TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, SEPTEMBER 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 2,956,104 2,059,180 0 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,577,883 1,942,416 291,760 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,384,495 639,421 341,440 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,012,508 1,572,351 827,000 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,261,110 170,644 173,400 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,470,669 1,352,882 1,515,000 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,208,495 1,578,953 1,459,740 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,768,292 4,790,877 1,076,960 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,704,971 2,263,387 466,000 912810EA2 9.125 912803AN3 05/15/18 6,717,439 3,460,221 3,257,218 257,200 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,929,929 3,244,541 737,500 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 7,206,784 5,883,714 1,616,600 912810ED6 8.125 912803AR4 08/15/19 18,940,932 16,549,842 2,391,090 1,495,160 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,771,165 1,705,103 445,200 912810EF1 8.750 912803AT0 05/15/20 7,582,183 2,956,379 4,625,804 769,240 912810EG9 8.750 912803AU7 08/15/20 17,059,306 11,311,999 5,747,307 1,641,760 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,194,726 880,847 415,400 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 4,885,799 5,180,989 152,960 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,512,839 993,543 1,253,640 912810EL8 8.000 912803AY9 11/15/21 30,632,194 15,054,735 15,577,459 3,288,500 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,265,308 1,862,482 843,200 912810EN4 7.625 912803BA0 11/15/22 7,423,626 3,189,468 4,234,158 1,155,200 912810EP9 7.125 912803BB8 02/15/23 15,782,061 11,488,055 4,294,006 1,268,400 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 20,076,323 2,582,721 1,441,568 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,452,951 6,151,211 188,800 912810ET1 7.625 912803BE2 02/15/25 9,509,170 5,259,469 4,249,701 1,385,600 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,288,746 3,898,461 564,560 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,250,472 587,444 685,200 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,342,255 3,468,163 154,000 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 4,812,271 6,047,906 789,400 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,285,935 5,236,036 1,151,000 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,518,197 3,678,559 1,922,600 912810FB9 6.125 912803BM4 11/15/27 22,021,339 7,493,620 14,527,719 2,278,600 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,427,469 1,348,732 936,300 912810FF0 5.250 912803BV4 11/15/28 10,947,052 8,747,228 2,199,824 1,189,500 912810FG8 5.250 912803BW2 02/15/29 11,350,341 9,833,245 1,517,096 862,500 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 7,515,543 3,663,037 1,128,800 912810FM5 6.250 912803CH4 05/15/30 17,043,162 6,163,567 10,879,595 2,038,776 912810FP8 5.375 912803CK7 02/15/31 16,427,648 14,423,648 2,004,000 1,427,200 912810FT0 4.500 912803CX9 02/15/36 26,397,130 22,334,330 4,062,800 308,000 Total Treasury Bonds............... 499,698,422 347,347,045 152,351,377 39,943,664 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128272M3 A 3.375 912820BV8 01/15/07 20,238,120 20,238,120 0 0 9128273T7 A 3.625 912820CL9 01/15/08 21,174,315 21,048,364 125,951 0 9128274Y5 A 3.875 912820DN4 01/15/09 19,730,581 19,729,340 1,241 0 9128275W8 A 4.250 912820EK9 01/15/10 13,691,912 13,691,912 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 30,075,718 30,075,718 0 0 9128276R8 A 3.500 912820GA9 01/15/11 12,861,531 12,861,531 0 0 912828FB1 G 2.375 912820MY0 04/15/11 11,274,350 11,274,350 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,880,608 6,880,608 0 0 912828AF7 C 3.000 912820HC4 07/15/12 26,049,132 26,049,132 0 0 912828BD1 C 1.875 912820JA6 07/15/13 22,167,017 22,167,017 0 0 912828BW9 A 2.000 912820JT5 01/15/14 23,127,760 23,127,760 0 0 912828CP3 D 2.000 912820KL0 07/15/14 20,512,732 20,512,732 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,248,695 20,248,695 0 0 912828EA4 D 1.875 912820LX3 07/15/15 17,783,817 17,783,817 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,428,920 17,428,920 0 0 912828FL9 D 2.500 912820NH6 07/15/16 10,669,230 10,669,230 0 0 912810FR4 2.375 912803CN1 01/15/25 30,226,568 30,226,568 0 0 912810FS2 2.000 912803CW1 01/15/26 20,504,120 20,504,120 0 0 912810FD5 3.625 912803BN2 04/15/28 21,114,790 21,108,500 6,290 0 912810FH6 3.875 912803CF8 04/15/29 24,132,488 23,977,768 154,720 0 912810FQ6 3.375 912803CL5 04/15/32 5,745,876 5,745,876 0 0 Total Treasury Inflation-Protected 395,638,281 395,350,079 288,202 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, SEPTEMBER 