TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JUNE 30, 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 4,604,824 3,696,982 270,400 DQ8 12 AD5 05/15/05 4,260,758 2,080,951 2,179,807 80,000 DR6 10-3/4 AG8 08/15/05 9,269,713 6,274,684 2,995,029 0 DU9 9-3/8 AJ2 02/15/06 4,755,916 4,300,870 455,046 0 DN5 11-3/4 912800 AA7 11/15/14 5,015,284 1,914,962 3,100,322 7,400 DP0 11-1/4 912803 AA1 02/15/15 10,520,299 8,072,820 2,447,479 403,680 DS4 10-5/8 AC7 08/15/15 4,023,916 3,371,631 652,285 31,040 DT2 9-7/8 AE3 11/15/15 5,584,859 3,319,568 2,265,291 13,800 DV7 9-1/4 AF0 02/15/16 5,431,754 4,794,912 636,842 183,200 DW5 7-1/4 AH6 05/15/16 18,823,551 18,471,776 351,775 104,700 DX3 7-1/2 AK9 11/15/16 18,787,448 17,175,369 1,612,079 87,080 DY1 8-3/4 AL7 05/15/17 15,559,169 8,402,172 7,156,997 207,820 DZ8 8-7/8 AM5 08/15/17 10,968,358 7,057,863 3,910,495 203,800 EA2 9-1/8 AN3 05/15/18 6,717,439 3,023,521 3,693,918 432,200 EB0 9 AP8 11/15/18 7,174,470 3,443,198 3,731,272 15,800 EC8 8-7/8 AQ6 02/15/19 13,090,498 7,613,187 5,477,311 368,800 ED6 8-1/8 AR4 08/15/19 18,940,932 17,396,242 1,544,690 408,040 EE4 8-1/2 AS2 02/15/20 9,476,268 6,114,285 3,361,983 91,800 EF1 8-3/4 AT0 05/15/20 7,582,183 3,329,516 4,252,667 269,480 EG9 8-3/4 AU7 08/15/20 17,059,306 9,490,914 7,568,392 595,060 EH7 7-7/8 AV5 02/15/21 10,075,573 8,210,989 1,864,584 425,000 EJ3 8-1/8 AW3 05/15/21 10,066,788 4,227,361 5,839,427 457,360 EK0 8-1/8 AX1 08/15/21 9,506,382 7,006,507 2,499,875 754,800 EL8 8 AY9 11/15/21 30,632,194 14,992,522 15,639,672 2,130,375 EM6 7-1/4 AZ6 08/15/22 10,127,790 7,911,630 2,216,160 316,800 EN4 7-5/8 BA0 11/15/22 7,423,626 3,706,268 3,717,358 950,000 EP9 7-1/8 BB8 02/15/23 15,782,061 9,622,949 6,159,112 440,400 EQ7 6-1/4 BC6 08/15/23 22,659,044 19,268,767 3,390,277 749,968 ES3 7-1/2 BD4 11/15/24 9,604,162 3,631,139 5,973,023 117,600 ET1 7-5/8 BE2 02/15/25 9,509,170 3,082,063 6,427,107 1,860,400 EV6 6-7/8 BF9 08/15/25 11,187,207 5,841,836 5,345,371 2,009,520 EW4 6 BG7 02/15/26 12,837,916 12,169,472 668,444 581,900 EX2 6-3/4 BH5 08/15/26 8,810,418 5,382,626 3,427,792 384,100 EY0 6-1/2 BJ1 11/15/26 10,860,177 4,512,365 6,347,812 634,600 EZ7 6-5/8 BK8 02/15/27 9,521,971 4,505,827 5,016,144 489,200 FA1 6-3/8 BL6 08/15/27 9,196,756 5,380,067 3,816,689 317,800 FB9 6-1/8 BM4 11/15/27 22,021,339 8,408,385 13,612,954 1,020,800 FE3 5-1/2 BP7 08/15/28 11,776,201 10,616,391 1,159,810 476,600 FF0 5-1/4 BV4 11/15/28 10,947,052 9,694,728 1,252,324 223,600 FG8 5-1/4 BW2 02/15/29 11,350,341 10,424,745 925,596 103,600 FJ2 6-1/8 CG6 08/15/29 11,178,580 9,579,983 1,598,597 342,200 FM5 6-1/4 CH4 05/15/30 17,043,162 11,979,169 5,063,993 536,300 FP8 5-3/8 CK7 02/15/31 16,427,648 16,218,048 209,600 0 Total Treasury Bonds............... 