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 12/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 12/31/07 ***
*** STATE AGENCIES II-DIVERSIFIED (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 10,000,000.00 100.82813 2
10,003,282.16 10,082,812.50 79,530.34
58252 912828FV U S TREASURY NOTE 4.875 10/31/08 5.008 Aaa AAA 10,000,000.00 101.21100 2
9,989,246.13 10,121,100.00 131,853.87
======
--------------
-------------- --------------
-------------
5.030
20,000,000.00
19,992,528.29 20,203,912.50 211,384.21
2 ITEMS IN SUBTOTAL FOR: U.S. TREASURY NOTES & BONDS (TYPE
12)
AGENCY MTN
(30/360) 2X ( 21)
--------------------------------
60384 3128X54V FHLMC 5.500 5/01/12
4.741 Aaa
AAA
35,000,000.00 100.54400 2 35,083,547.62
35,190,400.00 106,852.38
59520 3128X6BP FHLMC 5.700 6/12/12
5.534 Aaa
AAA
21,575,000.00 100.80800 2 21,589,222.05
21,749,326.00 160,103.95
59507 3128X6ML FHLMC 5.000 10/01/10 5.000 Aaa AAA 20,000,000.00 100.65700 2
20,000,000.00 20,131,400.00 131,400.00
59662 3133XMJ3 FHLB 5.350 10/03/12 5.350 Aaa AAA 17,500,000.00 101.03125 2
17,500,000.00 17,680,468.75 180,468.75
59748 3133XMM2 FHLB 5.000 10/22/10 5.000 Aaa AAA 20,000,000.00 100.71875 2
20,000,000.00 20,143,750.00 143,750.00
60341 31359M6B FNMA 5.200 3/26/10
4.607 Aaa
AAA
65,000,000.00 100.31250 2 65,081,441.63
65,203,125.00 121,683.37
59617 31359MN4 FNMA 5.700 5/12/11
4.894 Aaa
AAA
20,000,000.00 100.62500 2 20,056,013.91
20,125,000.00 68,986.09
59360 3136F8JS FNMA 5.350 4/12/10
5.350 Aaa
AAA
32,582,000.00 100.03125 2 32,582,000.00
32,592,181.88 10,181.88
======
--------------
-------------- --------------
-------------
4.967 231,657,000.00 231,892,225.21
232,815,651.63 923,426.42
8 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
24,998,646.60 25,007,812.50 9,165.90
====== -------------- -------------- -------------- -------------
5.010
25,000,000.00
24,998,646.60 25,007,812.50 9,165.90
1 ITEM IN SUBTOTAL FOR: AGENCY STEP UP NOTE (30/360) 2X (TYPE
22)
AGENCY NOTES (30/360) 2X ( 23)
--------------------------------
57923 3128X5K8 FHLMC 5.400 3/02/12
5.398 Aaa
AAA
20,000,000.00 101.00900 2 20,000,000.00
20,201,800.00 201,800.00
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 12/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 12/31/07 ***
*** STATE AGENCIES II-DIVERSIFIED (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 10,000,000.00 100.91900 2
9,998,017.68 10,091,900.00 93,882.32
56121 3128X5NT FHLMC 5.350 11/14/11 5.375 Aaa AAA 10,000,000.00 100.91900 2
9,990,935.17 10,091,900.00 100,964.83
57172 3128X5R7 FHLMC 5.250 3/15/12
5.271 Aaa
AAA
10,000,000.00 100.56600 2 9,992,404.82
10,056,600.00 64,195.18
49796 3133XBFJ FHLB 5.170 4/21/10
4.251 Aaa
AAA
3,500,000.00 100.34375 2 3,500,000.00 3,512,031.25 12,031.25
58158 3133XFLG FHLB 5.250 6/12/09
