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 2/29/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 2/29/08 ***
*** 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 10,000,000.00 101.06250 2
10,002,194.16 10,106,250.00 104,055.84
58252 912828FV U S TREASURY NOTE 4.875 10/31/08 5.008 Aaa AAA 10,000,000.00 102.02300 2
9,991,368.61 10,202,300.00 210,931.39
======
--------------
-------------- --------------
-------------
5.030
20,000,000.00 19,993,562.77 20,308,550.00 314,987.23
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 35,000,000.00 100.48100 2
35,042,119.05 35,168,350.00 126,230.95
59520 3128X6BP FHLMC 5.700 6/12/12 5.534 Aaa AAA 21,575,000.00 100.87100 2
21,583,986.94 21,762,918.25 178,931.31
59507 3128X6ML FHLMC 5.000 10/01/10 5.000 Aaa AAA 20,000,000.00 101.24000 2
20,000,000.00 20,248,000.00 248,000.00
60866 3128X6XY FHLMC 5.000 1/09/13 3.752 Aaa AAA 36,861,000.00 100.23200 2
36,907,674.64 36,946,517.52 38,842.88
59662 3133XMJ3 FHLB 5.350 10/03/12 5.350 Aaa AAA 17,500,000.00 101.59375 2
17,500,000.00 17,778,906.25 278,906.25
59748 3133XMM2 FHLB 5.000 10/22/10 5.000 Aaa AAA 20,000,000.00 101.37500 2
20,000,000.00 20,275,000.00 275,000.00
61113 3133XPH4 FHLB 4.450 2/12/13 4.450 Aaa AAA 19,805,000.00 100.34375 2
19,805,000.00 19,873,079.69 68,079.69
60341 31359M6B FNMA 5.200 3/26/10 4.607 Aaa AAA 65,000,000.00 100.18750 2
65,023,953.42 65,121,875.00 97,921.58
59617 31359MN4 FNMA 5.700 5/12/11 4.894 Aaa AAA 20,000,000.00 100.56250 2
20,030,553.04 20,112,500.00 81,946.96
======
--------------
-------------- --------------
-------------
4.703
255,741,000.00
255,893,287.09 257,287,146.71
1,393,859.62
9 ITEMS IN SUBTOTAL FOR: AGENCY MTN (30/360) 2X (TYPE 21)
AGENCY NOTES (30/360) 2X ( 23)
--------------------------------
57172 3128X5R7 FHLMC 5.250 3/15/12 5.271 Aaa AAA 10,000,000.00 101.17100 2
9,992,701.70 10,117,100.00 124,398.30
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
58087 3133XJ3D FHLB 4.875 6/04/08 5.183 Aaa AAA 25,000,000.00 100.53125 2
24,980,641.28 25,132,812.50 152,171.22
58089 3134A2DT FHLMC 5.750 4/15/08 5.224 Aaa AAA 25,000,000.00 100.37500 2
25,015,371.62 25,093,750.00 78,378.38
58039 31359M5T FNMA 5.125 9/02/08 5.117 Aaa AAA 25,000,000.00 101.25000 2
25,000,193.92 25,312,500.00 312,306.08
57367 31359M6L FNMA 5.390 3/27/12 5.392 Aaa AAA 25,000,000.00 100.18750 2
24,997,964.13 25,046,875.00 48,910.87
58063 31359M7T FNMA 5.300 4/16/10 5.382 Aaa AAA 25,000,000.00 100.31250 2
24,997,372.40 25,078,125.00 80,752.60
54995 31359MF3 FNMA 5.000 7/25/08 5.220 Aaa AAA 15,000,000.00 100.87500 2
14,987,348.09 15,131,250.00 143,901.91
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 2/29/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 2/29/08 ***
*** STATE AGENCIES II-DIVERSIFIED (3)
***
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
55021 31359MX4 FNMA 5.000 9/15/08 5.047 Aaa AAA 10,000,000.00 101.46875 2
9,997,616.42 10,146,875.00 149,258.58
58185 3137EAAT FHLMC 5.000 6/11/09 5.076 Aaa AAA 25,000,000.00 103.37500 2
24,976,743.65 25,843,750.00 867,006.35
======
--------------
-------------- --------------
-------------
5.203
188,500,000.00 188,445,953.21 190,415,068.75 1,969,115.54
10 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 7,000,000.00 100.22500 2
6,999,555.56 7,015,750.00 16,194.44
60114 3133XMXZ FHLB FLOATING QRTL 3.215
