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 3/31/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS
BOOK-VALUE AMORTIZED THROUGH 3/31/08 ***
*** 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)
--------------------------------
61554 3128X03B FHLMC 3.125 4/04/08 2.126 Aaa AAA 7,775,000.00 100.00600 2
7,775,589.99 7,775,466.50 -123.49
61553 3128X4DA FHLMC 4.250 6/23/08 1.940 Aaa AAA 20,000,000.00 100.41100 2
20,102,920.00 20,082,200.00 -20,720.00
60103 3133XN3J FHLB 4.350 5/19/08 4.350 Aaa AAA 9,000,000.00 100.25000 2
9,000,000.00 9,022,500.00 22,500.00
61620 3136F7DZ FNMA 4.350 7/28/08 2.180 Aaa AAA 15,000,000.00 100.59375 2
15,103,481.28 15,089,062.50 -14,418.78
======
--------------
-------------- --------------
-------------
2.455
51,775,000.00 51,981,991.27 51,969,229.00 -12,762.27
4 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 4,500,000.00 100.07200 2
4,485,800.81 4,503,240.00 17,439.19
61127 3133XBJQ FHLB 4.125 4/18/08 2.935 Aaa AAA 6,000,000.00 100.09375 2
6,003,249.43 6,005,625.00 2,375.57
61480 3133XCUR FHLB 4.500 9/10/10 2.563 Aaa AAA 8,400,000.00 104.75000 2
8,782,190.25 8,799,000.00 16,809.75
61482 3133XCUR FHLB 4.500 9/10/10 2.503 Aaa AAA 3,000,000.00 104.75000 2
3,140,834.39 3,142,500.00 1,665.61
61481 3133XPNX FHLB 2.625 3/12/10 2.459 Aaa AAA 9,340,000.00 100.68750 2
9,369,301.53 9,404,212.50 34,910.97
58040 31359M5T FNMA 5.125 9/02/08 5.117 Aaa AAA 5,000,000.00 101.12500 2
5,000,032.28 5,056,250.00 56,217.72
54996 31359MF3 FNMA 5.000 7/25/08 5.220 Aaa AAA 15,000,000.00 100.81250 2
14,990,034.46 15,121,875.00 131,840.54
55022 31359MX4 FNMA 5.000 9/15/08 5.047 Aaa AAA 10,000,000.00 101.34375 2
9,997,989.60 10,134,375.00 136,385.40
======
--------------
-------------- --------------
-------------
3.991
61,240,000.00 61,769,432.75 62,167,077.50 397,644.75
8 ITEMS IN SUBTOTAL
FOR: AGENCY NOTES (30/360) 2X (TYPE
23)
AGENCY
NOTES (30/360) @ M (
28)
--------------------------------
61583 3133XPK2 FHLB 2.700 7/08/08 1.886 Aaa AAA 30,000,000.00 100.06250 2
30,064,412.73 30,018,750.00 -45,662.73
======
--------------
-------------- --------------
-------------
1.886 30,000,000.00 30,064,412.73 30,018,750.00 -45,662.73
1 ITEM IN SUBTOTAL
FOR: AGENCY NOTES (30/360) @ MATURITY
(TYPE 28)
AGENCY NOTE-VAR (ACT/360) ( 30)
--------------------------------
59303 3128X5Y6 FHLMC
FLOATING QRT 2.536 9/30/08
2.555 Aaa
AAA
10,000,000.00 100.00000 2 9,997,206.93
10,000,000.00 2,793.07
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 3/31/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS
BOOK-VALUE AMORTIZED THROUGH 3/31/08 ***
*** 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 2.536 9/30/08
2.555 Aaa
AAA
10,000,000.00 100.00000 2 9,997,247.25
10,000,000.00 2,752.75
59471 31331X3P FFCB
