SECTION I-A This section reflects publicly traded corporate debt instruments (mostly long term) originally issued at a discount after May 27, 1969, and before January 1, 1985. Debt instruments which matured or were entirely called before 2006 are not included. See Section I-B for corporate discount debt instruments issued after 1984. CAUTION: The following OID information supercedes previously published information. Numbers may vary from previous editions because of rounding or updated information. OID per Daily OID per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total ------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2007 2nd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period 2007 1st Period 2006 2007 ______________ _________ ________ ________ ___________ _______ _________ ________ ________ ________ ______ ______ Allied Corp. 019087BA2 08/15/84 08/01/07 6.113 0.000 765.09 0.279194 0.315326 106.93 66.85 019087BB0 08/03/84 08/01/09 6.136 0.000 610.06 0.207187 0.231663 0.258323 79.32 88.58 Empire Incorporated 291737AB0 06/07/83 12/31/07 59.000 9.000 304.13 0.123887 0.143179 0.165022 49.23 56.64 Federal National Mortgage Association 313586QR3 07/05/84 07/05/14 3.625 0.000 354.72 0.118413 0.132258 0.147318 45.71 50.98 313586RC5 10/09/84 10/09/19 3.200 0.000 226.39 0.071457 0.078841 0.086751 26.70 29.44 Fruit of the Loom, Inc. 359416AH7 03/18/81 03/15/11 52.750 7.000 390.59 0.043135 0.043135 15.74 15.74 GMAC LLC 36186CAC7 04/01/81 04/01/11 44.510 6.000 457.87 0.050643 0.050643 18.48 18.48 General Foods Corp. 369856AF6 06/23/81 06/15/11 51.624 7.000 395.79 0.044183 0.044183 16.13 16.13 General Motors Acceptance Corporation 370424CF8 04/01/81 04/01/11 44.510 6.000 457.87 0.050643 0.050643 18.48 18.48 Honeywell Intl, Inc. 438516AH9 08/15/84 08/01/07 6.113 0.000 765.09 0.279194 0.315326 106.93 66.85 438516AJ5 08/03/84 08/01/09 6.136 0.000 610.06 0.207187 0.231663 0.258323 79.32 88.58 ITT Corporation 450679BP9 05/06/81 05/01/11 41.890 6.500 477.85 0.053059 0.053059 19.37 19.37 ITT Corporation 450680AM5 05/06/81 05/01/11 41.890 6.500 477.85 0.053059 0.053059 19.37 19.37 ITT Corporation 460470AM9 07/01/81 07/01/11 50.218 7.500 406.63 0.045434 0.045434 16.58 16.58 Kerr-McGee Corp. 492386AD9 11/17/81 11/01/11* 49.950 7.000 403.06 0.045745 1.83* Pepsico Capital Resources 713440AV7 04/14/82 04/01/06 4.780 0.000 942.41 0.108786 9.79 713440AW5 04/14/82 04/01/07 4.310 0.000 909.15 0.104946 0.104946 38.31 9.45 713440AX3 04/14/82 04/01/08 3.894 0.000 877.86 0.101335 0.101335 36.99 36.99 713440AY1 04/14/82 04/01/09 3.525 0.000 848.58 0.097954 0.097954 35.75 35.75 713440AZ8 04/14/82 04/01/10 3.196 0.000 821.04 0.094776 0.094776 34.59 34.59 713440BA2 04/14/82 04/01/11 2.904 0.000 795.11 0.091782 0.091782 33.50 33.50 713440BB0 04/14/82 04/01/12 2.643 0.000 770.58 0.088951 0.088951 32.47 32.47 Rapid-American Corp. 753329BA8 03/01/84 03/01/06 5.094 0.000 928.60 0.346757 20.46 753329BB6 03/01/84 03/01/07 4.449 0.000 811.07 0.302874 0.346763 123.98 20.46 Student Loan Marketing Association 863871AL3 08/15/84 05/15/14 3.900 0.000 362.77 0.121461 0.135451 0.150640 46.28 51.55 863871AM1 10/03/84 10/03/22 2.734 0.000 177.39 0.054395 0.059799 0.065561 20.34 22.35 Tennessee Gas Pipeline formerly Tenneco, Inc. 880451AJ8 12/15/81 12/15/11 40.783 6.000 474.61 0.054831 0.054831 19.74 19.74 Transamerica Financial Corp. 893502AM6 08/18/82 09/01/07 3.816 0.000 897.89 0.105177 0.105177 38.39 25.56 893502AN4 08/18/82 03/01/10 2.753 0.000 825.49 0.096696 0.096696 35.29 35.29 Transamerica Financial Corp. 893502AP9 08/18/82 09/01/12 1.986 0.000 762.62 0.089331 0.089331 32.61 32.61 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B This section reflects publicly traded corporate debt instruments (mostly long term) originally issued at a discount after December 31, 1984. Debt instruments which matured or were entirely called before 2006 are not included. See Section I-A for corporate discount debt instruments issued before 1985. CAUTION: The following OID information supercedes previously published information. Numbers may vary from previous editions because of rounding or updated information. OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ ABN Amro Bank N.V. 00079FBH4 07/16/03 01/16/14 100.000 0.000 0.124411 0.126979 0.129599 0.132274 0.135004 46.11 48.03 00079FBM3 08/13/03 11/13/13 100.000 0.000 0.131882 0.134726 0.137632 0.140599 0.143631 48.27 50.37 00079FBR2 09/10/03 09/10/13 100.000 0.000 0.153981 0.157846 0.161808 0.165870 0.170033 57.00 59.89 00079FBX9 10/08/03 10/08/13 100.000 0.000 0.158709 0.162803 0.167004 0.171312 0.175732 58.56 61.62 00079FCY6 03/10/04 12/10/13 100.000 0.000 0.144206 0.147652 0.151180 0.154793 0.158492 52.68 55.23 00079FDB5 03/24/04 12/24/13 100.000 0.000 0.144206 0.147652 0.151180 0.154793 0.158492 52.58 55.13 00079FED0 06/23/04 12/23/09 100.000 0.000 0.119473 0.121893 0.124361 0.126879 0.129449 43.48 45.26 00079FEK4 07/21/04 01/21/10 100.000 0.000 0.117706 0.120101 0.122545 0.125039 0.127584 43.58 45.37 00079FEN8 08/04/04 02/04/10 100.000 0.000 0.114401 0.116667 0.118977 0.121332 0.123735 42.26 43.96 00079FHN5 01/13/05 01/13/20 100.000 VARIES 0.129997 0.128002 0.128062 0.128124 0.128187 46.11 46.13 00079FHT2 01/21/05 01/21/20 100.000 VARIES 0.130184 0.128527 0.126832 0.125096 0.123319 46.03 44.78 00079FHV7 01/28/05 01/28/20 100.000 VARIES 0.128136 0.126588 0.125005 0.123384 0.121726 45.37 44.21 00079FJD5 02/15/05 02/15/20 100.000 VARIES 0.127298 0.125741 0.124148 0.122518 0.120850 45.12 43.95 00079FLN0 07/20/05 04/20/09 100.000 0.000 0.110766 0.112953 0.115183 0.117457 0.119776 40.58 42.20 00079FMR0 09/30/05 10/03/20 100.000 7.500 0.123534 0.121648 0.119720 0.117749 0.115734 43.80 42.39 00079FMS8 10/03/05 10/03/20 100.000 VARIES 0.123493 0.121916 0.120303 0.118655 0.116971 43.89 42.72 00079FNF5 11/15/05 11/15/20 100.000 VARIES 0.146369 0.142038 0.142363 0.137992 0.137382 52.44 50.92 00079FNM0 12/21/05 12/21/10 100.000 VARIES 0.124177 0.123048 0.123261 0.122707 0.122830 45.11 44.88 00079FQY1 06/28/06 06/29/09 100.000 0.000 0.145836 0.145858 0.149687 0.153617 0.157649 26.70 54.61 00079FRK0 07/05/06 07/05/08 100.000 VARIES 0.147215 0.146705 0.146423 25.91 52.77 00079FRU8 08/09/06 02/09/10 100.000 0.000 0.136192 0.139530 0.142951 19.34 50.59 00079FSN3 08/31/06 08/31/10 100.000 0.000 0.142188 0.143470 0.148779 17.49 52.95 AIG FP Private Funding Cayman Limited 001378AC2 06/19/06 05/19/08 100.000 0.000 0.144207 0.149831 0.151299 0.157021 28.51 55.27 001378AD0 06/12/06 05/12/08 100.000 0.000 0.147341 0.150598 0.154592 0.158692 29.48 55.33 001378AE8 06/12/06 05/12/08 100.000 0.000 0.147341 0.150598 0.154592 0.158692 29.48 55.33 001378AF5 06/19/06 05/19/08 100.000 0.000 0.144207 0.149831 0.151299 0.157021 28.51 55.27 001378AG3 07/31/06 07/31/08 100.000 0.000 0.151085 0.155194 0.159415 22.81 56.39 001378AH1 07/31/06 07/31/08 100.000 0.000 0.151085 0.155194 0.159415 22.81 56.39 001378AJ7 10/04/06 10/06/08 100.000 0.000 0.140277 0.140317 0.143860 0.147492 12.21 51.76 001378AK4 10/04/06 10/06/08 100.000 0.000 0.140277 0.140317 0.143860 0.147492 12.21 51.76 001378AL2 10/04/06 10/05/09 100.000 0.000 0.138516 0.138536 0.141991 0.145531 12.05 51.10 001378AM0 10/04/06 10/05/09 100.000 0.000 0.138516 0.138536 0.141991 0.145531 12.05 51.10 AIG FP Private Funding Cayman Limited 001379AB2 05/22/06 06/02/08 100.000 0.000 0.146940 0.147156 0.151048 0.155043 0.159144 32.34 55.33 001379AC0 05/22/06 06/02/08 100.000 0.000 0.146940 0.147156 0.151048 0.155043 0.159144 32.34 55.33 001379AD8 09/01/06 09/01/11 100.000 0.000 0.142975 0.146655 0.150429 17.16 53.03 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ AIG FP Private Funding Cayman Limited 001379AE6 09/01/06 09/01/11 100.000 0.000 0.142975 0.146655 0.150429 17.16 53.03 AMR Corporation 001765AZ9 09/23/03 09/23/23 98.000 4.250 0.010958 0.011216 0.011479 0.011749 0.012026 4.04 4.23 001765BA3 09/23/03 09/23/23 98.000 4.250 0.010958 0.011216 0.011479 0.011749 0.012026 4.04 4.23 001765BB1 02/13/04 02/15/24 98.500 4.500 0.008012 0.008206 0.008405 0.008608 0.008817 2.97 3.12 APP Finance VI Mauritius Limited 00202NAA3 11/18/97 11/18/12 20.424 0.000 278.45 0.143945 0.151772 0.160025 0.168726 0.177901 53.92 59.94 ASG Consolidated LLC 00210VAA5 10/19/04 11/01/11 63.700 VARIES 0.228397 0.241527 0.255413 0.270098 0.285626 86.21 96.40 00210VAB3 10/19/04 11/01/11 63.700 VARIES 0.228397 0.241527 0.255413 0.270098 0.285626 86.21 96.40 Adams & Hancok Counties Illinois 005495AX4 05/24/05 12/01/06 103.908 VARIES 0.110929 0.113019 36.98 005495AY2 05/24/05 12/01/07 106.710 VARIES 0.122822 0.125314 0.115720 0.114235 44.45 37.92 Community Unit School District No. 1 005770BQ4 06/03/03 02/01/07 104.499 VARIES 0.094250 0.093692 0.093124 33.66 2.79 005770BR2 06/03/03 02/01/08 103.613 VARIES 0.107116 0.106725 0.106327 0.105921 0.105508 38.37 38.08 Adelphia Communications Corporation 006848BK0 10/25/01 11/01/06 97.161 10.250 22.58 0.018752 0.019783 5.81 Advanced Accessory Holdings Corporation 007506AA6 02/04/04 12/15/11 57.128 VARIES 0.267027 0.284710 0.303564 0.323666 0.345099 99.90 113.57 007506AB4 02/04/04 12/15/11 57.128 VARIES 0.267027 0.284710 0.303564 0.323666 0.345099 99.90 113.57 007506AC2 02/04/04 12/15/11 57.128 VARIES 0.267027 0.284710 0.303564 0.323666 0.345099 99.90 113.57 Advanta Bank Corporation 00761HAR2 02/25/03 02/21/06 98.000 VARIES 0.019196 .96 Advanced Medical Optics 00763MAF5 06/22/04 07/15/24 100.000 VARIES 0.228797 0.235003 0.241450 0.248148 0.255107 85.58 90.39 00763MAG3 06/22/04 07/15/24 100.000 VARIES 0.228797 0.235003 0.241450 0.248148 0.255107 85.58 90.39 00763MAH1 07/18/05 07/01/25 100.000 VARIES 0.196463 0.201923 0.207572 0.213415 71.71 75.78 00763MAJ7 07/18/05 07/01/25 100.000 VARIES 0.196463 0.201923 0.207572 0.213415 71.71 75.78 00763MAK4 06/13/06 08/01/26 100.000 VARIES 0.222190 0.223597 0.228929 0.234475 44.20 83.09 00763MAL2 06/13/06 08/01/26 100.000 VARIES 0.222190 0.223597 0.228929 0.234475 44.20 83.09 Aladdin Gaming Holdings 010714AC7 02/26/98 03/01/10 45.168 VARIES 0.395222 0.390429 0.398704 0.394111 0.400516 143.80 144.90 Alameda, CA 010781AQ5 03/14/02 02/01/12 97.458 7.625 7.54 0.006290 0.006541 0.006803 0.007075 0.007358 2.39 2.58 010781AW2 03/14/02 02/01/10 97.388 7.500 10.61 0.008846 0.009198 0.009564 0.009944 0.010340 3.36 3.63 Alamosa Delaware, Inc. 011588AF7 11/10/03 07/31/09* 81.789 VARIES 0.333178 0.333169 69.63* Alaska Communications Systems Holdings, Inc. 011679AD9 08/26/03 08/15/11 96.687 9.875 7.15 0.009378 0.009870 0.010388 0.010933 0.011507 3.60 3.99 011679AE7 08/26/03 08/15/11 96.687 9.875 7.15 0.009378 0.009870 0.010388 0.010933 0.011507 3.60 3.99 011679AF4 08/26/03 08/15/11 96.687 9.875 7.15 0.009378 0.009870 0.010388 0.010933 0.011507 3.60 3.99 Alestra S.De R.L.De C.V. 01446PAG9 11/17/03 06/30/10 83.687 8.000 0.084702 0.086029 0.090386 0.087299 0.086522 31.17 32.42 Allergan, Inc. 018490AD4 11/06/02 11/06/22* 77.941 0.000 31.23 0.028093 0.028269 3.77* 018490AE2 11/06/02 11/06/22* 77.941 0.000 31.23 0.028093 0.028269 3.77* Alliance One International, Inc. 018772AE3 05/13/05 11/15/12 90.000 12.750 4.92 0.022844 0.024559 0.026403 0.028385 0.030516 8.70 10.05 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Alliance One International, Inc. 018772AF0 05/13/05 11/15/12 90.000 12.750 4.92 0.022844 0.024559 0.026403 0.028385 0.030516 8.70 10.05 Alliant Energy Resources 018803205 02/15/00 02/15/30 100.000 VARIES 0.344522 0.357700 0.371510 0.385980 0.401145 130.07 140.38 018803304 02/15/00 02/15/30 100.000 VARIES 0.344522 0.357700 0.371510 0.385980 0.401145 130.07 140.38 018803403 02/15/00 02/15/30 100.000 VARIES 0.344522 0.357700 0.371510 0.385980 0.401145 130.07 140.38 Alliant Techsystems Inc 018804AG9 02/19/04 02/15/24 100.000 VARIES 0.178898 0.182038 0.185273 0.188608 0.192045 65.84 68.22 018804AH7 02/19/04 02/15/24 100.000 VARIES 0.178898 0.182038 0.185273 0.188608 0.192045 65.84 68.22 018804AJ3 08/13/04 08/15/24 100.000 VARIES 0.201655 0.205782 0.210053 0.214472 0.219046 74.48 77.64 018804AK0 08/13/04 08/15/24 100.000 VARIES 0.201655 0.205782 0.210053 0.214472 0.219046 74.48 77.64 Alltel Corporation 020039798 05/06/02 05/17/07 100.000 VARIES 0.202213 0.201022 0.199788 72.48 27.17 020039DF7 05/06/02 05/17/07 100.000 VARIES 0.202213 0.201022 0.199788 72.48 27.17 Alpharma, Inc. 020813AC5 06/02/99 06/01/06* 100.000 3.000 0.167087 3.68* 020813AD3 06/02/99 06/01/06* 100.000 3.000 0.167087 3.68* 020813AE1 06/02/99 06/01/06* 100.000 3.000 0.167087 3.68* Alza Corporation 022615AC2 07/14/94 07/14/14 35.471 0.000 287.82 0.091474 0.093876 0.096340 0.098869 0.101464 34.18 35.99 American Axle & Manufacturing HLDG,Inc 024061AA1 02/11/04 02/15/24 100.000 2.000 0.132220 0.133975 0.135770 0.137606 0.139484 48.40 49.71 024061AB9 02/11/04 02/15/24 100.000 2.000 0.132220 0.133975 0.135770 0.137606 0.139484 48.40 49.71 American Commercial Lines LLC 025198AE2 05/29/02 01/01/08 92.250 11.250 43.24 0.043109 0.045967 0.049013 0.052262 16.03 18.23 025198AF9 05/29/02 07/01/08 53.606 VARIES 0.816442 0.915067 1.025606 1.149497 311.67 391.52 American Electric Power Company, Inc. 025537AC5 06/11/02 08/16/07 100.000 VARIES 0.191199 0.190010 0.188781 0.187511 68.29 42.25 American Medical System Holdings,Inc. 02744MAA6 06/27/06 07/01/36 100.000 VARIES 0.252792 0.252957 0.260359 0.268098 46.54 95.12 American Skiing Company 029654AG5 01/15/97 07/15/06 97.279 12.000 24.70 0.012235 0.013000 2.51 American Towers, Inc. 03027RAA1 02/01/03 08/01/08* 45.465 0.000 236.17 0.268484 8.05* 03027RAB9 02/01/03 08/01/08* 45.465 0.000 236.17 0.268484 8.05* 03027RAC7 02/01/03 08/01/08* 45.465 0.000 236.17 0.268484 8.05* 03027RAD5 02/01/03 08/01/08* 45.465 0.000 236.17 0.268484 8.05* AmerUs Group Co. 03072M405 05/28/03 05/16/08* 100.000 VARIES 0.181473 24.50* 03072M504 05/16/06 05/16/11 102.760 6.583 0.169466 0.169069 0.168659 0.168238 38.11 60.75 03072MAC2 03/06/02 03/06/32 100.000 VARIES 0.352275 0.363754 0.379021 0.391824 0.408482 131.96 142.14 03072MAD0 03/06/02 03/06/32 100.000 VARIES 0.352275 0.363754 0.379021 0.391824 0.408482 131.96 142.14 03072MAE8 03/06/02 03/06/32 100.000 VARIES 0.352275 0.363754 0.379021 0.391824 0.408482 131.96 142.14 03072MAF5 03/06/02 03/06/32 100.000 VARIES 0.352275 0.363754 0.379021 0.391824 0.408482 131.96 142.14 Amgen Inc. 031162AC4 03/01/02 03/01/32 71.423 VARIES 0.092661 0.094734 0.096852 0.099018 0.101233 34.23 35.78 031162AD2 03/01/02 03/01/32 71.423 VARIES 0.092661 0.094734 0.096852 0.099018 0.101233 34.23 35.78 031162AE0 03/01/02 03/01/32 71.423 VARIES 0.092661 0.094734 0.096852 0.099018 0.101233 34.23 35.78 031162AK6 03/01/05 03/01/32 72.947 VARIES 0.092663 0.094735 0.096854 0.099020 0.101235 34.23 35.78 031162AL4 03/01/05 03/01/32 72.947 VARIES 0.092663 0.094735 0.096854 0.099020 0.101235 34.23 35.78 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Anadarko Petroleum Corp. 032511AQ0 03/13/01 03/13/21 100.000 0.000 0.264021 0.273236 0.282771 0.292640 0.302853 98.73 105.74 032511AR8 03/13/01 03/13/21 100.000 0.000 0.264021 0.273236 0.282771 0.292640 0.302853 98.73 105.74 Anixter International 035290AD7 07/07/03 07/07/33 38.016 VARIES 0.088979 0.092227 0.095593 0.099082 0.102699 33.77 36.28 035290AE5 07/07/03 07/07/33 