11/16/12 3.215 Aaa AAA 39,500,000.00 99.97100 2
39,500,000.00 39,488,545.00 -11,455.00
======
--------------
-------------- --------------
-------------
3.261 46,500,000.00 46,499,555.56 46,504,295.00 4,739.44
2 ITEMS IN SUBTOTAL FOR: AGENCY NOTES-VAR (30/360) 4X (TYPE
25)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
61268 313384TW FHLB DISCOUNT 2.700 3/04/08 2.702 P-1
A-1+ 50,000,000.00 99.97750 2
49,988,750.00 49,988,750.00
61068 313384TX FHLB DISCOUNT 2.715 3/05/08 2.721 P-1
A-1+ 50,000,000.00 99.96944 2
49,984,916.67 49,984,722.00 -194.67
61324 313384TY FHLB DISCOUNT 2.550 3/06/08 2.551 P-1 A-1+
50,000,000.00 99.96667 2 49,982,291.66
49,983,333.50 1,041.84
61089 313384TZ FHLB DISCOUNT 2.690 3/07/08 2.696 P-1
A-1+ 50,000,000.00 99.95517 2
49,977,583.33 49,977,583.50
61322 313384UF FHLB DISCOUNT 2.650 3/13/08 2.653 P-1
A-1+ 50,000,000.00 99.91167 2
49,955,833.33 49,955,833.50
61323 313384UG FHLB DISCOUNT 2.650 3/14/08 2.653 P-1
A-1+ 50,000,000.00 99.90431 2
49,952,152.78 49,952,153.00
61321 313384UK FHLB DISCOUNT 2.670 3/17/08 2.674 P-1
A-1+ 50,000,000.00 99.88133 2
49,940,666.67 49,940,666.50
60921 313384UW FHLB DISCOUNT 3.000 3/28/08 3.016 P-1
A-1+ 20,000,000.00 99.79743 2
19,955,000.00 19,959,485.00 4,485.00
60971 313384UW FHLB DISCOUNT 2.900 3/28/08 2.914 P-1
A-1+ 50,000,000.00 99.79743 2
49,891,250.00 49,898,712.50 7,462.50
60972 313396UZ FHLMC DISCOUNT 2.900 3/31/08 2.915 P-1
A-1+ 50,000,000.00 99.75833 2
49,879,166.67 49,879,166.50
61091 313396VG FHLMC DISCOUNT 2.665 4/07/08 2.677 P-1
A-1+ 18,000,000.00 99.72610 2
17,950,697.50 17,950,697.46
60226 313396VK FHLMC DISCOUNT 4.200 4/10/08 4.267 P-1
A-1+ 25,910,000.00 99.53333 2
25,789,086.67 25,789,086.58
60950 313396WE FHLMC DISCOUNT 2.880 4/29/08 2.901 P-1
A-1+ 40,000,000.00 99.52800 2
39,811,200.00 39,811,200.00
60227 313588UP FNMA DISCOUNT 4.230 3/21/08 4.288 P-1
A-1+ 25,000,000.00 99.76500 2
24,941,250.00 24,941,250.00
60970 313588VB FNMA DISCOUNT 2.900 4/02/08 2.915 P-1
A-1+ 50,000,000.00 99.76000 2
49,871,111.11 49,880,000.00 8,888.89
======
--------------
-------------- --------------
-------------
2.881
628,910,000.00
627,870,956.39 627,892,640.04
21,683.56
15 ITEMS IN SUBTOTAL FOR: AGENCY DISCOUNT NOTES (TYPE 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 2/29/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 2/29/08 ***
*** STATE AGENCIES II-DIVERSIFIED (3)
***
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
AGENCY MBS (30/360) 12X 1 ( 36)
--------------------------------
44831 3128GVTY FHLMC GOLD E91467 5.000 9/01/17 5.064 Aaa AAA 3,673,106.51 101.66200 2
3,659,066.11 3,734,153.54 75,087.43
55971 31392WB3 FNMA PAC(11)
2512 5.500 2/15/22
5.486 Aaa
AAA
10,717,000.00 103.92050 2
10,741,677.56 11,137,159.99 395,482.43
52288 31392WJJ FHLMC SEQ 2509 CA 5.000 9/15/15 5.023 Aaa AAA 903,591.20 100.05206 2 902,871.56 904,061.61 1,190.05
58242 31392X2Y FHLMC PAC11 2517 O 5.000 5/15/16
5.135 Aaa
AAA
13,334,906.40 101.51008 2 13,225,136.31
13,536,274.15 311,137.84
52498 31392XB9 FHLMC PAC 11 2513 6.000 2/15/32 5.942 Aaa AAA 4,948,998.00 103.45083 2
4,993,902.13 5,119,779.51 125,877.38
52532 31392XCA FHLMC PAC 11 2513 5.500 5/15/29 5.497 Aaa AAA 184,949.00 99.88046 2 185,252.38 184,727.91 -524.47
51054 31393KYD FHLMC SEQ 2574 HQ 4.500 11/15/16 4.583 Aaa AAA 2,995,223.53 101.00286 2
2,980,178.54 3,025,261.43 45,082.89
