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It's generally not copyright infringement to simply collect data available on the internet. For example, Google downloads tons of copyrighted information; but that's not considered copyright infringement because using it for a search engine is a "transformative" use. Google is not replacing the copyright owner by redistributing the page, but is instead using it in a completely different way to provide an index of all pages.

The same would be true of the NSA. They aren't redistributing the data they download to anyone who asks, they are instead compiling an index to be searched for intelligence gathering purposes.