TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JULY 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 2,963,304 2,051,980 104,800 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,277,883 2,242,416 80,360 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,394,535 629,381 490,040 912810DT2 9.875 912803AE3 11/15/15 5,584,859 3,594,808 1,990,051 62,000 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,300,472 131,282 327,000 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,579,769 1,243,782 57,200 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,107,025 1,680,423 1,532,740 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,668,370 4,890,799 850,889 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,925,966 2,042,392 658,400 912810EA2 9.125 912803AN3 05/15/18 6,717,439 4,032,011 2,685,428 1,297,000 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,330,748 3,843,722 145,919 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 9,018,859 4,071,639 467,775 912810ED6 8.125 912803AR4 08/15/19 18,940,932 16,582,042 2,358,890 889,700 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,764,965 1,711,303 106,400 912810EF1 8.750 912803AT0 05/15/20 7,582,183 3,941,569 3,640,614 760,050 912810EG9 8.750 912803AU7 08/15/20 17,059,306 13,688,963 3,370,343 382,824 912810EH7 7.875 912803AV5 02/15/21 10,075,573 8,994,259 1,081,314 370,600 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 5,556,404 4,510,384 336,600 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,676,389 829,993 775,920 912810EL8 8.000 912803AY9 11/15/21 30,632,194 15,917,344 14,714,850 2,538,350 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,274,046 1,853,744 875,600 912810EN4 7.625 912803BA0 11/15/22 7,423,626 4,360,117 3,063,509 1,863,449 912810EP9 7.125 912803BB8 02/15/23 15,782,061 12,263,729 3,518,332 2,135,533 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 20,695,455 1,963,589 2,436,952 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,352,740 6,251,422 1,190,695 912810ET1 7.625 912803BE2 02/15/25 9,509,170 5,371,093 4,138,077 400,600 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,264,346 3,922,861 844,280 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,117,092 720,824 2,213,800 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,912,955 2,897,463 654,867 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 4,879,630 5,980,547 796,500 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 5,202,612 4,319,359 1,513,398 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,427,587 3,769,169 538,600 912810FB9 6.125 912803BM4 11/15/27 22,021,339 7,190,895 14,830,444 3,247,688 912810FE3 5.500 912803BP7 08/15/28 11,776,201 9,787,219 1,988,982 2,214,850 912810FF0 5.250 912803BV4 11/15/28 10,947,052 8,922,686 2,024,366 3,965,767 912810FG8 5.250 912803BW2 02/15/29 11,350,341 10,035,045 1,315,296 1,318,500 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 6,940,460 4,238,120 2,160,263 912810FM5 6.250 912803CH4 05/15/30 17,043,162 6,111,516 10,931,646 5,317,496 912810FP8 5.375 912803CK7 02/15/31 16,427,648 13,971,508 2,456,140 1,505,000 912810FT0 4.500 912803CX9 02/15/36 26,397,130 15,410,670 10,986,460 10,095,989 912810PT9 4.750 912803CZ4 02/15/37 16,589,456 13,841,756 2,747,700 6,690,435 Total Treasury Bonds.................................... 516,287,878 362,648,842 153,639,036 64,214,829 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128273T7 A 3.625 912820CL9 01/15/08 21,635,120 21,506,428 128,692 0 9128274Y5 A 3.875 912820DN4 01/15/09 20,159,946 20,158,678 1,268 0 9128275W8 A 4.250 912820EK9 01/15/10 13,989,880 13,989,880 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 30,730,390 30,730,390 0 0 9128276R8 A 3.500 912820GA9 01/15/11 13,141,508 13,141,508 0 0 912828FB1 G 2.375 912820MY0 04/15/11 21,135,499 21,135,499 0 0 9128277J5 A 3.375 912820GT8 01/15/12 7,030,355 7,030,355 0 0 912828GN4 J 2.000 912820PK7 04/15/12 10,371,726 10,371,726 0 0 912828AF7 C 3.000 912820HC4 07/15/12 26,616,058 26,616,058 0 0 912828BD1 C 1.875 912820JA6 07/15/13 22,649,417 22,649,417 0 0 912828BW9 A 2.000 912820JT5 01/15/14 23,630,958 23,630,958 0 0 912828CP3 D 2.000 912820KL0 07/15/14 20,959,095 20,959,095 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,689,334 20,689,334 0 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JULY 31, 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 Inflation-Protected Securities, Continued: CUSIP: Series: Interest Rate: 912828EA4 D 1.875 912820LX3 07/15/15 18,170,732 18,170,732 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,808,371 17,808,371 0 0 912828FL9 D 2.500 912820NH6 07/15/16 20,590,454 20,590,454 0 0 912828GD6 A 2.375 912820PA9 01/15/17 17,783,320 17,783,320 0 0 912828GX2 D 2.625 912820PU5 07/15/17 8,024,963 8,024,963 0 0 912810FR4 2.375 912803CN1 01/15/25 30,884,307 30,884,307 0 0 912810FS2 2.000 912803CW1 01/15/26 20,950,523 20,950,523 0 0 912810PS1 2.375 912803CY7 01/15/27 16,984,977 16,984,977 0 0 912810FD5 3.625 912803BN2 04/15/28 21,574,322 21,567,895 6,427 0 912810FH6 3.875 912803CF8 04/15/29 24,657,734 24,499,647 158,088 0 912810FQ6 3.375 912803CL5 04/15/32 5,870,881 5,870,881 0 0 Total Treasury Inflation-Protected Securities........... 