TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 2005 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 DR6 10.750 912803 AG8 08/15/05 9,269,713 5,503,088 3,766,625 107,949 912810 DU9 9.375 912803 AJ2 02/15/06 4,755,916 4,128,641 627,275 23,400 912810 DN5 11.750 912800 AA7 11/15/14 5,015,284 2,199,762 2,815,522 8,800 912810 DP0 11.250 912803 AA1 02/15/15 10,520,299 9,047,543 1,472,756 396,160 912810 DS4 10.625 912803 AC7 08/15/15 4,023,916 3,282,596 741,320 159,720 912810 DT2 9.875 912803 AE3 11/15/15 5,584,859 3,479,418 2,105,441 14,800 912810 DV7 9.250 912803 AF0 02/15/16 5,431,754 5,165,562 266,192 20,800 912810 DW5 7.250 912803 AH6 05/15/16 18,823,551 18,224,976 598,575 64,000 912810 DX3 7.500 912803 AK9 11/15/16 18,787,448 16,941,115 1,846,333 237,040 912810 DY1 8.750 912803 AL7 05/15/17 15,559,169 9,628,032 5,931,137 387,080 912810 DZ8 8.875 912803 AM5 08/15/17 10,968,358 7,695,746 3,272,612 264,000 912810 EA2 9.125 912803 AN3 05/15/18 6,717,439 3,658,821 3,058,618 311,000 912810 EB0 9.000 912803 AP8 11/15/18 7,174,470 3,967,239 3,207,231 300,000 912810 EC8 8.875 912803 AQ6 02/15/19 13,090,498 7,304,034 5,786,464 351,400 912810 ED6 8.125 912803 AR4 08/15/19 18,940,932 16,948,845 1,992,087 1,254,080 912810 EE4 8.500 912803 AS2 02/15/20 9,476,268 5,574,215 3,902,053 417,600 912810 EF1 8.750 912803 AT0 05/15/20 7,582,183 3,785,510 3,796,673 275,920 912810 EG9 8.750 912803 AU7 08/15/20 17,059,306 11,339,553 5,719,753 3,852,274 912810 EH7 7.875 912803 AV5 02/15/21 10,075,573 8,229,189 1,846,384 330,500 912810 EJ3 8.125 912803 AW3 05/15/21 10,066,788 4,457,279 5,609,509 587,860 912810 EK0 8.125 912803 AX1 08/15/21 9,506,382 6,123,688 3,382,694 278,640 912810 EL8 8.000 912803 AY9 11/15/21 30,632,194 14,046,066 16,586,128 1,594,350 912810 EM6 7.250 912803 AZ6 08/15/22 10,127,790 7,851,270 2,276,520 309,600 912810 EN4 7.625 912803 BA0 11/15/22 7,423,626 3,817,968 3,605,658 272,200 912810 EP9 7.125 912803 BB8 02/15/23 15,782,061 11,180,749 4,601,312 750,800 912810 EQ7 6.250 912803 BC6 08/15/23 22,659,044 19,249,643 3,409,401 595,072 912810 ES3 7.500 912803 BD4 11/15/24 9,604,162 3,451,619 6,152,543 724,640 912810 ET1 7.625 912803 BE2 02/15/25 9,509,170 3,945,669 5,563,501 199,800 912810 EV6 6.875 912803 BF9 08/15/25 11,187,207 6,889,326 4,297,881 358,760 912810 EW4 6.000 912803 BG7 02/15/26 12,837,916 11,806,772 1,031,144 895,700 912810 EX2 6.750 912803 BH5 08/15/26 8,810,418 4,475,855 4,334,563 206,000 912810 EY0 6.500 912803 BJ1 11/15/26 10,860,177 4,359,760 6,500,417 796,400 912810 EZ7 6.625 912803 BK8 02/15/27 9,521,971 4,553,060 4,968,911 1,053,600 912810 FA1 6.375 912803 BL6 08/15/27 9,196,756 5,080,067 4,116,689 273,600 912810 FB9 6.125 912803 BM4 11/15/27 22,021,339 7,909,551 14,111,788 1,503,500 912810 FE3 5.500 912803 BP7 08/15/28 11,776,201 