TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, OCTOBER 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 2,956,104 2,059,180 0 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,600,803 1,919,496 511,880 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,365,495 658,421 171,600 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,167,408 1,417,451 1,314,200 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,286,510 145,244 103,600 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,478,469 1,345,082 888,200 912810DX3 7.500 912803AK9 11/15/16 18,787,448 16,898,165 1,889,283 1,004,200 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,640,732 4,918,437 613,600 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,724,166 2,244,192 632,795 912810EA2 9.125 912803AN3 05/15/18 6,717,439 4,148,621 2,568,818 948,800 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,595,629 3,578,841 2,552,900 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 7,087,984 6,002,514 496,600 912810ED6 8.125 912803AR4 08/15/19 18,940,932 16,975,942 1,964,990 1,068,520 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,324,465 2,151,803 1,080,300 912810EF1 8.750 912803AT0 05/15/20 7,582,183 2,872,819 4,709,364 534,240 912810EG9 8.750 912803AU7 08/15/20 17,059,306 11,406,199 5,653,107 2,284,240 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,311,126 764,447 403,400 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 4,977,199 5,089,589 223,680 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,538,939 967,443 636,040 912810EL8 8.000 912803AY9 11/15/21 30,632,194 14,152,110 16,480,084 2,252,600 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,356,108 1,771,682 1,171,400 912810EN4 7.625 912803BA0 11/15/22 7,423,626 3,117,768 4,305,858 1,195,600 912810EP9 7.125 912803BB8 02/15/23 15,782,061 11,328,655 4,453,406 1,063,200 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 20,010,283 2,648,761 877,504 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,335,791 6,268,371 507,840 912810ET1 7.625 912803BE2 02/15/25 9,509,170 5,134,869 4,374,301 1,004,000 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,345,746 3,841,461 553,560 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,474,572 363,344 1,495,200 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,350,055 3,460,363 196,200 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 4,490,380 6,369,797 769,800 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,496,335 5,025,636 533,400 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,446,797 3,749,959 975,400 912810FB9 6.125 912803BM4 11/15/27 22,021,339 7,736,211 14,285,128 2,839,191 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,527,069 1,249,132 428,600 912810FF0 5.250 912803BV4 11/15/28 10,947,052 9,125,096 1,821,956 1,670,538 912810FG8 5.250 912803BW2 02/15/29 11,350,341 9,649,545 1,700,796 849,700 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 7,150,943 4,027,637 1,284,400 912810FM5 6.250 912803CH4 05/15/30 17,043,162 5,962,063 11,081,099 1,771,200 912810FP8 5.375 912803CK7 02/15/31 16,427,648 14,080,348 2,347,300 1,176,700 912810FT0 4.500 912803CX9 02/15/36 26,397,130 19,632,130 6,765,000 790,400 Total Treasury Bonds............... 499,698,422 343,259,649 156,438,773 38,875,228 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128272M3 A 3.375 912820BV8 01/15/07 20,278,618 20,278,618 0 0 9128273T7 A 3.625 912820CL9 01/15/08 21,216,680 21,090,477 126,203 0 9128274Y5 A 3.875 912820DN4 01/15/09 19,770,019 19,768,776 1,243 0 9128275W8 A 4.250 912820EK9 01/15/10 13,719,309 13,719,309 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 30,135,921 30,135,921 0 0 9128276R8 A 3.500 912820GA9 01/15/11 12,887,274 12,887,274 0 0 912828FB1 G 2.375 912820MY0 04/15/11 20,723,823 20,723,823 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,894,358 6,894,358 0 0 912828AF7 C 3.000 912820HC4 07/15/12 26,101,382 26,101,382 0 0 912828BD1 C 1.875 912820JA6 07/15/13 22,211,435 22,211,435 0 0 912828BW9 A 2.000 912820JT5 01/15/14 23,173,964 23,173,964 0 0 912828CP3 D 2.000 912820KL0 07/15/14 20,553,777 20,553,777 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,289,168 20,289,168 0 0 912828EA4 D 1.875 912820LX3 07/15/15 17,819,347 17,819,347 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,463,941 17,463,941 0 0 912828FL9 D 2.500 912820NH6 07/15/16 20,192,045 20,192,045 0 0 912810FR4 2.375 912803CN1 01/15/25 30,287,050 30,287,050 0 0 912810FS2 2.000 912803CW1 01/15/26 20,545,320 20,545,320 0 0 912810FD5 3.625 912803BN2 04/15/28 21,157,085 21,150,782 6,303 0 912810FH6 3.875 912803CF8 04/15/29 24,180,840 24,025,810 155,030 0 912810FQ6 3.375 912803CL5 04/15/32 5,757,354 5,757,354 0 0 Total Treasury Inflation-Protected 415,358,709 415,069,930 288,779 0 Treasury Notes: CUSIP: Series: Interest Rate: 9128277F3 F 3.500 912820GQ4 11/15/06 35,380,129 32,983,929 2,396,200 136,200 912828BP4 J 2.625 912820JL2 11/15/06 26,535,905 25,933,745 602,160 1,600 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 