TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, FEBRUARY 29, 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 2,883,304 2,131,980 4,800 912810DP0 11.250 912803AA1 02/15/15 10,520,299 8,479,183 2,041,116 233,280 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,488,815 535,101 60,160 912810DT2 9.875 912803AE3 11/15/15 5,584,859 3,825,208 1,759,651 217,800 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,301,972 129,782 11,000 912810DW5 7.250 912803AH6 05/15/16 18,823,551 17,743,069 1,080,482 170,400 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,003,365 1,784,083 75,520 912810DY1 8.750 912803AL7 05/15/17 15,559,169 11,113,170 4,445,999 694,208 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 8,922,866 2,045,492 1,042,200 912810EA2 9.125 912803AN3 05/15/18 6,717,439 4,105,311 2,612,128 245,200 912810EB0 9.000 912803AP8 11/15/18 7,174,470 3,478,148 3,696,322 808,800 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 9,183,759 3,906,739 959,400 912810ED6 8.125 912803AR4 08/15/19 18,940,932 17,241,512 1,699,420 967,160 912810EE4 8.500 912803AS2 02/15/20 9,476,268 7,634,465 1,841,803 662,800 912810EF1 8.750 912803AT0 05/15/20 7,582,183 4,118,369 3,463,814 629,920 912810EG9 8.750 912803AU7 08/15/20 17,059,306 12,861,603 4,197,703 1,517,240 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,187,059 888,514 636,200 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 5,191,404 4,875,384 338,600 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,162,689 1,343,693 439,560 912810EL8 8.000 912803AY9 11/15/21 30,632,194 16,571,694 14,060,500 1,484,325 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 8,515,346 1,612,444 349,800 912810EN4 7.625 912803BA0 11/15/22 7,423,626 4,491,217 2,932,409 789,000 912810EP9 7.125 912803BB8 02/15/23 15,782,061 12,519,029 3,263,032 1,264,210 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 21,032,231 1,626,813 1,988,856 912810ES3 7.500 912803BD4 11/15/24 9,604,162 3,100,860 6,503,302 709,360 912810ET1 7.625 912803BE2 02/15/25 9,509,170 5,242,893 4,266,277 874,200 912810EV6 6.875 912803BF9 08/15/25 11,187,207 7,245,206 3,942,001 1,140,640 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,292,892 545,024 797,033 912810EX2 6.750 912803BH5 08/15/26 8,810,418 5,715,455 3,094,963 708,600 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 5,238,930 5,621,247 971,400 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 5,609,112 3,912,859 3,063,000 912810FA1 6.375 912803BL6 08/15/27 9,196,756 5,516,687 3,680,069 966,400 912810FB9 6.125 912803BM4 11/15/27 22,021,339 7,500,595 14,520,744 1,646,800 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,091,619 1,684,582 1,004,659 912810FF0 5.250 912803BV4 11/15/28 10,947,052 9,883,786 1,063,266 1,503,300 912810FG8 5.250 912803BW2 02/15/29 11,350,341 9,595,745 1,754,596 1,040,800 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 7,037,260 4,141,320 802,200 912810FM5 6.250 912803CH4 05/15/30 17,043,162 6,484,876 10,558,286 1,682,696 912810FP8 5.375 912803CK7 02/15/31 16,427,648 13,901,208 2,526,440 2,123,130 912810FT0 4.500 912803CX9 02/15/36 26,397,130 14,935,630 11,461,500 3,809,800 912810PT9 4.750 912803CZ4 02/15/37 16,589,456 11,928,556 4,660,900 4,518,800 912810PU6 5.000 912803DA8 05/15/37 21,413,045 14,985,485 6,427,560 2,009,760 912810PW2 4.375 912803DC4 02/15/38 13,294,377 13,289,577 4,800 0 Total Treasury Bonds.................................... 550,995,300 392,651,160 158,344,140 44,963,017 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 9128274Y5 A 3.875 912820DN4 01/15/09 20,366,836 20,365,555 1,281 0 9128275W8 A 4.250 912820EK9 01/15/10 14,133,317 14,133,317 0 0 912828CZ1 D 0.875 912820KV8 04/15/10 31,045,686 31,045,686 0 0 9128276R8 A 3.500 912820GA9 01/15/11 13,276,270 13,276,270 0 0 912828FB1 G 2.375 912820MY0 04/15/11 21,352,207 21,352,207 0 0 9128277J5 A 3.375 912820GT8 01/15/12 7,102,466 7,102,466 0 0 912828GN4 J 2.000 912820PK7 04/15/12 17,886,981 17,886,981 0 0 912828AF7 C 3.000 912820HC4 07/15/12 26,889,048 26,889,048 0 0 912828BD1 C 1.875 912820JA6 07/15/13 22,881,714 22,881,714 0 0 912828BW9 A 2.000 912820JT5 01/15/14 23,873,316 23,873,316 0 0 912828CP3 D 2.000 912820KL0 07/15/14 21,174,010 21,174,010 0 0 912828DH0 A 1.625 912820LE5 01/15/15 20,901,578 20,901,578 0 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, FEBRUARY 29, 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: 912828EA4 D 1.875 912820LX3 07/15/15 18,357,220 18,357,220 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 17,990,957 17,990,957 0 0 912828FL9 D 2.500 912820NH6 07/15/16 20,801,659 20,801,659 0 0 912828GD6 A 2.375 912820PA9 01/15/17 17,965,817 17,965,817 0 0 912828GX2 D 2.625 912820PU5 07/15/17 14,186,162 14,186,162 0 0 912828HN3 A 1.625 912820QK6 01/15/18 10,443,909 10,443,909 0 0 912810FR4 2.375 912803CN1 01/15/25 31,200,996 31,200,996 0 0 912810FS2 2.000 912803CW1 01/15/26 21,165,324 21,165,324 0 0 912810PS1 2.375 912803CY7 01/15/27 17,167,028 17,167,028 0 0 912810PV4 1.750 912803DB6 01/15/28 8,997,583 8,997,583 0 0 912810FD5 3.625 912803BN2 04/15/28 21,795,528 21,789,035 6,493 0 912810FH6 3.875 912803CF8 04/15/29 24,910,609 24,750,901 159,709 0 912810FQ6 3.375 912803CL5 04/15/32 5,931,128 5,931,128 0 0 Total Treasury Inflation-Protected Securities ......... 