TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 2008 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held in This Month Outstanding Unstripped Form Stripped Form Treasury Bonds: CUSIP: Interest Rate: 912810DN5 11.750 912800AA7 11/15/14 5,015,284 2,885,704 2,129,580 7,000 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,789,043 1,731,256 67,560 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,482,095 541,821 3,520 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,280,708 1,304,151 75,000 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,333,972 97,782 13,000 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,684,669 1,138,882 110,200 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,522,229 1,265,219 561,784 912810DY1 8.750 912803AL7 05/15/17 15,559,169 11,401,810 4,157,359 644,657 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 9,310,966 1,657,392 89,600 912810EA2 9.125 912803AN3 05/15/18 6,717,439 4,405,111 2,312,328 439,926 912810EB0 9.000 912803AP8 11/15/18 7,174,470 4,385,828 2,788,642 1,198,511 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 9,058,679 4,031,819 1,103,160 912810ED6 8.125 912803AR4 08/15/19 18,940,932 16,454,573 2,486,359 512,349 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,445,065 2,031,203 739,488 912810EF1 8.750 912803AT0 05/15/20 7,582,183 3,548,209 4,033,974 1,044,600 912810EG9 8.750 912803AU7 08/15/20 17,059,306 11,834,067 5,225,239 1,044,600 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,053,859 1,021,714 419,600 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 5,064,524 5,002,264 390,000 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,557,369 949,013 252,056 912810EL8 8.000 912803AY9 11/15/21 30,632,194 13,753,094 16,879,100 906,900 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 7,753,026 2,374,764 600,320 912810EN4 7.625 912803BA0 11/15/22 7,423,626 4,620,217 2,803,409 920,600 912810EP9 7.125 912803BB8 02/15/23 15,782,061 12,752,469 3,029,592 856,000 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 21,747,863 911,181 2,149,640 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,593,920 6,010,242 886,680 912810ET1 7.625 912803BE2 02/15/25 9,509,170 5,188,013 4,321,157 927,080 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,311,966 3,875,241 486,430 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,466,592 371,324 369,800 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,476,215 3,334,203 805,520 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 5,073,130 5,787,047 225,200 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,664,632 4,857,339 924,798 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,587,087 3,609,669 551,600 912810FB9 6.125 912803BM4 11/15/27 22,021,339 7,785,195 14,236,144 1,537,520 912810FE3 5.500 912803BP7 08/15/28 11,776,201 9,906,319 1,869,882 217,200 912810FF0 5.250 912803BV4 11/15/28 10,947,052 9,050,186 1,896,866 1,577,333 912810FG8 5.250 912803BW2 02/15/29 11,350,341 10,172,845 1,177,496 600,000 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 7,197,660 3,980,920 529,800 912810FM5 6.250 912803CH4 05/15/30 17,043,162 6,071,500 10,971,662 1,049,656 912810FP8 5.375 912803CK7 02/15/31 16,427,648 13,971,888 2,455,760 973,600 912810FT0 4.500 912803CX9 02/15/36 26,397,130 15,103,230 11,293,900 1,151,600 912810PT9 4.750 912803CZ4 02/15/37 16,589,456 11,058,356 5,531,100 2,919,600 912810PU6 5.000 912803DA8 05/15/37 21,413,045 14,178,165 7,234,880 3,595,760 912810PW2 4.375 912803DC4 02/15/38 22,525,149 19,274,269 3,250,880 229,200 Total Treasury Bonds.................................... 