TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JANUARY 31, 2012 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 9,717,695 802,604 37,828 912810DS4 10.625 912803AC7 08/15/15 4,023,916 3,456,893 567,023 25,792 912810DT2 9.875 912803AE3 11/15/15 5,584,859 4,628,818 956,041 26,720 912810DV7 9.250 912803AF0 02/15/16 5,431,754 5,203,526 228,228 183,760 912810DW5 7.250 912803AH6 05/15/16 18,823,551 18,115,050 708,501 0 912810DX3 7.500 912803AK9 11/15/16 18,787,448 17,803,559 983,889 129,280 912810DY1 8.750 912803AL7 05/15/17 15,559,169 12,424,769 3,134,400 293,440 912810DZ8 8.875 912803AM5 08/15/17 10,968,358 9,484,316 1,484,042 16,320 912810EA2 9.125 912803AN3 05/15/18 6,717,439 4,928,436 1,789,003 26,880 912810EB0 9.000 912803AP8 11/15/18 7,174,470 5,594,198 1,580,272 17,580 912810EC8 8.875 912803AQ6 02/15/19 13,090,498 10,643,876 2,446,622 359,680 912810ED6 8.125 912803AR4 08/15/19 18,940,932 18,121,474 819,458 997,828 912810EE4 8.500 912803AS2 02/15/20 9,476,268 8,291,935 1,184,333 194,620 912810EF1 8.750 912803AT0 05/15/20 7,582,183 6,876,337 705,846 91,608 912810EG9 8.750 912803AU7 08/15/20 17,059,306 16,285,947 773,359 216,560 912810EH7 7.875 912803AV5 02/15/21 10,075,573 9,894,299 181,274 160,480 912810EJ3 8.125 912803AW3 05/15/21 10,066,788 9,500,208 566,580 128,992 912810EK0 8.125 912803AX1 08/15/21 9,506,382 8,954,737 551,645 395,312 912810EL8 8.000 912803AY9 11/15/21 30,632,194 26,125,724 4,506,471 447,633 912810EM6 7.250 912803AZ6 08/15/22 10,127,790 9,239,496 888,294 85,880 912810EN4 7.625 912803BA0 11/15/22 7,423,626 6,341,377 1,082,249 70,400 912810EP9 7.125 912803BB8 02/15/23 15,782,061 13,397,849 2,384,212 155,320 912810EQ7 6.250 912803BC6 08/15/23 22,659,044 21,838,417 820,627 478,367 912810ES3 7.500 912803BD4 11/15/24 9,604,162 7,513,688 2,090,474 229,620 912810ET1 7.625 912803BE2 02/15/25 9,509,170 7,637,295 1,871,875 473,460 912810EV6 6.875 912803BF9 08/15/25 11,187,207 9,458,782 1,728,425 212,968 912810EW4 6.000 912803BG7 02/15/26 12,837,916 12,281,422 556,494 58,300 912810EX2 6.750 912803BH5 08/15/26 8,810,418 7,743,905 1,066,513 101,300 912810EY0 6.500 912803BJ1 11/15/26 10,860,177 9,257,300 1,602,877 272,880 912810EZ7 6.625 912803BK8 02/15/27 9,521,971 8,309,212 1,212,759 84,480 912810FA1 6.375 912803BL6 08/15/27 9,196,756 7,449,827 1,746,929 360,820 912810FB9 6.125 912803BM4 11/15/27 22,021,339 15,862,075 6,159,264 489,480 912810FE3 5.500 912803BP7 08/15/28 11,776,201 10,040,379 1,735,822 484,720 912810FF0 5.250 912803BV4 11/15/28 10,947,052 9,212,446 1,734,606 841,840 912810FG8 5.250 912803BW2 02/15/29 11,350,341 10,368,585 981,756 446,640 912810FJ2 6.125 912803CG6 08/15/29 11,178,580 9,011,380 2,167,200 227,400 912810FM5 6.250 912803CH4 05/15/30 17,043,162 13,126,692 3,916,470 530,545 912810FP8 5.375 912803CK7 02/15/31 16,427,648 14,646,518 1,781,130 2,429,080 912810FT0 4.500 912803CX9 02/15/36 26,397,130 20,678,070 5,719,060 879,240 912810PT9 4.750 912803CZ4 02/15/37 16,589,456 13,850,991 2,738,465 190,400 912810PU6 5.000 912803DA8 05/15/37 21,413,045 18,134,267 3,278,778 76,600 912810PW2 4.375 912803DC4 02/15/38 22,525,149 18,607,259 3,917,890 509,216 912810PX0 4.500 912803DD2 05/15/38 25,500,123 22,492,423 3,007,700 346,080 912810QA9 3.500 912803DF7 02/15/39 25,908,569 24,766,199 1,142,371 372,200 912810QB7 4.250 912803DG5 05/15/39 38,778,773 29,282,813 9,495,960 802,320 912810QC5 4.500 912803DH3 08/15/39 41,430,538 32,911,998 8,518,540 859,320 912810QD3 4.375 912803DJ9 11/15/39 44,564,249 28,557,582 16,006,667 489,748 912810QE1 4.625 912803DK6 