TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 2002 Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held in This Month 18 Outstanding Unstripped Form Stripped Form Treasury Bonds: CUSIP: Interest Rate: 912810 DM7 11-5/8 912803 AB9 11/15/04 8,301,806 4,521,807 3,779,999 80,400 DQ8 12 AD5 05/15/05 4,260,758 1,891,305 2,369,453 20,400 DR6 10-3/4 AG8 08/15/05 9,269,713 6,246,413 3,023,300 185,400 DU9 9-3/8 AJ2 02/15/06 4,755,916 4,375,957 379,959 19,200 DN5 11-3/4 912800 AA7 11/15/14 5,015,284 1,893,700 3,121,584 166,600 DP0 11-1/4 912803 AA1 02/15/15 10,520,299 9,032,050 1,488,249 981,780 DS4 10-5/8 AC7 08/15/15 4,023,916 3,108,250 915,666 79,680 DT2 9-7/8 AE3 11/15/15 5,584,859 3,415,317 2,169,542 56,000 DV7 9-1/4 AF0 02/15/16 5,431,754 5,316,248 115,506 73,600 DW5 7-1/4 AH6 05/15/16 18,823,551 18,695,518 128,033 24,800 DX3 7-1/2 AK9 11/15/16 18,787,448 17,454,148 1,333,300 73,760 DY1 8-3/4 AL7 05/15/17 15,559,169 7,824,997 7,734,172 598,880 DZ8 8-7/8 AM5 08/15/17 10,968,358 7,303,955 3,664,403 779,400 EA2 9-1/8 AN3 05/15/18 6,717,439 3,062,039 3,655,400 350,400 EB0 9 AP8 11/15/18 7,174,470 3,140,947 4,033,523 1,035,800 EC8 8-7/8 AQ6 02/15/19 13,090,498 6,878,271 6,212,227 358,200 ED6 8-1/8 AR4 08/15/19 18,940,932 17,937,571 1,003,361 376,280 EE4 8-1/2 AS2 02/15/20 9,476,268 7,324,308 2,151,960 225,000 EF1 8-3/4 AT0 05/15/20 7,582,183 2,866,438 4,715,745 22,400 EG9 8-3/4 AU7 08/15/20 17,059,306 6,626,296 10,433,010 685,720 EH7 7-7/8 AV5 02/15/21 10,075,573 9,088,093 987,480 68,000 EJ3 8-1/8 AW3 05/15/21 10,066,788 4,708,045 5,358,743 725,840 EK0 8-1/8 AX1 08/15/21 9,506,382 7,284,566 2,221,816 581,040 EL8 8 AY9 11/15/21 30,632,194 17,328,988 13,303,206 2,252,650 EM6 7-1/4 AZ6 08/15/22 10,127,790 8,858,191 1,269,599 40,400 EN4 7-5/8 BA0 11/15/22 7,423,626 2,965,231 4,458,395 202,000 EP9 7-1/8 BB8 02/15/23 15,782,061 10,091,261 5,690,800 353,400 EQ7 6-1/4 BC6 08/15/23 22,659,044 19,287,460 3,371,584 89,600 ES3 7-1/2 BD4 11/15/24 9,604,162 3,584,762 6,019,400 298,520 ET1 7-5/8 BE2 02/15/25 9,509,170 3,971,369 5,537,801 197,600 EV6 6-7/8 BF9 08/15/25 11,187,207 8,008,045 3,179,162 402,560 EW4 6 BG7 02/15/26 12,837,916 11,447,216 1,390,700 53,200 EX2 6-3/4 BH5 08/15/26 8,810,418 6,228,400 2,582,018 135,400 EY0 6-1/2 BJ1 11/15/26 10,860,177 5,238,827 5,621,350 401,000 EZ7 6-5/8 BK8 02/15/27 9,521,971 6,347,916 3,174,055 211,200 FA1 6-3/8 BL6 08/15/27 9,196,756 7,049,956 2,146,800 161,000 FB9 6-1/8 BM4 11/15/27 22,021,339 12,016,039 10,005,300 535,000 FE3 5-1/2 BP7 08/15/28 11,776,201 10,946,401 829,800 10,000 FF0 5-1/4 BV4 11/15/28 10,947,052 10,088,252 858,800 39,400 FG8 5-1/4 BW2 02/15/29 11,350,341 10,821,645 528,696 16,000 FJ2 6-1/8 CG6 08/15/29 11,178,580 10,425,180 753,400 20,400 FM5 6-1/4 CH4 05/15/30 17,043,162 16,174,330 868,832 29,800 FP8 5-3/8 CK7 02/15/31 16,427,648 16,318,848 108,800 0 Total Treasury Bonds............... 