TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, SEPTEMBER 30, 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 9,700,159 820,140 29,408 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,453,277 570,639 228,028 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,596,078 988,781 23,040 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,220,526 211,228 9,800 912810DW5 7.250 912803AH6 05/15/16 18,823,551 18,128,090 695,461 55,640 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,743,439 1,044,009 67,836 912810DY1 8.750 912803AL7 05/15/17 15,559,169 12,361,665 3,197,504 161,584 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 9,427,216 1,541,142 176,540 912810EA2 9.125 912803AN3 05/15/18 6,717,439 4,957,836 1,759,603 88,500 912810EB0 9.000 912803AP8 11/15/18 7,174,470 5,538,918 1,635,552 26,700 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 10,680,976 2,409,522 31,960 912810ED6 8.125 912803AR4 08/15/19 18,940,932 18,080,050 860,882 135,784 912810EE4 8.500 912803AS2 02/15/20 9,476,268 8,333,185 1,143,083 5,040 912810EF1 8.750 912803AT0 05/15/20 7,582,183 6,942,569 639,614 161,300 912810EG9 8.750 912803AU7 08/15/20 17,059,306 16,312,307 746,999 273,744 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,875,339 200,234 395,400 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 9,402,404 664,384 110,200 912810EK0 8.125 912803AX1 08/15/21 9,506,382 9,017,701 488,681 130,000 912810EL8 8.000 912803AY9 11/15/21 30,632,194 24,980,001 5,652,193 461,818 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 9,278,336 849,454 151,800 912810EN4 7.625 912803BA0 11/15/22 7,423,626 6,285,417 1,138,209 78,000 912810EP9 7.125 912803BB8 02/15/23 15,782,061 13,275,589 2,506,472 995,440 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 21,917,351 741,693 364,264 912810ES3 7.500 912803BD4 11/15/24 9,604,162 7,363,576 2,240,586 516,704 912810ET1 7.625 912803BE2 02/15/25 9,509,170 7,590,075 1,919,095 583,080 912810EV6 6.875 912803BF9 08/15/25 11,187,207 9,449,172 1,738,035 53,248 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,134,032 703,884 197,000 912810EX2 6.750 912803BH5 08/15/26 8,810,418 7,801,785 1,008,633 356,000 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 9,033,540 1,826,637 482,120 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 7,915,882 1,606,089 636,480 912810FA1 6.375 912803BL6 08/15/27 9,196,756 6,259,567 2,937,189 362,360 912810FB9 6.125 912803BM4 11/15/27 22,021,339 15,271,955 6,749,384 1,506,880 912810FE3 5.500 912803BP7 08/15/28 11,776,201 9,777,499 1,998,702 886,000 912810FF0 5.250 912803BV4 11/15/28 10,947,052 8,327,326 2,619,726 78,580 912810FG8 5.250 912803BW2 02/15/29 11,350,341 10,307,025 1,043,316 539,500 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 9,028,460 2,150,120 583,910 912810FM5 6.250 912803CH4 05/15/30 17,043,162 12,623,678 4,419,484 1,283,292 912810FP8 5.375 912803CK7 02/15/31 16,427,648 14,644,958 1,782,690 1,600,440 912810FT0 4.500 912803CX9 02/15/36 26,397,130 19,827,290 6,569,840 694,360 912810PT9 4.750 912803CZ4 02/15/37 16,589,456 13,066,671 3,522,785 935,560 912810PU6 5.000 912803DA8 05/15/37 21,413,045 17,992,817 3,420,228 959,136 912810PW2 4.375 912803DC4 02/15/38 22,525,149 18,029,035 4,496,114 196,344 912810PX0 4.500 912803DD2 05/15/38 25,500,123 21,808,263 3,691,860 577,240 912810QA9 3.500 912803DF7 02/15/39 25,908,569 25,048,239 860,331 552,740 912810QB7 4.250 912803DG5 05/15/39 38,778,773 27,933,273 10,845,500 990,000 912810QC5 4.500 912803DH3 08/15/39 41,430,538 31,231,238 10,199,300 422,240 912810QD3 4.375 912803DJ9 11/15/39 44,564,249 27,273,786 17,290,463 1,004,800 912810QE1 4.625 912803DK6 02/15/40 44,902,490 28,761,240 16,141,250 1,193,120 912810QH4 4.375 912803DM2 05/15/40 43,473,044 20,347,222 23,125,822 1,337,536 912810QK7 3.875 912803DN0 08/15/40 43,213,317 40,342,817 2,870,500 424,360 912810QL5 4.250 912803DP5 11/15/40 42,903,189 33,926,169 8,977,020 737,960 912810QN1 4.750 912803DQ3 02/15/41 43,004,945 35,517,695 7,487,250 1,311,920 912810QQ4 4.375 912803DS9 05/15/41 41,995,507 41,044,647 950,860 545,288 912810QS0 3.750 912803DT7 08/15/41 29,488,918 29,420,808 68,110 11,790 Total Treasury Bonds.................................... 