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 6/30/07 (SETTLEMENT BASIS)

*** CARRY-BASIS IS BOOK-VALUE AMORTIZED THROUGH 6/30/07 ***

*** LGIP-GOVERNMENT (7) ***

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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)

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58651 TPDB0190 DEUTSCHE BANK 4.000 7/02/07 4.000 Aaa AAA 1164000000.00 100.00000 2 1164000000.00 1164000000.00

58652 TPGS0083 GOLDMAN SACHS & CO 3.500 7/02/07 3.500 Aaa AAA 84,000,000.00 100.00000 2 84,000,000.00 84,000,000.00

58653 TPMS0275 MIZUHO SECURITIES 4.000 7/02/07 4.000 Aaa AAA 500,000,000.00 100.00000 2 500,000,000.00 500,000,000.00

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3.976 1748000000.00 1748000000.00 1748000000.00

3 ITEMS IN SUBTOTAL FOR: TRI-PARTY REPO-TSY COLLATERAL (TYPE 7)

U.S. TREASURY NOTES & BON ( 12)

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58183 9128274F U S TREASURY NOTE 5.625 5/15/08 5.009 Aaa AAA 10,000,000.00 100.50000 2 10,051,658.79 10,050,000.00 -1,658.79

57179 912828ER U S TREASURY NOTE 4.375 12/31/07 5.013 Aaa AAA 20,000,000.00 99.74200 2 19,937,421.09 19,948,400.00 10,978.91

57440 912828ER U S TREASURY NOTE 4.375 12/31/07 4.991 Aaa AAA 50,000,000.00 99.74200 2 49,848,484.19 49,871,000.00 22,515.81

58179 912828FE U S TREASURY NOTE 4.875 5/15/09 4.843 Aaa AAA 40,000,000.00 99.95313 2 40,022,203.95 39,981,250.00 -40,953.95

56651 912828FJ U S TREASURY NOTE 5.125 6/30/08 5.052 Aaa AAA 15,000,000.00 100.09375 2 15,009,928.07 15,014,062.50 4,134.43

58192 912828FJ U S TREASURY NOTE 5.125 6/30/08 4.976 Aaa AAA 20,000,000.00 100.09375 2 20,027,595.77 20,018,750.00 -8,845.77

56657 912828FM U S TREASURY NOTE 5.000 7/31/08 5.046 Aaa AAA 15,000,000.00 99.96875 2 14,992,801.96 14,995,312.50 2,510.54

58223 912828FM U S TREASURY NOTE 5.000 7/31/08 5.022 Aaa AAA 30,000,000.00 99.96875 2 29,991,325.93 29,990,625.00 -700.93

57438 912828FR U S TREASURY NOTE 4.875 8/31/08 4.786 Aaa AAA 50,000,000.00 99.84375 2 50,048,114.07 49,921,875.00 -126,239.07

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4.938 250,000,000.00 249,929,533.82 249,791,275.00 -138,258.82

9 ITEMS IN SUBTOTAL FOR: U.S. TREASURY NOTES & BONDS (TYPE 12)

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4.096 1998000000.00 1997929533.82 1997791275.00 -138,258.82

12 ITEMS IN SUBTOTAL FOR: LGIP-GOVERNMENT (FUND 7)