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: 912827Z62 D 6.500 912820BU0 10/15/06 22,459,675 22,359,483 100,192 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 32,996,429 2,383,700 34,100 912828BP4 J 2.625 912820JL2 11/15/06 26,535,905 25,941,945 593,960 9,600 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 11,160,553 1,943,125 8,800 912828BY5 H 2.250 912820JV0 02/15/07 25,469,287 25,042,187 427,100 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 31,991,495 6,400 0 9128272U5 C 6.625 912820BX4 05/15/07 13,958,186 12,463,792 1,494,394 1,200 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 25,821,508 48,000 0 9128273E0 D 6.125 912820CA3 08/15/07 25,636,803 23,235,616 2,401,187 1,800 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 24,401,779 271,908 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 26,395,197 157,600 0 912828AN0 G 3.000 912820HK6 11/15/07 50,619,528 47,893,689 2,725,839 21,400 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 26,590,079 76,800 0 912828EU0 R 4.375 912820MR5 01/31/08 27,168,309 27,152,309 16,000 0 9128273X8 B 5.500 912820CQ8 02/15/08 13,583,412 12,874,157 709,255 0 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 27,059,202 430,058 20,600 912828DK3 M 3.375 912820LG0 02/15/08 23,885,083 23,374,323 510,760 0 912828EY2 S 4.625 912820MV6 02/29/08 26,504,069 26,468,869 35,200 0 912828EZ9 T 4.625 912820MW4 03/31/08 26,841,568 26,774,368 67,200 0 912828FC9 U 4.875 912820MZ7 04/30/08 26,837,165 26,774,765 62,400 0 9128274F6 C 5.625 912820CY1 05/15/08 27,190,961 25,003,896 2,187,065 19,520 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 32,163,346 1,175,100 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 25,859,859 73,600 0 912828FJ4 W 5.125 912820NF0 06/30/08 26,498,732 26,449,132 49,600 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 18,467,846 2,889,628 7,800 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 26,497,690 6,400 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 24,665,695 417,430 0 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,780,777 400,256 363,680 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,410,414 39,480 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 17,191,823 241,940 9,300 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 22,052,820 255,680 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 14,702,590 92,200 800 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,617,397 442,540 8,000 912828FE5 S 4.875 912820NB9 05/15/09 27,380,356 27,341,956 38,400 4,800 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 25,633,775 1,766,119 42,000 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,764,384 530,302 400 912828FP0 T 4.875 912820NL7 08/15/09 23,420,414 23,418,814 1,600 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 18,253,948 497,980 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 22,348,406 1,007,303 0 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,454,488 162,580 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 18,236,104 512,740 0 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 20,830,465 1,607,129 16,800 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,021,424 942,000 0 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 15,640,245 320,860 38,000 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 22,209,707 1,226,622 0 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 17,409,861 88,000 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 17,096,392 48,200 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 25,036,080 1,599,236 55,140 912828FS4 M 4.625 912820NP8 08/31/11 17,500,676 17,486,276 14,400 0 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 24,014,538 765,300 290,000 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 18,548,326 1,099,650 153,920 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,828,942 283,800 187,450 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,966,396 532,000 0 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 18,125,421 128,132 0 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 33,273,123 248,000 0 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,956,044 680,800 13,600 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 28,056,566 24,500 0 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,996,751 306,230 10,000 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,704,034 17,600 0 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 25,472,036 500 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 44,800 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 912828FQ8 E 4.875 912820NM5 08/15/16 22,556,696 22,555,096 1,600 0 Total Treasury Notes............... 2,415,457,540 2,376,010,768 39,446,772 1,363,510 Grand Total................................................ 3,310,794,243 3,118,707,892 192,086,351 41,307,174