499,889,485 336,627,102 163,262,383 19,097,023 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 912827 2M3 A 3-3/8 912820 BV8 01/15/07 18,696,517 18,696,517 0 0 3T7 A 3-5/8 CL9 01/15/08 19,561,415 19,445,058 116,357 0 4Y5 A 3-7/8 DN4 01/15/09 18,227,645 18,227,645 0 0 5W8 A 4-1/4 EK9 01/15/10 12,648,912 12,648,912 0 0 6R8 A 3-1/2 GA9 01/15/11 11,881,779 11,881,779 0 0 7J5 A 3-3/8 GT8 01/15/12 6,356,494 6,356,494 0 0 912828 AF7 C 3 HC4 07/15/12 24,064,776 24,064,776 0 0 BD1 C 1-7/8 JA6 07/15/13 20,478,514 20,478,514 0 0 BW9 A 2 JT5 01/15/14 21,365,939 21,365,939 0 0 912810 FD5 3-5/8 912803 BN2 04/15/28 19,506,429 19,500,618 5,811 0 FH6 3-7/8 CF8 04/15/29 22,294,320 22,151,385 142,935 0 FQ6 3-3/8 CL5 04/15/32 5,308,157 5,308,157 0 0 Total Treasury Inflation-Protected 200,390,900 200,125,797 265,103 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JUNE 30, 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 AG5 Q 2-1/4 912820 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 9,544,501 3,801,966 168,000 5M0 G 6 DZ7 08/15/04 18,089,806 17,211,406 878,400 0 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 14,287,226 86,534 0 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 12,662,887 1,171,867 23,600 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 28,158,740 403,630 5,500 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 14,089,181 1,120,739 21,000 6N7 F 5-3/4 FX0 11/15/05 28,062,797 27,291,397 771,400 0 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 14,947,830 1,067,645 29,760 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 CK4 P 2-1/2 KG1 05/31/06 31,307,947 31,307,947 0 0 CM0 Q 2-3/4 KJ5 06/30/06 32,591,000 32,591,000 0 0 912827 Y55 C 7 BT3 07/15/06 22,740,446 22,513,446 227,000 0 912828 BF6 H 2-3/8 JC2 08/15/06 27,909,346 27,831,046 78,300 0 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 34,683,566 696,563 9,600 912828 BP4 J 2-5/8 JL2 11/15/06 26,535,905 26,535,625 280 0 912827 2J0 B 6-1/4 BW6 02/15/07 13,103,678 12,811,974 291,704 2,600 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 12,978,261 979,925 46,200 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 24,277,652 1,359,151 62,400 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 23,109,539 201,780 50,200 912827 3X8 B 5-1/2 CQ8 02/15/08 13,583,412 13,302,015 281,397 46,000 912828 AT7 E 3 HQ3 02/15/08 27,489,260 27,486,460 2,800 0 912827 4F6 C 5-5/8 CY1 05/15/08 27,190,961 26,978,194 212,767 26,000 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 21,348,174 9,300 1,600 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 24,829,820 253,305 2,600 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 14,738,450 56,340 2,000 912828 CH1 H 3-7/8 KE6 05/15/09 18,059,937 18,059,937 0 0 CL2 J 4 KH9 06/15/09 15,004,754 15,004,754 0 0 912827 5N8 C 6 EA1 08/15/09 27,399,894 26,820,051 579,843 7,000 5Z1 B 6-1/2 EM5 02/15/10 23,355,709 23,348,789 6,920 400 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 26,413,576 221,740 1,000 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 19,634,776 13,200 320 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 27,302,982 27,302,982 0 0 Total Treasury Notes............... 2,052,214,011 2,037,167,315 15,046,696 505,780 Grand Total................................................ 2,752,494,396 2,573,920,214 178,574,182 19,602,803