TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED …

[Pages:3]TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, OCTOBER 31, 2009

Loan Description

Corpus STRIP CUSIP

Maturity Date

Amount Outstanding in Thousands

Total Outstanding

Portion Held in Portion Held in Unstripped Form Stripped Form

Reconstituted This Month

Treasury Bonds: CUSIP: 912810DN5 912810DP0 912810DS4 912810DT2 912810DV7 912810DW5 912810DX3 912810DY1 912810DZ8 912810EA2 912810EB0 912810EC8 912810ED6 912810EE4 912810EF1 912810EG9 912810EH7 912810EJ3 912810EK0 912810EL8 912810EM6 912810EN4 912810EP9 912810EQ7 912810ES3 912810ET1 912810EV6 912810EW4 912810EX2 912810EY0 912810EZ7 912810FA1 912810FB9 912810FE3 912810FF0 912810FG8 912810FJ2 912810FM5 912810FP8 912810FT0 912810PT9 912810PU6 912810PW2 912810PX0 912810QA9 912810QB7 912810QC5

Interest Rate: 11.750 11.250 10.625 9.875 9.250 7.250 7.500 8.750 8.875 9.125 9.000 8.875 8.125 8.500 8.750 8.750 7.875 8.125 8.125 8.000 7.250 7.625 7.125 6.250 7.500 7.625 6.875 6.000 6.750 6.500 6.625 6.375 6.125 5.500 5.250 5.250 6.125 6.250 5.375 4.500 4.750 5.000 4.375 4.500 3.500 4.250 4.500

912800AA7 912803AA1 912803AC7 912803AE3 912803AF0 912803AH6 912803AK9 912803AL7 912803AM5 912803AN3 912803AP8 912803AQ6 912803AR4 912803AS2 912803AT0 912803AU7 912803AV5 912803AW3 912803AX1 912803AY9 912803AZ6 912803BA0 912803BB8 912803BC6 912803BD4 912803BE2 912803BF9 912803BG7 912803BH5 912803BJ1 912803BK8 912803BL6 912803BM4 912803BP7 912803BV4 912803BW2 912803CG6 912803CH4 912803CK7 912803CX9 912803CZ4 912803DA8 912803DC4 912803DD2 912803DF7 912803DG5 912803DH3

11/15/14 02/15/15 08/15/15 11/15/15 02/15/16 05/15/16 11/15/16 05/15/17 08/15/17 05/15/18 11/15/18 02/15/19 08/15/19 02/15/20 05/15/20 08/15/20 02/15/21 05/15/21 08/15/21 11/15/21 08/15/22 11/15/22 02/15/23 08/15/23 11/15/24 02/15/25 08/15/25 02/15/26 08/15/26 11/15/26 02/15/27 08/15/27 11/15/27 08/15/28 11/15/28 02/15/29 08/15/29 05/15/30 02/15/31 02/15/36 02/15/37 05/15/37 02/15/38 05/15/38 02/15/39 05/15/39 08/15/39

5,015,284 10,520,299

4,023,916 5,584,859 5,431,754 18,823,551 18,787,448 15,559,169 10,968,358 6,717,439 7,174,470 13,090,498 18,940,932 9,476,268 7,582,183 17,059,306 10,075,573 10,066,788 9,506,382 30,632,194 10,127,790 7,423,626 15,782,061 22,659,044 9,604,162 9,509,170 11,187,207 12,837,916 8,810,418 10,860,177 9,521,971 9,196,756 22,021,339 11,776,201 10,947,052 11,350,341 11,178,580 17,043,162 16,427,648 26,397,130 16,589,456 21,413,045 22,525,149 25,500,123 25,908,569 38,778,773 41,430,538

