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 ***
*** 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 99.51200 2
24,920,942.20 24,878,000.00 -42,942.20
60103 3133XN3J FHLB 4.350 5/19/08 4.350 Aaa AAA 9,000,000.00 99.90625 2
9,000,000.00 8,991,562.50 -8,437.50
======
--------------
-------------- --------------
-------------
4.335 34,000,000.00 33,920,942.20 33,869,562.50 -51,379.70
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 7,120,000.00 100.00000 2
7,121,433.24 7,120,000.00 -1,433.24
====== -------------- -------------- -------------- -------------
4.486
7,120,000.00
7,121,433.24 7,120,000.00 -1,433.24
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 99.18200 2
4,465,290.87 4,463,190.00 -2,100.87
55343 3128X4F4 FHLMC 5.000 2/08/08 5.255 Aaa AAA 24,800,000.00 100.03400 2
24,793,586.17 24,808,432.00 14,845.83
59877 3133MVZA FHLB 3.375 2/15/08 4.725 Aaa AAA 21,000,000.00 99.84375 2
20,965,210.62 20,967,187.50 1,976.88
57940 3133XJZT FHLB 5.125 2/22/08 5.271 Aaa AAA 18,485,000.00 100.06250 2
18,481,043.96 18,496,553.12 15,509.16
58017 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa AAA 25,000,000.00 100.65625 2
24,968,883.85 25,164,062.50 195,178.65
58040 31359M5T FNMA 5.125 9/02/08 5.117 Aaa AAA 15,000,000.00 100.53125 2
15,000,154.09 15,079,687.50 79,533.41
54996 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
57916 31359MQM FNMA 3.250 1/15/08 5.260 Aaa AAA 10,000,000.00 99.93750 2
9,992,542.41 9,993,750.00 1,207.59
58023 31359MU4 FNMA 5.500 1/15/08 5.281 Aaa AAA 10,000,000.00 100.03125 2
10,000,764.66 10,003,125.00 2,360.34
60273 31359MU4 FNMA 5.500 1/15/08 4.496 Aaa AAA 20,000,000.00 100.03125 2
20,006,905.10 20,006,250.00 -655.10
56099 31359MU9 FNMA 5.400 2/01/08 5.166 Aaa AAA 20,000,000.00 100.06250 2
20,003,735.70 20,012,500.00 8,764.30
55022 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
60276 31359MXP FNMA 3.875 2/01/08 4.502 Aaa AAA 4,149,000.00 99.93750 2
4,146,650.49 4,146,406.88 -243.61
60464 31359MZT FNMA 4.625 1/15/08 4.418 Aaa AAA 50,233,000.00 100.00000 2
50,235,257.98 50,233,000.00 -2,257.98
58067 3136F3CT FNMA 3.250 3/17/08 5.230 Aaa AAA 2,000,000.00 99.71875 2
1,992,033.62 1,994,375.00 2,341.38
====== -------------- --------------
-------------- -------------
4.913
250,167,000.00
250,031,102.32 250,491,957.00
460,854.68
15 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 12/31/07
(SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 12/31/07 ***
*** 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) @ M ( 28)
--------------------------------
60215 3133XNEU FHLB 4.450 3/26/08 4.450 Aaa AAA 41,000,000.00 99.84375 2
41,000,000.00 40,935,937.50 -64,062.50
======
--------------
-------------- --------------
-------------
4.450 41,000,000.00 41,000,000.00 40,935,937.50 -64,062.50
1 ITEM IN SUBTOTAL
FOR: AGENCY NOTES (30/360) @ MATURITY
(TYPE 28)
AGENCY NOTE-VAR (ACT/360) ( 30)
--------------------------------
59303 3128X5Y6 FHLMC
FLOATING QRT 4.670 9/30/08
4.700 Aaa
AAA
10,000,000.00 99.99200 2 9,995,810.39 9,999,200.00 3,389.61
59322 3128X5Y6 FHLMC
FLOATING QRT 4.670 9/30/08
4.699 Aaa
AAA
10,000,000.00 99.99200 2 9,995,870.88 9,999,200.00 3,329.12
