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 1/31/08 (SETTLEMENT BASIS)
*** CARRY-BASIS IS
BOOK-VALUE AMORTIZED THROUGH 1/31/08 ***
*** 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
10,000,000.00 101.23438 2 10,002,720.03
10,123,438.00 120,717.97
58252 912828FV U S TREASURY
NOTE 4.875 10/31/08 5.008 Aaa AAA 10,000,000.00 101.97700 2
9,990,342.74 10,197,700.00 207,357.26
======
--------------
-------------- --------------
-------------
5.030
20,000,000.00
19,993,062.77 20,321,138.00 328,075.23
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
35,000,000.00 100.73300 2 35,062,142.86
35,256,550.00 194,407.14
59520 3128X6BP FHLMC 5.700 6/12/12
5.534 Aaa
AAA
21,575,000.00 101.13000 2 21,586,517.24
21,818,797.50 232,280.26
59507 3128X6ML FHLMC 5.000 10/01/10 5.000 Aaa AAA 20,000,000.00 101.39500 2
20,000,000.00 20,279,000.00 279,000.00
60866 3128X6XY FHLMC 5.000 1/09/13
3.752 Aaa
AAA
36,861,000.00 100.43600 2 36,942,381.43
37,021,713.96 79,332.53
59662 3133XMJ3 FHLB 5.350 10/03/12 5.350 Aaa AAA 17,500,000.00 101.81250 2
17,500,000.00 17,817,187.50 317,187.50
59748 3133XMM2 FHLB 5.000 10/22/10 5.000 Aaa AAA 20,000,000.00 101.53125 2
20,000,000.00 20,306,250.00 306,250.00
60858 3133XMU8 FHLB 4.750 11/13/09 3.626 Aaa AAA 23,040,000.00 100.06250 2
23,047,666.04 23,054,400.00 6,733.96
60341 31359M6B FNMA 5.200 3/26/10
4.607 Aaa
AAA
65,000,000.00 100.40625 2 65,051,739.39
65,264,062.50 212,323.11
59617 31359MN4 FNMA 5.700 5/12/11
4.894 Aaa
AAA
20,000,000.00 100.81250 2 20,042,859.13
20,162,500.00 119,640.87
======
--------------
-------------- --------------
-------------
4.626
258,976,000.00
259,233,306.09 260,980,461.46
1,747,155.37
9 ITEMS IN SUBTOTAL
FOR: AGENCY MTN (30/360) 2X (TYPE 21)
AGENCY NOTES
(30/360) 2X ( 23)
--------------------------------
57923 3128X5K8 FHLMC 5.400 3/02/12
5.398 Aaa
AAA
20,000,000.00 101.66000 2 20,000,000.00
20,332,000.00 332,000.00
56077 3128X5NT FHLMC 5.350 11/14/11 5.354 Aaa AAA 10,000,000.00 101.85938 2
9,998,061.17 10,185,938.00 187,876.83
56121 3128X5NT FHLMC 5.350 11/14/11 5.375 Aaa AAA 10,000,000.00 101.85938 2
9,991,134.05 10,185,938.00 194,803.95
57172 3128X5R7 FHLMC 5.250 3/15/12
5.271 Aaa
AAA
10,000,000.00 101.32813 2 9,992,558.20
10,132,813.00 140,254.80
49796 3133XBFJ FHLB 5.170 4/21/10
4.251 Aaa
AAA
3,500,000.00 100.53125 2 3,500,000.00 3,518,593.75 18,593.75
58158 3133XFLG FHLB 5.250 6/12/09
5.050 Aaa
AAA
25,000,000.00 103.43750 2 25,063,200.40
25,859,375.00 796,174.60
58087 3133XJ3D FHLB 4.875
6/04/08 5.183 Aaa AAA 25,000,000.00 100.65625 2
24,974,731.77 25,164,062.50 189,330.73
58016 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa AAA 50,000,000.00 101.71875 2
49,943,740.45 50,859,375.00 915,634.55
