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 7/31/07 ***
*** LGIP (7) ***
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
TRI-PARTY REPO-TSY COLLAT ( 7)
--------------------------------
58952 TPCG0460 CITIGROUP GLOBAL M 5.140 8/08/07
5.140 Aaa
AAA
500,000,000.00 100.00000 2
500,000,000.00 500,000,000.00
59027 TPCG0465 CITIGROUP GLOBAL M 5.100 8/01/07
5.100 Aaa
AAA
1153000000.00 100.00000 2 1153000000.00
1153000000.00
======
--------------
-------------- --------------
-------------
5.112
1653000000.00 1653000000.00 1653000000.00
2 ITEMS IN SUBTOTAL FOR: TRI-PARTY REPO-TSY COLLATERAL (TYPE
7)
U.S. TREASURY NOTES & BON
( 12)
--------------------------------
58183 9128274F U S TREASURY NOTE 5.625 5/15/08 5.009 Aaa AAA 10,000,000.00 100.55500 2
10,046,638.66 10,055,500.00 8,861.34
57179 912828ER U S TREASURY NOTE 4.375 12/31/07 5.013 Aaa AAA 20,000,000.00 99.75000 2
19,948,021.89 19,950,000.00 1,978.11
57440 912828ER U S TREASURY NOTE 4.375 12/31/07 4.991 Aaa AAA 50,000,000.00 99.75000 2
49,874,150.80 49,875,000.00 849.20
58179 912828FE U S TREASURY NOTE 4.875 5/15/09 4.843 Aaa AAA 40,000,000.00 100.46875 2
40,021,197.63 40,187,500.00 166,302.37
56651 912828FJ U S TREASURY NOTE 5.125 6/30/08 5.052 Aaa AAA 15,000,000.00 100.23438 2
15,009,084.86 15,035,156.25 26,071.39
58192 912828FJ U S TREASURY NOTE 5.125 6/30/08 4.976 Aaa AAA 20,000,000.00 100.23438 2
20,025,252.02 20,046,875.00 21,622.98
56657 912828FM U S TREASURY NOTE 5.000 7/31/08 5.046 Aaa AAA 15,000,000.00 100.16400 2
14,993,365.44 15,024,600.00 31,234.56
58223 912828FM U S TREASURY NOTE 5.000 7/31/08 5.022 Aaa AAA 30,000,000.00 100.16400 2
29,992,004.96 30,049,200.00 57,195.04
57438 912828FR U S TREASURY NOTE 4.875 8/31/08 4.786 Aaa AAA 50,000,000.00 100.11700 2
50,044,621.01 50,058,500.00 13,878.99
====== -------------- --------------
-------------- -------------
4.938
250,000,000.00
249,954,337.27 250,282,331.25
327,993.98
9 ITEMS IN SUBTOTAL FOR: U.S. TREASURY NOTES & BONDS (TYPE
12)
======
--------------
-------------- --------------
-------------
5.089 1903000000.00 1902954337.27 1903282331.25 327,993.98
11 ITEMS IN SUBTOTAL FOR: LGIP-GOVERNMENT (FUND 7)