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 10/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 10/31/07 ***
*** 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)
--------------------------------
59949 TPCG0514 CITIGROUP
GLOBAL M 4.400
11/01/07 4.400 Aaa AAA 109,000,000.00 100.00000 2 109,000,000.00 109,000,000.00
59796 TPDB0227 DEUTSCHE
BANK 4.620 12/14/07 4.620 Aaa AAA 70,000,000.00 100.00000 2
70,000,000.00 70,000,000.00
59948 TPDB0231 DEUTSCHE
BANK 4.500 11/01/07 4.500 Aaa AAA 1373000000.00 100.00000 2
1373000000.00 1373000000.00
59945 TPMS0293 MIZUHO
SECURITIES 4.400 11/15/07 4.400 Aaa AAA
150,000,000.00 100.00000 2
150,000,000.00 150,000,000.00
======
--------------
-------------- --------------
-------------
4.490
1702000000.00 1702000000.00 1702000000.00
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 10,000,000.00 100.77300 2
10,031,740.20 10,077,300.00 45,559.80
58179 912828FE U S TREASURY
NOTE 4.875 5/15/09 4.843 Aaa AAA 40,000,000.00 101.33600 2
40,018,211.13 40,534,400.00 516,188.87
56651 912828FJ U S TREASURY
NOTE 5.125 6/30/08 5.052 Aaa AAA 15,000,000.00 100.63300 2
15,006,582.45 15,094,950.00 88,367.55
58192 912828FJ U S TREASURY
NOTE 5.125 6/30/08 4.976 Aaa AAA 20,000,000.00 100.63300 2
20,018,296.37 20,126,600.00 108,303.63
56657 912828FM U S TREASURY
NOTE 5.000 7/31/08 5.046 Aaa AAA 15,000,000.00 100.60938 2
14,995,037.71 15,091,406.25 96,368.54
58223 912828FM U S TREASURY
NOTE 5.000 7/31/08 5.022 Aaa AAA 30,000,000.00 100.60938 2
29,994,020.15 30,182,812.50 188,792.35
57438 912828FR U S TREASURY
NOTE 4.875 8/31/08 4.786 Aaa AAA 50,000,000.00 100.56250 2
50,034,254.52 50,281,250.00 246,995.48
======
-------------- -------------- -------------- -------------
4.915
180,000,000.00
180,098,142.53 181,388,718.75
1,290,576.22
7 ITEMS IN SUBTOTAL
FOR: U.S. TREASURY NOTES & BONDS (TYPE
12)
AGENCY MTN (30/360) 2X ( 21)
--------------------------------
59594 911759CC HUD 6.610 8/01/08 6.610 Aaa AAA 3,560,000.00 100.50000 2
3,575,131.93 3,577,800.00 2,668.07
======
--------------
-------------- --------------
-------------
6.610 3,560,000.00 3,575,131.93 3,577,800.00 2,668.07
1 ITEM IN SUBTOTAL
FOR: AGENCY MTN (30/360) 2X (TYPE 21)
====== -------------- --------------
-------------- -------------
4.534
1885560000.00 1885673274.46 1886966518.75 1,293,244.29
12 ITEMS IN SUBTOTAL
FOR: LGIP-GOVERNMENT (FUND 7)