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 2/29/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 2/29/08 ***
*** 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)
--------------------------------
61358 TPBA0490 BANK OF AMERICA SE 1.700 3/03/08
1.700 Aaa
AAA
3,000,000.00 100.00000 2 3,000,000.00 3,000,000.00
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
61359 TPDB0288 DEUTSCHE BANK 1.800 3/03/08 1.800 Aaa AAA 1213000000.00 100.00000 2
1213000000.00 1213000000.00
61357 TPMS0308 MIZUHO SECURITIES 1.850 3/03/08 1.850 Aaa AAA 500,000,000.00 100.00000 2 500,000,000.00 500,000,000.00
======
--------------
-------------- --------------
-------------
1.859 1761000000.00 1761000000.00 1761000000.00
4 ITEMS IN SUBTOTAL FOR: TRI-PARTY REPO-TSY COLLATERAL (TYPE
7)
U.S. TREASURY BILLS ( 11)
--------------------------------
61079 912795D2 U.S. TREASURY BILL 2.090 3/06/08
2.094 Aaa
AAA
25,000,000.00 99.97097 2 24,992,743.06
24,992,743.00
61189 912795D4 U.S. TREASURY BILL 2.305 3/20/08
2.310 Aaa
AAA
20,000,000.00 99.87835 2 19,975,669.44
19,975,669.40
61334 912795UD U.S. TREASURY BILL 2.122 4/15/08
2.128 Aaa AAA 10,000,000.00 99.73475 2
9,973,475.00 9,973,475.00
======
--------------
-------------- --------------
-------------
2.178 55,000,000.00 54,941,887.50 54,941,887.40
3 ITEMS IN SUBTOTAL FOR: U.S. TREASURY BILLS (TYPE 11)
U.S. TREASURY NOTES & BON ( 12)
--------------------------------
58183 9128274F U S TREASURY NOTE 5.625 5/15/08 5.009 Aaa AAA 10,000,000.00 100.74200 2
10,012,145.48 10,074,200.00 62,054.52
58179 912828FE U S TREASURY NOTE 4.875 5/15/09 4.843 Aaa AAA 40,000,000.00 103.93000 2
40,014,283.24 41,572,000.00 1,557,716.76
56651 912828FJ U S TREASURY NOTE 5.125 6/30/08 5.052 Aaa AAA 15,000,000.00 101.06250 2
15,003,291.22 15,159,375.00 156,083.78
58192 912828FJ U S TREASURY NOTE 5.125 6/30/08 4.976 Aaa AAA 20,000,000.00 101.06250 2
20,009,148.19 20,212,500.00 203,351.81
56657 912828FM U S TREASURY NOTE 5.000 7/31/08 5.046 Aaa AAA 15,000,000.00 101.28900 2
14,997,237.11 15,193,350.00 196,112.89
58223 912828FM U S TREASURY NOTE 5.000 7/31/08 5.022 Aaa AAA 30,000,000.00 101.28900 2
29,996,670.56 30,386,700.00 390,029.44
57438 912828FR U S TREASURY NOTE 4.875 8/31/08 4.786 Aaa AAA 50,000,000.00 101.47700 2
50,020,620.32 50,738,500.00 717,879.68
======
--------------
-------------- --------------
-------------
4.915 180,000,000.00 180,053,396.12
183,336,625.00 3,283,228.88
7 ITEMS IN SUBTOTAL FOR: U.S. TREASURY NOTES & BONDS (TYPE
12)
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 2/29/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS BOOK-VALUE AMORTIZED
THROUGH 2/29/08 ***
*** LGIP-GOVERNMENT (7) ***
==============================================================================================================================================
Pos#
Sec-Id Description RATE Maturity YIELD MOO
S&P POSITION-SIZE #
PRICE $ CARRY-BASIS
MARKET-VALUE * $-ABOVE/BELOW
------
-------- ------------------ ------ -------- ------ ---- ---- -------------- -
--------- - -------------- -------------- - -------------
AGENCY MTN (30/360) 2X ( 21)
--------------------------------
59594 911759CC HUD 6.610 8/01/08 6.610 Aaa AAA 3,340,000.00 101.56250 2
3,340,000.00 3,392,187.50 52,187.50
======
--------------
-------------- --------------
-------------
6.610
3,340,000.00 3,340,000.00 3,392,187.50 52,187.50
1 ITEM IN SUBTOTAL FOR: AGENCY MTN (30/360) 2X (TYPE 21)
======
--------------
-------------- -------------- -------------
2.151
1999340000.00 1999335283.62 2002670699.90 3,335,416.38
15 ITEMS IN SUBTOTAL FOR: LGIP-GOVERNMENT (FUND 7)