560,226,072 394,256,317 165,969,755 33,708,448 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128274Y5 A 3.875 912820DN4 01/15/09 20,693,471 20,692,170 1,301 0 9128275W8 A 4.250 912820EK9 01/15/10 14,359,962 14,359,962 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 31,543,550 31,543,550 0 0 9128276R8 A 3.500 912820GA9 01/15/11 13,489,140 13,489,140 0 0 912828FB1 G 2.375 912820MY0 04/15/11 21,694,622 21,694,622 0 0 9128277J5 A 3.375 912820GT8 01/15/12 7,216,368 7,216,368 0 0 912828GN4 J 2.000 912820PK7 04/15/12 18,174,015 18,174,015 0 0 912828AF7 C 3.000 912820HC4 07/15/12 27,320,400 27,320,400 0 0 912828HW3 J 0.625 912820QT7 04/15/13 8,686,038 8,686,038 0 0 912828BD1 C 1.875 912820JA6 07/15/13 23,248,666 23,248,666 0 0 912828BW9 A 2.000 912820JT5 01/15/14 24,256,384 24,256,384 0 0 912828CP3 D 2.000 912820KL0 07/15/14 21,513,771 21,513,771 0 0 912828DH0 A 1.625 912820LE5 01/15/15 21,236,760 21,236,760 0 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 2008 -- Continued Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held in This Month Outstanding Unstripped Form Stripped Form Treasury Inflation-Protected Securities, Continued: CUSIP: Series: Interest Rate: 912828EA4 D 1.875 912820LX3 07/15/15 18,651,656 18,651,656 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 18,279,455 18,279,455 0 0 912828FL9 D 2.500 912820NH6 07/15/16 21,135,266 21,135,266 0 0 912828GD6 A 2.375 912820PA9 01/15/17 18,253,880 18,253,880 0 0 912828GX2 D 2.625 912820PU5 07/15/17 14,413,773 14,413,773 0 0 912828HN3 A 1.625 912820QK6 01/15/18 16,723,425 16,723,425 0 0 912810FR4 2.375 912803CN1 01/15/25 31,701,650 31,701,650 0 0 912810FS2 2.000 912803CW1 01/15/26 21,504,726 21,504,726 0 0 912810PS1 2.375 912803CY7 01/15/27 17,442,283 17,442,283 0 0 912810PV4 1.750 912803DB6 01/15/28 9,141,889 9,141,889 0 0 912810FD5 3.625 912803BN2 04/15/28 22,145,128 22,138,531 6,597 0 912810FH6 3.875 912803CF8 04/15/29 25,310,101 25,147,831 162,270 0 912810FQ6 3.375 912803CL5 04/15/32 6,026,260 6,026,260 0 0 Total Treasury Inflation-Protected Securities ......... 494,162,640 493,992,471 170,169 0 Treasury Notes: CUSIP: Series: Interest Rate: 912828FJ4 W 5.125 912820NF0 06/30/08 26,498,732 26,441,132 57,600 25,600 912828FM7 X 5.000 912820NJ2 07/31/08 26,428,771 26,393,331 35,440 3,680 912828BG4 G 3.250 912820JD0 08/15/08 21,357,474 18,928,073 2,429,401 73,600 912828EC0 P 4.125 912820LZ8 08/15/08 20,290,622 19,689,108 601,514 33,120 912828FR6 Y 4.875 912820NN3 08/31/08 26,504,090 26,420,890 83,200 0 912828BK5 H 3.125 912820JG3 09/15/08 16,002,177 15,974,721 27,456 0 912828FT2 Z 4.625 912820NQ6 09/30/08 24,499,335 24,465,735 33,600 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 22,548,621 179,200 0 9128274V1 D 4.750 912820DK0 11/15/08 25,083,125 24,112,901 970,224 38,839 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,776,869 404,164 14,400 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,365,114 84,780 1,200 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 15,993,628 6,400 100 912828GB0 AC 4.750 912820NY9 12/31/08 24,816,923 24,374,523 442,400 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 22,934,557 41,600 0 912828BZ2 E 3.000 912820JW8 02/15/09 17,433,763 17,129,235 