TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 2011 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: 912810DP0 11.250 912803AA1 02/15/15 10,520,299 9,671,079 849,220 23,800 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,347,537 676,379 28,064 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,538,718 1,046,141 120,320 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,344,046 87,708 0 912810DW5 7.250 912803AH6 05/15/16 18,823,551 18,044,510 779,041 2,400 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,684,719 1,102,729 7,000 912810DY1 8.750 912803AL7 05/15/17 15,559,169 12,292,649 3,266,520 43,500 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 9,441,976 1,526,382 312,400 912810EA2 9.125 912803AN3 05/15/18 6,717,439 4,902,756 1,814,683 0 912810EB0 9.000 912803AP8 11/15/18 7,174,470 5,439,007 1,735,463 53,100 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 10,622,296 2,468,202 163,920 912810ED6 8.125 912803AR4 08/15/19 18,940,932 17,802,750 1,138,182 173,016 912810EE4 8.500 912803AS2 02/15/20 9,476,268 8,352,765 1,123,503 46,360 912810EF1 8.750 912803AT0 05/15/20 7,582,183 6,837,073 745,110 32,680 912810EG9 8.750 912803AU7 08/15/20 17,059,306 16,244,059 815,247 314,388 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,667,979 407,594 375,480 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 9,263,706 803,082 346,264 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,946,529 559,853 264,076 912810EL8 8.000 912803AY9 11/15/21 30,632,194 23,809,343 6,822,851 215,970 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 9,268,636 859,154 209,480 912810EN4 7.625 912803BA0 11/15/22 7,423,626 5,981,237 1,442,389 262,720 912810EP9 7.125 912803BB8 02/15/23 15,782,061 12,100,269 3,681,792 95,600 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 21,899,587 759,457 534,016 912810ES3 7.500 912803BD4 11/15/24 9,604,162 7,829,036 1,775,126 513,460 912810ET1 7.625 912803BE2 02/15/25 9,509,170 6,974,245 2,534,925 78,960 912810EV6 6.875 912803BF9 08/15/25 11,187,207 9,005,292 2,181,915 517,752 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,156,702 681,214 1,590,570 912810EX2 6.750 912803BH5 08/15/26 8,810,418 7,650,865 1,159,553 2,220,320 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 8,981,480 1,878,697 1,566,480 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 7,496,392 2,025,579 911,240 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,830,787 3,365,969 750,620 912810FB9 6.125 912803BM4 11/15/27 22,021,339 12,828,555 9,192,784 693,440 912810FE3 5.500 912803BP7 08/15/28 11,776,201 9,552,719 2,223,482 647,620 912810FF0 5.250 912803BV4 11/15/28 10,947,052 8,496,826 2,450,226 133,280 912810FG8 5.250 912803BW2 02/15/29 11,350,341 10,154,685 1,195,656 484,440 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 7,922,290 3,256,290 505,440 912810FM5 6.250 912803CH4 05/15/30 17,043,162 11,445,739 5,597,423 2,249,082 912810FP8 