TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 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 2,964,904 2,050,380 16,000 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,068,683 2,451,616 353,180 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,357,575 666,341 262,200 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,178,408 1,406,451 1,214,400 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,216,872 214,882 101,400 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,824,769 998,782 426,900 912810DX3 7.500 912803AK9 11/15/16 18,787,448 16,868,465 1,918,983 968,760 912810DY1 8.750 912803AL7 05/15/17 15,559,169 11,068,492 4,490,677 1,010,600 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,747,366 2,220,992 1,233,000 912810EA2 9.125 912803AN3 05/15/18 6,717,439 3,972,611 2,744,828 935,600 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,156,829 4,017,641 786,300 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 9,116,684 3,973,814 1,008,800 912810ED6 8.125 912803AR4 08/15/19 18,940,932 17,025,362 1,915,570 504,400 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,779,465 1,696,803 325,400 912810EF1 8.750 912803AT0 05/15/20 7,582,183 3,096,679 4,485,504 643,840 912810EG9 8.750 912803AU7 08/15/20 17,059,306 13,529,959 3,529,347 1,417,120 912810EH7 7.875 912803AV5 02/15/21 10,075,573 8,941,659 1,133,914 1,450,600 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 5,438,404 4,628,384 597,645 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,460,089 1,046,293 1,762,560 912810EL8 8.000 912803AY9 11/15/21 30,632,194 15,267,794 15,364,400 1,904,000 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 7,117,920 3,009,870 1,365,700 912810EN4 7.625 912803BA0 11/15/22 7,423,626 4,495,668 2,927,958 2,297,600 912810EP9 7.125 912803BB8 02/15/23 15,782,061 12,689,529 3,092,532 2,635,774 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 20,448,783 2,210,261 2,927,492 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,024,685 6,579,477 409,500 912810ET1 7.625 912803BE2 02/15/25 9,509,170 5,283,869 4,225,301 904,400 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,333,586 3,853,621 837,800 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,256,592 581,324 1,607,520 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,517,355 3,293,063 634,000 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 4,914,330 5,945,847 957,400 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,323,212 5,198,759 1,616,600 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,354,997 3,841,759 873,200 912810FB9 6.125 912803BM4 11/15/27 22,021,339 7,269,507 14,751,832 2,143,400 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,032,269 1,743,932 827,600 912810FF0 5.250 912803BV4 11/15/28 10,947,052 8,449,396 2,497,656 2,940,000 912810FG8 5.250 912803BW2 02/15/29 11,350,341 10,139,245 1,211,096 981,000 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 7,367,543 3,811,037 618,400 912810FM5 6.250 912803CH4 05/15/30 17,043,162 6,547,508 10,495,654 4,872,568 912810FP8 5.375 912803CK7 02/15/31 16,427,648 14,294,148 2,133,500 2,074,600 912810FT0 4.500 912803CX9 02/15/36 26,397,130 14,461,130 11,936,000 10,069,478 912810PT9 4.750 912803CZ4 02/15/37 16,589,456 14,172,556 2,416,900 6,110,600 Total Treasury Bonds..................................... 516,287,878 359,574,897 156,712,981 64,627,337 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128273T7 A 3.625 912820CL9 01/15/08 21,362,941 21,235,868 127,073 0 9128274Y5 A 3.875 912820DN4 01/15/09 19,906,303 19,905,051 1,252 0 9128275W8 A 4.250 912820EK9 01/15/10 13,813,839 13,813,839 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 30,343,691 30,343,691 0 0 9128276R8 A 3.500 912820GA9 01/15/11 12,976,052 12,976,052 0 0 912828FB1 G 2.375 912820MY0 04/15/11 20,869,557 20,869,557 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,941,912 6,941,912 0 0 912828GN4 J 2.000 912820PK7 04/15/12 10,241,141 10,241,141 0 0 912828AF7 C 3.000 912820HC4 07/15/12 26,281,151 26,281,151 0 0 912828BD1 C 1.875 912820JA6 07/15/13 22,364,499 22,364,499 0 0 912828BW9 A 2.000 912820JT5 01/15/14 23,333,575 23,333,575 0 0 912828CP3 D 2.000 912820KL0 07/15/14 20,695,344 20,695,344 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,429,017 20,429,017 0 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 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: 912828EA4 D 1.875 912820LX3 07/15/15 17,942,085 17,942,085 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,584,304 17,584,304 0 0 912828FL9 D 2.500 912820NH6 07/15/16 20,331,248 20,331,248 0 0 912828GD6 A 2.375 912820PA9 01/15/17 17,559,597 17,559,597 0 0 912810FR4 2.375 912803CN1 01/15/25 30,495,656 30,495,656 0 0 912810FS2 2.000 912803CW1 01/15/26 20,686,921 20,686,921 0 0 912810PS1 2.375 912803CY7 01/15/27 9,353,794 9,353,794 0 0 912810FD5 3.625 912803BN2 04/15/28 21,302,765 21,296,419 6,346 0 912810FH6 3.875 912803CF8 04/15/29 24,347,539 24,191,440 156,099 0 912810FQ6 3.375 912803CL5 04/15/32 5,797,051 5,797,051 0 0 Total Treasury Inflation-Protected Securities............ 