TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JULY 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 4,607,893 3,693,913 85,000 DQ8 12 AD5 05/15/05 4,260,758 2,075,469 2,185,289 0 DR6 10-3/4 AG8 08/15/05 9,269,713 6,266,284 3,003,429 0 DU9 9-3/8 AJ2 02/15/06 4,755,916 4,302,126 453,790 2,688 DN5 11-3/4 912800 AA7 11/15/14 5,015,284 1,822,162 3,193,122 0 DP0 11-1/4 912803 AA1 02/15/15 10,520,299 8,306,780 2,213,519 527,560 DS4 10-5/8 AC7 08/15/15 4,023,916 3,348,111 675,805 5,000 DT2 9-7/8 AE3 11/15/15 5,584,859 3,249,968 2,334,891 48,200 DV7 9-1/4 AF0 02/15/16 5,431,754 4,761,312 670,442 24,400 DW5 7-1/4 AH6 05/15/16 18,823,551 18,460,976 362,575 25,200 DX3 7-1/2 AK9 11/15/16 18,787,448 17,227,869 1,559,579 336,800 DY1 8-3/4 AL7 05/15/17 15,559,169 8,473,312 7,085,857 394,460 DZ8 8-7/8 AM5 08/15/17 10,968,358 7,252,463 3,715,895 273,000 EA2 9-1/8 AN3 05/15/18 6,717,439 3,054,521 3,662,918 52,800 EB0 9 AP8 11/15/18 7,174,470 3,584,521 3,589,949 211,323 EC8 8-7/8 AQ6 02/15/19 13,090,498 7,668,387 5,422,111 367,000 ED6 8-1/8 AR4 08/15/19 18,940,932 17,577,962 1,362,970 682,240 EE4 8-1/2 AS2 02/15/20 9,476,268 6,070,985 3,405,283 131,700 EF1 8-3/4 AT0 05/15/20 7,582,183 3,438,330 4,143,853 174,600 EG9 8-3/4 AU7 08/15/20 17,059,306 9,387,854 7,671,452 448,240 EH7 7-7/8 AV5 02/15/21 10,075,573 8,166,589 1,908,984 420,200 EJ3 8-1/8 AW3 05/15/21 10,066,788 4,078,841 5,987,947 70,520 EK0 8-1/8 AX1 08/15/21 9,506,382 6,994,367 2,512,015 512,800 EL8 8 AY9 11/15/21 30,632,194 15,056,697 15,575,497 1,081,875 EM6 7-1/4 AZ6 08/15/22 10,127,790 8,146,630 1,981,160 278,300 EN4 7-5/8 BA0 11/15/22 7,423,626 3,903,668 3,519,958 232,600 EP9 7-1/8 BB8 02/15/23 15,782,061 9,527,449 6,254,612 555,100 EQ7 6-1/4 BC6 08/15/23 22,659,044 19,859,335 2,799,709 1,335,904 ES3 7-1/2 BD4 11/15/24 9,604,162 3,366,899 6,237,263 179,340 ET1 7-5/8 BE2 02/15/25 9,509,170 3,088,863 6,420,307 829,000 EV6 6-7/8 BF9 08/15/25 11,187,207 5,814,086 5,373,121 928,930 EW4 6 BG7 02/15/26 12,837,916 12,237,872 600,044 283,900 EX2 6-3/4 BH5 08/15/26 8,810,418 5,306,426 3,503,992 135,200 EY0 6-1/2 BJ1 11/15/26 10,860,177 4,525,865 6,334,312 149,800 EZ7 6-5/8 BK8 02/15/27 9,521,971 4,490,027 5,031,944 65,800 FA1 6-3/8 BL6 08/15/27 9,196,756 5,618,867 3,577,889 345,600 FB9 6-1/8 BM4 11/15/27 22,021,339 8,409,985 13,611,354 1,083,600 FE3 5-1/2 BP7 08/15/28 11,776,201 10,451,391 1,324,810 127,400 FF0 5-1/4 BV4 11/15/28 10,947,052 9,746,928 1,200,124 124,800 FG8 5-1/4 BW2 02/15/29 11,350,341 10,466,545 883,796 61,800 FJ2 6-1/8 CG6 08/15/29 11,178,580 9,358,583 1,819,997 86,400 FM5 6-1/4 CH4 05/15/30 17,043,162 11,823,845 5,219,317 746,728 FP8 5-3/8 CK7 02/15/31 16,427,648 16,184,648 243,000 1,600 Total Treasury Bonds............... 