FLOATING QRTL 2.290 3/17/09
2.277 Aaa
AAA
25,000,000.00 99.99200 2 25,000,000.00
24,998,000.00 -2,000.00
59298 3133XK7D FHLB
FLOATING QRTL 2.650 9/17/08
2.661 Aaa
AAA
20,000,000.00 100.03300 2 19,995,859.28
20,006,600.00 10,740.72
60140 3133XL6T FHLB
FLOATING QRTL 2.640
12/15/08 2.509 Aaa AAA 20,000,000.00 100.03500 2
20,015,545.81 20,007,000.00 -8,545.81
59314 3133XLMS FHLB FLOATING
QRTL 4.476 1/05/09
4.520 Aaa
AAA
20,000,000.00 100.02500 2 19,989,973.97
20,005,000.00 15,026.03
59416 3133XLMS FHLB
FLOATING QRTL 4.476 1/05/09
4.525 Aaa
AAA
15,000,000.00 100.02500 2 14,993,139.34
15,003,750.00 10,610.66
59113 3133XLX9 FHLB
FLOATING QRTL 2.976 2/11/09
2.976 Aaa
AAA
20,000,000.00 100.04500 2 20,000,000.00
20,009,000.00 9,000.00
59658 3133XLX9 FHLB
FLOATING QRTL 2.976 2/11/09
2.913 Aaa
AAA
29,000,000.00 100.04500 2 29,015,485.88
29,013,050.00 -2,435.88
61494 3133XMS3 FHLB
FLOATING QRTL 3.049 5/01/09
3.087 Aaa
AAA
10,000,000.00 100.00680 2 9,995,907.23
10,000,680.00 4,772.77
59960 3133XMW3 FHLB
FLOATING QRTL 2.890 5/13/09
2.890 Aaa
AAA
20,000,000.00 100.00300 2 20,000,000.00
20,000,600.00 600.00
60141 3133XNCD FHLB
FLOATING QRTL 2.860 5/20/09
2.860 Aaa
AAA
20,000,000.00 99.99700 2 20,000,000.00
19,999,400.00 -600.00
60146 3133XNDG FHLB
FLOATING QRTL 2.890
11/20/09 2.890 Aaa AAA 15,000,000.00 99.95900 2
15,000,000.00 14,993,850.00 -6,150.00
60481 3133XNFK FHLB
FLOATING QRTL 2.850
11/26/08 2.824 Aaa AAA 25,000,000.00 100.01400 2
25,004,245.40 25,003,500.00 -745.40
60609 3133XNKR FHLB
FLOATING QRTL 2.823
12/04/08 2.759 Aaa AAA 20,000,000.00 100.00520 2
20,005,751.05 20,001,040.00 -4,711.05
60498 3133XNUM FHLB
FLOATIMG QRTL 2.389
12/24/08 2.371 Aaa AAA 25,000,000.00 99.83700 2
25,000,000.00 24,959,250.00 -40,750.00
60610 3133XNW4 FHLB
FLOATING QRTL 4.511 7/07/09
4.493 Aaa
AAA
25,000,000.00 99.92188 2 25,000,000.00
24,980,468.75 -19,531.25
61298 3133XPAX FHLB
FLOATING QRTL 3.161 1/23/09
3.158 Aaa
AAA
15,000,000.00 99.94510 2 14,999,057.85
14,991,765.00 -7,292.85
61299 3133XPJH FHLB
FLOATING QRTL 2.955 8/05/09
2.985 Aaa
AAA
15,000,000.00 99.96800 2 14,993,948.07
14,995,200.00 1,251.93
====== -------------- --------------
-------------- -------------
3.043
359,000,000.00
359,003,368.06 358,968,153.75
-35,214.31
19 ITEMS IN SUBTOTAL
FOR: AGENCY NOTE-VAR (ACT/360) 4X (TYPE
30)
AGENCY DISCOUNT NOTES ( 35)
--------------------------------
61512 31315PEN FAMC
DISCOUNT 2.471 4/22/08 2.409 P-1
A-1+ 20,000,000.00 99.85983 2
19,971,965.00 19,971,965.00
61671 313384VA FHLB
DISCOUNT 1.870 4/01/08 1.870 P-1
A-1+ 25,000,000.00 100.00000 2
25,000,000.00 25,000,000.00
61686 313384VA FHLB
DISCOUNT 1.500 4/01/08 1.500 P-1
A-1+ 25,786,000.00 100.00000 2
25,786,000.00 25,786,000.00
61687 313384VA FHLB
DISCOUNT 1.500 4/01/08 1.500 P-1