10,459,229 1,316,972 60,000 912810 FF0 5.250 912803 BV4 11/15/28 10,947,052 9,771,296 1,175,756 590,400 912810 FG8 5.250 912803 BW2 02/15/29 11,350,341 10,623,045 727,296 177,200 912810 FJ2 6.125 912803 CG6 08/15/29 11,178,580 9,352,343 1,826,237 500,400 912810 FM5 6.250 912803 CH4 05/15/30 17,043,162 9,957,785 7,085,377 1,777,720 912810 FP8 5.375 912803 CK7 02/15/31 16,427,648 16,255,048 172,600 8,600 Total Treasury Bonds............... 487,326,921 331,720,973 155,605,948 22,291,365 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 912827 2M3 A 3.375 912820 BV8 01/15/07 19,220,785 19,220,785 0 0 912827 3T7 A 3.625 912820 CL9 01/15/08 20,109,976 19,990,356 119,620 0 912827 4Y5 A 3.875 912820 DN4 01/15/09 18,738,749 18,738,749 0 0 912827 5W8 A 4.250 912820 EK9 01/15/10 13,003,598 13,003,598 0 0 912828 CZ1 D 0.875 912820 KV8 04/15/10 21,422,815 21,422,815 0 0 912827 6R8 A 3.500 912820 GA9 01/15/11 12,215,000 12,215,000 0 0 912827 7J5 A 3.375 912820 GT8 01/15/12 6,534,761 6,534,761 0 0 912828 AF7 C 3.000 912820 HC4 07/15/12 24,739,655 24,739,655 0 0 912828 BD1 C 1.875 912820 JA6 07/15/13 21,052,753 21,052,753 0 0 912828 BW9 A 2.000 912820 JT5 01/15/14 21,965,114 21,965,114 0 0 912828 CP3 D 2.000 912820 KL0 07/15/14 19,481,671 19,481,671 0 0 912828 DH0 A 1.625 912820 LE5 01/15/15 19,230,797 19,230,797 0 0 912810 FR4 2.375 912803 CN1 01/15/25 22,555,418 22,555,418 0 0 912810 FD5 3.625 912803 BN2 04/15/28 20,053,403 20,047,429 5,974 0 912810 FH6 3.875 912803 CF8 04/15/29 22,919,391 22,772,448 146,943 0 912810 FQ6 3.375 912803 CL5 04/15/32 5,457,021 5,457,021 0 0 Total Treasury Inflation-Protected 288,700,907 288,428,370 272,537 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, MAY 31, 2005 -- 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 BC3 M 1.125 912820 HZ3 06/30/05 31,701,455 31,701,455 0 32,000 912828 BE9 N 1.500 912820 JB4 07/31/05 29,997,026 29,997,026 0 0 912827 U83 C 6.500 912820 BP1 08/15/05 15,002,580 14,264,635 737,945 22,000 912828 BJ8 P 2.000 912820 JF5 08/31/05 30,592,178 30,592,178 0 0 912828 BL3 Q 1.625 912820 JH1 09/30/05 31,538,969 31,538,969 0 0 912828 BN9 R 1.625 912820 JK4 10/31/05 32,368,420 32,347,620 20,800 0 912827 V82 D 5.875 912820 BQ9 11/15/05 15,209,920 12,967,538 2,242,382 266,600 912827 6N7 F 5.750 912820 FX0 11/15/05 28,062,797 27,113,657 949,140 46,000 912828 BS8 S 1.875 912820 JP3 11/30/05 32,203,806 32,203,806 0 0 912828 BU3 T 1.875 912820 JR9 12/31/05 33,996,270 33,996,270 0 0 912828 BX7 K 1.875 912820 JU2 01/31/06 32,533,188 32,533,188 0 0 912827 W81 A 5.625 912820 BR7 02/15/06 15,513,587 15,350,957 162,630 21,720 912828 CB4 L 1.625 912820 JY4 02/28/06 34,001,950 34,000,350 1,600 0 912828 CD0 M 1.500 912820 KA4 03/31/06 34,338,606 34,338,606 0 0 912828 CF5 N 2.250 912820 KC0 04/30/06 34,334,801 34,334,801 0 0 912827 