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 1/31/08 (SETTLEMENT BASIS)
*** CARRY-BASIS IS
BOOK-VALUE AMORTIZED THROUGH 1/31/08 ***
*** STATE AGENCIES
II-DIVERSIFIED (3) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity
YIELD MOO S&P POSITION-SIZE
# PRICE $
CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
58089 3134A2DT FHLMC 5.750 4/15/08
5.224 Aaa
AAA
25,000,000.00 100.62500 2 25,025,277.78
25,156,250.00 130,972.22
58062 31359M5C FNMA 5.375 2/12/10
5.374 Aaa
AAA
25,000,000.00 100.09375 2 24,998,891.43
25,023,437.50 24,546.07
58039 31359M5T FNMA 5.125 9/02/08
5.117 Aaa
AAA
25,000,000.00 101.34375 2 25,000,224.32
25,335,937.50 335,713.18
57367 31359M6L FNMA 5.390 3/27/12
5.392 Aaa
AAA
25,000,000.00 100.43750 2 24,997,924.42
25,109,375.00 111,450.58
58063 31359M7T FNMA 5.300 4/16/10
5.382 Aaa
AAA
25,000,000.00 100.53125 2 24,995,715.88
25,132,812.50 137,096.62
54995 31359MF3 FNMA 5.000 7/25/08
5.220 Aaa
AAA
15,000,000.00 101.03125 2 14,984,835.04
15,154,687.50 169,852.46
56098 31359MU9 FNMA 5.400 2/01/08
5.166 Aaa
AAA
10,000,000.00 100.00000 2 10,000,000.00
10,000,000.00
55021 31359MX4 FNMA 5.000 9/15/08
5.047 Aaa
AAA
10,000,000.00 101.56250 2 9,997,267.31
10,156,250.00 158,982.69
58185 3137EAAT FHLMC 5.000 6/11/09
5.076 Aaa
AAA
25,000,000.00 103.12500 2 24,975,299.47
25,781,250.00 805,950.53
======
--------------
-------------- --------------
-------------
5.198
338,500,000.00
338,438,861.69 343,088,095.25
4,649,233.56
17 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
7,000,000.00 100.24900 2 6,999,444.44 7,017,430.00 17,985.56
60114 3133XMXZ FHLB
FLOATING QRTL 4.905 11/16/12 4.905 Aaa AAA 39,500,000.00 100.07600 2
39,500,000.00 39,530,020.00 30,020.00
======
--------------
-------------- --------------
-------------
4.697
46,500,000.00
46,499,444.44 46,547,450.00 48,005.56
2 ITEMS IN SUBTOTAL
FOR: AGENCY NOTES-VAR (30/360) 4X (TYPE
25)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
60738 313312TA FFCB
DISCOUNT 4.060 2/13/08
4.076 P-1 A-1+ 25,000,000.00 99.86467 2
24,966,166.67 24,966,166.75
60626 313384SN FHLB
DISCOUNT 4.140 2/01/08
4.153 P-1 A-1+ 10,000,000.00 100.00000 2
10,000,000.00 10,000,000.00
61001 313384SN FHLB
DISCOUNT 2.000 2/01/08
2.000 P-1 A-1+ 12,000,000.00 100.00000 2
12,000,000.00 12,000,000.00
60952 313384ST FHLB
DISCOUNT 2.920 2/06/08
2.922 P-1 A-1+ 25,000,000.00 99.95875 2
24,989,861.11 24,989,687.50 -173.61
60740 313384SY FHLB
DISCOUNT 4.040 2/11/08
4.055 P-1 A-1+ 25,000,000.00 99.88778 2
24,971,944.45 24,971,944.50
60837 313384TA FHLB
DISCOUNT 3.800 2/13/08
3.811 P-1 A-1+ 48,000,000.00 99.90167 2
47,939,200.00 47,952,800.16 13,600.16
60880 313384TC FHLB
DISCOUNT 2.950 2/15/08
2.956 P-1 A-1+ 20,000,000.00 99.88528 2
19,977,055.56 19,977,055.60
