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 ***
*** 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 25,000,000.00 100.18500 2
24,938,323.70 25,046,250.00 107,926.30
60103 3133XN3J FHLB 4.350 5/19/08 4.350 Aaa
AAA 9,000,000.00 100.43750 2
9,000,000.00 9,039,375.00 39,375.00
====== -------------- --------------
-------------- -------------
4.335
34,000,000.00 33,938,323.70 34,085,625.00 147,301.30
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 7,120,000.00 100.03125 2
7,120,264.02 7,122,225.00 1,960.98
======
--------------
-------------- --------------
-------------
4.486
7,120,000.00
7,120,264.02 7,122,225.00 1,960.98
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 99.98900 2
4,472,277.77 4,499,505.00 27,227.23
55343 3128X4F4 FHLMC 5.000 2/08/08 5.255 Aaa
AAA 24,800,000.00 100.04000 2
24,798,818.51 24,809,920.00 11,101.49
59877 3133MVZA FHLB 3.375 2/15/08 4.725 Aaa
AAA 21,000,000.00 100.03125 2
20,989,176.64 21,006,562.50 17,385.86
57940 3133XJZT FHLB 5.125 2/22/08 5.271 Aaa
AAA 18,485,000.00 100.12500 2
18,483,402.37 18,508,106.25 24,703.88
58017 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa AAA
25,000,000.00 101.71875 2 24,971,870.23
25,429,687.50 457,817.27
60959 3134A4ZU FHLMC 4.625 2/21/08 3.189 Aaa
AAA 30,000,000.00 100.09375 2
30,021,824.09 30,028,125.00 6,300.91
58040 31359M5T FNMA 5.125 9/02/08 5.117 Aaa
AAA 15,000,000.00 101.34375 2
15,000,134.59 15,201,562.50 201,427.91
54996 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
56099 31359MU9 FNMA 5.400 2/01/08 5.166 Aaa
AAA 20,000,000.00 100.00000 2
20,000,000.00 20,000,000.00
55022 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
60276 31359MXP FNMA 3.875 2/01/08 4.502 Aaa
AAA 4,149,000.00 100.00000 2
4,149,000.00 4,149,000.00
58067 3136F3CT FNMA 3.250 3/17/08 5.230 Aaa
AAA 2,000,000.00 100.03125 2
1,995,283.06 2,000,625.00 5,341.94
======
--------------
-------------- --------------
-------------
4.778 189,934,000.00 189,863,889.61
190,944,031.25 1,080,141.64
12 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 1/31/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS
BOOK-VALUE AMORTIZED THROUGH 1/31/08 ***
*** 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 41,000,000.00 100.15625 2
41,000,000.00 41,064,062.50 64,062.50
====== -------------- --------------
-------------- -------------
4.450
41,000,000.00 41,000,000.00 41,064,062.50 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 10,000,000.00 100.22100 2
9,996,286.14 10,022,100.00 25,813.86
59322 3128X5Y6 FHLMC
FLOATING QRT 4.670 9/30/08
4.699 Aaa AAA 10,000,000.00 100.22100 2
9,996,339.75 10,022,100.00 25,760.25
59471 31331X3P FFCB
FLOATING QRTL 4.290 3/17/09
4.280 Aaa AAA 25,000,000.00 99.98600 2
25,000,000.00 24,996,500.00 -3,500.00
59298 3133XK7D FHLB
FLOATING QRTL 4.841 9/17/08
4.862 Aaa AAA 20,000,000.00 100.21700 2
19,994,389.21 20,043,400.00 49,010.79
60140 3133XL6T FHLB
FLOATING QRTL 4.831
12/15/08 4.704 Aaa AAA
20,000,000.00 100.20000 2 20,019,161.12
20,040,000.00 20,838.88
59314 3133XLMS FHLB
FLOATING QRTL 4.476 1/05/09
4.520 Aaa AAA 20,000,000.00 100.23900 2
19,987,817.83 20,047,800.00 59,982.17
59416 3133XLMS FHLB
FLOATING QRTL 4.476 1/05/09
4.525 Aaa AAA 15,000,000.00 100.23900 2
14,991,663.93 15,035,850.00 44,186.07