02/15/40 44,902,490 30,186,110 14,716,380 631,520 912810QH4 4.375 912803DM2 05/15/40 43,473,044 21,119,000 22,354,044 591,296 912810QK7 3.875 912803DN0 08/15/40 43,213,317 36,344,677 6,868,640 569,120 912810QL5 4.250 912803DP5 11/15/40 42,903,189 31,373,719 11,529,470 989,600 912810QN1 4.750 912803DQ3 02/15/41 43,004,945 36,247,775 6,757,170 906,420 912810QQ4 4.375 912803DS9 05/15/41 41,995,507 38,340,451 3,655,056 731,924 912810QS0 3.750 912803DT7 08/15/41 42,488,837 41,790,305 698,532 214,120 912810QT8 3.125 912803DU4 11/15/41 44,622,444 44,088,379 534,065 82,534 Total Treasury Bonds.................................... 1,077,996,814 897,560,459 180,436,355 21,025,471 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 912828GN4 J 2.000 912820PK7 04/15/12 19,266,333 19,266,333 0 0 912828AF7 C 3.000 912820HC4 07/15/12 28,962,483 28,962,483 0 0 912828HW3 J 0.625 912820QT7 04/15/13 16,048,401 16,048,401 0 0 912828BD1 C 1.875 912820JA6 07/15/13 24,646,047 24,646,047 0 0 912828BW9 A 2.000 912820JT5 01/15/14 25,714,102 25,714,102 0 0 912828KM1 K 1.250 912820TK3 04/15/14 16,318,526 16,318,526 0 0 912828CP3 D 2.000 912820KL0 07/15/14 22,806,683 22,806,683 0 0 912828DH0 A 1.625 912820LE5 01/15/15 22,513,075 22,513,075 0 0 912828MY3 K 0.500 912820VS3 04/15/15 22,167,677 22,167,677 0 0 912828EA4 D 1.875 912820LX3 07/15/15 19,772,622 19,772,622 0 0 912828ET3 A 2.000 912820MQ7 01/15/16 19,378,198 19,378,198 0 0 912828QD5 W 0.125 912820XZ5 04/15/16 39,322,285 39,322,285 0 0 912828FL9 D 2.500 912820NH6 07/15/16 22,405,494 22,405,494 0 0 912828GD6 A 2.375 912820PA9 01/15/17 19,350,935 19,350,935 0 0 912828GX2 D 2.625 912820PU5 07/15/17 15,280,119 15,280,119 0 0 912828HN3 A 1.625 912820QK6 01/15/18 17,728,459 17,728,459 0 0 912828JE1 D 1.375 912820RB5 07/15/18 15,705,512 15,705,512 0 0 912828JX9 A 2.125 912820SV0 01/15/19 15,531,873 15,531,873 0 0 912828LA6 D 1.875 912820TY3 07/15/19 16,081,056 16,081,056 0 0 912828MF4 A 1.375 912820VB0 01/15/20 19,849,424 19,849,424 0 0 912828NM8 D 1.250 912820WF0 07/15/20 33,588,248 33,588,248 0 0 912828PP9 A 1.125 912820XK8 01/15/21 37,932,750 37,932,750 0 0 912828QV5 D 0.625 912820YP6 07/15/21 35,975,810 35,975,810 0 0 912828SA9 A 0.125 912820ZS9 01/15/22 15,282,339 15,282,339 0 0 912810FR4 2.375 912803CN1 01/15/25 33,606,823 33,606,823 0 0 912810FS2 2.000 912803CW1 01/15/26 22,797,333 22,797,333 0 0 912810PS1 2.375 912803CY7 01/15/27 18,490,561 18,490,561 0 0 912810PV4 1.750 912803DB6 01/15/28 16,883,602 16,883,602 0 0 912810FD5 3.625 912803BN2 04/15/28 23,476,058 23,469,064 6,994 0 912810PZ5 2.500 912803DE0 01/15/29 14,910,814 14,910,814 0 0 912810FH6 3.875 912803CF8 04/15/29 26,831,444 26,659,436 172,009 0 912810FQ6 3.375 912803CL5 04/15/32 6,388,444 6,388,444 0 0 912810QF8 2.125 912803DL4 02/15/40 15,879,931 15,879,931 0 0 912810QP6 2.125 912803DR1 02/15/41 24,778,070 24,778,070 0 0 Total Treasury Inflation-Protected Securities........... 745,671,531 745,492,529 179,002 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JANUARY 31, 2012 -- 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: 9128277L0 B 4.875 912820GV3 02/15/12 24,779,838 23,038,614 1,741,224 640 912828KC3 V 1.375 912820SZ1 02/15/12 33,629,572 33,427,972 201,600 1,600 912828GK0 G 4.625 912820PG6 02/29/12 16,636,927 16,535,647 101,280 0 912828MQ0 AH 0.875 912820VL8 02/29/12 45,081,761 44,955,361 126,400 0 912828KG4 W 1.375 912820TE7 03/15/12 34,604,963 34,585,763 19,200 0 912828GM6 H 4.500 912820PJ0 03/31/12 16,353,663 16,184,863 168,800 6,400 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 