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 ***
*** 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 25,000,000.00 100.15100 2
24,954,583.82 25,037,750.00 83,166.18
60103 3133XN3J FHLB 4.350 5/19/08 4.350 Aaa AAA 9,000,000.00 100.31250 2
9,000,000.00 9,028,125.00 28,125.00
======
--------------
-------------- --------------
-------------
4.335 34,000,000.00 33,954,583.82 34,065,875.00 111,291.18
2 ITEMS IN SUBTOTAL FOR: AGENCY MTN (30/360) 2X (TYPE 21)
AGENCY NOTES (30/360) 2X (
23)
--------------------------------
59838 3128X1JB FHLMC 2.850 6/03/08 4.729 Aaa AAA 4,500,000.00 100.01500 2
4,478,813.91 4,500,675.00 21,861.09
61127 3133XBJQ FHLB 4.125 4/18/08 2.935 Aaa AAA 6,000,000.00 100.15625 2
6,009,174.86 6,009,375.00 200.14
58017 3133XKP8 FHLB 4.875 11/19/08 5.023 Aaa AAA 25,000,000.00 101.68750 2
24,974,663.94 25,421,875.00 447,211.06
58040 31359M5T FNMA 5.125 9/02/08 5.117 Aaa AAA 15,000,000.00 101.25000 2
15,000,116.35 15,187,500.00 187,383.65
54996 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
55022 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
58067 3136F3CT FNMA 3.250 3/17/08 5.230 Aaa AAA 2,000,000.00 100.03125 2
1,998,322.87 2,000,625.00 2,302.13
======
--------------
-------------- --------------
-------------
4.909
77,500,000.00 77,446,056.44 78,398,175.00 952,118.56
7 ITEMS IN SUBTOTAL FOR: AGENCY NOTES (30/360) 2X (TYPE
23)
AGENCY NOTES (30/360) @ M ( 28)
--------------------------------
60215 3133XNEU FHLB 4.450 3/26/08 4.450 Aaa AAA 41,000,000.00 100.06250 2
41,000,000.00 41,025,625.00 25,625.00
====== -------------- --------------
-------------- -------------
4.450
41,000,000.00 41,000,000.00 41,025,625.00 25,625.00
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
10,000,000.00 100.11100 2 9,996,731.19
10,011,100.00 14,368.81
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 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
59322 3128X5Y6 FHLMC FLOATING QRT 4.670 9/30/08
4.699 Aaa
AAA
10,000,000.00 100.11100 2 9,996,778.38
10,011,100.00 14,321.62
59471 31331X3P FFCB FLOATING QRTL 4.290 3/17/09
4.280 Aaa
AAA
25,000,000.00 99.98900 2 25,000,000.00
24,997,250.00 -2,750.00
59298 3133XK7D FHLB FLOATING QRTL 4.841 9/17/08
4.862 Aaa
AAA
20,000,000.00 100.08100 2 19,995,099.75
20,016,200.00 21,100.25
60140 3133XL6T FHLB FLOATING QRTL 4.831
12/15/08 4.704 Aaa AAA 20,000,000.00 100.06100 2
20,017,413.73 20,012,200.00 -5,213.73
59314 3133XLMS FHLB FLOATING QRTL 4.476 1/05/09
4.520 Aaa
AAA
20,000,000.00 100.14000 2 19,988,859.96
20,028,000.00 39,140.04
59416 3133XLMS FHLB FLOATING QRTL 4.476 1/05/09
4.525 Aaa
AAA
15,000,000.00 100.14000 2 14,992,377.05
15,021,000.00 28,622.95
59113 3133XLX9 FHLB FLOATING QRTL 2.976 2/11/09
2.976 Aaa
AAA
20,000,000.00 100.00400 2 20,000,000.00
20,000,800.00 800.00
59658 3133XLX9 FHLB FLOATING QRTL 2.976 2/11/09
2.913 Aaa
AAA
29,000,000.00 100.00400 2 29,017,005.07
29,001,160.00 -15,845.07
59960 3133XMW3 FHLB FLOATING QRTL 2.890 5/13/09
2.890 Aaa
AAA
20,000,000.00 99.95400 2 20,000,000.00
19,990,800.00 -9,200.00
60141 3133XNCD FHLB FLOATING QRTL 2.860 5/20/09
2.860 Aaa
AAA
20,000,000.00 99.94100 2 20,000,000.00
19,988,200.00 -11,800.00
60146 3133XNDG FHLB FLOATING QRTL 2.890
11/20/09 2.890 Aaa AAA 15,000,000.00 99.90100 2
15,000,000.00 14,985,150.00 -14,850.00
60481 3133XNFK FHLB FLOATING QRTL 2.850
