TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, DECEMBER 31, 2009 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held in Portion Held in This Month Outstanding Unstripped Form Stripped Form Treasury Bonds: CUSIP: Interest Rate: 912810DP0 11.250 912803AA1 02/15/15 10,520,299 9,557,451 962,848 167,212 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,243,723 780,193 25,024 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,181,508 1,403,351 51,400 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,344,232 87,522 26,940 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,746,510 1,077,041 157,600 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,687,341 1,100,107 88,560 912810DY1 8.750 912803AL7 05/15/17 15,559,169 12,210,628 3,348,541 250,136 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 9,269,186 1,699,172 170,240 912810EA2 9.125 912803AN3 05/15/18 6,717,439 4,403,976 2,313,463 172,820 912810EB0 9.000 912803AP8 11/15/18 7,174,470 4,930,788 2,243,682 77,600 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 10,611,076 2,479,422 160,280 912810ED6 8.125 912803AR4 08/15/19 18,940,932 17,506,838 1,434,094 179,004 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,993,965 1,482,303 66,120 912810EF1 8.750 912803AT0 05/15/20 7,582,183 5,254,501 2,327,682 189,088 912810EG9 8.750 912803AU7 08/15/20 17,059,306 13,506,163 3,553,143 437,516 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,523,719 551,854 597,780 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 8,112,928 1,953,860 503,136 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,442,093 1,064,289 405,400 912810EL8 8.000 912803AY9 11/15/21 30,632,194 18,134,407 12,497,787 842,295 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,848,566 1,279,224 442,240 912810EN4 7.625 912803BA0 11/15/22 7,423,626 4,692,717 2,730,909 323,800 912810EP9 7.125 912803BB8 02/15/23 15,782,061 12,454,629 3,327,432 349,660 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 21,665,754 993,290 1,020,649 912810ES3 7.500 912803BD4 11/15/24 9,604,162 7,908,364 1,695,798 717,844 912810ET1 7.625 912803BE2 02/15/25 9,509,170 6,729,665 2,779,505 1,507,980 912810EV6 6.875 912803BF9 08/15/25 11,187,207 9,711,328 1,475,879 736,940 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,382,952 454,964 368,490 912810EX2 6.750 912803BH5 08/15/26 8,810,418 7,520,035 1,290,383 228,900 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 6,983,750 3,876,427 238,800 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 6,711,332 2,810,639 419,600 912810FA1 6.375 912803BL6 08/15/27 9,196,756 6,173,127 3,023,629 262,980 912810FB9 6.125 912803BM4 11/15/27 22,021,339 10,924,855 11,096,484 604,400 912810FE3 5.500 912803BP7 08/15/28 11,776,201 9,913,039 1,863,162 246,660 912810FF0 5.250 912803BV4 11/15/28 10,947,052 8,544,906 2,402,146 571,980 912810FG8 5.250 912803BW2 02/15/29 11,350,341 10,415,725 934,616 577,760 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 6,058,480 5,120,100 310,160 912810FM5 6.250 912803CH4 05/15/30 17,043,162 6,560,769 10,482,393 867,261 912810FP8 5.375 912803CK7 02/15/31 16,427,648 11,669,608 4,758,040 966,820 912810FT0 4.500 912803CX9 02/15/36 