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 3/31/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS
BOOK-VALUE AMORTIZED THROUGH 3/31/08 ***
*** 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)
--------------------------------
61554 3128X03B FHLMC 3.125 4/04/08 2.126 Aaa AAA 7,775,000.00 100.00600 2
7,775,589.99 7,775,466.50 -123.49
61553 3128X4DA FHLMC 4.250 6/23/08 1.940 Aaa AAA 20,000,000.00 100.41100 2
20,102,920.00 20,082,200.00 -20,720.00
60103 3133XN3J FHLB 4.350 5/19/08 4.350 Aaa AAA 9,000,000.00 100.25000 2
9,000,000.00 9,022,500.00 22,500.00
61620 3136F7DZ FNMA 4.350 7/28/08 2.180 Aaa AAA 15,000,000.00 100.59375 2
15,103,481.28 15,089,062.50 -14,418.78
======
--------------
-------------- --------------
-------------
2.455
51,775,000.00 51,981,991.27 51,969,229.00 -12,762.27
4 ITEMS IN SUBTOTAL
FOR: AGENCY MTN (30/360) 2X (TYPE 21)
AGENCY NOTES (30/360) 2X (
23)
--------------------------------
59838 3128X1JB FHLMC 2.850 6/03/08 4.729 Aaa AAA 4,500,000.00 100.07200 2
4,485,800.81 4,503,240.00 17,439.19
61127 3133XBJQ FHLB 4.125 4/18/08 2.935 Aaa AAA 6,000,000.00 100.09375 2
6,003,249.43 6,005,625.00 2,375.57
61480 3133XCUR FHLB 4.500 9/10/10 2.563 Aaa AAA 8,400,000.00 104.75000 2
8,782,190.25 8,799,000.00 16,809.75
61482 3133XCUR FHLB 4.500 9/10/10 2.503 Aaa AAA 3,000,000.00 104.75000 2
3,140,834.39 3,142,500.00 1,665.61
61481 3133XPNX FHLB 2.625 3/12/10 2.459 Aaa AAA 9,340,000.00 100.68750 2
9,369,301.53 9,404,212.50 34,910.97
58040 31359M5T FNMA 5.125 9/02/08 5.117 Aaa AAA 5,000,000.00 101.12500 2
5,000,032.28 5,056,250.00 56,217.72
54996 31359MF3 FNMA 5.000 7/25/08 5.220 Aaa AAA 15,000,000.00 100.81250 2
14,990,034.46 15,121,875.00 131,840.54
55022 31359MX4 FNMA 5.000 9/15/08 5.047 Aaa AAA 10,000,000.00 101.34375 2
9,997,989.60 10,134,375.00 136,385.40
======
--------------
-------------- --------------
-------------
3.991
61,240,000.00 61,769,432.75 62,167,077.50 397,644.75
8 ITEMS IN SUBTOTAL
FOR: AGENCY NOTES (30/360) 2X (TYPE
23)
AGENCY
NOTES (30/360) @ M (
28)
--------------------------------
61583 3133XPK2 FHLB 2.700 7/08/08 1.886 Aaa AAA 30,000,000.00 100.06250 2
30,064,412.73 30,018,750.00 -45,662.73
======
--------------
-------------- --------------
-------------
1.886 30,000,000.00 30,064,412.73 30,018,750.00 -45,662.73
1 ITEM IN SUBTOTAL
FOR: AGENCY NOTES (30/360) @ MATURITY
(TYPE 28)
AGENCY NOTE-VAR (ACT/360) ( 30)
--------------------------------
59303 3128X5Y6 FHLMC
FLOATING QRT 2.536 9/30/08
2.555 Aaa
AAA
10,000,000.00 100.00000 2 9,997,206.93
10,000,000.00 2,793.07
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 3/31/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS
BOOK-VALUE AMORTIZED THROUGH 3/31/08 ***
*** 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)
--------------------------------
61684 TPCG0581 CITIGROUP
GLOBAL M .500 4/01/08 .500 Aaa AAA 48,000,000.00 100.00000 2
48,000,000.00 48,000,000.00
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
61683 TPDB0303 DEUTSCHE
BANK 1.400 4/01/08 1.400 Aaa AAA 1300000000.00 100.00000 2
1300000000.00 1300000000.00
======
--------------
-------------- --------------
-------------
1.438 1393000000.00 1393000000.00 1393000000.00
3 ITEMS IN SUBTOTAL
FOR: TRI-PARTY REPO-TSY COLLATERAL (TYPE
7)
U.S. TREASURY BILLS ( 11)
--------------------------------
61654 912795E4 U.S.
TREASURY BILL 1.355 5/15/08
1.358 Aaa
AAA
120,000,000.00 99.83439 2
119,801,266.66 119,801,266.80
61334 912795UD U.S.
TREASURY BILL 2.122 4/15/08
2.128 Aaa
AAA
10,000,000.00 99.95994 2 9,991,747.78 9,995,994.40 4,246.62
61640 912795UD U.S.
TREASURY BILL 1.030 4/15/08
1.031 Aaa AAA 200,000,000.00 99.95994 2 199,919,888.89
199,919,888.00
======
--------------
-------------- --------------
-------------
1.183 330,000,000.00 329,712,903.33
329,717,149.20 4,246.62
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 10,000,000.00 100.50800 2
10,007,125.35 10,050,800.00 43,674.65
58179 912828FE U S TREASURY
NOTE 4.875 5/15/09 4.843 Aaa AAA 40,000,000.00 103.65625 2
40,013,276.92 41,462,500.00 1,449,223.08
56651 912828FJ U S TREASURY
NOTE 5.125 6/30/08 5.052 Aaa AAA 15,000,000.00 100.92188 2
15,002,448.02 15,138,281.25 135,833.23
58192 912828FJ U S TREASURY
NOTE 5.125 6/30/08 4.976 Aaa AAA 20,000,000.00 100.92188 2
20,006,804.44 20,184,375.00 177,570.56
56657 912828FM U S TREASURY
NOTE 5.000 7/31/08 5.046 Aaa AAA 15,000,000.00 101.18000 2
14,997,800.60 15,177,000.00 179,199.40
58223 912828FM U S TREASURY
NOTE 5.000 7/31/08 5.022 Aaa AAA 10,000,000.00 101.18000 2
9,999,116.53 10,118,000.00 118,883.47
61591 912828FM U S TREASURY
NOTE 5.000 7/31/08 .708 Aaa AAA 150,000,000.00 101.18000 2 152,132,283.84
151,770,000.00 -362,283.84
57438 912828FR U S TREASURY
NOTE 4.875 8/31/08 4.786 Aaa AAA 50,000,000.00 101.40625 2
50,017,127.26 50,703,125.00 685,997.74
====== -------------- --------------
-------------- -------------
2.858
310,000,000.00
312,175,982.96 314,604,081.25
2,428,098.29
8 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 3/31/08 (SETTLEMENT
BASIS)
*** CARRY-BASIS IS
BOOK-VALUE AMORTIZED THROUGH 3/31/08 ***
*** 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 3,340,000.00 101.37500 2
3,340,000.00 3,385,925.00 45,925.00
======
--------------
-------------- --------------
-------------
6.610 3,340,000.00 3,340,000.00 3,385,925.00 45,925.00
1 ITEM IN SUBTOTAL
FOR: AGENCY MTN (30/360) 2X (TYPE 21)
======
--------------
-------------- --------------
-------------
1.623
2036340000.00 2038228886.29 2040707155.45 2,478,269.91
15 ITEMS IN SUBTOTAL FOR: LGIP-GOVERNMENT (FUND 7)