434,959,981 434,669,211 290,770 0 Treasury Notes: CUSIP: Series: Interest Rate: 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 22,858,625 2,778,178 33,600 912828AH3 F 3.250 912820HE0 08/15/07 25,410,844 25,338,987 71,857 0 912828CR9 K 2.750 912820KN6 08/15/07 24,673,687 24,106,539 567,148 1,600 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 46,835,289 3,784,239 199,000 912828EP1 X 4.250 912820ML8 11/30/07 26,666,931 26,663,887 3,044 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 27,152,209 16,100 0 9128273X8 B 5.500 912820CQ8 02/15/08 13,583,412 12,744,468 838,944 48,000 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 26,662,294 826,966 10,000 912828DK3 M 3.375 912820LG0 02/15/08 23,885,083 23,295,003 590,080 1,600 912828EY2 S 4.625 912820MV6 02/29/08 26,504,069 26,457,669 46,400 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 24,802,394 2,388,567 6,800 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 32,137,666 1,200,780 6,600 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 26,190,301 517,380 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 19,152,095 2,205,379 17,200 912828EC0 P 4.125 912820LZ8 08/15/08 20,290,622 20,218,162 72,460 3,200 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 24,536,458 546,667 17,600 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,805,377 375,656 25,600 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,378,074 71,820 24,640 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 15,995,128 4,900 0 912828GB0 AC 4.750 912820NY9 12/31/08 24,816,923 24,445,723 371,200 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 22,958,557 17,600 0 912828BZ2 E 3.000 912820JW8 02/15/09 17,433,763 17,148,905 284,858 2,000 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 21,911,140 397,360 14,000 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 22,645,535 22,617,135 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 22,777,718 22,777,718 0 0 9128275G3 B 5.500 912820DV6 05/15/09 14,794,790 14,662,590 132,200 0 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,376,612 683,325 12,800 912828FE5 S 4.875 912820NB9 05/15/09 27,380,356 27,135,156 245,200 62,400 912828GT1 Z 4.875 912820PQ4 05/31/09 22,488,191 22,488,191 0 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 14,772,962 232,000 0 9128275N8 C 6.000 912820EA1 08/15/09 27,399,894 25,923,717 1,476,177 121,800 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,758,884 535,802 2,000 912828FP0 T 4.875 912820NL7 08/15/09 23,420,414 23,351,614 68,800 1,600 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 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 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: 912828DB3 P 3.500 912820KY2 11/15/09 18,751,928 17,838,648 913,280 56,800 912828FX3 U 4.625 912820NU7 11/15/09 24,772,846 24,521,646 251,200 3,200 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 14,978,177 26,520 0 9128275Z1 B 6.500 912820EM5 02/15/10 23,355,709 21,847,006 1,508,703 173,200 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,503,548 113,520 15,200 912828GG9 S 4.750 912820PD3 02/15/10 17,467,187 17,355,287 111,900 0 912828GR5 T 4.500 912820PN1 05/15/10 18,941,728 18,641,728 300,000 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 15,000,144 1,350 0 912828DU1 J 3.875 912820LR6 05/15/10 18,748,844 17,907,744 841,100 3,200 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 20,828,165 1,609,429 13,600 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,307,664 655,760 268,800 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 12,990,462 10,400 0 912828EM8 Q 4.500 912820MJ3 11/15/10 15,961,105 15,435,965 525,140 33,600 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 22,095,447 1,340,882 61,300 912828EX4 E 4.500 912820MU8 02/28/11 17,500,138 17,425,338 74,800 0 912828FA3 F 4.750 912820MX2 03/31/11 17,497,861 17,258,661 239,200 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 17,051,792 92,800 200 912828FK1 K 5.125 912820NG8 06/30/11 17,500,283 17,465,083 35,200 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 24,702,690 1,932,626 162,200 912828FS4 M 4.625 912820NP8 08/31/11 17,500,676 17,377,476 123,200 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 16,020,988 160,400 0 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,550 17,009,850 26,700 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 23,610,938 1,168,900 315,600 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 16,347,263 6,400 0 912828GQ7 K 4.500 912820PM3 04/30/12 16,450,419 16,424,019 26,400 0 912828GU8 L 4.750 912820PR2 05/31/12 16,235,885 16,235,885 0 0 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 17,883,904 1,764,072 49,360 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,124,548 988,194 203,000 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,939,196 559,200 30,400 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 17,849,087 404,466 500,800 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 33,117,743 403,380 95,000 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,804,646 832,198 77,400 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,623,516 457,550 2,100 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,814,231 488,750 19,200 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,483,234 238,400 17,600 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 25,344,536 128,000 355,300 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 912828GS3 C 4.500 912820PP6 05/15/17 17,586,428 17,586,428 0 0 Total Treasury Notes..................................... 2,462,932,035 2,422,035,203 40,896,832 3,069,100 Grand Total............................................ 3,414,179,894 3,216,279,311 197,900,583 67,696,437