TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, FEBRUARY 28, 2007 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held This Month Outstanding Unstripped FormStripped Form Treasury Bonds: CUSIP: Interest Rate: 912810DN5 11.750 912800AA7 11/15/14 5,015,284 2,949,704 2,065,580 66,400 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,351,403 2,168,896 480,080 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,465,015 558,901 385,440 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,097,608 1,487,251 1,484,600 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,315,472 116,282 27,200 912810DW5 7.250 912803AH6 05/15/16 18,823,551 18,008,869 814,682 615,000 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,408,625 1,378,823 1,276,400 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,754,212 4,804,957 710,120 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,953,766 2,014,592 1,009,600 912810EA2 9.125 912803AN3 05/15/18 6,717,439 4,018,621 2,698,818 747,800 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,188,829 3,985,641 444,300 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 9,021,384 4,069,114 466,000 912810ED6 8.125 912803AR4 08/15/19 18,940,932 17,039,962 1,900,970 1,001,900 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,676,765 1,799,503 390,400 912810EF1 8.750 912803AT0 05/15/20 7,582,183 3,454,179 4,128,004 433,660 912810EG9 8.750 912803AU7 08/15/20 17,059,306 12,677,219 4,382,087 979,800 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,028,126 1,047,447 717,000 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 5,483,399 4,583,389 567,080 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,619,039 887,343 476,160 912810EL8 8.000 912803AY9 11/15/21 30,632,194 14,456,932 16,175,262 745,175 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,231,208 1,896,582 1,937,200 912810EN4 7.625 912803BA0 11/15/22 7,423,626 3,142,268 4,281,358 1,013,400 912810EP9 7.125 912803BB8 02/15/23 15,782,061 11,839,755 3,942,306 1,699,400 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 20,231,531 2,427,513 1,288,120 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,397,471 6,206,691 703,880 912810ET1 7.625 912803BE2 02/15/25 9,509,170 4,877,669 4,631,501 700,600 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,165,966 4,021,241 435,600 912810EW4 6.000 912803BG7 02/15/26 12,837,916 11,871,572 966,344 914,700 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,070,355 3,740,063 496,100 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 4,775,830 6,084,347 310,600 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,739,215 4,782,756 469,880 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,512,297 3,684,459 570,400 912810FB9 6.125 912803BM4 11/15/27 22,021,339 7,962,311 14,059,028 2,160,200 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,304,269 1,471,932 761,700 912810FF0 5.250 912803BV4 11/15/28 10,947,052 9,136,096 1,810,956 1,859,999 912810FG8 5.250 912803BW2 02/15/29 11,350,341 10,479,745 870,596 1,542,300 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 6,870,243 4,308,337 763,500 912810FM5 6.250 912803CH4 05/15/30 17,043,162 7,013,875 10,029,287 3,328,792 912810FP8 5.375 912803CK7 02/15/31 16,427,648 14,241,348 2,186,300 1,373,800 912810FT0 4.500 912803CX9 02/15/36 26,397,130 16,082,730 10,314,400 6,157,320 912810PT9 4.750 912803CZ4 02/15/37 9,825,586 8,171,436 1,654,150 4,386,000 Total Treasury Bonds..................................... 