26,397,130 17,010,170 9,386,960 1,102,250 912810PT9 4.750 912803CZ4 02/15/37 16,589,456 11,795,611 4,793,845 728,040 912810PU6 5.000 912803DA8 05/15/37 21,413,045 14,351,821 7,061,224 1,224,280 912810PW2 4.375 912803DC4 02/15/38 22,525,149 17,636,999 4,888,150 848,088 912810PX0 4.500 912803DD2 05/15/38 25,500,123 20,868,363 4,631,760 1,545,400 912810QA9 3.500 912803DF7 02/15/39 25,908,569 25,188,709 719,860 455,700 912810QB7 4.250 912803DG5 05/15/39 38,778,773 29,773,713 9,005,060 761,060 912810QC5 4.500 912803DH3 08/15/39 41,430,538 36,586,898 4,843,640 576,220 912810QD3 4.375 912803DJ9 11/15/39 31,059,250 28,783,978 2,275,272 1,105,184 Total Treasury Bonds................................... 717,888,041 565,526,895 152,361,146 23,677,297 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128275W8 A 4.250 912820EK9 01/15/10 14,545,739 14,545,739 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 31,951,530 31,951,530 0 0 9128276R8 A 3.500 912820GA9 01/15/11 13,663,727 13,663,727 0 0 912828FB1 G 2.375 912820MY0 04/15/11 21,975,293 21,975,293 0 0 9128277J5 A 3.375 912820GT8 01/15/12 7,309,734 7,309,734 0 0 912828GN4 J 2.000 912820PK7 04/15/12 18,409,034 18,409,034 0 0 912828AF7 C 3.000 912820HC4 07/15/12 27,673,722 27,673,722 0 0 912828HW3 J 0.625 912820QT7 04/15/13 15,334,405 15,334,405 0 0 912828BD1 C 1.875 912820JA6 07/15/13 23,549,391 23,549,391 0 0 912828BW9 A 2.000 912820JT5 01/15/14 24,570,147 24,570,147 0 0 912828KM1 K 1.250 912820TK3 04/15/14 15,592,512 15,592,512 0 0 912828CP3 D 2.000 912820KL0 07/15/14 21,791,963 21,791,963 0 0 912828DH0 A 1.625 912820LE5 01/15/15 21,511,519 21,511,519 0 0 912828EA4 D 1.875 912820LX3 07/15/15 18,892,883 18,892,883 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 18,515,932 18,515,932 0 0 912828FL9 D 2.500 912820NH6 07/15/16 21,408,672 21,408,672 0 0 912828GD6 A 2.375 912820PA9 01/15/17 18,490,023 18,490,023 0 0 912828GX2 D 2.625 912820PU5 07/15/17 14,600,228 14,600,228 0 0 912828HN3 A 1.625 912820QK6 01/15/18 16,939,798 16,939,798 0 0 912828JE1 D 1.375 912820RB5 07/15/18 15,006,718 15,006,718 0 0 912828JX9 A 2.125 912820SV0 01/15/19 14,840,866 14,840,866 0 0 912828LA6 D 1.875 912820TY3 07/15/19 15,365,607 15,365,607 0 0 912810FR4 2.375 912803CN1 01/15/25 32,111,581 32,111,581 0 0 912810FS2 2.000 912803CW1 01/15/26 21,782,927 21,782,927 0 0 912810PS1 2.375 912803CY7 01/15/27 17,667,927 17,667,927 0 0 912810PV4 1.750 912803DB6 01/15/28 16,132,525 16,132,525 0 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, DECEMBER 31, 2009 -- Continued Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held in Portion Held in This Month Outstanding Unstripped Form Stripped Form Treasury Inflation-Protected Securities, Continued: CUSIP: Series: Interest Rate: 912810FD5 3.625 912803BN2 04/15/28 22,431,622 22,424,939 6,683 0 912810PZ5 2.500 912803DE0 01/15/29 14,247,438 14,247,438 0 0 912810FH6 3.875 912803CF8 04/15/29 25,637,649 25,473,279 164,370 0 912810FQ6 3.375 912803CL5 04/15/32 6,104,201 6,104,201 0 0 Total Treasury Inflation-Protected Securities.......... 