TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JANUARY 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 2,879,304 2,135,980 20,000 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,393,703 2,126,596 321,720 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,508,335 515,581 214,360 912810DT2 9.875 912803AE3 11/15/15 5,584,859 3,713,808 1,871,051 258,000 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,295,772 135,982 20,800 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,737,869 1,085,682 7,800 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,396,285 1,391,163 108,120 912810DY1 8.750 912803AL7 05/15/17 15,559,169 10,940,290 4,618,879 1,219,080 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 9,079,466 1,888,892 602,000 912810EA2 9.125 912803AN3 05/15/18 6,717,439 4,096,711 2,620,728 1,144,400 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,442,948 3,731,522 1,113,200 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 9,071,559 4,018,939 1,404,000 912810ED6 8.125 912803AR4 08/15/19 18,940,932 17,050,392 1,890,540 1,761,640 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,658,465 1,817,803 1,123,000 912810EF1 8.750 912803AT0 05/15/20 7,582,183 4,280,089 3,302,094 942,080 912810EG9 8.750 912803AU7 08/15/20 17,059,306 13,868,443 3,190,863 1,353,160 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,201,659 873,914 896,600 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 6,037,764 4,029,024 246,480 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,474,129 1,032,253 625,960 912810EL8 8.000 912803AY9 11/15/21 30,632,194 16,726,919 13,905,275 4,856,600 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,515,546 1,612,244 487,200 912810EN4 7.625 912803BA0 11/15/22 7,423,626 4,470,017 2,953,609 437,600 912810EP9 7.125 912803BB8 02/15/23 15,782,061 12,993,629 2,788,432 1,985,720 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 20,741,159 1,917,885 2,367,016 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,113,100 6,491,062 1,030,320 912810ET1 7.625 912803BE2 02/15/25 9,509,170 5,443,493 4,065,677 1,164,800 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,160,126 4,027,081 811,520 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,275,792 562,124 1,409,400 912810EX2 6.750 912803BH5 08/15/26 8,810,418 6,205,255 2,605,163 1,444,400 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 5,277,730 5,582,447 693,600 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 4,944,112 4,577,859 2,991,479 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,533,887 3,662,869 1,543,000 912810FB9 6.125 912803BM4 11/15/27 22,021,339 8,452,595 13,568,744 1,931,000 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,114,619 1,661,582 1,532,200 912810FF0 5.250 912803BV4 11/15/28 10,947,052 9,630,186 1,316,866 3,075,400 912810FG8 5.250 912803BW2 02/15/29 11,350,341 9,417,945 1,932,396 1,377,600 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 7,159,660 4,018,920 1,501,351 912810FM5 6.250 912803CH4 05/15/30 17,043,162 6,812,036 10,231,126 3,230,576 912810FP8 5.375 912803CK7 02/15/31 16,427,648 14,277,608 2,150,040 2,724,800 912810FT0 4.500 912803CX9 02/15/36 26,397,130 14,549,830 11,847,300 2,857,733 912810PT9 4.750 912803CZ4 02/15/37 16,589,456 12,020,556 4,568,900 3,237,800 912810PU6 5.000 912803DA8 05/15/37 21,413,045 15,122,645 6,290,400 1,557,840 Total Treasury Bonds.................................... 537,700,923 383,085,436 154,615,487 57,631,355 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128274Y5 A 3.875 912820DN4 01/15/09 20,376,059 20,374,778 1,281 0 9128275W8 A 4.250 912820EK9 01/15/10 14,139,770 14,139,770 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 31,059,686 31,059,686 0 0 9128276R8 A 3.500 912820GA9 01/15/11 13,282,321 13,282,321 0 0 912828FB1 G 2.375 912820MY0 04/15/11 21,362,094 21,362,094 0 0 9128277J5 A 3.375 912820GT8 01/15/12 7,105,709 7,105,709 0 0 912828GN4 J 2.000 912820PK7 04/15/12 17,895,276 17,895,276 0 0 912828AF7 C 3.000 912820HC4 07/15/12 26,901,478 26,901,478 0 0 912828BD1 C 1.875 912820JA6 07/15/13 22,892,118 22,892,118 0 0 912828BW9 A 2.000 912820JT5 01/15/14 23,884,236 23,884,236 0 0 912828CP3 D 2.000 912820KL0 07/15/14 21,183,702 21,183,702 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,911,079 20,911,079 0 0 912828EA4 D 1.875 912820LX3 07/15/15 18,365,550 18,365,550 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,999,117 17,999,117 0 0 912828FL9 D 2.500 912820NH6 07/15/16 20,811,059 20,811,059 0 0 912828GD6 A 2.375 912820PA9 01/15/17 17,973,924 17,973,924 0 0 912828GX2 D 2.625 912820PU5 07/15/17 14,192,742 14,192,742 0 0 912828HN3 A 1.625 912820QK6 01/15/18 10,448,705 10,448,705 0 0 912810FR4 2.375 912803CN1 01/15/25 31,215,276 31,215,276 0 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JANUARY 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: 912810FS2 2.000 912803CW1 01/15/26 21,174,924 21,174,924 0 0 912810PS1 2.375 912803CY7 01/15/27 17,174,775 17,174,775 0 0 912810PV4 1.750 912803DB6 01/15/28 9,001,450 9,001,450 0 0 912810FD5 3.625 912803BN2 04/15/28 21,805,598 21,799,102 6,496 0 912810FH6 3.875 912803CF8 04/15/29 24,922,113 24,762,330 159,783 0 912810FQ6 3.375 912803CL5 04/15/32 5,933,835 5,933,835 0 0 Total Treasury Inflation-Protected Securities ......... 