509,524,008 355,086,319 154,437,689 45,897,606 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128273T7 A 3.625 912820CL9 01/15/08 20,998,467 20,873,562 124,905 0 9128274Y5 A 3.875 912820DN4 01/15/09 19,566,627 19,565,397 1,230 0 9128275W8 A 4.250 912820EK9 01/15/10 13,578,137 13,578,137 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 29,825,946 29,825,946 0 0 9128276R8 A 3.500 912820GA9 01/15/11 12,754,711 12,754,711 0 0 912828FB1 G 2.375 912820MY0 04/15/11 20,513,421 20,513,421 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,823,447 6,823,447 0 0 912828AF7 C 3.000 912820HC4 07/15/12 25,832,766 25,832,766 0 0 912828BD1 C 1.875 912820JA6 07/15/13 21,982,740 21,982,740 0 0 912828BW9 A 2.000 912820JT5 01/15/14 22,935,596 22,935,596 0 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, FEBRUARY 28, 2007 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held This Month Outstanding Unstripped FormStripped Form Treasury Inflation-Protected Securities, Continued: CUSIP: Series: Interest Rate: 912828CP3 D 2.000 912820KL0 07/15/14 20,342,282 20,342,282 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,080,344 20,080,344 0 0 912828EA4 D 1.875 912820LX3 07/15/15 17,636,089 17,636,089 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,284,245 17,284,245 0 0 912828FL9 D 2.500 912820NH6 07/15/16 20,000,441 20,000,441 0 0 912828GD6 A 2.375 912820PA9 01/15/17 11,256,499 11,256,499 0 0 912810FR4 2.375 912803CN1 01/15/25 29,975,401 29,975,401 0 0 912810FS2 2.000 912803CW1 01/15/26 20,333,919 20,333,919 0 0 912810PS1 2.375 912803CY7 01/15/27 9,194,190 9,194,190 0 0 912810FD5 3.625 912803BN2 04/15/28 20,939,403 20,933,165 6,238 0 912810FH6 3.875 912803CF8 04/15/29 23,932,060 23,778,625 153,435 0 912810FQ6 3.375 912803CL5 04/15/32 5,698,109 5,698,109 0 0 Total Treasury Inflation-Protected Securities............ 411,484,840 411,199,031 285,809 0 Treasury Notes: CUSIP: Series: Interest Rate: 912828DQ0 P 3.750 912820LM7 03/31/07 32,000,981 32,000,661 320 0 912828DS6 Q 3.625 912820LP0 04/30/07 31,997,895 31,991,495 6,400 0 9128272U5 C 6.625 912820BX4 05/15/07 13,958,186 11,925,913 2,032,273 7,240 912828AC4 E 4.375 912820GZ4 05/15/07 24,351,431 23,988,817 362,614 6,720 912828CG3 J 3.125 912820KD8 05/15/07 27,564,268 26,343,395 1,220,873 6,400 912828DW7 R 3.500 912820LT2 05/31/07 29,119,184 29,119,184 0 0 912828DY3 S 3.625 912820LV7 06/30/07 26,664,251 26,637,441 26,810 0 912828EB2 T 3.875 912820LY1 07/31/07 25,869,508 25,821,508 48,000 0 9128273E0 D 6.125 912820CA3 08/15/07 25,636,803 23,143,446 2,493,357 15,300 912828AH3 F 3.250 912820HE0 08/15/07 25,410,844 25,361,287 49,557 3,200 912828CR9 K 2.750 912820KN6 08/15/07 24,673,687 24,412,339 261,348 72,000 912828EF3 U 4.000 912820MC8 08/31/07 26,671,232 26,670,596 636 0 912828EH9 V 4.000 912820ME4 09/30/07 26,590,770 26,587,532 3,238 0 912828EK2 W 4.250 912820MG9 10/31/07 26,552,797 26,346,556 206,241 0 912828AN0 G 3.000 912820HK6 11/15/07 50,619,528 47,315,414 3,304,114 3,200 912828EP1 X 4.250 912820ML8 11/30/07 26,666,931 26,663,887 3,044 0 912828ER7 Y 4.375 912820MN4 12/31/07 26,666,879 26,583,679 83,200 0 912828EU0 R 4.375 912820MR5 01/31/08 27,168,309 27,152,209 16,100 0 9128273X8 B 5.500 912820CQ8 02/15/08 13,583,412 12,827,719 755,693 20,900 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 26,879,976 609,284 10,700 912828DK3 M 3.375 912820LG0 02/15/08 23,885,083 23,359,803 525,280 1,600 912828EY2 S 