TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, DECEMBER 31, 2005 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held in This Month Outstanding Unstripped Form Stripped Form Treasury Bonds: CUSIP: Interest Rate: 912810 DU9 9.375 912803 AJ2 02/15/06 4,755,916 3,977,005 778,911 24,960 912810 DN5 11.750 912800 AA7 11/15/14 5,015,284 2,316,642 2,698,642 66,400 912810 DP0 11.250 912803 AA1 02/15/15 10,520,299 9,113,503 1,406,796 173,500 912810 DS4 10.625 912803 AC7 08/15/15 4,023,916 3,488,006 535,910 960 912810 DT2 9.875 912803 AE3 11/15/15 5,584,859 3,681,818 1,903,041 40,600 912810 DV7 9.250 912803 AF0 02/15/16 5,431,754 5,234,940 196,814 1,206,200 912810 DW5 7.250 912803 AH6 05/15/16 18,823,551 18,362,076 461,475 1,199,700 912810 DX3 7.500 912803 AK9 11/15/16 18,787,448 17,304,095 1,483,353 479,880 912810 DY1 8.750 912803 AL7 05/15/17 15,559,169 9,533,292 6,025,877 287,080 912810 DZ8 8.875 912803 AM5 08/15/17 10,968,358 7,954,366 3,013,992 1,676,000 912810 EA2 9.125 912803 AN3 05/15/18 6,717,439 3,771,021 2,946,418 1,692,200 912810 EB0 9.000 912803 AP8 11/15/18 7,174,470 3,163,639 4,010,831 1,737,700 912810 EC8 8.875 912803 AQ6 02/15/19 13,090,498 6,991,684 6,098,814 1,689,000 912810 ED6 8.125 912803 AR4 08/15/19 18,940,932 16,935,782 2,005,150 2,751,240 912810 EE4 8.500 912803 AS2 02/15/20 9,476,268 6,352,915 3,123,353 669,200 912810 EF1 8.750 912803 AT0 05/15/20 7,582,183 2,451,660 5,130,523 367,160 912810 EG9 8.750 912803 AU7 08/15/20 17,059,306 9,170,399 7,888,907 2,160,200 912810 EH7 7.875 912803 AV5 02/15/21 10,075,573 9,304,626 770,947 1,012,000 912810 EJ3 8.125 912803 AW3 05/15/21 10,066,788 6,053,439 4,013,349 960,747 912810 EK0 8.125 912803 AX1 08/15/21 9,506,382 7,748,527 1,757,855 511,720 912810 EL8 8.000 912803 AY9 11/15/21 30,632,194 14,001,695 16,630,499 3,726,300 912810 EM6 7.250 912803 AZ6 08/15/22 10,127,790 7,716,478 2,411,312 754,600 912810 EN4 7.625 912803 BA0 11/15/22 7,423,626 3,270,668 4,152,958 536,600 912810 EP9 7.125 912803 BB8 02/15/23 15,782,061 11,316,149 4,465,912 635,400 912810 EQ7 6.250 912803 BC6 08/15/23 22,659,044 18,956,523 3,702,521 5,296,552 912810 ES3 7.500 912803 BD4 11/15/24 9,604,162 3,268,292 6,335,870 399,900 912810 ET1 7.625 912803 BE2 02/15/25 9,509,170 3,975,469 5,533,701 1,803,400 912810 EV6 6.875 912803 BF9 08/15/25 11,187,207 6,989,346 4,197,861 6,111,320 912810 EW4 6.000 912803 BG7 02/15/26 12,837,916 11,602,372 1,235,544 1,869,500 912810 EX2 6.750 912803 BH5 08/15/26 8,810,418 5,126,055 3,684,363 627,300 912810 EY0 6.500 912803 BJ1 11/15/26 10,860,177 4,232,245 6,627,932 229,800 912810 EZ7 6.625 912803 BK8 02/15/27 9,521,971 4,762,346 4,759,625 132,400 912810 FA1 6.375 912803 BL6 08/15/27 9,196,756 5,846,267 3,350,489 106,600 912810 FB9 6.125 912803 BM4 11/15/27 22,021,339 8,782,920 13,238,419 539,200 912810 FE3 5.500 912803 BP7 08/15/28 11,776,201 10,877,769 898,432 455,600 912810 FF0 5.250 912803 BV4 11/15/28 10,947,052 9,566,396 1,380,656 398,833 912810 FG8 5.250 912803 BW2 02/15/29 11,350,341 10,462,745 887,596 313,400 912810 FJ2 6.125 912803 CG6 08/15/29 11,178,580 8,942,343 2,236,237 1,342,800 912810 FM5 6.250 912803 CH4 05/15/30 17,043,162 8,772,580 8,270,582 4,429,608 912810 FP8 5.375 912803 CK7 02/15/31 16,427,648 16,252,848 174,800 0 Total Treasury Bonds............... 