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 12/31/07 (SETTLEMENT BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 12/31/07 ***
*** 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)
--------------------------------
60575 TPCG0539 CITIGROUP GLOBAL M .250 1/02/08 .250 Aaa AAA 370,000,000.00 100.00000 2 370,000,000.00 370,000,000.00
60248 TPDB0248 DEUTSCHE BANK 3.550 5/01/08 3.550 Aaa AAA 45,000,000.00 100.00000 2
45,000,000.00 45,000,000.00
60574 TPDB0261 DEUTSCHE BANK 1.250 1/02/08 1.250 Aaa AAA 1500000000.00 100.00000 2
1500000000.00 1500000000.00
======
--------------
-------------- --------------
-------------
1.111
1915000000.00 1915000000.00 1915000000.00
3 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 10,000,000.00 100.80500 2
10,021,861.87 10,080,500.00 58,638.13
58179 912828FE U S TREASURY NOTE 4.875 5/15/09 4.843 Aaa AAA 40,000,000.00 102.35938 2
40,016,230.96 40,943,750.00 927,519.04
56651 912828FJ U S TREASURY NOTE 5.125 6/30/08 5.052 Aaa AAA 15,000,000.00 100.82813 2
15,004,923.24 15,124,218.75 119,295.51
58192 912828FJ U S TREASURY NOTE 5.125 6/30/08 4.976 Aaa AAA 20,000,000.00 100.82813 2
20,013,684.48 20,165,625.00 151,940.52
56657 912828FM U S TREASURY NOTE 5.000 7/31/08 5.046 Aaa AAA 15,000,000.00 100.87500 2
14,996,146.50 15,131,250.00 135,103.50
58223 912828FM U S TREASURY NOTE 5.000 7/31/08 5.022 Aaa AAA 30,000,000.00 100.87500 2
29,995,356.31 30,262,500.00 267,143.69
57438 912828FR U S TREASURY NOTE 4.875 8/31/08 4.786 Aaa AAA 50,000,000.00 100.87500 2
50,027,381.08 50,437,500.00 410,118.92
======
--------------
-------------- --------------
-------------
4.915
180,000,000.00
180,075,584.44 182,145,343.75
2,069,759.31
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 3,560,000.00 100.18750 2
3,565,098.80 3,566,675.00 1,576.20
======
-------------- -------------- -------------- -------------
6.610
3,560,000.00
3,565,098.80 3,566,675.00 1,576.20
1 ITEM IN SUBTOTAL FOR: AGENCY MTN (30/360) 2X (TYPE
21)
======
--------------
-------------- --------------
-------------
1.447
2098560000.00 2098640683.24 2100712018.75 2,071,335.51
11 ITEMS IN SUBTOTAL FOR: LGIP-GOVERNMENT (FUND 7)