TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 2004 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: 912810 DM7 11-5/8 912803 AB9 11/15/04 8,301,806 4,498,156 3,803,650 372,258 DQ8 12 AD5 05/15/05 4,260,758 2,128,651 2,132,107 77,900 DR6 10-3/4 AG8 08/15/05 9,269,713 6,287,484 2,982,229 4,800 DU9 9-3/8 AJ2 02/15/06 4,755,916 4,301,470 454,446 0 DN5 11-3/4 912800 AA7 11/15/14 5,015,284 1,935,562 3,079,722 0 DP0 11-1/4 912803 AA1 02/15/15 10,520,299 7,961,660 2,558,639 811,840 DS4 10-5/8 AC7 08/15/15 4,023,916 3,352,991 670,925 101,760 DT2 9-7/8 AE3 11/15/15 5,584,859 3,336,768 2,248,091 101,200 DV7 9-1/4 AF0 02/15/16 5,431,754 4,780,512 651,242 371,400 DW5 7-1/4 AH6 05/15/16 18,823,551 18,532,276 291,275 405,000 DX3 7-1/2 AK9 11/15/16 18,787,448 17,429,609 1,357,839 221,700 DY1 8-3/4 AL7 05/15/17 15,559,169 8,830,842 6,728,327 1,441,020 DZ8 8-7/8 AM5 08/15/17 10,968,358 7,190,063 3,778,295 763,600 EA2 9-1/8 AN3 05/15/18 6,717,439 2,931,921 3,785,518 191,200 EB0 9 AP8 11/15/18 7,174,470 3,560,998 3,613,472 272,800 EC8 8-7/8 AQ6 02/15/19 13,090,498 7,760,587 5,329,911 688,000 ED6 8-1/8 AR4 08/15/19 18,940,932 17,146,802 1,794,130 680,120 EE4 8-1/2 AS2 02/15/20 9,476,268 6,388,585 3,087,683 404,000 EF1 8-3/4 AT0 05/15/20 7,582,183 3,419,916 4,162,267 421,520 EG9 8-3/4 AU7 08/15/20 17,059,306 9,367,174 7,692,132 610,380 EH7 7-7/8 AV5 02/15/21 10,075,573 8,172,789 1,902,784 638,600 EJ3 8-1/8 AW3 05/15/21 10,066,788 4,111,521 5,955,267 170,200 EK0 8-1/8 AX1 08/15/21 9,506,382 6,484,687 3,021,695 540,960 EL8 8 AY9 11/15/21 30,632,194 14,279,572 16,352,622 1,315,325 EM6 7-1/4 AZ6 08/15/22 10,127,790 8,287,230 1,840,560 793,000 EN4 7-5/8 BA0 11/15/22 7,423,626 3,343,668 4,079,958 147,800 EP9 7-1/8 BB8 02/15/23 15,782,061 9,749,149 6,032,912 983,200 EQ7 6-1/4 BC6 08/15/23 22,659,044 19,331,987 3,327,057 895,120 ES3 7-1/2 BD4 11/15/24 9,604,162 3,832,339 5,771,823 122,160 ET1 7-5/8 BE2 02/15/25 9,509,170 2,960,263 6,548,907 839,200 EV6 6-7/8 BF9 08/15/25 11,187,207 5,656,596 5,530,611 1,810,000 EW4 6 BG7 02/15/26 12,837,916 12,060,272 777,644 449,000 EX2 6-3/4 BH5 08/15/26 8,810,418 5,372,426 3,437,992 245,400 EY0 6-1/2 BJ1 11/15/26 10,860,177 4,296,465 6,563,712 444,000 EZ7 6-5/8 BK8 02/15/27 9,521,971 4,621,827 4,900,144 266,000 FA1 6-3/8 BL6 08/15/27 9,196,756 5,429,067 3,767,689 396,000 FB9 6-1/8 BM4 11/15/27 22,021,339 8,427,985 13,593,354 1,217,800 FE3 5-1/2 BP7 08/15/28 11,776,201 10,595,891 1,180,310 412,800 FF0 5-1/4 BV4 11/15/28 10,947,052 9,783,528 1,163,524 19,200 FG8 5-1/4 BW2 02/15/29 11,350,341 10,468,845 881,496 103,500 FJ2 6-1/8 CG6 08/15/29 11,178,580 9,622,583 1,555,997 279,400 FM5 6-1/4 CH4 05/15/30 17,043,162 12,202,113 4,841,049 987,348 FP8 5-3/8 CK7 02/15/31 16,427,648 16,218,048 209,600 0 Total Treasury Bonds............... 