5.375 912803CK7 02/15/31 16,427,648 14,330,028 2,097,620 687,260 912810FT0 4.500 912803CX9 02/15/36 26,397,130 18,837,970 7,559,160 959,880 912810PT9 4.750 912803CZ4 02/15/37 16,589,456 11,630,951 4,958,505 437,340 912810PU6 5.000 912803DA8 05/15/37 21,413,045 16,965,757 4,447,288 651,408 912810PW2 4.375 912803DC4 02/15/38 22,525,149 18,035,979 4,489,170 73,344 912810PX0 4.500 912803DD2 05/15/38 25,500,123 20,772,663 4,727,460 383,840 912810QA9 3.500 912803DF7 02/15/39 25,908,569 24,809,759 1,098,810 205,760 912810QB7 4.250 912803DG5 05/15/39 38,778,773 27,921,513 10,857,260 485,440 912810QC5 4.500 912803DH3 08/15/39 41,430,538 29,969,078 11,461,460 911,520 912810QD3 4.375 912803DJ9 11/15/39 44,564,249 28,965,420 15,598,829 330,144 912810QE1 4.625 912803DK6 02/15/40 44,902,490 26,400,740 18,501,750 891,360 912810QH4 4.375 912803DM2 05/15/40 43,473,044 22,986,390 20,486,654 370,752 912810QK7 3.875 912803DN0 08/15/40 43,213,317 41,752,077 1,461,240 493,500 912810QL5 4.250 912803DP5 11/15/40 42,903,189 39,125,009 3,778,180 656,080 912810QN1 4.750 912803DQ3 02/15/41 43,004,945 37,752,805 5,252,140 2,163,820 912810QQ4 4.375 912803DS9 05/15/41 16,000,004 15,988,004 12,000 2,016 Total Treasury Bonds.................................... 964,890,029 774,072,981 190,817,048 26,190,722 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128277J5 A 3.375 912820GT8 01/15/12 7,554,109 7,554,109 0 0 912828GN4 J 2.000 912820PK7 04/15/12 19,024,575 19,024,575 0 0 912828AF7 C 3.000 912820HC4 07/15/12 28,599,033 28,599,033 0 0 912828HW3 J 0.625 912820QT7 04/15/13 15,847,037 15,847,037 0 0 912828BD1 C 1.875 912820JA6 07/15/13 24,336,719 24,336,719 0 0 912828BW9 A 2.000 912820JT5 01/15/14 25,391,519 25,391,519 0 0 912828KM1 K 1.250 912820TK3 04/15/14 16,113,820 16,113,820 0 0 912828CP3 D 2.000 912820KL0 07/15/14 22,520,509 22,520,509 0 0 912828DH0 A 1.625 912820LE5 01/15/15 22,230,716 22,230,716 0 0 912828MY3 K 0.500 912820VS3 04/15/15 21,889,506 21,889,506 0 0 912828EA4 D 1.875 912820LX3 07/15/15 19,524,595 19,524,595 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 19,135,091 19,135,091 0 0 912828QD5 W 0.125 912820XZ5 04/15/16 14,168,700 14,168,700 0 0 912828FL9 D 2.500 912820NH6 07/15/16 22,124,288 22,124,288 0 0 912828GD6 A 2.375 912820PA9 01/15/17 19,108,237 19,108,237 0 0 912828GX2 D 2.625 912820PU5 07/15/17 15,088,344 15,088,344 0 0 912828HN3 A 1.625 912820QK6 01/15/18 17,506,012 17,506,012 0 0 912828JE1 D 1.375 912820RB5 07/15/18 15,508,359 15,508,359 0 0 912828JX9 A 2.125 912820SV0 01/15/19 15,337,011 15,337,011 0 0 912828LA6 D 1.875 912820TY3 07/15/19 15,879,352 15,879,352 0 0 912828MF4 A 1.375 912820VB0 01/15/20 19,600,310 19,600,310 0 0 912828NM8 D 1.250 912820WF0 07/15/20 33,167,006 33,167,006 0 0 912828PP9 A 1.125 912820XK8 01/15/21 37,462,227 37,462,227 0 0 912810FR4 2.375 912803CN1 01/15/25 33,185,132 33,185,132 0 0 912810FS2 2.000 912803CW1 01/15/26 22,511,332 22,511,332 0 0 912810PS1 