456,039,870 455,745,395 294,474 0 Treasury Notes: CUSIP: Series: Interest Rate: 9128273E0 D 6.125 912820CA3 08/15/07 25,636,803 22,886,749 2,750,054 50,000 912828AH3 F 3.250 912820HE0 08/15/07 25,410,844 25,322,787 88,057 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 46,873,589 3,745,939 97,800 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 12,711,748 871,664 21,600 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 26,540,355 948,905 120,600 912828DK3 M 3.375 912820LG0 02/15/08 23,885,083 23,289,003 596,080 0 912828EY2 S 4.625 912820MV6 02/29/08 26,504,069 26,446,469 57,600 3,200 912828EZ9 T 4.625 912820MW4 03/31/08 26,841,568 26,746,668 94,900 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 24,663,431 2,527,530 11,920 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 31,998,246 1,340,200 6,400 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 26,153,461 554,220 0 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 19,250,818 2,106,656 116,400 912828EC0 P 4.125 912820LZ8 08/15/08 20,290,622 20,183,762 106,860 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 22,583,821 144,000 0 9128274V1 D 4.750 912820DK0 11/15/08 25,083,125 24,481,558 601,567 8,800 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,791,838 389,195 0 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,366,074 83,820 0 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 24,424,923 392,000 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 22,947,357 28,800 0 912828BZ2 E 3.000 912820JW8 02/15/09 17,433,763 17,146,925 286,838 0 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 21,946,340 362,160 8,400 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 22,263,318 514,400 0 9128275G3 B 5.500 912820DV6 05/15/09 14,794,790 14,664,190 130,600 0 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,175,672 884,265 1,600 912828FE5 S 4.875 912820NB9 05/15/09 27,380,356 27,008,576 371,780 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 912828GV6 AA 4.875 912820PS0 06/30/09 22,020,929 22,020,929 0 0 912828CN8 K 3.625 912820KK2 07/15/09 15,004,962 14,772,962 232,000 0 912828GY0 AB 4.625 912820PV3 07/31/09 21,889,537 21,889,537 0 0 9128275N8 C 6.000 912820EA1 08/15/09 27,399,894 25,248,017 2,151,877 0 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,677,404 617,282 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 14,921,891 83,200 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JULY 31, 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: 912828DB3 P 3.500 912820KY2 11/15/09 18,751,928 17,505,068 1,246,860 0 912828FX3 U 4.625 912820NU7 11/15/09 24,772,846 24,504,246 268,600 4,800 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 14,973,577 31,120 0 9128275Z1 B 6.500 912820EM5 02/15/10 23,355,709 21,411,806 1,943,903 5,600 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,503,248 113,820 4,000 912828GG9 S 4.750 912820PD3 02/15/10 17,467,187 17,084,087 383,100 2,400 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 14,812,094 189,400 0 912828DU1 J 3.875 912820LR6 05/15/10 18,748,844 17,872,544 876,300 46,400 912828GR5 T 4.500 912820PN1 05/15/10 18,941,728 18,187,648 754,080 0 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 13,000,249 280 0 9128276J6 C 5.750 912820FT9 08/15/10 22,437,594 20,696,765 1,740,829 5,600 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,194,064 769,360 3,200 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 14,729,265 1,231,840 37,200 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 22,054,327 1,382,002 560 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 17,423,077 78,400 0 912828FH8 J 4.875 912820NE3 05/31/11 17,144,592 17,037,392 107,200 0 912828FK1 K 5.125 912820NG8 06/30/11 17,500,283 17,437,883 62,400 0 912828FN5 L 4.875 912820NK9 07/31/11 16,830,671 16,211,471 619,200 0 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 24,627,930 2,007,386 32,480 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 17,454,958 45,200 0 912828FW5 P 4.625 912820NT0 10/31/11 16,181,388 16,015,908 165,480 8,000 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,550 17,005,450 31,100 800 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 14,906,221 24,000 0 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,428,538 1,351,300 107,200 912828GK0 G 4.625 912820PG6 02/29/12 16,636,927 16,632,127 4,800 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 16,215,087 20,800 0 912828GW4 M 4.875 912820PT8 06/30/12 15,903,423 15,897,023 6,400 0 912828GZ7 N 4.625 912820PW1 07/31/12 15,803,818 15,803,818 0 0 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 17,796,964 1,851,012 15,040 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,024,298 1,088,444 125,550 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,798,396 700,000 60,800 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 17,651,107 602,446 82,200 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 32,854,543 666,580 98,400 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,754,366 882,478 103,200 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,447,016 634,050 299,300 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,714,531 588,450 1,600 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,444,834 276,800 0 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 24,961,736 510,800 153,100 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 24,465,449 6,400 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 22,191,161 1,600 0 912828GS3 C 4.500 912820PP6 05/15/17 25,586,541 25,586,541 0 0 Total Treasury Notes.................................... 2,494,014,373 2,445,459,187 48,555,186 1,647,350 Grand Total........................................... 3,466,342,121 3,263,853,424 202,488,696 65,862,179