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 7/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 8/31/07 ***
*** LGIP (7) ***
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS MARKET-VALUE
* $-ABOVE/BELOW
------
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TRI-PARTY REPO-TSY COLLAT ( 7)
--------------------------------
59383 TPDB0209 DEUTSCHE BANK 5.100 9/04/07 5.100 Aaa AAA 1332000000.00 100.00000 2
1332000000.00 1332000000.00
59340 TPMS0286 MIZUHO SECURITIES 4.900 9/13/07 4.900 Aaa AAA 250,000,000.00 100.00000 2 250,000,000.00 250,000,000.00
======
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-------------- --------------
-------------
5.068
1582000000.00 1582000000.00 1582000000.00
2 ITEMS IN SUBTOTAL FOR: TRI-PARTY REPO-TSY COLLATERAL (TYPE
7)
U.S. TREASURY BILLS ( 11)
--------------------------------
59309 912795A2 U.S. TREASURY BILL 3.124 9/20/07
3.132 Aaa
AAA
60,000,000.00 99.83512 2 59,901,073.33
59,901,073.20
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-------------- --------------
-------------
3.132 60,000,000.00 59,901,073.33 59,901,073.20
1 ITEM IN SUBTOTAL FOR: U.S. TREASURY BILLS (TYPE 11)
U.S. TREASURY NOTES & BON ( 12)
--------------------------------
58183 9128274F U S TREASURY NOTE 5.625 5/15/08 5.009 Aaa AAA 10,000,000.00 100.76563 2
10,041,618.52 10,076,562.50 34,943.98
57179 912828ER U S TREASURY NOTE 4.375 12/31/07 5.013 Aaa AAA 20,000,000.00 100.07000 2
19,958,622.69 20,014,000.00 55,377.31
57440 912828ER U S TREASURY NOTE 4.375 12/31/07 4.991 Aaa AAA 50,000,000.00 100.07000 2
49,899,817.41 50,035,000.00 135,182.59
58179 912828FE U S TREASURY NOTE 4.875 5/15/09 4.843 Aaa AAA 40,000,000.00 101.07813 2
40,020,191.31 40,431,250.00 411,058.69
56651 912828FJ U S TREASURY NOTE 5.125 6/30/08 5.052 Aaa AAA 15,000,000.00 100.50800 2
15,008,241.66 15,076,200.00 67,958.34
58192 912828FJ U S TREASURY NOTE 5.125 6/30/08 4.976 Aaa AAA 20,000,000.00 100.50800 2
20,022,908.27 20,101,600.00 78,691.73
56657 912828FM U S TREASURY NOTE 5.000 7/31/08 5.046 Aaa AAA 15,000,000.00 100.48438 2
14,993,928.92 15,072,656.25 78,727.33
58223 912828FM U S TREASURY NOTE 5.000 7/31/08 5.022 Aaa AAA 30,000,000.00 100.48438 2
29,992,684.00 30,145,312.50 152,628.50
57438 912828FR U S TREASURY NOTE 4.875 8/31/08 4.786 Aaa AAA 50,000,000.00 100.51563 2
50,041,127.95 50,257,812.50 216,684.55
======
--------------
-------------- --------------
-------------
4.938 250,000,000.00 249,979,140.73 251,210,393.75 1,231,253.02
9 ITEMS IN SUBTOTAL FOR: U.S. TREASURY NOTES & BONDS (TYPE
12)
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4.990
1892000000.00 1891880214.06 1893111466.95 1,231,253.02
12 ITEMS IN SUBTOTAL FOR: LGIP-GOVERNMENT (FUND 7)