TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, AUGUST 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 2,051,980 104,000 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,172,603 2,347,696 382,480 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,391,895 632,021 343,280 912810DT2 9.875 912803AE3 11/15/15 5,584,859 3,273,608 2,311,251 281,400 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,270,072 161,682 78,400 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,777,969 1,045,582 263,200 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,571,265 1,216,183 2,065,420 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,484,610 5,074,559 1,793,520 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 9,036,466 1,931,892 1,003,200 912810EA2 9.125 912803AN3 05/15/18 6,717,439 3,970,411 2,747,028 464,800 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,508,148 3,666,322 1,248,400 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 8,333,459 4,757,039 970,600 912810ED6 8.125 912803AR4 08/15/19 18,940,932 16,546,472 2,394,460 808,000 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,732,965 1,743,303 895,000 912810EF1 8.750 912803AT0 05/15/20 7,582,183 3,502,469 4,079,714 1,007,631 912810EG9 8.750 912803AU7 08/15/20 17,059,306 13,520,943 3,538,363 904,277 912810EH7 7.875 912803AV5 02/15/21 10,075,573 8,901,459 1,174,114 635,400 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 5,490,004 4,576,784 1,035,600 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,327,769 1,178,613 904,760 912810EL8 8.000 912803AY9 11/15/21 30,632,194 15,857,844 14,774,350 4,007,637 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,566,146 1,561,644 1,582,000 912810EN4 7.625 912803BA0 11/15/22 7,423,626 4,291,817 3,131,809 2,125,944 912810EP9 7.125 912803BB8 02/15/23 15,782,061 13,284,029 2,498,032 2,985,800 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 20,666,219 1,992,825 1,250,928 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,058,040 6,546,122 1,306,440 912810ET1 7.625 912803BE2 02/15/25 9,509,170 5,871,193 3,637,977 1,383,800 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,623,626 3,563,581 1,235,520 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,052,892 785,024 1,623,925 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,680,155 3,130,263 1,065,123 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 5,655,530 5,204,647 2,841,250 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,896,412 4,625,559 1,610,962 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,075,987 4,120,769 1,807,098 912810FB9 6.125 912803BM4 11/15/27 22,021,339 7,651,695 14,369,644 3,845,000 912810FE3 5.500 912803BP7 08/15/28 11,776,201 9,621,719 2,154,482 1,894,254 912810FF0 5.250 912803BV4 11/15/28 10,947,052 9,355,186 1,591,866 4,211,931 912810FG8 5.250 912803BW2 02/15/29 11,350,341 9,557,745 1,792,596 2,072,633 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 7,124,460 4,054,120 2,679,200 912810FM5 6.250 912803CH4 05/15/30 17,043,162 6,287,484 10,755,678 4,690,144 912810FP8 5.375 912803CK7 02/15/31 16,427,648 13,875,408 2,552,240 2,082,700 912810FT0 4.500 912803CX9 02/15/36 26,397,130 15,585,870 10,811,260 6,314,866 912810PT9 4.750 912803CZ4 02/15/37 16,589,456 13,639,756 2,949,700 5,706,621 912810PU6 5.000 912803DA8 05/15/37 13,846,152 12,268,712 1,577,440 64,200 Total Treasury Bonds.................................... 530,134,030 375,323,816 154,810,214 73,577,344 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128273T7 A 3.625 912820CL9 01/15/08 21,680,007 21,551,048 128,959 0 9128274Y5 A 3.875 912820DN4 01/15/09 20,201,769 20,200,499 1,270 0 9128275W8 A 4.250 912820EK9 01/15/10 14,018,862 14,018,862 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 30,793,953 30,793,953 0 0 9128276R8 A 3.500 912820GA9 01/15/11 13,168,680 13,168,680 0 0 912828FB1 G 2.375 912820MY0 04/15/11 21,179,284 21,179,284 0 0 9128277J5 A 3.375 912820GT8 01/15/12 7,044,885 7,044,885 0 0 912828GN4 J 2.000 912820PK7 04/15/12 10,393,187 10,393,187 0 0 912828AF7 C 3.000 912820HC4 07/15/12 26,671,301 26,671,301 0 0 912828BD1 C 1.875 912820JA6 07/15/13 22,696,437 22,696,437 0 0 912828BW9 A 2.000 912820JT5 01/15/14 23,679,891 23,679,891 0 0 912828CP3 D 2.000 912820KL0 07/15/14 21,002,610 21,002,610 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,732,087 20,732,087 0 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, AUGUST 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 18,208,472 18,208,472 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,845,262 17,845,262 0 0 912828FL9 D 2.500 912820NH6 07/15/16 20,633,055 20,633,055 0 0 912828GD6 A 2.375 912820PA9 01/15/17 17,820,233 17,820,233 0 0 912828GX2 D 2.625 912820PU5 07/15/17 8,041,523 8,041,523 0 0 912810FR4 2.375 912803CN1 01/15/25 30,948,429 30,948,429 0 0 912810FS2 2.000 912803CW1 01/15/26 20,993,923 20,993,923 0 0 912810PS1 2.375 912803CY7 01/15/27 17,027,917 17,027,917 0 0 912810FD5 3.625 912803BN2 04/15/28 21,618,966 21,612,525 6,441 0 912810FH6 3.875 912803CF8 04/15/29 24,708,816 24,550,401 158,415 0 912810FQ6 3.375 912803CL5 04/15/32 5,883,061 5,883,061 0 0 Total Treasury Inflation-Protected Securities........... 