472,012,594 471,845,034 167,560 0 Treasury Notes: CUSIP: Series: Interest Rate: 9128273X8 B 5.500 912820CQ8 02/15/08 13,583,412 12,563,614 1,019,798 153,800 912828AT7 E 3.000 912820HQ3 02/15/08 27,489,260 26,579,761 909,499 65,800 912828DK3 M 3.375 912820LG0 02/15/08 23,885,083 23,266,253 618,830 24,000 912828EY2 S 4.625 912820MV6 02/29/08 26,504,069 26,441,669 62,400 0 912828EZ9 T 4.625 912820MW4 03/31/08 26,841,568 26,710,368 131,200 3,200 912828FC9 U 4.875 912820MZ7 04/30/08 26,837,165 26,715,565 121,600 0 9128274F6 C 5.625 912820CY1 05/15/08 27,190,961 24,616,584 2,574,377 55,360 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 31,822,286 1,516,160 3,000 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 25,743,801 963,880 10,240 912828FG0 V 4.875 912820ND5 05/31/08 25,933,459 25,755,859 177,600 0 912828FJ4 W 5.125 912820NF0 06/30/08 26,498,732 26,404,332 94,400 0 912828FM7 X 5.000 912820NJ2 07/31/08 26,428,771 26,389,651 39,120 0 912828BG4 G 3.250 912820JD0 08/15/08 21,357,474 19,281,270 2,076,204 18,200 912828EC0 P 4.125 912820LZ8 08/15/08 20,290,622 19,755,382 535,240 184,000 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 24,470,535 28,800 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 24,224,427 858,698 23,800 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,771,425 409,608 17,600 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,356,474 93,420 6,000 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 15,996,728 3,300 0 912828GB0 AC 4.750 912820NY9 12/31/08 24,816,923 24,374,523 442,400 100 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 22,942,557 33,600 0 912828BZ2 E 3.000 912820JW8 02/15/09 17,433,763 17,154,073 279,690 5,800 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 21,897,560 410,940 1,400 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 22,602,335 43,200 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 22,250,118 527,600 0 9128275G3 B 5.500 912820DV6 05/15/09 14,794,790 14,672,590 122,200 2,400 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,116,992 942,945 3,000 912828FE5 S 4.875 912820NB9 05/15/09 27,380,356 26,980,376 399,980 19,200 912828GT1 Z 4.875 912820PQ4 05/31/09 22,486,466 22,404,866 81,600 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 21,979,329 41,600 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 25,197,393 2,202,501 2,500 912828CS7 L 3.500 912820KP1 08/15/09 17,294,686 16,624,244 670,442 0 912828FP0 T 4.875 912820NL7 08/15/09 23,420,414 23,322,574 97,840 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 21,953,962 14,700 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 17,458,668 1,293,260 1,000 912828FX3 U 4.625 912820NU7 11/15/09 24,772,846 24,437,506 335,340 3,200 912828HJ2 AF 3.125 912820QF7 11/30/09 24,544,183 24,544,183 0 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 26,497,391 26,497,391 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 26,926,056 26,926,056 0 0 9128275Z1 B 6.500 912820EM5 02/15/10 23,355,709 21,274,206 2,081,503 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JANUARY 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: 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,494,948 122,120 2,000 912828GG9 S 4.750 912820PD3 02/15/10 17,467,187 17,049,587 417,600 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 14,746,244 255,250 0 912828DU1 J 3.875 912820LR6 05/15/10 18,748,844 17,840,744 908,100 6,400 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 20,605,565 1,832,029 140,800 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 12,947,262 53,600 0 912828EM8 Q 4.500 912820MJ3 11/15/10 15,961,105 14,832,105 1,129,000 228,000 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 22,038,787 1,397,542 6,960 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 17,024,592 120,000 0 912828FK1 K 5.125 912820NG8 06/30/11 17,500,283 17,346,683 153,600 0 912828FN5 L 4.875 912820NK9 07/31/11 16,830,671 16,198,671 632,000 0 9128277B2 C 5.000 912820GL5 08/15/11 26,635,316 24,568,210 2,067,106 6,000 912828FS4 M 4.625 912820NP8 08/31/11 17,500,676 17,375,876 124,800 20,800 912828FU9 N 4.500 912820NR4 09/30/11 17,500,158 17,442,558 57,600 0 912828FW5 P 4.625 912820NT0 10/31/11 16,181,388 15,974,128 207,260 1,600 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,550 16,977,050 59,500 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 23,602,938 1,176,900 16,000 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 16,314,463 39,200 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 16,128,687 107,200 800 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 15,746,079 57,600 0 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 17,646,944 2,001,032 1,200 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 16,810,698 1,302,044 36,000 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 15,705,583 15,705,583 0 0 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,591,916 906,480 1,600 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 17,570,987 682,566 1,600 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 32,828,043 693,080 7,000 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,659,966 976,878 69,200 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,397,316 683,750 28,700 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,588,731 714,250 0 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,222,534 499,100 601,000 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 24,935,136 537,400 2,800 912828DM9 B 4.000 912820LJ4 02/15/15 24,214,991 24,213,891 1,100 0 912828DV9 C 4.125 912820LS4 05/15/15 24,471,849 24,457,449 14,400 75,200 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 21,841,772 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 22,556,671 22,548,671 8,000 4,800 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 25,560,941 25,600 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 Total Treasury Notes.................................... 2,503,904,296 2,457,829,088 46,075,208 1,862,060 Grand Total........................................... 3,513,617,813 3,312,759,558 200,858,255 59,493,415