A-1+ 50,000,000.00 100.00000 2
50,000,000.00 50,000,000.00
61643 313384VB FHLB
DISCOUNT 1.550 4/02/08 1.550 P-1
A-1+ 100,000,000.00 99.99569
2 99,995,694.44 99,995,694.00
61581 313384VC FHLB
DISCOUNT 1.700 4/03/08 1.701 P-1
A-1+ 50,000,000.00 99.99056 2
49,995,277.78 49,995,278.00
61603 313384VG FHLB
DISCOUNT 1.650 4/07/08 1.651 P-1
A-1+ 49,400,000.00 99.97250 2
49,386,415.00 49,386,415.00
61332 313384VH FHLB DISCOUNT 2.710 4/08/08 2.718 P-1
A-1+ 32,830,000.00 99.94731 2
32,812,700.41 32,812,700.56
61602 313384VJ FHLB
DISCOUNT 1.950 4/09/08 1.952 P-1
A-1+ 49,012,000.00 99.95244 2
48,990,761.47 48,988,691.85 -2,069.62
61680 313384VJ FHLB
DISCOUNT 2.140 4/09/08 2.141 P-1
A-1+ 50,000,000.00 99.95244 2
49,976,222.22 49,976,222.00
61546 313384VK FHLB
DISCOUNT 1.860 4/10/08 1.862 P-1
A-1+ 50,000,000.00 99.95000 2
49,976,750.00 49,975,000.00 -1,750.00
61637 313384VK FHLB
DISCOUNT 2.000 4/10/08 2.002 P-1
A-1+ 50,000,000.00 99.95000 2
49,975,000.00 49,975,000.00
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 3/31/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS
BOOK-VALUE AMORTIZED THROUGH 3/31/08 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
61678 313384VL FHLB
DISCOUNT 2.130 4/11/08 2.131 P-1
A-1+ 14,500,000.00 99.94083 2
14,491,420.84 14,491,420.79
61528 313384VP FHLB
DISCOUNT 2.250 4/14/08 2.254 P-1
A-1+ 22,100,000.00 99.92417 2
22,082,043.75 22,083,240.91 1,197.16
61604 313384VP FHLB
DISCOUNT 1.750 4/14/08 1.752 P-1
A-1+ 50,000,000.00 99.92417 2
49,968,402.78 49,962,083.50 -6,319.28
61677 313384VP FHLB
DISCOUNT 2.100 4/14/08 2.102 P-1
A-1+ 50,000,000.00 99.92417 2
49,962,083.34 49,962,083.50
61580 313384VQ FHLB
DISCOUNT 1.870 4/15/08 1.873 P-1
A-1+ 50,000,000.00 99.92222 2
49,963,638.89 49,961,111.00 -2,527.89
61582 313384VQ FHLB
DISCOUNT 1.870 4/15/08 1.873 P-1
A-1+ 50,000,000.00 99.92222 2
49,963,638.89 49,961,111.00 -2,527.89
61641 313384VQ FHLB
DISCOUNT 2.000 4/15/08 2.002 P-1
A-1+ 49,426,000.00 99.92222 2
49,387,557.55 49,387,557.45
61564 313384VS FHLB
DISCOUNT 1.750 4/17/08 1.753 P-1
A-1+ 50,000,000.00 99.92222 2
49,961,111.11 49,961,111.00
61606 313384VT FHLB
DISCOUNT 2.120 4/18/08 2.123 P-1
A-1+ 50,000,000.00 99.89989 2
49,949,944.45 49,949,944.50
61679 313384VW FHLB DISCOUNT 2.100 4/21/08 2.103 P-1
A-1+ 92,250,000.00 99.88056 2
92,142,375.00 92,139,812.91 -2,562.09
61681 313384VW FHLB
DISCOUNT 2.150 4/21/08 2.153 P-1
A-1+ 21,730,000.00 99.88056 2
21,704,044.72 21,704,044.82
61625 313384VY FHLB
DISCOUNT 2.120 4/23/08 2.124 P-1
A-1+ 50,000,000.00 99.87161 2
49,935,222.23 49,935,803.00 580.77
61644 313384VY FHLB
DISCOUNT 2.121 4/23/08 2.124 P-1
A-1+ 30,000,000.00 99.87161 2
29,961,115.00 29,961,481.80 366.80
61646 313384VY FHLB
DISCOUNT 2.101 4/23/08 2.104 P-1
A-1+ 50,000,000.00 99.87161 2