5.050 Aaa
AAA
25,000,000.00 102.18750 2 25,067,142.48
25,546,875.00 479,732.52
58087 3133XJ3D FHLB 4.875 6/04/08
5.183 Aaa
AAA
25,000,000.00 100.12500 2 24,968,414.71
25,031,250.00 62,835.29
58016 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa AAA 50,000,000.00 100.65625 2
49,937,767.69 50,328,125.00 390,357.31
58089 3134A2DT FHLMC 5.750 4/15/08
5.224 Aaa
AAA
25,000,000.00 100.37500 2 25,035,867.12
25,093,750.00 57,882.88
56501 31359M4P FNMA 5.500 1/23/12
5.507 Aaa
AAA
20,000,000.00 100.03125 2 19,994,802.19
20,006,250.00 11,447.81
58062 31359M5C FNMA 5.375 2/12/10
5.374 Aaa
AAA
25,000,000.00 100.15625 2 24,998,845.12
25,039,062.50 40,217.38
58039 31359M5T FNMA 5.125 9/02/08
5.117 Aaa
AAA
25,000,000.00 100.53125 2 25,000,256.81
25,132,812.50 132,555.69
57367 31359M6L FNMA 5.390 3/27/12
5.392 Aaa
AAA
25,000,000.00 100.37500 2 24,997,881.98
25,093,750.00 95,868.02
58063 31359M7T FNMA 5.300 4/16/10
5.382 Aaa
AAA
25,000,000.00 100.37500 2 24,993,945.10
25,093,750.00 99,804.90
54995 31359MF3 FNMA 5.000 7/25/08
5.220 Aaa
AAA
15,000,000.00 100.34375 2 14,982,148.68
15,051,562.50 69,413.82
60274 31359MU4 FNMA 5.500 1/15/08
4.496 Aaa
AAA
50,000,000.00 100.03125 2 50,017,262.74
50,015,625.00 -1,637.74
56098 31359MU9 FNMA 5.400 2/01/08
5.166 Aaa
AAA
10,000,000.00 100.06250 2 10,001,867.85
10,006,250.00 4,382.15
55021 31359MX4 FNMA 5.000 9/15/08
5.047 Aaa
AAA
10,000,000.00 100.71875 2 9,996,894.12
10,071,875.00 74,980.88
58185 3137EAAT FHLMC 5.000 6/11/09
5.076 Aaa
AAA
25,000,000.00 101.84375 2 24,973,755.68
25,460,937.50 487,181.82
======
--------------
-------------- --------------
-------------
5.127 408,500,000.00 408,448,209.94
410,926,106.25 2,477,896.31
19 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 99.52500 2
6,999,325.67 6,966,750.00 -32,575.67
60114 3133XMXZ FHLB FLOATING QRTL 4.905 11/16/12 4.905 Aaa AAA 39,500,000.00 100.05900 2
39,500,000.00 39,523,305.00 23,305.00
======
--------------
-------------- --------------
-------------
4.697
46,500,000.00
46,499,325.67 46,490,055.00 -9,270.67
2 ITEMS IN SUBTOTAL FOR: AGENCY NOTES-VAR (30/360) 4X (TYPE
25)
AGENCY DISCOUNT NOTES (
35)
--------------------------------
60407 313384RH FHLB DISCOUNT 4.220
1/03/08 4.232 P-1 A-1+
25,000,000.00 99.97656 2 24,994,138.89
24,994,139.00
60483 313384RM FHLB DISCOUNT 4.260
1/07/08 4.269 P-1 A-1+
30,000,000.00 99.94167 2 29,978,700.00
29,982,500.10 3,800.10
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 12/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 12/31/07 ***
*** STATE AGENCIES II-DIVERSIFIED (3) ***
==============================================================================================================================================
Pos#
Sec-Id Description RATE
Maturity YIELD MOO S&P
POSITION-SIZE # PRICE
$ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
60484 313384RP FHLB DISCOUNT 4.300
1/09/08 4.310 P-1 A-1+
10,000,000.00 99.90444 2 9,990,444.44 9,990,444.40
60230 313384SF FHLB DISCOUNT 4.280
1/25/08 4.310 P-1 A-1+
25,000,000.00 99.71067 2 24,928,666.67
24,927,666.75 -999.92
60514 313384SF FHLB DISCOUNT 4.340
1/25/08 4.356 P-1 A-1+
50,000,000.00 99.71067 2 49,855,333.34
49,855,333.50
60486 313396RN FHLMC DISCOUNT 4.280
1/08/08 4.290 P-1 A-1+
30,000,000.00 99.91678 2 29,975,033.33
29,975,033.40
60392 313396RV FHLMC DISCOUNT 4.220
1/15/08 4.239 P-1 A-1+
50,000,000.00 99.85417 2 49,917,944.44
49,927,083.50 9,139.06
60297 313396SC FHLMC DISCOUNT 4.200
1/22/08 4.227 P-1 A-1+
30,000,000.00 99.75500 2 29,926,500.00
29,926,500.00
60518 313396SD FHLMC DISCOUNT 4.350
1/23/08 4.365 P-1 A-1+
50,000,000.00 99.73417 2 49,867,083.33
49,867,083.50
60537 313396SE FHLMC DISCOUNT 4.300
1/24/08 4.314 P-1 A-1+
25,000,000.00 99.72528 2 24,931,319.45
24,931,319.50
60372 313396TC FHLMC DISCOUNT 4.220
2/15/08 4.255 P-1 A-1+
20,000,000.00 99.47250 2 19,894,500.00
19,894,500.00
60533 313396TJ FHLMC DISCOUNT 4.290
2/21/08 4.319 P-1 A-1+
20,000,000.00 99.39225 2 19,878,450.00
19,878,450.00
60220 313396TN FHLMC DISCOUNT 4.285
2/25/08 4.331 P-1 A-1+
25,000,000.00 99.34581 2 24,836,336.81
24,836,451.50 114.69
60232 313396TN FHLMC DISCOUNT 4.282
2/25/08 4.328 P-1 A-1+
25,000,000.00 99.34581 2 24,836,451.39
24,836,451.50
60226 313396VK FHLMC DISCOUNT 4.200
4/10/08 4.267 P-1 A-1+
25,910,000.00 98.87000 2 25,607,716.67
25,617,217.00 9,500.33
60405 313588RG FNMA DISCOUNT 4.220
1/02/08 4.231 P-1 A-1+
25,000,000.00 99.98828 2 24,997,069.44
24,997,069.50
57794 313588RJ FNMA DISCOUNT 5.010
1/04/08 5.193 P-1 A-1+
25,000,000.00 99.96358 2 24,989,562.50
24,990,895.75 1,333.25
60513 313588RR FNMA DISCOUNT 4.300
1/11/08 4.308 P-1 A-1+
50,000,000.00 99.88056 2 49,940,277.78
49,940,278.00
60564 313588RV FNMA DISCOUNT 4.150
1/15/08 4.159 P-1 A-1+
50,000,000.00 99.83861 2 49,919,305.56
49,919,305.50
60568 313588RV FNMA DISCOUNT 4.150
1/15/08 4.159 P-1 A-1+
40,000,000.00 99.83861 2 39,935,444.44
39,935,444.40
60531 313588SS FNMA DISCOUNT 4.290
2/05/08 4.311 P-1 A-1+
25,000,000.00 99.58292 2 24,895,729.17
24,895,729.25
60535 313588ST FNMA DISCOUNT 4.290
2/06/08 4.311 P-1 A-1+ 25,000,000.00 99.57100 2
24,892,750.00 24,892,750.00
60541 313588SU FNMA DISCOUNT 4.290
2/07/08 4.312 P-1 A-1+
25,000,000.00 99.55908 2 24,889,770.83
24,889,770.75
60539 313588SV FNMA DISCOUNT 4.290
2/08/08 4.312 P-1 A-1+
25,000,000.00 99.54717 2 24,886,791.66
24,886,791.75
60227 313588UP FNMA DISCOUNT 4.230
3/21/08 4.288 P-1 A-1+
25,000,000.00 99.06000 2 24,765,000.00
24,765,000.00
====== -------------- -------------- -------------- -------------
4.310
755,910,000.00
753,530,320.14 753,553,208.55
22,887.51
