TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JUNE 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 2,858,504 2,156,780 27,200 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,363,283 2,157,016 431,560 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,467,895 556,021 747,960 912810DT2 9.875 912803AE3 11/15/15 5,584,859 3,793,008 1,791,851 731,200 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,303,072 128,682 953,800 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,607,669 1,215,882 299,400 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,031,785 1,755,663 1,609,980 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,945,072 4,614,097 842,760 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,914,166 2,054,192 902,600 912810EA2 9.125 912803AN3 05/15/18 6,717,439 4,008,975 2,708,464 1,183,400 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,433,229 3,741,241 647,500 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 9,106,084 3,984,414 858,600 912810ED6 8.125 912803AR4 08/15/19 18,940,932 16,733,982 2,206,950 1,460,380 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,746,465 1,729,803 512,800 912810EF1 8.750 912803AT0 05/15/20 7,582,183 3,578,439 4,003,744 942,720 912810EG9 8.750 912803AU7 08/15/20 17,059,306 13,814,039 3,245,267 1,334,280 912810EH7 7.875 912803AV5 02/15/21 10,075,573 8,951,059 1,124,514 454,400 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 5,301,484 4,765,304 749,000 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,516,189 990,193 963,340 912810EL8 8.000 912803AY9 11/15/21 30,632,194 15,238,885 15,393,309 2,846,900 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 7,808,320 2,319,470 2,615,400 912810EN4 7.625 912803BA0 11/15/22 7,423,626 4,112,468 3,311,158 3,133,000 912810EP9 7.125 912803BB8 02/15/23 15,782,061 12,381,429 3,400,632 1,716,130 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 20,831,039 1,828,005 3,141,756 912810ES3 7.500 912803BD4 11/15/24 9,604,162 2,946,525 6,657,637 610,740 912810ET1 7.625 912803BE2 02/15/25 9,509,170 5,374,893 4,134,277 1,277,224 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,075,066 4,112,141 757,680 912810EW4 6.000 912803BG7 02/15/26 12,837,916 11,982,992 854,924 1,256,700 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,727,088 3,083,330 1,853,433 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 5,035,730 5,824,447 1,059,600 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 5,244,012 4,277,959 2,871,525 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,441,687 3,755,069 823,000 912810FB9 6.125 912803BM4 11/15/27 22,021,339 7,586,607 14,434,732 3,587,800 912810FE3 5.500 912803BP7 08/15/28 11,776,201 9,975,869 1,800,332 723,800 912810FF0 5.250 912803BV4 11/15/28 10,947,052 8,596,252 2,350,800 3,283,923 912810FG8 5.250 912803BW2 02/15/29 11,350,341 9,904,645 1,445,696 1,051,600 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 6,947,543 4,231,037 918,400 912810FM5 6.250 912803CH4 05/15/30 17,043,162 6,477,868 10,565,294 4,200,200 912810FP8 5.375 912803CK7 02/15/31 16,427,648 13,946,948 2,480,700 2,660,300 912810FT0 4.500 912803CX9 02/15/36 26,397,130 15,335,913 11,061,217 9,326,833 912810PT9 4.750 912803CZ4 02/15/37 16,589,456 13,955,721 2,633,735 5,033,370 Total Treasury Bonds.................................... 516,287,878 361,401,899 154,885,979 70,402,194 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128273T7 A 3.625 912820CL9 01/15/08 21,503,317 21,375,409 127,908 0 9128274Y5 A 3.875 912820DN4 01/15/09 20,037,179 20,035,919 1,260 0 9128275W8 A 4.250 912820EK9 01/15/10 13,904,633 13,904,633 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 30,543,061 30,543,061 0 0 9128276R8 A 3.500 912820GA9 01/15/11 13,061,420 13,061,420 0 0 912828FB1 G 2.375 912820MY0 04/15/11 21,006,765 21,006,765 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,987,484 6,987,484 0 0 912828GN4 J 2.000 912820PK7 04/15/12 10,308,458 10,308,458 0 0 912828AF7 C 3.000 912820HC4 07/15/12 26,454,014 26,454,014 0 0 912828BD1 C 1.875 912820JA6 07/15/13 22,511,360 22,511,360 0 0 912828BW9 A 2.000 912820JT5 01/15/14 23,487,097 23,487,097 0 0 912828CP3 D 2.000 912820KL0 07/15/14 20,831,400 20,831,400 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,563,166 20,563,166 0 0 912828EA4 D 1.875 912820LX3 07/15/15 18,060,064 18,060,064 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,699,738 17,699,738 0 0 912828FL9 D 2.500 912820NH6 07/15/16 20,464,851 20,464,851 0 0 912828GD6 A 2.375 912820PA9 01/15/17 17,674,994 17,674,994 0 0 912810FR4 2.375 912803CN1 01/15/25 30,696,142 30,696,142 0 0 912810FS2 2.000 912803CW1 01/15/26 20,822,722 20,822,722 0 0 912810PS1 2.375 912803CY7 01/15/27 9,415,265 9,415,265 0 0 912810FD5 3.625 912803BN2 04/15/28 21,442,907 21,436,519 6,388 0 912810FH6 3.875 912803CF8 04/15/29 24,507,413 24,350,290 157,124 0 912810FQ6 3.375 912803CL5 04/15/32 5,835,144 5,835,144 0 0 Total Treasury Inflation-Protected Securities........... 