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
5/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 5/31/07 ***
*** LGIP-GOVERNMENT (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)
--------------------------------
58048 TPDB0170 DEUTSCHE BANK 5.130
6/13/07 5.130 Aaa AAA
500,000,000.00 100.00000 2
500,000,000.00 500,000,000.00
58244 TPDB0175 DEUTSCHE BANK 5.020
6/01/07 5.020 Aaa AAA
350,000,000.00 100.00000 2
350,000,000.00 350,000,000.00
58245 TPGS0080 GOLDMAN SACHS & CO 5.000
6/01/07 5.000 Aaa AAA
210,000,000.00 100.00000 2
210,000,000.00 210,000,000.00
58246 TPMS0271 MIZUHO SECURITIES 5.030
6/01/07 5.030 Aaa AAA
787,000,000.00 100.00000 2
787,000,000.00 787,000,000.00
======
--------------
-------------- --------------
-------------
5.052 1847000000.00 1847000000.00 1847000000.00
4 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
10,000,000.00 100.51563 2 10,056,516.98
10,051,562.50 -4,954.48
57179 912828ER U S TREASURY NOTE 4.375 12/31/07 5.013 Aaa
AAA 20,000,000.00 99.69500 2
19,927,162.25 19,939,000.00 11,837.75
57440 912828ER U S TREASURY NOTE 4.375 12/31/07 4.991 Aaa AAA
50,000,000.00 99.69500 2 49,823,645.53
49,847,500.00 23,854.47
58179 912828FE U S TREASURY NOTE 4.875
5/15/09 4.843 Aaa AAA
40,000,000.00 99.93000 2 40,023,177.80
39,972,000.00 -51,177.80
56651 912828FJ U S TREASURY NOTE 5.125
6/30/08 5.052 Aaa AAA
15,000,000.00 100.07000 2 15,010,744.08
15,010,500.00 -244.08
58192 912828FJ U S TREASURY NOTE 5.125
6/30/08 4.976 Aaa AAA
20,000,000.00 100.07000 2 20,029,863.91
20,014,000.00 -15,863.91
56657 912828FM U S TREASURY NOTE 5.000
7/31/08 5.046 Aaa AAA
15,000,000.00 99.96875 2 14,992,256.65
14,995,312.50 3,055.85
58223 912828FM U S TREASURY NOTE 5.000
7/31/08 5.022 Aaa AAA
30,000,000.00 99.96875 2 29,990,668.81
29,990,625.00 -43.81
57438 912828FR U S TREASURY NOTE 4.875
8/31/08 4.786 Aaa AAA
50,000,000.00 99.81250 2 50,051,494.45
49,906,250.00 -145,244.45
======
-------------- -------------- -------------- -------------
4.938
250,000,000.00
249,905,530.46 249,726,750.00
-178,780.46
9 ITEMS IN SUBTOTAL FOR: U.S. TREASURY NOTES & BONDS (TYPE
12)
======
--------------
-------------- --------------
-------------
5.038
2097000000.00 2096905530.46 2096726750.00 -178,780.46
13 ITEMS IN SUBTOTAL FOR: LGIP-GOVERNMENT (FUND 7)