25 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 3,794,612.53 100.24500 2
3,779,856.94 3,803,909.33 24,052.39
55971 31392WB3 FNMA PAC(11) 2512 5.500
2/15/22 5.486 Aaa AAA 10,717,000.00 102.00587 2
10,741,967.94 10,931,969.09 190,001.15
52288 31392WJJ FHLMC SEQ 2509 CA 5.000
9/15/15 5.023 Aaa AAA 1,230,086.80 99.91718 2
1,229,085.79 1,229,068.04 -17.75
58242 31392X2Y FHLMC PAC11 2517 O 5.000
5/15/16 5.135 Aaa AAA 14,251,645.05 100.28469 2
14,131,979.88 14,292,218.06 160,238.18
52498 31392XB9 FHLMC PAC 11 2513 6.000
2/15/32 5.942 Aaa AAA 5,077,497.10 101.54264 2
5,123,883.03 5,155,824.60 31,941.57
52532 31392XCA FHLMC PAC 11 2513 5.500
5/15/29 5.497 Aaa AAA 505,991.50 99.93136 2 506,827.94 505,644.19 -1,183.75
51054 31393KYD FHLMC SEQ 2574 HQ 4.500 11/15/16 4.583 Aaa AAA 3,152,123.78 100.10266 2
3,135,992.04 3,155,359.75 19,367.71
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 12/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 12/31/07 ***
*** STATE AGENCIES II-DIVERSIFIED (3) ***
==============================================================================================================================================
Pos#
Sec-Id Description RATE
Maturity YIELD MOO S&P
POSITION-SIZE # PRICE
$ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
57953 31393LWC FHLMC PAC(11) 2592 5.000
7/15/14 5.089 Aaa AAA 10,500,000.00 100.00160 2
10,454,445.75 10,500,168.00 45,722.25
49881 31394PVR FHLMC PAC 11 2743 4.000
4/15/21 4.021 Aaa AAA 2,315,692.20 99.67180 2
2,313,256.35 2,308,092.10 -5,164.25
58207 31395CUZ FHLMC SEQ 2827 AT 5.000
4/15/22 5.138 Aaa AAA 16,944,535.41 100.36347 2
16,721,485.86 17,006,123.71 284,637.85
51053 31395FEC FHLMC PAC 11 2836 5.000
5/15/22 4.971 Aaa AAA 5,153,241.47 100.00087 2
5,173,449.93 5,153,286.30 -20,163.63
53323 31395HTQ FHLMC PAC 11 2894 5.500 12/15/24 5.508 Aaa AAA 4,313,921.10 100.57889 2
4,314,840.82 4,338,893.96 24,053.14
51769 31395JSK FHLMC EXCH,PAC 11 5.000
9/15/24 5.017 Aaa AAA 4,316,966.40 100.11326 2
4,313,360.66 4,321,855.80 8,495.14
58206 31395KFW FHLMC EXCH SEQ 289 5.000
4/15/19 5.168 Aaa AAA 12,360,573.17 100.38244 2
12,193,610.89 12,407,844.95 214,234.06
50270 31395KNR FHLMC SEQ,NAS 2903 4.500
1/15/18 4.521 Aaa AAA 3,373,426.30 99.74913 2
3,370,451.35 3,364,963.39 -5,487.96
52234 31395L3Y FHLMC SEQ 2918 ME 5.000 10/15/25 5.024 Aaa AAA 3,142,646.70 100.25318 2
3,137,330.31 3,150,603.25 13,272.94
54286 31395PNH FHLMC PAC 11 2948 5.000 10/15/25 5.126 Aaa AAA 8,340,674.55 100.21461 2
8,226,319.51 8,358,574.47 132,254.96
56101 31395T6X FNMA EXCH,SEQ 2965 5.000 10/15/22 5.138 Aaa AAA 16,295,734.25 100.24654 2
16,078,621.38 16,335,909.75 257,288.37
51770 31395TKK FHLMC EXCH,PAC-1 1 5.000 10/15/24 5.028 Aaa AAA 5,317,888.50 100.07375 2
5,307,148.51 5,321,810.44 14,661.93
51645 31395TWE FHLMC SEQ 2970 YA