2.375 912803CY7 01/15/27 18,258,654 18,258,654 0 0 912810PV4 1.750 912803DB6 01/15/28 16,671,756 16,671,756 0 0 912810FD5 3.625 912803BN2 04/15/28 23,181,508 23,174,602 6,906 0 912810PZ5 2.500 912803DE0 01/15/29 14,723,744 14,723,744 0 0 912810FH6 3.875 912803CF8 04/15/29 26,494,733 26,324,868 169,865 0 912810FQ6 3.375 912803CL5 04/15/32 6,308,299 6,308,299 0 0 912810QF8 2.125 912803DL4 02/15/40 15,680,732 15,680,732 0 0 912810QP6 2.125 912803DR1 02/15/41 9,685,485 9,685,485 0 0 Total Treasury Inflation-Protected Securities........... 653,818,449 653,641,678 176,771 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 2011 -- 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: CUSIP: Series: Interest Rate: 912828FK1 K 5.125 912820NG8 06/30/11 17,500,283 17,199,483 300,800 14,400 912828LF5 Z 1.125 912820TX5 06/30/11 41,162,207 41,130,207 32,000 0 912828FN5 L 4.875 912820NK9 07/31/11 16,830,671 16,420,111 410,560 0 912828LG3 AA 1.000 912820UC9 07/31/11 43,051,576 43,041,576 10,000 0 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 24,725,262 1,910,054 0 912828FS4 M 4.625 912820NP8 08/31/11 17,500,676 17,316,676 184,000 0 912828LV0 AB 1.000 912820UF2 08/31/11 43,261,581 43,246,221 15,360 0 912828FU9 N 4.500 912820NR4 09/30/11 17,500,158 17,324,058 176,100 0 912828LW8 AC 1.000 912820UK1 09/30/11 43,761,802 43,749,402 12,400 0 912828FW5 P 4.625 912820NT0 10/31/11 16,181,388 15,904,108 277,280 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 29,134,034 309,153 0 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,550 16,895,260 141,290 0 912828MM9 AE 0.750 912820UU9 11/30/11 45,321,257 45,216,507 104,750 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 45,309,106 45,223,506 85,600 0 912828KB5 U 1.125 912820SW8 01/15/12 32,483,616 32,480,732 2,884 0 912828GF1 F 4.750 912820PC5 01/31/12 14,930,221 14,863,537 66,684 0 912828MJ6 AG 0.875 912820VD6 01/31/12 44,716,055 44,706,455 9,600 0 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,454,730 1,325,108 2,160 912828KC3 V 1.375 912820SZ1 02/15/12 33,629,572 33,428,452 201,120 0 912828GK0 G 4.625 912820PG6 02/29/12 16,636,927 16,575,647 61,280 0 912828MQ0 AH 0.875 912820VL8 02/29/12 45,081,761 45,075,361 6,400 0 912828KG4 W 1.375 912820TE7 03/15/12 34,604,963 34,601,763 3,200 0 912828GM6 H 4.500 912820PJ0 03/31/12 16,353,663 16,254,863 98,800 0 912828MU1 AJ 1.000 912820VN4 03/31/12 45,488,746 45,465,146 23,600 0 912828KK5 X 1.375 912820TJ6 04/15/12 35,557,616 35,540,016 17,600 0 912828GQ7 K 4.500 912820PM3 04/30/12 16,450,419 16,391,219 59,200 0 912828NB2 AK 1.000 912820VT1 04/30/12 44,937,931 44,935,531 2,400 0 912828KP4 Y 1.375 912820TP2 05/15/12 41,193,756 41,069,316 124,440 0 912828GU8 L 4.750 912820PR2 05/31/12 16,235,887 16,137,487 98,400 0 912828NE6 AL 0.750 912820VY0 05/31/12 42,915,290 42,892,890 22,400 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 15,886,143 17,280 0 912828NS5 AM 0.625 912820WE3 06/30/12 