60897 313384TH FHLB
DISCOUNT 3.002 2/20/08
3.009 P-1 A-1+ 15,000,000.00 99.84156 2
14,976,234.17 14,976,234.15
60919 313384TK FHLB DISCOUNT 3.090
2/22/08 3.097 P-1 A-1+
50,000,000.00 99.81975 2 49,909,875.00
49,909,875.00
60920 313384TK FHLB
DISCOUNT 3.080 2/22/08
3.087 P-1 A-1+ 50,000,000.00 99.81975 2
49,910,166.66 49,909,875.00 -291.66
60945 313384TR FHLB
DISCOUNT 2.970 2/28/08
2.978 P-1 A-1+ 50,000,000.00 99.77725 2
49,888,625.00 49,888,625.00
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 1/31/08 (SETTLEMENT BASIS)
*** CARRY-BASIS IS
BOOK-VALUE AMORTIZED THROUGH 1/31/08 ***
*** STATE AGENCIES
II-DIVERSIFIED (3) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity
YIELD MOO S&P POSITION-SIZE
# PRICE $
CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
60921 313384UW FHLB
DISCOUNT 3.000 3/28/08
3.016 P-1 A-1+ 20,000,000.00 99.54889 2
19,906,666.67 19,909,777.80 3,111.13
60971 313384UW FHLB
DISCOUNT 2.900 3/28/08
2.914 P-1 A-1+ 50,000,000.00 99.54889 2
49,774,444.44 49,774,444.50
60372 313396TC FHLMC
DISCOUNT 4.220 2/15/08
4.255 P-1 A-1+ 20,000,000.00 99.83589 2
19,967,177.78 19,967,177.80
60533 313396TJ FHLMC
DISCOUNT 4.290 2/21/08
4.319 P-1 A-1+ 20,000,000.00 99.76167 2
19,952,333.33 19,952,333.40
60220 313396TN FHLMC
DISCOUNT 4.285 2/25/08
4.331 P-1 A-1+ 25,000,000.00 99.71453 2
24,928,583.33 24,928,633.25 49.92
60232 313396TN FHLMC
DISCOUNT 4.282 2/25/08
4.328 P-1 A-1+ 25,000,000.00 99.71453 2
24,928,633.33 24,928,633.25
60972 313396UZ FHLMC
DISCOUNT 2.900 3/31/08
2.915 P-1 A-1+ 50,000,000.00 99.52472 2
49,762,361.11 49,762,361.00
60226 313396VK FHLMC
DISCOUNT 4.200 4/10/08
4.267 P-1 A-1+ 25,910,000.00 99.19500 2
25,701,424.50 25,701,424.50
60950 313396WE FHLMC
DISCOUNT 2.880 4/29/08
2.901 P-1 A-1+ 40,000,000.00 99.29600 2
39,718,400.00 39,718,400.00
60946 313396ZY FHLMC
DISCOUNT 2.750 7/28/08
2.789 P-1 A-1+ 30,000,000.00 98.77000 2
29,592,083.33 29,631,000.00 38,916.67
60639 313588SR FNMA
DISCOUNT 4.080 2/04/08
4.093 P-1 A-1+ 20,000,000.00 99.97583 2
19,993,200.00 19,995,166.60 1,966.60
60531 313588SS FNMA DISCOUNT 4.290
2/05/08 4.311 P-1 A-1+
25,000,000.00 99.95233 2 24,988,083.33
24,988,083.25
60535 313588ST FNMA
DISCOUNT 4.290 2/06/08
4.311 P-1 A-1+ 25,000,000.00 99.94042 2
24,985,104.17 24,985,104.25
60541 313588SU FNMA
DISCOUNT 4.290 2/07/08
4.312 P-1 A-1+ 25,000,000.00 99.95167 2
24,982,125.00 24,987,916.75 5,791.75
60539 313588SV FNMA
DISCOUNT 4.290 2/08/08
4.312 P-1 A-1+ 25,000,000.00 99.91658 2
24,979,145.83 24,979,145.75
60736 313588SZ FNMA
DISCOUNT 4.080 2/12/08
4.096 P-1 A-1+ 25,000,000.00 99.87533 2
24,968,833.33 24,968,833.25
60627 313588TC FNMA
DISCOUNT 4.010 2/15/08
4.029 P-1 A-1+ 40,000,000.00 99.84172 2
39,937,622.22 39,936,688.80 -933.42