499,889,485 357,194,556 142,694,929 13,017,710 Treasury Inflation-Indexed Notes: CUSIP: Series: Interest Rate: 912827 3A8 J 3-5/8 912820 BZ9 07/15/02 18,771,869 18,771,869 0 0 2M3 A 3-3/8 BV8 01/15/07 17,780,191 17,780,191 0 0 3T7 A 3-5/8 CL9 01/15/08 18,602,821 18,492,166 110,655 0 4Y5 A 3-7/8 DN4 01/15/09 17,334,408 17,334,408 0 0 5W8 A 4-1/4 EK9 01/15/10 12,028,976 12,028,976 0 0 6R8 A 3-1/2 GA9 01/15/11 11,299,494 11,299,494 0 0 7J5 A 3-3/8 GT8 01/15/12 6,044,992 6,044,992 0 0 Total Inflation-Indexed Notes...... 101,862,751 101,752,096 110,655 0 Treasury Inflation-Indexed Bonds: CUSIP: Interest Rate: 912810 FD5 3-5/8 912803 BN2 04/15/28 18,550,443 18,544,916 5,526 0 FH6 3-7/8 CF8 04/15/29 21,201,713 21,065,783 135,930 0 FQ6 3-3/8 CL5 04/15/32 5,048,022 5,048,022 0 0 Total Inflation-Indexed Bonds...... 44,800,178 44,658,722 141,456 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 2002 -- Continued Corpus Amount Outstanding in Thousands Loan Description STRIP Maturity Date Reconstituted CUSIP Total Portion Held inPortion Held in This Month 18 Outstanding Unstripped Form Stripped Form Treasury Notes: CUSIP: Series: Interest Rate: 912827 2Y7 H 6-1/4 912820 FQ5 06/30/02 13,058,694 13,058,694 0 0 6F4 W 6-3/8 ET0 06/30/02 14,320,609 14,309,009 11,600 0 3C4 K 6 FR3 07/31/02 12,231,057 12,231,057 0 0 6H0 X 6-1/4 EU7 07/31/02 15,057,900 15,055,500 2,400 0 G55 B 6-3/8 BE6 08/15/02 23,859,015 19,174,158 4,684,857 74,200 3G5 L 6-1/4 FS1 08/31/02 12,731,742 12,731,742 0 0 6K3 Y 6-1/8 FU6 08/31/02 15,072,214 15,072,214 0 0 3J9 M 5-7/8 CC9 09/30/02 12,806,814 12,731,614 75,200 0 6L1 Z 6 FV4 09/30/02 15,144,335 15,144,335 0 0 3L4 N 5-3/4 CE5 10/31/02 26,593,892 26,498,692 95,200 0 3Q3 P 5-3/4 CH8 11/30/02 12,120,580 11,730,780 389,800 4,800 6P2 AC 5-5/8 FY8 11/30/02 15,058,528 14,990,688 67,840 0 3S9 Q 5-5/8 CK1 12/31/02 12,052,433 11,640,593 411,840 0 6Q0 AD 5-1/8 FZ5 12/31/02 14,822,027 14,822,027 0 0 3V2 C 5-1/2 CN5 01/31/03 13,100,640 13,091,040 9,600 0 6S6 L 4-3/4 GB7 01/31/03 15,452,604 15,427,004 25,600 0 J78 A 6-1/4 BF3 02/15/03 23,562,691 21,729,639 1,833,052 54,200 3Z3 D 5-1/2 CS4 02/28/03 13,670,354 13,626,354 44,000 0 6U1 M 4-5/8 GD3 02/28/03 14,685,095 14,278,695 406,400 0 4B5 E 5-1/2 CU9 03/31/03 14,172,892 14,144,892 28,000 0 6V9 N 4-1/4 GE1 03/31/03 14,674,853 14,674,853 0 0 4D1 F 5-3/4 CW5 04/30/03 12,573,248 12,540,448 32,800 0 6W7 P 4 GF8 04/30/03 13,338,528 13,338,528 0 0 4H2 G 5-1/2 DA2 05/31/03 13,132,243 13,084,643 47,600 0 6Y3 Q 4-1/4 GH4 05/31/03 13,331,937 13,331,937 0 0 4K5 H 5-3/8 DC8 06/30/03 13,126,779 13,091,579 35,200 0 6Z0 R 3-7/8 GJ0 06/30/03 14,671,070 14,671,070 0 0 7A4 S 3-7/8 GK7 07/31/03 16,003,270 16,001,670 1,600 0 L83 B 5-3/4 BG1 08/15/03 