41,191,295 41,187,775 3,520 0 912828LB4 AA 1.500 912820TZ0 07/15/12 35,592,401 35,591,201 1,200 0 912828GZ7 N 4.625 912820PW1 07/31/12 15,803,679 15,726,343 77,336 0 912828NQ9 AN 0.625 912820WK9 07/31/12 39,247,932 39,243,132 4,800 0 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 18,247,200 1,400,776 2,120 912828LH1 AB 1.750 912820UE5 08/15/12 42,714,780 42,449,100 265,680 0 912828HC7 P 4.125 912820PZ4 08/31/12 16,091,100 16,089,500 1,600 0 912828PH7 AP 0.375 912820WN3 08/31/12 37,906,127 37,888,527 17,600 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 912828NX4 AQ 0.375 912820WS2 09/30/12 37,129,436 37,129,436 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 912828PD6 AR 0.375 912820WX1 10/31/12 35,717,229 35,717,229 0 0 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,110,709 1,002,033 0 912828LX6 AE 1.375 912820UT2 11/15/12 44,974,831 44,864,600 110,231 0 912828HK9 S 3.375 912820QG5 11/30/12 15,953,078 15,953,078 0 0 912828PV6 AS 0.500 912820XD4 11/30/12 36,382,437 36,375,237 7,200 0 912828MB3 AF 1.125 912820UX3 12/15/12 40,217,333 40,214,133 3,200 0 912828HM5 T 3.625 912820QJ9 12/31/12 15,657,080 15,657,080 0 0 912828PW4 AT 0.625 912820XH5 12/31/12 36,754,531 36,754,531 0 0 912828MG2 U 1.375 912820VC8 01/15/13 41,551,861 41,551,861 0 0 912828HQ6 F 2.875 912820QM2 01/31/13 15,700,214 15,698,214 2,000 0 912828PR5 AG 0.625 912820XM4 01/31/13 35,697,595 35,697,595 0 0 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,605,698 892,698 500 912828MN7 V 1.375 912820VG9 02/15/13 44,497,109 44,409,389 87,720 0 912828HT0 G 2.750 912820QQ3 02/28/13 17,784,087 17,784,040 47 0 912828QK9 AH 0.625 912820XT9 02/28/13 36,923,048 36,923,048 0 0 912828MT4 W 1.375 912820VM6 03/15/13 40,473,341 40,470,141 3,200 0 912828HV5 H 2.500 912820QS9 03/31/13 20,571,094 20,569,094 2,000 0 912828QL7 AJ 0.750 912820XX0 03/31/13 36,569,654 36,569,654 0 0 912828MX5 X 1.750 912820VR5 04/15/13 42,928,259 42,925,059 3,200 0 912828HY9 K 3.125 912820QV2 04/30/13 20,742,759 20,742,759 0 0 912828QE3 AK 0.625 912820YB7 04/30/13 37,208,643 37,208,643 0 0 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 17,610,271 643,282 6,400 912828NC0 Y 1.375 912820VX2 05/15/13 41,316,930 41,314,590 2,340 0 912828JB7 L 3.500 912820QY6 05/31/13 20,518,499 20,518,499 0 0 912828QZ6 AL 0.500 912820YH4 05/31/13 37,945,951 37,945,951 0 0 912828NH9 Z 1.125 912820WB9 06/15/13 36,208,074 36,208,074 0 0 912828JD3 M 3.375 912820RA7 06/30/13 22,144,867 22,144,867 0 0 912828NN6 AA 1.000 912820WG8 07/15/13 35,009,971 35,009,971 0 0 912828JG6 N 3.375 912820RD1 07/31/13 23,314,208 23,312,608 1,600 0 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 32,913,593 607,530 7,400 912828NU0 AB 0.750 912820WL7 08/15/13 36,036,141 36,012,141 24,000 0 912828JK7 P 3.125 912820RF6 08/31/13 23,837,284 23,835,620 1,664 8,000 912828NY2 AC 0.750 912820WR4 09/15/13 33,356,878 33,356,878 0 0 912828JM3 Q 3.125 912820RJ8 09/30/13 26,219,897 