TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, July 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 2,944,464 2,070,820 0 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,801,123 1,719,176 85,280 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,377,955 645,961 673,200 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,127,408 1,457,451 1,090,000 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,260,110 171,644 9,200 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,638,076 1,185,475 643,200 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,536,035 1,251,413 318,800 912810DY1 8.750 912803AL7 05/15/17 15,559,169 11,113,212 4,445,957 690,360 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,271,566 2,696,792 579,200 912810EA2 9.125 912803AN3 05/15/18 6,717,439 4,016,821 2,700,618 189,400 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,433,529 3,740,941 385,400 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 7,222,184 5,868,314 461,600 912810ED6 8.125 912803AR4 08/15/19 18,940,932 16,700,862 2,240,070 616,800 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,219,765 2,256,503 253,800 912810EF1 8.750 912803AT0 05/15/20 7,582,183 2,839,779 4,742,404 266,180 912810EG9 8.750 912803AU7 08/15/20 17,059,306 10,152,179 6,907,127 475,980 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,199,726 875,847 567,800 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 4,836,039 5,230,749 748,366 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,387,479 1,118,903 1,226,280 912810EL8 8.000 912803AY9 11/15/21 30,632,194 12,771,160 17,861,034 2,838,550 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,189,908 1,937,882 398,200 912810EN4 7.625 912803BA0 11/15/22 7,423,626 3,255,468 4,168,158 761,400 912810EP9 7.125 912803BB8 02/15/23 15,782,061 11,871,555 3,910,506 624,400 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 19,822,375 2,836,669 750,072 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,274,071 6,330,091 78,840 912810ET1 7.625 912803BE2 02/15/25 9,509,170 4,719,369 4,789,801 331,800 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,062,506 4,124,701 1,085,040 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,289,172 548,744 750,900 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,039,955 3,770,463 329,400 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 4,456,271 6,403,906 637,600 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,057,535 5,464,436 314,000 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,338,997 3,857,759 352,800 912810FB9 6.125 912803BM4 11/15/27 22,021,339 8,413,220 13,608,119 1,571,000 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,548,769 1,227,432 398,200 912810FF0 5.250 912803BV4 11/15/28 10,947,052 8,618,096 2,328,956 618,600 912810FG8 5.250 912803BW2 02/15/29 11,350,341 9,842,045 1,508,296 543,900 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 7,738,243 3,440,337 275,200 912810FM5 6.250 912803CH4 05/15/30 17,043,162 6,551,087 10,492,075 866,960 912810FP8 5.375 912803CK7 02/15/31 16,427,648 15,743,648 684,000 3,200 912810FT0 4.500 912803CX9 02/15/36 14,841,150 14,587,550 253,600 0 Total Treasury Bonds............... 488,142,442 337,269,312 150,873,130 22,810,908 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128272M3 A 3.375 912820BV8 01/15/07 20,137,426 20,137,426 0 0 9128273T7 A 3.625 912820CL9 01/15/08 21,068,907 20,943,583 125,324 0 9128274Y5 A 3.875 912820DN4 01/15/09 19,632,463 19,631,229 1,235 0 9128275W8 A 4.250 912820EK9 01/15/10 13,623,760 13,623,760 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 29,926,191 29,926,191 0 0 9128276R8 A 3.500 912820GA9 01/15/11 12,797,615 12,797,615 0 0 912828FB1 G 2.375 912820MY0 04/15/11 11,218,262 11,218,262 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,846,384 6,846,384 0 0 912828AF7 C 3.000 912820HC4 07/15/12 25,919,543 25,919,543 0 0 912828BD1 C 1.875 912820JA6 07/15/13 22,056,771 22,056,771 0 0 912828BW9 A 2.000 912820JT5 01/15/14 23,012,672 23,012,672 0 0 912828CP3 D 2.000 912820KL0 07/15/14 20,410,690 20,410,690 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,147,798 20,147,798 0 0 912828EA4 D 1.875 912820LX3 07/15/15 17,695,248 17,695,248 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,342,217 17,342,217 0 0 912828FL9 D 2.500 912820NH6 07/15/16 10,616,179 10,616,179 0 0 912810FR4 2.375 912803CN1 01/15/25 30,076,204 30,076,204 0 0 912810FS2 2.000 912803CW1 01/15/26 20,389,578 20,389,578 0 0 912810FD5 3.625 912803BN2 04/15/28 21,009,726 21,003,467 6,259 0 912810FH6 3.875 912803CF8 04/15/29 24,012,582 23,858,631 153,951 0 912810FQ6 3.375 912803CL5 04/15/32 5,717,256 5,717,256 