11/26/08 2.824 Aaa AAA 25,000,000.00 99.95313 2
25,004,796.06 24,988,282.50 -16,513.56
60609 3133XNKR FHLB FLOATING QRTL 4.896
12/04/08 4.835 Aaa AAA 20,000,000.00 99.94410 2
20,006,472.84 19,988,820.00 -17,652.84
60498 3133XNUM FHLB FLOATIMG QRTL 4.674
12/24/08 4.661 Aaa AAA 25,000,000.00 99.93300 2
25,000,000.00 24,983,250.00 -16,750.00
60610 3133XNW4 FHLB FLOATING QRTL 4.511 7/07/09
4.493 Aaa
AAA
25,000,000.00 100.03300 2 25,000,000.00
25,008,250.00 8,250.00
61298 3133XPAX FHLB FLOATING QRTL 3.161 1/23/09
3.158 Aaa
AAA
15,000,000.00 99.93120 2 14,998,959.52
14,989,680.00 -9,279.52
61299 3133XPJH FHLB FLOATING QRTL 2.955 8/05/09
2.985 Aaa
AAA
15,000,000.00 99.93200 2 14,993,565.98
14,989,800.00 -3,765.98
======
--------------
-------------- --------------
-------------
3.843
349,000,000.00
349,008,059.53 349,011,042.50
2,982.97
18 ITEMS IN SUBTOTAL FOR: AGENCY NOTE-VAR (ACT/360) 4X (TYPE
30)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
61333 313312TX FFCB DISCOUNT 2.520 3/05/08 2.521 P-1
A-1+ 50,000,000.00 99.97200 2
49,986,000.00 49,986,000.00
61282 313384TW FHLB DISCOUNT 2.700 3/04/08 2.701 P-1
A-1+ 50,000,000.00 99.97750 2
49,988,750.00 49,988,750.00
61285 313384TW FHLB DISCOUNT 2.700 3/04/08 2.701 P-1
A-1+ 50,000,000.00 99.97750 2
49,988,750.00 49,988,750.00
61067 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
61306 313384TX FHLB DISCOUNT 2.550 3/05/08 2.551 P-1
A-1+ 18,933,000.00 99.96944 2
18,927,635.65 18,927,214.83 -420.82
61281 313384TY FHLB DISCOUNT 2.700 3/06/08 2.702 P-1
A-1+ 25,000,000.00 99.96667 2
24,990,625.00 24,991,666.75 1,041.75
61331 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
61069 313384TZ FHLB DISCOUNT 2.700 3/07/08 2.706 P-1
A-1+ 19,246,000.00 99.95517 2
19,237,339.30 19,237,371.44 32.14
61328 313384UC FHLB DISCOUNT 2.780 3/10/08 2.782 P-1
A-1+ 10,000,000.00 99.93050 2
9,993,050.00 9,993,050.00
61144 313384UD FHLB DISCOUNT 2.740 3/11/08 2.746 P-1
A-1+ 32,759,000.00 99.92500 2
32,734,066.76 32,734,430.75 363.99
61145 313384UD FHLB DISCOUNT 2.740 3/11/08 2.746 P-1
A-1+ 50,000,000.00 99.92500 2
49,961,944.44 49,962,500.00 555.56
61305 313384UD FHLB DISCOUNT 2.700 3/11/08 2.703 P-1
A-1+ 50,000,000.00 99.92500 2
49,962,500.00 49,962,500.00
61246 313384UE FHLB DISCOUNT 2.875 3/12/08 2.879 P-1
A-1+ 50,000,000.00 99.91215 2
49,956,076.39 49,956,076.50
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 2/29/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 2/29/08 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
61200 313384UG FHLB DISCOUNT 2.820 3/14/08 2.825 P-1
A-1+ 25,000,000.00 99.90431 2
24,974,541.67 24,976,076.50 1,534.83
61286 313384UG FHLB DISCOUNT 2.750 3/14/08 2.754 P-1
A-1+ 40,000,000.00 99.90431 2
39,960,277.78 39,961,722.40 1,444.62
61253 313384UM FHLB DISCOUNT 2.850 3/19/08 2.856 P-1
A-1+ 50,000,000.00 99.86500 2
49,928,750.00 49,932,500.00 3,750.00
61262 313384UM FHLB DISCOUNT 2.880 3/19/08 2.885 P-1
A-1+ 50,000,000.00 99.86500 2
49,928,000.00 49,932,500.00 4,500.00
61329 313384UM FHLB DISCOUNT 2.700 3/19/08 2.704 P-1
A-1+ 21,050,000.00 99.86500 2
21,021,582.50 21,021,582.50
61330 313384UM FHLB DISCOUNT 2.700 3/19/08 2.704 P-1
A-1+ 50,000,000.00 99.86500 2
49,932,500.00 49,932,500.00
60494 313384US FHLB DISCOUNT 4.260 3/24/08 4.308 P-1
A-1+ 10,000,000.00 99.81600 2
9,972,783.33 9,981,600.00 8,816.67