28,011,028 25,650,388 2,360,640 90,600 4N9 J 5-1/4 DE4 08/15/03 19,852,263 19,783,263 69,000 800 7C0 T 3-5/8 GM3 08/31/03 18,665,038 18,665,038 0 0 7D8 U 2-3/4 GN1 09/30/03 22,675,482 22,675,482 0 0 7E6 V 2-3/4 GP6 10/31/03 25,147,960 25,146,360 1,600 0 4U3 K 4-1/4 DJ3 11/15/03 18,625,785 17,300,365 1,325,420 27,200 7G1 W 3 GR2 11/30/03 26,170,526 26,170,526 0 0 7H9 X 3-1/4 GS0 12/31/03 29,666,988 29,666,988 0 0 7K2 J 3 GU5 01/31/04 30,775,555 30,775,555 0 0 N81 A 5-7/8 BH9 02/15/04 12,955,077 12,191,717 763,360 6,200 5A6 E 4-3/4 DQ7 02/15/04 17,823,228 17,805,628 17,600 0 7M8 K 3 GW1 02/29/04 31,746,077 31,746,077 0 0 912828 AA8 L 3-5/8 GX9 03/31/04 32,873,508 32,873,508 0 0 AB6 M 3-3/8 GY7 04/30/04 32,654,946 32,654,946 0 0 912827 P89 B 7-1/4 BJ5 05/15/04 14,440,372 13,511,272 929,100 35,000 5F5 F 5-1/4 DU8 05/15/04 18,925,383 18,925,383 0 0 912828 AD2 N 3-1/4 HA8 05/31/04 33,304,334 33,304,334 0 0 912827 Q88 C 7-1/4 BK2 08/15/04 13,346,467 11,435,067 1,911,400 4,540 5M0 G 6 DZ7 08/15/04 18,089,806 18,089,806 0 0 R87 D 7-7/8 BL0 11/15/04 14,373,760 14,369,160 4,600 1,600 5S7 H 5-7/8 EE3 11/15/04 32,658,145 32,658,145 0 0 S86 A 7-1/2 BM8 02/15/05 13,834,754 13,275,784 558,970 61,200 T85 B 6-1/2 BN6 05/15/05 14,739,504 14,739,104 400 0 6D9 E 6-3/4 ER4 05/15/05 28,562,370 28,456,170 106,200 69,600 U83 C 6-1/2 BP1 08/15/05 15,002,580 15,002,180 400 0 V82 D 5-7/8 BQ9 11/15/05 15,209,920 14,825,320 384,600 95,680 6N7 F 5-3/4 FX0 11/15/05 28,062,797 27,703,597 359,200 0 W81 A 5-5/8 BR7 02/15/06 15,513,587 15,508,107 5,480 0 X80 B 6-7/8 BS5 05/15/06 16,015,475 15,208,435 807,040 5,440 6X5 E 4-5/8 GG6 05/15/06 27,797,852 27,797,852 0 0 Y55 C 7 BT3 07/15/06 22,740,446 22,700,446 40,000 0 Z62 D 6-1/2 BU0 10/15/06 22,459,675 22,399,675 60,000 0 7F3 F 3-1/2 GQ4 11/15/06 35,380,129 34,873,329 506,800 78,800 2J0 B 6-1/4 BW6 02/15/07 13,103,678 12,541,634 562,044 39,508 2U5 C 6-5/8 BX4 05/15/07 13,958,186 12,962,511 995,675 1,640 912828 AC4 E 4-3/8 GZ4 05/15/07 24,351,371 24,351,371 0 0 912827 3E0 D 6-1/8 CA3 08/15/07 25,636,803 24,562,003 1,074,800 400 3X8 B 5-1/2 CQ8 02/15/08 13,583,412 13,556,712 26,700 1,200 4F6 C 5-5/8 CY1 05/15/08 27,190,961 27,123,441 67,520 0 4V1 D 4-3/4 DK0 11/15/08 25,083,125 25,069,125 14,000 0 5G3 B 5-1/2 DV6 05/15/09 14,794,790 14,741,290 53,500 0 5N8 C 6 EA1 08/15/09 27,399,894 27,304,894 95,000 0 5Z1 B 6-1/2 EM5 02/15/10 23,355,709 23,351,109 4,600 0 6J6 C 5-3/4 FT9 08/15/10 22,437,594 22,434,594 3,000 0 6T4 B 5 GC5 02/15/11 23,436,329 23,430,569 5,760 0 7B2 C 5 GL5 08/15/11 26,635,316 26,631,316 4,000 0 7L0 B 4-7/8 GV3 02/15/12 24,779,823 24,779,823 0 0 Total Treasury Notes............... 1,474,273,852 1,452,952,854 21,320,998 652,608 Grand Total................................................ 2,120,826,266 1,956,558,228 164,268,038 13,670,318