499,889,485 336,450,878 163,438,607 21,016,511 Treasury Inflation-Indexed Notes: CUSIP: Series: Interest Rate: 912827 2M3 A 3-3/8 912820 BV8 01/15/07 18,634,904 18,634,904 0 0 3T7 A 3-5/8 CL9 01/15/08 19,497,027 19,381,053 115,974 0 4Y5 A 3-7/8 DN4 01/15/09 18,167,693 18,167,693 0 0 5W8 A 4-1/4 EK9 01/15/10 12,607,251 12,607,251 0 0 6R8 A 3-1/2 GA9 01/15/11 11,842,725 11,842,725 0 0 7J5 A 3-3/8 GT8 01/15/12 6,335,539 6,335,539 0 0 912828 AF7 C 3 HC4 07/15/12 23,985,595 23,985,595 0 0 BD1 C 1-7/8 JA6 07/15/13 20,411,086 20,411,086 0 0 BW9 A 2 JT5 01/15/14 21,295,584 21,295,584 0 0 Total Inflation-Indexed Notes...... 152,777,405 152,661,431 115,974 0 Treasury Inflation-Indexed Bonds: CUSIP: Interest Rate: 912810 FD5 3-5/8 912803 BN2 04/15/28 19,442,149 19,436,357 5,792 0 FH6 3-7/8 CF8 04/15/29 22,220,816 22,078,353 142,464 0 FQ6 3-3/8 CL5 04/15/32 5,290,715 5,290,715 0 0 Total Inflation-Indexed Bonds...... 46,953,680 46,805,424 148,256 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 2004 -- 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: 912828 AE0 P 2-7/8 912820 HB6 06/30/04 34,050,042 34,045,242 4,800 0 AG5 Q 2-1/4 HD2 07/31/04 33,250,010 33,243,610 6,400 0 912827 Q88 C 7-1/4 BK2 08/15/04 13,346,467 9,500,701 3,845,766 50,300 5M0 G 6 DZ7 08/15/04 18,089,806 17,211,406 878,400 200,000 912828 AK6 R 2-1/8 HG5 08/31/04 34,541,397 34,541,397 0 0 AL4 S 1-7/8 HH3 09/30/04 34,655,535 34,642,735 12,800 0 AM2 T 2-1/8 HJ9 10/31/04 32,439,549 32,434,749 4,800 0 912827 R87 D 7-7/8 BL0 11/15/04 14,373,760 14,296,826 76,934 8,700 5S7 H 5-7/8 EE3 11/15/04 32,658,145 32,576,545 81,600 0 912828 AQ3 U 2 HM2 11/30/04 32,871,320 32,871,320 0 0 AR1 V 1-3/4 HN0 12/31/04 33,203,363 33,203,363 0 0 AS9 G 1-5/8 HP5 01/31/05 33,837,124 33,837,124 0 0 912827 S86 A 7-1/2 BM8 02/15/05 13,834,754 12,695,067 1,139,687 36,800 912828 AV2 H 1-1/2 HS9 02/28/05 35,331,909 35,331,909 0 0 AW0 J 1-5/8 HT7 03/31/05 35,211,162 35,206,362 4,800 0 AX8 K 1-5/8 HU4 04/30/05 34,295,459 34,295,459 0 0 912827 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 28,155,640 406,730 0 912828 BB5 L 1-1/4 HY6 05/31/05 31,020,836 31,020,836 0 0 BC3 M 1-1/8 HZ3 06/30/05 31,701,455 31,701,455 0 0 BE9 N 1-1/2 JB4 07/31/05 29,997,026 29,997,026 0 0 912827 U83 C 6-1/2 BP1 08/15/05 15,002,580 15,002,180 400 0 912828 BJ8 P 2 JF5 08/31/05 30,592,178 30,592,178 0 0 BL3 Q 1-5/8 JH1 09/30/05 31,538,969 31,538,969 0 0 BN9 R 1-5/8 JK4 10/31/05 32,368,420 32,368,420 0 0 912827 V82 D 5-7/8 BQ9 11/15/05 15,209,920 14,264,381 945,539 51,000 6N7 F 5-3/4 FX0 11/15/05 28,062,797 27,291,397 771,400 19,200 912828 BS8 S 1-7/8 JP3 11/30/05 32,203,806 32,203,806 0 0 BU3 T 1-7/8 JR9 12/31/05 33,996,270 33,996,270 0 0 BX7 K 1-7/8 JU2 01/31/06 32,533,188 32,533,188 0 0 912827 W81 A 5-5/8 BR7 02/15/06 15,513,587 15,508,467 5,120 0 912828 CB4 L 1-5/8 JY4 02/28/06 34,001,950 34,001,950 0 0 CD0 M 1-1/2 KA4 03/31/06 34,338,606 34,338,606 0 0 CF5 N 2-1/4 KC0 04/30/06 34,334,801 