478,057,208 327,630,941 150,426,267 48,415,560 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 912827 2M3 A 3.375 912820 BV8 01/15/07 19,811,079 19,811,079 0 0 912827 3T7 A 3.625 912820 CL9 01/15/08 20,727,632 20,604,338 123,294 0 912827 4Y5 A 3.875 912820 DN4 01/15/09 19,314,415 19,313,201 1,215 0 912827 5W8 A 4.250 912820 EK9 01/15/10 13,403,001 13,403,001 0 0 912828 CZ1 D 0.875 912820 KV8 04/15/10 29,441,207 29,441,207 0 0 912827 6R8 A 3.500 912820 GA9 01/15/11 12,590,246 12,590,246 0 0 912827 7J5 A 3.375 912820 GT8 01/15/12 6,735,425 6,735,425 0 0 912828 AF7 C 3.000 912820 HC4 07/15/12 25,499,700 25,499,700 0 0 912828 BD1 C 1.875 912820 JA6 07/15/13 21,699,422 21,699,422 0 0 912828 BW9 A 2.000 912820 JT5 01/15/14 22,639,684 22,639,684 0 0 912828 CP3 D 2.000 912820 KL0 07/15/14 20,079,861 20,079,861 0 0 912828 DH0 A 1.625 912820 LE5 01/15/15 19,821,356 19,821,356 0 0 912828 EA4 D 1.875 912820 LX3 07/15/15 17,408,632 17,408,632 0 0 912810 FR4 2.375 912803 CN1 01/15/25 29,588,711 29,588,711 0 0 912810 FD5 3.625 912803 BN2 04/15/28 20,669,357 20,663,199 6,158 0 912810 FH6 3.875 912803 CF8 04/15/29 23,623,424 23,471,967 151,456 0 912810 FQ6 3.375 912803 CL5 04/15/32 5,624,630 5,624,630 0 0 Total Treasury Inflation-Protected 328,677,781 328,395,658 282,122 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, DECEMBER 31, 2005, Continued Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held in This Month Outstanding Unstripped Form Stripped Form Treasury Notes: CUSIP: Series: Interest Rate: 912828 BX7 K 1.875 912820 JU2 01/31/06 32,533,188 32,533,188 0 0 912827 W81 A 5.625 912820 BR7 02/15/06 15,513,587 14,385,914 1,127,673 89,560 912828 CB4 L 1.625 912820 JY4 02/28/06 34,001,950 34,000,350 1,600 0 912828 CD0 M 1.500 912820 KA4 03/31/06 34,338,606 34,338,606 0 0 912828 CF5 N 2.250 912820 KC0 04/30/06 34,334,801 34,334,801 0 0 912827 X80 B 6.875 912820 BS5 05/15/06 16,015,475 13,660,873 2,354,602 10,080 912827 6X5 E 4.625 912820 GG6 05/15/06 27,797,852 27,771,018 26,834 0 912828 AY6 G 2.000 912820 HV2 05/15/06 22,391,759 22,225,359 166,400 0 912828 CK4 P 2.500 912820 KG1 05/31/06 31,307,947 31,094,747 213,200 0 912828 CM0 Q 2.750 912820 KJ5 06/30/06 32,587,733 32,587,733 0 0 912827 Y55 C 7.000 912820 BT3 07/15/06 22,740,446 22,514,046 226,400 0 912828 CQ1 R 2.750 912820 KM8 07/31/06 31,010,881 31,010,881 0 0 912828 BF6 H 2.375 912820 JC2 08/15/06 27,909,346 27,505,456 403,890 8,000 912828 CU2 S 2.375 912820 KR7 08/31/06 31,814,087 31,814,087 0 0 912828 CW8 T 2.500 912820 KT3 09/30/06 31,656,294 31,656,294 0 0 912827 Z62 D 6.500 912820 BU0 10/15/06 22,459,675 22,391,053 68,622 0 912828 CY4 U 2.500 912820 KW6 10/31/06 29,568,526 29,568,526 