57953 31393LWC FHLMC PAC(11)
2592 5.000 7/15/14
5.089 Aaa
AAA
10,500,000.00 100.53585 2 10,455,590.81
10,556,264.25 100,673.44
49881 31394PVR FHLMC PAC 11 2743 4.000 4/15/21 4.021 Aaa AAA 1,917,360.70 99.96493 2
1,915,368.78 1,916,688.28 1,319.50
58207 31395CUZ FHLMC SEQ 2827 AT 5.000 4/15/22 5.138 Aaa AAA 16,431,164.97 102.30199 2
16,217,360.24 16,809,408.74 592,048.50
51053 31395FEC FHLMC PAC 11 2836 5.000 5/15/22 4.971 Aaa AAA 4,604,825.68 100.60241 2
4,622,677.06 4,632,565.61 9,888.55
53323 31395HTQ FHLMC PAC 11 2894 5.500 12/15/24 5.508 Aaa AAA 3,985,249.00 101.43053 2
3,986,090.41 4,042,259.18 56,168.77
51769 31395JSK FHLMC EXCH,PAC
11 5.000 9/15/24
5.017 Aaa
AAA
3,983,184.70 101.03151 2 3,979,890.46 4,024,271.65 44,381.19
58206 31395KFW FHLMC EXCH SEQ 289 5.000 4/15/19
5.168 Aaa
AAA
12,041,795.35 102.85009 2 11,881,506.65
12,384,997.36 503,490.71
50270 31395KNR FHLMC SEQ,NAS
2903 4.500 1/15/18
4.521 Aaa
AAA
2,982,157.20 100.28006 2 2,979,570.33 2,990,509.03 10,938.70
52234 31395L3Y FHLMC SEQ 2918 ME 5.000 10/15/25 5.024 Aaa AAA 3,054,919.10 101.63166 2
3,049,798.85 3,104,764.99 54,966.14
54286 31395PNH FHLMC PAC 11 2948 5.000 10/15/25 5.126 Aaa AAA 7,873,577.10 101.47121 2
7,766,623.14 7,989,413.95 222,790.81
56101 31395T6X FNMA EXCH,SEQ
2965 5.000 10/15/22 5.138 Aaa AAA 15,850,687.00 102.41497 2
15,641,849.67 16,233,476.34 591,626.67
51770 31395TKK FHLMC EXCH,PAC-1
1 5.000 10/15/24 5.028 Aaa AAA 4,987,374.90 101.12372 2
4,977,400.97 5,043,419.03 66,018.06
51645 31395TWE FHLMC SEQ 2970 YA 5.000
9/15/18 5.051 Aaa AAA 5,267,112.70 102.13206 2
5,250,150.73 5,379,410.70 129,259.97
50327 31395WNR FHLMC SEQ 3000 BA 4.500 7/15/23 4.592 Aaa AAA 5,007,220.60 101.10665 2
4,962,606.88 5,062,633.01 100,026.13
51222 31396C3C FHLMC MR,EXCH,SEQ 5.125 10/15/15 5.163 Aaa AAA 6,453,374.10 102.17248 2
6,442,390.34 6,593,572.36 151,182.02
55303 31396NSD FHLMC PAC-1(11) 31 5.500
11/15/26 5.496 Aaa AAA 15,499,468.60 102.90050 2
15,525,413.14 15,949,030.69 423,617.55
55381 31396NSD FHLMC PAC-1(11) 31 5.500
11/15/26 5.498 Aaa AAA 7,749,734.30 102.90050 2
7,761,028.40 7,974,515.34 213,486.94
54382 31396RX8 FHLMC PAC-1 11 317 6.000
12/15/26 5.975 Aaa AAA 7,830,026.40 102.81048 2
7,861,570.94 8,050,087.73 188,516.79
58205 31396UNL FHLMC EXCH SEQ 318 5.000
11/15/32 5.150 Aaa AAA 16,324,869.40 102.56713 2
15,985,821.40 16,743,950.02 758,128.62
55390 31397AED FNMA SC EXCH SEQ 3 5.500 8/15/13
5.544 Aaa
AAA
13,122,184.20 102.32341 2 13,102,040.32
13,427,066.34 325,026.02
56911 31397EUZ FHLMC MR SEQ R010 5.500 12/15/19 5.545 Aaa AAA 17,368,458.40 102.85386 2
17,316,078.46 17,864,129.89 548,051.43
58174 31397G7M FHLMC MR SEQ R011 5.500 12/15/20 5.579 Aaa AAA 18,002,871.80 103.25054 2
17,888,113.93 18,588,062.35 699,948.42
57690 31397GB9 FHLMC GOLD SERIES 5.000 4/01/37 5.103 Aaa AAA 18,590,860.60 102.70609 2
18,307,099.84 19,093,946.02 786,846.18
======
--------------
-------------- --------------
-------------
5.266
256,186,251.44 254,564,126.34
262,095,861.00 7,531,734.66
30 ITEMS IN SUBTOTAL FOR: AGENCY MBS (30/360) 12X 14 DY DL (TYPE 36)
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 2/29/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 2/29/08 ***
*** STATE AGENCIES II-DIVERSIFIED (3)
***
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
AGENCY MBS (30/360) 12X 2 ( 39)
--------------------------------