TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, APRIL 30, 2006 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held in This Outstanding Unstripped Form Stripped Form Treasury Bonds: CUSIP: Interest Rate: 912810DN5 11.750 912800AA7 11/15/14 5,015,284 2,942,064 2,073,220 214,400 912810DP0 11.250 912803AA1 02/15/15 10,520,299 9,162,823 1,357,476 247,700 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,358,020 665,896 82,480 912810DT2 9.875 912803AE3 11/15/15 5,584,859 3,881,408 1,703,451 297,400 912810DV7 9.250 912803AF0 02/15/16 5,431,754 4,846,510 585,244 77,600 912810DW5 7.250 912803AH6 05/15/16 18,823,551 18,274,276 549,275 728,200 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,750,675 1,036,773 386,080 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,649,972 4,909,197 619,400 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,821,766 2,146,592 922,400 912810EA2 9.125 912803AN3 05/15/18 6,717,439 3,852,021 2,865,418 149,000 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,264,529 3,909,941 301,300 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 6,966,584 6,123,914 1,105,400 912810ED6 8.125 912803AR4 08/15/19 18,940,932 16,588,622 2,352,310 622,560 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,456,515 2,019,753 782,800 912810EF1 8.750 912803AT0 05/15/20 7,582,183 2,684,679 4,897,504 342,160 912810EG9 8.750 912803AU7 08/15/20 17,059,306 10,181,399 6,877,907 726,280 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,400,626 674,947 556,600 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 4,333,199 5,733,589 1,095,760 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,181,639 1,324,743 896,360 912810EL8 8.000 912803AY9 11/15/21 30,632,194 12,660,135 17,972,059 2,204,375 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 7,958,208 2,169,582 808,600 912810EN4 7.625 912803BA0 11/15/22 7,423,626 3,087,068 4,336,558 295,000 912810EP9 7.125 912803BB8 02/15/23 15,782,061 11,077,955 4,704,106 1,265,200 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 19,254,415 3,404,629 1,342,832 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,230,431 6,373,731 483,620 912810ET1 7.625 912803BE2 02/15/25 9,509,170 4,927,469 4,581,701 1,046,600 912810EV6 6.875 912803BF9 08/15/25 11,187,207 6,934,706 4,252,501 1,250,880 912810EW4 6.000 912803BG7 02/15/26 12,837,916 11,921,272 916,644 928,200 912810EX2 6.750 912803BH5 08/15/26 8,810,418 4,991,855 3,818,563 467,800 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 4,663,045 6,197,132 235,600 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 3,999,735 5,522,236 359,400 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,345,997 3,850,759 514,000 912810FB9 6.125 912803BM4 11/15/27 22,021,339 8,758,720 13,262,619 1,691,600 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,548,869 1,227,332 689,400 912810FF0 5.250 912803BV4 11/15/28 10,947,052 8,658,196 2,288,856 872,000 912810FG8 5.250 912803BW2 02/15/29 11,350,341 9,511,345 1,838,996 1,636,000 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 8,274,443 2,904,137 980,800 912810FM5 6.250 912803CH4 05/15/30 17,043,162 8,320,695 8,722,467 2,645,432 912810FP8 5.375 912803CK7 02/15/31 16,427,648 15,767,648 660,000 1,600 912810FT0 4.500 912803CX9 02/15/36 14,841,150 14,639,150 202,000 75,200 Total Treasury Bonds............... 488,142,442 337,128,684 151,013,758 29,948,019 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128272M3 A 3.375 912820BV8 01/15/07 19,761,284 19,761,284 0 0 9128273T7 A 3.625 912820CL9 01/15/08 20,675,517 20,552,533 122,984 0 9128274Y5 A 3.875 912820DN4 01/15/09 19,265,754 19,264,542 1,212 0 9128275W8 A 4.250 912820EK9 01/15/10 13,369,378 13,369,378 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 29,367,283 29,367,283 0 0 9128276R8 A 3.500 912820GA9 01/15/11 12,558,563 12,558,563 0 0 912828FB1 G 2.375 912820MY0 04/15/11 11,009,344 11,009,344 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,718,492 6,718,492 0 0 912828AF7 C 3.000 912820HC4 07/15/12 25,435,480 25,435,480 0 0 912828BD1 C 1.875 912820JA6 07/15/13 21,644,799 21,644,799 0 0 912828BW9 A 2.000 912820JT5 01/15/14 22,582,770 22,582,770 0 0 912828CP3 D 2.000 912820KL0 07/15/14 20,029,505 20,029,505 0 0 912828DH0 A 1.625 912820LE5 01/15/15 19,771,573 19,771,573 0 0 912828EA4 D 1.875 912820LX3 07/15/15 17,364,772 17,364,772 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,018,368 17,018,368 0 0 912810FR4 2.375 912803CN1 01/15/25 