1,020,374,451 834,608,169 185,766,282 25,721,813 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128277J5 A 3.375 912820GT8 01/15/12 7,639,249 7,639,249 0 0 912828GN4 J 2.000 912820PK7 04/15/12 19,238,856 19,238,856 0 0 912828AF7 C 3.000 912820HC4 07/15/12 28,921,281 28,921,281 0 0 912828HW3 J 0.625 912820QT7 04/15/13 16,025,610 16,025,610 0 0 912828BD1 C 1.875 912820JA6 07/15/13 24,611,033 24,611,033 0 0 912828BW9 A 2.000 912820JT5 01/15/14 25,677,770 25,677,770 0 0 912828KM1 K 1.250 912820TK3 04/15/14 16,295,476 16,295,476 0 0 912828CP3 D 2.000 912820KL0 07/15/14 22,774,379 22,774,379 0 0 912828DH0 A 1.625 912820LE5 01/15/15 22,481,153 22,481,153 0 0 912828MY3 K 0.500 912820VS3 04/15/15 22,136,250 22,136,250 0 0 912828EA4 D 1.875 912820LX3 07/15/15 19,744,573 19,744,573 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 19,350,657 19,350,657 0 0 912828QD5 W 0.125 912820XZ5 04/15/16 26,985,250 26,985,250 0 0 912828FL9 D 2.500 912820NH6 07/15/16 22,373,693 22,373,693 0 0 912828GD6 A 2.375 912820PA9 01/15/17 19,323,508 19,323,508 0 0 912828GX2 D 2.625 912820PU5 07/15/17 15,258,422 15,258,422 0 0 912828HN3 A 1.625 912820QK6 01/15/18 17,703,341 17,703,341 0 0 912828JE1 D 1.375 912820RB5 07/15/18 15,683,207 15,683,207 0 0 912828JX9 A 2.125 912820SV0 01/15/19 15,509,910 15,509,910 0 0 912828LA6 D 1.875 912820TY3 07/15/19 16,058,290 16,058,290 0 0 912828MF4 A 1.375 912820VB0 01/15/20 19,821,155 19,821,155 0 0 912828NM8 D 1.250 912820WF0 07/15/20 33,540,652 33,540,652 0 0 912828PP9 A 1.125 912820XK8 01/15/21 37,878,833 37,878,833 0 0 912828QV5 D 0.625 912820YP6 07/15/21 24,400,898 24,400,898 0 0 912810FR4 2.375 912803CN1 01/15/25 33,559,222 33,559,222 0 0 912810FS2 2.000 912803CW1 01/15/26 22,764,933 22,764,933 0 0 912810PS1 2.375 912803CY7 01/15/27 18,464,354 18,464,354 0 0 912810PV4 1.750 912803DB6 01/15/28 16,859,682 16,859,682 0 0 912810FD5 3.625 912803BN2 04/15/28 23,442,826 23,435,843 6,984 0 912810PZ5 2.500 912803DE0 01/15/29 14,889,730 14,889,730 0 0 912810FH6 3.875 912803CF8 04/15/29 26,793,425 26,621,645 171,780 0 912810FQ6 3.375 912803CL5 04/15/32 6,379,372 6,379,372 0 0 912810QF8 2.125 912803DL4 02/15/40 15,857,477 15,857,477 0 0 912810QP6 2.125 912803DR1 02/15/41 17,248,133 17,248,133 0 0 Total Treasury Inflation-Protected Securities........... 705,692,601 705,513,837 178,764 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, SEPTEMBER 30, 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: 912828FW5 P 4.625 912820NT0 10/31/11 16,181,388 15,895,308 286,080 0 912828LT5 AD 1.000 912820UQ8 10/31/11 45,084,377 45,065,377 19,000 0 912828JU5 S 1.750 912820RN9 11/15/11 29,443,187 29,151,934 291,253 36,480 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,550 16,858,860 177,690 0 912828MM9 AE 0.750 912820UU9 11/30/11 45,321,257 45,202,107 119,150 0 912828KA7 T 1.125 912820SS7 12/15/11 28,840,506 28,762,746 77,760 0 912828GC8 R 4.625 912820NZ6 12/31/11 16,131,258 16,110,458 20,800 0 912828ML1 AF 1.000 912820VA2 12/31/11 45,309,106 45,222,506 86,600 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 14,855,537 74,684 0 912828MJ6 AG 0.875 912820VD6 01/31/12 44,716,055 44,688,855 27,200 0 