34,334,801 0 0 912827 X80 B 6-7/8 BS5 05/15/06 16,015,475 14,923,510 1,091,965 3,600 6X5 E 4-5/8 GG6 05/15/06 27,797,852 27,797,852 0 0 912828 AY6 G 2 HV2 05/15/06 22,391,759 22,391,759 0 0 912827 Y55 C 7 BT3 07/15/06 22,740,446 22,537,646 202,800 0 912828 BF6 H 2-3/8 JC2 08/15/06 27,909,346 27,832,446 76,900 5,000 912827 Z62 D 6-1/2 BU0 10/15/06 22,459,675 22,395,675 64,000 0 7F3 F 3-1/2 GQ4 11/15/06 35,380,129 34,709,866 670,263 93,800 912828 BP4 J 2-5/8 JL2 11/15/06 26,535,905 26,535,905 0 0 912827 2J0 B 6-1/4 BW6 02/15/07 13,103,678 12,809,670 294,008 1,000 912828 BY5 H 2-1/4 JV0 02/15/07 25,469,287 25,469,287 0 0 912827 2U5 C 6-5/8 BX4 05/15/07 13,958,186 12,936,461 1,021,725 86,600 912828 AC4 E 4-3/8 GZ4 05/15/07 24,351,431 24,351,431 0 0 CG3 J 3-1/8 KD8 05/15/07 27,564,268 27,564,268 0 0 912827 3E0 D 6-1/8 CA3 08/15/07 25,636,803 24,215,252 1,421,551 32,000 912828 AH3 F 3-1/4 HE0 08/15/07 25,410,844 25,409,344 1,500 0 AN0 G 3 HK6 11/15/07 23,311,319 23,105,539 205,780 21,900 912827 3X8 B 5-1/2 CQ8 02/15/08 13,583,412 13,302,015 281,397 134,400 912828 AT7 E 3 HQ3 02/15/08 27,489,260 27,486,460 2,800 27,400 912827 4F6 C 5-5/8 CY1 05/15/08 27,190,961 26,961,854 229,107 320 912828 AZ3 F 2-5/8 HW0 05/15/08 33,338,446 33,338,446 0 0 BG4 G 3-1/4 JD0 08/15/08 21,357,474 21,347,674 9,800 700 BK5 H 3-1/8 JG3 09/15/08 16,002,177 15,990,977 11,200 0 BM1 J 3-1/8 JJ7 10/15/08 15,995,702 15,995,702 0 0 912827 4V1 D 4-3/4 DK0 11/15/08 25,083,125 24,832,820 250,305 800 912828 BQ2 K 3-3/8 JM0 11/15/08 18,181,033 18,181,033 0 0 BT6 L 3-3/8 JQ1 12/15/08 16,000,028 16,000,028 0 0 BV1 D 3-1/4 JS7 01/15/09 16,002,546 16,002,546 0 0 BZ2 E 3 JW8 02/15/09 17,433,763 17,433,763 0 0 CC2 F 2-5/8 JZ1 03/15/09 16,001,063 16,001,063 0 0 CE8 G 3-1/8 KB2 04/15/09 16,002,805 16,002,805 0 0 912827 5G3 B 5-1/2 DV6 05/15/09 14,794,790 14,736,450 58,340 1,200 912828 CH1 H 3-7/8 KE6 05/15/09 18,059,937 18,059,937 0 0 912827 5N8 C 6 EA1 08/15/09 27,399,894 26,816,651 583,243 30,000 5Z1 B 6-1/2 EM5 02/15/10 23,355,709 23,349,389 6,320 0 6J6 C 5-3/4 FT9 08/15/10 22,437,594 22,436,074 1,520 0 6T4 B 5 GC5 02/15/11 23,436,329 23,405,509 30,820 0 7B2 C 5 GL5 08/15/11 26,635,316 26,413,276 222,040 0 7L0 B 4-7/8 GV3 02/15/12 24,779,838 24,767,438 12,400 0 912828 AJ9 D 4-3/8 HF7 08/15/12 19,647,976 19,634,456 13,520 0 AP5 E 4 HL4 11/15/12 18,112,742 18,112,542 200 0 AU4 A 3-7/8 HR1 02/15/13 19,498,396 19,493,756 4,640 0 BA7 B 3-5/8 HX8 05/15/13 18,253,553 18,247,153 6,400 0 BH2 D 4-1/4 JE8 08/15/13 33,521,123 33,497,923 23,200 0 BR0 E 4-1/4 JN8 11/15/13 30,636,844 30,636,844 0 0 CA6 B 4 JX6 02/15/14 28,081,066 28,081,066 0 0 CJ7 C 4-3/4 KF3 05/15/14 17,297,703 17,297,703 0 0 Total Treasury Notes............... 1,997,355,073 1,982,371,753 14,983,320 804,720 Grand Total................................................ 2,696,975,643 2,518,289,486 178,686,157 21,821,231