TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, AUGUST 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 4,555,093 3,746,713 129,600 DQ8 12 AD5 05/15/05 4,260,758 2,062,019 2,198,739 200 DR6 10-3/4 AG8 08/15/05 9,269,713 6,222,284 3,047,429 0 DU9 9-3/8 AJ2 02/15/06 4,755,916 4,284,382 471,534 23,000 DN5 11-3/4 912800 AA7 11/15/14 5,015,284 1,984,562 3,030,722 162,400 DP0 11-1/4 912803 AA1 02/15/15 10,520,299 8,556,500 1,963,799 324,420 DS4 10-5/8 AC7 08/15/15 4,023,916 3,407,671 616,245 79,600 DT2 9-7/8 AE3 11/15/15 5,584,859 3,531,018 2,053,841 399,650 DV7 9-1/4 AF0 02/15/16 5,431,754 4,795,440 636,314 149,800 DW5 7-1/4 AH6 05/15/16 18,823,551 18,483,176 340,375 43,200 DX3 7-1/2 AK9 11/15/16 18,787,448 17,344,599 1,442,849 233,830 DY1 8-3/4 AL7 05/15/17 15,559,169 8,514,972 7,044,197 396,920 DZ8 8-7/8 AM5 08/15/17 10,968,358 7,315,063 3,653,295 244,200 EA2 9-1/8 AN3 05/15/18 6,717,439 3,042,021 3,675,418 232,100 EB0 9 AP8 11/15/18 7,174,470 3,570,121 3,604,349 228,100 EC8 8-7/8 AQ6 02/15/19 13,090,498 7,774,987 5,315,511 545,800 ED6 8-1/8 AR4 08/15/19 18,940,932 17,055,042 1,885,890 85,320 EE4 8-1/2 AS2 02/15/20 9,476,268 6,077,115 3,399,153 140,000 EF1 8-3/4 AT0 05/15/20 7,582,183 3,362,290 4,219,893 272,260 EG9 8-3/4 AU7 08/15/20 17,059,306 9,007,294 8,052,012 111,400 EH7 7-7/8 AV5 02/15/21 10,075,573 7,957,689 2,117,884 161,400 EJ3 8-1/8 AW3 05/15/21 10,066,788 3,916,121 6,150,667 158,080 EK0 8-1/8 AX1 08/15/21 9,506,382 7,187,087 2,319,295 289,920 EL8 8 AY9 11/15/21 30,632,194 15,945,822 14,686,372 2,185,200 EM6 7-1/4 AZ6 08/15/22 10,127,790 8,333,630 1,794,160 715,300 EN4 7-5/8 BA0 11/15/22 7,423,626 4,180,568 3,243,058 816,500 EP9 7-1/8 BB8 02/15/23 15,782,061 9,481,249 6,300,812 492,400 EQ7 6-1/4 BC6 08/15/23 22,659,044 19,615,923 3,043,121 488,932 ES3 7-1/2 BD4 11/15/24 9,604,162 3,600,579 6,003,583 413,780 ET1 7-5/8 BE2 02/15/25 9,509,170 3,704,863 5,804,307 962,400 EV6 6-7/8 BF9 08/15/25 11,187,207 5,982,326 5,204,881 889,680 EW4 6 BG7 02/15/26 12,837,916 12,107,372 730,544 181,800 EX2 6-3/4 BH5 08/15/26 8,810,418 5,302,626 3,507,792 138,200 EY0 6-1/2 BJ1 11/15/26 10,860,177 4,435,465 6,424,712 514,600 EZ7 6-5/8 BK8 02/15/27 9,521,971 4,541,027 4,980,944 156,400 FA1 6-3/8 BL6 08/15/27 9,196,756 5,214,067 3,982,689 25,300 FB9 6-1/8 BM4 11/15/27 22,021,339 8,496,402 13,524,937 1,033,000 FE3 5-1/2 BP7 08/15/28 11,776,201 10,537,791 1,238,410 210,500 FF0 5-1/4 BV4 11/15/28 10,947,052 9,797,028 1,150,024 240,400 FG8 5-1/4 BW2 02/15/29 11,350,341 10,542,545 807,796 109,400 FJ2 6-1/8 CG6 08/15/29 11,178,580 9,338,183 1,840,397 182,200 FM5 6-1/4 CH4 05/15/30 17,043,162 11,798,137 5,245,025 367,240 FP8 5-3/8 CK7 02/15/31 16,427,648 16,184,648 243,000 0 Total Treasury Bonds............... 