TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, May 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 2,945,264 2,070,020 3,200 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,724,323 1,795,976 275,100 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,372,540 651,376 578,000 912810DT2 9.875 912803AE3 11/15/15 5,584,859 3,898,008 1,686,851 896,400 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,254,310 177,444 748,000 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,947,076 876,475 569,400 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,550,795 1,236,653 237,440 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,268,332 5,290,837 509,200 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,723,166 2,245,192 1,013,000 912810EA2 9.125 912803AN3 05/15/18 6,717,439 3,785,821 2,931,618 491,200 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,039,129 4,135,341 240,700 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 7,310,784 5,779,714 1,117,000 912810ED6 8.125 912803AR4 08/15/19 18,940,932 16,746,702 2,194,230 949,120 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,368,815 2,107,453 1,132,300 912810EF1 8.750 912803AT0 05/15/20 7,582,183 2,491,759 5,090,424 744,200 912810EG9 8.750 912803AU7 08/15/20 17,059,306 9,776,279 7,283,027 617,440 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,383,126 692,447 555,400 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 4,309,279 5,757,509 1,102,760 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,222,679 1,283,703 1,801,240 912810EL8 8.000 912803AY9 11/15/21 30,632,194 11,908,535 18,723,659 2,714,400 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 7,938,408 2,189,382 1,566,700 912810EN4 7.625 912803BA0 11/15/22 7,423,626 3,157,068 4,266,558 796,000 912810EP9 7.125 912803BB8 02/15/23 15,782,061 11,854,555 3,927,506 2,367,400 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 19,913,631 2,745,413 3,274,232 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,367,151 6,237,011 1,036,000 912810ET1 7.625 912803BE2 02/15/25 9,509,170 4,729,469 4,779,701 258,200 912810EV6 6.875 912803BF9 08/15/25 11,187,207 6,924,506 4,262,701 1,309,820 912810EW4 6.000 912803BG7 02/15/26 12,837,916 11,887,172 950,744 939,700 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,326,055 3,484,363 1,727,000 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 4,682,071 6,178,106 875,826 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,119,135 5,402,836 566,200 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,497,397 3,699,359 1,206,600 912810FB9 6.125 912803BM4 11/15/27 22,021,339 8,686,420 13,334,919 2,243,200 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,519,069 1,257,132 661,600 912810FF0 5.250 912803BV4 11/15/28 10,947,052 9,304,796 1,642,256 1,894,400 912810FG8 5.250 912803BW2 02/15/29 11,350,341 9,518,445 1,831,896 896,500 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 8,283,243 2,895,337 1,074,200 912810FM5 6.250 912803CH4 05/15/30 17,043,162 7,241,175 9,801,987 2,497,488 912810FP8 5.375 912803CK7 02/15/31 16,427,648 15,759,648 668,000 27,200 912810FT0 4.500 912803CX9 02/15/36 14,841,150 14,603,950 237,200 0 Total Treasury Bonds............... 488,142,442 336,340,086 151,802,356 41,513,766 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128272M3 A 3.375 912820BV8 01/15/07 19,868,595 19,868,595 0 0 9128273T7 A 3.625 912820CL9 01/15/08 20,787,650 20,663,999 123,651 0 9128274Y5 A 3.875 912820DN4 01/15/09 19,370,392 19,369,174 1,218 0 9128275W8 A 4.250 912820EK9 01/15/10 13,441,832 13,441,832 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 29,526,611 29,526,611 0 0 9128276R8 A 3.500 912820GA9 01/15/11 12,626,659 12,626,659 0 0 912828FB1 G 2.375 912820MY0 04/15/11 11,068,474 11,068,474 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,754,938 6,754,938 0 0 912828AF7 C 3.000 912820HC4 07/15/12 25,573,587 25,573,587 0 0 912828BD1 C 1.875 912820JA6 07/15/13 21,762,248 21,762,248 0 0 912828BW9 A 2.000 912820JT5 01/15/14 22,705,419 22,705,419 0 0 912828CP3 D 2.000 912820KL0 07/15/14 20,138,198 20,138,198 0 0 912828DH0 A 1.625 912820LE5 01/15/15 19,878,930 19,878,930 0 0 912828EA4 D 1.875 912820LX3 07/15/15 17,459,121 17,459,121 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,110,670 17,110,670 0 0 912810FR4 2.375 912803CN1 01/15/25 29,674,673 29,674,673 0 0 912810FS2 2.000 912803CW1 01/15/26 11,840,898 11,840,898 0 0 912810FD5 3.625 912803BN2 04/15/28 20,729,274 20,723,098 6,176 0 912810FH6 3.875 912803CF8 04/15/29 23,691,858 23,539,963 151,895 0 912810FQ6 3.375 912803CL5 04/15/32 5,640,920 5,640,920 0 0 Total Treasury