568,055,315 567,884,262 171,053 0 Treasury Notes: CUSIP: Series: Interest Rate: 912828DG2 E 3.625 912820LD7 01/15/10 15,004,697 14,959,577 45,120 320 912828HP8 U 2.125 912820QL4 01/31/10 26,920,054 26,918,134 1,920 0 9128275Z1 B 6.500 912820EM5 02/15/10 23,355,709 21,774,446 1,581,263 36,080 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,440,490 176,578 0 912828GG9 S 4.750 912820PD3 02/15/10 17,467,187 17,389,627 77,560 5,800 912828HS2 V 2.000 912820QP5 02/28/10 28,899,918 28,899,918 0 0 912828DP2 G 4.000 912820LL9 03/15/10 15,005,048 15,000,348 4,700 0 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 14,746,294 255,200 0 912828HX1 X 2.125 912820QU4 04/30/10 32,752,312 32,739,512 12,800 0 912828DU1 J 3.875 912820LR6 05/15/10 18,748,844 17,685,288 1,063,556 0 912828GR5 T 4.500 912820PN1 05/15/10 18,941,728 18,858,336 83,392 21,000 912828JA9 Y 2.625 912820QX8 05/31/10 32,407,094 32,407,094 0 0 912828DX5 K 3.625 912820LU9 06/15/10 14,001,099 13,980,299 20,800 0 912828JC5 Z 2.875 912820QZ3 06/30/10 33,218,522 33,186,522 32,000 0 912828DZ0 L 3.875 912820LW5 07/15/10 13,000,529 13,000,249 280 0 912828JF8 AA 2.750 912820RC3 07/31/10 34,421,304 34,408,504 12,800 0 9128276J6 C 5.750 912820FT9 08/15/10 22,437,594 20,799,020 1,638,574 64,080 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,366,856 596,568 1,720 912828JJ0 AB 2.375 912820RG4 08/31/10 34,653,063 34,638,663 14,400 0 912828EG1 N 3.875 912820MD6 09/15/10 13,000,827 12,778,427 222,400 0 912828JL5 AC 2.000 912820RH2 09/30/10 37,148,284 37,148,284 0 0 912828EJ5 P 4.250 912820MF1 10/15/10 13,000,862 12,931,262 69,600 0 912828JP6 AD 1.500 912820RL3 10/31/10 35,507,028 35,507,028 0 0 912828EM8 Q 4.500 912820MJ3 11/15/10 15,961,105 14,775,156 1,185,949 400 912828JS0 AE 1.250 912820SR9 11/30/10 38,520,388 38,492,372 28,016 0 912828EQ9 R 4.375 912820MM6 12/15/10 13,000,813 13,000,813 0 0 912828JV3 AF 0.875 912820ST5 12/31/10 40,776,665 40,770,265 6,400 0 912828ES5 D 4.250 912820MP9 01/15/11 13,001,339 12,999,739 1,600 0 912828JY7 U 0.875 912820SY4 01/31/11 41,698,057 41,629,097 68,960 0 9128276T4 B 5.000 912820GC5 02/15/11 23,436,329 22,077,951 1,358,378 3,000 912828KE9 V 0.875 912820TC1 02/28/11 42,145,087 42,138,687 6,400 0 912828EX4 E 4.500 912820MU8 02/28/11 17,500,138 17,416,938 83,200 0 912828KH2 W 0.875 912820TG2 03/31/11 41,897,398 41,897,398 0 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 17,421,477 80,000 0 912828KL3 X 0.875 912820TL1 04/30/11 41,386,504 41,386,504 0 0 912828FH8 J 4.875 912820NE3 05/31/11 17,144,592 16,939,792 204,800 0 912828KU3 Y 0.875 912820TR8 05/31/11 41,286,531 41,286,531 0 0 912828FK1 K 5.125 912820NG8 06/30/11 17,500,283 17,245,883 254,400 0 912828LF5 Z 1.125 912820TX5 06/30/11 41,162,207 41,162,207 0 0 912828FN5 L 4.875 912820NK9 07/31/11 16,830,671 16,423,311 407,360 960 912828LG3 AA 1.000 912820UC9 07/31/11 43,051,576 43,051,576 0 0 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 25,183,251 1,452,065 2,870 912828FS4 M 4.625 912820NP8 08/31/11 17,500,676 17,334,276 166,400 0 912828LV0 AB 1.000 912820UF2 08/31/11 43,261,581 43,261,581 0 0 912828FU9 N 4.500 912820NR4 09/30/11 17,500,158 17,338,258 161,900 0 912828LW8 AC 1.000 912820UK1 09/30/11 43,761,802 43,761,802 0 0 912828FW5 P 4.625 912820NT0 10/31/11 16,181,388 15,981,388 200,000 0 912828LT5 AD 1.000 912820UQ8 