0 0 912827 7F3 F 3.500 912820 GQ4 11/15/06 35,380,129 34,277,772 1,102,357 27,100 912828 BP4 J 2.625 912820 JL2 11/15/06 26,535,905 26,115,265 420,640 0 912828 DD9 V 2.875 912820 LA3 11/30/06 30,049,344 30,001,344 48,000 0 912828 DF4 W 3.000 912820 LC9 12/31/06 31,951,752 31,951,752 0 0 912828 DJ6 M 3.125 912820 LF2 01/31/07 29,026,959 29,026,959 0 0 912827 2J0 B 6.250 912820 BW6 02/15/07 13,103,678 12,148,976 954,702 1,200 912828 BY5 H 2.250 912820 JV0 02/15/07 25,469,287 25,241,487 227,800 0 912828 DN7 N 3.375 912820 LK1 02/28/07 32,007,046 32,007,046 0 0 912828 DQ0 P 3.750 912820 LM7 03/31/07 32,000,981 32,000,981 0 0 912828 DS6 Q 3.625 912820 LP0 04/30/07 31,997,895 31,997,895 0 0 912827 2U5 C 6.625 912820 BX4 05/15/07 13,958,186 12,810,901 1,147,285 17,600 912828 AC4 E 4.375 912820 GZ4 05/15/07 24,351,431 24,295,821 55,610 0 912828 CG3 J 3.125 912820 KD8 05/15/07 27,564,268 26,368,919 1,195,349 0 912828 DW7 R 3.500 912820 LT2 05/31/07 29,119,184 29,119,184 0 0 912828 DY3 S 3.625 912820 LV7 06/30/07 26,664,251 26,664,251 0 0 912828 EB2 T 3.875 912820 LY1 07/31/07 25,869,508 25,869,508 0 0 912827 3E0 D 6.125 912820 CA3 08/15/07 25,636,803 23,587,976 2,048,827 28,647 912828 AH3 F 3.250 912820 HE0 08/15/07 25,410,844 25,393,464 17,380 0 912828 CR9 K 2.750 912820 KN6 08/15/07 24,673,687 24,463,227 210,460 0 912828 EF3 U 4.000 912820 MC8 08/31/07 26,671,232 26,671,232 0 0 912828 EH9 V 4.000 912820 ME4 09/30/07 26,590,770 26,590,770 0 0 912828 EK2 W 4.250 912820 MG9 10/31/07 26,552,797 26,552,797 0 0 912828 AN0 G 3.000 912820 HK6 11/15/07 50,619,528 48,323,874 2,295,654 73,700 912828 EP1 X 4.250 912820 ML8 11/30/07 26,666,931 26,666,931 0 0 912827 3X8 B 5.500 912820 CQ8 02/15/08 13,583,412 12,828,357 755,055 41,600 912828 AT7 E 3.000 912820 HQ3 02/15/08 27,489,260 27,324,860 164,400 0 912828 DK3 M 3.375 912820 LG0 02/15/08 23,885,083 23,402,003 483,080 36,800 912827 4F6 C 5.625 912820 CY1 05/15/08 27,190,961 25,389,128 1,801,833 42,240 912828 AZ3 F 2.625 912820 HW0 05/15/08 33,338,446 33,335,246 3,200 0 912828 DT4 N 3.750 912820 LQ8 05/15/08 26,707,681 26,251,121 456,560 50,920 912828 BG4 G 3.250 912820 JD0 08/15/08 21,357,474 20,519,854 837,620 10,000 912828 EC0 P 4.125 912820 LZ8 08/15/08 20,290,622 20,232,562 58,060 0 912828 BK5 H 3.125 912820 JG3 09/15/08 16,002,177 15,987,777 14,400 0 912828 BM1 J 3.125 912820 JJ7 10/15/08 15,995,702 15,995,702 0 0 912827 4V1 D 4.750 912820 DK0 11/15/08 25,083,125 24,694,695 388,430 4,800 912828 BQ2 K 3.375 912820 JM0 11/15/08 18,181,033 16,929,209 1,251,824 16,320 912828 EL0 Q 4.375 912820 MH7 11/15/08 21,449,894 21,449,894 0 0 912828 BT6 L 3.375 912820 JQ1 12/15/08 16,000,028 16,000,028 0 0 912828 BV1 D 3.250 912820 JS7 01/15/09 16,002,546 16,002,546 0 0 912828 BZ2 E 3.000 912820 JW8 02/15/09 17,433,763 17,217,263 216,500 0 912828 CC2 F 2.625 912820 JZ1 03/15/09 16,001,063 15,999,463 1,600 0 912828 CE8 G 3.125 912820 KB2 04/15/09 16,002,805 16,002,805 0 0 912827 5G3 B 5.500 912820 DV6 05/15/09 14,794,790 