29,514,508 29,514,508 0 0 912810FS2 2.000 912803CW1 01/15/26 11,777,016 11,777,016 0 0 912810FD5 3.625 912803BN2 04/15/28 20,617,328 20,611,186 6,142 0 912810FH6 3.875 912803CF8 04/15/29 23,564,153 23,413,077 151,076 0 912810FQ6 3.375 912803CL5 04/15/32 5,610,495 5,610,495 0 0 Total Treasury Inflation-Protected 367,656,383 367,374,969 281,414 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, APRIL 30, 2006 -- Continued Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held in This Outstanding Unstripped Form Stripped Form Treasury Notes: CUSIP: Series: Interest Rate: 912827X80 B 6.875 912820BS5 05/15/06 16,015,475 12,893,283 3,122,192 34,000 9128276X5 E 4.625 912820GG6 05/15/06 27,797,852 27,708,798 89,054 11,200 912828AY6 G 2.000 912820HV2 05/15/06 22,391,759 22,177,239 214,520 2,200 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 27,109,496 799,850 47,000 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 22,377,483 82,192 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 33,906,912 1,473,217 29,000 912828BP4 J 2.625 912820JL2 11/15/06 26,535,905 26,048,305 487,600 16,000 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 11,799,471 1,304,207 58,680 912828BY5 H 2.250 912820JV0 02/15/07 25,469,287 25,228,067 241,220 56,000 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 12,773,461 1,184,725 19,200 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 26,342,175 1,222,093 3,968 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 23,560,376 2,076,427 31,800 912828AH3 F 3.250 912820HE0 08/15/07 25,410,844 25,372,287 38,557 800 912828CR9 K 2.750 912820KN6 08/15/07 24,673,687 24,414,679 259,008 1,600 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 47,969,939 2,649,589 22,500 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 12,866,727 716,685 29,600 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 27,120,202 369,058 0 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 26,841,568 26,825,568 16,000 0 9128274F6 C 5.625 912820CY1 05/15/08 27,190,961 25,177,536 2,013,425 23,320 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 32,326,786 1,011,660 77,400 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 26,255,461 452,220 0 912828BG4 G 3.250 912820JD0 08/15/08 21,357,474 19,199,146 2,158,328 148,600 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 24,683,695 399,430 2,400 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 16,558,777 1,622,256 197,068 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,430,254 19,640 0 912828BT6 L 3.375 912820JQ1 12/15/08 16,000,028 15,996,828 3,200 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 17,186,863 246,900 1,000 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 22,234,500 74,000 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 20,000 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,598,301 461,636 156,800 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 25,724,635 1,675,259 28,800 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,789,084 505,602 7,600 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 18,293,148 458,780 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 22,555,006 800,703 0 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,438,268 178,800 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 18,309,944 438,900 8,000 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 20,846,265 1,591,329 19,200 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 13,618,864 1,344,560 119,600 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 15,616,405 344,700 8,800 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 22,248,527 1,187,802 66,760 912828EX4 E 4.500 912820MU8 02/28/11 17,500,138 17,500,138 0 0 912828FA3 F 4.750 912820MX2 03/31/11 17,497,861 17,497,861 0 0 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 25,297,843 1,337,473 40,940 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,892,538 887,300 41,777 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 19,129,626 518,350 27,600 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,993,392 119,350 0 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 19,489,156 9,240 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 27,021,551 281,430 21,800 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............... 2,375,358,288 2,337,404,101 37,954,187 1,381,013 Grand Total................................................ 3,231,157,113 3,041,907,754 189,249,359 31,329,032