X80 B 6.875 912820 BS5 05/15/06 16,015,475 14,579,826 1,435,649 43,480 912827 6X5 E 4.625 912820 GG6 05/15/06 27,797,852 27,795,052 2,800 0 912828 AY6 G 2.000 912820 HV2 05/15/06 22,391,759 22,383,819 7,940 0 912828 CK4 P 2.500 912820 KG1 05/31/06 31,307,947 31,094,747 213,200 0 912828 CM0 Q 2.750 912820 KJ5 06/30/06 32,587,733 32,587,733 0 0 912827 Y55 C 7.000 912820 BT3 07/15/06 22,740,446 22,514,046 226,400 0 912828 CQ1 R 2.750 912820 KM8 07/31/06 31,010,881 31,010,881 0 0 912828 BF6 H 2.375 912820 JC2 08/15/06 27,909,346 27,710,826 198,520 0 912828 CU2 S 2.375 912820 KR7 08/31/06 31,814,087 31,814,087 0 0 912828 CW8 T 2.500 912820 KT3 09/30/06 31,656,294 31,656,294 0 0 912827 Z62 D 6.500 912820 BU0 10/15/06 22,459,675 22,395,675 64,000 0 912828 CY4 U 2.500 912820 KW6 10/31/06 29,568,526 29,568,526 0 0 912827 7F3 F 3.500 912820 GQ4 11/15/06 35,380,129 34,612,056 768,073 30,100 912828 BP4 J 2.625 912820 JL2 11/15/06 26,535,905 26,479,985 55,920 0 912828 DD9 V 2.875 912820 LA3 11/30/06 30,049,344 30,049,344 0 0 912828 DF4 W 3.000 912820 LC9 12/31/06 31,951,752 31,951,752 0 0 912828 DJ6 M 3.125 912820 LF2 01/31/07 29,026,959 29,026,959 0 0 912827 2J0 B 6.250 912820 BW6 02/15/07 13,103,678 11,990,440 1,113,238 50,820 912828 BY5 H 2.250 912820 JV0 02/15/07 25,469,287 25,283,487 185,800 2,000 912828 DN7 N 3.375 912820 LK1 02/28/07 32,007,046 32,007,046 0 0 912828 DQ0 P 3.750 912820 LM7 03/31/07 32,000,981 32,000,981 0 0 902828 DS6 Q 3.625 912820 LP0 04/30/07 31,997,895 31,997,895 0 0 912827 2U5 C 6.625 912820 BX4 05/15/07 13,958,186 12,748,469 1,209,717 31,200 912828 AC4 E 4.375 912820 GZ4 05/15/07 24,351,431 24,297,071 54,360 0 912828 CG3 J 3.125 912820 KD8 05/15/07 27,564,268 26,416,695 1,147,573 18,800 912828 DW7 R 3.500 912820 LT2 05/31/07 29,120,556 29,120,556 0 0 912827 3E0 D 6.125 912820 CA3 08/15/07 25,636,803 23,660,688 1,976,115 26,646 912828 AH3 F 3.250 912820 HE0 08/15/07 25,410,844 25,399,444 11,400 0 912828 CR9 K 2.750 912820 KN6 08/15/07 24,673,687 24,606,287 67,400 0 912828 AN0 G 3.000 912820 HK6 11/15/07 50,619,528 49,606,242 1,013,286 72,790 912827 3X8 B 5.500 912820 CQ8 02/15/08 13,583,412 12,742,547 840,865 20,000 912828 AT7 E 3.000 912820 HQ3 02/15/08 27,489,260 27,353,560 135,700 4,400 912828 DK3 M 3.375 912820 LG0 02/15/08 23,885,083 23,834,683 50,400 100 912827 4F6 C 5.625 912820 CY1 05/15/08 27,190,961 25,541,322 1,649,639 0 912828 AZ3 F 2.625 912820 HW0 05/15/08 33,338,446 33,338,446 0 0 912828 DT4 N 3.750 912820 LQ8 05/15/08 26,707,481 26,707,481 0 0 912828 BG4 G 3.250 912820 JD0 08/15/08 21,357,474 20,903,194 454,280 6,600 912828 BK5 H 3.125 912820 JG3 09/15/08 16,002,177 15,987,777 14,400 0 912828 BM1 J 3.125 912820 JJ7 10/15/08 15,995,702 15,995,702 0 0 912827 4V1 D 4.750 912820 DK0 11/15/08 25,083,125 24,825,840 257,285 14,400 912828 