304,528 0 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 21,724,100 584,400 1,200 912828GJ3 W 4.750 912820PF8 02/28/09 23,037,728 23,016,928 20,800 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 22,599,935 45,600 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 22,234,918 542,800 0 9128275G3 B 5.500 912820DV6 05/15/09 14,794,790 14,672,190 122,600 0 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,177,892 882,045 0 912828FE5 S 4.875 912820NB9 05/15/09 27,380,356 26,966,961 413,395 0 912828GT1 Z 4.875 912820PQ4 05/31/09 22,486,466 22,398,466 88,000 0 912828CL2 J 4.000 912820KH9 06/15/09 15,004,754 14,984,954 19,800 0 912828GV6 AA 4.875 912820PS0 06/30/09 22,020,929 21,974,529 46,400 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 21,881,825 6,400 0 9128275N8 C 6.000 912820EA1 08/15/09 27,399,894 25,190,363 2,209,531 14,400 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,625,444 669,242 0 912828FP0 T 4.875 912820NL7 08/15/09 23,420,414 23,346,574 73,840 0 912828HB9 AC 4.000 912820PY7 08/31/09 22,281,806 22,258,406 23,400 0 912828CV0 M 3.375 912820KS5 09/15/09 15,005,079 15,000,279 4,800 0 912828HD5 AD 4.000 912820QA8 09/30/09 21,968,662 21,946,162 22,500 0 912828CX6 N 3.375 912820KU0 10/15/09 15,005,091 14,888,291 116,800 0 912828HF0 AE 3.625 912820QC4 10/31/09 23,865,875 23,856,275 9,600 0 912828DB3 P 3.500 912820KY2 11/15/09 18,751,928 17,459,868 1,292,060 236,000 912828FX3 U 4.625 912820NU7 11/15/09 24,772,846 24,437,506 335,340 0 912828HJ2 AF 3.125 912820QF7 11/30/09 24,544,183 24,543,415 768 0 912828DE7 Q 3.500 912820LB1 12/15/09 15,002,485 14,994,035 8,450 0 912828HL7 AG 3.250 912820QH3 12/31/09 26,497,461 26,497,461 0 0 912828DG2 E 3.625 912820LD7 01/15/10 15,004,697 14,359,177 645,520 0 912828HP8 U 2.125 912820QL4 01/31/10 26,920,054 26,908,854 11,200 0 9128275Z1 B 6.500 912820EM5 02/15/10 23,355,709 21,211,406 2,144,303 0 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,494,748 122,320 0 912828GG9 S 4.750 912820PD3 02/15/10 17,467,187 17,079,987 387,200 0 912828HS2 V 2.000 912820QP5 02/28/10 28,899,918 28,898,118 1,800 0 912828DP2 G 4.000 912820LL9 03/15/10 15,005,048 15,002,848 2,200 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 2008 -- Continued Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held in This Month Outstanding Unstripped Form Stripped Form Treasury Notes, Continued: CUSIP: Series: Interest Rate: 912828HU7 W 1.750 912820QR1 03/31/10 31,992,124 31,992,124 0 0 912828DR8 H 4.000 912820LN5 04/15/10 15,001,494 14,745,994 255,500 0 912828HX1 X 2.125 912820QU4 04/30/10 32,752,312 32,752,312 0 0 912828DU1 J 3.875 912820LR6 05/15/10 18,748,844 17,863,444 885,400 0 912828GR5 T 4.500 912820PN1 05/15/10 18,941,728 18,186,848 754,880 0 912828DX5 K 3.625 912820LU9 06/15/10 14,001,099 13,980,299 20,800 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 20,912,265 1,525,329 5,400 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,306,964 656,460 0 912828EG1 N 3.875 912820MD6 09/15/10 13,000,827 12,778,427 222,400 0 912828EJ5 P 4.250 912820MF1 10/15/10 13,000,862 12,936,062 64,800 0 912828EM8 Q 4.500 912820MJ3 11/15/10 15,961,105 14,863,305 1,097,800 400 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 22,051,667 1,384,662 16,000 912828EX4 E 4.500 912820MU8 02/28/11 17,500,138 17,416,938 83,200 0 912828FA3 F 4.750 912820MX2 03/31/11 17,497,861 17,049,061 448,800 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 