11,108,997 1,994,681 18,016 912828BY5 H 2.250 912820JV0 02/15/07 25,469,287 25,032,487 436,800 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 31,991,495 6,400 0 9128272U5 C 6.625 912820BX4 05/15/07 13,958,186 12,431,392 1,526,794 22,200 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 23,185,836 2,450,967 21,400 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 24,395,779 277,908 11,200 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 26,393,597 159,200 0 912828AN0 G 3.000 912820HK6 11/15/07 50,619,528 47,872,689 2,746,839 25,600 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 26,590,079 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 12,886,737 696,675 50,180 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, OCTOBER 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--Continued: CUSIP: Series: Interest Rate: 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 27,051,602 437,658 84,100 912828DK3 M 3.375 912820LG0 02/15/08 23,885,083 23,359,923 525,160 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 26,770,968 70,600 0 912828FC9 U 4.875 912820MZ7 04/30/08 26,837,165 26,773,165 64,000 0 9128274F6 C 5.625 912820CY1 05/15/08 27,190,961 24,977,616 2,213,345 6,960 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 26,256,101 451,580 16,400 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 26,447,532 51,200 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 18,543,666 2,813,808 99,400 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 26,496,090 8,000 0 912828BK5 H 3.125 912820JG3 09/15/08 16,002,177 15,974,977 27,200 0 912828FT2 Z 4.625 912820NQ6 09/30/08 24,499,335 24,489,735 9,600 0 912828BM1 J 3.125 912820JJ7 10/15/08 15,995,702 15,995,702 0 0 912828FV7 AA 4.875 912820NS2 10/31/08 22,728,318 22,728,318 0 0 9128274V1 D 4.750 912820DK0 11/15/08 25,083,125 24,659,295 423,830 800 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,775,977 405,056 0 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,400,614 49,280 2,000 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 0 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 22,042,740 265,760 1,600 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 14,703,790 91,000 1,200 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,622,617 437,320 8,600 912828FE5 S 4.875 912820NB9 05/15/09 27,380,356 27,327,556 52,800 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 25,837,775 1,562,119 229,700 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,763,984 530,702 0 912828FP0 T 4.875 912820NL7 08/15/09 23,420,414 23,412,414 8,000 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 14,925,091 80,000 0 912828DB3 P 3.500 912820KY2 11/15/09 18,751,928 18,246,048 505,880 2,800 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 14,996,697 8,000 0 9128275Z1 B 6.500 912820EM5 02/15/10 23,355,709 22,266,006 1,089,703 20,200 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,491,108 125,960 37,200 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 18,218,624 530,220 39,000 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 20,830,165 1,607,429 82,139 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 13,976,464 986,960 100,000 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 15,592,805 368,300 7,760 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 22,196,587 1,239,742 11,680 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 17,409,761 88,100 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 6,400 400 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 24,920,500 1,714,816 7,880 912828FS4 M 4.625 912820NP8 08/31/11 17,500,676 17,406,276 94,400 0 912828FU9 N 4.500 912820NR4 09/30/11 17,500,158 17,498,158 2,000 0 912828FW5 P 4.625 912820NT0 10/31/11 16,181,688 16,181,688 0 0 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,839,738 940,100 196,800 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 18,318,846 1,329,130 20,280 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,418,842 693,900 2,000 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,963,196 535,200 0 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 18,034,221 219,332 14,400 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 33,271,523 249,600 25,600 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,955,244 681,600 24,800 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 28,051,566 29,500 0 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,827,151 475,830 268,800 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,485,634 236,000 133,600 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 25,452,036 20,500 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 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 912828FQ8 E 4.875 912820NM5 08/15/16 22,556,671 22,555,071 1,600 0 Total Treasury Notes............... 2,444,338,813 2,403,276,157 41,062,656 1,732,495 Grand Total................................................ 3,359,395,944 3,161,605,736 197,790,208 40,607,723