TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MARCH 31, 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 0 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,232,903 2,287,396 167,940 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,411,735 612,181 235,000 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,058,608 1,526,251 859,200 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,282,272 149,482 25,200 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,824,169 999,382 213,400 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,229,765 1,557,683 325,420 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,634,172 4,924,997 773,280 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,809,866 2,158,492 1,179,000 912810EA2 9.125 912803AN3 05/15/18 6,717,439 4,050,121 2,667,318 736,800 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,105,529 4,068,941 819,700 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 8,454,984 4,635,514 897,200 912810ED6 8.125 912803AR4 08/15/19 18,940,932 17,253,902 1,687,030 1,724,840 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,651,965 1,824,303 177,600 912810EF1 8.750 912803AT0 05/15/20 7,582,183 3,345,799 4,236,384 297,920 912810EG9 8.750 912803AU7 08/15/20 17,059,306 12,686,759 4,372,547 1,168,020 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,057,926 1,017,647 657,200 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 5,622,839 4,443,949 755,540 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,300,779 1,205,603 538,120 912810EL8 8.000 912803AY9 11/15/21 30,632,194 15,247,182 15,385,012 2,952,425 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,209,720 1,918,070 2,065,012 912810EN4 7.625 912803BA0 11/15/22 7,423,626 3,311,068 4,112,558 1,303,600 912810EP9 7.125 912803BB8 02/15/23 15,782,061 11,849,155 3,932,906 1,764,600 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 20,807,671 1,851,373 2,027,044 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,084,591 6,519,571 545,040 912810ET1 7.625 912803BE2 02/15/25 9,509,170 5,143,869 4,365,301 650,200 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,425,366 3,761,841 1,912,520 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,278,072 559,844 1,308,700 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,655,655 3,154,763 1,006,200 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 4,967,130 5,893,047 706,200 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,532,415 4,989,556 1,556,800 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,560,697 3,636,059 517,600 912810FB9 6.125 912803BM4 11/15/27 22,021,339 7,451,311 14,570,028 2,565,200 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,364,669 1,411,532 796,300 912810FF0 5.250 912803BV4 11/15/28 10,947,052 8,349,097 2,597,955 2,124,400 912810FG8 5.250 912803BW2 02/15/29 11,350,341 10,159,845 1,190,496 1,602,200 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 7,357,643 3,820,937 1,997,200 912810FM5 6.250 912803CH4 05/15/30 17,043,162 6,501,083 10,542,079 4,239,824 912810FP8 5.375 912803CK7 02/15/31 16,427,648 14,319,148 2,108,500 2,883,800 912810FT0 4.500 912803CX9 02/15/36 26,397,130 14,092,816 12,304,314 18,430,786 912810PT9 4.750 912803CZ4 02/15/37 9,825,586 8,335,386 1,490,200 15,291,550 Total Treasury Bonds..................................... 509,524,008 352,967,386 156,556,622 79,798,581 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128273T7 A 3.625 912820CL9 01/15/08 21,061,510 20,936,230 125,280 0 9128274Y5 A 3.875 912820DN4 01/15/09 19,625,466 19,624,232 1,234 0 9128275W8 A 4.250 912820EK9 01/15/10 13,618,892 13,618,892 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 29,915,550 29,915,550 0 0 9128276R8 A 3.500 912820GA9 01/15/11 12,792,995 12,792,995 0 0 912828FB1 G 2.375 912820MY0 04/15/11 20,575,165 20,575,165 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,843,982 6,843,982 0 0 912828AF7 C 3.000 912820HC4 07/15/12 25,910,335 25,910,335 0 0 912828BD1 C 1.875 912820JA6 07/15/13 22,048,967 22,048,967 0 0 912828BW9 A 2.000 912820JT5 01/15/14 23,004,481 23,004,481 0 0 912828CP3 D 2.000 912820KL0 07/15/14 20,403,469 20,403,469 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,140,768 20,140,768 0 0 912828EA4 D 1.875 912820LX3 07/15/15 17,689,128 17,689,128 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,336,097 17,336,097 0 0 912828FL9 D 2.500 912820NH6 07/15/16 20,044,442 20,044,442 0 0 912828GD6 A 2.375 912820PA9 01/15/17 11,290,360 11,290,360 0 0 912810FR4 2.375 912803CN1 01/15/25 30,065,564 30,065,564 0 0 912810FS2 2.000 912803CW1 01/15/26 20,394,919 20,394,919 0 0 912810PS1 2.375 912803CY7 01/15/27 9,221,847 9,221,847 0 0 912810FD5 3.625 912803BN2 04/15/28 21,002,341 20,996,084 6,257 0 912810FH6 3.875 912803CF8 04/15/29 24,004,003 23,850,107 153,896 0 912810FQ6 3.375 912803CL5 04/15/32 5,715,251 5,715,251 0 0 Total Treasury Inflation-Protected Securities............ 