59471 31331X3P FFCB
FLOATING QRTL 4.290 3/17/09
4.280 Aaa
AAA
25,000,000.00 99.98300 2 25,000,000.00
24,995,750.00 -4,250.00
59298 3133XK7D FHLB
FLOATING QRTL 4.841 9/17/08
4.862 Aaa
AAA
20,000,000.00 100.06250 2 19,993,629.67
20,012,500.00 18,870.33
60140 3133XL6T FHLB
FLOATING QRTL 4.831
12/15/08 4.704 Aaa AAA 20,000,000.00 100.06100 2
20,021,029.03 20,012,200.00 -8,829.03
59314 3133XLMS FHLB
FLOATING QRTL 5.074 1/05/09
5.112 Aaa
AAA
20,000,000.00 100.01200 2 19,986,703.82
20,002,400.00 15,696.18
59416 3133XLMS FHLB
FLOATING QRTL 5.074 1/05/09
5.113 Aaa
AAA
15,000,000.00 100.01200 2 14,990,901.64
15,001,800.00 10,898.36
59113 3133XLX9 FHLB
FLOATING QRTL 4.767 2/11/09
4.740 Aaa
AAA
20,000,000.00 100.00900 2 20,000,000.00
20,001,800.00 1,800.00
59658 3133XLX9 FHLB
FLOATING QRTL 4.767 2/11/09
4.681 Aaa
AAA
29,000,000.00 100.00900 2 29,019,945.43
29,002,610.00 -17,335.43
59960 3133XMW3 FHLB
FLOATING QRTL 4.707 5/13/09
4.689 Aaa
AAA
20,000,000.00 99.95600 2 20,000,000.00
19,991,200.00 -8,800.00
60141 3133XNCD FHLB
FLOATING QRTL 4.739 5/20/09
4.721 Aaa
AAA
20,000,000.00 99.95700 2 20,000,000.00
19,991,400.00 -8,600.00
60146 3133XNDG FHLB
FLOATING QRTL 4.802
11/20/09 4.788 Aaa AAA 15,000,000.00 99.90900 2
15,000,000.00 14,986,350.00 -13,650.00
60481 3133XNFK FHLB
FLOATING QRTL 4.785
11/26/08 4.728 Aaa AAA 25,000,000.00 99.97700 2
25,005,861.84 24,994,250.00 -11,611.84
60498 3133XNUM FHLB FLOATIMG
QRTL 4.674
12/24/08 4.661 Aaa AAA 25,000,000.00 99.83000 2
25,000,000.00 24,957,500.00 -42,500.00
======
--------------
-------------- --------------
-------------
4.732
274,000,000.00
274,009,752.70 273,948,160.00
-61,592.70
14 ITEMS IN SUBTOTAL
FOR: AGENCY NOTE-VAR (ACT/360) 4X (TYPE
30)
AGENCY DISCOUNT
NOTES ( 35)
--------------------------------
59952 313384RG FHLB
DISCOUNT 4.350 1/02/08 4.383 P-1
A-1+ 60,000,000.00 99.98792 2
59,992,750.00 59,992,750.20
59988 313384RJ FHLB
DISCOUNT 4.370 1/04/08 4.404 P-1
A-1+ 20,000,000.00 99.96367 2
19,992,716.67 19,992,733.40 16.73
60000 313384RJ FHLB
DISCOUNT 4.360 1/04/08 4.392 P-1
A-1+ 30,000,000.00 99.96367 2
29,989,100.00 29,989,100.10
60576 313384RM FHLB
DISCOUNT 3.500 1/07/08 3.502 P-1
A-1+ 50,000,000.00 99.94167 2
49,970,833.33 49,970,833.50
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 12/31/07
(SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 12/31/07 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
60456 313384RP FHLB DISCOUNT 4.260 1/09/08 4.271 P-1
A-1+ 5,000,000.00 99.90444 2
4,995,266.67 4,995,222.20 -44.47
60512 313384RU FHLB
DISCOUNT 4.250 1/14/08 4.260 P-1
A-1+ 50,000,000.00 99.84653 2
49,923,263.89 49,923,264.00
60517 313384RX FHLB
DISCOUNT 4.350 1/17/08 4.362 P-1
A-1+ 50,000,000.00 99.80667 2
49,903,333.33 49,903,333.50
60515 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
60309 313384SN FHLB
DISCOUNT 4.290 2/01/08 4.322 P-1
A-1+ 50,000,000.00 99.63489 2
49,815,291.67 49,817,444.50 2,152.83
60376 313384SN FHLB
DISCOUNT 4.240 2/01/08 4.269 P-1
A-1+ 35,000,000.00 99.63489 2
34,872,211.11 34,872,211.15
60461 313384SS FHLB
DISCOUNT 4.260 2/05/08 4.285 P-1
A-1+ 22,988,000.00 99.58583 2
22,892,791.36 22,892,791.29
60266 313384TQ FHLB