2,881,243 9,244,503 3,241,723 4,216,188 5,329,512 17,708,910 17,781,029 12,040,060 9,239,426 4,484,076 5,093,548 10,462,856 17,620,730 8,077,205 5,143,237 13,384,371 9,366,799 7,196,744 8,146,521 17,233,047 8,767,406 4,530,477 12,169,149 21,533,751 7,569,282 7,973,105 9,864,960 12,221,852 7,478,995 6,910,430 6,739,052 6,210,607 11,579,515 9,925,999 8,301,866 10,270,365 5,895,640 6,342,016 12,106,728 16,447,890 11,885,251 14,616,045 17,914,015 21,395,823 24,907,569 30,455,733 39,182,478

2,134,041 1,275,796

782,193 1,368,671

102,242 1,114,641 1,006,419 3,519,109 1,728,932 2,233,363 2,080,922 2,627,642 1,320,202 1,399,063 2,438,946 3,674,935

708,774 2,870,044 1,359,861 13,399,147 1,360,384 2,893,149 3,612,912 1,125,293 2,034,880 1,536,065 1,322,247

616,064 1,331,423 3,949,747 2,782,919 2,986,149 10,441,824 1,850,202 2,645,186 1,079,976 5,282,940 10,701,146 4,320,920 9,949,240 4,704,205 6,797,000 4,611,134 4,104,300 1,001,000 8,323,040 2,248,060

18,400 207,000

71,736 174,400

8,000 79,840 19,720 506,216 76,160 102,000 39,960 155,540 440,984 52,800 678,004 2,164,776 772,960 1,198,688 810,868 2,464,055 130,000 433,360 1,231,040 610,072 937,024 2,001,840 498,880 344,600 142,920 410,400 413,920 265,960 1,696,580 768,880 411,680 258,500 536,840 961,311 680,740 788,920 710,820 2,367,476 898,720 456,740 734,640 736,400 1,692,900

Total Treasury Bonds.....................................................................................

691,844,075

541,087,726

150,756,349

31,163,270

Treasury Inflation-Protected Securities:

CUSIP:

Series: Interest Rate:

9128275W8

A

4.250

912828CZ1

D

0.875

9128276R8

A

3.500

912828FB1

G

2.375

9128277J5

A

3.375

912828GN4

J

2.000

912828AF7

C

3.000

912828HW3

J

0.625

912828BD1

C

1.875

912828BW9

A

2.000

912828KM1

K

1.250

912828CP3

D

2.000

912828DH0

A

1.625

912828EA4

D

1.875

912828ET3

A

2.000

912828FL9

D

2.500

912828GD6

A

2.375

912828GX2

D

2.625

912828HN3

A

1.625

912828JE1

D

1.375

912828JX9

A

2.125

912828LA6

D

1.875

912810FR4

2.375

912820EK9 912820KV8 912820GA9 912820MY0 912820GT8 912820PK7 912820HC4 912820QT7 912820JA6 912820JT5 912820TK3 912820KL0 912820LE5 912820LX3 912820MQ7 912820NH6 912820PA9 912820PU5 912820QK6 912820RB5 912820SV0 912820TY3 912803CN1

01/15/10 04/15/10 01/15/11 04/15/11 01/15/12 04/15/12 07/15/12 04/15/13 07/15/13 01/15/14 04/15/14 07/15/14 01/15/15 07/15/15 01/15/16 07/15/16 01/15/17 07/15/17 01/15/18 07/15/18 01/15/19 07/15/19 01/15/25

14,521,060 31,897,207 13,640,405 21,937,964

7,297,305 18,377,755 27,626,765 15,308,317 23,509,375 24,528,354 15,570,082 21,754,909 21,474,846 18,860,754 18,484,481 21,372,271 18,458,629 14,575,451 16,910,904 14,981,269 14,815,661 15,339,503 32,056,980

14,521,060 31,897,207 13,640,405 21,937,964

7,297,305 18,377,755 27,626,765 15,308,317 23,509,375 24,528,354 15,570,082 21,754,909 21,474,846 18,860,754 18,484,481 21,372,271 18,458,629 14,575,451 16,910,904 14,981,269 14,815,661 15,339,503 32,056,980

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, OCTOBER 31, 2009 -- Continued