38.016 VARIES 0.088979 0.092227 0.095593 0.099082 0.102699 33.77 36.28 035290AF2 07/07/03 07/07/33 38.016 VARIES 0.088979 0.092227 0.095593 0.099082 0.102699 33.77 36.28 035290AG0 07/07/03 07/07/33 38.016 VARIES 0.088979 0.092227 0.095593 0.099082 0.102699 33.77 36.28 Anthem, Inc. 03674BAA2 11/02/01 11/15/06 100.000 VARIES 0.196739 0.192122 61.71 Anthony Crane Cap. Corp. 036778AC2 07/31/03 02/01/08 3.000 VARIES 0.470113 0.650905 1.000915 1.678524 2.990356 281.40 780.72 Aon Corporation 037389AQ6 11/07/02 11/15/12 100.000 VARIES 0.300702 0.309959 0.319637 0.329754 0.340333 110.79 117.84 037389AT0 11/07/02 11/15/12 100.000 VARIES 0.300702 0.309959 0.319637 0.329754 0.340333 110.79 117.84 Apria Healthcare Group 037933AA6 08/20/03 09/01/33 100.000 VARIES 0.266840 0.274304 0.282089 0.290211 0.298682 99.24 105.01 037933AB4 08/20/03 09/01/33 100.000 VARIES 0.266840 0.274304 0.282089 0.290211 0.298682 99.24 105.01 Republic of Argentina 040114BD1 03/01/99 03/01/29 75.576 8.875 0.025194 0.025193 0.025192 0.025191 0.025190 9.07 9.07 040114GA2 06/15/00 06/15/15 91.700 11.750 14.92 0.010663 0.011358 0.012097 0.012885 0.013724 3.99 4.52 040114GB0 07/21/00 07/21/30 80.144 10.250 4.69 0.003218 0.003425 0.003645 0.003880 0.004130 1.26 1.43 040114GF1 06/19/01 12/19/08 77.800 VARIES 0.250667 0.209336 0.167844 0.126179 0.084327 81.81 51.92 040114GG9 06/19/01 06/19/18* 75.375 0.000 0.593220 100.25* 040114GH7 06/19/01 06/19/31* 75.250 0.000 0.554217 93.66* Arlington Sport Facility Development Authority 04184EAA7 02/17/93 12/31/08 28.800 0.000 502.52 0.175606 0.182629 0.189933 0.197530 0.205430 64.50 69.76 Armor Holdings, Inc. 042260AC3 10/29/04 11/01/24 99.000 VARIES 0.202390 0.207531 0.212852 0.218360 0.224060 74.41 78.29 Armstrong County Industrial Development 04233KAB2 07/29/99 08/20/34 6.955 0.000 43.81 0.023734 0.024654 0.025609 0.026601 0.027632 8.96 9.66 ATMEL Corporation 049513AB0 04/21/98 04/21/18 33.785 0.000 175.10 0.077538 0.079670 0.081861 0.084113 0.086426 28.60 30.19 049513AC8 04/21/98 04/21/18* 33.785 0.000 175.10 0.077538 0.079670 14.03* Aubrey Independent School District 050195GZ3 08/07/03 02/15/06 93.203 0.000 64.58 0.076979 3.39 050195HA7 08/07/03 02/15/07 88.833 0.000 74.67 0.089539 0.091056 0.092600 32.92 4.07 050195HB5 08/07/03 02/15/08 84.421 0.000 79.42 0.095617 0.097424 0.099266 0.101142 0.103053 35.24 36.59 050195HC3 08/07/03 02/15/09 79.705 0.000 82.62 0.099842 0.101914 0.104028 0.106187 0.108390 36.89 38.43 050195HD1 08/07/03 02/15/10 74.664 0.000 84.79 0.102862 0.105192 0.107574 0.110011 0.112502 38.09 39.84 Avnet, Inc. 053807AL7 03/05/04 03/15/34 100.000 VARIES 0.239341 0.246578 0.254100 0.261918 0.270043 89.03 94.57 Azusa, California Redevelopment Agency 05502MAB9 06/16/92 12/01/12 16.502 0.000 378.89 0.135011 0.141089 0.147440 0.154077 0.161013 50.07 54.68 BGLS, Inc. 055432AD0 05/14/01 03/31/06 80.884 10.000 177.96 0.148288 13.20 Bank of America Corp. 060505AT1 10/29/02 03/01/07 94.733 0.000 0.104987 0.106879 0.108806 38.59 6.53 Bank of America Corp. 06050MAC1 09/07/99 09/07/06 100.000 0.250 0.299094 0.309539 75.46 06050MAW7 11/10/00 11/10/07 110.000 0.250 0.343128 0.356155 0.369687 0.383743 127.23 116.76 06050MBV8 06/28/02 07/02/07 100.000 0.000 0.152313 0.155938 0.159648 0.163447 56.80 29.58 06050MBY2 11/27/02 11/29/07 100.000 0.000 0.124996 0.127493 0.130040 0.132638 45.61 43.12 06050MCB1 02/20/03 02/20/08 100.000 0.000 0.110984 0.113009 0.115072 0.117172 0.119310 40.85 42.36 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America 06050MCH8 04/25/03 04/29/08 100.000 0.000 0.107457 0.109360 0.111297 0.113268 0.115274 39.27 40.67 06050MCK1 05/30/03 06/03/08 100.000 0.000 0.086434 0.087685 0.088955 0.090242 0.091549 31.41 32.33 06050MCM7 06/04/03 06/04/07 100.000 0.000 0.070764 0.071613 0.072472 25.67 11.09 06050MCN5 05/29/03 05/29/08 100.000 0.000 0.089773 0.091120 0.092487 0.093874 0.095282 32.65 33.63 06050MCP0 06/25/03 06/25/10 100.000 0.000 0.107679 0.109591 0.111536 0.113516 0.115531 39.13 40.53 06050MCQ8 07/25/03 07/29/08 100.000 0.000 0.102881 0.104659 0.106468 0.108309 0.110181 37.90 39.22 06050MCS4 11/12/03 11/13/08 100.000 0.000 0.118374 0.120707 0.123085 0.125511 0.127984 43.26 44.98 06050MCV7 12/19/03 12/23/08 100.000 0.000 0.108607 0.110582 0.112592 0.114639 0.116724 39.49 40.93 06050MCY1 01/30/04 02/03/09 100.000 0.000 0.102424 0.104216 0.106040 0.107895 0.109783 37.73 39.06 06050MDA2 03/02/04 03/04/09 100.000 0.000 0.102717 0.104519 0.106353 0.108219 0.110118 37.73 39.06 06050MDC8 03/25/04 03/27/09 100.000 0.000 0.096681 0.098282 0.099910 0.101565 0.103247 35.40 36.58 06050MDE4 05/28/04 06/01/10 100.000 0.000 0.142990 0.146416 0.149925 0.153517 0.157196 52.30 54.84 06050MDG9 06/09/04 06/09/08 99.000 11.000 0.093149 0.094826 0.096533 0.098270 0.100039 33.91 35.14 06050MDH7 06/25/04 06/28/10 100.000 0.000 0.140501 0.143813 0.147204 0.150674 0.154226 51.20 53.64 06050MDJ3 06/24/04 06/24/10 100.000 0.000 0.140750 0.144075 0.147478 0.150961 0.154527 51.32 53.77 06050MDK0 06/28/04 06/28/08 99.000 11.000 0.100004 0.101929 0.103891 0.105891 0.107929 36.36 37.77 06050MDM6 07/30/04 08/02/10 100.000 0.000 0.132776 0.135808 0.138910 0.142082 0.145327 49.26 51.53 06050MDN4 08/26/04 08/28/09 100.000 0.000 0.124154 0.126813 0.129529 0.132303 0.135136 45.84 47.82 06050MDR5 09/23/04 09/25/09 100.000 0.000 0.110909 0.113040 0.115212 0.117425 0.119681 40.72 42.30 06050MEC7 11/26/04 11/26/10 100.000 1.500 0.122134 0.123855 0.125613 0.127408 0.129241 44.40 45.67 06050MED5 11/15/04 11/13/09 100.000 0.000 0.114493 0.116763 0.119077 0.121437 0.123844 41.85 43.52 06050MEF0 11/29/04 11/29/10 100.000 0.000 0.114422 0.116688 0.118999 0.121356 0.123759 41.75 43.42 06050MEG8 12/27/04 06/28/10 100.000 0.000 0.118093 0.120504 0.122964 0.125474 0.128035 42.96 44.73 06050MEH6 12/28/04 12/28/10 100.000 1.000 0.122093 0.124100 0.126150 0.128243 0.130380 44.33 45.80 06050MEK9 01/27/05 01/28/11 100.000 0.000 0.122703 0.125356 0.128066 0.130834 0.133662 45.47 47.46 06050MEL7 01/28/05 01/28/11 100.000 1.000 0.123326 0.125412 0.127543 0.129721 0.131947 45.42 46.98 06050MEM5 01/26/05 01/26/10 100.000 0.250 0.115072 0.117270 0.119512 0.121800 0.124135 42.51 44.15 06050MEP8 02/24/05 02/24/10 100.000 1.250 0.121543 0.123414 0.125325 0.127277 0.129271 44.57 45.97 06050MER4 03/24/05 03/27/09 100.000 0.000 0.127563 0.130427 0.133355 0.136349 0.139409 46.98 49.12 06050MEU7 04/28/05 04/30/09 100.000 1.750 0.122992 0.124617 0.126278 0.127975 0.129709 44.77 45.97 06050MEW3 05/27/05 05/27/10 100.000 1.000 0.121686 0.123709 0.125776 0.127888 0.130045 44.31 45.80 06050MEY9 06/24/05 06/25/10 100.000 0.000 0.134853 0.138050 0.141323 0.144674 0.148103 49.16 51.52 06050MEZ6 07/29/05 07/29/11 100.000 1.500 0.126709 0.128649 0.130633 0.132662 0.134737 46.56 48.02 06050MFA0 08/25/05 08/25/10 100.000 1.250 0.125294 0.127337 0.129425 0.131561 0.133745 45.99 47.52 06050MFB8 08/26/05 08/28/09 100.000 0.000 0.122302 0.124994 0.127745 0.130556 0.133430 45.18 47.19 06050MFC6 10/28/05 10/28/10 100.000 2.000 0.134816 0.136739 0.138709 0.140727 0.142794 49.13 50.56 06050MFE2 09/28/05 09/29/10 100.000 0.000 0.125543 0.128379 0.131280 0.134246 0.137280 46.23 48.35 06050MFG7 11/21/05 11/24/10 100.000 0.000 0.136094 0.139426 0.142840 0.146338 0.149921 49.84 52.31 06050MFJ1 12/27/05 12/27/10 100.000 1.250 0.138928 0.141534 0.144205 0.146943 0.149750 50.50 52.43 06050MFK8 12/28/05 12/28/11 100.000 1.500 0.140308 0.142799 0.145353 0.147972 0.150657 50.97 52.81 06050MFL6 03/24/06 03/25/11 100.000 0.000 0.143418 0.143440 0.147143 0.150941 0.154838 40.09 54.39 06050MFP7 04/28/06 04/28/11 100.000 1.750 0.153856 0.156770 0.159766 0.162844 37.57 57.36 06050MFR3 03/27/06 03/27/09 100.000 0.750 0.144359 0.147568 0.150862 0.154240 39.86 54.34 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corporation 06050MFS1 05/26/06 08/26/10 100.000 0.000 0.150311 0.152344 0.156466 0.160699 32.57 56.63 06050MFT9 05/25/06 05/25/10 100.000 2.000 0.151095 0.153694 0.156363 0.159104 32.73 56.00 06050MFV4 06/27/06 06/27/11 100.000 0.000 0.157218 0.161667 0.166243 0.170947 28.95 59.06 06050MFW2 07/28/06 01/28/11 100.000 0.000 0.153763 0.158019 0.162392 23.53 57.44 06050MFX0 07/28/06 07/29/10 100.000 0.000 0.151817 0.151842 0.155991 0.160254 23.23 56.69 06050MFZ5 08/24/06 08/26/10 100.000 0.000 0.144514 0.144556 0.148316 0.152174 18.36 53.67 06050MGB7 09/29/06 10/03/11 100.000 0.000 0.137998 0.138075 0.141504 0.145019 12.70 50.94 06050MGD3 09/18/06 09/19/11 100.000 0.000 0.143422 0.143444 0.147147 0.150946 14.77 53.07 Baxter International,Inc 071813604 12/17/02 02/16/08 100.000 VARIES 0.124511 0.124463 0.123830 0.123183 0.122522 44.72 44.29 071813AV1 12/17/02 02/16/08 100.000 VARIES 0.124511 0.124463 0.123830 0.123183 0.122522 44.72 44.29 Bayerische Landesbank 072738503 06/05/03 06/06/06 100.000 0.000 0.050727 7.86 Bayerische Landesbank 0727G0AA8 05/31/02 05/28/10 100.000 0.000 0.176545 0.181219 0.186017 0.190941 0.195996 64.71 68.18 0727G0BF6 02/26/04 02/27/06 100.000 0.000 0.054000 3.02 0727G0BM1 04/05/04 10/05/06 100.000 0.000 0.060480 0.061118 16.69 0727G0CE8 11/10/04 05/10/06 100.000 0.000 0.082901 10.69 0727G0CJ7 11/26/04 02/26/09 100.000 0.000 0.111007 0.113162 0.115359 0.117598 0.119881 40.89 42.50 0727G0CL2 01/04/05 09/20/06 100.000 0.000 0.091791 0.093273 24.04 0727G0CQ1 02/15/05 11/01/06 100.000 0.000 0.095495 0.097099 28.94 0727G0CR9 02/23/05 02/23/07 100.000 0.000 0.101135 0.102944 0.104785 37.20 5.45 0727G0DH0 05/16/05 11/16/06 100.000 0.000 0.109709 0.111834 34.94 0727G0DM9 06/15/05 12/16/06 100.000 0.000 0.099143 0.100882 34.52 0727G0DN7 01/04/05 09/20/06 100.000 0.000 0.091791 0.093273 24.04 0727G0DQ0 07/13/05 07/13/07 100.000 0.000 0.103344 0.105267 0.107225 0.109220 38.20 20.95 Bear Stearns Co., Inc. 073928G23 08/31/04 07/01/19 51.530 1.000 28.47 0.062395 0.064258 0.066176 0.068151 22.80 24.18 073928JS3 06/03/99 06/30/11 46.328 0.000 241.23 0.126673 0.130774 0.135007 0.139377 0.143889 46.35 49.40 073928WN9 02/27/02 08/15/13 49.000 0.000 132.46 0.104384 0.109467 0.111084 0.116492 0.118213 39.95 42.52 Beaver County Industrial Development Authority 07487TAB9 04/29/99 11/20/24 17.103 0.000 100.21 0.052545 0.054392 0.056304 0.058283 0.060331 19.40 20.79 BellSouth Telecommunications 079867AS6 12/13/95 12/15/95 25.235 VARIES 0.094204 0.097430 0.100767 0.104218 0.107788 34.60 37.01 Bexar County Housing Finance Corporation 08837EAB7 09/28/05 04/01/22 39.225 0.000 5.83 0.062682 0.064484 0.066338 0.068245 0.070207 23.22 24.57 Bond & Fayette County,IL 097850CE9 04/01/03 12/01/06 105.312 VARIES 0.090557 0.089870 29.76 097850CF6 04/01/03 12/01/07 105.533 VARIES 0.101527 0.100911 0.100283 0.099645 36.40 32.98 097850CG4 04/01/03 12/01/08 105.035 VARIES 0.110522 0.110028 0.109523 0.109009 0.108485 39.67 39.30 Brill Media Company 109492AC2 12/30/97 12/15/07 89.963 VARIES 0.132900 0.132747 0.134089 0.134003 48.50 46.64 109492AH1 12/30/97 12/15/07 92.200 VARIES 0.132600 0.134283 0.133865 0.135627 48.73 46.91 Buffets Holdings, Inc. 119881AA8 05/18/04 01/31/11 56.873 VARIES 0.257722 0.275602 0.294722 0.315168 0.337033 101.59 116.17 119881AB6 05/18/04 01/31/11 56.873 VARIES 0.257722 0.275602 0.294722 0.315168 0.337033 101.59 116.17 Buffets, Inc. 119882AA6 06/28/02 07/15/10 96.181 11.250 12.42 0.011680 0.012381 0.013124 0.013912 0.014747 4.57 5.14 119882AB4 06/28/02 07/15/10 96.181 11.250 12.42 0.011680 0.012381 0.013124 0.013912 0.014747 4.57 5.14 Bureau and Putnam County, IL 121061CE3 03/18/03 12/01/06 106.270 VARIES 0.097443 0.096609 32.01 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Butler County Industrial Development Authority 12359RAR3 01/15/97 05/01/06 49.018 0.000 484.74 0.208999 25.08 12359RAS1 01/15/97 11/01/06 47.084 0.000 467.25 0.201618 0.209520 61.91 12359RAT9 01/15/97 05/01/07 45.174 0.000 450.63 0.194672 0.202330 0.210290 72.40 25.23 12359RAU6 01/15/97 11/01/07 43.373 0.000 434.17 0.187711 0.195114 0.202810 0.210809 69.81 62.28 12359RAV4 01/15/97 05/01/08 41.546 0.000 418.76 0.181330 0.188518 0.195991 0.203761 0.211838 67.45 72.91 12359RAW2 01/15/97 11/01/08 39.917 0.000 403.03 0.174583 0.181512 0.188717 0.196208 0.203995 64.95 70.20 12359RAX0 01/15/97 05/01/09 38.166 0.000 388.67 0.168694 0.175432 0.182439 0.189726 0.197304 62.77 67.88 12359RAY8 01/15/97 11/01/09 36.700 0.000 373.74 0.162215 0.168694 0.175432 0.182439 0.189727 60.36 65.27 12359RAZ5 01/15/97 05/01/10 35.110 0.000 360.01 0.156495 0.162778 0.169312 0.176109 0.183178 58.24 63.01 12359RBA9 01/15/97 11/01/10 33.621 0.000 346.50 0.150800 0.156876 0.163197 0.169773 0.176614 56.13 60.74 12359RBB7 01/15/97 05/01/11 32.274 0.000 333.19 0.145063 0.150915 0.157004 0.163338 0.169928 53.99 58.44 Harrah's Operating Company, Inc. 127687AA9 06/13/05 04/15/24 127.250 VARIES 0.221694 0.225032 0.228473 0.232020 0.235678 80.93 83.44 127687AB7 06/13/05 04/15/24 127.250 VARIES 0.221694 0.225032 0.228473 0.232020 0.235678 80.93 83.44 Call-Net Enterprises 130910AE2 07/24/98 08/15/08* 64.249 VARIES 0.248310 .50* CapitalSource Inc. 14055XAC6 07/07/04 07/15/34 100.000 VARIES 0.238966 0.244778 0.250828 0.257126 0.263682 89.04 93.57 14055XAD4 07/07/04 07/15/34 100.000 VARIES 0.238966 0.244778 0.250828 0.257126 0.263682 89.04 93.57 Cendant Corporation 151313AG8 05/04/01 05/04/21 100.000 0.000 0.380947 0.391974 0.416800 0.428865 0.453522 143.15 156.48 151313AJ2 07/27/01 08/17/06 99.000 VARIES 0.202745 0.202521 45.78 Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29 100.000 2.000 0.440943 0.459862 0.479710 0.500532 0.522377 166.25 180.97 Century Communications Corporation 156503AK0 11/13/97 11/15/17 93.375 8.375 14.27 0.006924 0.007239 0.007568 0.007912 0.008272 2.58 2.82 156503AM6 01/15/98 01/15/08 41.266 0.000 422.34 0.197108 0.209442 0.215350 0.228825 0.235280 77.28 84.43 156503AN4 01/15/98 01/15/08 41.266 0.000 422.34 0.197108 0.209442 0.215350 0.228825 0.235280 77.28 84.43 CenturyTel, Inc. 156700AD8 05/06/02 05/15/07 100.000 VARIES 0.212106 0.210245 0.208314 75.85 27.91 156700AE6 06/26/02 08/01/32 100.000 VARIES 0.285827 0.292729 0.299941 0.307476 0.315349 106.26 111.65 156700AH9 06/26/02 08/01/32 100.000 VARIES 0.285827 0.292729 0.299941 0.307476 0.315349 106.26 111.65 Chiron Corporation 170040AD1 06/12/01 06/12/31* 55.045 0.000 0.127732 20.69* 170040AE9 06/12/01 06/12/31* 55.045 0.000 0.127696 20.69* 170040AF6 07/30/03 08/01/33 100.000 1.625 0.186864 0.191218 0.195706 0.200332 0.205100 69.38 72.70 170040AG4 07/30/03 08/01/33 100.000 1.625 0.186864 0.191218 0.195706 0.200332 0.205100 69.38 72.70 170040AH2 06/22/04 06/30/34 100.000 2.750 0.193674 0.197530 0.201514 0.205628 0.209877 70.42 73.29 170040AJ8 06/22/04 06/30/34 100.000 2.750 0.193674 0.197530 0.201514 0.205628 0.209877 70.42 73.29 The Chubb Corporation 171232507 06/24/03 08/16/08* 100.000 VARIES 0.087876 0.088267 11.90* 171232AG6 12/02/02 11/16/07 100.000 VARIES 0.135965 0.135317 0.134653 0.133974 48.77 42.29 171232AK7 06/24/03 08/16/08 100.000 VARIES 0.087876 0.088267 0.088227 0.087747 0.087260 31.75 31.54 Chukchansi Economic Development Authority 171276AA6 10/08/02 06/15/09 91.476 14.500 30.17 0.034281 0.037137 0.040231 0.043582 0.047213 12.95 15.20 171276AB4 10/08/02 06/15/09 91.476 14.500 30.17 0.034281 0.037137 0.040231 0.043582 