59113 3133XLX9 FHLB
FLOATING QRTL 4.767 2/11/09
4.740 Aaa AAA 20,000,000.00 100.02600 2
20,000,000.00 20,005,200.00 5,200.00
59658 3133XLX9 FHLB FLOATING
QRTL 4.767 2/11/09
4.681 Aaa AAA 29,000,000.00 100.02600 2
29,018,426.24 29,007,540.00 -10,886.24
59960 3133XMW3 FHLB
FLOATING QRTL 4.707 5/13/09
4.689 Aaa AAA 20,000,000.00 99.98500 2
20,000,000.00 19,997,000.00 -3,000.00
60141 3133XNCD FHLB
FLOATING QRTL 4.739 5/20/09
4.721 Aaa AAA 20,000,000.00 100.00600 2
20,000,000.00 20,001,200.00 1,200.00
60146 3133XNDG FHLB
FLOATING QRTL 4.802
11/20/09 4.788 Aaa AAA
15,000,000.00 99.96200 2 15,000,000.00
14,994,300.00 -5,700.00
60481 3133XNFK FHLB
FLOATING QRTL 4.785
11/26/08 4.728 Aaa AAA
25,000,000.00 100.04600 2 25,005,311.18
25,011,500.00 6,188.82
60609 3133XNKR FHLB
FLOATING QRTL 4.896
12/04/08 4.835 Aaa AAA
20,000,000.00 100.03125 2 20,007,148.06
20,006,250.00 -898.06
60498 3133XNUM FHLB
FLOATIMG QRTL 4.674
12/24/08 4.661 Aaa AAA
25,000,000.00 100.03800 2 25,000,000.00
25,009,500.00 9,500.00
60610 3133XNW4 FHLB
FLOATING QRTL 4.511 7/07/09
4.493 Aaa AAA 25,000,000.00 100.12800 2
25,000,000.00 25,032,000.00 32,000.00
60967 3133XNYB FHLB
FLOATING QRTL 4.305 1/14/09
4.087 Aaa AAA 15,000,000.00 100.03650 2
15,028,516.11 15,005,475.00 -23,041.11
60884 3133XPAX FHLB
FLOATING QRTL 3.161 1/23/09
3.152 Aaa AAA 15,000,000.00 99.90620 2
15,000,000.00 14,985,930.00 -14,070.00
======
--------------
-------------- -------------- -------------
4.566
349,000,000.00
349,045,059.57 349,263,645.00
218,585.43
18 ITEMS IN SUBTOTAL
FOR: AGENCY NOTE-VAR (ACT/360) 4X (TYPE
30)
AGENCY DISCOUNT
NOTES ( 35)
--------------------------------
60739 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
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 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
60309 313384SN FHLB
DISCOUNT 4.290 2/01/08 4.322 P-1
A-1+ 50,000,000.00 100.00000 2
50,000,000.00 50,000,000.00
60376 313384SN FHLB
DISCOUNT 4.240 2/01/08 4.269 P-1
A-1+ 35,000,000.00 100.00000 2
35,000,000.00 35,000,000.00
60629 313384SN FHLB
DISCOUNT 4.140 2/01/08 4.153 P-1
A-1+ 18,090,000.00 100.00000 2
18,090,000.00 18,090,000.00
60643 313384SN FHLB
DISCOUNT 4.140 2/01/08 4.152 P-1
A-1+ 38,513,000.00 100.00000 2
38,513,000.00 38,513,000.00
60924 313384SN FHLB
DISCOUNT 2.950 2/01/08 2.952 P-1
A-1+ 7,000,000.00 100.00000 2
7,000,000.00 7,000,000.00
60954 313384SN FHLB
DISCOUNT 2.750 2/01/08 2.751 P-1
A-1+ 50,000,000.00 100.00000 2
50,000,000.00 50,000,000.00
60955 313384SN FHLB
DISCOUNT 2.800 2/01/08 2.801 P-1
A-1+ 14,077,000.00 100.00000 2
14,077,000.00 14,077,000.00
60956 313384SN FHLB
DISCOUNT 2.920 2/01/08 2.921 P-1
A-1+ 9,000,000.00 100.00000 2
9,000,000.00 9,000,000.00
60461 313384SS FHLB
DISCOUNT 4.260 2/05/08 4.285 P-1
A-1+ 22,988,000.00 99.96778 2
22,977,119.01 22,980,592.81 3,473.80
60845 313384ST FHLB
DISCOUNT 3.870 2/06/08 3.878 P-1
A-1+ 50,000,000.00 99.95875 2
49,973,125.00 49,979,375.00 6,250.00
60846 313384ST FHLB
DISCOUNT 3.870 2/06/08 3.878 P-1
A-1+ 50,000,000.00 99.95875 2
49,973,125.00 49,979,375.00 6,250.00
60850 313384ST FHLB
DISCOUNT 3.850 2/06/08 3.858 P-1
A-1+ 40,000,000.00 99.95875 2
39,978,611.11 39,983,500.00 4,888.89
60966 313384ST FHLB
DISCOUNT 2.970 2/06/08 2.972 P-1
A-1+ 50,000,000.00 99.95875 2
