TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, APRIL 30, 2007 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held This Month Outstanding Unstripped FormStripped Form Treasury Bonds: CUSIP: Interest Rate: 912810DN5 11.750 912800AA7 11/15/14 5,015,284 2,949,704 2,065,580 0 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,373,863 2,146,436 640,860 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,318,055 705,861 99,600 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,151,808 1,433,051 1,017,200 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,275,272 156,482 38,400 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,801,369 1,022,182 37,200 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,096,005 1,691,443 487,200 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,823,772 4,735,397 1,460,560 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,836,966 2,131,392 1,569,800 912810EA2 9.125 912803AN3 05/15/18 6,717,439 3,985,721 2,731,718 658,000 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,170,829 4,003,641 525,800 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 8,701,484 4,389,014 649,600 912810ED6 8.125 912803AR4 08/15/19 18,940,932 17,197,122 1,743,810 951,280 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,792,365 1,683,903 515,200 912810EF1 8.750 912803AT0 05/15/20 7,582,183 3,220,799 4,361,384 1,656,680 912810EG9 8.750 912803AU7 08/15/20 17,059,306 13,539,579 3,519,727 2,280,180 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,119,826 955,747 1,366,200 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 5,623,959 4,442,829 1,587,080 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,471,979 1,034,403 2,016,760 912810EL8 8.000 912803AY9 11/15/21 30,632,194 14,961,032 15,671,162 2,695,550 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,385,820 1,741,970 2,175,600 912810EN4 7.625 912803BA0 11/15/22 7,423,626 3,404,868 4,018,758 1,744,200 912810EP9 7.125 912803BB8 02/15/23 15,782,061 11,888,755 3,893,306 850,000 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 20,519,755 2,139,289 2,157,616 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,161,331 6,442,831 315,420 912810ET1 7.625 912803BE2 02/15/25 9,509,170 4,990,269 4,518,901 456,800 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,315,566 3,871,641 632,200 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,075,872 762,044 942,700 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,699,855 3,110,563 786,400 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 4,869,130 5,991,047 968,000 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,611,655 4,910,316 1,894,120 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,455,997 3,740,759 1,189,733 912810FB9 6.125 912803BM4 11/15/27 22,021,339 7,054,011 14,967,328 1,454,800 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,109,069 1,667,132 1,059,000 912810FF0 5.250 912803BV4 11/15/28 10,947,052 9,043,496 1,903,556 3,837,333 912810FG8 5.250 912803BW2 02/15/29 11,350,341 10,079,445 1,270,896 1,108,100 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 7,445,043 3,733,537 718,400 912810FM5 6.250 912803CH4 05/15/30 17,043,162 5,381,307 11,661,855 2,701,416 912810FP8 5.375 912803CK7 02/15/31 16,427,648 13,971,048 2,456,600 915,400 912810FT0 4.500 912803CX9 02/15/36 26,397,130 13,979,530 12,417,600 10,052,400 912810PT9 4.750 912803CZ4 02/15/37 9,825,586 7,918,986 1,906,600 7,711,200 Total Treasury Bonds..................................... 