5.000 9/15/18 5.051 Aaa AAA 5,484,383.40 100.45091 2
5,466,446.49 5,509,113.03 42,666.54
50327 31395WNR FHLMC SEQ 3000 BA 4.500
7/15/23 4.592 Aaa AAA 5,196,074.60 99.76733 2
5,149,283.41 5,183,984.89 34,701.48
51222 31396C3C FHLMC MR,EXCH,SEQ 5.125 10/15/15 5.163 Aaa AAA 6,634,436.40 100.42249 2
6,622,901.11 6,662,466.23 39,565.12
55303 31396NSD FHLMC PAC-1(11) 31 5.500 11/15/26 5.496 Aaa AAA 16,130,936.80 101.27816 2
16,158,175.45 16,337,115.98 178,940.53
55381 31396NSD FHLMC PAC-1(11) 31 5.500 11/15/26 5.498 Aaa AAA 8,065,468.40 101.27816 2
8,077,325.84 8,168,557.99 91,232.15
54382 31396RX8 FHLMC PAC-1 11 317 6.000 12/15/26 5.975 Aaa AAA 8,158,517.90 101.41753 2
8,191,673.17 8,274,167.34 82,494.17
58205 31396UNL FHLMC EXCH SEQ 318 5.000 11/15/32 5.150 Aaa AAA 16,577,352.40 99.91098 2
16,230,771.72 16,562,595.24 331,823.52
55390 31397AED FNMA SC EXCH SEQ 3 5.500
8/15/13 5.544 Aaa AAA 13,598,307.20 101.42838 2
13,576,803.99 13,792,542.70 215,738.71
56911 31397EUZ FHLMC MR SEQ R010 5.500 12/15/19 5.545 Aaa AAA 17,744,493.40 101.10207 2
17,690,233.74 17,940,050.14 249,816.40
58174 31397G7M FHLMC MR SEQ R011 5.500 12/15/20 5.579 Aaa AAA 18,325,914.60 101.16139 2
18,207,597.30 18,538,749.94 331,152.64
57690 31397GB9 FHLMC GOLD SERIES 5.000
4/01/37 5.103 Aaa AAA 18,780,951.80 100.00031 2
18,492,670.49 18,781,010.02 288,339.53
======
-------------- --------------
-------------- -------------
5.263
265,801,093.71
264,117,797.59 267,392,472.68
3,274,675.09
30 ITEMS IN SUBTOTAL FOR: AGENCY MBS (30/360) 12X 14 DY DL (TYPE 36)
AGENCY MBS (30/360) 12X 2 ( 39)
--------------------------------
51175 31392EU3 FNMA SEQ 2002-66 A 5.000
5/25/30 5.011 Aaa AAA 499,501.98 99.79419 2 499,466.44 498,473.95 -992.49
52783 31392FC3 FNMA PAC 11 2002-7 5.500 12/25/15 5.504 Aaa AAA 3,798,381.00 100.18202 2
3,799,831.56 3,805,294.81 5,463.25
49417 31392FST FNMA EXCH,PAC 11 2 4.250
3/25/15 4.254 Aaa AAA 3,079,119.53 99.44011 2
3,080,180.93 3,061,879.85 -18,301.08
55301 31392FT9 FNMA PAC(11) 2002- 5.000
5/25/14 5.109 Aaa AAA 4,660,379.27 99.81148 2
4,635,886.28 4,651,593.52 15,707.24
58243 31392FZ2 FNMA EXCH PAC 2002 5.000
7/25/16 5.192 Aaa AAA 20,000,000.00 100.32169 2
19,751,160.53 20,064,338.00 313,177.47
51632 31392GPK FNMA SEQ 2002-89 C 5.000
4/25/16 5.029 Aaa AAA 5,509,683.30 99.99723 2
5,502,801.18 5,509,530.68 6,729.50
54269 31392HTR FNMA PAC 11 2003-1 5.500
4/25/28 5.580 Aaa AAA 5,604,733.40 100.53898 2
5,555,747.44 5,634,941.79 79,194.35
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 12/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 12/31/07 ***
*** STATE AGENCIES II-DIVERSIFIED (3) ***
==============================================================================================================================================
Pos# Sec-Id Description