0.047213 12.95 15.20 Cinemark, Inc. 17243RAA9 03/31/04 03/15/14 62.373 VARIES 0.194083 0.203544 0.213466 0.223871 0.234784 73.63 80.98 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Cinemark, Inc. 17243RAB7 03/31/04 03/15/14 62.373 VARIES 0.194083 0.203544 0.213466 0.223871 0.234784 73.63 80.98 Citigroup Global Markets Holdings, Inc. 17307EBE2 07/01/04 09/07/16 51.400 0.000 43.98 0.084345 0.086680 0.089080 0.091546 0.094080 31.32 33.08 Citigroup Funding, Inc. 1730T0AK5 05/15/06 05/15/36 11.570 0.000 0.023526 0.024387 0.025279 0.026204 5.36 9.02 1730T0AN9 05/19/06 05/19/08 100.000 0.000 0.149303 0.153316 0.157436 0.161667 33.31 56.29 1730T0AT6 07/25/06 07/25/08 100.000 0.000 0.155284 0.159624 0.164086 24.22 58.06 1730T0AV1 09/06/06 09/05/08 100.000 0.000 0.145074 0.148842 0.152728 16.68 53.79 1730T0AW9 09/07/06 09/07/11 100.000 0.125 0.146989 0.150786 0.154683 16.76 54.48 1730T0AY5 09/26/06 09/26/08 100.000 0.000 0.146068 0.149909 0.153850 13.88 54.02 Citizens Communications Company 17453BAC5 06/19/01 08/17/06 98.920 VARIES 0.220023 0.218956 49.53 Clinton & Wash Counties Illinois 187327AN1 05/13/04 12/01/06 104.780 VARIES 0.093216 0.092350 30.61 187327AP6 05/13/04 12/01/07 105.447 VARIES 0.106086 0.105299 0.104497 0.103680 38.00 34.34 187327AQ4 05/13/04 12/01/08 105.302 VARIES 0.121041 0.120374 0.119693 0.118997 0.118287 43.41 42.92 Comcast Corporation 200300BH3 12/19/00 12/19/20* 77.941 0.000 50.45 0.028802 4.29* Compass Minerals International, Inc. 20451NAA9 12/20/02 12/15/12 53.995 VARIES 0.276593 0.294225 0.312981 0.332932 0.000010 103.33 111.26 CompuCredit Corporation 20478NAA8 05/27/05 05/30/25 100.000 VARIES 0.259275 0.262194 0.274136 0.277480 0.288790 95.65 101.14 20478NAB6 05/27/05 05/30/25 100.000 VARIES 0.259275 0.262194 0.274136 0.277480 0.288790 95.65 101.14 20478NAC4 11/23/05 01/31/36 100.000 5.875 0.249508 0.251052 0.250902 0.259250 0.259330 95.16 94.39 20478NAD2 11/23/05 01/31/36 100.000 5.875 0.249508 0.251052 0.250902 0.259250 0.259330 91.56 94.39 Connetics Corporation 208192AC8 03/23/05 03/30/15 100.000 2.000 0.199492 0.204529 0.209743 0.215140 0.220725 73.66 77.48 208192AD6 03/23/05 03/30/15 100.000 2.000 0.199492 0.204529 0.209743 0.215140 0.220725 73.66 77.48 Conseco, Inc. 208464BG1 08/15/05 09/30/35 99.000 3.500 0.203793 0.207723 0.211798 0.216023 0.220404 74.80 77.79 208464BH9 08/15/05 09/30/35 99.000 3.500 0.203793 0.207723 0.211798 0.216023 0.220404 74.80 77.79 Convergent Communication 211914AC0 04/02/98 04/01/08 95.696 13.000 27.91 0.016046 0.017154 0.018338 0.019604 0.020957 6.18 7.07 Cook County, Illinois 213309KR7 04/28/05 12/01/16 52.896 0.000 20.04 0.084545 0.086899 0.089319 0.091806 0.094363 31.00 32.75 213309KS5 04/28/05 12/01/17 49.824 0.000 19.02 0.080225 0.082475 0.084788 0.087166 0.089611 29.42 31.10 213309KT3 04/28/05 12/01/18 46.339 0.000 18.10 0.076400 0.078593 0.080848 0.083168 0.085555 28.03 29.66 213309KU0 04/28/05 12/01/19 43.603 0.000 17.12 0.072279 0.074364 0.076509 0.078716 0.080987 26.52 28.07 213309KV8 04/28/05 12/01/20 40.881 0.000 16.19 0.068374 0.070363 0.072411 0.074518 0.076686 25.09 26.58 Cook County, Illinois 213314DE4 09/16/03 12/01/08 79.030 0.000 86.28 0.110826 0.113358 0.115947 0.118596 0.121305 40.51 42.38 Cook County, Illinois School District #89 214201FV2 09/07/05 12/01/10 78.217 0.000 11.80 0.104320 0.106797 0.109332 0.111928 0.114586 38.15 39.98 214201FW0 09/07/05 12/01/11 73.907 0.000 11.52 0.101931 0.104433 0.106996 0.109622 0.112313 37.30 39.15 214201FX8 09/07/05 12/01/12 70.159 0.000 11.05 0.097764 0.100188 0.102672 0.105218 0.107827 35.78 37.57 214201FY6 09/07/05 12/01/13 66.377 0.000 10.62 0.094003 0.096371 0.098799 0.101289 0.103841 34.41 36.17 214201FZ3 09/07/05 12/01/14 62.531 0.000 10.23 0.090515 0.092845 0.095236 0.097688 0.100203 33.15 34.88 Cook County, Illinois 214471HQ0 12/30/02 12/01/22 21.989 0.000 56.45 0.059106 0.061396 0.063775 0.066246 0.068813 21.83 23.55 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, Illinois School District #127 214723CV8 09/07/05 12/01/19 46.971 0.000 8.03 0.071069 0.072980 0.074943 0.076959 0.079029 26.05 27.46 214723CW6 09/07/05 12/01/20 44.082 0.000 7.63 0.067577 0.069419 0.071310 0.073253 0.075249 24.77 26.14 214723CX4 09/07/05 12/01/21 41.315 0.000 7.25 0.064159 0.065930 0.067749 0.069619 0.071540 23.52 24.84 214723CY2 09/07/05 12/01/22 38.734 0.000 6.87 0.060813 0.062510 0.064254 0.066046 0.067889 22.30 23.56 214723CZ9 09/07/05 12/01/23 36.271 0.000 6.50 0.057568 0.059192 0.060861 0.062577 0.064341 21.12 22.32 214723DA3 09/07/05 12/01/24 33.990 0.000 6.15 0.054432 0.055980 0.057572 0.059210 0.060895 19.97 21.12 214723DC9 09/07/05 12/01/13 66.537 0.000 10.59 0.093663 0.096009 0.098413 0.100878 0.103404 34.28 36.02 Cook County, Illinois 215030CN5 01/08/04 12/01/12 63.060 0.000 68.22 0.101457 0.104120 0.106853 0.109657 0.112536 37.17 39.14 215030CP0 01/08/04 12/01/13 58.732 0.000 66.06 0.098458 0.101140 0.103896 0.106727 0.109635 36.09 38.08 215030CQ8 01/08/04 12/01/14 54.489 0.000 63.64 0.095050 0.097735 0.100496 0.103334 0.106253 34.86 36.86 215030CR6 01/08/04 12/01/15 50.650 0.000 60.79 0.090950 0.093587 0.096301 0.099093 0.101967 33.38 35.34 Cook County, Illinois 215093EV3 06/17/03 12/01/13 59.669 0.000 79.75 0.093557 0.095896 0.098293 0.100751 0.103269 34.24 35.98 215093EW1 06/17/03 12/01/14 55.539 0.000 77.36 0.091000 0.093366 0.095793 0.098284 0.100839 33.33 35.09 215093EX9 06/17/03 12/01/15 51.495 0.000 74.64 0.088039 0.090416 0.092857 0.095364 0.097939 32.27 34.03 Cook County, Illinois 215183FW9 12/10/03 12/01/12 60.122 0.000 74.46 0.107405 0.110493 0.113669 0.116937 0.120299 39.41 41.71 215183FX7 12/10/03 12/01/13 55.449 0.000 71.80 0.103860 0.106976 0.110185 0.113490 0.116895 38.14 40.46 215183FY5 12/10/03 12/01/14 51.438 0.000 68.35 0.099039 0.102084 0.105223 0.108459 0.111794 36.39 38.66 215183FZ2 12/10/03 12/01/15 47.578 0.000 64.84 0.094113 0.097078 0.100136 0.103290 0.106544 34.60 36.81 Cook County, Illinois School District No.155 215219DX1 02/01/01 12/01/06 68.469 0.000 257.61 0.171759 0.177425 57.70 215219DY9 02/01/01 12/01/07 63.741 0.000 244.02 0.163093 0.168556 0.174201 0.180035 60.03 58.54 215219DZ6 02/01/01 12/01/08 59.225 0.000 230.65 0.154529 0.159782 0.165213 0.170829 0.176636 56.90 60.83 215219EA0 02/01/01 12/01/09 55.158 0.000 216.65 0.145320 0.150296 0.155443 0.160766 0.166271 53.51 57.24 215219EB8 02/01/01 12/01/10 51.321 0.000 203.28 0.136518 0.141227 0.146099 0.151138 0.156352 50.28 53.81 215219EG7 02/01/01 12/01/14 37.337 0.000 156.64 0.106085 0.109930 0.113914 0.118043 0.122322 39.12 42.00 215219EH5 02/01/01 12/01/15 34.277 0.000 146.12 0.099194 0.102839 0.106618 0.110536 0.114597 36.59 39.33 215219FB7 06/30/03 12/01/07 84.673 0.000 83.69 0.097893 0.099753 0.101648 0.103579 35.69 33.89 215219FC5 06/30/03 12/01/08 81.113 0.000 82.36 0.096471 0.098352 0.100270 0.102225 0.104218 35.18 36.57 215219FD3 06/30/03 12/01/09 76.100 0.000 85.55 0.100747 0.102913 0.105126 0.107386 0.109694 36.79 38.39 215219FE1 06/30/03 12/01/10 71.619 0.000 85.41 0.100922 0.103218 0.105566 0.107968 0.110424 36.88 38.58 215219FN1 06/30/03 12/01/18 44.637 0.000 62.48 0.074582 0.076559 0.078587 0.080670 0.082807 27.33 28.79 215219FP6 06/30/03 12/01/19 41.690 0.000 59.52 0.071140 0.073061 0.075033 0.077059 0.079140 26.07 27.50 215219FQ4 06/30/03 12/01/20 39.193 0.000 56.50 0.067578 0.069420 0.071311 0.073254 0.075250 24.77 26.14 215219FR2 06/30/03 12/01/21 36.482 0.000 53.61 0.064208 0.065989 0.067821 0.069702 0.071637 23.54 24.87 215219FS0 06/30/03 12/01/22 33.892 0.000 50.75 0.060868 0.062587 0.064355 0.066173 0.068043 22.33 23.61 215219GA8 06/02/05 12/01/15 59.242 0.000 17.43 0.085192 0.087343 0.089548 0.091810 0.094128 31.19 32.78 215219GB6 06/02/05 12/01/16 55.669 0.000 16.74 0.081841 0.083953 0.086119 0.088341 0.090620 29.97 31.54 215219GC4 06/02/05 12/01/17 52.327 0.000 16.01 0.078304 0.080360 0.082469 0.084634 0.086856 28.68 30.21 215219GD2 06/02/05 12/01/18 49.294 0.000 15.25 0.074630 0.076611 0.078645 0.080733 0.082877 27.34 28.82 215219GE0 06/02/05 12/01/19 46.448 0.000 14.51 0.071000 0.072903 0.074857 0.076863 0.078923 26.02 27.43 215219GF7 06/02/05 12/01/20 43.922 0.000 13.77 0.067397 0.069210 0.071071 0.072983 0.074946 24.70 26.05 215219GG5 06/02/05 12/01/21 41.054 0.000 13.09 0.064076 0.065828 0.067629 0.069479 0.071379 23.49 24.79 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, Illinois 215219GH3 06/02/05 12/01/22 38.699 0.000 12.41 0.060740 0.062411 0.064127 0.065891 0.067703 22.27 23.51 215219GQ3 06/02/05 12/01/23 36.261 0.000 11.75 0.057552 0.059152 0.060797 0.062487 0.064224 21.10 22.29 215219GR1 06/02/05 12/01/24 34.002 0.000 11.12 0.054465 0.055993 0.057564 0.059178 0.060838 19.98 21.11 215219GX8 06/29/06 12/01/07 92.317 0.000 0.146086 0.149604 0.153865 26.69 50.14 215219GY6 06/29/06 12/01/08 87.231 0.000 0.138548 0.141896 0.145952 0.150125 25.32 52.06 215219GZ3 06/29/06 12/01/09 82.420 0.000 0.131151 0.134325 0.138173 0.142130 23.96 49.28 215219HA7 06/29/06 12/01/10 77.826 0.000 0.124276 0.127297 0.130956 0.134721 22.71 46.71 215219HB5 06/29/06 12/01/16 54.002 0.000 0.089995 0.092276 0.095045 0.097896 16.45 33.89 215219HC3 06/29/06 12/01/17 50.621 0.000 0.085063 0.087237 0.089876 0.092595 15.55 32.04 215219HD1 06/29/06 12/01/18 47.405 0.000 0.080317 0.082389 0.084901 0.087491 14.68 30.27 215219HE9 06/29/06 12/01/19 44.524 0.000 0.075685 0.077643 0.080018 0.082467 13.83 28.52 215219HF6 06/29/06 12/01/20 41.744 0.000 0.071308 0.073160 0.075410 0.077728 13.03 26.88 215219HG4 06/29/06 12/01/21 39.173 0.000 0.067133 0.068884 0.071009 0.073199 12.27 25.31 215219HH2 06/29/06 12/01/22 36.688 0.000 0.063181 0.064835 0.066845 0.068917 11.55 23.82 215219HJ8 06/29/06 12/01/23 34.398 0.000 0.059429 0.060990 0.062887 0.064843 10.86 22.41 215219HK5 06/29/06 12/01/24 32.181 0.000 0.055868 0.057342 0.059134 0.060982 10.21 21.07 215219HL3 06/29/06 12/01/25 30.147 0.000 0.052503 0.053894 0.055583 0.057326 9.60 19.81 215219HM1 06/29/06 06/01/26 29.062 0.000 0.050855 0.052209 0.053853 0.055549 9.30 19.19 215219JA5 06/29/06 12/01/07 92.317 0.000 0.146086 0.149604 0.153865 26.69 50.14 215219JB3 06/29/06 12/01/08 87.231 0.000 0.138548 0.141896 0.145952 0.150125 25.32 52.06 215219JC1 06/29/06 12/01/09 82.420 0.000 0.131151 0.134325 0.138173 0.142130 23.96 49.28 215219JD9 06/29/06 12/01/10 77.826 0.000 0.124276 0.127297 0.130956 0.134721 22.71 46.71 215219JE7 06/29/06 12/01/11 73.537 0.000 0.117432 0.120286 0.123743 0.127300 21.46 44.14 215219JF4 06/29/06 12/01/12 69.397 0.000 0.111213 0.113924 0.117210 0.120591 20.32 41.80 215219JG2 06/29/06 12/01/13 65.418 0.000 0.105383 0.107965 0.111095 0.114317 19.26 39.62 215219JH0 06/29/06 12/01/14 61.530 0.000 0.099974 0.102447 0.105443 0.108527 18.27 37.60 215219JJ6 06/29/06 12/01/15 57.818 0.000 0.094745 0.097108 0.099972 0.102921 17.31 35.65 215219JK3 06/29/06 12/01/16 54.002 0.000 0.089995 0.092276 0.095045 0.097896 16.45 33.89 215219JL1 06/29/06 12/01/17 50.621 0.000 0.085063 0.087237 0.089876 0.092595 15.55 32.04 215219JM9 06/29/06 12/01/18 47.405 0.000 0.080317 0.082389 0.084901 0.087491 14.68 30.27 215219JN7 06/29/06 12/01/19 44.524 0.000 0.075685 0.077643 0.080018 0.082467 13.83 28.52 Cook County, Illinois 215255EW6 06/30/04 12/01/11 66.619 0.000 57.19 0.110997 0.114077 0.117242 0.120495 0.123839 40.70 42.99 215255EX4 06/30/04 12/01/12 62.198 0.000 55.08 0.107058 0.110120 0.113269 0.116508 0.119840 39.28 41.56 215255EY2 06/30/04 12/01/13 57.985 0.000 52.74 0.102639 0.105651 0.108752 0.111943 0.115229 37.68 39.92 215255EZ9 06/30/04 12/01/14 53.847 0.000 50.35 0.098128 0.101086 0.104134 0.107273 0.110507 36.04 38.24 215255FA3 06/30/04 12/01/15 50.015 0.000 47.81 0.093278 0.096151 0.099112 0.102165 0.105311 34.27 36.42 Cook County, Illinois 215381HN7 08/07/03 12/01/06 90.595 0.000 67.14 0.080876 0.082089 26.91 215381HP2 08/07/03 12/01/07 86.272 0.000 73.85 0.089483 0.091026 0.092596 0.094193 32.58 30.84 215381HQ0 08/07/03 12/01/12 61.760 0.000 81.70 0.101330 0.103985 0.106709 0.109504 0.112373 37.12 39.09 215381HR8 08/07/03 12/01/13 57.537 0.000 79.03 0.098248 0.100915 0.103655 0.106469 0.109359 36.01 37.99 215381HS6 08/07/03 12/01/14 53.466 0.000 76.00 0.094705 0.097361 0.100092 0.102899 0.105785 34.73 36.71 Cook County, Illinois 215903EV3 06/17/03 12/01/13 59.669 0.000 79.75 0.093557 0.095896 0.098293 0.100751 0.103269 34.24 35.98 215903EW1 06/17/03 12/01/14 55.539 0.000 77.36 0.091000 0.093366 0.095793 0.098284 0.100839 33.33 35.09 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, IL 215903EX9 06/17/03 12/01/15 51.495 0.000 74.64 0.088039 0.090416 0.092857 0.095364 0.097939 32.27 34.03 Coppell Independent School District 217489SZ7 09/25/97 08/15/06 53.555 0.000 421.79 0.185108 0.191724 42.66 Corvallie, Benton County 2208855B9 03/12/02 01/01/07 77.493 0.000 173.38 0.141677 0.145487 51.69 2208855C7 03/12/02 01/01/08 72.008 0.000 172.93 0.142346 0.146430 0.150631 0.154953 51.98 55.01 2208855D5 03/12/02 01/01/09 67.064 0.000 167.86 0.138782 0.142917 0.147175 0.151559 50.71 53.77 2208855E3 03/12/02 01/01/10 62.052 0.000 162.52 0.135047 0.139239 0.143561 0.148018 49.37 52.48 2208855F0 03/12/02 01/01/11 57.678 0.000 154.83 0.129023 0.133118 0.137344 0.141704 47.19 50.23 2208855G8 03/12/02 01/01/12 53.670 0.000 146.59 0.122403 0.126350 0.130424 0.134630 44.78 47.71 2208855H6 03/12/02 01/01/13 49.793 0.000 138.58 0.115967 0.119770 0.123697 0.127754 42.43 45.26 2208855J2 03/12/02 01/01/14 46.414 0.000 130.27 0.109126 0.112732 0.116457 0.120306 39.93 42.62 2208855K9 03/12/02 01/01/15 43.223 0.000 122.34 0.102582 0.105998 0.109527 0.113174 37.54 40.09 2208855L7 03/12/02 01/01/16 39.945 0.000 114.95 0.096582 0.099846 0.103220 0.106709 35.36 37.79 2208855M5 03/12/02 01/01/17 37.109 0.000 107.67 0.090556 0.093639 0.096827 0.100124 33.16 35.45 2208855N3 03/12/02 01/01/18 34.442 0.000 100.75 0.084819 0.087728 0.090737 0.093849 31.06 33.23 2208855P8 03/12/02 01/01/19 31.935 0.000 94.18 0.079365 0.082107 0.084943 0.087878 29.06 31.11 2208855Q6 03/12/02 01/01/20 29.582 0.000 87.95 0.074186 0.076768 0.079439 0.082203 27.17 29.10 2208855R4 03/12/02 01/01/21 27.475 0.000 82.08 0.069278 0.071699 0.074205 0.076798 25.38 27.18 2208855S2 03/12/02 01/01/22 25.504 0.000 76.56 0.064655 0.066924 0.069273 0.071705 23.68 25.38 2208855T0 03/12/02 01/01/23 23.613 0.000 71.33 0.060292 0.062420 0.064623 0.066904 22.09 23.67 Costco Companies, Inc. 22160QAA0 08/19/97 08/19/17 49.960 0.000 168.30 0.064112 0.065234 0.066376 0.067537 0.068719 23.58 24.41 22160QAB8 08/19/97 08/19/17 49.960 0.000 168.30 0.064112 0.065234 0.066376 0.067537 0.068719 23.58 24.41 22160QAC6 08/19/97 08/19/17 49.960 0.000 168.30 0.064112 0.065234 0.066376 0.067537 0.068719 23.58 24.41 Covad Communications 222814AD7 03/11/98 03/15/08 50.666 VARIES 0.378987 0.373220 0.379853 0.374130 0.378749 137.36 137.47 222814AG0 03/11/98 03/15/08 50.666 VARIES 0.378987 0.373220 0.379853 0.374130 0.378749 137.36 137.47 222814AH8 03/11/98 03/15/08 50.666 VARIES 0.378987 0.373220 0.379853 0.374130 0.378749 137.36 137.47 Cox Communications, Inc. 224044BB2 02/23/01 02/23/21 69.503 0.348 62.02 0.037350 0.037771 0.038196 0.038625 0.039060 13.63 13.94 Credit Suisse USA,Inc. 22541FDM5 04/28/06 