14,700,990 93,800 1,300 912828 CH1 H 3.875 912820 KE6 05/15/09 18,059,937 17,610,627 449,310 0 912828 CL2 J 4.000 912820 KH9 06/15/09 15,004,754 15,004,754 0 0 912828 CN8 K 3.625 912820 KK2 07/15/09 15,004,962 14,996,962 8,000 0 912827 5N8 C 6.000 912820 EA1 08/15/09 27,399,894 25,729,535 1,670,359 0 912828 CS7 L 3.500 912820 KP1 08/15/09 17,294,686 16,836,286 458,400 16,000 912828 CV0 M 3.375 912820 KS5 09/15/09 15,005,079 15,005,079 0 0 912828 CX6 N 3.375 912820 KU0 10/15/09 15,005,091 14,944,291 60,800 0 912828 DB3 P 3.500 912820 KY2 11/15/09 18,751,928 18,391,948 359,980 29,200 912828 DE7 Q 3.500 912820 LB1 12/15/09 15,002,485 15,002,485 0 0 912828 DG2 E 3.625 912820 LD7 01/15/10 15,004,697 14,997,897 6,800 0 912827 5Z1 B 6.500 912820 EM5 02/15/10 23,355,709 21,971,009 1,384,700 99,200 912828 DL1 F 3.500 912820 LH8 02/15/10 16,617,068 16,616,668 400 0 912828 DP2 G 4.000 912820 LL9 03/15/10 15,005,048 15,005,048 0 0 912828 DR8 H 4.000 912820 LN5 04/15/10 15,001,494 15,001,494 0 0 912828 DU1 J 3.875 912820 LR6 05/15/10 18,748,844 18,414,644 334,200 1,600 912828 DX5 K 3.625 912820 LU9 06/15/10 14,001,099 14,001,099 0 0 912828 DZ0 L 3.875 912820 LW5 07/15/10 13,000,529 13,000,529 0 0 912827 6J6 C 5.750 912820 FT9 08/15/10 22,437,594 20,832,265 1,605,329 21,600 912828 ED8 M 4.125 912820 MA2 08/15/10 14,963,424 14,876,224 87,200 12,040 912828 EG1 N 3.875 912820 MD6 09/15/10 13,000,827 12,996,027 4,800 0 912828 EJ5 P 4.250 912820 MF1 10/15/10 13,000,862 13,000,862 0 0 912828 EM8 Q 4.500 912820 MJ3 11/15/10 15,961,105 15,829,305 131,800 400 912828 EQ9 R 4.375 912820 MM6 12/15/10 13,000,813 13,000,813 0 0 912827 6T4 B 5.000 912820 GC5 02/15/11 23,436,329 22,503,659 932,670 28,160 912827 7B2 C 5.000 912820 GL5 08/15/11 26,635,316 25,795,286 840,030 440 912827 7L0 B 4.875 912820 GV3 02/15/12 24,779,838 24,643,878 135,960 0 912828 AJ9 D 4.375 912820 HF7 08/15/12 19,647,976 19,477,096 170,880 320 912828 AP5 E 4.000 912820 HL4 11/15/12 18,112,742 18,022,742 90,000 0 912828 AU4 A 3.875 912820 HR1 02/15/13 19,498,396 19,490,756 7,640 0 912828 BA7 B 3.625 912820 HX8 05/15/13 18,253,553 18,247,153 6,400 0 912828 BH2 D 4.250 912820 JE8 08/15/13 33,521,123 33,497,923 23,200 0 912828 BR0 E 4.250 912820 JN8 11/15/13 30,636,844 30,636,844 0 0 912828 CA6 B 4.000 912820 JX6 02/15/14 28,081,066 28,079,066 2,000 0 912828 CJ7 C 4.750 912820 KF3 05/15/14 27,302,981 27,046,051 256,930 0 912828 CT5 E 4.250 912820 KQ9 08/15/14 24,721,634 24,720,034 1,600 0 912828 DC1 F 4.250 912820 KZ9 11/15/14 25,472,536 25,472,536 0 0 912828 DM9 B 4.000 912820 LJ4 02/15/15 24,214,991 24,214,991 0 0 912828 DV9 C 4.125 912820 LS4 05/15/15 24,471,849 24,470,249 1,600 0 912828 EE6 E 4.250 912820 MB0 08/15/15 22,469,683 22,469,683 0 0 912828 EN6 F 4.500 912820 MK0 11/15/15 23,220,914 23,220,914 0 0 Total Treasury Notes............... 2,326,750,114 2,296,879,479 29,870,635 668,827 Grand Total................................................. 3,133,485,103 2,952,906,078 180,579,024 49,084,387