49,935,802.77 49,935,803.00
61048 313384WA FHLB
DISCOUNT 2.680 4/25/08 2.696 P-1
A-1+ 10,000,000.00 99.82133 2
9,982,133.33 9,982,133.30
60882 313384WP FHLB
DISCOUNT 2.650 5/08/08 2.671 P-1
A-1+ 8,251,000.00 99.72764 2
8,228,527.48 8,228,527.49
61498 313384WV FHLB
DISCOUNT 2.310 5/14/08 2.319 P-1
A-1+ 50,000,000.00 99.72408 2
49,862,041.67 49,862,041.50
61247 313384WX FHLB
DISCOUNT 2.710 5/16/08 2.727 P-1
A-1+ 16,000,000.00 99.66125 2
15,945,800.00 15,945,800.00
61245 313384XE FHLB
DISCOUNT 2.711 5/23/08 2.730 P-1
A-1+ 25,000,000.00 99.71111 2
24,902,102.77 24,927,777.75 25,674.98
61607 313384XE FHLB
DISCOUNT 2.000 5/23/08 2.007 P-1
A-1+ 50,000,000.00 99.71111 2
49,855,555.55 49,855,555.50
61562 313384YG FHLB
DISCOUNT 1.740 6/18/08 1.748 P-1
A-1+ 50,000,000.00 99.62300 2
49,811,500.01 49,811,500.00
61642 313384YP FHLB
DISCOUNT 2.080 6/25/08 2.091 P-1
A-1+ 22,000,000.00 99.50889 2
21,891,955.56 21,891,955.58
61117 313396VD FHLMC
DISCOUNT 2.690 4/04/08 2.701 P-1
A-1+ 25,000,000.00 99.97758 2
24,994,395.83 24,994,395.75
60861 313396VW FHLMC
DISCOUNT 2.900 4/21/08 2.921 P-1
A-1+ 25,000,000.00 99.83889 2
24,959,722.22 24,959,722.25
61682 313396WA FHLMC
DISCOUNT 2.150 4/25/08 2.153 P-1
A-1+ 13,300,000.00 99.85667 2
13,280,936.67 13,280,936.71
61050 313396WD FHLMC
DISCOUNT 2.680 4/28/08 2.697 P-1
A-1+ 50,000,000.00 99.79900 2
49,899,500.00 49,899,500.00
61033 313396WL FHLMC
DISCOUNT 2.690 5/05/08 2.708 P-1
A-1+ 10,000,000.00 99.74595 2
9,974,594.45 9,974,594.50
61283 313396XJ FHLMC
DISCOUNT 2.710 5/27/08 2.729 P-1
A-1+ 50,000,000.00 99.57844 2
49,789,222.22 49,789,222.00
61488 313396XX FHLMC
DISCOUNT 2.240 6/09/08 2.253 P-1
A-1+ 30,000,000.00 99.57067 2
29,871,200.00 29,871,200.10
61529 313588B8 FNMA
DISCOUNT 2.060 8/13/08 2.078 P-1
A-1+ 35,000,000.00 99.24000 2
34,731,627.78 34,734,000.00 2,372.22
61047 313588VB FNMA
DISCOUNT 2.700 4/02/08 2.712 P-1
A-1+ 33,000,000.00 99.99250 2
32,997,525.00 32,997,525.33
61492 313588VP FNMA
DISCOUNT 2.400 4/14/08 2.405 P-1
A-1+ 6,400,000.00 99.91333 2
6,394,453.33 6,394,453.31
60987 313588VW FNMA
DISCOUNT 2.850 4/21/08 2.869 P-1
A-1+ 5,000,000.00 99.84167 2
4,992,083.33 4,992,083.35
60875 313588VY FNMA
DISCOUNT 2.810 4/23/08 2.830 P-1
A-1+ 25,000,000.00 99.82828 2
24,957,069.44 24,957,069.50
61688 313588WD FNMA
DISCOUNT 2.130 4/28/08 2.134 P-1
A-1+ 50,000,000.00 99.84025 2
49,920,125.00 49,920,125.00
61668 313588WF FNMA
DISCOUNT 2.152 4/30/08 2.156 P-1
A-1+ 9,948,000.00 99.83244 2
9,930,754.59 9,931,331.53 576.94
61685 313588WF FNMA
DISCOUNT 2.080 4/30/08 2.084 P-1
A-1+ 50,000,000.00 99.83244 2
49,916,222.22 49,916,222.00
61280 313588XC FNMA
DISCOUNT 2.720 5/21/08 2.738 P-1
A-1+ 25,000,000.00 99.62222 2
24,905,555.55 24,905,555.50
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 3/31/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS
BOOK-VALUE AMORTIZED THROUGH 3/31/08 ***
*** LGIP (5) ***
==============================================================================================================================================
Pos# Sec-Id
Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ----
---- -------------- - --------- - -------------- -------------- - -------------
61661 313588YP FNMA
DISCOUNT 2.050 6/25/08 2.061 P-1
A-1+ 50,000,000.00 99.51597 2
49,757,986.11 49,757,986.00
61437 313588YR FNMA
DISCOUNT 2.340 6/27/08 2.357 P-1
A-1+ 36,297,000.00 99.47075 2
36,091,740.47 36,104,898.13 13,157.66
61489 313588YR FNMA
DISCOUNT 2.190 6/27/08 2.204 P-1
A-1+ 5,000,000.00 99.47075 2
4,973,537.50 4,973,537.50
====== -------------- --------------
-------------- -------------
2.102
1947230000.00 1944093055.72 1944119225.17 26,169.76
53 ITEMS IN SUBTOTAL
FOR: AGENCY DISCOUNT NOTES (TYPE 35)
CORPORATE NOTES-VAR (ACT/ ( 52)
--------------------------------
59959 00206RAA AT&T
FLOATING QRTL 3.155 5/15/08
3.135 A2 A 12,500,000.00 100.03300 2
12,500,305.24 12,504,125.00 3,819.76
59563 00206RAC AT&T
FLOATING QRTL 3.195 2/05/10
3.423 A2 A 18,500,000.00 99.06100 2
18,415,987.83 18,326,285.00 -89,702.83
59888 00206RAC AT&T
FLOATING QRTL 3.195 2/05/10
3.437 A2 A 3,970,000.00 99.06100 2
3,950,854.31 3,932,721.70 -18,132.61
35864 00878833 MERIDIAN
FUNDING C 3.170 6/09/08
3.209 Aaa
AAA
833,333.85 99.00000 2 833,081.48 825,000.51 -8,080.97
59950 02666QZB AMERICAN
HONDA FIN 3.146 2/09/10
3.326 Aa3 A+ 10,000,000.00 99.88800 2
9,963,800.30 9,988,800.00 24,999.70
58426 02666QZU AMERICAN
HONDA FIN 2.911 6/12/09
2.898 Aa3 A+ 20,000,000.00 99.93200 2
20,000,000.00 19,986,400.00 -13,600.00
59691 06050TJS BANK OF
AMERICA FL 3.331 7/25/08
3.415 Aaa
AA+ 1,400,000.00 99.94700 2
1,399,550.70 1,399,258.00 -292.70
59301 079860AM BELLSOUTH
CORP FLO 3.165 8/15/08
3.263 A2 A 8,500,000.00 99.87100 2
8,496,930.40 8,489,035.00 -7,895.40
60335 079860AM BELLSOUTH
CORP FLO 3.165 8/15/08
3.418 A2 A 5,575,000.00 99.87100 2
5,569,806.03 5,567,808.25 -1,997.78
60779 079860AM BELLSOUTH
CORP FLO 3.165 8/15/08
3.130 A2 A 10,000,000.00 99.87100 2
10,001,308.68 9,987,100.00 -14,208.68
59122 172967EG CITIGROUP
INC FLOA 3.220 8/13/10
3.247 Aa3 AA 15,000,000.00 97.43400 2
14,990,067.15 14,615,100.00 -374,967.15
52733 24422EPZ JOHN DEERE CAPITAL 4.308 4/15/08
4.283 A2 A 20,000,000.00 100.04100 2
20,000,000.00 20,008,200.00 8,200.00
57071 24422EQE JOHN DEERE
CAP Flo 3.116 9/01/09
3.104 A2 A 25,000,000.00 99.53000 2
25,000,000.00 24,882,500.00 -117,500.00
59606 24422EQK JOHN DEERE
CAP Flo 2.779 9/25/08
2.758 A2 A 5,000,000.00 99.95600 2
5,000,000.00 4,997,800.00 -2,200.00
59812 24422EQL JOHN DEERE CAP Flo 4.345 10/16/09 4.338 A2 A 10,000,000.00 99.82000 2