509,524,008 351,772,317 157,751,691 63,923,988 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128273T7 A 3.625 912820CL9 01/15/08 21,172,466 21,046,526 125,940 0 9128274Y5 A 3.875 912820DN4 01/15/09 19,728,991 19,727,750 1,241 0 9128275W8 A 4.250 912820EK9 01/15/10 13,690,667 13,690,667 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 30,073,198 30,073,198 0 0 9128276R8 A 3.500 912820GA9 01/15/11 12,860,431 12,860,431 0 0 912828FB1 G 2.375 912820MY0 04/15/11 20,683,519 20,683,519 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,880,008 6,880,008 0 0 912828GN4 J 2.000 912820PK7 04/15/12 10,150,189 10,150,189 0 0 912828AF7 C 3.000 912820HC4 07/15/12 26,047,061 26,047,061 0 0 912828BD1 C 1.875 912820JA6 07/15/13 22,165,216 22,165,216 0 0 912828BW9 A 2.000 912820JT5 01/15/14 23,125,660 23,125,660 0 0 912828CP3 D 2.000 912820KL0 07/15/14 20,511,022 20,511,022 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,246,985 20,246,985 0 0 912828EA4 D 1.875 912820LX3 07/15/15 17,782,287 17,782,287 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,427,560 17,427,560 0 0 912828FL9 D 2.500 912820NH6 07/15/16 20,150,044 20,150,044 0 0 912828GD6 A 2.375 912820PA9 01/15/17 17,403,211 17,403,211 0 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, APRIL 30, 2007 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held This Month Outstanding Unstripped FormStripped Form Treasury Inflation-Protected Securities, Continued: CUSIP: Series: Interest Rate: 912810FR4 2.375 912803CN1 01/15/25 30,224,048 30,224,048 0 0 912810FS2 2.000 912803CW1 01/15/26 20,502,520 20,502,520 0 0 912810PS1 2.375 912803CY7 01/15/27 9,270,454 9,270,454 0 0 912810FD5 3.625 912803BN2 04/15/28 21,112,944 21,106,654 6,290 0 912810FH6 3.875 912803CF8 04/15/29 24,130,538 23,975,831 154,708 0 912810FQ6 3.375 912803CL5 04/15/32 5,745,375 5,745,375 0 0 Total Treasury Inflation-Protected Securities............ 431,084,394 430,796,216 288,178 0 Treasury Notes: CUSIP: Series: Interest Rate: 9128272U5 C 6.625 912820BX4 05/15/07 13,958,186 11,968,930 1,989,256 16,000 912828AC4 E 4.375 912820GZ4 05/15/07 24,351,431 23,810,523 540,908 4,200 912828CG3 J 3.125 912820KD8 05/15/07 27,564,268 26,441,427 1,122,841 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 23,223,497 2,413,306 69,862 912828AH3 F 3.250 912820HE0 08/15/07 25,410,844 25,340,087 70,757 0 912828CR9 K 2.750 912820KN6 08/15/07 24,673,687 24,374,539 299,148 1,000 912828EF3 U 4.000 912820MC8 08/31/07 26,671,232 26,670,596 636 0 912828EH9 V 4.000 912820ME4 09/30/07 26,590,770 26,587,532 3,238 0 912828EK2 W 4.250 912820MG9 10/31/07 26,552,797 26,346,556 206,241 0 912828AN0 G 3.000 912820HK6 11/15/07 50,619,528 47,214,889 3,404,639 26,600 912828EP1 X 4.250 912820ML8 11/30/07 26,666,931 26,663,887 3,044 800 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 27,152,209 16,100 0 9128273X8 B 5.500 912820CQ8 02/15/08 13,583,412 12,788,519 794,893 4,000 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 26,864,796 624,464 22,000 912828DK3 M 3.375 912820LG0 02/15/08 23,885,083 23,355,803 529,280 0 912828EY2 S 4.625 912820MV6 02/29/08 26,504,069 26,470,469 33,600 0 912828EZ9 T 4.625 912820MW4 03/31/08 26,841,568 26,770,668 70,900 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 24,976,877 2,214,084 0 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 32,156,946 1,181,500 3,400 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 26,255,761 451,920 0 912828FG0 V 4.875 912820ND5 05/31/08 25,933,459 25,784,659 148,800 0 912828FJ4 W 5.125 912820NF0 06/30/08 26,498,732 26,437,932 60,800 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 19,219,195 2,138,279 25,947 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 26,428,890 75,200 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 22,707,021 20,800 0 9128274V1 D 4.750 912820DK0 11/15/08 25,083,125 24,565,958 517,167 24,200 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,830,977 350,056 0 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,353,434 96,460 320 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 15,996,728 3,300 0 912828GB0 AC 4.750 912820NY9 12/31/08 24,816,923 24,448,923 368,000 0 912828BV1 D 3.250 912820JS7 01/15/09 16,002,546 15,924,946 77,600 0 912828GE4 V 4.875 912820PB7 01/31/09 22,976,157 22,976,157 0 0 912828BZ2 E 3.000 912820JW8 02/15/09 17,433,763 17,149,505 284,258 1,000 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 21,920,340 388,160 25,200 912828GJ3 W 4.750 912820PF8 02/28/09 23,037,728 23,037,728 0 0 912828CC2 F 2.625 912820JZ1 03/15/09 16,001,063 15,999,463 1,600 0 912828GL8 X 4.500 912820PH4 03/31/09 22,645,435 22,617,035 