TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, June 30, 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 2,944,464 2,070,820 5,600 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,801,163 1,719,136 302,120 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,251,675 772,241 363,423 912810DT2 9.875 912803AE3 11/15/15 5,584,859 3,865,608 1,719,251 60,800 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,260,910 170,844 137,000 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,936,676 886,875 1,769,000 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,566,875 1,220,573 557,080 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,802,652 4,756,517 1,256,180 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,401,166 2,567,192 963,000 912810EA2 9.125 912803AN3 05/15/18 6,717,439 3,901,621 2,815,818 701,600 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,457,529 3,716,941 1,153,900 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 7,451,384 5,639,114 514,000 912810ED6 8.125 912803AR4 08/15/19 18,940,932 16,762,022 2,178,910 1,234,720 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,392,965 2,083,303 612,850 912810EF1 8.750 912803AT0 05/15/20 7,582,183 2,728,399 4,853,784 734,480 912810EG9 8.750 912803AU7 08/15/20 17,059,306 10,318,679 6,740,627 1,811,200 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,175,326 900,247 652,000 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 4,570,199 5,496,589 950,120 912810EK0 8.125 912803AX1 08/15/21 9,506,382 7,948,719 1,557,663 1,129,760 912810EL8 8.000 912803AY9 11/15/21 30,632,194 11,713,785 18,918,409 3,537,620 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,116,608 2,011,182 1,444,500 912810EN4 7.625 912803BA0 11/15/22 7,423,626 3,027,068 4,396,558 710,200 912810EP9 7.125 912803BB8 02/15/23 15,782,061 11,823,155 3,958,906 1,117,800 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 19,858,991 2,800,053 1,986,232 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,372,751 6,231,411 973,280 912810ET1 7.625 912803BE2 02/15/25 9,509,170 4,642,369 4,866,801 680,600 912810EV6 6.875 912803BF9 08/15/25 11,187,207 6,810,786 4,376,421 1,444,560 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,115,772 722,144 1,192,300 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,049,255 3,761,163 943,400 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 4,547,071 6,313,106 609,400 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,206,735 5,315,236 348,200 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,467,997 3,728,759 681,400 912810FB9 6.125 912803BM4 11/15/27 22,021,339 8,915,620 13,105,719 2,190,200 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,388,069 1,388,132 718,400 912810FF0 5.250 912803BV4 11/15/28 10,947,052 8,593,396 2,353,656 858,200 912810FG8 5.250 912803BW2 02/15/29 11,350,341 9,595,945 1,754,396 894,300 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 8,303,443 2,875,137 1,267,400 912810FM5 6.250 912803CH4 05/15/30 17,043,162 6,809,295 10,233,867 2,338,608 912810FP8 5.375 912803CK7 02/15/31 16,427,648 15,774,048 653,600 40,000 912810FT0 4.500 912803CX9 02/15/36 14,841,150 14,595,550 245,600 4,000 Total Treasury Bonds............... 488,142,442 336,265,741 151,876,701 38,889,433 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128272M3 A 3.375 912820BV8 01/15/07 20,035,472 20,035,472 0 0 9128273T7 A 3.625 912820CL9 01/15/08 20,962,322 20,837,632 124,690 0 9128274Y5 A 3.875 912820DN4 01/15/09 19,533,073 19,531,845 1,228 0 9128275W8 A 4.250 912820EK9 01/15/10 13,554,815 13,554,815 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 29,774,703 29,774,703 0 0 9128276R8 A 3.500 912820GA9 01/15/11 12,732,819 12,732,819 0 0 912828FB1 G 2.375 912820MY0 04/15/11 11,161,514 11,161,514 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,811,739 6,811,739 0 0 912828AF7 C 3.000 912820HC4 07/15/12 25,788,342 25,788,342 0 0 912828BD1 C 1.875 912820JA6 07/15/13 21,945,124 21,945,124 0 0 912828BW9 A 2.000 912820JT5 01/15/14 22,896,113 22,896,113 0 0 912828CP3 D 2.000 912820KL0 07/15/14 20,307,318 20,307,318 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,045,951 20,045,951 0 0 912828EA4 D 1.875 912820LX3 07/15/15 17,605,829 17,605,829 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,254,495 17,254,495 0 0 912810FR4 2.375 912803CN1 01/15/25 29,923,880 29,923,880 0 0 912810FS2 2.000 912803CW1 01/15/26 11,940,427 11,940,427 0 0 912810FD5 3.625 912803BN2 04/15/28 20,903,486 20,897,259 6,227 0 912810FH6 3.875 912803CF8 04/15/29 23,890,921 23,737,750 153,171 0 912810FQ6 3.375 912803CL5 04/15/32 5,688,335 5,688,335 0 0 Total Treasury Inflation-Protected 