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 1/31/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS
BOOK-VALUE AMORTIZED THROUGH 1/31/08 ***
*** 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)
--------------------------------
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
60999 TPDB0275 DEUTSCHE
BANK 1.700 2/01/08 1.700 Aaa AAA 1480000000.00 100.00000 2
1480000000.00 1480000000.00
61000 TPGS0095 GOLDMAN
SACHS & CO 1.700 2/01/08
1.700 Aaa
AAA
347,000,000.00 100.00000 2
347,000,000.00 347,000,000.00
======
--------------
-------------- --------------
-------------
1.744
1872000000.00 1872000000.00 1872000000.00
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 10,000,000.00 101.00800 2
10,016,841.74 10,100,800.00 83,958.26
58179 912828FE U S TREASURY
NOTE 4.875 5/15/09 4.843 Aaa AAA 40,000,000.00 103.44500 2
40,015,224.64 41,378,000.00 1,362,775.36
56651 912828FJ U S TREASURY
NOTE 5.125 6/30/08 5.052 Aaa AAA 15,000,000.00 101.23438 2
15,004,080.03 15,185,157.00 181,076.97
58192 912828FJ U S TREASURY
NOTE 5.125 6/30/08 4.976 Aaa AAA 20,000,000.00 101.23438 2
20,011,340.73 20,246,876.00 235,535.27
56657 912828FM U S TREASURY
NOTE 5.000 7/31/08 5.046 Aaa AAA 15,000,000.00 101.41400 2
14,996,709.98 15,212,100.00 215,390.02
58223 912828FM U S TREASURY
NOTE 5.000 7/31/08 5.022 Aaa AAA 30,000,000.00 101.41400 2
29,996,035.34 30,424,200.00 428,164.66
57438 912828FR U S TREASURY
NOTE 4.875 8/31/08 4.786 Aaa AAA 50,000,000.00 101.50800 2
50,023,888.02 50,754,000.00 730,111.98
======
--------------
-------------- --------------
-------------
4.915
180,000,000.00
180,064,120.48 183,301,133.00
3,237,012.52
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 4.831 Aaa AAA 3,560,000.00 101.87500 2
3,560,000.00 3,626,750.00 66,750.00
======
--------------
-------------- --------------
-------------
4.831 3,560,000.00 3,560,000.00 3,626,750.00 66,750.00
1 ITEM IN SUBTOTAL
FOR: AGENCY MTN (30/360) 2X (TYPE 21)
======
-------------- --------------
-------------- -------------
2.028
2055560000.00 2055624120.48 2058927883.00 3,303,762.52
11 ITEMS IN SUBTOTAL
FOR: LGIP-GOVERNMENT (FUND 7)