456,992,609 456,697,524 295,085 0 Treasury Notes: CUSIP: Series: Interest Rate: 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 46,661,269 3,958,259 65,000 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 26,558,719 108,160 3,200 912828EU0 R 4.375 912820MR5 01/31/08 27,168,309 27,157,009 11,300 4,800 9128273X8 B 5.500 912820CQ8 02/15/08 13,583,412 12,639,647 943,765 9,200 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 26,513,638 975,622 120,000 912828DK3 M 3.375 912820LG0 02/15/08 23,885,083 23,213,203 671,880 8,000 912828EY2 S 4.625 912820MV6 02/29/08 26,504,069 26,441,669 62,400 0 912828EZ9 T 4.625 912820MW4 03/31/08 26,841,568 26,747,168 94,400 500 912828FC9 U 4.875 912820MZ7 04/30/08 26,837,165 26,736,365 100,800 4,800 9128274F6 C 5.625 912820CY1 05/15/08 27,190,961 24,645,433 2,545,528 14,880 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 31,999,246 1,339,200 4,800 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 26,138,421 569,260 0 912828FG0 V 4.875 912820ND5 05/31/08 25,933,459 25,757,459 176,000 0 912828FJ4 W 5.125 912820NF0 06/30/08 26,498,732 26,410,732 88,000 0 912828FM7 X 5.000 912820NJ2 07/31/08 26,428,771 26,396,131 32,640 0 912828BG4 G 3.250 912820JD0 08/15/08 21,357,474 19,189,910 2,167,564 18,400 912828EC0 P 4.125 912820LZ8 08/15/08 20,290,622 20,145,082 145,540 28,200 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 24,483,335 16,000 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 22,579,021 148,800 0 9128274V1 D 4.750 912820DK0 11/15/08 25,083,125 24,468,071 615,054 4,600 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,778,038 402,995 0 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,344,214 105,680 3,200 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 22,942,557 33,600 0 912828BZ2 E 3.000 912820JW8 02/15/09 17,433,763 17,151,025 282,738 4,600 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 21,944,840 363,660 2,500 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 14,662,990 131,800 52,818 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,172,472 887,465 4,000 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 14,984,954 19,800 600 912828GV6 AA 4.875 912820PS0 06/30/09 22,020,929 22,009,729 11,200 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 21,888,225 21,885,025 3,200 0 9128275N8 C 6.000 912820EA1 08/15/09 27,399,894 25,215,617 2,184,277 15,800 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,639,944 654,742 19,300 912828FP0 T 4.875 912820NL7 08/15/09 23,420,414 23,351,614 68,800 0 912828HB9 AC 4.000 912820PY7 08/31/09 22,283,906 22,283,906 0 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 14,909,091 96,000 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, AUGUST 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 17,497,368 1,254,560 83,000 912828FX3 U 4.625 912820NU7 11/15/09 24,772,846 24,499,986 272,860 11,000 912828DE7 Q 3.500 912820LB1 12/15/09 15,002,485 14,998,835 3,650 1,140 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 21,245,806 2,109,903 2,800 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,497,648 119,420 4,000 912828GG9 S 4.750 912820PD3 02/15/10 17,467,187 17,084,087 383,100 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 14,757,444 244,050 0 912828DU1 J 3.875 912820LR6 05/15/10 18,748,844 17,868,344 880,500 35,400 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 20,712,165 1,725,429 43,400 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,237,244 726,180 55,300 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 12,959,262 41,600 0 912828EM8 Q 4.500 912820MJ3 11/15/10 15,961,105 14,854,405 1,106,700 352,040 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 22,024,727 1,411,602 21,320 912828EX4 E 4.500 912820MU8 02/28/11 17,500,138 17,419,338 80,800 0 912828FA3 F 4.750 912820MX2 03/31/11 17,497,861 17,069,061 428,800 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 17,035,792 108,800 1,600 912828FK1 K 5.125 912820NG8 06/30/11 17,500,283 17,362,683 137,600 0 912828FN5 L 4.875 912820NK9 07/31/11 16,830,671 16,213,071 617,600 1,600 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 24,589,430 2,045,886 109,880 912828FS4 M 4.625 912820NP8 08/31/11 17,500,676 17,374,276 126,400 0 912828FU9 N 4.500 912820NR4 09/30/11 17,500,158 17,442,558 57,600 0 912828FW5 P 4.625 912820NT0 10/31/11 16,181,388 16,014,228 167,160 4,800 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,550 16,987,050 49,500 9,600 912828GC8 R 4.625 912820NZ6 12/31/11 16,131,258 16,115,258 16,000 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 23,393,338 1,386,500 28,800 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 16,314,463 39,200 0 912828GQ7 K 4.500 912820PM3 04/30/12 16,450,419 16,397,619 52,800 4,000 912828GU8 L 4.750 912820PR2 05/31/12 16,235,887 16,129,487 106,400 800 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 15,803,679 15,803,679 0 0 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 17,742,864 1,905,112 34,400 912828HC7 P 4.125 912820PZ4 08/31/12 16,091,680 16,091,680 0 0 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 16,939,098 1,173,644 13,400 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,761,596 736,800 3,200 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 17,597,227 656,326 1,000 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 32,855,543 665,580 342,320 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,659,566 977,278 221,600 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,533,566 547,500 181,650 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,626,531 676,450 39,200 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,358,834 362,800 13,200 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 24,928,536 544,000 86,400 912828DM9 B 4.000 912820LJ4 02/15/15 24,214,991 24,213,341 1,650 0 912828DV9 C 4.125 912820LS4 05/15/15 24,471,849 24,457,449 14,400 51,200 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 912828HA1 E 4.750 912820PX9 08/15/17 20,000,093 20,000,093 0 0 Total Treasury Notes.................................... 2,449,996,035 2,403,099,483 46,896,552 2,147,248 Grand Total........................................... 3,437,122,674 3,235,120,823 202,001,851 75,724,592