.20 666.53
60239 313396TN FHLMC
DISCOUNT 4.282 2/25/08 4.328 P-1
A-1+ 28,550,000.00 98.97708 2
28,257,955.71 28,257,955.77
58314 313396WF FHLMC
DISCOUNT 5.030 4/30/08 5.274 P-1
A-1+ 40,000,000.00 98.28000 2
39,156,077.78 39,312,000.00 155,922.22
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 11/30/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 11/30/07 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
59980 313588QB FNMA
DISCOUNT 4.320 12/04/07 4.337 P-1 A-1+
35,000,000.00 99.96400 2 34,987,400.00
34,987,400.00
59465 313588QC FNMA
DISCOUNT 4.750 12/05/07 4.805 P-1 A-1+
26,847,000.00 99.94722 2 26,832,830.75
26,832,830.69
60034 313588QT FNMA
DISCOUNT 4.290 12/20/07 4.312 P-1 A-1+
20,000,000.00 99.77358 2 19,954,716.67
19,954,716.60
59905 313588RJ FNMA
DISCOUNT 4.370 1/04/08 4.407 P-1
A-1+ 50,000,000.00 99.58728 2
49,793,638.89 49,793,639.00
60311 313588YQ FNMA
DISCOUNT 3.990 6/26/08 4.085 P-1
A-1+ 25,000,000.00 97.72000 2
24,423,666.66 24,430,000.00 6,333.34
====== -------------- --------------
-------------- -------------
4.371
1266516000.00 1260886095.64 1261057286.63 171,190.67
33 ITEMS IN SUBTOTAL
FOR: AGENCY DISCOUNT NOTES (TYPE 35)