TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, DECEMBER 31, 2006 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: 912810DN5 11.750 912800AA7 11/15/14 5,015,284 2,961,704 2,053,580 5,600 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,664,763 1,855,536 232,200 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,387,895 636,021 357,200 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,103,008 1,481,851 323,400 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,299,510 132,244 123,600 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,945,169 878,382 1,248,100 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,157,885 1,629,563 2,004,160 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,755,192 4,803,977 1,518,560 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,759,166 2,209,192 1,105,800 912810EA2 9.125 912803AN3 05/15/18 6,717,439 3,881,021 2,836,418 1,493,400 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,431,029 3,743,441 1,462,200 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 8,218,384 4,872,114 1,320,200 912810ED6 8.125 912803AR4 08/15/19 18,940,932 16,643,022 2,297,910 1,348,400 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,707,465 1,768,803 503,200 912810EF1 8.750 912803AT0 05/15/20 7,582,183 3,128,339 4,453,844 447,620 912810EG9 8.750 912803AU7 08/15/20 17,059,306 12,692,559 4,366,747 1,984,800 912810EH7 7.875 912803AV5 02/15/21 10,075,573 8,998,526 1,077,047 594,400 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 5,402,399 4,664,389 547,360 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,440,419 1,065,963 474,800 912810EL8 8.000 912803AY9 11/15/21 30,632,194 14,949,507 15,682,687 4,695,172 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,011,808 2,115,982 1,841,700 912810EN4 7.625 912803BA0 11/15/22 7,423,626 3,236,768 4,186,858 1,957,000 912810EP9 7.125 912803BB8 02/15/23 15,782,061 11,929,855 3,852,206 1,624,000 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 20,714,271 1,944,773 1,418,600 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,218,991 6,385,171 295,120 912810ET1 7.625 912803BE2 02/15/25 9,509,170 5,413,869 4,095,301 1,244,200 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,163,186 4,024,021 647,760 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,007,172 830,744 2,002,200 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,779,755 3,030,663 1,093,000 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 5,127,730 5,732,447 1,390,750 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 5,169,335 4,352,636 735,600 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,262,697 3,934,059 1,118,400 912810FB9 6.125 912803BM4 11/15/27 22,021,339 7,946,511 14,074,828 2,203,600 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,269,869 1,506,332 1,079,400 912810FF0 5.250 912803BV4 11/15/28 10,947,052 8,541,497 2,405,555 1,410,600 912810FG8 5.250 912803BW2 02/15/29 11,350,341 9,836,745 1,513,596 1,318,267 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 6,623,143 4,555,437 1,126,000 912810FM5 6.250 912803CH4 05/15/30 17,043,162 6,365,711 10,677,451 2,616,896 912810FP8 5.375 912803CK7 02/15/31 16,427,648 12,971,948 3,455,700 1,531,800 912810FT0 4.500 912803CX9 02/15/36 26,397,130 16,017,430 10,379,700 2,195,100 Total Treasury Bonds............... 499,698,422 344,135,253 155,563,169 50,640,165 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128272M3 A 3.375 912820BV8 01/15/07 20,074,552 20,074,552 0 0 9128273T7 A 3.625 912820CL9 01/15/08 21,003,174 20,878,241 124,933 0 9128274Y5 A 3.875 912820DN4 01/15/09 19,571,080 19,569,849 1,231 0 9128275W8 A 4.250 912820EK9 01/15/10 13,581,193 13,581,193 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 29,832,666 29,832,666 0 0 9128276R8 A 3.500 912820GA9 01/15/11 12,757,571 12,757,571 0 0 912828FB1 G 2.375 912820MY0 04/15/11 20,518,062 20,518,062 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,825,008 6,825,008 0 0 912828AF7 C 3.000 912820HC4 07/15/12 25,838,750 25,838,750 0 0 912828BD1 C 1.875 912820JA6 07/15/13 21,987,942 21,987,942 0 0 912828BW9 A 2.000 912820JT5 01/15/14 22,940,846 22,940,846 0 0 912828CP3 D 2.000 912820KL0 07/15/14 20,346,843 20,346,843 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,084,904 20,084,904 0 0 912828EA4 D 1.875 912820LX3 07/15/15 17,639,999 17,639,999 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,288,156 17,288,156 0 0 912828FL9 D 2.500 912820NH6 07/15/16 20,000,441 20,000,441 0 0 912810FR4 2.375 912803CN1 01/15/25 29,982,122 29,982,122 0 0 912810FS2 2.000 912803CW1 01/15/26 20,338,519 20,338,519 0 0 912810FD5 3.625 912803BN2 04/15/28 20,944,102 20,937,863 6,240 0 912810FH6 3.875 912803CF8 04/15/29 23,937,519 23,784,049 153,470 0 912810FQ6 3.375 912803CL5 04/15/32 5,699,412 5,699,412 0 0 Total Treasury Inflation-Protected 411,192,862 410,906,989 285,873 0 Treasury Notes: CUSIP: Series: Interest Rate: 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 10,840,617 2,263,061 70,432 912828BY5 H 2.250 912820JV0 02/15/07 