10/30/09 100.000 0.000 0.150318 0.150364 0.154432 0.158611 0.162902 36.79 56.86 22541FDN3 02/28/06 08/31/10 100.000 0.000 0.140117 0.146112 0.147435 0.152899 43.75 54.41 22541FDP8 02/02/06 08/17/09 100.000 0.000 0.140229 0.140524 0.144071 0.147708 0.151436 46.70 53.51 22541FDQ6 03/22/06 09/30/09 100.000 0.000 0.142214 0.142396 0.146041 0.149779 0.153613 40.20 53.94 22541FDR4 04/28/06 04/29/13 100.000 0.000 0.153398 0.153423 0.157659 0.162013 0.166486 37.54 58.09 22541FDS2 04/28/06 07/28/10 100.000 0.000 0.150546 0.152585 0.156720 0.160967 36.89 56.96 22541FDT0 05/26/06 05/26/09 100.000 0.000 0.151946 0.156102 0.160371 0.164757 32.81 57.27 22541FDU7 05/31/06 08/31/10 100.000 0.000 0.149366 0.153928 0.155580 0.161613 32.67 57.43 22541FDV5 07/28/06 07/28/10 100.000 0.000 0.155140 0.159473 0.163926 23.74 57.97 22541FDW3 07/31/06 01/29/10 100.000 0.000 0.154316 0.158578 0.162983 23.30 57.64 Credit Suisse USA, Inc. 22541HAL6 02/08/06 02/09/09 100.000 0.000 0.141309 0.141331 0.144925 0.148612 0.152392 46.16 53.90 22541HAN2 03/28/06 03/23/11 100.000 1.000 0.144563 0.147517 0.150633 0.153830 39.76 54.29 22541HBF8 09/01/06 08/26/13 100.000 1.000 0.148824 0.151976 0.155303 17.86 54.95 Credit Suisse USA, Inc. 2254C0GB7 02/23/06 02/25/08 100.000 0.000 0.143679 0.143720 0.147437 0.151250 0.155162 44.73 54.74 2254C0GR2 03/30/06 03/31/08 100.000 0.000 0.146402 0.150260 0.154220 0.158284 40.03 55.54 2254C0HJ9 05/16/06 05/16/16 100.000 0.000 0.158856 0.163398 0.168071 0.172876 35.95 60.09 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse USA, Inc. 2254C0HM2 05/31/06 08/31/09 100.000 0.000 0.151874 0.155679 0.158158 0.163389 32.51 57.42 2254C0HN0 06/16/06 09/30/09 100.000 0.000 0.152665 0.155089 0.159350 0.163729 29.99 57.39 2254C0HY6 07/19/06 07/31/09 100.000 0.000 0.156231 0.156524 0.160925 0.165451 25.51 58.49 Crown Packaging Enterprises, Ltd. 228441AC5 08/13/96 08/01/06 32.367 VARIES 0.438694 0.442701 92.85 Crum & Forster Holdings Corporation 228800AA6 06/05/03 06/15/13 96.985 10.375 4.99 0.006291 0.006633 0.006994 0.007375 0.007776 2.34 2.60 228800AB4 06/05/03 06/15/13 96.985 10.375 4.99 0.006291 0.006633 0.006994 0.007375 0.007776 2.34 2.60 228800AC2 06/05/03 06/15/13 96.985 10.375 4.99 0.006291 0.006633 0.006994 0.007375 0.007776 2.34 2.60 Cytyc Corporation 232946AA1 03/22/04 03/15/24 100.000 VARIES 0.200412 0.205067 0.209879 0.214853 0.219994 73.99 77.52 232946AB9 03/22/04 03/15/24 100.000 VARIES 0.200412 0.205067 0.209879 0.214853 0.219994 73.99 77.52 DST Systems, Inc. 233326AA5 08/12/03 08/15/23 100.000 VARIES 0.254677 0.260561 0.266692 0.273081 0.279738 94.38 98.93 233326AB3 08/12/03 08/15/23 100.000 VARIES 0.254677 0.260561 0.266692 0.273081 0.279738 94.38 98.93 233326AC1 08/12/03 08/15/23 100.000 3.625 0.257173 0.263745 0.270593 0.277729 0.285164 95.59 100.68 233326AD9 08/12/03 08/15/23 100.000 3.625 0.257173 0.263745 0.270593 0.277729 0.285164 95.59 100.68 DTE Energy Company 233331AL1 06/25/02 08/16/07 100.000 VARIES 0.156682 0.155771 0.154836 0.153874 55.99 34.66 Danka Business Systems 236277AC3 06/29/01 04/01/08 28.000 10.000 0.361016 0.440740 0.538070 0.656894 0.801957 160.25 238.84 Dayton Superior Corporation 240028AB6 06/16/00 06/15/09 95.575 13.000 20.84 0.015215 0.016271 0.017400 0.018607 0.019898 5.70 6.52 240028AC4 06/16/00 06/15/09 95.575 13.000 20.84 0.015215 0.016271 0.017400 0.018607 0.019898 5.70 6.52 240028AD2 06/16/00 06/15/09 95.575 13.000 20.84 0.015215 0.016271 0.017400 0.018607 0.019898 5.70 6.52 240028AE0 06/16/00 06/15/09 95.575 13.000 20.84 0.015215 0.016271 0.017400 0.018607 0.019898 5.70 6.52 240028AF7 06/16/00 06/15/09 95.575 13.000 20.84 0.015215 0.016271 0.017400 0.018607 0.019898 5.70 6.52 240028AG5 03/15/03 09/15/08 98.088 10.750 8.30 0.009514 0.010048 0.010612 0.011208 0.011837 3.64 4.06 240028AH3 03/15/03 09/15/08 98.088 10.750 8.30 0.009514 0.010048 0.010612 0.011208 0.011837 3.64 4.06 Delta Air Lines, Inc. 247361YQ5 09/04/03 08/15/08 85.000 10.000 58.02 0.079495 0.085193 0.091299 0.097844 0.104857 31.25 35.89 247361YT9 09/04/03 08/15/08 85.000 10.000 58.02 0.079495 0.085193 0.091299 0.097844 0.104857 31.25 35.89 247361YX0 11/24/04 12/15/07 66.000 8.000 96.55 0.287484 0.322561 0.361917 0.406075 111.00 132.45 Details Capital Corp. 25063TAA5 11/18/97 11/15/07 54.595 VARIES 0.347212 0.347212 0.347211 0.347210 125.00 109.02 Deutsche Bank AG 251525AE1 01/29/03 01/31/08 100.000 0.000 0.100892 0.102578 0.104292 0.106035 0.107807 37.14 38.39 251525AH4 03/31/03 04/02/08 100.000 0.000 0.101310 0.103010 0.104738 0.106495 0.108282 37.08 38.34 251525AJ0 05/27/03 11/29/06 100.000 0.000 0.062837 0.063510 20.73 Deutsche Bank AG 25152AAB6 10/28/04 10/28/11 100.000 VARIES 0.122835 0.124125 0.126822 0.127675 0.129256 45.33 46.60 25152AAC4 11/15/04 11/15/16 100.000 VARIES 0.136221 0.134209 0.131895 0.129522 0.127089 48.48 46.83 25152AAD2 03/22/05 03/22/10 100.000 VARIES 0.115329 0.116038 0.116005 0.115945 0.115830 41.71 41.73 25152AAE0 04/26/05 04/26/10 100.000 4.760 0.132222 0.132222 0.132222 0.132222 0.132222 47.60 47.60 25152AAF7 06/28/05 06/28/07 100.000 0.000 0.107671 0.109719 0.111805 39.14 19.79 25152AAH3 08/17/05 08/17/07 100.000 0.000 0.119274 0.121835 0.124451 0.127123 44.09 28.61 25152AAR1 03/24/06 03/25/08 100.000 0.000 0.139705 0.139726 0.143239 0.146841 0.150534 39.04 52.91 25152ABF6 08/10/06 08/10/09 100.000 VARIES 0.148014 0.146888 0.146441 20.87 52.86 25152ABG4 08/30/06 08/30/11 100.000 VARIES 0.145813 0.143554 0.142107 18.08 52.35 Deutsche Bank AG 25152CAA4 03/21/03 03/26/08 100.000 0.000 0.102977 0.104731 0.106514 0.108328 0.110172 37.72 39.02 25152CAB2 04/30/03 11/01/06 100.000 0.000 0.076566 0.077556 23.15 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Deutsche Bank AG 25152CAC0 06/25/03 06/27/08 100.000 0.000 0.077660 0.078677 0.079707 0.080751 0.081809 28.15 28.89 25152CAD8 07/02/03 07/07/08 100.000 0.000 0.083673 0.084864 0.086071 0.087296 0.088538 30.75 31.64 25152CAE6 09/02/03 03/06/07 100.000 0.000 0.097775 0.099386 0.101024 35.86 6.57 25152CAF3 08/05/03 02/07/07 100.000 0.000 0.092472 0.093919 0.095388 33.97 3.43 25152CAH9 09/17/03 09/19/07 100.000 0.000 0.092367 0.093810 0.095276 0.096764 33.81 24.85 25152CAL0 10/03/03 10/07/08 100.000 VARIES 0.090115 0.090309 0.090506 0.090707 0.090911 32.51 32.65 25152CAP1 11/07/03 11/07/06 100.000 0.000 0.084312 0.085521 26.02 25152CAQ9 11/14/03 05/08/07 100.000 0.000 0.092438 0.093885 0.095353 33.69 12.11 25152CAS5 11/14/03 05/08/07 100.000 0.000 0.092438 0.093885 0.095353 33.69 12.11 25152CAT3 11/14/03 05/08/07 100.000 0.000 0.092438 0.093885 0.095353 33.69 12.11 25152CAU0 11/28/03 11/24/08 100.000 VARIES 0.098423 0.098594 0.098768 0.098945 0.099126 35.48 35.60 25152CAY2 02/12/04 02/16/07 100.000 0.000 0.077870 0.078918 0.079980 28.51 3.60 25152CBE5 03/12/04 03/16/07 100.000 0.000 0.067023 0.067804 0.068594 24.43 5.14 25152CBF2 03/24/04 03/26/07 100.000 0.000 0.067535 0.068327 0.069129 24.61 5.88 25152CBJ4 04/29/04 05/04/09 100.000 VARIES 0.110646 0.110786 0.110790 0.110795 0.110662 39.87 39.88 25152CBL9 05/24/04 05/26/09 100.000 VARIES 0.121370 0.121490 0.121492 0.121494 0.121376 43.72 43.73 25152CBM7 06/03/04 06/04/09 100.000 VARIES 0.117967 0.118117 0.118122 0.118128 0.117988 42.50 42.52 25152CBN5 06/03/04 06/04/09 100.000 0.000 0.125587 0.128253 0.130974 0.133754 0.136593 45.84 47.80 25152CBP0 06/30/04 07/06/11 100.000 VARIES 0.116834 0.115811 0.114767 0.114213 0.113647 41.51 41.02 25152CBW5 09/23/04 09/27/07 100.000 0.000 0.091663 0.093127 0.094615 0.096127 33.54 25.44 25152CBX3 09/30/04 10/05/09 100.000 VARIES 0.102733 0.102860 0.102990 0.102993 0.102997 37.03 37.08 25152CCC8 12/22/04 12/24/09 100.000 0.000 0.114590 0.116862 0.119179 0.121542 0.123952 41.69 43.36 25152CCG9 02/03/05 02/03/12 100.000 0.000 0.123409 0.126092 0.128834 0.131635 0.134496 45.71 47.72 25152CCM6 02/28/05 03/02/10 100.000 0.000 0.119876 0.120426 0.125023 0.125597 0.129674 44.48 46.30 25152CCN4 02/28/05 03/02/10 100.000 0.000 0.119876 0.120426 0.125023 0.125597 0.129674 44.48 46.30 25152CCQ7 03/03/05 03/03/10 100.000 0.000 0.121879 0.124496 0.127170 0.129901 0.132691 44.97 46.92 25152CCS3 04/08/05 04/12/10 100.000 0.000 0.130544 0.133541 0.136607 0.139743 0.142951 48.01 50.24 25152CCU8 04/20/05 04/22/10 100.000 0.000 0.122555 0.125201 0.127904 0.130665 0.133486 44.97 46.93 25152CDF0 07/29/05 08/03/10 100.000 0.000 0.125866 0.128717 0.131631 0.134612 0.137660 46.68 48.82 25152CDG8 07/29/05 02/02/09 100.000 0.000 0.122981 0.125703 0.128484 0.131327 0.134234 45.58 47.62 25152CDN3 08/30/05 09/02/11 100.000 VARIES 0.125058 0.125428 0.125807 0.126038 0.126274 45.18 45.39 25152CEL6 12/29/05 12/30/10 100.000 0.000 0.136028 0.139358 0.142770 0.146265 0.149846 49.58 52.03 25152CER3 01/31/06 02/02/11 100.000 0.000 0.137403 0.137441 0.140840 0.144324 0.147893 46.00 52.38 25152CFF8 05/02/06 05/04/09 100.000 0.000 0.149853 0.149898 0.153941 0.158094 0.162358 36.06 56.65 25152CFK7 05/31/06 12/03/09 100.000 0.000 0.148980 0.149047 0.153044 0.157148 0.161362 31.56 56.07 25152CFM3 05/31/06 10/02/08 100.000 0.000 0.149305 0.152025 0.156110 0.160306 31.75 56.20 25152CGU4 09/22/06 09/28/09 100.000 0.000 0.137638 0.137752 0.141165 0.144662 13.64 50.85 Deutsche Bank Financial 25153EBK6 05/15/00 05/15/07 100.000 1.250 0.303748 0.308973 0.324839 112.82 43.53 25153EBM2 11/15/00 11/15/07 100.000 0.250 0.262569 0.271296 0.280321 0.289654 96.91 89.70 25153EBP5 01/12/01 01/12/08 100.000 0.250 0.200987 0.210024 0.212374 0.221934 0.224428 76.97 81.33 25153EBR1 02/08/01 02/08/08 100.000 2.750 0.180694 0.186797 0.186896 0.193283 0.193460 67.96 70.33 Devon Energy 25179MAA1 08/02/98 08/15/08 97.500 4.900 0.245904 0.249993 0.254234 0.258634 0.263197 90.39 93.54 25179MAB9 08/02/98 08/15/08 96.562 4.950 0.241729 0.245611 0.249637 0.253814 0.258146 88.80 91.78 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Dex Media, Inc. 25212EAD2 11/10/03 11/15/13 64.314 VARIES 0.191972 0.200610 0.209637 0.219071 0.228928 71.48 78.05 25212EAE0 11/10/03 11/15/13 64.314 VARIES 0.191972 0.200610 0.209637 0.219071 0.228928 71.48 78.05 25212EAF7 11/10/03 11/15/13 64.314 VARIES 0.191972 0.200610 0.209637 0.219071 0.228928 71.48 78.05 25212EAG5 02/11/04 11/15/13 69.384 VARIES 0.186392 0.194191 0.202317 0.210783 0.219604 69.24 75.15 25212EAH3 02/11/04 11/15/13 69.384 VARIES 0.186392 0.194191 0.202317 0.210783 0.219604 69.24 75.15 DIVA Systems Corporation 255013AA2 05/30/96 05/15/06 52.946 VARIES 0.364666 48.87 255013AB0 05/30/96 05/15/06 52.946 VARIES 0.364666 48.87 255013AC8 05/30/96 05/15/06 52.946 VARIES 0.364666 48.87 255013AD6 05/30/96 05/15/06 52.946 VARIES 0.364666 48.87 255013AL8 02/19/98 03/01/08 50.100 VARIES 0.368673 0.369888 0.371186 0.372572 0.374051 133.24 134.22 255013AM6 02/19/98 03/01/08 50.100 VARIES 0.368673 0.369888 0.371186 0.372572 0.374051 133.24 134.22 Dolphin Telecom, PLC 256886AE2 05/28/98 06/01/08 57.120 VARIES 0.319440 0.319440 0.319439 0.319439 0.319439 115.00 115.00 256886AH5 05/18/99 05/15/09 50.892 VARIES 0.388882 0.388882 0.388881 0.388881 0.388880 140.00 140.00 DuPage County, IL SDN99 263417GR2 04/04/02 02/01/11 55.425 0.000 157.68 0.130746 0.135190 0.139786 0.144538 0.149451 49.22 52.63 Duarte, California Redevelopment Agency 263594AB9 06/16/92 12/01/12 16.484 0.000 378.87 0.135044 0.141127 0.147484 0.154127 0.161069 50.08 54.70 Duke Capital Corporation 264399551 11/19/01 11/16/06 100.000 VARIES 0.141533 0.140865 44.46 264399EJ1 05/07/03 05/15/23 100.000 VARIES 0.186724 0.190888 0.195177 0.199596 0.204149 68.36 71.47 Duke Capital Corporation 26439RAP1 03/19/01 05/18/06 100.000 VARIES 0.170802 23.40 Duke Capital Corporation 26439VAA5 11/19/01 11/16/06 100.000 VARIES 0.141533 0.140865 44.46 E. Spire Communications 269153AB8 03/26/96 04/01/06 53.809 VARIES 0.354153 31.87 269153AE2 03/26/96 04/01/06 53.809 VARIES 0.354153 31.87 269153AH5 07/24/98 07/01/08 59.989 VARIES 0.295103 0.295101 0.295099 0.295097 106.24 106.24 269153AJ1 07/24/98 07/01/08 59.989 VARIES 0.295103 0.295101 0.295099 0.295097 106.24 106.24 East Orange NJ 274137WT1 04/14/03 04/01/22 29.893 0.000 56.45 0.062851 0.064884 0.066983 0.069150 0.071387 23.36 24.90 274137WU8 04/14/03 04/01/23 27.886 0.000 52.92 0.058947 0.060862 0.062840 0.064883 0.066991 21.92 23.36 274137WV6 04/14/03 04/01/24 26.105 0.000 49.62 0.055280 0.057079 0.058937 0.060856 0.062837 20.55 21.91 274137WW4 04/14/03 04/01/25 24.381 0.000 46.50 0.051813 0.053505 0.055251 0.057055 0.058918 19.27 20.55 274137WX2 04/14/03 04/01/26 22.763 0.000 43.55 0.048544 0.050134 0.051776 0.053472 0.055223 18.05 19.25 274137WY0 04/14/03 04/01/27 21.292 0.000 40.81 0.045489 0.046981 0.048522 0.050113 0.051757 16.92 18.05 274137WZ7 04/14/03 04/01/28 19.913 0.000 38.23 0.042617 0.044017 0.045463 0.046957 0.048499 15.85 16.91 Edwards Lifesciences Corporation 28176EAA6 05/09/03 05/15/33 100.000 VARIES 0.138220 0.138961 0.139720 0.140498 0.141294 49.96 50.51 28176EAB4 05/09/03 05/15/33 100.000 VARIES 0.138220 0.138961 0.139720 0.140498 0.141294 49.96 50.51 Eksportfinans ASA 28264QAP9 12/29/04 12/29/06 100.000 0.000 0.095817 0.097416 34.59 28264QAQ7 02/22/05 02/22/07 100.000 0.000 0.102934 0.104807 0.106714 37.88 5.44 28264QAV6 07/19/05 07/19/07 100.000 0.000 0.110730 0.112937 0.115188 0.117484 40.98 23.22 28264QBR4 04/19/06 10/19/09 100.000 0.000 0.142703 0.146368 0.150128 0.153984 36.23 53.92 28264QBX1 04/18/06 04/18/12 100.000 2.000 0.141487 0.143676 0.145920 0.148221 35.96 52.46 28264QCD4 05/30/06 11/30/07 100.000 0.000 0.147267 0.151171 0.155178 31.19 50.46 28264QCV4 08/04/06 11/30/07 100.000 0.000 0.150533 0.153161 0.157311 22.21 51.14 El Paso Corporation 28336LAA7 02/28/01 02/28/21 45.289 0.000 95.71 0.059806 0.060008 0.062222 0.062432 0.064380 22.16 23.02 28336LAC3 02/28/01 02/28/21 45.289 0.000 95.71 0.059806 0.060008 0.062222 0.062432 0.064380 22.16 23.02 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ El Paso Corporation 144A 28336LAG4 06/26/02 08/16/07 100.000 VARIES 0.200909 0.199717 0.198482 0.197205 71.79 44.43 28336LAH2 06/26/02 08/16/07 100.000 VARIES 0.200909 0.199717 0.198482 0.197205 71.79 44.43 El Salvador, Republic 283875AE2 08/11/99 08/15/06 92.196 9.500 68.52 0.040694 0.042959 9.52 Electronics for Imaging 284745AA4 06/04/03 06/01/23 100.000 VARIES 0.257424 0.265950 0.274813 0.284025 0.293602 94.73 101.15 Electronic Data Systems Corporation 285661AB0 10/10/01 10/10/21 77.941 VARIES 0.140536 0.143486 0.148112 0.151221 0.155244 52.46 55.22 285661AE4 06/30/03 07/15/23 100.000 VARIES 0.167733 0.169476 0.171269 0.173115 0.175013 61.28 62.61 285661AF1 06/30/03 07/15/23 100.000 VARIES 0.167733 0.169476 0.171269 0.173115 0.175013 61.28 62.61 285661AG9 06/26/01 08/17/06 100.000 VARIES 0.176484 0.175832 39.77 Emmis Communications Corporation 291525AF0 03/27/01 03/15/11* 54.760 VARIES 0.326781 24.18* Emmis Escrow Corporation 291530AA1 03/27/01 03/15/11* 54.760 VARIES 0.326781 24.18* Enron Corporation 293561CC8 02/07/01 02/07/21 65.524 0.000 71.51 0.042537 0.042989 0.043445 0.043907 0.044373 15.53 15.86 293561CD6 02/07/01 02/07/21 65.524 0.000 71.51 0.042537 0.042989 0.043445 0.043907 0.044373 15.53 15.86 Entergy Corporation 29364G202 12/20/05 02/17/11 100.000 VARIES 0.162916 0.162945 0.163040 0.163137 0.163237 58.67 58.74 