TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, August 31, 2006 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held in This Outstanding Unstripped Form Stripped Form Treasury Bonds: CUSIP: Interest Rate: 912810DN5 11.750 912800AA7 11/15/14 5,015,284 2,956,104 2,059,180 22,040 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,424,083 2,096,216 264,640 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,348,575 675,341 514,120 912810DT2 9.875 912803AE3 11/15/15 5,584,859 3,913,708 1,671,151 750,000 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,228,310 203,444 238,800 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,933,869 889,682 2,347,793 912810DX3 7.500 912803AK9 11/15/16 18,787,448 16,816,035 1,971,413 1,027,440 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,752,812 4,806,357 838,720 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,573,366 2,394,992 1,009,200 912810EA2 9.125 912803AN3 05/15/18 6,717,439 3,881,621 2,835,818 583,600 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,716,429 3,458,041 1,234,800 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 6,955,584 6,134,914 1,320,800 912810ED6 8.125 912803AR4 08/15/19 18,940,932 16,744,122 2,196,810 1,659,240 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,719,765 1,756,503 1,109,800 912810EF1 8.750 912803AT0 05/15/20 7,582,183 3,299,859 4,282,324 1,242,840 912810EG9 8.750 912803AU7 08/15/20 17,059,306 10,490,939 6,568,367 1,741,080 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,214,526 861,047 391,800 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 5,118,239 4,948,549 1,583,400 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,300,119 1,206,263 1,106,360 912810EL8 8.000 912803AY9 11/15/21 30,632,194 14,479,460 16,152,734 7,921,000 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,421,108 1,706,682 1,128,600 912810EN4 7.625 912803BA0 11/15/22 7,423,626 3,207,868 4,215,758 360,400 912810EP9 7.125 912803BB8 02/15/23 15,782,061 11,783,055 3,999,006 1,554,800 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 20,052,139 2,606,905 1,698,008 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,598,971 6,005,191 508,400 912810ET1 7.625 912803BE2 02/15/25 9,509,170 4,754,569 4,754,601 801,400 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,149,466 4,037,741 920,800 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,122,872 715,044 526,500 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,654,155 3,156,263 1,122,800 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 4,443,471 6,416,706 845,200 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,054,735 5,467,236 194,600 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,097,397 4,099,359 791,000 912810FB9 6.125 912803BM4 11/15/27 22,021,339 7,960,820 14,060,519 2,686,200 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,609,969 1,166,232 625,000 912810FF0 5.250 912803BV4 11/15/28 10,947,052 9,184,696 1,762,356 1,668,000 912810FG8 5.250 912803BW2 02/15/29 11,350,341 9,713,145 1,637,196 633,100 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 7,662,743 3,515,837 1,409,400 912810FM5 6.250 912803CH4 05/15/30 17,043,162 5,897,927 11,145,235 2,760,976 912810FP8 5.375 912803CK7 02/15/31 16,427,648 15,169,248 1,258,400 225,600 912810FT0 4.500 912803CX9 02/15/36 26,397,130 25,987,930 409,200 0 Total Treasury Bonds............... 499,698,422 350,393,809 149,304,613 47,368,257 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128272M3 A 3.375 912820BV8 01/15/07 20,179,185 20,179,185 0 0 9128273T7 A 3.625 912820CL9 01/15/08 21,112,617 20,987,033 125,584 0 9128274Y5 A 3.875 912820DN4 01/15/09 19,673,173 19,671,936 1,237 0 9128275W8 A 4.250 912820EK9 01/15/10 13,651,949 13,651,949 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 29,988,074 29,988,074 0 0 9128276R8 A 3.500 912820GA9 01/15/11 12,824,128 12,824,128 0 0 912828FB1 G 2.375 912820MY0 04/15/11 11,241,467 11,241,467 0 0 9128277J5 A 3.375 912820GT8 01/15/12 6,860,554 6,860,554 0 0 912828AF7 C 3.000 912820HC4 07/15/12 25,973,174 25,973,174 0 0 912828BD1 C 1.875 912820JA6 07/15/13 22,102,390 22,102,390 0 0 912828BW9 A 