412,705,534 412,418,867 286,667 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MARCH 31, 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: CUSIP: Series: Interest Rate: 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 11,954,833 2,003,353 73,720 912828AC4 E 4.375 912820GZ4 05/15/07 24,351,431 23,974,057 377,374 3,000 912828CG3 J 3.125 912820KD8 05/15/07 27,564,268 26,441,427 1,122,841 99,032 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 23,180,326 2,456,477 114,800 912828AH3 F 3.250 912820HE0 08/15/07 25,410,844 25,342,887 67,957 0 912828CR9 K 2.750 912820KN6 08/15/07 24,673,687 24,374,339 299,348 9,400 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 47,273,614 3,345,914 23,400 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 12,805,719 777,693 45,800 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 26,880,476 608,784 5,000 912828DK3 M 3.375 912820LG0 02/15/08 23,885,083 23,355,803 529,280 0 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 26,770,668 70,900 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 24,988,097 2,202,864 32,880 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 32,153,546 1,184,900 0 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 25,786,259 147,200 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 19,224,548 2,132,926 1,109,600 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 26,428,890 75,200 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 24,552,358 530,767 4,000 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,830,977 350,056 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 17,152,505 281,258 2,300 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 21,895,240 413,260 56,700 912828GJ3 W 4.750 912820PF8 02/28/09 23,037,728 23,037,728 0 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 14,695,790 99,000 0 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,525,392 534,545 3,260 912828FE5 S 4.875 912820NB9 05/15/09 27,380,356 27,239,756 140,600 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 25,861,417 1,538,477 57,600 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,761,284 533,402 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 18,185,548 566,380 1,100 912828FX3 U 4.625 912820NU7 11/15/09 24,772,846 24,529,746 243,100 0 912828DE7 Q 3.500 912820LB1 12/15/09 15,002,485 15,001,085 1,400 0 912828DG2 E 3.625 912820LD7 01/15/10 15,004,697 14,995,777 8,920 0 9128275Z1 B 6.500 912820EM5 02/15/10 23,355,709 22,144,606 1,211,103 0 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,495,348 121,720 33,000 912828GG9 S 4.750 912820PD3 02/15/10 17,467,187 17,467,087 100 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 18,099,244 649,600 24,000 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 20,827,365 1,610,229 0 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,152,464 810,960 41,600 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MARCH 31, 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: 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 15,522,965 438,140 20,800 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 22,135,887 1,300,442 0 912828EX4 E 4.500 912820MU8 02/28/11 17,500,138 17,432,938 67,200 0 912828FA3 F 4.750 912820MX2 03/31/11 17,497,861 17,267,461 230,400 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 17,080,392 64,200 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 24,831,160 1,804,156 78,560 912828FS4 M 4.625 912820NP8 08/31/11 17,500,676 17,396,676 104,000 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 16,163,188 18,200 0 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,550 17,027,050 9,500 0 912828GC8 R 4.625 912820NZ6 12/31/11 16,131,258 16,126,458 4,800 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 23,727,608 1,052,230 209,400 912828GK0 G 4.625 912820PG6 02/29/12 16,636,927 16,633,727 3,200 0 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 18,001,084 1,646,892 74,240 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,349,298 763,444 224,400 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,912,041 586,355 71,640 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 17,418,687 834,866 22,400 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 33,143,943 377,180 19,200 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,828,646 808,198 106,000 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,670,616 410,450 5,300 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,921,071 381,910 0 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,573,634 148,000 7,000 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 25,416,736 55,800 19,200 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 24,468,649 3,200 300 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 22,192,761 22,192,761 0 0 Total Treasury Notes..................................... 2,436,443,432 2,396,344,702 40,098,730 2,598,632 Grand Total............................................ 3,358,672,974 3,161,730,955 196,942,019 82,397,213