26,219,385 512 0 912828PB0 AD 0.500 912820WV5 10/15/13 32,280,261 32,280,261 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 29,607,226 1,029,618 0 912828PU8 AE 0.500 912820XA0 11/15/13 32,853,372 32,851,372 2,000 0 912828JT8 S 2.000 912820SQ1 11/30/13 27,819,417 27,714,417 105,000 0 912828PL8 AF 0.750 912820XE2 12/15/13 32,467,615 32,467,615 0 0 912828JW1 T 1.500 912820SU2 12/31/13 30,043,540 30,037,180 6,360 0 912828PQ7 V 1.000 912820XJ1 01/15/14 32,701,304 32,701,304 0 0 912828JZ4 G 1.750 912820SX6 01/31/14 31,273,435 31,273,435 0 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 2011 -- 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: 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,587,318 493,748 0 912828QH6 W 1.250 912820XP7 02/15/14 32,734,721 32,734,721 0 0 912828KF6 H 1.875 912820TD9 02/28/14 33,714,392 33,714,392 0 0 912828PZ7 X 1.250 912820XU6 03/15/14 32,000,096 32,000,096 0 0 912828KJ8 J 1.750 912820TF4 03/31/14 35,611,707 35,611,707 0 0 912828QC7 Y 1.250 912820XY8 04/15/14 33,575,518 33,575,518 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 27,043,668 259,313 40,400 912828QM5 Z 1.000 912820YD3 05/15/14 31,999,888 31,999,888 0 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 24,439,894 281,740 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 40,667,328 41,600 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 25,107,536 365,000 240 912828LZ1 T 2.125 912820UV7 11/30/14 43,261,453 43,261,453 0 0 912828ME7 U 2.625 912820UZ8 12/31/14 43,245,045 43,245,045 0 0 912828MH0 G 2.250 912820VE4 01/31/15 42,684,778 42,684,778 0 0 912828DM9 B 4.000 912820LJ4 02/15/15 34,215,057 34,198,372 16,685 0 912828MR8 H 2.375 912820VJ3 02/28/15 43,033,093 42,935,493 97,600 0 912828MW7 J 2.500 912820VQ7 03/31/15 43,421,194 43,421,194 0 0 912828MZ0 L 2.500 912820VU8 04/30/15 42,891,991 42,891,991 0 0 912828DV9 C 4.125 912820LS4 05/15/15 34,471,849 34,455,849 16,000 0 912828NF3 M 2.125 912820VZ7 05/31/15 40,865,871 40,865,871 0 0 912828NL0 N 1.875 912820WD5 06/30/15 39,132,070 39,132,070 0 0 912828NP1 P 1.750 912820WH6 07/31/15 38,214,202 38,214,202 0 0 912828EE6 E 4.250 912820MB0 08/15/15 32,469,697 32,468,097 1,600 0 912828NV8 Q 1.250 912820WP8 08/31/15 36,881,494 36,881,494 0 0 912828NZ9 R 1.250 912820WT0 09/30/15 36,102,809 36,102,809 0 0 912828PE4 S 1.250 912820WY9 10/31/15 35,717,606 35,717,606 0 0 912828EN6 F 4.500 912820MK0 11/15/15 23,220,785 23,220,345 440 0 912828PJ3 T 1.375 912820XC6 11/30/15 36,378,695 36,378,695 0 0 912828PM6 U 2.125 912820XG7 12/31/15 36,756,571 36,756,571 0 0 912828PS3 T 2.000 912820XL6 01/31/16 35,697,839 35,697,839 0 0 912828EW6 B 4.500 912820MT1 02/15/16 21,841,772 21,840,972 800 0 912828KS8 G 2.625 912820TB3 02/29/16 23,178,530 23,178,530 0 0 912828QJ2 U 2.125 912820XR3 02/29/16 36,922,789 36,922,789 0 0 912828KT6 H 2.375 912820TH0 03/31/16 25,137,609 25,137,609 0 0 912828QA1 V 2.250 912820XW2 03/31/16 36,569,943 36,569,943 