TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MARCH 31, 2006 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held in This 18 Outstanding Unstripped Form Stripped Form Treasury Bonds: CUSIP: Interest Rate: 912810DN5 11.750 912800AA7 11/15/14 5,015,284 2,727,664 2,287,620 329,622 912810DP0 11.250 912803AA1 02/15/15 10,520,299 9,176,123 1,344,176 437,840 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,326,180 697,736 349,920 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,147,808 1,437,051 658,000 912810DV7 9.250 912803AF0 02/15/16 5,431,754 4,897,310 534,444 458,400 912810DW5 7.250 912803AH6 05/15/16 18,823,551 18,301,676 521,875 758,900 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,401,795 1,385,653 884,920 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,563,732 4,995,437 1,629,520 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,717,566 2,250,792 1,608,800 912810EA2 9.125 912803AN3 05/15/18 6,717,439 3,905,621 2,811,818 652,800 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,256,629 3,917,841 1,043,600 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 6,863,384 6,227,114 1,629,800 912810ED6 8.125 912803AR4 08/15/19 18,940,932 16,495,942 2,444,990 1,901,920 912810EE4 8.500 912803AS2 02/15/20 9,476,268 6,961,115 2,515,153 359,000 912810EF1 8.750 912803AT0 05/15/20 7,582,183 2,704,759 4,877,424 1,727,000 912810EG9 8.750 912803AU7 08/15/20 17,059,306 10,042,639 7,016,667 1,972,900 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,400,826 674,747 406,600 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 4,233,919 5,832,869 2,819,680 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,390,199 1,116,183 1,847,400 912810EL8 8.000 912803AY9 11/15/21 30,632,194 12,270,980 18,361,214 3,094,725 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 7,787,408 2,340,382 488,600 912810EN4 7.625 912803BA0 11/15/22 7,423,626 3,170,068 4,253,558 663,600 912810EP9 7.125 912803BB8 02/15/23 15,782,061 11,701,955 4,080,106 1,378,800 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 18,816,455 3,842,589 765,992 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,246,351 6,357,811 508,440 912810ET1 7.625 912803BE2 02/15/25 9,509,170 4,797,269 4,711,901 896,600 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,181,066 4,006,141 1,332,000 912810EW4 6.000 912803BG7 02/15/26 12,837,916 11,735,272 1,102,644 707,000 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,213,855 3,596,563 689,000 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 4,817,045 6,043,132 581,000 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,131,935 5,390,036 254,400 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,816,997 3,379,759 476,000 912810FB9 6.125 912803BM4 11/15/27 22,021,339 8,562,520 13,458,819 1,826,500 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,429,869 1,346,332 1,136,100 912810FF0 5.250 912803BV4 11/15/28 10,947,052 9,384,196 1,562,856 941,800 912810FG8 5.250 912803BW2 02/15/29 11,350,341 9,705,945 1,644,396 443,800 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 7,959,243 3,219,337 682,400 912810FM5 6.250 912803CH4 05/15/30 17,043,162 8,106,367 8,936,795 4,595,197 912810FP8 5.375 912803CK7 02/15/31 16,427,648 15,839,648 588,000 185,400 912810FT0 4.500 912803CX9 02/15/36 14,841,150 14,741,950 99,200 84,400 Total Treasury Bonds............... 