16,803,792 340,800 1,600 912828FK1 K 5.125 912820NG8 06/30/11 17,500,283 17,335,483 164,800 0 912828FN5 L 4.875 912820NK9 07/31/11 16,830,671 16,200,271 630,400 1,600 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 24,789,850 1,845,466 289,000 912828FS4 M 4.625 912820NP8 08/31/11 17,500,676 17,335,876 164,800 0 912828FU9 N 4.500 912820NR4 09/30/11 17,500,158 17,379,758 120,400 0 912828FW5 P 4.625 912820NT0 10/31/11 16,181,388 15,980,188 201,200 3,600 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,550 16,952,250 84,300 0 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 14,903,821 26,400 0 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,541,978 1,237,860 3,040 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 16,289,663 64,000 0 912828GQ7 K 4.500 912820PM3 04/30/12 16,450,419 16,397,619 52,800 0 912828GU8 L 4.750 912820PR2 05/31/12 16,235,887 16,128,687 107,200 0 912828GW4 M 4.875 912820PT8 06/30/12 15,903,423 15,885,823 17,600 0 912828GZ7 N 4.625 912820PW1 07/31/12 15,803,679 15,742,879 60,800 0 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 17,740,904 1,907,072 32,320 912828HC7 P 4.125 912820PZ4 08/31/12 16,091,100 16,089,500 1,600 0 912828HE3 Q 4.250 912820QB6 09/30/12 15,873,928 15,873,928 0 0 912828HG8 R 3.875 912820QD2 10/31/12 15,509,891 15,498,691 11,200 0 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 16,953,248 1,159,494 56,600 912828HK9 S 3.375 912820QG5 11/30/12 15,953,078 15,953,078 0 0 912828HM5 T 3.625 912820QJ9 12/31/12 15,657,080 15,657,080 0 0 912828HQ6 F 2.875 912820QM2 01/31/13 15,700,214 15,698,614 1,600 0 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,593,916 904,480 0 912828HT0 G 2.750 912820QQ3 02/28/13 17,784,087 17,784,087 0 0 912828HV5 H 2.500 912820QS9 03/31/13 20,571,094 20,571,094 0 0 912828HY9 K 3.125 912820QV2 04/30/13 20,742,759 20,742,759 0 0 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 17,617,387 636,166 0 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 32,861,043 660,080 0 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,666,366 970,478 800 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,484,716 596,350 261,750 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,607,371 695,610 297,240 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,416,134 305,500 599,200 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 24,945,036 527,500 583,200 912828DM9 B 4.000 912820LJ4 02/15/15 24,214,991 24,201,891 13,100 0 912828DV9 C 4.125 912820LS4 05/15/15 24,471,849 24,455,849 16,000 0 912828EE6 E 4.250 912820MB0 08/15/15 22,469,683 22,468,883 800 0 912828EN6 F 4.500 912820MK0 11/15/15 23,220,785 23,220,385 400 0 912828EW6 B 4.500 912820MT1 02/15/16 21,841,772 21,840,972 800 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 22,543,871 12,800 0 912828FY1 F 4.625 912820NV5 11/15/16 23,293,786 23,293,586 200 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 25,586,141 400 0 912828HA1 E 4.750 912820PX9 08/15/17 28,000,273 28,000,273 0 0 912828HH6 F 4.250 912820QE0 11/15/17 27,674,248 27,673,448 800 0 912828HR4 B 3.500 912820QN0 02/15/18 29,204,641 29,203,841 800 0 912828HZ6 C 3.875 912820QW0 05/15/18 23,077,717 23,077,717 0 0 Total Treasury Notes.................................... 2,450,606,543 2,412,697,555 37,908,988 2,593,889 Grand Total............................................. 3,504,995,255 3,300,946,343 204,048,912 36,302,337