372,756,680 372,471,363 285,317 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, June 30, 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: 912827Y55 C 7.000 912820BT3 07/15/06 22,740,446 22,552,246 188,200 38,200 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 26,380,736 1,528,610 11,200 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 33,107,729 2,272,400 48,200 912828BP4 J 2.625 912820JL2 11/15/06 26,535,905 26,028,145 507,760 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 11,351,832 1,751,846 44,792 912828BY5 H 2.250 912820JV0 02/15/07 25,469,287 25,173,687 295,600 50,000 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 32,000,661 320 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 12,544,941 1,413,245 44,800 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 26,339,663 1,224,605 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 26,648,641 15,610 0 912828EB2 T 3.875 912820LY1 07/31/07 25,869,508 25,850,308 19,200 0 9128273E0 D 6.125 912820CA3 08/15/07 25,636,803 23,326,096 2,310,707 39,200 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 24,413,879 259,808 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 26,588,170 2,600 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 47,920,989 2,698,539 15,600 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 27,161,909 6,400 0 9128273X8 B 5.500 912820CQ8 02/15/08 13,583,412 12,843,227 740,185 30,600 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 23,377,123 507,960 0 912828EY2 S 4.625 912820MV6 02/29/08 26,504,069 26,478,469 25,600 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 25,031,136 2,159,825 52,700 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 32,176,146 1,162,300 62,040 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 26,240,261 467,420 1,200 912828FG0 V 4.875 912820ND5 05/31/08 25,933,459 25,899,859 33,600 0 912828FJ4 W 5.125 912820NF0 06/30/08 26,501,825 26,501,825 0 0 912828BG4 G 3.250 912820JD0 08/15/08 21,357,474 18,581,446 2,776,028 5,600 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 24,680,895 402,230 2,800 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 16,988,777 1,192,256 105,600 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,414,934 34,960 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 0 912828BZ2 E 3.000 912820JW8 02/15/09 17,433,763 17,180,823 252,940 0 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 22,119,700 188,800 400 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 0 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,678,417 381,520 20,456 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 25,677,035 1,722,859 26,680 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,738,284 556,402 2,800 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 18,284,048 467,880 3,600 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 22,403,406 952,303 0 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,459,868 157,200 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 18,279,464 469,380 19,400 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 20,853,865 1,583,729 21,300 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,091,944 871,480 188,800 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 15,588,925 372,180 2,400 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 22,268,087 1,168,242 18,880 912828EX4 E 4.500 912820MU8 02/28/11 17,500,138 17,473,338 26,800 0 912828FA3 F 4.750 912820MX2 03/31/11 17,497,861 17,425,061 72,800 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 17,099,592 45,000 0 912828FK1 K 5.125 912820NG8 06/30/11 17,500,496 17,500,496 0 0 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 25,228,383 1,406,933 126,640 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,508,818 1,271,020 11,200 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 18,882,706 765,270 37,920 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,991,042 121,700 28,650 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 19,443,156 55,240 16,000 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 18,246,873 6,680 0 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 33,412,923 108,200 24,800 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 30,593,524 43,320 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 27,030,751 272,230 12,800 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 22,464,883 4,800 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 Total Treasury Notes............... 2,427,350,504 2,388,873,495 38,477,009 1,115,258 Grand Total................................................ 3,288,249,626 3,097,610,599 190,639,027 40,004,691