Inflation-Protected 369,650,947 369,368,007 282,940 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, May 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: 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 26,447,696 1,461,650 23,400 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 33,305,829 2,074,300 182,400 912828BP4 J 2.625 912820JL2 11/15/06 26,535,905 26,033,305 502,600 15,000 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 11,420,964 1,682,714 28,744 912828BY5 H 2.250 912820JV0 02/15/07 25,469,287 25,219,487 249,800 0 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 32,000,661 320 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 12,588,981 1,369,205 13,400 912828AC4 E 4.375 912820GZ4 05/15/07 24,351,431 24,294,061 57,370 0 912828CG3 J 3.125 912820KD8 05/15/07 27,564,268 26,340,463 1,223,805 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 23,460,776 2,176,027 17,600 912828AH3 F 3.250 912820HE0 08/15/07 25,410,844 25,372,287 38,557 0 912828CR9 K 2.750 912820KN6 08/15/07 24,673,687 24,414,679 259,008 0 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 47,941,739 2,677,789 12,200 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 26,638,079 28,800 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 12,863,727 719,685 7,000 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 26,817,568 24,000 0 912828FC9 U 4.875 912820MZ7 04/30/08 26,837,165 26,782,765 54,400 0 9128274F6 C 5.625 912820CY1 05/15/08 27,190,961 25,111,816 2,079,145 44,280 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 32,223,226 1,115,220 1,600 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 26,255,261 452,420 0 912828FG0 V 4.875 912820ND5 05/31/08 25,935,812 25,935,812 0 0 912828BG4 G 3.250 912820JD0 08/15/08 21,357,474 19,244,646 2,112,828 90,600 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 15,975,377 26,800 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 24,678,095 405,030 0 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 16,883,177 1,297,856 417,800 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,421,934 27,960 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 15,924,946 77,600 400 912828BZ2 E 3.000 912820JW8 02/15/09 17,433,763 17,181,163 252,600 0 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 22,233,700 74,800 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 60,000 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,687,141 372,796 129,600 912828FE5 S 4.875 912820NB9 05/15/09 27,380,278 27,380,278 0 0 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 25,723,155 1,676,739 0 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,788,124 506,562 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 14,944,291 60,800 0 912828DB3 P 3.500 912820KY2 11/15/09 18,751,928 18,291,848 460,080 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 22,564,606 791,103 43,600 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,467,068 150,000 33,200 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 18,274,744 474,100 44,800 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 20,861,465 1,576,129 15,200 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 13,930,864 1,032,560 496,200 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 15,725,305 235,800 115,200 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 22,275,047 1,161,282 29,000 912828EX4 E 4.500 912820MU8 02/28/11 17,500,138 17,477,338 22,800 0 912828FA3 F 4.750 912820MX2 03/31/11 17,497,861 17,484,261 13,600 0 912828FD7 H 4.875 912820NA1 04/30/11 17,501,477 17,437,477 64,000 0 912828FH8 J 4.875 912820NE3 05/31/11 17,144,859 17,144,859 0 0 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 25,231,123 1,404,193 45,000 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,511,618 1,268,220 168,200 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 19,047,106 600,870 14,920 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,992,242 120,500 52,000 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 19,488,156 10,240 59,200 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 33,414,723 106,400 0 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 30,635,124 1,720 0 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 28,078,066 3,000 0 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 27,025,551 277,430 8,800 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 912828FF2 C 5.125 912820NC7 05/15/16 15,293,982 15,293,982 0 0 Total Treasury Notes............... 2,407,938,828 2,371,576,095 36,362,733 2,169,344 Grand Total................................................ 3,265,732,217 3,077,284,188 188,448,029 43,683,110