Loan Description

Corpus STRIP CUSIP

Maturity Date

Amount Outstanding in Thousands

Total Outstanding

Portion Held in Portion Held in Unstripped Form Stripped Form

Treasury Inflation-Protected Securities, Continued:

CUSIP:

Series: Interest Rate:

912810FS2

2.000

912803CW1

912810PS1

2.375

912803CY7

912810PV4

1.750

912803DB6

912810FD5

3.625

912803BN2

912810PZ5

2.500

912803DE0

912810FH6

3.875

912803CF8

912810FQ6

3.375

912803CL5

01/15/26 01/15/27 01/15/28 04/15/28 01/15/29 04/15/29 04/15/32

Total Treasury Inflation-Protected Securities .............................................

21,745,927 17,637,929 16,105,009 22,393,523 14,223,241 25,593,976

6,093,825

567,093,678

21,745,927 17,637,929 16,105,009 22,386,852 14,223,241 25,429,886

6,093,825

566,922,917

0 0 0 6,671 0 164,090 0

170,761

Treasury Notes:

CUSIP:

Series:

912828DB3

P

912828FX3

U

912828HJ2

AF

912828DE7

Q

912828HL7

AG

912828DG2

E

912828HP8

U

9128275Z1

B

912828DL1

F

912828GG9

S

912828HS2

V

912828DP2

G

912828HU7

W

912828DR8

H

912828HX1

X

912828DU1

J

912828GR5

T

912828JA9

Y

912828DX5

K

912828JC5

Z

912828DZ0

L

912828JF8

AA

9128276J6

C

912828ED8

M

912828JJ0

AB

912828EG1

N

912828JL5

AC

912828EJ5

P

912828JP6

AD

912828EM8

Q

912828JS0

AE

912828EQ9

R

912828JV3

AF

912828ES5

D

912828JY7

U

9128276T4

B

912828KE9

V

912828EX4

E

912828KH2

W

912828FA3

F

912828FD7

H

912828KL3

X

912828FH8

J

912828KU3

Y

912828FK1

K

912828LF5

Z

912828FN5

L

912828LG3

AA

9128277B2

C

912828FS4

M

912828LV0

AB

912828FU9

N

912828LW8

AC

912828FW5

P

912828JU5

S

912828GA2

Q

912828KA7

T

912828GC8

R

912828KB5

U

912828GF1

F

9128277L0

B

912828KC3

V

912828GK0

G

912828KG4

W

912828GM6

H

912828KK5

X

912828GQ7

K

912828KP4

Y

912828GU8

L

912828KX7

Z

912828GW4

M

Interest Rate: 3.500 4.625 3.125 3.500 3.250 3.625 2.125 6.500 3.500 4.750 2.000 4.000 1.750 4.000 2.125 3.875 4.500 2.625 3.625 2.875 3.875 2.750 5.750 4.125 2.375 3.875 2.000 4.250 1.500 4.500 1.250 4.375 0.875 4.250 0.875 5.000 0.875 4.500 0.875 4.750 4.875 0.875 4.875 0.875 5.125 1.125 4.875 1.000 5.000 4.625 1.000 4.500 1.000 4.625 1.750 4.500 1.125 4.625 1.125 4.750 4.875 1.375 4.625 1.375 4.500 1.375 4.500 1.375 4.750 1.875 4.875

912820KY2 912820NU7 912820QF7 912820LB1 912820QH3 912820LD7 912820QL4 912820EM5 912820LH8 912820PD3 912820QP5 912820LL9 912820QR1 912820LN5 912820QU4 912820LR6 912820PN1 912820QX8 912820LU9 912820QZ3 912820LW5 912820RC3 912820FT9 912820MA2 912820RG4 912820MD6 912820RH2 912820MF1 912820RL3 912820MJ3 912820SR9 912820MM6 912820ST5 912820MP9 912820SY4 912820GC5 912820TC1 912820MU8 912820TG2 912820MX2 912820NA1 912820TL1 912820NE3 912820TR8 912820NG8 912820TX5 912820NK9 912820UC9 912820GL5 912820NP8 912820UF2 912820NR4 912820UK1 912820NT0 912820RN9 912820NX1 912820SS7 912820NZ6 912820SW8 912820PC5 912820GV3 912820SZ1 912820PG6 912820TE7 912820PJ0 912820TJ6 912820PM3 912820TP2 912820PR2 912820TU1 912820PT8