2.000 912820JT5 01/15/14 23,060,345 23,060,345 0 0 912828CP3 D 2.000 912820KL0 07/15/14 20,452,875 20,452,875 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,189,601 20,189,601 0 0 912828EA4 D 1.875 912820LX3 07/15/15 17,731,968 17,731,968 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,378,258 17,378,258 0 0 912828FL9 D 2.500 912820NH6 07/15/16 10,638,098 10,638,098 0 0 912810FR4 2.375 912803CN1 01/15/25 30,138,366 30,138,366 0 0 912810FS2 2.000 912803CW1 01/15/26 20,444,520 20,444,520 0 0 912810FD5 3.625 912803BN2 04/15/28 21,053,195 21,046,923 6,272 0 912810FH6 3.875 912803CF8 04/15/29 24,062,299 23,908,029 154,270 0 912810FQ6 3.375 912803CL5 04/15/32 5,729,135 5,729,135 0 0 Total Treasury Inflation-Protected 394,485,370 394,198,007 287,363 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, August 31, 2006 -- Continued Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held in This Outstanding Unstripped Form Stripped Form Treasury Notes: CUSIP: Series: Interest Rate: 912828CW8 T 2.500 912820KT3 09/30/06 31,656,294 31,656,294 0 0 912827Z62 D 6.500 912820BU0 10/15/06 22,459,675 22,359,483 100,192 0 912828CY4 U 2.500 912820KW6 10/31/06 29,568,526 29,568,526 0 0 9128277F3 F 3.500 912820GQ4 11/15/06 35,380,129 33,089,529 2,290,600 244,400 912828BP4 J 2.625 912820JL2 11/15/06 26,535,905 25,953,545 582,360 0 912828DD9 V 2.875 912820LA3 11/30/06 30,049,344 30,001,344 48,000 0 912828DF4 W 3.000 912820LC9 12/31/06 31,951,752 31,951,752 0 0 912828DJ6 M 3.125 912820LF2 01/31/07 29,026,959 29,026,959 0 0 9128272J0 B 6.250 912820BW6 02/15/07 13,103,678 11,173,436 1,930,242 119,284 912828BY5 H 2.250 912820JV0 02/15/07 25,469,287 25,052,987 416,300 0 912828DN7 N 3.375 912820LK1 02/28/07 32,007,046 32,007,046 0 0 912828DQ0 P 3.750 912820LM7 03/31/07 32,000,981 32,000,661 320 0 912828DS6 Q 3.625 912820LP0 04/30/07 31,997,895 31,991,495 6,400 0 9128272U5 C 6.625 912820BX4 05/15/07 13,958,186 12,524,061 1,434,125 5,400 912828AC4 E 4.375 912820GZ4 05/15/07 24,351,431 24,294,061 57,370 0 912828CG3 J 3.125 912820KD8 05/15/07 27,564,268 26,339,463 1,224,805 0 912828DW7 R 3.500 912820LT2 05/31/07 29,119,184 29,119,184 0 0 912828DY3 S 3.625 912820LV7 06/30/07 26,664,251 26,637,441 26,810 0 912828EB2 T 3.875 912820LY1 07/31/07 25,869,508 25,821,508 48,000 0 9128273E0 D 6.125 912820CA3 08/15/07 25,636,803 23,242,616 2,394,187 8,600 912828AH3 F 3.250 912820HE0 08/15/07 25,410,844 25,372,287 38,557 0 912828CR9 K 2.750 912820KN6 08/15/07 24,673,687 24,402,379 271,308 58,800 912828EF3 U 4.000 912820MC8 08/31/07 26,671,232 26,671,232 0 0 912828EH9 V 4.000 912820ME4 09/30/07 26,590,770 26,588,170 2,600 0 912828EK2 W 4.250 912820MG9 10/31/07 26,552,797 26,395,197 157,600 0 912828AN0 G 3.000 912820HK6 11/15/07 50,619,528 47,896,789 2,722,739 17,500 912828EP1 X 4.250 912820ML8 11/30/07 26,666,931 26,666,931 0 0 912828ER7 Y 4.375 912820MN4 12/31/07 26,666,879 26,594,879 72,000 0 912828EU0 R 4.375 912820MR5 01/31/08 27,168,309 27,152,309 16,000 0 9128273X8 B 5.500 912820CQ8 02/15/08 13,583,412 12,877,357 706,055 36,930 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 27,045,802 443,458 2,400 912828DK3 M 3.375 912820LG0 02/15/08 23,885,083 23,374,323 510,760 0 912828EY2 S 4.625 912820MV6 02/29/08 26,504,069 26,475,269 28,800 0 912828EZ9 T 4.625 912820MW4 03/31/08 26,841,568 26,801,568 40,000 0 912828FC9 U 4.875 912820MZ7 04/30/08 26,837,165 26,782,765 54,400 0 9128274F6 C 5.625 912820CY1 05/15/08 27,190,961 25,015,096 2,175,865 10,720 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 32,163,346 1,175,100 0 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 26,240,261 467,420 0 912828FG0 V 4.875 912820ND5 05/31/08 25,933,459 25,871,059 62,400 0 912828FJ4 W 5.125 912820NF0 06/30/08 26,498,732 26,455,532 43,200 3,200 912828FM7 X 5.000 912820NJ2 07/31/08 26,428,771 26,428,771 0 0 912828BG4 G 3.250 912820JD0 08/15/08 21,357,474 18,507,446 2,850,028 44,700 912828EC0 P 4.125 912820LZ8 08/15/08 20,290,622 20,224,562 66,060 0 912828FR6 Y 4.875 912820NN3 08/31/08 26,506,659 26,506,659 0 0 912828BK5 H 3.125 912820JG3 09/15/08 16,002,177 15,975,377 26,800 0 912828BM1 J 3.125 912820JJ7 10/15/08 