488,142,442 336,931,281 151,211,161 43,208,376 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128272M3 A 3.375 912820BV8 01/15/07 19,718,107 19,718,107 0 0 9128273T7 A 3.625 912820CL9 01/15/08 20,630,294 20,507,579 122,715 0 9128274Y5 A 3.875 912820DN4 01/15/09 19,223,613 19,222,404 1,209 0 9128275W8 A 4.250 912820EK9 01/15/10 13,340,057 13,340,057 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 29,303,160 29,303,160 0 0 9128276R8 A 3.500 912820GA9 01/15/11 12,531,060 12,531,060 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,703,782 6,703,782 0 0 912828AF7 C 3.000 912820HC4 07/15/12 25,379,777 25,379,777 0 0 912828BD1 C 1.875 912820JA6 07/15/13 21,597,380 21,597,380 0 0 912828BW9 A 2.000 912820JT5 01/15/14 22,533,416 22,533,416 0 0 912828CP3 D 2.000 912820KL0 07/15/14 19,985,610 19,985,610 0 0 912828DH0 A 1.625 912820LE5 01/15/15 19,728,250 19,728,250 0 0 912828EA4 D 1.875 912820LX3 07/15/15 17,326,863 17,326,863 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 9,000,418 9,000,418 0 0 912810FR4 2.375 912803CN1 01/15/25 29,449,827 29,449,827 0 0 912810FS2 2.000 912803CW1 01/15/26 11,764,663 11,764,663 0 0 912810FD5 3.625 912803BN2 04/15/28 20,572,180 20,566,052 6,129 0 912810FH6 3.875 912803CF8 04/15/29 23,512,486 23,361,741 150,745 0 912810FQ6 3.375 912803CL5 04/15/32 5,598,215 5,598,215 0 0 Total Treasury Inflation-Protected 347,899,158 347,618,360 280,798 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MARCH 31, 2006 -- Continued 11 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held in This 18 Outstanding Unstripped Form Stripped Form Treasury Notes: CUSIP: Series: Interest Rate: 912828CF5 N 2.250 912820KC0 04/30/06 34,334,801 34,334,801 0 0 912827X80 B 6.875 912820BS5 05/15/06 16,015,475 12,932,123 3,083,352 46,040 9128276X5 E 4.625 912820GG6 05/15/06 27,797,852 27,730,418 67,434 8,400 912828AY6 G 2.000 912820HV2 05/15/06 22,391,759 22,196,159 195,600 1,000 912828CK4 P 2.500 912820KG1 05/31/06 31,307,947 31,094,747 213,200 0 912828CM0 Q 2.750 912820KJ5 06/30/06 32,587,733 32,587,733 0 0 912827Y55 C 7.000 912820BT3 07/15/06 22,740,446 22,514,046 226,400 0 912828CQ1 R 2.750 912820KM8 07/31/06 31,010,881 31,010,881 0 0 912828BF6 H 2.375 912820JC2 08/15/06 27,909,346 27,192,096 717,250 0 912828CU2 S 2.375 912820KR7 08/31/06 31,814,087 31,814,087 0 0 912828CW8 T 2.500 912820KT3 09/30/06 31,656,294 31,656,294 0 0 912827Z62 D 6.500 912820BU0 10/15/06 22,459,675 22,390,983 68,692 0 912828CY4 U 2.500 912820KW6 10/31/06 29,568,526 29,568,526 0 0 9128277F3 F 3.500 912820GQ4 11/15/06 35,380,129 34,197,732 1,182,397 116,800 912828BP4 J 2.625 912820JL2 11/15/06 26,535,905 26,094,905 441,000 0 912828DD9 V 2.875 912820LA3 11/30/06 30,049,344 30,001,344 48,000 0 912828DF4 W 3.000 912820LC9 12/31/06 31,951,752 31,951,752 0 0 912828DJ6 M 3.125 912820LF2 01/31/07 29,026,959 29,026,959 0 0 9128272J0 B 6.250 912820BW6 02/15/07 13,103,678 11,836,179 1,267,499 82,236 912828BY5 H 2.250 912820JV0 02/15/07 25,469,287 25,229,367 239,920 100 912828DN7 N 3.375 912820LK1 02/28/07 32,007,046 32,007,046 0 0 912828DQ0 P 3.750 912820LM7 03/31/07 32,000,981 32,000,981 0 0 912828DS6 Q 3.625 912820LP0 04/30/07 31,997,895 31,997,895 0 0 9128272U5 C 6.625 912820BX4 05/15/07 13,958,186 12,778,621 1,179,565 25,200 912828AC4 E 4.375 912820GZ4 05/15/07 24,351,431 24,294,101 57,330 0 912828CG3 J 3.125 912820KD8 05/15/07 27,564,268 26,347,779 1,216,489 0 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 26,664,251 0 0 912828EB2 T 3.875 912820LY1 07/31/07 25,869,508 25,869,508 0 0 9128273E0 D 6.125 912820CA3 08/15/07 25,636,803 23,586,176 2,050,627 31,200 912828AH3 F 3.250 912820HE0 08/15/07 25,410,844 25,371,487 39,357 0 912828CR9 K 2.750 912820KN6 08/15/07 24,673,687 24,414,479 259,208 5,000 912828EF3 U 4.000 912820MC8 08/31/07 26,671,232 26,671,232 0 0 912828EH9 V 4.000 912820ME4 09/30/07 26,590,770 26,590,770 0 0 912828EK2 W 4.250 912820MG9 10/31/07 26,552,797 26,552,797 0 0 912828AN0 G 3.000 912820HK6 11/15/07 50,619,528 47,984,959 2,634,569 17,400 912828EP1 X 4.250 912820ML8 11/30/07 26,666,931 26,666,931 0 0 912828ER7 Y 4.375 912820MN4 12/31/07 26,666,879 26,666,879 0 0 912828EU0 R 4.375 912820MR5 01/31/08 27,168,309 27,168,309 0 0 9128273X8 B 5.500 912820CQ8 02/15/08 13,583,412 12,882,827 700,585 130,400 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 27,125,502 363,758 10,000 912828DK3 M 3.375 912820LG0 02/15/08 23,885,083 