60495 313384US FHLB DISCOUNT 4.250 3/24/08 4.298 P-1
A-1+ 50,000,000.00 99.81600 2
49,864,236.11 49,908,000.00 43,763.89
61252 313384US FHLB DISCOUNT 2.881 3/24/08 2.888 P-1
A-1+ 50,000,000.00 99.81600 2
49,907,968.05 49,908,000.00 31.95
61303 313384UU FHLB DISCOUNT 2.885 3/26/08 2.891 P-1
A-1+ 25,000,000.00 99.79965 2
24,949,913.20 24,949,913.25
61332 313384VH FHLB DISCOUNT 2.710 4/08/08 2.718 P-1
A-1+ 32,830,000.00 99.71394 2
32,736,087.96 32,736,087.82
61048 313384WA FHLB DISCOUNT 2.680 4/25/08 2.696 P-1 A-1+
10,000,000.00 99.59056 2 9,959,055.55 9,959,055.60
60882 313384WP FHLB DISCOUNT 2.650 5/08/08 2.671 P-1
A-1+ 8,251,000.00 99.49944 2
8,209,699.16 8,209,699.12
61247 313384WX FHLB DISCOUNT 2.710 5/16/08 2.727 P-1
A-1+ 16,000,000.00 99.42789 2
15,908,462.23 15,908,462.24
61245 313384XE FHLB DISCOUNT 2.711 5/23/08 2.730 P-1
A-1+ 25,000,000.00 99.37496 2
24,843,740.96 24,843,741.00
60496 313384YJ FHLB DISCOUNT 4.125 6/20/08 4.213 P-1
A-1+ 48,279,000.00 99.26000 2
47,664,951.47 47,921,735.40 256,783.93
61325 313396TW FHLMC DISCOUNT 2.670 3/04/08 2.671 P-1
A-1+ 50,000,000.00 99.97775 2
49,988,875.00 49,988,875.00
61326 313396TW FHLMC DISCOUNT 2.670 3/04/08 2.671 P-1
A-1+ 39,451,000.00 99.97775 2
39,442,222.16 39,442,222.15
60416 313396UC FHLMC DISCOUNT 4.100 3/10/08 4.142 P-1
A-1+ 45,000,000.00 99.89750 2
44,953,875.00 44,953,875.00
60630 313396UE FHLMC DISCOUNT 4.070 3/12/08 4.102 P-1
A-1+ 50,000,000.00 99.87564 2
49,937,819.44 49,937,819.50
60578 313396UK FHLMC DISCOUNT 4.120 3/17/08 4.157 P-1
A-1+ 30,000,000.00 99.81689 2
29,945,066.67 29,945,066.70
61327 313396UU FHLMC DISCOUNT 2.750 3/26/08 2.756 P-1
A-1+ 50,000,000.00 99.80903 2
49,904,513.89 49,904,514.00
61117 313396VD FHLMC DISCOUNT 2.690 4/04/08 2.701 P-1
A-1+ 25,000,000.00 99.74594 2
24,936,486.11 24,936,486.00
60861 313396VW FHLMC DISCOUNT 2.900 4/21/08 2.921 P-1
A-1+ 25,000,000.00 99.58917 2
24,897,291.67 24,897,291.75
61050 313396WD FHLMC DISCOUNT 2.680 4/28/08 2.697 P-1
A-1+ 50,000,000.00 99.56822 2
49,784,111.11 49,784,111.00
58314 313396WF FHLMC DISCOUNT 5.030 4/30/08 5.274 P-1
A-1+ 40,000,000.00 99.16167 2
39,664,666.67 39,664,666.80
61033 313396WL FHLMC DISCOUNT 2.690 5/05/08 2.708 P-1
A-1+ 10,000,000.00 99.51431 2
9,951,430.56 9,951,430.60
61283 313396XJ FHLMC DISCOUNT 2.710 5/27/08 2.729 P-1
A-1+ 50,000,000.00 99.34508 2
49,672,541.67 49,672,541.50
60375 313588VA FNMA DISCOUNT 4.110 4/01/08 4.166 P-1
A-1+ 75,000,000.00 99.64608 2
74,734,562.50 74,734,562.25
61047 313588VB FNMA DISCOUNT 2.700 4/02/08 2.712 P-1
A-1+ 33,000,000.00 99.76000 2
32,920,800.00 32,920,800.00
60987 313588VW FNMA DISCOUNT 2.850 4/21/08 2.869 P-1
A-1+ 5,000,000.00 99.59625 2
4,979,812.50 4,979,812.50
60875 313588VY FNMA DISCOUNT 2.810 4/23/08 2.830 P-1
A-1+ 25,000,000.00 99.58631 2
24,896,576.39 24,896,576.50
61280 313588XC FNMA DISCOUNT 2.720 5/21/08 2.738 P-1
A-1+ 25,000,000.00 99.38800 2
24,847,000.00 24,847,000.00
60311 313588YQ FNMA DISCOUNT 3.990 6/26/08 4.085 P-1
A-1+ 25,000,000.00 99.22000 2
24,675,812.50 24,805,000.00 129,187.50
====== -------------- --------------
-------------- -------------
3.083
1669799000.00 1665589959.68 1666042192.85 452,233.18
47 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 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id Description RATE Maturity YIELD MOO S&P POSITION-SIZE # PRICE $ CARRY-BASIS