11/15/09 11/15/09 11/30/09 12/15/09 12/31/09 01/15/10 01/31/10 02/15/10 02/15/10 02/15/10 02/28/10 03/15/10 03/31/10 04/15/10 04/30/10 05/15/10 05/15/10 05/31/10 06/15/10 06/30/10 07/15/10 07/31/10 08/15/10 08/15/10 08/31/10 09/15/10 09/30/10 10/15/10 10/31/10 11/15/10 11/30/10 12/15/10 12/31/10 01/15/11 01/31/11 02/15/11 02/28/11 02/28/11 03/31/11 03/31/11 04/30/11 04/30/11 05/31/11 05/31/11 06/30/11 06/30/11 07/31/11 07/31/11 08/15/11 08/31/11 08/31/11 09/30/11 09/30/11 10/31/11 11/15/11 11/30/11 12/15/11 12/31/11 01/15/12 01/31/12 02/15/12 02/15/12 02/29/12 03/15/12 03/31/12 04/15/12 04/30/12 05/15/12 05/31/12 06/15/12 06/30/12

18,751,928 24,772,846 24,544,183 15,002,485 26,497,461 15,004,697 26,920,054 23,355,709 16,617,068 17,467,187 28,899,918 15,005,048 31,992,124 15,001,494 32,752,312 18,748,844 18,941,728 32,407,094 14,001,099 33,218,522 13,000,529 34,421,304 22,437,594 14,963,424 34,653,063 13,000,827 37,148,284 13,000,862 35,507,028 15,961,105 38,520,388 13,000,813 40,776,665 13,001,339 41,698,057 23,436,329 42,145,087 17,500,138 41,897,398 17,497,861 17,501,477 41,386,504 17,144,592 41,286,531 17,500,283 41,162,207 16,830,671 43,051,576 26,635,316 17,500,676 43,261,581 17,500,158 43,761,802 16,181,388 29,443,187 17,036,550 28,840,506 16,131,258 32,483,616 14,930,221 24,779,838 33,629,572 16,636,927 34,604,963 16,353,663 35,557,616 16,450,419 41,193,756 16,235,887 35,370,103 15,903,423

17,941,788 24,157,306 24,455,498 14,991,285 26,456,661 14,959,257 26,918,134 21,782,666 16,443,890 17,385,507 28,899,918 15,002,848 31,992,124 14,746,294 32,739,512 17,925,428 18,837,756 32,407,094 13,980,299 33,186,522 13,000,249 34,408,504 20,756,320 14,366,944 34,638,663 12,778,427 37,148,284 12,931,262 35,507,028 14,797,456 38,492,372 13,000,813 40,776,665 12,999,739 41,631,177 22,097,159 42,138,687 17,416,938 41,897,398 17,049,061 17,421,477 41,386,504 16,939,792 41,286,531 17,252,283 41,162,207 16,411,311 43,051,576 25,206,368 17,334,276 43,261,581 17,338,258 43,761,802 15,981,388 29,439,827 16,925,450 28,772,346 16,115,258 32,481,216 14,877,981 23,794,933 33,554,372 16,612,607 34,604,963 16,289,663 35,557,616 16,391,219 41,193,596 16,115,887 35,370,103 15,885,823

810,140 615,540

88,685 11,200 40,800 45,440

1,920 1,573,043

173,178 81,680 0 2,200 0

255,200 12,800

823,416 103,972

0 20,800 32,000

280 12,800 1,681,274 596,480 14,400 222,400

0 69,600

0 1,163,649

28,016 0 0

1,600 66,880 1,339,170

6,400 83,200

0 448,800

80,000 0

204,800 0

248,000 0

419,360 0

1,428,948 166,400 0 161,900 0 200,000 3,360 111,100 68,160 16,000 2,400 52,240 984,905 75,200 24,320 0 64,000 0 59,200 160 120,000 0 17,600