49,979,375.00 49,979,375.00
60741 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
60958 313384TG FHLB
DISCOUNT 2.960 2/19/08 2.965 P-1
A-1+ 35,000,000.00 99.85200 2
34,948,200.00 34,948,200.00
60929 313384TK FHLB
DISCOUNT 3.090 2/22/08 3.097 P-1
A-1+ 25,000,000.00 99.81975 2
24,954,937.50 24,954,937.50
60957 313384TN FHLB
DISCOUNT 2.940 2/25/08 2.947 P-1
A-1+ 50,000,000.00 99.80400 2
49,902,000.00 49,902,000.00
60266 313384TQ FHLB
DISCOUNT 4.296 2/27/08 4.343 P-1
A-1+ 100,000,000.00 99.68973
2 99,689,733.33 99,689,733.00
60494 313384US FHLB
DISCOUNT 4.260 3/24/08 4.308 P-1
A-1+ 10,000,000.00 99.38611 2
9,938,466.67 9,938,611.10 144.43
60495 313384US FHLB
DISCOUNT 4.250 3/24/08 4.298 P-1
A-1+ 50,000,000.00 99.38611 2
49,693,055.56 49,693,055.50
60882 313384WP FHLB
DISCOUNT 2.650 5/08/08 2.671 P-1
A-1+ 8,251,000.00 99.31000 2
8,192,085.57 8,194,068.10 1,982.53
60496 313384YJ FHLB
DISCOUNT 4.125 6/20/08 4.213 P-1
A-1+ 48,279,000.00 99.02000 2
47,504,524.38 47,805,865.80 301,341.42
60534 313396TJ FHLMC
DISCOUNT 4.290 2/21/08 4.319 P-1
A-1+ 25,000,000.00 99.76167 2
24,940,416.67 24,940,416.75
60239 313396TN FHLMC
DISCOUNT 4.282 2/25/08 4.328 P-1
A-1+ 28,550,000.00 99.71453 2
28,468,499.27 28,468,499.17
60416 313396UC FHLMC DISCOUNT 4.100 3/10/08 4.142 P-1
A-1+ 45,000,000.00 99.56722 2
44,805,250.00 44,805,249.90
60630 313396UE FHLMC
DISCOUNT 4.070 3/12/08 4.102 P-1
A-1+ 50,000,000.00 99.54778 2
49,773,888.89 49,773,889.00
60578 313396UK FHLMC
DISCOUNT 4.120 3/17/08 4.157 P-1
A-1+ 30,000,000.00 99.48500 2
29,845,500.00 29,845,500.00
60861 313396VW FHLMC
DISCOUNT 2.900 4/21/08 2.921 P-1
A-1+ 25,000,000.00 99.35556 2
24,838,888.89 24,838,889.00
58314 313396WF FHLMC
DISCOUNT 5.030 4/30/08 5.274 P-1
A-1+ 40,000,000.00 98.75647 2
39,502,588.89 39,502,588.80
60895 313588SR FNMA
DISCOUNT 2.900 2/04/08 2.903 P-1
A-1+ 25,000,000.00 99.97583 2
24,993,958.33 24,993,958.25
60532 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
60536 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
60542 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
60881 313588SU FNMA
DISCOUNT 2.950 2/07/08 2.954 P-1
A-1+ 50,000,000.00 99.95167 2
49,975,416.67 49,975,833.50 416.83
60965 313588SU FNMA
DISCOUNT 2.900 2/07/08 2.902 P-1
A-1+ 5,600,000.00 99.95167 2
5,597,293.33 5,597,293.35
60540 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
60737 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
60375 313588VA FNMA
DISCOUNT 4.110 4/01/08 4.166 P-1
A-1+ 75,000,000.00 99.31500 2
74,486,250.00 74,486,250.00
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 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
60987 313588VW FNMA DISCOUNT 2.850 4/21/08 2.869 P-1
A-1+ 5,000,000.00 99.36667 2
4,968,333.34 4,968,333.35
60875 313588VY FNMA
DISCOUNT 2.810 4/23/08 2.830 P-1
A-1+ 25,000,000.00 99.35994 2
24,839,986.11 24,839,986.00
60311 313588YQ FNMA
DISCOUNT 3.990 6/26/08 4.085 P-1
A-1+ 25,000,000.00 98.98000 2
24,595,458.33 24,745,000.00 149,541.67
======
--------------
-------------- --------------
-------------
3.858
1390348000.00 1385857489.63 1386337570.38 480,081.32
42 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 99.90800 2 19,960,572.36
19,981,600.00 21,027.64
====== -------------- ---------