0 0 Total Treasury Inflation-Protected 393,657,471 393,370,702 286,769 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, July 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: 912828BF6 H 2.375 912820JC2 08/15/06 27,909,346 26,334,496 1,574,850 46,400 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 33,070,929 2,309,200 37,000 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 11,288,800 1,814,878 49,052 912828BY5 H 2.250 912820JV0 02/15/07 25,469,287 25,127,787 341,500 17,200 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 12,581,021 1,377,165 119,600 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 26,339,463 1,224,805 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 26,637,441 26,810 0 912828EB2 T 3.875 912820LY1 07/31/07 25,869,508 25,845,508 24,000 0 9128273E0 D 6.125 912820CA3 08/15/07 25,636,803 23,326,016 2,310,787 17,800 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 24,410,679 263,008 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 26,588,170 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 47,916,289 2,703,239 38,200 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 26,631,679 35,200 0 912828EU0 R 4.375 912820MR5 01/31/08 27,168,309 27,155,509 12,800 0 9128273X8 B 5.500 912820CQ8 02/15/08 13,583,412 12,879,427 703,985 47,800 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 27,119,202 370,058 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 25,015,896 2,175,065 17,280 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 32,176,146 1,162,300 0 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 26,240,261 467,420 0 912828FG0 V 4.875 912820ND5 05/31/08 25,933,459 25,874,259 59,200 0 912828FJ4 W 5.125 912820NF0 06/30/08 26,498,732 26,463,532 35,200 0 912828FM7 X 5.000 912820NJ2 07/31/08 26,429,915 26,429,915 0 0 912828BG4 G 3.250 912820JD0 08/15/08 21,357,474 18,537,446 2,820,028 1,500 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 24,678,895 404,230 4,000 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,425,577 755,456 440,000 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,414,214 35,680 1,920 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 17,180,323 253,440 0 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 22,118,100 190,400 40,400 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 14,701,390 93,400 1,200 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,632,457 427,480 0 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 25,661,235 1,738,659 0 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,737,984 556,702 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 18,275,648 476,280 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 22,382,606 973,103 100,000 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,459,068 158,000 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 18,288,664 460,180 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 20,855,345 1,582,249 3,200 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,107,984 855,440 28,000 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 15,651,325 309,780 65,200 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 22,265,207 1,171,122 1,800 912828EX4 E 4.500 912820MU8 02/28/11 17,500,138 17,459,338 40,800 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 17,432,677 68,800 1,600 912828FH8 J 4.875 912820NE3 05/31/11 17,144,592 17,096,392 48,200 0 912828FK1 K 5.125 912820NG8 06/30/11 17,500,283 17,490,683 9,600 0 912828FN5 L 4.875 912820NK9 07/31/11 16,830,929 16,830,929 0 0 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 25,204,383 1,430,933 84,480 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,799,218 980,620 504,000 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 18,887,706 760,270 6,600 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,900,892 211,850 0 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 19,407,996 90,400 0 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 33,411,323 109,800 0 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 30,581,924 54,920 0 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 28,076,066 5,000 0 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 27,027,951 275,030 346,400 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,713,634 8,000 256,000 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 25,466,136 6,400 541,600 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 4,800 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............... 2,416,856,715 2,378,812,044 38,044,671 2,847,032 Grand Total................................................ 3,298,656,628 3,109,452,058 189,204,570 25,657,940