23,378,523 506,560 0 912828EY2 S 4.625 912820MV6 02/29/08 26,504,069 26,480,069 24,000 0 912828EZ9 T 4.625 912820MW4 03/31/08 26,845,758 26,845,758 0 0 9128274F6 C 5.625 912820CY1 05/15/08 27,190,961 25,221,298 1,969,663 46,210 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 32,280,386 1,058,060 49,100 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 26,256,421 451,260 0 912828BG4 G 3.250 912820JD0 08/15/08 21,357,474 19,300,426 2,057,048 20,200 912828EC0 P 4.125 912820LZ8 08/15/08 20,290,622 20,224,562 66,060 0 912828BK5 H 3.125 912820JG3 09/15/08 16,002,177 15,987,777 14,400 0 912828BM1 J 3.125 912820JJ7 10/15/08 15,995,702 15,995,702 0 0 9128274V1 D 4.750 912820DK0 11/15/08 25,083,125 24,698,495 384,630 16,000 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 16,568,209 1,612,824 36,600 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,432,494 17,400 0 912828BT6 L 3.375 912820JQ1 12/15/08 16,000,028 16,000,028 0 0 912828BV1 D 3.250 912820JS7 01/15/09 16,002,546 15,924,546 78,000 0 912828BZ2 E 3.000 912820JW8 02/15/09 17,433,763 17,198,863 234,900 0 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 22,235,300 73,200 0 912828CC2 F 2.625 912820JZ1 03/15/09 16,001,063 15,999,463 1,600 0 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 14,700,590 94,200 84,400 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,580,701 479,236 12,800 912828CL2 J 4.000 912820KH9 06/15/09 15,004,754 15,004,754 0 0 912828CN8 K 3.625 912820KK2 07/15/09 15,004,962 14,996,962 8,000 0 9128275N8 C 6.000 912820EA1 08/15/09 27,399,894 25,729,635 1,670,259 5,200 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,783,484 511,202 1,200 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 14,944,291 60,800 0 912828DB3 P 3.500 912820KY2 11/15/09 18,751,928 18,295,348 456,580 0 912828DE7 Q 3.500 912820LB1 12/15/09 15,002,485 15,002,485 0 0 912828DG2 E 3.625 912820LD7 01/15/10 15,004,697 14,997,897 6,800 0 9128275Z1 B 6.500 912820EM5 02/15/10 23,355,709 22,709,606 646,103 104,400 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,490,268 126,800 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 18,402,624 346,220 1,600 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 20,832,465 1,605,129 50,100 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 13,639,264 1,324,160 81,600 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 15,822,005 139,100 203,680 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 22,263,887 1,172,442 61,250 912828EX4 E 4.500 912820MU8 02/28/11 17,500,138 17,500,138 0 0 912828FA3 F 4.750 912820MX2 03/31/11 17,500,479 17,500,479 0 0 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 25,636,063 999,253 66,000 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 24,241,161 538,677 50,400 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 19,114,826 533,150 0 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,993,592 119,150 77,500 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 19,490,756 7,640 0 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 18,247,153 6,400 0 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 33,476,323 44,800 0 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 30,636,724 120 0 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 28,079,066 2,000 0 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 27,026,551 276,430 11,200 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,720,034 1,600 0 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 25,472,536 0 0 912828DM9 B 4.000 912820LJ4 02/15/15 24,214,991 24,214,991 0 0 912828DV9 C 4.125 912820LS4 05/15/15 24,471,849 24,471,549 300 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 Total Treasury Notes............... 2,409,699,897 2,373,716,359 35,983,538 1,453,216 Grand Total................................................ 3,245,741,497 3,058,266,000 187,475,497 44,661,592