4.625 912820MV6 02/29/08 26,504,069 26,470,469 33,600 0 912828EZ9 T 4.625 912820MW4 03/31/08 26,841,568 26,770,968 70,600 0 912828FC9 U 4.875 912820MZ7 04/30/08 26,837,165 26,753,965 83,200 0 9128274F6 C 5.625 912820CY1 05/15/08 27,190,961 24,968,697 2,222,264 0 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 32,158,546 1,179,900 49,600 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 26,255,761 451,920 0 912828FG0 V 4.875 912820ND5 05/31/08 25,933,459 25,789,459 144,000 0 912828FJ4 W 5.125 912820NF0 06/30/08 26,498,732 26,437,932 60,800 0 912828FM7 X 5.000 912820NJ2 07/31/08 26,428,771 26,427,771 1,000 0 912828BG4 G 3.250 912820JD0 08/15/08 21,357,474 18,658,248 2,699,226 180,760 912828EC0 P 4.125 912820LZ8 08/15/08 20,290,622 20,224,562 66,060 0 912828FR6 Y 4.875 912820NN3 08/31/08 26,504,090 26,438,490 65,600 0 912828BK5 H 3.125 912820JG3 09/15/08 16,002,177 15,974,977 27,200 0 912828FT2 Z 4.625 912820NQ6 09/30/08 24,499,335 24,486,535 12,800 0 912828BM1 J 3.125 912820JJ7 10/15/08 15,995,702 15,995,702 0 0 912828FV7 AA 4.875 912820NS2 10/31/08 22,727,821 22,707,021 20,800 0 9128274V1 D 4.750 912820DK0 11/15/08 25,083,125 24,585,695 497,430 1,200 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,832,577 348,456 0 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,378,074 71,820 0 912828FZ8 AB 4.625 912820NW3 11/30/08 24,338,153 24,338,153 0 0 912828BT6 L 3.375 912820JQ1 12/15/08 16,000,028 15,996,728 3,300 0 912828GB0 AC 4.750 912820NY9 12/31/08 24,816,923 24,448,923 368,000 0 912828BV1 D 3.250 912820JS7 01/15/09 16,002,546 15,924,946 77,600 0 912828GE4 V 4.875 912820PB7 01/31/09 22,976,157 22,976,157 0 0 912828BZ2 E 3.000 912820JW8 02/15/09 17,433,763 17,175,405 258,358 0 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 21,901,040 407,460 17,400 912828GJ3 W 4.750 912820PF8 02/28/09 23,037,982 23,037,982 0 0 912828CC2 F 2.625 912820JZ1 03/15/09 16,001,063 15,999,463 1,600 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, FEBRUARY 28, 2007 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held This Month Outstanding Unstripped FormStripped Form Treasury Notes, Continued: CUSIP: Series: Interest Rate: 912828CE8 G 3.125 912820KB2 04/15/09 16,002,805 16,002,805 0 0 9128275G3 B 5.500 912820DV6 05/15/09 14,794,790 14,698,990 95,800 0 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,548,752 511,185 0 912828FE5 S 4.875 912820NB9 05/15/09 27,380,356 27,243,956 136,400 0 912828CL2 J 4.000 912820KH9 06/15/09 15,004,754 15,004,354 400 0 912828CN8 K 3.625 912820KK2 07/15/09 15,004,962 14,992,162 12,800 0 9128275N8 C 6.000 912820EA1 08/15/09 27,399,894 25,816,217 1,583,677 48,100 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,762,884 531,802 0 912828FP0 T 4.875 912820NL7 08/15/09 23,420,414 23,360,354 60,060 0 912828CV0 M 3.375 912820KS5 09/15/09 15,005,079 15,005,079 0 0 912828CX6 N 3.375 912820KU0 10/15/09 15,005,091 14,925,091 80,000 0 912828DB3 P 3.500 912820KY2 11/15/09 18,751,928 18,199,348 552,580 400 912828FX3 U 4.625 912820NU7 11/15/09 24,772,846 24,647,546 125,300 10,360 912828DE7 Q 3.500 912820LB1 12/15/09 15,002,485 15,002,085 400 0 912828DG2 E 3.625 912820LD7 01/15/10 15,004,697 14,995,777 8,920 8,000 9128275Z1 B 6.500 912820EM5 02/15/10 23,355,709 22,339,306 1,016,403 58,000 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,463,948 153,120 42,000 912828GG9 S 4.750 912820PD3 02/15/10 17,467,187 17,467,187 0 0 912828DP2 G 4.000 912820LL9 03/15/10 