10/31/11 45,084,377 45,084,377 0 0 912828JU5 S 1.750 912820RN9 11/15/11 29,443,187 29,438,787 4,400 0 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,550 16,925,450 111,100 0 912828MM9 AE 0.750 912820UU9 11/30/11 45,321,257 45,321,257 0 0 912828KA7 T 1.125 912820SS7 12/15/11 28,840,506 28,772,346 68,160 0 912828GC8 R 4.625 912820NZ6 12/31/11 16,131,258 16,115,258 16,000 0 912828ML1 AF 1.000 912820VA2 12/31/11 45,309,245 45,309,245 0 0 912828KB5 U 1.125 912820SW8 01/15/12 32,483,616 32,481,216 2,400 0 912828GF1 F 4.750 912820PC5 01/31/12 14,930,221 14,877,981 52,240 0 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,756,973 1,022,865 4,800 912828KC3 V 1.375 912820SZ1 02/15/12 33,629,572 33,549,412 80,160 0 912828GK0 G 4.625 912820PG6 02/29/12 16,636,927 16,612,607 24,320 0 912828KG4 W 1.375 912820TE7 03/15/12 34,604,963 34,604,963 0 0 912828GM6 H 4.500 912820PJ0 03/31/12 16,353,663 16,289,663 64,000 0 912828KK5 X 1.375 912820TJ6 04/15/12 35,557,616 35,557,616 0 0 912828GQ7 K 4.500 912820PM3 04/30/12 16,450,419 16,391,219 59,200 0 912828KP4 Y 1.375 912820TP2 05/15/12 41,193,756 41,193,496 260 0 912828GU8 L 4.750 912820PR2 05/31/12 16,235,887 16,115,887 120,000 0 912828KX7 Z 1.875 912820TU1 06/15/12 35,370,103 35,370,103 0 0 912828GW4 M 4.875 912820PT8 06/30/12 15,903,423 15,885,823 17,600 0 912828LB4 AA 1.500 912820TZ0 07/15/12 35,592,401 35,592,401 0 0 912828GZ7 N 4.625 912820PW1 07/31/12 15,803,679 15,736,479 67,200 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, DECEMBER 31, 2009 -- Continued Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held in Portion Held in This Month Outstanding Unstripped Form Stripped Form Treasury Notes, Continued: CUSIP: Series: Interest Rate: 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 18,310,924 1,337,052 45,376 912828LH1 AB 1.750 912820UE5 08/15/12 42,714,780 42,506,760 208,020 0 912828HC7 P 4.125 912820PZ4 08/31/12 16,091,100 16,089,500 1,600 0 912828LM0 AC 1.375 912820UJ4 09/15/12 38,081,890 38,081,890 0 0 912828HE3 Q 4.250 912820QB6 09/30/12 15,873,928 15,873,928 0 0 912828LR9 AD 1.375 912820UN5 10/15/12 39,305,708 39,305,708 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 17,143,809 968,933 55,300 912828LX6 AE 1.375 912820UT2 11/15/12 44,974,831 44,915,391 59,440 0 912828HK9 S 3.375 912820QG5 11/30/12 15,953,078 15,953,078 0 0 912828MB3 AF 1.125 912820UX3 12/15/12 40,217,333 40,217,333 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 15,698,214 2,000 0 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,627,898 870,498 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 17,629,147 624,406 0 912828JB7 L 3.500 912820QY6 05/31/13 20,518,499 20,518,499 0 0 912828JD3 M 3.375 912820RA7 06/30/13 22,144,867 22,144,867 0 0 912828JG6 N 3.375 912820RD1 07/31/13 23,314,208 23,314,208 0 0 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 32,909,823 611,300 0 912828JK7 P 3.125 912820RF6 08/31/13 23,837,284 23,836,132 1,152 0 912828JM3 Q 3.125 912820RJ8 09/30/13 26,219,897 26,219,897 0 0 912828JQ4 R 2.750 912820RK5 10/31/13 25,063,374 25,063,374 0 0 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,708,946 927,898 7,000 912828JT8 S 2.000 912820SQ1 11/30/13 27,819,417 