29364GAD5 12/20/05 02/17/11 100.000 VARIES 0.162916 0.162945 0.163040 0.163137 0.163237 58.67 58.74 Essex County Utilities Authority 296816AY7 03/30/99 04/01/12 60.121 0.000 181.87 0.085116 0.086797 0.088512 0.090261 0.092045 31.25 32.50 296816BJ9 03/30/99 04/01/06 64.504 0.000 339.55 0.171221 15.41 Euronet Worldwide Inc. 298736AC3 12/15/04 12/15/24 100.000 VARIES 0.270548 0.280750 0.291414 0.302561 0.314212 99.57 107.28 298736AD1 12/15/04 12/15/24 100.000 VARIES 0.270548 0.280750 0.291414 0.302561 0.314212 99.57 107.28 298736AE9 10/04/05 10/15/25 100.000 VARIES 0.233947 0.238454 0.245870 0.250857 0.257457 87.15 91.56 298736AF6 10/04/05 10/15/25 100.000 VARIES 0.233947 0.238454 0.245870 0.250857 0.257457 87.15 91.56 European Investment Bank 298785DW3 03/10/06 03/10/21 44.672 0.000 0.067566 0.069405 0.071295 0.073236 19.87 25.75 Evergreen Resources,Inc. 299900AA8 12/18/01 12/15/21 100.000 VARIES 0.299900 0.307461 0.315363 0.323620 0.332250 109.57 115.29 299900AB6 12/18/01 12/15/21 100.000 VARIES 0.299900 0.307461 0.315363 0.323620 0.332250 109.57 115.29 First Citizens Bancorp. of South Carolina 30244CAC0 03/24/98 03/15/28 100.000 8.250 0.229167 0.229167 0.229167 0.229167 0.229167 82.50 82.50 Federal Home Loan Mortgage Corporation 3128X02Z1 03/28/03 03/28/33 15.782 0.000 29.22 0.031957 0.032955 0.033985 0.035047 0.036142 11.87 12.63 3128X03C1 04/01/03 04/01/33 15.108 0.000 28.60 0.031441 0.032447 0.033485 0.034557 0.035662 11.68 12.44 3128X03L1 04/14/03 04/14/33 13.648 0.000 26.97 0.030210 0.031229 0.032283 0.033373 0.034499 11.22 11.99 3128X04L0 04/21/03 04/21/33 14.464 0.000 27.45 0.030917 0.031930 0.032976 0.034056 0.035171 11.46 12.22 3128X04V8 04/29/03 04/29/33 14.152 0.000 26.95 0.030653 0.031668 0.032717 0.033801 0.034921 11.35 12.11 3128X0AP4 10/03/02 12/30/06 87.710 0.000 92.55 0.083891 0.085197 30.35 3128X0AQ2 10/03/02 12/30/07 83.710 0.000 97.41 0.088783 0.090301 0.091846 0.093417 32.24 33.26 3128X0AR0 10/03/02 12/30/09 75.410 0.000 101.67 0.093527 0.095367 0.097243 0.099156 0.101107 34.00 35.36 3128X0AS8 10/03/02 01/02/13 63.710 0.000 97.78 0.088827 0.090803 0.092822 0.094886 0.096996 33.05 34.53 3128X0AT6 10/03/02 01/02/22 36.810 0.000 67.57 0.062034 0.063666 0.065340 0.067058 0.068822 23.22 24.45 3128X0AU3 10/03/02 01/02/30 23.710 0.000 44.35 0.040759 0.041850 0.042970 0.044120 0.045301 15.27 16.09 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3128X0AV1 10/03/02 04/15/32 21.010 0.000 39.31 0.036671 0.037653 0.038661 0.039695 0.040758 13.53 14.26 3128X0AW9 10/03/02 06/15/32 20.810 0.000 38.95 0.036665 0.037647 0.038655 0.039690 0.040753 13.41 14.14 3128X0AX7 10/03/02 09/15/32 20.510 0.000 38.43 0.035696 0.036653 0.037635 0.038644 0.039679 13.23 13.95 3128X0AY5 10/03/02 12/15/32 20.210 0.000 37.90 0.035683 0.036640 0.037623 0.038632 0.039668 13.05 13.76 3128X0AZ2 10/03/02 01/02/34 19.160 0.000 35.88 0.032979 0.033863 0.034770 0.035701 0.036658 12.35 13.02 3128X0DS5 11/05/02 11/05/32 14.675 0.000 32.84 0.032103 0.033146 0.034223 0.035336 0.036484 11.86 12.65 3128X0L23 03/04/03 03/04/33 14.890 0.000 29.27 0.031267 0.032275 0.033316 0.034391 0.035500 11.68 12.44 3128X0S91 04/07/03 04/07/33 15.108 0.000 28.41 0.031441 0.032447 0.033485 0.034557 0.035662 11.67 12.43 3128X0TU3 12/27/02 12/27/17 100.000 VARIES 0.039491 0.038908 0.038309 0.037844 0.037366 14.11 13.70 3128X0V48 03/24/03 03/24/23 30.359 0.000 54.53 0.059219 0.061010 0.062856 0.064757 0.066716 21.99 23.34 3128X0W47 04/07/03 04/07/33 14.676 0.000 28.06 0.031093 0.032103 0.033147 0.034224 0.035336 11.55 12.31 3128X0WW5 01/28/03 01/28/33 14.675 0.000 30.21 0.031092 0.032103 0.033146 0.034223 0.035336 11.69 12.46 3128X0Z69 04/14/03 04/14/33 14.152 0.000 27.40 0.030653 0.031668 0.032717 0.033801 0.034921 11.38 12.14 3128X0Z93 04/01/03 04/01/33 13.847 0.000 27.54 0.030387 0.031405 0.032457 0.033545 0.034668 11.31 12.08 Federal Home Loan Mortgage Corporation 3128X12R7 11/05/03 11/05/14 54.324 0.000 69.05 0.094840 0.097507 0.100250 0.103069 0.105968 34.93 36.92 3128X1BK2 05/12/03 05/12/33 15.108 0.000 27.31 0.031441 0.032447 0.033485 0.034557 0.035662 11.60 12.35 3128X1BY2 05/20/03 05/20/33 15.727 0.000 27.52 0.031916 0.032915 0.033945 0.035008 0.036104 11.75 12.50 3128X1CN5 05/27/03 05/27/33 15.419 0.000 27.07 0.031683 0.032685 0.033720 0.034787 0.035888 11.66 12.40 3128X1DB0 05/27/03 05/27/33 15.285 0.000 26.97 0.031579 0.032583 0.033620 0.034689 0.035792 11.62 12.37 3128X1GZ4 06/17/03 06/17/33 18.796 0.000 28.57 0.033909 0.034867 0.035852 0.036865 0.037906 12.41 13.12 3128X1HA8 06/23/03 06/23/33 16.728 0.000 27.14 0.032629 0.033616 0.034633 0.035681 0.036760 11.94 12.67 3128X1HB6 06/13/03 06/13/33 17.732 0.000 28.09 0.033282 0.034255 0.035257 0.036289 0.037350 12.19 12.92 3128X1HD2 06/23/03 06/23/33 16.728 0.000 27.14 0.032629 0.033616 0.034633 0.035681 0.036760 11.94 12.67 3128X1HZ3 06/17/03 06/17/33 16.925 0.000 27.46 0.032762 0.033747 0.034761 0.035805 0.036881 12.00 12.73 3128X1JE8 06/20/03 06/20/28 23.542 0.000 37.12 0.044361 0.045663 0.047003 0.048382 0.049802 16.23 17.20 3128X1MD6 06/30/03 06/30/33 16.631 0.000 26.85 0.032563 0.033551 0.034570 0.035619 0.036700 11.90 12.64 3128X1MS3 06/30/03 06/30/33 17.222 0.000 27.22 0.032958 0.033939 0.034948 0.035988 0.037059 12.04 12.77 3128X1NP8 07/07/03 07/07/33 17.680 0.000 27.27 0.032303 0.033250 0.034224 0.035227 0.036259 12.13 12.86 3128X1NV5 07/07/03 07/07/33 17.475 0.000 27.15 0.032172 0.033121 0.034098 0.035104 0.036139 12.09 12.81 3128X1PP6 07/07/03 07/07/33 16.728 0.000 26.69 0.031671 0.032629 0.033616 0.034633 0.035681 11.91 12.64 3128X1QB6 07/07/03 07/07/33 16.201 0.000 26.35 0.031298 0.032262 0.033255 0.034280 0.035336 11.78 12.52 3128X1QT7 06/30/03 06/30/33 16.679 0.000 26.88 0.032596 0.033584 0.034601 0.035650 0.036730 11.91 12.65 3128X1RP4 07/16/03 07/16/33 14.890 0.000 25.16 0.030290 0.031267 0.032275 0.033316 0.034391 11.41 12.16 3128X1RQ2 07/03/03 06/26/08 87.646 0.000 59.84 0.069290 0.070213 0.071149 0.072097 0.073057 25.12 25.79 3128X1TM9 07/28/03 07/28/33 14.676 0.000 24.64 0.030114 0.031093 0.032103 0.033147 0.034224 11.32 12.07 3128X1Y76 10/21/03 10/21/33 14.152 0.000 21.78 0.029670 0.030653 0.031668 0.032717 0.033801 11.00 11.74 Federal Home Loan Mortgage Corporation 3128X23Z6 04/27/05 04/27/35 14.152 0.000 6.41 0.026907 0.027798 0.028719 0.029670 0.030653 9.96 10.63 3128X24W2 04/15/04 04/15/19 42.355 0.000 43.66 0.074489 0.076652 0.078879 0.081171 0.083529 27.54 29.16 3128X26L4 04/28/04 04/28/34 15.108 0.000 16.83 0.029521 0.030466 0.031441 0.032447 0.033485 10.92 11.63 3128X2GG4 12/30/03 12/30/19 100.000 VARIES 0.045758 0.044926 0.044150 0.043431 0.042771 16.32 15.76 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3128X2KD6 12/29/03 06/29/07 98.050 2.455 10.92 0.015705 0.015944 0.016187 5.70 2.88 3128X2KE4 12/24/03 12/24/07 98.050 2.810 9.52 0.013644 0.013872 0.014103 0.014338 4.96 5.02 3128X2KW4 12/30/03 12/22/08 83.523 0.000 62.76 0.090958 0.092618 0.094308 0.096029 0.097782 33.07 34.29 3128X2RU1 01/30/04 04/01/06 95.755 0.000 37.48 0.055250 4.97 3128X2RV9 01/30/04 10/01/06 94.087 0.000 42.17 0.062333 0.063048 16.96 3128X2RW7 01/30/04 10/01/07 90.198 0.000 50.04 0.074331 0.075383 0.076450 0.077532 27.14 20.84 3128X2RX5 01/30/04 04/01/08 88.056 0.000 53.14 0.079106 0.080321 0.081556 0.082809 0.084081 28.92 29.81 3128X2RY3 01/30/04 10/01/08 85.870 0.000 55.54 0.082832 0.084194 0.085578 0.086985 0.088416 30.31 31.32 3128X2RZ0 01/30/04 04/01/09 83.646 0.000 57.39 0.085754 0.087248 0.088767 0.090313 0.091887 31.41 32.52 3128X2S48 04/07/04 04/07/34 15.782 0.000 17.79 0.030049 0.030988 0.031957 0.032955 0.033985 11.15 11.85 3128X2S97 04/08/04 04/08/19 42.727 0.000 44.09 0.074302 0.076438 0.078636 0.080897 0.083222 27.49 29.10 3128X2SA4 01/30/04 10/01/09 81.441 0.000 58.67 0.087800 0.089404 0.091037 0.092700 0.094393 32.19 33.37 3128X2SB2 01/30/04 04/01/10 79.227 0.000 59.59 0.089292 0.090993 0.092726 0.094492 0.096292 32.76 34.02 3128X2SC0 01/30/04 10/01/10 77.037 0.000 60.13 0.090222 0.092003 0.093820 0.095673 0.097562 33.12 34.45 3128X2SD8 01/30/04 04/01/11 74.840 0.000 60.45 0.090807 0.092661 0.094553 0.096483 0.098453 33.36 34.74 3128X2SE6 01/30/04 10/01/11 72.645 0.000 60.56 0.091079 0.092997 0.094954 0.096953 0.098994 33.48 34.91 3128X2SF3 01/30/04 04/01/12 70.491 0.000 60.43 0.090983 0.092951 0.094961 0.097015 0.099113 33.47 34.93 3128X2SG1 01/30/04 10/01/12 68.379 0.000 60.11 0.090583 0.092590 0.094642 0.096740 0.098883 33.34 34.83 3128X2SH9 01/30/04 04/01/13 66.275 0.000 59.68 0.090010 0.092051 0.094139 0.096274 0.098458 33.14 34.66 3128X2SJ5 01/30/04 10/01/13 64.227 0.000 59.08 0.089189 0.091254 0.093367 0.095529 0.097741 32.86 34.39 3128X2SK2 01/30/04 04/01/14 62.210 0.000 58.39 0.088211 0.090293 0.092425 0.094607 0.096841 32.51 34.06 3128X2SL0 01/30/04 10/01/14 60.256 0.000 57.57 0.087046 0.089137 0.091278 0.093471 0.095716 32.09 33.65 3128X2SM8 01/30/04 04/01/15 58.361 0.000 56.67 0.085736 0.087828 0.089971 0.092166 0.094414 31.62 33.18 3128X2SN6 01/30/04 10/01/15 56.535 0.000 55.68 0.084295 0.086380 0.088516 0.090706 0.092949 31.10 32.66 3128X2SP1 01/30/04 04/01/16 54.741 0.000 54.66 0.082794 0.084869 0.086996 0.089177 0.091412 30.56 32.11 3128X2SQ9 01/30/04 10/01/16 52.987 0.000 53.60 0.081235 0.083297 0.085411 0.087579 0.089801 29.99 31.53 3128X2SR7 01/30/04 04/01/17 51.299 0.000 52.50 0.079604 0.081646 0.083742 0.085891 0.088095 29.40 30.93 3128X2SS5 01/30/04 10/01/17 49.661 0.000 51.37 0.077931 0.079951 0.082025 0.084151 0.086334 28.79 30.30 3128X2ST3 01/30/04 04/01/18 48.064 0.000 50.23 0.076234 0.078231 0.080279 0.082382 0.084539 28.17 29.66 3128X2SU0 01/30/04 10/01/18 46.530 0.000 49.07 0.074506 0.076475 0.078495 0.080569 0.082697 27.54 29.01 3128X2SV8 01/30/04 04/01/19 45.040 0.000 47.91 0.072770 0.074708 0.076698 0.078741 0.080839 26.90 28.35 3128X2SW6 01/30/04 10/01/19 43.600 0.000 46.74 0.071028 0.072935 0.074892 0.076902 0.078966 26.26 27.69 3128X2SX4 01/30/04 04/01/20 42.215 0.000 45.58 0.069285 0.071157 0.073080 0.075055 0.077083 25.62 27.02 3128X2SY2 01/30/04 10/01/20 40.880 0.000 44.43 0.067549 0.069386 0.071273 0.073211 0.075202 24.98 26.36 3128X2SZ9 01/30/04 04/01/07 92.208 0.000 46.46 0.068845 0.069732 0.070629 25.10 6.36 3128X2U94 04/08/04 04/08/19 42.727 0.000 44.09 0.074302 0.076438 0.078636 0.080897 0.083222 27.49 29.10 3128X2V28 04/08/04 04/08/19 42.727 0.000 44.09 0.074302 0.076438 0.078636 0.080897 0.083222 27.49 29.10 3128X2V36 04/07/04 04/07/34 15.329 0.000 17.56 0.029697 0.030640 0.031613 0.032617 0.033653 11.02 11.73 3128X2V85 03/17/04 03/17/34 15.782 0.000 18.39 0.030049 0.030988 0.031957 0.032955 0.033985 11.19 11.90 3128X2XE0 02/25/04 02/25/19* 99.000 3.050 0.014259 .77* ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3128X2ZJ7 03/04/04 03/04/19 41.198 0.000 46.98 0.075032 0.077283 0.079601 0.081989 0.084449 27.95 29.65 3128X2ZY4 03/18/04 03/18/16* 99.000 VARIES 0.024738 1.90* Federal Home Loan Mortgage Corporation 3128X32B8 12/29/04 12/29/34 16.486 0.000 10.27 0.029665 0.030570 0.031502 0.032463 0.033453 10.85 11.52 3128X32G7 01/19/05 01/19/35 13.948 0.000 8.98 0.026725 0.027617 0.028539 0.029492 0.030476 10.08 10.76 3128X32J1 01/19/05 01/19/35 14.463 0.000 9.14 0.027177 0.028068 0.028987 0.029936 0.030917 10.24 10.92 3128X33A9 01/19/05 01/19/35 14.152 0.000 9.05 0.026907 0.027798 0.028719 0.029670 0.030653 10.14 10.82 3128X33L5 02/01/05 02/01/07 93.204 0.000 30.58 0.093544 0.095205 0.096894 34.48 2.91 3128X33P6 01/26/05 01/26/35 15.152 0.000 9.14 0.027755 0.028641 0.029556 0.030501 0.031475 10.43 11.11 3128X33R2 01/26/05 01/26/35 15.374 0.000 9.20 0.027934 0.028819 0.029733 0.030676 0.031648 10.49 11.17 3128X33S0 02/01/05 02/01/35 15.108 0.000 8.99 0.027719 0.028606 0.029521 0.030466 0.031441 10.41 11.09 3128X33V3 02/01/05 02/01/35 14.675 0.000 8.87 0.027358 0.028247 0.029166 0.030113 0.031092 10.28 10.96 3128X33Y7 02/14/05 02/14/25 30.359 0.000 16.39 0.052564 0.054154 0.055792 0.057480 0.059219 19.65 20.86 3128X34B6 02/16/05 02/16/35 14.890 0.000 8.52 0.027539 0.028427 0.029344 0.030290 0.031267 10.32 10.99 3128X34E0 03/01/05 03/28/13 70.400 0.000 26.03 0.088097 0.090033 0.092010 0.094032 0.096097 32.43 33.87 3128X34J9 02/14/05 02/14/35 16.154 0.000 8.89 0.028540 0.029420 0.030328 0.031264 0.032228 10.68 11.35 3128X34N0 02/16/05 02/16/35 15.644 0.000 8.71 0.028148 0.029032 0.029943 0.030884 0.031853 10.53 11.21 3128X35C3 02/28/05 02/28/35 15.463 0.000 8.31 0.027850 0.028262 0.029638 0.030076 0.031368 10.46 11.11 3128X35M1 02/28/05 02/28/35 15.329 0.000 8.28 0.027744 0.028158 0.029533 0.029974 0.031266 10.42 11.07 3128X35S8 02/28/05 02/28/35 14.890 0.000 8.17 0.027387 0.027809 0.029181 0.029631 0.030923 10.29 10.95 3128X36B4 03/23/05 03/23/35 15.782 0.000 7.70 0.028256 0.029139 0.030049 0.030988 0.031957 10.51 11.17 3128X36K4 03/28/05 03/28/35 14.847 0.000 7.35 0.027503 0.028391 0.029308 0.030255 0.031232 10.23 10.90 3128X36M0 03/28/05 06/28/06 99.270 VARIES 0.030413 5.38 3128X36W8 04/06/05 04/06/35 14.675 0.000 7.09 0.027358 0.028247 0.029166 0.030113 0.031092 10.16 10.83 3128X37C1 03/30/05 03/30/35 14.463 0.000 7.21 0.027177 0.028068 0.028987 0.029936 0.030917 10.11 10.78 3128X37F4 03/28/05 03/28/35 14.255 0.000 7.21 0.026997 0.027888 0.028808 0.029759 0.030741 10.05 10.72 3128X3A37 10/20/04 10/20/34 14.049 0.000 11.47 0.027707 0.028628 0.029580 0.030564 0.031580 10.27 10.97 3128X3D59 10/27/04 10/27/34 14.463 0.000 11.43 0.028068 0.028987 0.029936 0.030917 0.031929 10.39 11.08 3128X3DR1 04/26/04 04/21/09 82.475 0.000 55.38 0.094671 0.096518 0.098401 0.100320 0.102277 34.67 36.04 3128X3E90 11/03/04 11/03/34 14.675 0.000 11.33 0.028247 0.029166 0.030113 0.031092 0.032103 10.44 11.13 3128X3K36 11/15/04 11/15/34 14.675 0.000 10.99 0.028247 0.029166 0.030113 0.031092 0.032103 10.42 11.11 3128X3QU0 07/02/04 03/31/06 95.007 0.000 42.73 0.080922 7.20 3128X3QV8 07/02/04 06/30/06 93.992 0.000 44.77 0.085510 15.31 3128X3QW6 07/02/04 09/29/06 92.958 0.000 46.50 0.088264 0.089713 23.92 3128X3QX4 07/02/04 12/29/06 91.898 0.000 47.86 0.091826 0.093396 33.16 3128X3QY2 07/02/04 03/30/07 90.817 0.000 49.05 0.093274 0.094925 0.096605 34.18 8.60 3128X3QZ9 07/02/04 06/29/07 89.742 0.000 49.95 0.096049 0.097802 0.099587 34.90 17.73 3128X3R39 12/06/04 12/06/34 14.464 0.000 10.33 0.028068 0.028988 0.029937 0.030917 0.031930 10.32 11.00 3128X3RA3 07/06/04 07/06/09 80.880 0.000 52.66 0.100547 0.102704 0.104906 0.107156 0.109454 37.35 38.97 3128X3TY9 08/26/04 08/26/24 29.204 0.000 25.28 0.053920 0.055605 0.057342 0.059134 0.060982 20.14 21.42 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3128X3V42 12/13/04 12/13/34 15.218 0.000 10.37 0.028695 0.029609 0.030553 0.031527 0.032532 10.53 11.21 3128X3V75 12/22/04 12/22/34 14.569 0.000 9.91 0.028158 0.029077 0.030025 0.031005 0.032016 10.32 11.00 3128X3W25 12/22/04 12/22/34 14.463 0.000 9.88 0.028068 0.028987 0.029936 0.030917 0.031929 10.29 10.97 3128X3W66 12/28/04 12/28/34 14.675 0.000 9.78 0.028247 0.029166 0.030113 0.031092 0.032103 10.34 11.02 3128X3W74 12/06/04 12/06/34 14.463 0.000 10.33 0.028068 0.028987 0.029936 0.030917 0.031929 10.32 11.00 3128X3X57 12/22/04 12/22/34 14.675 0.000 9.95 0.028247 0.029166 0.030113 0.031092 0.032103 10.35 11.03 3128X3Y72 12/29/04 