15,005,048 15,005,048 0 0 912828DR8 H 4.000 912820LN5 04/15/10 15,001,494 15,001,144 350 0 912828DU1 J 3.875 912820LR6 05/15/10 18,748,844 18,135,544 613,300 13,800 912828DX5 K 3.625 912820LU9 06/15/10 14,001,099 14,001,099 0 0 912828DZ0 L 3.875 912820LW5 07/15/10 13,000,529 13,000,529 0 0 9128276J6 C 5.750 912820FT9 08/15/10 22,437,594 20,829,865 1,607,729 0 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,134,864 828,560 168,000 912828EG1 N 3.875 912820MD6 09/15/10 13,000,827 12,996,027 4,800 0 912828EJ5 P 4.250 912820MF1 10/15/10 13,000,862 13,000,862 0 0 912828EM8 Q 4.500 912820MJ3 11/15/10 15,961,105 15,513,565 447,540 47,600 912828EQ9 R 4.375 912820MM6 12/15/10 13,000,813 13,000,813 0 0 912828ES5 D 4.250 912820MP9 01/15/11 13,001,339 13,001,339 0 0 9128276T4 B 5.000 912820GC5 02/15/11 23,436,329 22,143,747 1,292,582 30,920 912828EX4 E 4.500 912820MU8 02/28/11 17,500,138 17,459,338 40,800 0 912828FA3 F 4.750 912820MX2 03/31/11 17,497,861 17,409,761 88,100 0 912828FD7 H 4.875 912820NA1 04/30/11 17,501,477 17,431,077 70,400 0 912828FH8 J 4.875 912820NE3 05/31/11 17,144,592 17,083,592 61,000 0 912828FK1 K 5.125 912820NG8 06/30/11 17,500,283 17,477,883 22,400 0 912828FN5 L 4.875 912820NK9 07/31/11 16,830,671 16,824,271 6,400 0 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 24,908,260 1,727,056 236,200 912828FS4 M 4.625 912820NP8 08/31/11 17,500,676 17,398,276 102,400 0 912828FU9 N 4.500 912820NR4 09/30/11 17,500,158 17,497,358 2,800 0 912828FW5 P 4.625 912820NT0 10/31/11 16,181,388 16,175,988 5,400 0 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,530 17,035,430 1,100 0 912828GC8 R 4.625 912820NZ6 12/31/11 16,131,258 16,131,258 0 0 912828GF1 F 4.750 912820PC5 01/31/12 14,930,221 14,930,221 0 0 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,526,608 1,253,230 371,400 912828GK0 G 4.625 912820PG6 02/29/12 16,637,067 16,637,067 0 0 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 17,965,444 1,682,532 271,200 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,291,648 821,094 472,650 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 19,007,156 491,240 54,400 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 17,453,887 799,666 500,800 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 33,136,543 384,580 144,800 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,844,346 792,498 304,500 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,988,716 92,350 0 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,949,671 353,310 0 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,593,034 128,600 212,600 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 25,421,536 51,000 1,600 912828DM9 B 4.000 912820LJ4 02/15/15 24,214,991 24,213,891 1,100 0 912828DV9 C 4.125 912820LS4 05/15/15 24,471,849 24,469,949 1,900 0 912828EE6 E 4.250 912820MB0 08/15/15 22,469,683 22,469,683 0 0 912828EN6 F 4.500 912820MK0 11/15/15 23,220,785 23,220,785 0 0 912828EW6 B 4.500 912820MT1 02/15/16 21,841,772 21,841,772 0 0 912828FF2 C 5.125 912820NC7 05/15/16 23,293,690 23,293,690 0 0 912828FQ8 E 4.875 912820NM5 08/15/16 22,556,671 22,553,471 3,200 0 912828FY1 F 4.625 912820NV5 11/15/16 23,293,786 23,293,786 0 0 912828GH7 B 4.625 912820PE1 02/15/17 14,192,876 14,192,876 0 0 Total Treasury Notes..................................... 2,460,444,902 2,420,615,662 39,829,240 3,393,550 Grand Total............................................ 3,381,453,750 3,186,901,012 194,552,738 49,291,156