437,818,594 437,525,914 292,680 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JUNE 30, 2007 -- Continued 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: CUSIP: Series: Interest Rate: 912828EB2 T 3.875 912820LY1 07/31/07 25,869,508 25,843,908 25,600 22,400 9128273E0 D 6.125 912820CA3 08/15/07 25,636,803 22,884,949 2,751,854 55,200 912828AH3 F 3.250 912820HE0 08/15/07 25,410,844 25,330,787 80,057 0 912828CR9 K 2.750 912820KN6 08/15/07 24,673,687 24,105,539 568,148 0 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 46,856,989 3,762,539 236,400 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 26,555,519 111,360 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 12,738,919 844,493 21,600 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 26,600,562 888,698 38,000 912828DK3 M 3.375 912820LG0 02/15/08 23,885,083 23,290,603 594,480 2,200 912828EY2 S 4.625 912820MV6 02/29/08 26,504,069 26,446,469 57,600 0 912828EZ9 T 4.625 912820MW4 03/31/08 26,841,568 26,748,268 93,300 0 912828FC9 U 4.875 912820MZ7 04/30/08 26,837,165 26,744,365 92,800 0 9128274F6 C 5.625 912820CY1 05/15/08 27,190,961 24,668,492 2,522,469 64,200 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 32,013,466 1,324,980 4,800 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 26,154,821 552,860 160 912828FG0 V 4.875 912820ND5 05/31/08 25,933,459 25,779,859 153,600 0 912828FJ4 W 5.125 912820NF0 06/30/08 26,498,732 26,415,532 83,200 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 19,174,834 2,182,640 49,800 912828EC0 P 4.125 912820LZ8 08/15/08 20,290,622 20,211,862 78,760 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 22,583,821 144,000 0 9128274V1 D 4.750 912820DK0 11/15/08 25,083,125 24,492,958 590,167 11,000 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,795,038 385,995 1,600 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,377,674 72,220 640 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 15,996,728 3,300 1,600 912828GB0 AC 4.750 912820NY9 12/31/08 24,816,923 24,424,923 392,000 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 22,958,557 17,600 0 912828BZ2 E 3.000 912820JW8 02/15/09 17,433,763 17,148,305 285,458 0 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 21,937,940 370,560 27,600 912828GJ3 W 4.750 912820PF8 02/28/09 23,037,728 23,034,528 3,200 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 22,278,518 499,200 298,000 9128275G3 B 5.500 912820DV6 05/15/09 14,794,790 14,664,190 130,600 1,600 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,181,832 878,105 42,400 912828FE5 S 4.875 912820NB9 05/15/09 27,380,356 27,133,556 246,800 0 912828GT1 Z 4.875 912820PQ4 05/31/09 22,486,466 22,433,666 52,800 0 912828CL2 J 4.000 912820KH9 06/15/09 15,004,754 14,984,354 20,400 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 25,405,317 1,994,577 48,400 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,707,584 587,102 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 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 17,593,948 1,157,980 111,000 912828FX3 U 4.625 912820NU7 11/15/09 24,772,846 24,511,146 261,700 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 14,973,777 30,920 0 9128275Z1 B 6.500 912820EM5 02/15/10 23,355,709 21,496,206 1,859,503 257,200 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,505,148 111,920 6,800 912828GG9 S 4.750 912820PD3 02/15/10 17,467,187 17,134,587 332,600 160,400 912828GR5 T 4.500 912820PN1 05/15/10 18,941,728 18,258,828 682,900 50,000 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 15,000,144 1,350 0 912828DU1 J 3.875 912820LR6 05/15/10 18,748,844 17,859,144 889,700 47,000 912828DX5 K 3.625 912820LU9 06/15/10 14,001,099 13,983,499 17,600 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 20,834,565 1,603,029 13,600 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,298,644 664,780 216,000 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 12,990,462 10,400 0 912828EM8 Q 4.500 912820MJ3 11/15/10 15,961,105 14,967,765 993,340 73,400 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JUNE 30, 2007 -- Continued 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: 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 22,097,527 1,338,802 62,360 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 17,204,261 293,600 0 912828FD7 H 4.875 912820NA1 04/30/11 17,501,477 17,429,477 72,000 0 912828FH8 J 4.875 912820NE3 05/31/11 17,144,592 17,040,592 104,000 1,600 912828FK1 K 5.125 912820NG8 06/30/11 17,500,283 17,455,483 44,800 0 912828FN5 L 4.875 912820NK9 07/31/11 16,830,671 16,230,671 600,000 99,320 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 24,702,070 1,933,246 100,480 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 17,474,958 25,200 0 912828FW5 P 4.625 912820NT0 10/31/11 16,181,388 16,014,308 167,080 0 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,550 17,005,850 30,700 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 14,917,421 12,800 0 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,470,138 1,309,700 139,200 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 16,320,063 33,600 0 912828GQ7 K 4.500 912820PM3 04/30/12 16,450,419 16,401,219 49,200 0 912828GU8 L 4.750 912820PR2 05/31/12 16,235,887 16,215,887 20,000 800 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 17,853,924 1,794,052 119,120 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,041,548 1,071,194 115,500 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,857,596 640,800 28,800 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 17,791,687 461,866 56,000 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 32,998,743 522,380 56,200 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,767,646 869,198 77,600 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,474,066 607,000 369,800 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,754,231 548,750 27,400 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,469,634 252,000 46,400 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 25,109,036 363,500 69,200 912828DM9 B 4.000 912820LJ4 02/15/15 24,214,991 24,213,741 1,250 0 912828DV9 C 4.125 912820LS4 05/15/15 24,471,849 24,467,049 4,800 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 25,586,541 25,586,541 0 0 Total Treasury Notes.................................... 2,444,266,174 2,397,984,153 46,282,021 3,232,780 Grand Total........................................... 3,398,372,646 3,196,911,966 201,460,680 73,634,974