499,889,485 339,146,797 160,742,688 14,534,432 Treasury Inflation-Protected Securities: CUSIP: Series: Interest Rate: 912827 2M3 A 3-3/8 912820 BV8 01/15/07 18,865,600 18,865,600 0 0 3T7 A 3-5/8 CL9 01/15/08 19,738,273 19,620,864 117,409 0 4Y5 A 3-7/8 DN4 01/15/09 18,392,553 18,392,553 0 0 5W8 A 4-1/4 EK9 01/15/10 12,763,367 12,763,367 0 0 6R8 A 3-1/2 GA9 01/15/11 11,989,369 11,989,369 0 0 7J5 A 3-3/8 GT8 01/15/12 6,414,015 6,414,015 0 0 912828 AF7 C 3 HC4 07/15/12 24,282,524 24,282,524 0 0 BD1 C 1-7/8 JA6 07/15/13 20,663,792 20,663,792 0 0 BW9 A 2 JT5 01/15/14 21,559,153 21,559,153 0 0 CP3 D 2 KL0 07/15/14 10,063,339 10,063,339 0 0 912810 FR4 2-3/8 912803 CN1 01/15/25 11,069,928 11,069,928 0 0 FD5 3-5/8 BN2 04/15/28 19,682,824 19,676,960 5,864 0 FH6 3-7/8 CF8 04/15/29 22,495,918 22,351,690 144,228 0 FQ6 3-3/8 CL5 04/15/32 5,356,175 5,356,175 0 0 Total Treasury Inflation-Protected 223,336,830 223,069,330 267,500 0 TABLE V - HOLDINGS OF TREASURY SECURITIES IN STRIPPED FORM, AUGUST 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 AL4 S 1-7/8 912820 HH3 09/30/04 34,655,535 34,637,935 17,600 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 14,131,026 242,734 3,200 5S7 H 5-7/8 EE3 11/15/04 32,658,145 30,865,745 1,792,400 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 12,407,442 1,427,312 131,020 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 34,274,659 20,800 0 912827 T85 B 6-1/2 BN6 05/15/05 14,739,504 14,737,008 2,496 0 6D9 E 6-3/4 ER4 05/15/05 28,562,370 28,132,840 429,530 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 14,041,421 1,168,499 29,000 6N7 F 5-3/4 FX0 11/15/05 28,062,797 27,290,797 772,000 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 14,965,626 1,049,849 19,196 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 CQ1 R 2-3/4 KM8 07/31/06 31,010,881 31,010,881 0 0 BF6 H 2-3/8 JC2 08/15/06 27,909,346 27,796,146 113,200 3,600 CU2 S 2-3/8 KR7 08/31/06 31,815,185 31,814,905 280 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 34,678,196 701,933 131,200 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 12,770,730 332,948 2,976 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 12,953,721 1,004,465 20,600 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 24,378,032 1,258,771 64,000 912828 AH3 F 3-1/4 HE0 08/15/07 25,410,844 25,409,344 1,500 0 CR9 K 2-3/4 KN6 08/15/07 24,673,707 24,673,707 0 0 AN0 G 3 HK6 11/15/07 23,311,319 23,104,803 206,516 15,200 912827 3X8 B 5-1/2 CQ8 02/15/08 13,583,412 13,267,897 315,515 0 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 21,350,334 7,140 0 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 24,829,280 253,845 1,000 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 14,738,420 56,370 0 912828 CH1 H 3-7/8 KE6 05/15/09 18,059,937 17,879,637 180,300 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 26,810,002 589,892 0 912828 CS7 L 3-1/2 KP1 08/15/09 17,294,686 17,294,686 0 0 912827 5Z1 B 6-1/2 EM5 02/15/10 23,355,709 23,348,789 6,920 600 6J6 C 5-3/4 FT9 08/15/10 22,437,594 22,436,074 1,520 200 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 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 19,633,976 14,000 0 AP5 E 4 HL4 11/15/12 18,112,742 18,111,442 1,300 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 CT5 E 4-1/4 KQ9 08/15/14 15,721,391 15,721,391 0 0 Total Treasury Notes............... 2,088,503,875 2,075,700,433 12,803,442 421,792 Grand Total................................................ 2,811,730,190 2,637,916,560 173,813,630 14,956,224