Reconstituted This Month

0 0 0 0 0 0 0

0

12,000 8,480 0 0 0

590,400 0

6,400 8,920

0 0 0 0 0 0 6,400 32,369 0 0 0 0 0 3,100 0 0 0 0 0 0 0 0 0 0 0 0 2,800 0 0 0 0 0 0 0 0 0 0 4,800 0 5,000 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 160 0 0

TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, OCTOBER 31, 2009 -- Continued

Loan Description

Corpus STRIP CUSIP

Maturity Date

Amount Outstanding in Thousands

Total Outstanding

Portion Held in Portion Held in Unstripped Form Stripped Form

Reconstituted This Month

Treasury Notes, Continued:

CUSIP:

Series: Interest Rate:

912828LB4

AA

1.500

912828GZ7

N

4.625

912828AJ9

D

4.375

912828LH1

AB

1.750

912828HC7

P

4.125

912828LM0

AC

1.375

912828HE3

Q

4.250

912828LR9

AD

1.375

912828HG8

R

3.875

912828AP5

E

4.000

912828HK9

S

3.375

912828HM5

T

3.625

912828HQ6

F

2.875

912828AU4

A

3.875

912828HT0

G

2.750

912828HV5

H

2.500

912828HY9

K

3.125

912828BA7

B

3.625

912828JB7

L

3.500

912828JD3

M

3.375

912828JG6

N

3.375

912828BH2

D

4.250

912828JK7

P

3.125

912828JM3

Q

3.125

912828JQ4

R

2.750

912828BR0

E

4.250

912828JT8

S

2.000

912828JW1

T

1.500

912828JZ4

G

1.750

912828CA6

B

4.000

912828KF6

H

1.875

912828KJ8

J

1.750

912828KN9

L

1.875

912828CJ7

C

4.750

912828KV1

M

2.250

912828KY5

N

2.625

912828LC2

P

2.625

912828CT5

E

4.250

912828LK4

Q

2.375

912828LQ1

R

2.375

912828DC1

F

4.250

912828DM9

B

4.000

912828DV9

C

4.125

912828EE6

E

4.250

912828EN6

F

4.500

912828EW6

B

4.500

912828KS8

G

2.625

912828KT6

H

2.375

912828KR0

J

2.625

912828FF2

C

5.125

912828KW9

K

3.250

912828KZ2

L

3.250

912828LD0

M

3.250

912828FQ8

E

4.875

912828LL2

N

3.000

912828LP3

P

3.000

912828FY1

F

4.625

912828GH7

B

4.625

912828GS3

C

4.500

912828HA1

E

4.750

912828HH6

F

4.250

912828HR4

B

3.500

912828HZ6

C

3.875

912828JH4

E

4.000

912828JR2

F

3.750

912828KD1

B

2.750

912828KQ2

C

3.125

912828LJ7

E

3.625

912820TZ0 912820PW1 912820HF7 912820UE5 912820PZ4 912820UJ4 912820QB6 912820UN5 912820QD2 912820HL4 912820QG5 912820QJ9 912820QM2 912820HR1 912820QQ3 912820QS9 912820QV2 912820HX8 912820QY6 912820RA7 912820RD1 912820JE8 912820RF6 912820RJ8 912820RK5 912820JN8 912820SQ1 912820SU2 912820SX6 912820JX6 912820TD9 912820TF4 912820TM9 912820KF3 912820TS6 912820TV9 912820UA3 912820KQ9 912820UG0 912820UM7 912820KZ9 912820LJ4 912820LS4 912820MB0 912820MK0 912820MT1 912820TB3 912820TH0 912820TN7 912820NC7 912820TT4 912820TW7 912820UB1 912820NM5 912820UH8 912820UL9 912820NV5 912820PE1 912820PP6 912820PX9 912820QE0 912820QN0 912820QW0 912820RE9 912820RM1 912820TA5 912820TQ0 912820UD7

