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Arizona State Treasurer's Office
Watermark Inventory Report
INVESTMENTS OUTSTANDING AS OF 9/30/01 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 9/30/01 ***
LGIP-GOVERNMENT Pool 7
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INVST# CUSIP# DESCRIPTION RATE MATURITY YIELD MOO S&P POSITION-SIZE # PRICE $ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
------ -------- ------------------ ------ -------- ------ ---- ---- -------------- - --------- - -------------- -------------- - -------------
U.S. TREASURY ZEROES & ST ( 10)
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28096 383752BC GOV'T TRUST CERTIF 11/15/01 3.600 Aaa AAA 30,183,000.00 99.65600 2 30,050,446.33 30,079,170.48 28,724.15
27338 912803BT U S TREAS BD STRPP 11/15/01 3.919 Aaa AAA 14,000,000.00 99.71900 2 13,933,570.41 13,960,660.00 27,089.59
====== -------------- -------------- -------------- -------------
3.701 44,183,000.00 43,984,016.74 44,039,830.48 55,813.74
2 ITEMS IN SUBTOTAL FOR: U.S. TREASURY ZEROES & STRIPS (TYPE 10)
U.S. TREASURY BILLS ( 11)
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28588 912795HR U S TREASURY BILL 2.650 10/04/01 2.653 Aaa AAA 100,000,000.00 99.96900 2 99,977,916.67 99,969,000.00 - 8,916.67
28629 912795HT U.S. TREASURY BILL 2.460 10/25/01 2.465 Aaa AAA 50,000,000.00 99.12500 2 49,918,000.00 49,562,500.00 - 355,500.00
====== -------------- -------------- -------------- -------------
2.590 150,000,000.00 149,895,916.67 149,531,500.00 - 364,416.67
2 ITEMS IN SUBTOTAL FOR: U.S. TREASURY BILLS (TYPE 11)
RESOLUTION FUNDING ZEROES ( 16)
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27291 76116EAZ RESOLUTION FDG FD 10/15/01 3.939 Aaa AAA 7,000,000.00 99.90600 2 6,989,586.46 6,993,420.00 3,833.54
27292 76116EAZ RESOLUTION FDG FD 10/15/01 3.940 Aaa AAA 8,642,000.00 99.90600 2 8,629,141.90 8,633,876.52 4,734.62
====== -------------- -------------- -------------- -------------
3.940 15,642,000.00 15,618,728.36 15,627,296.52 8,568.16
2 ITEMS IN SUBTOTAL FOR: RESOLUTION FUNDING ZEROES & STRI (TYPE 16)
GVT TRUST CERTIF ZEROES & ( 17)
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27290 38375HAZ GOVERNMENT TR G 5/15/02 4.395 Aaa AAA 4,500,000.00 98.18800 2 4,382,619.35 4,418,460.00 35,840.65
27333 912820BC STRIP PRINCIPAL 11/15/01 3.715 Aaa AAA 50,000,000.00 99.71900 2 49,777,068.97 49,859,500.00 82,431.03
====== -------------- -------------- -------------- -------------
3.770 54,500,000.00 54,159,688.32 54,277,960.00 118,271.68
2 ITEMS IN SUBTOTAL FOR: GVT TRUST CERTIF ZEROES & STRIPS (TYPE 17)
====== -------------- -------------- -------------- -------------
3.098 264,325,000.00 263,658,350.09 263,476,587.00 - 181,763.09
8 ITEMS IN SUBTOTAL FOR: LGIP-GOVERNMENT (FUND 7)
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