0 0 912828KR0 J 2.625 912820TN7 04/30/16 26,901,046 26,901,046 0 0 912828QF0 X 2.000 912820YA9 04/30/16 37,208,713 37,208,713 0 0 912828FF2 C 5.125 912820NC7 05/15/16 23,293,690 23,292,370 1,320 3,840 912828KW9 K 3.250 912820TT4 05/31/16 26,895,995 26,895,995 0 0 912828QP8 Y 1.750 912820YG6 05/31/16 37,945,940 37,945,940 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 22,531,431 25,240 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 23,290,746 3,040 3,680 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 32,948,276 160 0 912828MK3 G 3.125 912820VF1 01/31/17 32,521,456 32,521,456 0 0 912828GH7 B 4.625 912820PE1 02/15/17 22,192,761 22,180,241 12,520 0 912828MS6 H 3.000 912820VK0 02/28/17 32,786,489 32,786,489 0 0 912828MV9 J 3.250 912820VP9 03/31/17 33,082,560 33,082,560 0 0 912828NA4 K 3.125 912820VV6 04/30/17 32,682,413 32,682,413 0 0 912828GS3 C 4.500 912820PP6 05/15/17 25,586,541 25,585,418 1,123 0 912828NG1 L 2.750 912820WA1 05/31/17 31,673,657 31,673,657 0 0 912828NK2 M 2.500 912820WC7 06/30/17 30,893,473 30,893,473 0 0 912828NR7 N 2.375 912820WJ2 07/31/17 29,952,302 29,952,302 0 0 912828HA1 E 4.750 912820PX9 08/15/17 28,000,273 28,000,273 0 0 912828NW6 P 1.875 912820WQ6 08/31/17 29,710,046 29,710,046 0 0 912828PA2 Q 1.875 912820WU7 09/30/17 29,913,658 29,913,658 0 0 912828PF1 R 1.875 912820WW3 10/31/17 29,594,504 29,594,504 0 0 912828HH6 F 4.250 912820QE0 11/15/17 27,674,248 27,661,768 12,480 0 912828PK0 S 2.250 912820XB8 11/30/17 30,143,705 30,143,705 0 0 912828PN4 T 2.750 912820XF9 12/31/17 30,453,707 30,453,707 0 0 912828PT1 G 2.625 912820XN2 01/31/18 29,577,810 29,577,810 0 0 912828HR4 B 3.500 912820QN0 02/15/18 39,204,509 39,202,109 2,400 0 912828PY0 H 2.750 912820XS1 02/28/18 30,593,054 30,593,054 0 0 912828QB9 J 2.875 912820XV4 03/31/18 30,300,265 30,300,265 0 0 912828QG8 K 2.625 912820YC5 04/30/18 30,829,674 30,829,674 0 0 912828HZ6 C 3.875 912820QW0 05/15/18 34,078,060 34,006,640 71,420 0 912828QQ6 L 2.375 912820YF8 05/31/18 31,440,958 31,440,958 0 0 912828JH4 E 4.000 912820RE9 08/15/18 36,802,978 36,799,828 3,150 1,500 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 0 912828KQ2 C 3.125 912820TQ0 05/15/19 64,410,823 64,410,817 6 0 912828LJ7 E 3.625 912820UD7 08/15/19 66,753,044 66,753,044 0 0 912828LY4 F 3.375 912820US4 11/15/19 71,036,988 71,036,988 0 0 912828MP2 B 3.625 912820VH7 02/15/20 71,595,465 71,595,465 0 0 912828ND8 C 3.500 912820VW4 05/15/20 68,219,184 68,219,184 0 200,000 912828NT3 E 2.625 912820WM5 08/15/20 67,849,590 67,849,590 0 0 912828PC8 F 2.625 912820WZ6 11/15/20 67,409,883 67,409,883 0 200,000 912828PX2 B 3.625 912820XQ5 02/15/21 67,584,864 67,584,864 0 220,800 912828QN3 C 3.125 912820YE1 05/15/21 23,998,785 23,998,785 0 0 Total Treasury Notes.................................... 6,054,698,979 6,040,476,544 14,222,435 711,440 Grand Total............................................. 7,673,407,457 7,468,191,203 205,216,254 26,902,162