07/15/12 07/31/12 08/15/12 08/15/12 08/31/12 09/15/12 09/30/12 10/15/12 10/31/12 11/15/12 11/30/12 12/31/12 01/31/13 02/15/13 02/28/13 03/31/13 04/30/13 05/15/13 05/31/13 06/30/13 07/31/13 08/15/13 08/31/13 09/30/13 10/31/13 11/15/13 11/30/13 12/31/13 01/31/14 02/15/14 02/28/14 03/31/14 04/30/14 05/15/14 05/31/14 06/30/14 07/31/14 08/15/14 08/31/14 09/30/14 11/15/14 02/15/15 05/15/15 08/15/15 11/15/15 02/15/16 02/29/16 03/31/16 04/30/16 05/15/16 05/31/16 06/30/16 07/31/16 08/15/16 08/31/16 09/30/16 11/15/16 02/15/17 05/15/17 08/15/17 11/15/17 02/15/18 05/15/18 08/15/18 11/15/18 02/15/19 05/15/19 08/15/19

Total Treasury Notes.......................................................................................

35,592,401 15,803,679 19,647,976 42,714,780 16,091,100 38,081,890 15,873,928 39,305,708 15,509,891 18,112,742 15,953,078 15,657,080 15,700,214 19,498,396 17,784,087 20,571,094 20,742,759 18,253,553 20,518,499 22,144,867 23,314,208 33,521,123 23,837,284 26,219,897 25,063,374 30,636,844 27,819,417 30,043,540 31,273,435 28,081,066 33,714,392 35,611,707 36,213,142 27,302,981 36,169,822 38,074,883 39,976,415 24,721,634 40,174,823 40,708,928 25,472,536 34,215,057 34,471,849 32,469,697 23,220,785 21,841,772 23,178,530 25,137,609 26,901,046 23,293,690 26,895,995 27,784,181 28,701,406 22,556,671 28,842,663 29,513,653 23,293,786 22,192,761 25,586,541 28,000,273 27,674,248 39,204,509 34,078,060 36,802,978 57,351,395 58,676,801 64,410,823 66,753,690

3,794,315,801

35,592,401 15,736,479 18,058,720 42,714,780 16,089,500 38,081,890 15,873,928 39,305,708 15,498,691 17,090,509 15,953,078 15,657,080 15,698,214 18,631,258 17,784,087 20,571,094 20,742,759 17,629,147 20,518,499 22,144,867 23,314,208 32,910,423 23,836,132 26,219,897 25,063,374 29,710,546 27,819,417 30,039,140 31,273,435 27,608,146 33,714,392 35,611,707 36,213,142 27,052,073 36,169,822 38,074,883 39,976,415 24,436,394 40,174,823 40,708,928 25,096,796 34,213,982 34,459,049 32,468,657 23,220,385 21,841,372 23,178,530 25,137,609 26,901,046 23,293,370 26,895,995 27,784,181 28,701,406 22,539,071 28,842,663 29,513,653 23,292,506 22,192,161 25,585,021 28,000,273 27,673,448 39,204,109 34,078,060 36,802,978 57,351,395 58,676,801 64,410,823 66,704,090

3,772,180,559

0 67,200 1,589,256

0 1,600

0 0 0 11,200 1,022,233 0 0 2,000 867,138 0 0 0 624,406 0 0 0 610,700 1,152 0 0 926,298 0 4,400 0 472,920 0 0 0 250,908 0 0 0 285,240 0 0 375,740 1,075 12,800 1,040 400 400 0 0 0 320 0 0 0 17,600 0 0 1,280 600 1,520 0 800 400 0 0 0 0 0 49,600

22,135,242

0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 9,600 0 0 0 143,000 0 0 16,000 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 300,000 0 0 0 0 0 0 0 250,000 200,000 300,000

1,899,429

Grand Total...................................................................................... 5,053,253,554 4,880,191,202 173,062,352 33,062,699

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