471,797,349 471,629,866 167,483 0 Treasury Notes: CUSIP: Series: Interest Rate: 912828EZ9 T 4.625 912820MW4 03/31/08 26,841,568 26,710,368 131,200 0 912828FC9 U 4.875 912820MZ7 04/30/08 26,837,165 26,766,765 70,400 51,200 9128274F6 C 5.625 912820CY1 05/15/08 27,190,961 24,395,121 2,795,840 1,920 912828AZ3 F 2.625 912820HW0 05/15/08 33,338,446 31,820,686 1,517,760 3,200 912828DT4 N 3.750 912820LQ8 05/15/08 26,707,681 25,774,521 933,160 52,320 912828FG0 V 4.875 912820ND5 05/31/08 25,933,459 25,762,259 171,200 6,400 912828FJ4 W 5.125 912820NF0 06/30/08 26,498,732 26,410,732 88,000 6,400 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 19,121,673 2,235,801 20,640 912828EC0 P 4.125 912820LZ8 08/15/08 20,290,622 19,770,382 520,240 112,000 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 24,468,935 30,400 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 24,211,727 871,398 3,400 912828BQ2 K 3.375 912820JM0 11/15/08 18,181,033 17,774,125 406,908 30,400 912828EL0 Q 4.375 912820MH7 11/15/08 21,449,894 21,363,914 85,980 9,960 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 0 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 17,146,970 286,793 1,400 912828EV8 R 4.500 912820MS3 02/15/09 22,308,500 21,850,760 457,740 4,200 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 22,240,118 537,600 0 9128275G3 B 5.500 912820DV6 05/15/09 14,794,790 14,671,790 123,000 2,400 912828CH1 H 3.875 912820KE6 05/15/09 18,059,937 17,114,992 944,945 24,200 912828FE5 S 4.875 912820NB9 05/15/09 27,380,356 26,970,776 409,580 0 912828GT1 Z 4.875 912820PQ4 05/31/09 22,486,466 22,400,066 86,400 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 25,207,493 2,192,401 13,100 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 23,330,574 89,840 25,600 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 0 912828FX3 U 4.625 912820NU7 11/15/09 24,772,846 24,437,506 335,340 6,400 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 26,497,461 26,497,461 0 0 912828DG2 E 3.625 912820LD7 01/15/10 15,004,697 14,359,177 645,520 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, FEBRUARY 29, 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: 912828HP8 U 2.125 912820QL4 01/31/10 26,920,054 26,920,054 0 0 9128275Z1 B 6.500 912820EM5 02/15/10 23,355,709 21,233,806 2,121,903 0 912828DL1 F 3.500 912820LH8 02/15/10 16,617,068 16,494,948 122,120 0 912828GG9 S 4.750 912820PD3 02/15/10 17,467,187 17,079,987 387,200 30,400 912828HS2 V 2.000 912820QP5 02/28/10 28,901,219 28,901,219 0 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 17,842,344 906,500 1,600 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 20,605,265 1,832,329 0 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 12,936,062 64,800 0 912828EM8 Q 4.500 912820MJ3 11/15/10 15,961,105 14,843,305 1,117,800 18,400 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 22,043,507 1,392,822 15,560 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 17,335,483 164,800 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 24,567,810 2,067,506 0 912828FS4 M 4.625 912820NP8 08/31/11 17,500,676 17,375,876 124,800 0 912828FU9 N 4.500 912820NR4 09/30/11 17,500,158 17,432,958 67,200 0 912828FW5 P 4.625 912820NT0 10/31/11 16,181,388 15,970,928 210,460 1,600 912828GA2 Q 4.500 912820NX1 11/30/11 17,036,550 16,976,650 59,900 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 23,614,138 1,165,700 11,200 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 16,290,463 63,200 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 0 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 15,742,879 60,800 0 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 17,645,344 2,002,632 1,920 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 16,948,698 1,164,044 180,250 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 15,700,214 15,700,214 0 0 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,590,316 908,080 1,600 912828HT0 G 2.750 912820QQ3 02/28/13 17,784,685 17,784,685 0 0 912828BA7 B 3.625 912820HX8 05/15/13 18,253,553 17,575,787 677,766 4,800 912828BH2 D 4.250 912820JE8 08/15/13 33,521,123 32,882,643 638,480 59,400 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,663,166 973,678 14,400 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,406,766 674,300 90,300 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,554,731 748,250 13,500 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,312,934 408,700 486,400 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 24,935,136 537,400 0 912828DM9 B 4.000 912820LJ4 02/15/15 24,214,991 24,213,891 1,100 150,000 912828DV9 C 4.125 912820LS4 05/15/15 24,471,849 24,457,449 14,400 150,400 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 22,542,271 14,400 1,600 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 912828HR4 B 3.500 912820QN0 02/15/18 19,204,916 19,204,916 0 2,800 Total Treasury Notes.................................... 2,478,321,991 2,434,729,277 43,592,714 1,611,270 Grand Total........................................... 3,501,114,640 3,299,010,303 202,104,337 46,574,287