27,819,417 0 0 912828JW1 T 1.500 912820SU2 12/31/13 30,043,540 30,038,780 4,760 0 912828JZ4 G 1.750 912820SX6 01/31/14 31,273,435 31,273,435 0 0 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,608,116 472,950 40 912828KF6 H 1.875 912820TD9 02/28/14 33,714,392 33,714,392 0 0 912828KJ8 J 1.750 912820TF4 03/31/14 35,611,707 35,611,707 0 0 912828KN9 L 1.875 912820TM9 04/30/14 36,213,142 36,213,142 0 0 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 27,052,073 250,908 0 912828KV1 M 2.250 912820TS6 05/31/14 36,169,822 36,169,822 0 0 912828KY5 N 2.625 912820TV9 06/30/14 38,074,883 38,074,883 0 0 912828LC2 P 2.625 912820UA3 07/31/14 39,976,415 39,976,415 0 0 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,436,394 285,240 0 912828LK4 Q 2.375 912820UG0 08/31/14 40,174,823 40,174,823 0 0 912828LQ1 R 2.375 912820UM7 09/30/14 40,708,928 40,708,928 0 0 912828LS7 S 2.375 912820UP0 10/31/14 42,010,655 42,010,655 0 0 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 25,095,996 376,540 0 912828LZ1 T 2.125 912820UV7 11/30/14 43,261,453 43,261,453 0 0 912828ME7 U 2.625 912820UZ8 12/31/14 43,245,145 43,245,145 0 0 912828DM9 B 4.000 912820LJ4 02/15/15 34,215,057 34,213,982 1,075 0 912828DV9 C 4.125 912820LS4 05/15/15 34,471,849 34,459,049 12,800 0 912828EE6 E 4.250 912820MB0 08/15/15 32,469,697 32,468,657 1,040 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 21,841,372 400 0 912828KS8 G 2.625 912820TB3 02/29/16 23,178,530 23,178,530 0 0 912828KT6 H 2.375 912820TH0 03/31/16 25,137,609 25,137,609 0 0 912828KR0 J 2.625 912820TN7 04/30/16 26,901,046 26,901,046 0 0 912828FF2 C 5.125 912820NC7 05/15/16 23,293,690 23,293,370 320 0 912828KW9 K 3.250 912820TT4 05/31/16 26,895,995 26,895,995 0 0 912828KZ2 L 3.250 912820TW7 06/30/16 27,784,181 27,784,181 0 0 912828LD0 M 3.250 912820UB1 07/31/16 28,701,406 28,701,406 0 0 912828FQ8 E 4.875 912820NM5 08/15/16 22,556,671 22,539,071 17,600 0 912828LL2 N 3.000 912820UH8 08/31/16 28,842,663 28,842,663 0 0 912828LP3 P 3.000 912820UL9 09/30/16 29,513,653 29,513,653 0 0 912828LU2 Q 3.125 912820UR6 10/31/16 31,764,278 31,764,278 0 0 912828FY1 F 4.625 912820NV5 11/15/16 23,293,786 23,292,506 1,280 0 912828MA5 R 2.750 912820UW5 11/30/16 32,960,967 32,960,967 0 0 912828MD9 S 3.250 912820UY1 12/31/16 32,948,436 32,948,436 0 0 912828GH7 B 4.625 912820PE1 02/15/17 22,192,761 22,192,161 600 0 912828GS3 C 4.500 912820PP6 05/15/17 25,586,541 25,535,021 51,520 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 39,204,509 39,204,109 400 0 912828HZ6 C 3.875 912820QW0 05/15/18 34,078,060 34,078,060 0 0 912828JH4 E 4.000 912820RE9 08/15/18 36,802,978 36,802,978 0 0 912828JR2 F 3.750 912820RM1 11/15/18 57,351,395 57,351,395 0 0 912828KD1 B 2.750 912820TA5 02/15/19 58,676,801 58,676,801 0 400,000 912828KQ2 C 3.125 912820TQ0 05/15/19 64,410,823 64,410,823 0 500,000 912828LJ7 E 3.625 912820UD7 08/15/19 66,753,044 66,753,044 0 400,000 912828LY4 F 3.375 912820US4 11/15/19 49,221,796 49,173,796 48,000 500,000 Total Treasury Notes................................... 4,181,066,025 4,160,181,849 20,884,176 2,048,746 Grand Total............................................ 5,467,009,381 5,293,593,007 173,416,374 25,726,043