35,536,816 20,800 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 44,903,131 34,800 0 912828KP4 Y 1.375 912820TP2 05/15/12 41,193,756 40,540,796 652,960 0 912828GU8 L 4.750 912820PR2 05/31/12 16,235,887 15,909,487 326,400 0 912828NE6 AL 0.750 912820VY0 05/31/12 42,915,290 42,767,290 148,000 0 912828KX7 Z 1.875 912820TU1 06/15/12 35,370,103 35,348,663 21,440 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 41,020,735 170,560 0 912828LB4 AA 1.500 912820TZ0 07/15/12 35,592,401 35,575,601 16,800 0 912828GZ7 N 4.625 912820PW1 07/31/12 15,803,679 15,681,543 122,136 0 912828NQ9 AN 0.625 912820WK9 07/31/12 39,247,932 39,218,492 29,440 0 912828AJ9 D 4.375 912820HF7 08/15/12 19,647,976 18,020,544 1,627,432 0 912828LH1 AB 1.750 912820UE5 08/15/12 42,714,780 42,286,300 428,480 14,080 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 37,838,927 67,200 0 912828LM0 AC 1.375 912820UJ4 09/15/12 38,081,890 38,053,090 28,800 0 912828HE3 Q 4.250 912820QB6 09/30/12 15,873,928 15,864,328 9,600 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 39,203,308 102,400 0 912828HG8 R 3.875 912820QD2 10/31/12 15,509,891 15,485,891 24,000 0 912828PD6 AR 0.375 912820WX1 10/31/12 35,717,229 35,694,829 22,400 0 912828AP5 E 4.000 912820HL4 11/15/12 18,112,742 16,937,964 1,174,778 0 912828LX6 AE 1.375 912820UT2 11/15/12 44,974,831 44,750,590 224,241 0 912828HK9 S 3.375 912820QG5 11/30/12 15,953,078 15,911,478 41,600 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 40,187,533 29,800 0 912828HM5 T 3.625 912820QJ9 12/31/12 15,657,080 15,650,680 6,400 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 35,689,915 7,680 0 912828AU4 A 3.875 912820HR1 02/15/13 19,498,396 18,550,798 947,598 0 912828MN7 V 1.375 912820VG9 02/15/13 44,497,109 44,309,089 188,020 0 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 36,564,054 5,600 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 17,529,120 724,433 0 912828NC0 Y 1.375 912820VX2 05/15/13 41,316,930 41,274,415 42,515 2,000 912828JB7 L 3.500 912820QY6 05/31/13 20,518,499 20,510,899 7,600 0 912828QZ6 AL 0.500 912820YH4 05/31/13 37,945,705 37,937,305 8,400 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 36,120,240 6,400 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 23,296,608 17,600 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 32,839,113 682,010 0 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 23,834,244 3,040 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 36,089,770 36,089,770 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 25,059,374 4,000 0 912828RN2 AR 0.250 912820ZF7 10/31/13 36,331,605 36,331,605 0 0 912828BR0 E 4.250 912820JN8 11/15/13 30,636,844 29,481,386 1,155,458 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 27,504,217 315,200 0 912828RS1 AS 0.250 912820ZJ9 11/30/13 36,585,587 36,585,587 0 0 912828PL8 AF 0.750 912820XE2 12/15/13 32,467,615 32,462,815 4,800 0 912828JW1 T 1.500 912820SU2 12/31/13 30,043,540 30,036,980 6,560 0 912828RW2 AT 0.125 912820ZQ3 12/31/13 36,132,563 36,132,563 0 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 31,267,035 6,400 0 912828SB7 AH 0.250 912820ZU4 01/31/14 35,659,535 35,659,535 0 0 912828CA6 B 4.000 912820JX6 02/15/14 28,081,066 27,587,068 493,998 0 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 33,710,232 4,160 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 36,208,022 5,120 0 912828CJ7 C 4.750 912820KF3 05/15/14 27,302,981 26,971,428 331,553 175 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 36,166,622 3,200 0 