28,400 0 912828CE8 G 3.125 912820KB2 04/15/09 16,002,805 16,002,805 0 0 912828GP9 Y 4.500 912820PL5 04/30/09 22,779,141 22,779,141 0 0 9128275G3 B 5.500 912820DV6 05/15/09 14,794,790 14,663,390 131,400 800 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,525,592 534,345 8,200 912828FE5 S 4.875 912820NB9 05/15/09 27,380,356 27,219,956 160,400 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 25,849,217 1,550,677 34,100 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,761,284 533,402 0 912828FP0 T 4.875 912820NL7 08/15/09 23,420,414 23,351,614 68,800 0 912828CV0 M 3.375 912820KS5 09/15/09 15,005,079 15,005,079 0 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, APRIL 30, 2007 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held This Month Outstanding Unstripped FormStripped Form Treasury Notes, Continued: CUSIP: Series: Interest Rate: 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 18,150,748 601,180 8,600 912828FX3 U 4.625 912820NU7 11/15/09 24,772,846 24,526,446 246,400 0 912828DE7 Q 3.500 912820LB1 12/15/09 15,002,485 15,001,085 1,400 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 22,018,406 1,337,303 11,500 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,495,248 121,820 0 912828GG9 S 4.750 912820PD3 02/15/10 17,467,187 17,355,287 111,900 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 18,015,444 733,400 1,000 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 20,826,565 1,611,029 0 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,190,864 772,560 100,800 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 15,481,365 479,740 16,400 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 22,082,127 1,354,202 0 912828EX4 E 4.500 912820MU8 02/28/11 17,500,138 17,432,938 67,200 0 912828FA3 F 4.750 912820MX2 03/31/11 17,497,861 17,267,461 230,400 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 17,077,192 67,400 0 912828FK1 K 5.125 912820NG8 06/30/11 17,500,283 17,466,683 33,600 0 912828FN5 L 4.875 912820NK9 07/31/11 16,830,671 16,816,271 14,400 0 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 24,724,230 1,911,086 59,110 912828FS4 M 4.625 912820NP8 08/31/11 17,500,676 17,380,676 120,000 0 912828FU9 N 4.500 912820NR4 09/30/11 17,500,158 17,478,558 21,600 0 912828FW5 P 4.625 912820NT0 10/31/11 16,181,388 16,163,188 18,200 0 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,550 17,011,450 25,100 0 912828GC8 R 4.625 912820NZ6 12/31/11 16,131,258 16,126,458 4,800 0 912828GF1 F 4.750 912820PC5 01/31/12 14,930,221 14,929,421 800 0 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,481,408 1,298,430 94,400 912828GK0 G 4.625 912820PG6 02/29/12 16,636,927 16,633,727 3,200 0 912828GM6 H 4.500 912820PJ0 03/31/12 16,353,663 16,353,663 0 0 912828GQ7 K 4.500 912820PM3 04/30/12 16,450,467 16,450,467 0 0 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 17,976,084 1,671,892 61,920 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,164,898 947,844 16,800 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,972,796 525,600 230,555 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 17,401,087 852,466 1,600 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 33,101,543 419,580 20,000 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,804,646 832,198 36,000 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,624,066 457,000 17,950 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,909,471 393,510 3,600 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,494,434 227,200 36,800 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 25,011,836 460,700 2,400 912828DM9 B 4.000 912820LJ4 02/15/15 24,214,991 24,213,891 1,100 0 912828DV9 C 4.125 912820LS4 05/15/15 24,471,849 24,468,649 3,200 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 23,293,786 23,293,786 0 0 912828GH7 B 4.625 912820PE1 02/15/17 22,192,761 22,192,761 0 0 Total Treasury Notes..................................... 2,482,674,243 2,440,657,004 42,017,239 987,064 Grand Total............................................ 3,423,282,645 3,223,225,537 200,057,108 64,911,052