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 22,954,198 1,825,640 72,280 912828KC3 V 1.375 912820SZ1 02/15/12 33,629,572 33,426,052 203,520 0 912828GK0 G 4.625 912820PG6 02/29/12 16,636,927 16,564,447 72,480 0 912828MQ0 AH 0.875 912820VL8 02/29/12 45,081,761 44,963,041 118,720 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 16,192,063 161,600 0 912828MU1 AJ 1.000 912820VN4 03/31/12 45,488,746 45,432,946 55,800 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 16,313,219 137,200 0 912828NB2 AK 1.000 912820VT1 04/30/12 44,937,931 44,916,531 21,400 0 912828KP4 Y 1.375 912820TP2 05/15/12 41,193,756 40,821,616 372,140 0 912828GU8 L 4.750 912820PR2 05/31/12 16,235,887 15,911,087 324,800 0 912828NE6 AL 0.750 912820VY0 05/31/12 42,915,290 42,777,690 137,600 0 912828KX7 Z 1.875 912820TU1 06/15/12 35,370,103 35,367,863 2,240 0 912828GW4 M 4.875 912820PT8 06/30/12 15,903,423 15,785,343 118,080 0 912828NS5 AM 0.625 912820WE3 06/30/12 41,191,295 41,041,215 150,080 0 912828LB4 AA 1.500 912820TZ0 07/15/12 35,592,401 35,590,801 1,600 0 912828GZ7 N 4.625 912820PW1 07/31/12 15,803,679 15,711,943 91,736 0 912828NQ9 AN 0.625 912820WK9 07/31/12 39,247,932 39,228,732 19,200 0 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 18,176,776 1,471,200 20,000 912828LH1 AB 1.750 912820UE5 08/15/12 42,714,780 42,272,300 442,480 3,840 912828HC7 P 4.125 912820PZ4 08/31/12 16,091,100 16,061,500 29,600 0 912828PH7 AP 0.375 912820WN3 08/31/12 37,906,127 37,851,727 54,400 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 37,095,836 33,600 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 35,701,229 16,000 0 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,078,259 1,034,483 6,200 912828LX6 AE 1.375 912820UT2 11/15/12 44,974,831 44,805,970 168,861 0 912828HK9 S 3.375 912820QG5 11/30/12 15,953,078 15,941,878 11,200 0 912828PV6 AS 0.500 912820XD4 11/30/12 36,382,437 36,365,637 16,800 0 912828MB3 AF 1.125 912820UX3 12/15/12 40,217,333 40,212,533 4,800 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 36,751,331 3,200 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 15,695,014 5,200 0 912828PR5 AG 0.625 912820XM4 01/31/13 35,697,595 35,693,115 4,480 0 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,580,798 917,598 29,920 912828MN7 V 1.375 912820VG9 02/15/13 44,497,109 44,291,689 205,420 1,920 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 36,922,408 640 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 20,568,134 2,960 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 42,915,459 12,800 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 17,585,821 667,732 0 912828NC0 Y 1.375 912820VX2 05/15/13 41,316,930 41,290,270 26,660 0 912828JB7 L 3.500 912820QY6 05/31/13 20,518,499 20,514,099 4,400 0 912828QZ6 AL 0.500 912820YH4 05/31/13 37,945,705 37,945,705 0 0 912828NH9 Z 1.125 912820WB9 06/15/13 36,208,074 36,204,874 3,200 0 912828JD3 M 3.375 912820RA7 06/30/13 22,144,867 22,101,667 43,200 0 912828RA0 AM 0.375 912820YK7 06/30/13 36,126,640 36,126,640 0 0 912828NN6 AA 1.000 912820WG8 07/15/13 35,009,971 35,006,971 3,000 0 912828JG6 N 3.375 912820RD1 07/31/13 23,314,208 23,312,608 1,600 0 912828QW3 AN 0.375 912820YS0 07/31/13 36,042,014 36,042,014 0 0 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 32,878,153 642,970 33,360 912828NU0 AB 0.750 912820WL7 08/15/13 36,036,141 36,008,861 27,280 0 912828JK7 P 3.125 912820RF6 08/31/13 23,837,284 23,833,764 3,520 0 912828RD4 AP 0.125 912820YV3 08/31/13 36,070,538 36,070,538 0 0 912828NY2 AC 0.750 912820WR4 09/15/13 33,356,878 33,351,278 5,600 0 912828JM3 Q 3.125 912820RJ8 09/30/13 26,219,897 26,219,385 512 0 912828RK8 AQ 0.125 912820ZA8 09/30/13 36,089,776 36,089,776 0 