25,469,287 25,051,794 417,493 9,100 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 12,403,912 1,554,274 48,000 912828AC4 E 4.375 912820GZ4 05/15/07 24,351,431 23,995,981 355,450 0 912828CG3 J 3.125 912820KD8 05/15/07 27,564,268 26,340,003 1,224,265 540 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 23,278,228 2,358,575 27,400 912828AH3 F 3.250 912820HE0 08/15/07 25,410,844 25,366,687 44,157 0 912828CR9 K 2.750 912820KN6 08/15/07 24,673,687 24,440,539 233,148 47,360 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 26,347,197 205,600 0 912828AN0 G 3.000 912820HK6 11/15/07 50,619,528 47,415,385 3,204,143 47,400 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 26,583,679 83,200 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 12,894,737 688,675 10,100 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 26,995,302 493,958 24,700 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 26,470,469 33,600 1,600 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 26,753,965 83,200 0 9128274F6 C 5.625 912820CY1 05/15/08 27,190,961 24,977,816 2,213,145 3,600 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 26,256,021 451,660 1,760 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, DECEMBER 31, 2006 -- 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--Continued: CUSIP: Series: Interest Rate: 912828FG0 V 4.875 912820ND5 05/31/08 25,933,459 25,832,659 100,800 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 18,569,686 2,787,788 89,000 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 26,460,890 43,200 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 24,486,535 12,800 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 22,727,821 22,708,621 19,200 0 9128274V1 D 4.750 912820DK0 11/15/08 25,083,125 24,597,595 485,530 12,400 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,779,077 401,956 25,900 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,378,074 71,820 1,600 912828FZ8 AB 4.625 912820NW3 11/30/08 24,338,153 24,338,153 0 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 17,185,423 248,340 0 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 21,929,340 379,160 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 14,703,790 91,000 0 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,577,057 482,880 50,900 912828FE5 S 4.875 912820NB9 05/15/09 27,380,356 27,253,436 126,920 0 912828CL2 J 4.000 912820KH9 06/15/09 15,004,754 15,004,354 400 0 912828CN8 K 3.625 912820KK2 07/15/09 15,004,962 14,992,162 12,800 0 9128275N8 C 6.000 912820EA1 08/15/09 27,399,894 25,935,817 1,464,077 0 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,762,884 531,802 0 912828FP0 T 4.875 912820NL7 08/15/09 23,420,414 23,363,634 56,780 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 18,216,148 535,780 10,400 912828FX3 U 4.625 912820NU7 11/15/09 24,772,846 24,762,146 10,700 0 912828DE7 Q 3.500 912820LB1 12/15/09 15,002,485 15,002,085 400 0 912828DG2 E 3.625 912820LD7 01/15/10 15,004,697 14,995,777 8,920 0 9128275Z1 B 6.500 912820EM5 02/15/10 23,355,709 22,413,606 942,103 255,600 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,502,048 115,020 102,000 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 18,148,944 599,900 1,600 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 20,820,465 1,617,129 9,100 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,070,864 892,560 142,400 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 15,618,665 342,440 203,800 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 22,191,727 1,244,602 54,360 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 0 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 24,914,780 1,720,536 269,680 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 16,181,388 16,175,988 5,400 0 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,530 17,035,430 1,100 0 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,605,138 1,174,700 92,800 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 18,074,624 1,573,352 92,480 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,401,392 711,350 87,130 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 19,111,876 386,520 177,600 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 18,048,621 204,932 44,800 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 33,275,723 245,400 63,200 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,888,646 748,198 0 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 28,019,316 61,750 2,600 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,996,551 306,430 0 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,572,034 149,600 129,600 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 25,437,536 35,000 156,000 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 22,553,471 3,200 0 912828FY1 F 4.625 912820NV5 11/15/16 23,293,834 23,293,834 0 0 Total Treasury Notes............... 2,409,862,249 2,370,443,370 39,418,879 2,366,942 Grand Total................................................ 3,320,753,533 3,125,485,612 195,267,921 53,007,107