12/29/34 14.890 0.000 9.82 0.028427 0.029344 0.030290 0.031267 0.032275 10.40 11.08 3128X3YB3 10/20/04 10/20/34 14.890 0.000 11.78 0.028427 0.029344 0.030290 0.031267 0.032275 10.53 11.22 3128X3Z63 12/29/04 12/29/34 14.675 0.000 9.75 0.028247 0.029166 0.030113 0.031092 0.032103 10.34 11.02 Federal Home Loan Mortgage Corporation 3128X42F7 04/25/06 04/25/36 11.979 0.000 0.023958 0.024820 0.025714 0.026640 5.95 9.22 3128X42G5 04/25/06 04/25/36 12.083 0.000 0.024066 0.024928 0.025822 0.026748 5.98 9.26 3128X42Q3 04/17/06 05/03/07 100.000 0.000 0.142383 0.142707 0.146364 36.45 17.86 3128X42V2 04/10/06 05/01/07 100.000 0.000 0.142306 0.142732 0.146388 37.46 17.57 3128X43J8 04/18/06 05/18/07 100.000 0.000 0.142197 0.142803 0.146458 36.27 20.06 3128X43L3 04/20/06 05/18/07 100.000 0.000 0.142492 0.143060 0.146730 36.05 20.10 3128X43N9 04/21/06 05/21/07 100.000 0.000 0.142736 0.143347 0.147030 35.97 20.58 3128X44B4 05/05/06 06/05/07 100.000 0.000 0.143544 0.144162 0.147887 34.10 22.77 3128X44C2 05/05/06 06/05/07 100.000 0.000 0.143544 0.144162 0.147887 34.10 22.77 3128X44F5 04/24/06 05/24/07 100.000 0.000 0.143812 0.144432 0.148171 35.79 21.19 3128X44Z1 04/20/06 06/28/12 72.625 0.000 0.105595 0.106640 0.109431 0.112295 0.115234 26.70 39.93 3128X45Y3 05/15/06 06/15/07 100.000 0.000 0.144890 0.145520 0.149315 32.93 24.49 3128X46A4 05/15/06 06/15/07 100.000 0.000 0.144890 0.145520 0.149315 32.93 24.49 3128X46C0 05/19/06 06/19/07 100.000 0.000 0.144890 0.145520 0.149315 32.33 25.08 3128X46T3 05/22/06 05/22/26 25.257 0.000 0.049111 0.050830 0.052609 0.054451 10.82 18.76 3128X46X4 05/18/06 06/20/07 100.000 0.000 0.144863 0.145534 0.149329 32.47 25.24 3128X47F2 05/30/06 05/30/36 12.048 0.000 0.024029 0.024892 0.025786 0.026712 5.10 9.18 3128X4AC5 04/19/05 04/15/14 65.973 0.000 21.77 0.087746 0.089799 0.091901 0.094052 0.096253 32.27 33.80 3128X4AD3 04/19/05 12/15/14 63.722 0.000 21.21 0.086173 0.088207 0.090290 0.092421 0.094603 31.45 32.96 3128X4AE1 04/19/05 04/15/17 56.285 0.000 19.25 0.077656 0.079540 0.081470 0.083446 0.085470 28.59 29.99 3128X4AG6 05/18/05 05/18/35 14.675 0.000 5.95 0.027358 0.028247 0.029166 0.030113 0.031092 10.09 10.75 3128X4AU5 05/18/05 05/18/35 15.108 0.000 6.03 0.027719 0.028606 0.029521 0.030466 0.031441 10.22 10.88 3128X4B59 01/26/06 08/31/10 81.134 0.000 0.103826 0.104263 0.107864 0.109122 0.112260 35.14 39.59 3128X4BN0 06/15/05 06/15/35 15.329 0.000 5.31 0.027898 0.028784 0.029697 0.030640 0.031613 10.23 10.89 3128X4C33 01/27/06 02/26/07 100.000 0.000 0.133449 0.133966 0.137184 45.13 7.55 3128X4CH2 06/29/05 06/29/35 16.874 0.000 5.14 0.029067 0.029942 0.030843 0.031772 0.032728 10.63 11.27 3128X4D81 02/01/06 02/28/07 100.000 0.000 0.133995 0.132287 0.137742 44.90 7.99 3128X4DN8 07/06/05 07/06/35 15.966 0.000 4.82 0.027542 0.028397 0.029279 0.030188 0.031126 10.37 11.03 3128X4ES6 08/10/05 08/10/35 15.509 0.000 3.83 0.027184 0.028041 0.028926 0.029839 0.030780 10.19 10.84 3128X4EV9 07/21/05 08/15/06 100.000 0.000 0.111473 0.113704 25.37 3128X4EY3 08/10/05 08/10/35 15.782 0.000 3.86 0.027399 0.028256 0.029139 0.030049 0.030988 10.26 10.91 3128X4FC0 08/10/05 08/10/35 15.419 0.000 3.82 0.027112 0.027970 0.028855 0.029768 0.030711 10.16 10.81 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3128X4FU0 08/04/05 12/01/06 94.798 0.000 15.79 0.108571 0.110779 36.23 3128X4FV8 08/04/05 06/01/11 77.489 0.000 14.04 0.096630 0.098768 0.100954 0.103187 0.105471 35.30 36.88 3128X4FX4 08/04/05 06/01/07 92.716 0.000 15.89 0.109237 0.111522 0.113856 39.88 17.08 3128X4FY2 08/04/05 12/01/07 90.774 0.000 15.63 0.107473 0.109732 0.112039 0.114395 39.23 37.40 3128X4FZ9 08/04/05 06/01/08 88.800 0.000 15.44 0.106216 0.108472 0.110775 0.113128 0.115530 38.78 40.45 3128X4G39 02/22/06 02/22/36 12.693 0.000 0.024681 0.025545 0.026439 0.027365 7.74 9.59 3128X4GA3 08/04/05 12/01/11 75.722 0.000 13.78 0.094839 0.096947 0.099101 0.101303 0.103555 34.65 36.21 3128X4GB1 08/04/05 12/01/08 86.894 0.000 15.19 0.104456 0.106686 0.108962 0.111288 0.113663 38.14 39.79 3128X4GC9 08/24/05 08/24/35 15.108 0.000 3.41 0.026859 0.027719 0.028606 0.029521 0.030466 10.05 10.70 3128X4GD7 08/04/05 06/01/12 73.943 0.000 13.54 0.093179 0.095262 0.097392 0.099569 0.101795 34.05 35.59 3128X4GE5 08/04/05 06/01/09 84.918 0.000 15.02 0.103301 0.105532 0.107810 0.110138 0.112517 37.73 39.37 3128X4GF2 08/04/05 12/01/09 83.027 0.000 14.78 0.101648 0.103857 0.106114 0.108420 0.110775 37.12 38.76 3128X4GG0 08/04/05 12/01/12 72.215 0.000 13.29 0.091443 0.093498 0.095598 0.097746 0.099941 33.41 34.93 3128X4GH8 08/04/05 06/01/10 81.144 0.000 14.54 0.100051 0.102240 0.104477 0.106764 0.109100 36.55 38.16 3128X4GJ4 08/04/05 12/01/10 79.323 0.000 14.28 0.098262 0.100422 0.102630 0.104886 0.107192 35.89 37.49 3128X4GK1 08/04/05 06/01/13 70.468 0.000 13.05 0.089829 0.091861 0.093938 0.096062 0.098235 32.83 34.33 3128X4H46 02/10/06 03/07/07 100.000 0.000 0.136845 0.137351 0.140734 44.46 9.29 3128X4H61 02/08/06 03/07/07 100.000 0.000 0.137358 0.137905 0.141315 44.92 9.33 3128X4HU8 08/12/05 01/10/13 71.011 0.000 12.81 0.092161 0.093935 0.096130 0.098376 0.100674 34.18 35.79 3128X4HY0 09/06/05 09/06/35 14.675 0.000 3.05 0.026497 0.027358 0.028247 0.029166 0.030113 9.90 10.55 3128X4J28 02/09/06 06/09/08 89.458 0.000 0.119993 0.121929 0.124873 0.127889 0.130976 39.09 45.63 3128X4JH5 09/06/05 09/06/35 15.196 0.000 3.10 0.026931 0.027790 0.028677 0.029592 0.030536 10.05 10.70 3128X4KK6 10/05/05 10/05/35 15.329 0.000 2.33 0.027039 0.027898 0.028784 0.029697 0.030640 10.04 10.69 3128X4L66 03/07/06 03/07/36 12.693 0.000 0.024681 0.025545 0.026439 0.027365 7.35 9.56 3128X4ML2 09/28/05 09/28/35 15.374 0.000 2.52 0.027076 0.027934 0.028819 0.029733 0.030676 10.06 10.71 3128X4MR9 09/28/05 09/28/35 15.196 0.000 2.50 0.026931 0.027790 0.028677 0.029592 0.030536 10.01 10.66 3128X4MY4 09/30/05 09/30/30 22.810 0.000 3.46 0.038017 0.039158 0.040333 0.041543 0.042789 14.10 14.96 3128X4NC1 09/28/05 09/28/35 15.285 0.000 2.51 0.027004 0.027862 0.028748 0.029663 0.030606 10.04 10.69 3128X4NH0 10/05/05 10/05/35 15.329 0.000 2.33 0.027039 0.027898 0.028784 0.029697 0.030640 10.04 10.69 3128X4NP2 10/05/05 10/05/35 14.977 0.000 2.30 0.026751 0.027611 0.028499 0.029415 0.030360 9.94 10.58 3128X4PQ8 10/05/05 10/05/35 15.064 0.000 2.31 0.026823 0.027683 0.028570 0.029485 0.030430 9.96 10.61 3128X4QQ7 10/18/05 10/18/35 14.675 0.000 1.93 0.026497 0.027358 0.028247 0.029166 0.030113 9.82 10.47 3128X4QW4 10/24/05 10/24/35 14.675 0.000 1.78 0.026497 0.027358 0.028247 0.029166 0.030113 9.81 10.46 3128X4RH6 10/24/05 10/24/35 14.675 0.000 1.78 0.026497 0.027358 0.028247 0.029166 0.030113 9.81 10.46 3128X4S77 03/24/06 06/20/16 59.540 0.000 0.084810 0.085852 0.088053 0.090311 0.092627 23.72 32.16 3128X4S85 03/14/06 03/15/07 100.000 0.000 0.137993 0.138014 0.141442 39.97 10.47 3128X4SE2 11/02/05 11/02/35 14.255 0.000 1.54 0.026135 0.026997 0.027888 0.028808 0.029759 9.67 10.32 3128X4T92 04/04/06 04/04/36 12.693 0.000 0.024681 0.025545 0.026439 0.027365 6.67 9.52 3128X4TC5 10/27/05 11/24/06 100.000 0.000 0.126744 0.129625 41.46 3128X4TD3 11/16/05 11/16/35 13.928 0.000 1.16 0.025844 0.026708 0.027600 0.028521 0.029474 9.54 10.19 3128X4TJ0 11/21/05 11/21/35 13.847 0.000 1.03 0.025771 0.026635 0.027527 0.028449 0.029402 9.50 10.15 3128X4TT8 11/01/05 06/10/08 88.755 0.000 6.85 0.114581 0.117231 0.119941 0.122715 0.125552 41.84 43.80 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3128X4U41 03/28/06 04/09/14 66.671 0.000 0.094673 0.094825 0.097249 0.099735 0.102284 26.08 35.87 3128X4UG4 11/30/05 11/30/35 12.693 0.000 .77 0.024681 0.025545 0.026439 0.027365 0.028322 9.10 9.74 3128X4UU3 12/12/05 12/12/35 12.693 0.000 .47 0.024681 0.025545 0.026439 0.027365 0.028322 9.07 9.72 3128X4W56 04/04/06 04/04/36 14.255 0.000 0.026135 0.026997 0.027888 0.028808 7.05 10.04 3128X4WD9 12/27/05 12/27/35 12.510 0.000 .10 0.024500 0.025363 0.026257 0.027183 0.028141 8.98 9.63 3128X4XP1 01/11/06 01/11/36 13.219 0.000 0.025190 0.026054 0.026948 0.027872 8.96 9.85 3128X4XQ9 12/21/05 06/04/10 81.270 0.000 1.06 0.106364 0.108637 0.111196 0.113816 0.116497 38.83 40.65 3128X4XZ9 01/18/06 01/18/36 13.529 0.000 0.025480 0.026344 0.027237 0.028161 8.88 9.94 3128X4YT2 01/30/06 01/30/36 13.807 0.000 0.025735 0.026599 0.027491 0.028413 8.65 10.01 Federal Home Loan Mortgage Corporation 3128X5CM8 06/13/06 07/13/07 100.000 0.000 0.146234 0.146875 0.150741 29.06 28.90 3128X5CP1 06/06/06 07/06/07 100.000 0.000 0.146234 0.146875 0.150741 30.09 27.87 3128X5CR7 06/12/06 07/12/07 100.000 0.000 0.146906 0.147554 0.151456 29.34 28.89 3128X5CS5 06/13/06 07/13/07 100.000 0.000 0.147041 0.147689 0.151598 29.22 29.06 3128X5CU0 06/20/06 07/20/07 100.000 0.000 0.146906 0.147554 0.151456 28.16 30.07 3128X5DU9 07/11/06 08/15/12 72.660 0.000 0.107131 0.107688 0.110546 0.113481 18.29 40.07 3128X5DV7 07/11/06 05/15/12 73.645 0.000 0.108460 0.110445 0.113373 0.116379 18.53 40.56 3128X5DX3 06/14/06 07/11/07 100.000 0.000 0.151654 0.152275 0.156432 29.98 29.68 3128X5EQ7 06/30/06 06/30/36 12.330 0.000 0.024318 0.025182 0.026076 0.027001 4.40 9.23 3128X5ES3 06/29/06 06/29/12 72.129 0.000 0.110599 0.113651 0.116788 0.120011 20.14 41.49 3128X5EZ7 07/12/06 04/10/08 91.050 0.000 0.137641 0.139479 0.143275 0.147174 23.41 51.52 3128X5FD5 07/13/06 12/28/12 70.884 0.000 0.106317 0.108949 0.111890 0.114911 17.87 39.77 3128X5FH6 07/19/06 12/31/12 71.004 0.000 0.106103 0.108673 0.111596 0.114598 17.30 39.65 3128X5FS2 07/21/06 06/28/13 69.242 0.000 0.103276 0.105695 0.108533 0.111447 16.53 38.58 3128X5FT0 07/21/06 05/29/09 86.149 0.000 0.126525 0.128907 0.132314 0.135812 20.32 47.24 3128X5HF8 08/10/06 01/31/11 79.500 0.000 0.114666 0.117495 0.120546 16.17 42.68 3128X5HG6 08/10/06 10/31/12 72.515 0.000 0.105317 0.106558 0.109343 0.112202 15.03 39.21 3128X5HX9 08/24/06 02/26/10 84.132 0.000 0.116520 0.116648 0.119558 0.122541 14.81 43.25 3128X5JC3 08/25/06 08/10/09 86.407 0.000 0.119990 0.122743 0.125811 15.12 44.51 3128X5JD1 08/25/06 07/31/09 86.441 0.000 0.120735 0.123367 0.126468 15.21 44.80 3128X5JX7 09/19/06 09/19/36 12.693 0.000 0.024681 0.025545 0.026439 2.52 9.22 Federal Home Loan Mortgage Corporation 3129023V9 10/30/00 05/15/07 67.060 0.000 249.09 0.157194 0.162069 0.167094 57.92 22.39 3129026G9 12/06/00 03/30/10 56.100 0.000 207.48 0.132382 0.136553 0.140854 0.145291 0.149868 49.18 52.33 312902FT1 10/12/99 07/01/07 60.216 0.000 304.00 0.168098 0.173711 0.179511 61.53 32.31 312902FU8 10/12/99 08/01/08 55.888 0.000 284.25 0.153063 0.158204 0.163519 0.169011 0.174689 57.60 61.53 312902FV6 10/12/99 03/01/06 66.014 0.000 329.20 0.177701 10.66 312902FW4 10/12/99 06/01/06 64.867 0.000 324.60 0.178211 26.73 312902FX2 10/12/99 08/01/06 64.123 0.000 321.46 0.172734 0.178467 37.31 312902FY0 10/12/99 06/01/07 60.546 0.000 305.74 0.168108 0.173722 0.179523 61.87 26.93 312902FZ7 10/12/99 07/01/08 56.244 0.000 285.49 0.158006 0.163306 0.168784 0.174445 57.84 61.78 312902LX5 12/17/99 12/17/29 14.255 0.000 68.45 0.038585 0.039859 0.041174 0.042533 0.043936 14.16 15.11 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 312902VG1 04/25/00 01/04/21 25.643 0.000 116.26 0.067012 0.069252 0.071567 0.073959 0.076432 25.33 27.06 312902VH9 04/25/00 01/04/22 24.042 0.000 108.88 0.062750 0.064846 0.067012 0.069250 0.071563 23.72 25.33 312902VJ5 04/25/00 01/04/23 22.536 0.000 101.98 0.058765 0.060727 0.062753 0.064848 0.067012 22.21 23.72 312902VK2 04/25/00 01/04/24 21.145 0.000 95.54 0.055044 0.056879 0.058775 0.060734 0.062759 20.81 22.22 312902VL0 04/25/00 01/04/25 20.007 0.000 89.72 0.051635 0.053345 0.055112 0.056937 0.058823 19.51 20.83 312902VM8 04/25/00 01/04/26 18.780 0.000 84.10 0.048395 0.049996 0.051650 0.053358 0.055123 18.29 19.52 312902VN6 04/25/00 01/04/27 17.654 0.000 78.88 0.045378 0.046876 0.048424 0.050023 0.051674 17.14 18.30 312902VS5 04/25/00 01/04/12 46.161 0.000 210.60 0.121487 0.125570 0.129789 0.134151 0.138659 45.94 49.08 312902VT3 04/25/00 01/04/13 43.203 0.000 197.14 0.113724 0.117546 0.121497 0.125580 0.129801 43.00 45.94 312902VU0 04/25/00 01/04/14 40.436 0.000 184.53 0.106452 0.110030 0.113728 0.117551 0.121503 40.25 43.01 312902VV8 04/25/00 01/04/18 31.141 0.000 141.63 0.081668 0.084406 0.087235 0.090158 0.093180 30.88 32.98 312902VW6 04/25/00 01/04/19 29.163 0.000 132.60 0.076455 0.079016 0.081664 0.084401 0.087229 28.91 30.88 312902VX4 04/25/00 01/04/20 27.313 0.000 124.14 0.071576 0.073974 0.076452 0.079013 0.081660 27.06 28.91 312902WD7 04/25/00 01/04/06 68.696 0.000 312.50 0.180200 .54 312902WE5 04/25/00 01/04/07 64.216 0.000 293.30 0.169222 0.174914 0.180798 63.99 .54 312902WF2 04/25/00 01/04/08 59.995 0.000 275.20 0.158869 0.164233 0.169777 0.175509 0.181434 60.09 64.21 312902WG0 04/25/00 01/04/09 56.172 0.000 257.36 0.148548 0.153558 0.158737 0.164091 0.169625 56.18 60.04 312902WH8 04/25/00 01/04/10 52.605 0.000 240.69 0.138899 0.143578 0.148415 0.153414 0.158583 52.53 56.13 312902WJ4 04/25/00 01/04/11 49.272 0.000 225.13 0.129896 0.134266 0.138784 0.143454 0.148281 49.12 52.48 312902WK1 04/25/00 01/04/15 37.975 0.000 172.59 0.099507 0.102841 0.106285 0.109846 0.113525 37.62 40.18 312902WL9 04/25/00 01/04/16 35.607 0.000 161.54 0.093118 0.096232 0.099451 0.102777 0.106215 35.20 37.60 312902WM7 04/25/00 01/04/17 33.256 0.000 151.29 0.087239 0.090164 0.093187 0.096311 0.099539 32.99 35.23 Federal Home Loan Mortgage Corporation 312923CN3 01/10/01 08/17/12 61.750 1.000 135.23 0.085551 0.087905 0.090324 0.092810 0.095364 31.86 33.64 312923RN7 03/20/01 03/14/06 77.428 0.000 215.44 0.140778 10.28 Federal Home Loan Mortgage Corporation 312924TN3 11/19/01 11/19/20 100.000 5.881 0.173111 0.178201 0.183442 0.188836 0.163363 63.67 66.17 Federal Home Loan Mortgage Corporation 3129255S5 09/19/02 09/14/07 84.361 0.000 100.00 0.089253 0.090788 0.092350 0.093938 32.74 23.65 312925UB4 06/21/02 06/21/32 12.693 0.000 34.88 0.031402 0.032501 0.033638 0.034816 0.036034 11.52 12.35 312925ZY9 07/26/02 01/26/07 83.786 0.000 120.99 0.103965 0.106029 0.108134 38.45 2.70 Federal Home Loan Banks 31339X6F6 06/12/03 06/12/23 100.000 VARIES 0.083722 0.083077 0.082422 0.081757 0.081081 30.00 29.53 31339XA53 06/09/03 06/09/28 22.811 0.000 37.30 0.044073 0.045395 0.046757 0.048160 0.049605 16.16 17.15 31339XAF1 06/09/03 06/09/33 15.782 0.000 26.95 0.031957 0.032955 0.033985 0.035047 0.036142 11.73 12.47 31339XBL7 06/10/03 06/10/33 15.108 0.000 26.43 0.031441 0.032447 0.033485 0.034557 0.035662 11.54 12.29 31339XDQ4 06/16/03 06/16/33 15.554 0.000 26.57 0.031786 0.032787 0.033820 0.034885 0.035984 11.65 12.40 31339XGE8 06/16/03 06/16/33 15.967 0.000 26.86 0.032093 0.033089 0.034117 0.035176 0.036268 11.76 12.50 31339XKS2 06/23/03 06/23/28 23.714 0.000 37.06 0.044424 0.045721 0.047056 0.048430 0.049845 16.25 17.21 31339XKT0 06/19/03 06/19/18 100.000 VARIES 0.084105 0.083664 0.083217 0.082762 0.082301 30.19 29.87 31339XMN1 06/18/03 06/18/18 44.966 0.000 65.07 0.077060 0.079141 0.081278 0.083472 0.085726 28.17 29.71 31339XMW1 06/26/03 06/26/23 31.870 0.000 49.27 0.059236 0.060954 0.062722 0.064541 0.066412 21.65 22.93 31339XN42 06/26/03 06/26/08 100.000 VARIES 0.086145 0.086080 0.085871 0.085515 0.085010 31.00 30.85 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Banks 