60640 313588TC FNMA
DISCOUNT 4.070 2/15/08
4.088 P-1 A-1+ 10,000,000.00 99.84172 2
9,984,172.22 9,984,172.20
60227 313588UP FNMA
DISCOUNT 4.230 3/21/08
4.288 P-1 A-1+ 25,000,000.00 99.42425 2
24,856,062.50 24,856,062.50
60970 313588VB FNMA
DISCOUNT 2.900 4/02/08
2.915 P-1 A-1+ 50,000,000.00 99.50861 2
49,754,305.55 49,754,305.50
====== -------------- -------------- -------------- -------------
3.541
905,910,000.00
903,189,890.59 903,251,928.01 62,037.54
31 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
3,730,435.36 101.56200 2 3,716,056.67 3,788,704.76 72,648.09
55971 31392WB3 FNMA PAC(11)
2512 5.500 2/15/22
5.486 Aaa
AAA
10,717,000.00 103.56236 2 10,741,817.91
11,098,778.12 356,960.21
52288 31392WJJ FHLMC SEQ
2509 CA 5.000 9/15/15
5.023 Aaa
AAA
1,071,921.60 100.12191 2 1,071,058.91 1,073,228.38 2,169.47
58242 31392X2Y FHLMC PAC11
2517 O 5.000 5/15/16
5.135 Aaa
AAA
13,727,257.80 101.38109 2 13,613,164.53
13,916,843.58 303,679.05
52498 31392XB9 FHLMC PAC 11
2513 6.000 2/15/32
5.942 Aaa
AAA
5,023,014.20 102.47490 2 5,068,740.95
5,147,328.78 78,587.83
52532 31392XCA FHLMC PAC 11
2513 5.500 5/15/29
5.497 Aaa
AAA
360,898.00 99.94957 2 361,492.22 360,716.00 -776.22
51054 31393KYD FHLMC SEQ
2574 HQ 4.500 11/15/16 4.583 Aaa AAA 3,068,439.92 100.93540 2
3,052,886.65 3,097,142.11 44,255.46
57953 31393LWC FHLMC
PAC(11) 2592 5.000 7/15/14
5.089 Aaa
AAA
10,500,000.00 100.66655 2 10,455,037.36
10,569,987.75 114,950.39
49881 31394PVR FHLMC PAC 11
2743 4.000 4/15/21
4.021 Aaa
AAA
2,093,010.60 100.02385 2 2,090,823.04 2,093,509.78 2,686.74
58207 31395CUZ FHLMC SEQ
2827 AT 5.000 4/15/22
5.138 Aaa
AAA
16,674,496.74 101.90384 2 16,456,305.86
16,991,952.48 535,646.62
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 1/31/08 (SETTLEMENT BASIS)
*** CARRY-BASIS IS
BOOK-VALUE AMORTIZED THROUGH 1/31/08 ***
*** STATE AGENCIES
II-DIVERSIFIED (3) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity
YIELD MOO S&P POSITION-SIZE
# PRICE $ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
51053 31395FEC FHLMC PAC 11
2836 5.000 5/15/22
4.971 Aaa
AAA 4,856,024.29 100.63337 2
4,874,954.72 4,886,780.89 11,826.17
53323 31395HTQ FHLMC PAC 11
2894 5.500 12/15/24 5.508 Aaa AAA 4,104,708.50 101.50964 2
4,105,579.24 4,166,674.82 61,095.58
51769 31395JSK FHLMC
EXCH,PAC 11 5.000 9/15/24
5.017 Aaa
AAA
4,143,309.60 101.04344 2 4,139,866.48 4,186,542.55 46,676.07
58206 31395KFW FHLMC EXCH
SEQ 289 5.000 4/15/19
5.168 Aaa
AAA
12,205,147.93 102.13399 2 12,041,524.95
12,465,604.57 424,079.62
50270 31395KNR FHLMC
SEQ,NAS 2903 4.500 1/15/18
4.521 Aaa
AAA
3,185,104.00 100.35698 2 3,182,318.88 3,196,474.18 14,155.30
52234 31395L3Y FHLMC SEQ 2918 ME 5.000 10/15/25 5.024 Aaa AAA 3,094,237.47 101.40437 2 3,089,027.95 3,137,692.01