DISCOUNT 4.296 2/27/08 4.343 P-1
A-1+ 100,000,000.00 99.31980
2 99,319,800.00 99,319,800.00
60494 313384US FHLB
DISCOUNT 4.260 3/24/08 4.308 P-1
A-1+ 10,000,000.00 99.02014 2
9,901,783.34 9,902,013.90 230.56
60495 313384US FHLB
DISCOUNT 4.250 3/24/08 4.298 P-1
A-1+ 50,000,000.00 99.02014 2
49,510,069.45 49,510,069.50
60496 313384YJ FHLB
DISCOUNT 4.125 6/20/08 4.213 P-1
A-1+ 48,279,000.00 98.13000 2
47,333,033.35 47,376,182.70 43,149.35
60577 313396RV FHLMC
DISCOUNT 3.750 1/15/08 3.756 P-1
A-1+ 120,000,000.00 99.85417 2
119,825,000.00 119,825,000.40
60519 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
60538 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
60534 313396TJ FHLMC
DISCOUNT 4.290 2/21/08 4.319 P-1
A-1+ 25,000,000.00 99.39225 2
24,848,062.50 24,848,062.50
60239 313396TN FHLMC
DISCOUNT 4.282 2/25/08 4.328 P-1
A-1+ 28,550,000.00 99.34581 2
28,363,227.49 28,363,227.61
60416 313396UC FHLMC
DISCOUNT 4.100 3/10/08 4.142 P-1
A-1+ 45,000,000.00 99.21417 2
44,646,375.00 44,646,375.15
60578 313396UK FHLMC
DISCOUNT 4.120 3/17/08 4.157 P-1
A-1+ 30,000,000.00 99.13022 2
29,739,066.67 29,739,066.60
58314 313396WF FHLMC
DISCOUNT 5.030 4/30/08 5.274 P-1
A-1+ 40,000,000.00 98.64000 2
39,329,333.33 39,456,000.00 126,666.67
59905 313588RJ FNMA
DISCOUNT 4.370 1/04/08 4.407 P-1
A-1+ 50,000,000.00 99.96358 2
49,981,791.67 49,981,791.50
60478 313588SE FNMA
DISCOUNT 4.300 1/24/08 4.318 P-1
A-1+ 75,000,000.00 99.72783 2
74,793,958.33 74,795,874.75 1,916.42
60547 313588SJ FNMA
DISCOUNT 4.290 1/28/08 4.306 P-1
A-1+ 35,000,000.00 99.67825 2
34,887,387.50 34,887,387.50
60327 313588SL FNMA
DISCOUNT 4.260 1/30/08 4.289 P-1
A-1+ 20,000,000.00 99.65683 2
19,931,366.67 19,931,366.60
60532 313588SS FNMA
DISCOUNT 4.290 2/05/08 4.311 P-1
A-1+ 25,000,000.00 99.58292 2
24,895,729.16 24,895,729.25
60536 313588ST FNMA
DISCOUNT 4.290 2/06/08 4.311 P-1
A-1+ 25,000,000.00 99.57100 2
24,892,749.99 24,892,750.00
60542 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
60540 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
60375 313588VA FNMA
DISCOUNT 4.110 4/01/08 4.166 P-1
A-1+ 75,000,000.00 98.98000 2
74,220,812.50 74,235,000.00 14,187.50
60311 313588YQ FNMA DISCOUNT 3.990 6/26/08 4.085 P-1
A-1+ 25,000,000.00 98.06000 2
24,509,562.50 24,515,000.00 5,437.50
======
--------------
-------------- --------------
-------------
4.251
1374817000.00 1367706966.09 1367900680.80 193,713.09
33 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 99.36634 2
19,873,268.29 19,873,268.20 -.09
======
--------------
-------------- --------------
-------------
5.324
20,000,000.00 19,873,268.29 19,873,268.20 -.09
1 ITEM IN SUBTOTAL
FOR: AGENCY ZEROES & STRIPS
(ACT/ACT) (TYPE 45)
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 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
CORPORATE NOTES (30/360) (
50)
--------------------------------
58250 637432CY NATIONAL
RURAL UTI 3.875 2/15/08
5.422 A1 A+ 20,861,000.00 99.82813 2
20,822,463.78 20,825,145.16 2,681.38
====== -------------- --------------
-------------- -------------
5.422
20,861,000.00 20,822,463.78 20,825,145.16 2,681.38
1 ITEM IN SUBTOTAL
FOR: CORPORATE NOTES (30/360) 2X (TYPE
50)