15,995,702 15,995,702 0 0 9128274V1 D 4.750 912820DK0 11/15/08 25,083,125 24,667,595 415,530 0 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,417,097 763,936 0 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,412,414 37,480 0 912828BT6 L 3.375 912820JQ1 12/15/08 16,000,028 15,996,828 3,200 0 912828BV1 D 3.250 912820JS7 01/15/09 16,002,546 15,924,946 77,600 0 912828BZ2 E 3.000 912820JW8 02/15/09 17,433,763 17,182,723 251,040 3,600 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 22,082,300 226,200 0 912828CC2 F 2.625 912820JZ1 03/15/09 16,001,063 15,999,463 1,600 0 912828CE8 G 3.125 912820KB2 04/15/09 16,002,805 16,002,805 0 0 9128275G3 B 5.500 912820DV6 05/15/09 14,794,790 14,701,790 93,000 400 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,617,677 442,260 3,200 912828FE5 S 4.875 912820NB9 05/15/09 27,380,356 27,373,956 6,400 0 912828CL2 J 4.000 912820KH9 06/15/09 15,004,754 15,004,754 0 0 912828CN8 K 3.625 912820KK2 07/15/09 15,004,962 14,996,962 8,000 0 9128275N8 C 6.000 912820EA1 08/15/09 27,399,894 25,605,455 1,794,439 12,300 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,764,184 530,502 28,000 912828FP0 T 4.875 912820NL7 08/15/09 23,420,414 23,418,814 1,600 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 14,944,291 60,800 0 912828DB3 P 3.500 912820KY2 11/15/09 18,751,928 18,273,048 478,880 9,200 912828DE7 Q 3.500 912820LB1 12/15/09 15,002,485 15,002,485 0 0 912828DG2 E 3.625 912820LD7 01/15/10 15,004,697 14,997,897 6,800 0 9128275Z1 B 6.500 912820EM5 02/15/10 23,355,709 22,360,006 995,703 7,600 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,454,668 162,400 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 15,001,144 350 0 912828DU1 J 3.875 912820LR6 05/15/10 18,748,844 18,263,384 485,460 11,200 912828DX5 K 3.625 912820LU9 06/15/10 14,001,099 14,001,099 0 0 912828DZ0 L 3.875 912820LW5 07/15/10 13,000,529 13,000,529 0 0 9128276J6 C 5.750 912820FT9 08/15/10 22,437,594 20,850,065 1,587,529 13,120 912828ED8 M 4.125 912820MA2 08/15/10 14,963,424 14,130,744 832,680 52,800 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 13,000,862 0 0 912828EM8 Q 4.500 912820MJ3 11/15/10 15,961,105 15,609,125 351,980 0 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 22,214,427 1,221,902 4,400 912828EX4 E 4.500 912820MU8 02/28/11 17,500,138 17,459,338 40,800 0 912828FA3 F 4.750 912820MX2 03/31/11 17,497,861 17,425,061 72,800 0 912828FD7 H 4.875 912820NA1 04/30/11 17,501,477 17,431,077 70,400 1,600 912828FH8 J 4.875 912820NE3 05/31/11 17,144,592 17,096,392 48,200 0 912828FK1 K 5.125 912820NG8 06/30/11 17,500,283 17,477,883 22,400 0 912828FN5 L 4.875 912820NK9 07/31/11 16,830,671 16,824,271 6,400 0 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 25,099,523 1,535,793 44,120 912828FS4 M 4.625 912820NP8 08/31/11 17,500,672 17,500,672 0 0 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,748,538 1,031,300 25,600 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 18,740,646 907,330 80,520 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 17,832,492 280,250 0 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 19,166,876 331,520 0 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 18,205,553 48,000 16,000 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 33,313,023 208,100 5,600 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 30,074,124 562,720 1,000 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 28,057,866 23,200 0 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 27,027,151 275,830 154,200 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,704,034 17,600 152,000 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 25,472,036 500 348,400 912828DM9 B 4.000 912820LJ4 02/15/15 24,214,991 24,214,991 0 0 912828DV9 C 4.125 912820LS4 05/15/15 24,471,849 24,471,549 300 0 912828EE6 E 4.250 912820MB0 08/15/15 22,469,683 22,454,483 15,200 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 14,556,686 14,556,686 0 0 Total Treasury Notes............... 2,439,116,389 2,400,284,814 38,831,575 1,526,794 Grand Total................................................ 3,333,300,181 3,144,876,630 188,423,551 48,895,051