BQ2 K 3.375 912820 JM0 11/15/08 18,181,033 18,105,969 75,064 0 912828 BT6 L 3.375 912820 JQ1 12/15/08 16,000,028 16,000,028 0 0 912828 BV1 D 3.250 912820 JS7 01/15/09 16,002,546 16,002,546 0 0 912828 BZ2 E 3.000 912820 JW8 02/15/09 17,433,763 17,314,213 119,550 0 912828 CC2 F 2.625 912820 JZ1 03/15/09 16,001,063 15,999,463 1,600 0 912828 CE8 G 3.125 912820 KB2 04/15/09 16,002,805 16,002,805 0 0 912827 5G3 B 5.500 912820 DV6 05/15/09 14,794,790 14,700,790 94,000 2,800 912828 CH1 H 3.875 912820 KE6 05/15/09 18,059,937 17,817,127 242,810 15,700 912828 CL2 J 4.000 912820 KH9 06/15/09 15,004,754 15,004,754 0 0 912828 CN8 K 3.625 912820 KK2 07/15/09 15,004,962 15,004,962 0 0 912827 5N8 C 6.000 912820 EA1 08/15/09 27,399,894 26,385,542 1,014,352 46,800 912828 CS7 L 3.500 912820 KP1 08/15/09 17,294,686 17,294,686 0 0 912828 CV0 M 3.375 912820 KS5 09/15/09 15,005,079 15,005,079 0 0 912828 CX6 N 3.375 912820 KU0 10/15/09 15,005,091 15,005,091 0 0 912828 DB3 P 3.500 912820 KY2 11/15/09 18,751,928 18,718,668 33,260 0 912828 DE7 Q 3.500 912820 LB1 12/15/09 15,002,485 15,002,485 0 0 912828 DG2 E 3.625 912820 LD7 01/15/10 15,004,697 15,004,697 0 0 912827 5Z1 B 6.500 912820 EM5 02/15/10 23,355,709 22,714,739 640,970 37,600 912828 DL1 F 3.500 912820 LH8 02/15/10 16,617,068 16,617,068 0 0 912828 DP2 G 4.000 912820 LL9 03/15/10 15,005,048 15,005,048 0 0 912828 DR8 H 4.000 912820 LN5 04/15/10 15,001,494 15,001,494 0 0 912828 DU1 J 3.875 912820 LR6 05/15/10 18,749,057 18,641,857 107,200 0 912827 6J6 C 5.750 912820 FT9 08/15/10 22,437,594 21,002,572 1,435,022 67,200 912827 6T4 B 5.000 912820 GC5 02/15/11 23,436,329 23,103,409 332,920 74,800 912827 7B2 C 5.000 912820 GL5 08/15/11 26,635,316 26,214,536 420,780 0 912827 7L0 B 4.875 912820 GV3 02/15/12 24,779,838 24,730,638 49,200 1,600 912828 AJ9 D 4.375 912820 HF7 08/15/12 19,647,976 19,634,776 13,200 0 912828 AP5 E 4.000 912820 HL4 11/15/12 18,112,742 18,112,542 200 0 912828 AU4 A 3.875 912820 HR1 02/15/13 19,498,396 19,489,156 9,240 83,200 912828 BA7 B 3.625 912820 HX8 05/15/13 18,253,553 18,247,153 6,400 0 912828 BH2 D 4.250 912820 JE8 08/15/13 33,521,123 33,497,923 23,200 0 912828 BR0 E 4.250 912820 JN8 11/15/13 30,636,844 30,636,844 0 0 912828 CA6 B 4.000 912820 JX6 02/15/14 28,081,066 28,079,066 2,000 0 912828 CJ7 C 4.750 912820 KF3 05/15/14 27,302,981 27,156,161 146,820 5,000 912828 CT5 E 4.250 912820 KQ9 08/15/14 24,721,634 24,720,834 800 0 912828 DC1 F 4.250 912820 KZ9 11/15/14 25,472,536 25,472,536 0 0 912828 DM9 B 4.000 912820 LJ4 02/15/15 24,214,991 24,214,991 0 0 912828 DV9 C 4.125 912820 LS4 05/15/15 16,470,858 16,470,858 0 0 Total Treasury Notes............... 2,256,048,668 2,234,011,623 22,037,045 1,044,356 Grand Total................................................ 3,032,076,496 2,854,160,966 177,915,530 23,335,721