31339XQ72 07/03/03 07/03/23 32.181 0.000 48.88 0.057572 0.059227 0.060930 0.062682 0.064484 21.62 22.88 31339XRT3 06/30/03 06/30/23 33.134 0.000 49.12 0.059173 0.060830 0.062534 0.064285 0.066084 21.60 22.83 31339XSM7 07/02/03 07/02/18 100.000 VARIES 0.081278 0.080811 0.080337 0.079856 0.079368 29.01 28.66 31339XUQ5 06/30/03 07/02/18 46.694 0.000 63.24 0.073813 0.075710 0.077656 0.079652 0.081699 27.60 29.04 Federal Home Loan Banks 31339Y4A7 07/16/03 07/16/18 100.000 VARIES 0.080521 0.080068 0.079608 0.079141 0.078668 28.76 28.42 31339YBR2 07/07/03 07/07/23 32.181 0.000 48.65 0.057572 0.059227 0.060930 0.062682 0.064484 21.61 22.87 31339YMR0 07/28/03 07/28/23 30.656 0.000 47.27 0.057505 0.059231 0.061008 0.062838 0.064723 21.55 22.86 31339YPD8 07/29/03 07/29/19 39.750 0.000 59.61 0.072488 0.074609 0.076791 0.079037 0.081349 27.13 28.74 31339YQP0 08/07/03 08/07/08 100.000 VARIES 0.036480 0.036599 0.036721 0.036653 0.036584 13.19 13.15 Federal Home Loan Banks 3133M2JB4 12/18/97 12/18/12 33.623 0.000 266.68 0.123602 0.128176 0.132918 0.137836 0.142936 45.44 48.87 Federal Home Loan Banks 3133M4JQ7 06/05/98 06/05/28 12.678 0.000 86.76 0.041337 0.042785 0.044284 0.045834 0.047440 15.22 16.30 3133M4T86 07/07/98 07/07/28 13.648 0.000 87.82 0.040727 0.042102 0.043523 0.044992 0.046510 15.40 16.45 Federal Home Loan Banks 3133M5ER7 09/08/98 09/08/28 13.727 0.000 85.52 0.040788 0.042160 0.043579 0.045045 0.046561 15.25 16.29 3133M5LN8 09/18/98 09/18/28 13.928 0.000 85.56 0.040938 0.042305 0.043718 0.045178 0.046687 15.27 16.31 3133M5QZ6 09/29/98 09/29/28 14.934 0.000 87.23 0.041634 0.042975 0.044358 0.045787 0.047261 15.48 16.49 Federal Home Loan Banks 3133M95W8 07/13/99 07/13/29 12.331 0.000 70.31 0.036962 0.038274 0.039633 0.041040 0.042496 13.99 15.00 3133M9CD2 08/17/99 08/17/29 11.806 0.000 67.83 0.036453 0.037774 0.039144 0.040562 0.042033 13.72 14.73 3133M9JE3 07/29/99 07/27/06 64.021 0.000 324.02 0.168844 0.174313 35.77 Federal Home Loan Banks 3133MCF83 10/27/00 04/27/10 79.882 0.000 0.036746 0.025498 0.026309 0.019697 0.020324 10.54 7.90 Federal Home Loan Banks 3133MFR42 06/21/01 06/13/06 77.119 0.000 205.63 0.143106 23.18 Federal Home Loan Banks 3133MHR63 09/24/01 09/15/06 80.023 0.000 168.72 0.120316 0.123041 31.05 Federal Home Loan Banks 3133MLRW7 02/22/02 02/22/07 100.000 VARIES 0.136425 0.135701 0.134297 48.71 6.85 Federal Home Loan Banks 3133MQDM3 08/05/02 08/05/08 100.000 VARIES 0.119341 0.119269 0.119011 0.118560 0.117915 42.90 42.60 Federal Home Loan Banks 3133MS3B4 09/19/02 09/14/07 84.850 0.000 96.97 0.086395 0.087830 0.089289 0.090772 31.67 22.86 3133MSHD5 10/17/02 10/19/09 76.775 0.000 98.73 0.090970 0.092703 0.094468 0.096267 0.098100 33.31 34.59 3133MSHE3 10/17/02 10/19/09 76.745 0.000 98.85 0.091086 0.092823 0.094593 0.096397 0.098235 33.36 34.64 3133MSRX0 10/15/02 10/05/07 85.446 0.000 91.39 0.083135 0.084460 0.085806 0.087174 30.40 23.76 3133MSYC8 11/05/02 11/05/32 14.255 0.000 32.44 0.031756 0.032803 0.033886 0.035004 0.036159 11.74 12.53 Federal Home Loan Banks 3133MTES3 11/15/02 11/15/32 13.648 0.000 31.51 0.031229 0.032283 0.033373 0.034499 0.035664 11.53 12.32 Federal Home Loan Banks 3133MUP74 12/27/02 12/27/32 15.241 0.000 31.68 0.032550 0.033586 0.034656 0.035760 0.036899 11.91 12.68 3133MUSN6 01/13/03 01/13/33 14.675 0.000 30.67 0.031092 0.032103 0.033146 0.034223 0.035336 11.72 12.49 Federal Home Loan Banks 3133MV5T6 01/28/03 01/28/13* 100.000 VARIES 0.081511 2.20* Federal Home Loan Banks 3133MW7G0 03/03/03 03/03/08 100.000 VARIES 0.090989 0.090925 0.090717 0.090362 0.089860 32.71 32.49 3133MWGF2 03/05/03 03/05/07 100.000 VARIES 0.090883 0.090583 0.090072 32.57 5.76 3133MWU90 03/24/03 03/24/08 100.000 VARIES 0.103151 0.103063 0.102771 0.102272 0.101563 37.08 36.79 Federal Home Loan Banks 3133MXEJ4 04/01/03 04/01/33 14.977 0.000 28.49 0.031337 0.032344 0.033384 0.034457 0.035565 11.65 12.41 3133MXWJ4 04/14/03 04/14/15 55.287 0.000 79.34 0.086880 0.089052 0.091278 0.093560 0.095899 32.01 33.63 Federal Home Loan Banks 3133MYGP6 05/05/03 05/05/06 100.000 VARIES 0.062651 7.77 3133MYGY7 04/23/03 01/23/06 100.000 VARIES 0.016509 .36 Federal Home Loan Banks 3133X0RS0 09/05/03 09/05/06 100.000 VARIES 0.021150 0.020775 5.09 Federal Home Loan Banks 3133X16J1 09/29/03 09/29/10 100.000 VARIES 0.072193 0.072760 0.073098 0.073202 0.073065 26.19 26.41 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Banks 3133X1BR7 09/17/03 09/12/08 84.441 0.000 68.20 0.085824 0.087292 0.088785 0.090304 0.091848 31.48 32.57 3133X1D38 09/29/03 09/29/06 100.000 VARIES 0.024524 0.024333 6.54 3133X1DT1 10/06/03 10/06/08 100.000 VARIES 0.098076 0.098173 0.098098 0.097849 0.097423 35.33 35.21 3133X1LK1 10/16/03 10/16/06 100.000 VARIES 0.063790 0.063568 18.14 Federal Home Loan Banks 3133X4UM1 03/30/04 03/30/11 100.000 VARIES 0.136767 0.136020 0.135253 0.134468 0.134975 48.96 48.52 3133X4UW9 03/11/04 03/11/11 100.000 VARIES 0.136925 0.136181 0.135418 0.134636 0.135141 48.99 48.58 3133X4V65 03/10/04 03/10/08 100.000 VARIES 0.050774 0.050837 0.050681 0.050302 0.049695 18.29 17.76 3133X4V81 03/09/04 01/23/09 100.000 1.560 0.049948 0.050149 0.050179 0.050035 0.049715 18.04 17.99 Federal Home Loan Banks 3133X5BL1 04/08/04 10/08/09 100.000 VARIES 0.075258 0.075149 0.075037 0.074924 0.075052 27.05 26.99 3133X5C30 04/08/04 04/08/09 100.000 VARIES 0.073450 0.073319 0.073186 0.073051 0.073243 26.40 26.33 3133X5FD5 03/18/04 03/18/09 100.000 VARIES 0.077394 0.077284 0.077172 0.077059 0.077220 27.82 27.77 3133X5GD4 04/14/04 10/14/09 100.000 VARIES 0.070587 0.070460 0.070331 0.070200 0.070348 25.37 25.30 3133X5GW2 04/14/04 10/14/09 100.000 VARIES 0.070966 0.070843 0.070718 0.070592 0.070735 25.51 25.44 3133X5HB7 04/16/04 10/16/09 100.000 VARIES 0.070587 0.070460 0.070331 0.070200 0.070348 25.37 25.30 3133X5HN1 04/16/04 10/16/09 100.000 VARIES 0.072104 0.071957 0.071808 0.071658 0.071828 25.91 25.83 3133X5JF6 04/08/04 10/08/09 100.000 VARIES 0.075637 0.075532 0.075425 0.075317 0.075439 27.19 27.13 3133X5KQ0 03/25/04 03/25/09 100.000 VARIES 0.077061 0.076954 0.076846 0.076736 0.076892 27.70 27.65 3133X5MR6 04/21/04 04/21/14 100.000 VARIES 0.066826 0.066626 0.066423 0.066218 0.066297 23.99 23.87 3133X5PZ5 04/23/04 04/23/13 100.000 VARIES 0.096785 0.096533 0.096277 0.096017 0.095752 34.76 34.58 3133X5R59 04/22/04 10/22/09 100.000 VARIES 0.072482 0.072340 0.072195 0.072049 0.072215 26.05 25.97 3133X5SZ2 04/06/04 04/06/09 100.000 VARIES 0.074284 0.074144 0.074002 0.073858 0.074063 26.69 26.62 3133X5VL9 04/23/04 04/23/14 100.000 VARIES 0.100881 0.100694 0.100504 0.100310 0.100113 36.26 36.12 3133X5YM4 04/23/04 10/23/09 100.000 VARIES 0.074959 0.074787 0.074612 0.074435 0.074635 26.93 26.83 Federal Home Loan Banks 3133X63U8 04/26/04 10/26/09 100.000 VARIES 0.076728 0.076528 0.076325 0.076119 0.076351 27.56 27.44 3133X64C7 04/30/04 10/30/09 100.000 VARIES 0.079306 0.079068 0.078827 0.078582 0.078858 28.48 28.34 3133X64S2 04/30/04 10/30/09 100.000 VARIES 0.079736 0.079495 0.079250 0.079002 0.079281 28.63 28.49 3133X64Y9 04/15/04 04/15/09 100.000 VARIES 0.081289 0.081074 0.080857 0.080636 0.080948 29.19 29.08 3133X65D4 04/28/04 04/28/09 100.000 VARIES 0.084477 0.084218 0.084380 0.084545 0.084713 30.36 30.43 3133X6DJ2 04/23/04 10/23/09 100.000 VARIES 0.080494 0.080242 0.079985 0.079725 0.080018 28.90 28.75 3133X6P42 05/12/04 05/12/14 100.000 VARIES 0.096061 0.095738 0.095409 0.095074 0.095196 34.49 34.28 Federal Home Loan Banks 3133X8C75 09/03/04 03/03/10 100.000 VARIES 0.095551 0.095272 0.094988 0.094700 0.094406 34.28 34.08 3133X8FZ0 09/03/04 09/03/13 61.428 0.000 45.84 0.098862 0.101575 0.104362 0.107226 0.110169 36.73 38.77 3133X8G22 09/09/04 03/09/10 100.000 VARIES 0.095440 0.095217 0.094991 0.094761 0.094527 34.27 34.10 Federal Home Loan Banks 3133X9GW4 11/18/04 05/18/10 100.000 VARIES 0.102321 0.102158 0.101993 0.101825 0.101653 36.79 36.67 3133X9HG8 11/24/04 05/24/10 100.000 VARIES 0.100779 0.100641 0.100501 0.100359 0.100214 36.25 36.14 3133X9TS9 12/07/04 11/02/06 94.250 0.000 31.85 0.084432 0.085755 25.65 Federal Home Loan Banks 3133XAD95 01/12/05 01/12/07 93.670 0.000 30.17 0.087186 0.088623 0.090084 32.14 .99 Federal Home Loan Banks 3133XBNM3 04/29/05 04/29/15 100.000 VARIES 0.130103 0.129864 0.129620 0.129370 0.129114 46.76 46.59 Federal Home Loan Banks 3133XC6C2 06/30/05 06/30/20 100.000 VARIES 0.053874 0.052796 0.051863 0.050907 0.050100 19.20 18.45 Federal Home Loan Banks 3133XD2X8 09/15/05 09/15/10 100.000 VARIES 0.179232 0.177845 0.176413 0.176728 0.177052 63.98 63.63 3133XDPR6 10/27/05 11/21/06 100.000 0.000 0.125638 0.128471 40.71 3133XDSF9 11/10/05 11/24/06 100.000 0.000 0.125860 0.128707 41.17 3133XDYZ8 11/30/05 12/15/06 100.000 0.000 0.129208 0.132207 44.99 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Banks 3133XE3N7 12/21/05 12/29/06 100.000 0.000 0.130340 0.133395 47.21 3133XE3R8 12/21/05 12/29/06 100.000 0.000 0.129907 0.132942 47.05 3133XEQJ1 02/24/06 02/24/11 100.000 VARIES 0.148002 0.147504 0.146994 0.146470 45.37 52.88 3133XERA9 02/23/06 03/07/07 100.000 0.000 0.134978 0.135233 0.138519 42.02 9.14 3133XEYQ6 03/29/06 03/29/11 100.000 VARIES 0.150295 0.149664 0.149016 0.148351 40.82 53.64 3133XEZB8 03/28/06 03/28/11 100.000 VARIES 0.148002 0.147504 0.146994 0.146470 40.36 52.91 Federal Home Loan Banks 3133XF6G6 03/29/06 04/02/07 100.000 0.000 0.138182 0.138240 0.141679 37.91 12.89 3133XFAB2 04/03/06 04/30/07 100.000 0.000 0.143043 0.143595 0.147293 38.69 17.53 3133XFBZ8 04/18/06 05/18/07 100.000 0.000 0.142221 0.142828 0.146485 36.27 20.07 3133XFD52 04/21/06 05/21/07 100.000 0.000 0.142736 0.143347 0.147030 35.97 20.58 3133XFE51 05/05/06 06/05/07 100.000 0.000 0.143544 0.144162 0.147887 34.10 22.77 3133XFET9 05/08/06 06/05/07 100.000 0.000 0.144929 0.145496 0.149292 33.98 22.99 3133XFFS0 05/11/06 05/11/19* 100.000 VARIES 0.179731 16.54* 3133XFVN3 06/12/06 06/15/07 100.000 0.000 0.147979 0.148045 0.151988 29.52 24.93 3133XFVP8 06/12/06 09/14/07 100.000 0.000 0.147653 0.149658 0.153636 29.60 38.58 3133XFWE2 06/29/06 06/29/26 25.257 0.000 0.049111 0.050830 0.052609 0.054451 8.94 18.63 3133XFXP6 07/07/06 08/07/07 100.000 0.000 0.150267 0.150945 0.155027 26.24 33.34 Federal Home Loan Banks 3133XGDT8 07/28/06 08/30/07 100.000 0.000 0.153999 0.156497 0.159048 23.86 37.55 3133XGGN8 08/14/06 08/14/36 12.331 0.000 0.024319 0.025183 0.026077 3.33 9.15 3133XGND2 08/30/06 09/28/07 100.000 0.000 0.149222 0.149845 0.153870 18.11 40.73 3133XGNN0 08/30/06 09/04/07 100.000 0.000 0.147963 0.148051 0.151994 17.91 36.69 3133XGYL2 09/16/06 10/12/07 100.000 0.000 0.150034 0.150619 0.154687 15.80 43.06 Federal Home Loan Mortgage Corporation 3134A12K5 02/04/98 02/04/28 13.067 0.000 92.79 0.041656 0.043093 0.044580 0.046118 0.047709 15.68 16.79 3134A1BU3 09/25/96 06/01/16 23.214 0.000 229.63 0.096340 0.099981 0.103759 0.107680 0.111749 35.56 38.30 3134A1CT5 10/21/96 09/15/16 23.550 0.000 223.96 0.092426 0.095845 0.099391 0.103068 0.106882 34.63 37.24 3134A1DL1 11/01/96 02/01/16 25.038 0.000 233.85 0.095594 0.099094 0.102723 0.106485 0.110384 36.11 38.81 3134A1FK1 11/20/96 09/03/19 20.641 0.000 181.67 0.074235 0.076850 0.079557 0.082359 0.085261 27.82 29.82 3134A1H60 10/22/97 06/03/24 16.813 0.000 122.98 0.054799 0.056665 0.058596 0.060592 0.062655 20.17 21.57 3134A1HH6 12/23/96 12/01/15 26.483 0.000 233.95 0.098336 0.101846 0.105482 0.109247 0.113147 36.25 38.88 3134A1HU7 12/27/96 12/02/19 19.720 0.000 176.09 0.074296 0.076973 0.079747 0.082621 0.085598 27.39 29.40 3134A1JD3 12/31/96 12/01/14 28.804 0.000 250.33 0.105072 0.108785 0.112629 0.116609 0.120729 38.72 41.51 3134A1MX5 02/12/97 02/01/14 30.030 0.000 263.57 0.109725 0.113684 0.117786 0.122036 0.126439 41.42 44.47 3134A1MY3 02/12/97 02/01/20 19.238 0.000 171.65 0.071697 0.074316 0.077031 0.079845 0.082762 27.08 29.10 3134A1MZ0 02/12/97 03/01/16 25.716 0.000 227.41 0.095362 0.098822 0.102407 0.106123 0.109973 35.80 38.44 3134A1NA4 02/12/97 01/02/19 20.877 0.000 185.59 0.077021 0.079826 0.082734 0.085748 0.088872 29.26 31.43 3134A1X39 12/11/97 06/01/15 33.207 0.000 220.01 0.097778 0.100911 0.104146 0.107483 0.110928 35.96 38.30 Federal Home Loan Mortgage Corporation 3134A2EX2 05/22/98 05/22/28 12.511 0.000 86.86 0.041196 0.042648 0.044151 0.045708 0.047319 15.21 16.30 3134A2FE3 06/02/98 06/02/28 12.879 0.000 87.40 0.041504 0.042946 0.044439 0.045983 0.047581 15.29 16.37 3134A2FR4 06/09/98 06/09/28 12.602 0.000 86.40 0.041273 0.042723 0.044224 0.045777 0.047385 15.18 16.27 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Mortgage Corporation 3134A2G77 12/28/98 11/15/28 20.230 0.000 92.02 0.044006 0.045199 0.046424 0.047682 0.048974 16.17 17.06 3134A2GC6 06/05/98 06/05/28 12.804 0.000 87.08 0.041442 0.042887 0.044381 0.045928 0.047529 15.26 16.34 3134A2GJ1 06/12/98 06/12/28 12.712 0.000 86.56 0.041366 0.042813 0.044310 0.045860 0.047464 15.21 16.29 3134A2HF8 06/30/98 11/24/14 38.078 0.000 211.54 0.097700 0.100619 0.103625 0.106720 0.109908 35.92 38.09 3134A2HG6 06/30/98 12/11/25 19.896 0.000 110.41 0.051134 0.052661 0.054233 0.055852 0.057519 18.75 19.88 3134A2NQ7 07/30/98 08/15/14 37.992 0.000 214.55 0.098851 0.101878 0.104998 0.108213 0.111527 36.97 39.27 3134A2QA9 09/08/98 09/08/28 14.152 0.000 86.46 0.041101 0.042462 0.043869 0.045322 0.046823 15.35 16.39 3134A2QP6 09/18/98 09/18/28 14.078 0.000 85.89 0.041047 0.042411 0.043819 0.045275 0.046779 15.31 16.34 Federal Home Loan Mortgage Corporation 3134A3D29 09/09/99 08/15/27 14.928 0.000 80.17 0.043017 0.044507 0.046048 0.047643 0.049293 16.17 17.31 3134A3ZJ8 09/14/99 09/14/29 12.656 0.000 68.78 0.037262 0.038568 0.039920 0.041319 0.042767 13.93 14.93 3134A3ZU3 08/02/99 12/14/29 15.469 0.000 74.77 0.039663 0.040901 0.042177 0.043493 0.044851 14.54 15.47 Federal National Mortgage Association 31359MEL3 01/29/99 06/01/17 34.790 0.000 170.41 0.083681 0.086125 0.088640 0.091229 0.093893 30.71 32.53 Federal National Mortgage Association 31364CJD1 08/13/96 08/11/06 97.000 6.830 27.50 0.011052 0.011453 2.50 Federal National Mortgage Association 31364KF21 12/21/00 12/28/07 78.513 0.000 0.061678 0.061847 0.048315 0.048492 22.19 17.28 31364KSS0 08/17/00 08/17/12 60.070 2.000 139.38 0.085388 0.088362 0.091438 0.094622 0.097916 32.09 34.36 Federal National Mortgage Association 3136F0L67 09/28/01 09/15/06 79.592 0.000 172.22 0.123395 0.126265 31.86 3136F0PV8 06/21/01 06/13/06 77.295 0.000 204.07 0.141866 22.98 3136F0W73 10/19/01 10/11/06 80.002 0.000 165.78 0.120389 0.123117 34.20 3136F0W81 10/19/01 10/11/06 80.002 0.000 165.78 0.120389 0.123117 34.20 Federal National Mortgage Association 3136F12V1 06/21/02 06/15/07 80.050 0.000 136.59 0.117300 0.119948 0.122656 42.79 20.12 3136F1DL1 12/20/01 12/15/06 78.270 0.000 171.46 0.131554 0.134826 45.84 3136F1EQ9 12/27/01 03/17/31 16.751 0.000 46.60 0.036274 0.037399 0.038560 0.039757 0.040991 13.50 14.35 3136F1KN9 01/29/02 02/01/09 87.729 0.000 0.040711 0.040586 0.041706 0.017042 0.013724 11.09 5.64 3136F1MG2 02/08/02 01/31/07 78.566 0.000 163.39 0.126634 0.129738 0.132919 47.10 3.85 Federal National Mortgage Association 3136F2B31 12/20/02 12/30/32 19.252 0.000 34.83 0.035125 0.036102 0.037106 0.038138 0.039198 12.82 13.55 3136F2B49 12/20/02 12/28/07 84.684 0.000 89.36 0.086772 