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 29,601,246 1,035,598 0 912828PU8 AE 0.500 912820XA0 11/15/13 32,853,372 32,790,492 62,880 0 912828JT8 S 2.000 912820SQ1 11/30/13 27,819,417 27,517,317 302,100 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 30,036,980 6,560 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 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,588,718 492,348 7,800 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 33,575,198 320 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 26,988,068 314,913 5,600 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 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, SEPTEMBER 30, 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: 912828QS2 AA 0.750 912820YJ0 06/15/14 32,000,108 32,000,108 0 0 912828KY5 N 2.625 912820TV9 06/30/14 38,074,883 38,074,883 0 0 912828QU7 AB 0.625 912820YN1 07/15/14 32,000,023 32,000,023 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 24,438,634 283,000 0 912828RB8 AC 0.500 912820YU5 08/15/14 32,980,015 32,980,015 0 0 912828LK4 Q 2.375 912820UG0 08/31/14 40,174,823 40,174,823 0 0 912828RG7 AD 0.250 912820YY7 09/15/14 32,000,014 32,000,014 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 25,057,456 415,080 10,000 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 34,199,072 15,985 0 912828MR8 H 2.375 912820VJ3 02/28/15 43,033,093 42,934,533 98,560 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 5,600 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 32,405,297 64,400 13,840 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 23,220,385 400 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 21,841,412 360 9,800 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 0 912828KW9 K 3.250 912820TT4 05/31/16 26,895,995 26,895,995 0 0 912828QP8 Y 1.750 912820YG6 05/31/16 37,945,814 37,945,814 0 0 912828KZ2 L 3.250 912820TW7 06/30/16 27,784,181 27,784,181 0 0 912828QR4 Z 1.500 912820YM3 06/30/16 36,126,753 36,126,753 0 0 912828LD0 M 3.250 912820UB1 07/31/16 28,701,406 28,701,406 0 0 912828QX1 AA 1.500 912820YQ4 07/31/16 36,041,491 36,041,491 0 0 912828FQ8 E 4.875 912820NM5 08/15/16 22,556,671 22,526,111 30,560 0 912828LL2 N 3.000 912820UH8 08/31/16 28,842,663 28,842,663 0 0 912828RF9 AB 1.000 912820YW1 08/31/16 36,070,490 36,070,490 0 0 912828LP3 P 3.000 912820UL9 09/30/16 29,513,653 29,513,653 0 0 912828RJ1 AC 1.000 912820YZ4 09/30/16 36,089,759 36,089,759 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 23,287,226 6,560 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 32,948,276 160 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 27,661,718 12,530 3,040 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 39,184,209 20,300 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 31,440,908 31,440,908 0 0 912828QT0 M 2.375 912820YL5 06/30/18 29,933,711 29,933,711 0 0 912828QY9 N 2.250 912820YR2 07/31/18 29,863,552 29,863,552 0 0 912828JH4 E 4.000 912820RE9 08/15/18 36,802,978 36,799,828 3,150 0 912828RE2 P 1.500 912820YX9 08/31/18 29,886,480 29,886,480 0 0 912828RH5 Q 1.375 912820ZB6 09/30/18 29,902,866 29,902,866 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 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 0 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 67,409,083 800 0 912828PX2 B 3.625 912820XQ5 02/15/21 67,584,864 67,584,864 0 0 912828QN3 C 3.125 912820YE1 05/15/21 65,998,404 65,998,404 0 0 912828RC6 E 2.125 912820YT8 08/15/21 45,734,907 45,734,907 0 0 Total Treasury Notes.................................... 6,412,453,042 6,398,244,909 14,208,133 259,680 Grand Total............................................. 8,138,520,094 7,938,366,916 200,153,178 25,981,493