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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 4/30/04 (SETTLEMENT BASIS)
CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 4/30/04
POOL: LGIP-GOVERNMENT (7)
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POSITI SEC-ID DESCRIPTION RATE MATURITY YIELD MOO S&P POSITION-SIZE # PRICE $ CARRY-BASIS MARKET-VALUE * $-ABOVE/BELOW
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U.S. TREASURY ZEROES & ST ( 10)
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32271 222655NK PRINCIPAL TREAS CP 5/15/04 1.566 Aaa AAA 3,448,527.00 99.96000 2 3,446,496.37 3,447,147.59 651.22
32270 222655VT PRINCIPAL TREAS CP 5/15/04 1.566 Aaa AAA 6,192,893.00 99.96000 2 6,189,246.37 6,190,415.84 1,169.47
34835 894643WB TREASURY INVT GRWT 8/15/04 1.305 Aaa AAA 5,000,000.00 99.62000 2 4,981,343.05 4,981,000.00 -343.05
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1.477 14,641,420.00 14,617,085.79 14,618,563.43 1,477.64
3 ITEMS IN SUBTOTAL FOR: U.S. TREASURY ZEROES & STRIPS (TYPE 10)
U.S. TREASURY NOTES & BON ( 12)
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35158 912828BB U S TREASURY NOTE 1.250 5/31/05 1.124 Aaa AAA 20,000,000.00 99.56000 2 20,026,796.66 19,912,000.00 -114,796.66
35169 912828BB U S TREASURY NOTE 1.250 5/31/05 1.183 Aaa AAA 20,000,000.00 99.56000 2 20,014,262.73 19,912,000.00 -102,262.73
35324 912828BB U S TREASURY NOTE 1.250 5/31/05 1.156 Aaa AAA 25,000,000.00 99.56000 2 25,025,062.35 24,890,000.00 -135,062.35
39114 912828BB U S TREASURY NOTE 1.250 5/31/05 1.661 Aaa AAA 10,000,000.00 99.56000 2 9,956,300.54 9,956,000.00 -300.54
35445 912828BC U S TREASURY NOTE 1.125 6/30/05 1.308 Aaa AAA 40,000,000.00 99.31000 2 39,916,424.42 39,724,000.00 -192,424.42
35446 912828BC U S TREASURY NOTE 1.125 6/30/05 1.140 Aaa AAA 25,000,000.00 99.31000 2 24,995,701.02 24,827,500.00 -168,201.02
35448 912828BC U S TREASURY NOTE 1.125 6/30/05 1.173 Aaa AAA 25,000,000.00 99.31000 2 24,986,391.86 24,827,500.00 -158,891.86
35482 912828BC U S TREASURY NOTE 1.125 6/30/05 1.160 Aaa AAA 40,000,000.00 99.31000 2 39,983,954.19 39,724,000.00 -259,954.19
35526 912828BC U S TREASURY NOTE 1.125 6/30/05 1.316 Aaa AAA 20,000,000.00 99.31000 2 19,956,335.62 19,862,000.00 -94,335.62
35615 912828BC U S TREASURY NOTE 1.125 6/30/05 1.330 Aaa AAA 20,000,000.00 99.31000 2 19,953,092.54 19,862,000.00 -91,092.54
35750 912828BC U S TREASURY NOTE 1.125 6/30/05 1.336 Aaa AAA 20,000,000.00 99.31000 2 19,951,704.55 19,862,000.00 -89,704.55
39112 912828BN U S TREASURY NOTE 1.625 10/31/05 1.921 Aaa AAA 10,000,000.00 99.50000 2 9,956,596.98 9,950,000.00 -6,596.98
43382 912828BN U S TREASURY NOTE 1.625 10/31/05 1.655 Aaa AAA 20,000,000.00 99.50000 2 19,991,049.65 19,900,000.00 -91,049.65
43787 912828BU U S TREASURY NOTE 1.875 12/31/05 2.108 Aaa AAA 10,000,000.00 99.59000 2 9,962,030.49 9,959,000.00 -3,030.49
43384 912828CD U S TREASURY NOTE 1.500 3/31/06 1.903 Aaa AAA 10,000,000.00 98.59000 2 9,924,676.72 9,859,000.00 -65,676.72
43390 912828CD U S TREASURY NOTE 1.500 3/31/06 1.907 Aaa AAA 10,000,000.00 98.59000 2 9,923,923.49 9,859,000.00 -64,923.49
43572 912828CD U S TREASURY NOTE 1.500 3/31/06 2.101 Aaa AAA 10,000,000.00 98.59000 2 9,887,726.18 9,859,000.00 -28,726.18
43574 912828CD U S TREASURY NOTE 1.500 3/31/06 2.068 Aaa AAA 10,000,000.00 98.59000 2 9,893,836.32 9,859,000.00 -34,836.32
43889 912828CF U S TREASURY NOTE 2.250 4/30/06 2.323 Aaa AAA 10,000,000.00 99.88000 2 9,985,919.32 9,988,000.00 2,080.68
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1.420 355,000,000.00 354,291,785.63 352,592,000.00 -1,699,785.63
19 ITEMS IN SUBTOTAL FOR: U.S. TREASURY NOTES & BONDS (TYPE 12)
GVT TRUST CERTIF ZEROES & ( 17)
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32153 383752BH GOV'T TRUST CERTIF 5/15/04 1.631 Aaa AAA 4,318,000.00 99.95000 2 4,315,352.18 4,315,841.00 488.82
35271 383752BJ GOV'T TRUST CERTIF 11/15/04 1.270 Aaa AAA 1,784,000.00 99.10000 2 1,771,973.62 1,767,944.00 -4,029.62
32155 383752DT GOV'T TRUST CERTIF 5/15/04 1.671 Aaa AAA 1,000,000.00 99.95000 2 999,371.93 999,500.00 128.07
32266 465139RT ISRAEL ST U S GOT 5/15/04 1.526 Aaa N/R 4,958,000.00 99.96000 2 4,955,144.58 4,956,016.80 872.22
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1.538 12,060,000.00 12,041,842.31 12,039,301.80 -2,540.51
4 ITEMS IN SUBTOTAL FOR: GVT TRUST CERTIF ZEROES & STRIPS (TYPE 17)
AGENCY NOTES (30/360) 2X ( 23)
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35272 742651CL PRIVATE EXPORT FUN 5.250 5/15/05 1.506 Aaa AAA 25,000,000.00 103.50000 2 25,953,802.17 25,875,000.00 -78,802.17
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1.506 25,000,000.00 25,953,802.17 25,875,000.00 -78,802.17
1 ITEM IN SUBTOTAL FOR: AGENCY NOTES (30/360) 2X (TYPE 23)
REPURCHASE AGREEMENTS ( 61)
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43927 RPBA0278 BANC OF AMERICA SE .920 5/03/04 .920 269,000,000.00 100.00000 9 269,000,000.00 269,000,000.00
43922 RPGS0282 GOLDMAN SACHS .920 5/03/04 .920 19,000,000.00 100.00000 9 19,000,000.00 19,000,000.00
43934 RPWA0054 WACHOVIA CAPITAL M .930 5/03/04 .930 500,000,000.00 100.00000 9 500,000,000.00 500,000,000.00
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.926 788,000,000.00 788,000,000.00 788,000,000.00
3 ITEMS IN SUBTOTAL FOR: REPURCHASE AGREEMENTS (TYPE 61)
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1.098 1194701420.00 1194904515.90 1193124865.23 -1,779,650.67
30 ITEMS IN SUBTOTAL FOR: LGIP-GOVERNMENT (FUND 7)