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 38,054,083 20,800 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 39,966,815 9,600 0 912828CT5 E 4.250 912820KQ9 08/15/14 24,721,634 24,412,434 309,200 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 912828RL6 AE 0.500 912820ZC4 10/15/14 31,999,848 31,999,848 0 0 912828LS7 S 2.375 912820UP0 10/31/14 42,010,655 41,993,055 17,600 0 912828LQ1 R 2.375 912820UM7 09/30/14 40,708,928 40,667,328 41,600 0 912828DC1 F 4.250 912820KZ9 11/15/14 25,472,536 25,052,536 420,000 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JANUARY 31, 2012 -- 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: 912828RQ5 AF 0.375 912820ZG5 11/15/14 34,448,216 34,448,216 0 0 912828LZ1 T 2.125 912820UV7 11/30/14 43,261,453 43,261,453 0 0 912828RV4 AG 0.250 912820ZM2 12/15/14 33,169,985 33,169,985 0 0 912828ME7 U 2.625 912820UZ8 12/31/14 43,245,045 43,245,045 0 0 912828RZ5 V 0.250 912820ZR1 01/15/15 34,271,330 34,271,330 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 34,198,822 16,235 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 34,440,849 31,000 0 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 38,205,402 8,800 0 912828EE6 E 4.250 912820MB0 08/15/15 32,469,697 32,430,817 38,880 23,900 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 23,220,265 520 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 0 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 23,290,770 2,920 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 22,480,511 76,160 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 36,089,339 36,089,339 0 0 912828LU2 Q 3.125 912820UR6 10/31/16 31,764,278 31,764,278 0 0 912828RM4 AD 1.000 912820ZD2 10/31/16 36,330,377 36,330,377 0 0 912828FY1 F 4.625 912820NV5 11/15/16 23,293,786 23,287,386 6,400 1,600 912828MA5 R 2.750 912820UW5 11/30/16 32,960,967 32,960,967 0 0 912828RU6 AE 0.875 912820ZL4 11/30/16 36,585,946 36,585,946 0 0 912828MD9 S 3.250 912820UY1 12/31/16 32,948,436 32,948,276 160 0 912828RX0 AF 0.875 912820ZP5 12/31/16 36,133,427 36,133,427 0 0 912828MK3 G 3.125 912820VF1 01/31/17 32,521,456 32,521,456 0 0 912828SC5 U 0.875 912820ZT7 01/31/17 35,658,582 35,658,582 0 0 912828GH7 B 4.625 912820PE1 02/15/17 22,192,761 22,176,001 16,760 1,760 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 25,548,618 37,923 1,600 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 27,657,968 16,280 0 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 39,129,689 74,820 1,600 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 1,600 912828RE2 P 1.500 912820YX9 08/31/18 29,886,480 29,886,480 0 0 912828RH5 Q 1.375 912820ZB6 09/30/18 29,902,846 29,902,846 0 0 912828RP7 R 1.750 912820ZE0 10/31/18 30,102,651 30,102,651 0 0 912828JR2 F 3.750 912820RM1 11/15/18 57,351,395 57,345,495 5,900 0 912828RT9 S 1.375 912820ZK6 11/30/18 30,314,142 30,314,142 0 0 912828RY8 T 1.375 912820ZN0 12/31/18 29,939,159 29,939,159 0 0 912828SD3 G 1.250 912820ZV2 01/31/19 29,545,749 29,545,749 0 0 912828KD1 B 2.750 912820TA5 02/15/19 58,676,801 58,675,201 1,600 0 912828KQ2 C 3.125 912820TQ0 05/15/19 64,410,823 64,406,817 4,006 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 71,593,865 1,600 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 66,734,924 66,734,924 0 0 912828RR3 F 2.000 912820ZH3 11/15/21 70,092,488 70,092,488 0 0 Total Treasury Notes.................................... 6,711,276,279 6,696,717,790 14,558,489 56,955 Grand Total............................................. 8,534,944,624 8,339,770,778 195,173,846 21,082,426