499,889,485 337,561,691 162,327,794 13,427,408 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 912827 2M3 A 3-3/8 912820 BV8 01/15/07 18,804,302 18,804,302 0 0 3T7 A 3-5/8 CL9 01/15/08 19,674,221 19,557,193 117,028 0 4Y5 A 3-7/8 DN4 01/15/09 18,332,760 18,332,760 0 0 5W8 A 4-1/4 EK9 01/15/10 12,721,819 12,721,819 0 0 6R8 A 3-1/2 GA9 01/15/11 11,950,425 11,950,425 0 0 7J5 A 3-3/8 GT8 01/15/12 6,393,180 6,393,180 0 0 912828 AF7 C 3 HC4 07/15/12 24,203,803 24,203,803 0 0 BD1 C 1-7/8 JA6 07/15/13 20,596,564 20,596,564 0 0 BW9 A 2 JT5 01/15/14 21,489,218 21,489,218 0 0 CP3 D 2 KL0 07/15/14 10,030,638 10,030,638 0 0 912810 FD5 3-5/8 912803 BN2 04/15/28 19,618,879 19,613,034 5,845 0 FH6 3-7/8 CF8 04/15/29 22,422,804 22,279,046 143,759 0 FQ6 3-3/8 CL5 04/15/32 5,338,782 5,338,782 0 0 Total Treasury Inflation-Protected 211,577,396 211,310,764 266,631 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, JULY 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: 912827 Q88 C 7-1/4 912820 BK2 08/15/04 13,346,467 9,215,303 4,131,164 36,402 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 34,641,135 14,400 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 14,285,026 88,734 33,600 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 12,676,777 1,157,977 67,390 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 28,159,640 402,730 10,600 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 14,073,321 1,136,599 11,200 6N7 F 5-3/4 FX0 11/15/05 28,062,797 27,290,797 772,000 800 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 0 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 32,587,733 32,587,733 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 27,824,346 85,000 3,000 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 34,678,696 701,433 14,600 912828 BP4 J 2-5/8 JL2 11/15/06 26,535,905 26,535,225 680 0 912827 2J0 B 6-1/4 BW6 02/15/07 13,103,678 12,811,974 291,704 0 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 12,949,921 1,008,265 1,000 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 24,324,252 1,312,551 46,600 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 23,093,743 217,576 0 912827 3X8 B 5-1/2 CQ8 02/15/08 13,583,412 13,284,997 298,415 19,982 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 26,977,874 213,087 0 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 21,351,434 6,040 5,600 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 24,828,280 254,845 700 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 0 912828 CH1 H 3-7/8 KE6 05/15/09 18,059,937 17,882,337 177,600 0 CL2 J 4 KH9 06/15/09 15,004,754 15,004,754 0 0 CN8 K 3 5/8 KK2 07/15/09 15,004,962 15,004,962 0 0 912827 5N8 C 6 EA1 08/15/09 27,399,894 26,819,642 580,252 191 5Z1 B 6-1/2 EM5 02/15/10 23,355,709 23,348,789 6,920 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 26,413,856 221,460 280 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 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 28,080,066 1,000 0 CJ7 C 4-3/4 KF3 05/15/14 27,302,981 27,302,981 0 0 Total Treasury Notes............... 2,033,965,695 2,018,386,878 15,578,817 251,945 Grand Total................................................ 2,745,432,576 2,567,259,333 178,173,242 13,679,353