0.088220 0.089692 0.091189 31.51 32.29 3136F2C63 12/24/02 12/30/09 76.570 0.000 93.22 0.091634 0.093394 0.095187 0.097015 0.098878 33.31 34.60 3136F2C71 12/24/02 12/28/07 85.056 0.000 87.14 0.084792 0.086172 0.087575 0.089001 30.78 31.52 3136F2FZ6 09/04/02 09/15/07 85.596 0.000 0.077419 0.075940 0.074434 0.072900 27.29 18.63 3136F2KY3 09/19/02 09/14/07 84.258 0.000 100.64 0.089856 0.091413 0.092996 0.094607 32.96 23.82 3136F2NT1 10/15/02 10/05/07 85.661 0.000 90.08 0.081879 0.083163 0.084467 0.085792 29.93 23.38 3136F2W20 01/30/03 01/22/08 84.961 0.000 85.23 0.084487 0.085881 0.087299 0.088739 0.090204 31.11 32.15 Federal National Mortgage Association 3136F3LA2 04/04/03 10/03/33 20.285 0.000 31.30 0.034031 0.034933 0.035858 0.036809 0.037784 12.57 13.25 3136F3QM1 04/28/03 04/22/08 85.266 0.000 76.20 0.082678 0.084011 0.085365 0.086741 0.088140 30.19 31.17 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Federal National Mortgage Association 3136F3ZC3 06/09/03 12/15/33 23.674 0.000 0.036155 0.036471 0.037347 0.038245 0.039164 13.00 13.64 Federal National Mortgage Association 3136F4R55 01/07/04 12/15/34 18.268 0.000 21.05 0.031448 0.032324 0.033224 0.034150 0.035101 11.51 12.16 3136F4WV2 12/15/03 12/15/09* 99.125 3.000 0.010049 1.65* Federal National Mortgage Association 3136F5NZ0 04/01/04 04/01/07 93.380 0.000 38.08 0.061635 0.062343 0.063059 22.44 5.68 3136F5XH9 05/04/04 05/04/07 90.900 0.000 49.25 0.084901 0.086261 0.087644 30.97 10.78 Federal National Mortgage Association 3136F66E4 05/13/05 02/15/09 98.144 3.600 2.94 0.012961 0.013229 0.013503 0.013782 0.014067 4.79 4.99 3136F6G86 02/24/05 02/15/15 63.549 0.000 25.15 0.082918 0.084824 0.086773 0.088768 0.090808 30.72 32.15 3136F6GQ6 10/05/04 12/29/06 93.900 0.000 33.37 0.076617 0.077704 27.62 3136F6GT0 10/05/04 12/28/07 90.250 0.000 36.23 0.083417 0.084752 0.086108 0.087485 30.28 30.99 Financial Federal Corp 317492AE6 04/12/04 04/15/34 100.000 VARIES 0.222117 0.228259 0.234628 0.241232 0.248079 82.02 86.68 317492AF3 04/12/04 04/15/34 100.000 VARIES 0.222117 0.228259 0.234628 0.241232 0.248079 82.02 86.68 The Finova Group Inc. 317928AA7 08/22/01 11/15/09 76.270 7.500 0.269016 0.273811 0.278903 0.284311 0.290054 98.16 101.89 Franklin & Hamilton, IL High School Dis 103 35241RAE5 03/15/06 11/01/10 76.493 0.000 0.124783 0.125734 0.129426 0.133227 0.137139 36.14 47.74 35241RAF2 03/15/06 11/01/11 71.698 0.000 0.119455 0.120384 0.123995 0.127714 0.131544 34.60 45.76 Fremont General Financing I 356905208 03/06/96 03/31/26 100.000 9.000 0.247253 0.245902 0.247253 0.245902 0.245902 90.00 89.87 Community College District No. 534, IL 360395DF1 06/13/05 12/01/07 103.900 VARIES 0.125799 0.128487 0.120637 0.119683 45.62 39.64 Gabelli Asset Management 36239YAA0 02/06/02 02/17/07 100.000 VARIES 0.193600 0.192604 0.191574 69.25 8.81 GATX Financial Corp. 36804PAC0 10/25/04 06/15/11 95.703 6.273 6.29 0.015573 0.016125 0.016697 0.017290 0.017903 5.72 6.14 36804PAD8 10/25/04 06/15/11 95.703 6.273 6.29 0.015573 0.016125 0.016697 0.017290 0.017903 5.72 6.14 36804PAE6 10/25/04 06/15/11 95.703 6.273 6.29 0.015573 0.016125 0.016697 0.017290 0.017903 5.72 6.14 General Electric Capital Corporation 36962FTF3 04/14/94 04/01/08 99.800 VARIES 0.205131 0.204387 0.203616 0.202816 0.201988 73.58 73.01 General Mills, Inc. 370334AT1 10/28/02 10/28/22 67.165 VARIES 0.153145 0.158298 0.163625 0.169131 0.174822 56.72 60.60 370334AU8 10/28/02 10/28/22 67.165 VARIES 0.153145 0.158298 0.163625 0.169131 0.174822 56.72 60.60 General Motors Acceptance Corporation 37042FCD8 12/12/96 12/15/06 51.935 0.000 420.05 0.173135 0.178896 60.60 37042FCK2 12/19/96 12/15/06 51.453 0.000 423.92 0.175801 0.181746 61.55 37042FDA3 01/16/97 01/15/07 50.115 0.000 429.61 0.176079 0.182269 0.188677 66.59 2.64 37042FDC9 01/16/97 01/15/12 34.258 0.000 307.08 0.126974 0.131591 0.136375 0.141334 0.146473 48.10 51.66 37042FMH8 09/30/97 09/15/07 52.157 0.000 373.06 0.161939 0.167318 0.172877 0.178620 60.43 44.94 General Motors Corp. 370442AT2 03/20/96 03/15/36 19.874 VARIES 0.094539 0.098358 0.102331 0.106464 0.110765 35.55 38.48 Globe Holdings, Inc. 379432AA5 08/06/98 08/01/09 49.672 VARIES 0.393519 0.393850 0.394205 0.394585 0.394992 141.83 142.10 379432AB3 08/06/98 08/01/09 49.672 VARIES 0.393519 0.393850 0.394205 0.394585 0.394992 141.83 142.10 379432AC1 08/06/98 08/01/09 49.672 VARIES 0.393519 0.393850 0.394205 0.394585 0.394992 141.83 142.10 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Globe Holdings, Inc. 379432AD9 08/06/98 08/01/09 49.672 VARIES 0.393519 0.393850 0.394205 0.394585 0.394992 141.83 142.10 379432AE7 08/06/98 08/01/09 49.672 VARIES 0.393519 0.393850 0.394205 0.394585 0.394992 141.83 142.10 379432AF4 08/06/98 08/01/09 49.672 VARIES 0.393519 0.393850 0.394205 0.394585 0.394992 141.83 142.10 Globix Corporation 37957FAD3 04/23/02 05/01/08* 100.000 VARIES 0.416648 0.462289 0.462289 140.14* 37957FAE1 04/23/02 05/01/08* 100.000 VARIES 0.416648 0.462289 0.462289 140.14* Goldman Sachs Group,Inc. 38141G310 04/21/03 04/18/08 100.000 0.000 0.114270 0.116413 0.118595 0.120819 0.123084 41.84 43.42 38141G534 01/28/02 07/25/06 100.000 0.000 0.188646 0.193928 39.43 38141GAJ3 01/13/00 01/13/07 100.000 0.500 0.315768 0.327360 0.339398 119.73 4.07 38141GAM6 03/22/00 03/22/07 99.000 0.250 0.326807 0.339382 0.352452 122.45 28.55 38141GAP9 05/25/00 05/25/07 99.000 1.000 0.348093 0.361567 0.375607 128.73 54.09 38141GAS3 07/25/01 10/26/07 90.813 VARIES 0.194389 0.199894 0.205568 0.211414 71.70 61.69 38141GAX2 01/12/01 01/12/08 100.000 0.250 0.247963 0.256038 0.264382 0.273006 0.281919 93.49 99.69 38141GAY0 01/16/01 01/16/08 100.000 0.250 0.259069 0.267805 0.276844 0.286196 0.295872 97.77 104.49 38141GBB9 02/23/01 02/23/08 100.000 1.000 0.241005 0.248153 0.255541 0.263177 0.271069 89.91 95.36 38141GBC7 05/17/01 05/17/08 100.000 0.000 0.243162 0.251126 0.259350 0.267844 0.276615 89.68 95.65 38141GBD5 05/24/01 05/24/08 100.000 1.000 0.238444 0.245449 0.252686 0.260164 0.267891 87.63 92.88 38141GBF0 07/12/01 07/12/08 100.000 3.500 0.208873 0.212558 0.216364 0.220295 0.224357 77.12 79.95 38141GBG8 08/29/01 10/29/06 100.000 0.000 0.196811 0.202344 59.65 38141GBH6 09/04/01 09/04/08 100.000 3.500 0.198286 0.201487 0.204789 0.208197 0.211712 72.72 75.15 38141GBJ2 10/05/01 10/05/08 100.000 3.000 0.180903 0.183730 0.186639 0.189633 0.192713 66.13 68.25 38141GBK9 10/05/01 10/05/08 100.000 2.000 0.188035 0.191873 0.195823 0.199887 0.204069 69.05 71.94 38141GBL7 10/16/01 09/04/08 100.000 VARIES 0.185717 0.189472 0.193335 0.197310 0.201400 68.43 71.26 38141GBN3 10/30/01 10/05/08 101.920 2.000 0.184868 0.188510 0.192255 0.196106 0.200065 67.84 70.58 38141GBP8 11/09/01 11/09/08 100.000 1.250 0.193588 0.198195 0.202936 0.207814 0.212834 71.01 74.45 38141GBQ6 11/09/01 11/09/08 100.000 0.000 0.202511 0.208384 0.214427 0.220645 0.227044 74.58 78.97 38141GBV5 01/15/02 01/15/09 100.000 3.500 0.180780 0.183266 0.185825 0.188461 0.191176 66.37 68.26 38141GBW3 02/01/02 02/01/12 100.000 0.000 0.234394 0.242246 0.250361 0.258748 0.267416 88.19 94.20 38141GBX1 01/22/02 09/04/08 102.800 2.000 0.199955 0.204305 0.208787 0.213403 0.218158 73.80 77.09 38141GBY9 02/08/02 02/08/09 100.000 1.000 0.200595 0.205823 0.211209 0.216757 0.222474 74.67 78.64 38141GBZ6 02/12/02 02/12/09 100.000 2.000 0.201987 0.206563 0.211282 0.216148 0.221167 74.83 78.31 38141GCA0 03/08/02 03/08/09 100.000 2.000 0.208924 0.213851 0.218937 0.224185 0.229603 77.23 80.97 38141GCB8 04/08/02 04/08/12 100.000 2.000 0.217956 0.223356 0.228936 0.234700 0.240657 80.35 84.43 38141GCC6 04/10/02 04/10/12 100.000 2.500 0.217177 0.222141 0.227272 0.232575 0.238056 79.90 83.65 38141GCD4 04/29/02 04/29/12 100.000 3.500 0.213452 0.217409 0.221502 0.225733 0.230109 78.05 81.04 38141GCE2 07/03/02 07/03/12 100.000 3.000 0.195206 0.198753 0.202411 0.206186 0.210080 72.20 74.91 38141GCH5 08/27/02 08/27/09 100.000 0.000 0.167561 0.171897 0.176345 0.180908 0.185589 62.19 65.45 38141GCJ1 09/16/02 09/16/12 100.000 2.500 0.171073 0.173919 0.176844 0.179851 0.182943 62.70 64.85 38141GCK8 10/28/02 10/28/12 100.000 3.000 0.173172 0.175746 0.178394 0.181118 0.183919 63.13 65.06 38141GCL6 10/30/02 10/30/07 100.000 1.000 0.128471 0.130586 0.132745 0.134949 46.89 40.09 38141GCT9 02/11/03 02/11/10 100.000 0.500 0.146645 0.149798 0.153026 0.156331 0.159714 54.25 56.62 38141GCV4 02/28/03 02/28/13 100.000 0.000 0.162256 0.163737 0.170753 0.172311 0.178708 60.54 63.59 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38141GCW2 02/27/03 02/27/13 100.000 0.500 0.160564 0.164341 0.168216 0.172189 0.176266 59.43 62.27 38141GCX0 03/05/03 03/05/13 100.000 0.000 0.158905 0.162917 0.167031 0.171249 0.175573 58.87 61.88 38141GCZ5 04/21/03 04/18/13 100.000 0.000 0.162379 0.166561 0.170850 0.175249 0.179762 59.83 62.95 38141GDC5 04/21/03 04/21/13 100.000 2.250 0.153975 0.156331 0.158747 0.161225 0.163767 56.19 57.95 38141GDD3 05/09/03 05/09/10 100.000 2.500 0.120234 0.121288 0.122364 0.123462 0.124583 43.58 44.36 38141GDF8 05/30/03 05/30/13 100.000 0.000 0.144203 0.147542 0.150957 0.154452 0.158027 52.72 55.19 38141GDG6 06/11/03 06/11/13 100.000 3.000 0.121904 0.122724 0.123561 0.124416 0.125289 44.07 44.67 38141GDH4 06/20/03 06/20/13 100.000 0.250 0.133770 0.136528 0.139347 0.142226 0.145169 48.71 50.75 38141GDJ0 07/08/03 07/08/10 100.000 0.000 0.125148 0.127745 0.130395 0.133101 0.135863 46.43 48.38 38141GDL5 08/07/03 08/07/11 100.000 0.000 0.155329 0.159259 0.163288 0.167419 0.171655 57.77 60.73 38141GDM3 08/04/03 08/04/10 100.000 0.000 0.156004 0.159966 0.164029 0.168196 0.172468 58.05 61.04 38141GDN1 08/25/03 08/25/10 100.000 1.000 0.146137 0.149019 0.151971 0.154996 0.158093 53.86 56.03 38141GDP6 08/28/03 08/28/10 100.000 1.500 0.147346 0.149961 0.152642 0.155388 0.158203 54.17 56.13 38141GDR2 01/21/04 04/06/10 100.000 0.000 0.117057 0.119364 0.121717 0.124116 0.126562 42.95 44.66 38141GDS0 04/13/04 06/13/11 100.000 0.000 0.140267 0.143545 0.146901 0.150334 0.153848 51.21 53.63 38141GDT8 04/16/04 04/16/09 100.000 0.250 0.119822 0.122122 0.124469 0.126864 0.129307 43.90 45.60 38141GDW1 11/23/04 11/23/11 100.000 2.000 0.131138 0.132877 0.134655 0.136474 0.138335 47.66 48.94 38141GDY7 01/11/05 01/11/12 100.000 1.000 0.133839 0.136348 0.138916 0.141544 0.144234 49.50 51.39 38141GEB6 02/15/05 02/15/12 100.000 2.000 0.128000 0.129649 0.131334 0.133058 0.134821 46.83 48.06 38141GEC4 06/29/05 06/29/12 100.000 1.000 0.131524 0.133936 0.136404 0.138930 0.141514 47.79 49.57 38141GED2 08/30/05 08/30/08 100.000 0.250 0.118269 0.120008 0.123116 0.124932 0.127474 44.09 45.81 38141GEH3 04/13/06 04/13/10 100.000 0.000 0.153889 0.158151 0.162532 0.167034 40.04 58.42 38141GEN0 06/28/06 06/28/11 100.000 0.125 0.163889 0.168621 0.173493 0.178509 30.01 61.61 Goldman Sachs Group,Inc. 38143U457 04/16/04 10/16/11 100.000 0.000 0.141124 0.144466 0.147887 0.151389 0.154974 51.91 54.40 38143U648 02/05/04 02/05/09 100.000 0.000 0.111687 0.113809 0.115972 0.118175 0.120420 41.21 42.80 38143U739 12/24/03 12/24/07 100.000 0.000 0.103255 0.105046 0.106869 0.108723 37.52 38.06 38143U804 08/15/03 08/15/06 100.000 0.000 0.090010 0.091382 20.41 38143U812 11/28/03 11/29/07 100.000 0.000 0.107406 0.109339 0.111307 0.113311 39.14 36.87 38143UAC5 02/18/04 02/18/14* 100.000 3.000 0.143160 0.144656 8.03* 38143UAD3 03/09/04 03/09/09 100.000 2.000 0.094972 0.095632 0.096303 0.096986 0.097680 34.46 34.95 38143UAF8 04/08/04 04/08/09 100.000 1.250 0.113336 0.114877 0.116448 0.118050 0.119683 41.34 42.48 38143UAG6 04/08/04 04/08/09 100.000 0.250 0.115001 0.117119 0.119279 0.121480 0.123725 42.14 43.71 38143UAH4 04/12/04 04/12/09 100.000 0.750 0.112629 0.114405 0.116216 0.118062 0.119943 41.15 42.46 38143UAJ0 04/12/04 04/12/09 100.000 0.250 0.113451 0.115512 0.117613 0.119754 0.121937 41.54 43.07 38143UAK7 09/21/04 09/21/09 100.000 VARIES 0.112550 0.113605 0.114159 0.114363 0.114288 40.87 41.15 38143UAL5 05/20/04 05/20/14 100.000 VARIES 0.178855 0.182224 0.185693 0.188636 0.191667 65.27 67.62 38143UAM3 06/11/04 06/11/09 100.000 0.000 0.144763 0.148273 0.151869 0.155552 0.159324 52.89 55.48 38143UAN1 07/22/04 07/22/09 100.000 1.500 0.128792 0.130753 0.132757 0.134807 0.136902 47.35 48.82 38143UAP6 07/23/04 07/23/09* 100.000 1.500 0.128792 0.130752 0.041666 26.74* 38143UAQ4 09/10/04 09/10/11 100.000 VARIES 0.128871 0.130190 0.131585 0.132986 0.134381 46.93 47.93 38143UAR2 09/01/04 09/01/09 100.000 1.000 0.115966 0.117752 0.119574 0.121433 0.123329 42.50 43.83 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38143UAS0 09/10/04 09/10/12 100.000 0.500 0.138225 0.141191 0.144227 0.147335 0.150518 50.96 53.18 38143UAT8 09/20/04 09/20/11 100.000 VARIES 0.128381 0.129877 0.130823 0.131365 0.131578 46.73 47.27 38143UAU5 09/28/04 09/28/09 100.000 VARIES 0.112753 0.113838 0.114454 0.114761 0.114817 40.94 41.29 38143UAX9 10/08/04 10/08/11 100.000 1.500 0.130287 0.132304 0.134366 0.136474 0.138631 47.60 49.11 38143UAY7 12/15/04 12/15/09* 100.000 1.000 0.115668 5.78* 38143UAZ4 12/15/04 12/15/09 120.000 0.000 0.140162 0.142993 0.145882 0.148829 0.151835 51.06 53.14 38143UBA8 02/02/05 02/02/12 100.000 2.000 0.130014 0.131734 0.133494 0.135295 0.137137 47.63 48.92 38143UBB6 03/16/05 03/16/12 100.000 1.000 0.142828 0.145727 0.148699 0.151747 0.154871 52.56 54.73 38143UBC4 04/13/05 04/13/12 100.000 0.500 0.142014 0.145217 0.148500 0.151865 0.155315 52.21 54.60 38143UBF7 08/18/05 08/18/11 100.000 0.000 0.134444 0.137698 0.141030 0.144443 0.147938 49.86 52.30 38143UBH3 10/03/05 10/03/12 100.000 1.000 0.141667 0.144571 0.147549 0.150603 0.153735 52.04 54.21 38143UBJ9 10/17/05 10/17/10 100.000 0.000 0.139528 0.143032 0.146624 0.150307 0.154081 51.39 54.00 Goldman Sachs Group,Inc. 38143Y145 04/07/06 01/07/09 100.000 0.000 0.149374 0.151382 0.155453 0.159632 39.78 56.67 38143YAA1 03/07/05 03/07/11 100.000 0.000 0.132170 0.135243 0.138387 0.141605 0.144897 48.84 51.14 Goldman Sachs Group,Inc. 38144X203 09/28/05 06/18/08 100.000 0.000 0.128418 0.131357 0.134362 0.137437 0.140582 46.84 49.00 Great Lakes Carbon Corp. 390559AC6 05/22/98 05/15/09 53.092 VARIES 0.364568 0.364567 0.364566 0.364565 0.364564 131.24 131.24 Great Plains Energy,Inc. 391164605 06/14/04 02/16/09 100.000 VARIES 0.140536 0.141100 0.141677 50.85 6.38 391164AA8 06/14/04 02/16/09 100.000 VARIES 0.140536 0.141100 0.141677 0.142269 0.141546 50.85 51.09 Greater Peoria Airport Authority, IL 392298KK0 11/10/05 12/01/06 103.092 0.000 0.126535 0.129324 42.26 Grey Global Group, Inc. 39787MAA6 10/28/03 10/15/33 100.000 VARIES 0.285312 0.292195 0.299401 0.306945 0.314845 105.02 110.32 39787MAB4 10/28/03 10/15/33 100.000 VARIES 0.285312 0.292195 0.299401 0.306945 0.314845 105.02 110.32 Griffon Corporation 398433AA0 07/18/03 07/18/23 100.000 VARIES 0.258767 0.265042 0.271585 0.278405 0.285515 96.37 101.27 398433AB8 07/18/03 07/18/23 100.000 VARIES 0.258767 0.265042 0.271585 0.278405 0.285515 96.37 101.27 Guitar Center, Inc. 402040AC3 06/13/03 07/15/13* 100.000 4.000 0.259797 0.266115 51.54* H & E Equipment Services 404085AD4 06/17/02 06/15/13* 80.016 12.500 31.92 0.033808 0.036597 7.30* 404085AE2 06/17/02 06/15/13* 80.016 12.500 31.92 0.033808 0.036597 7.30* 404085AF9 06/17/02 06/15/13* 80.016 12.500 31.92 0.033808 0.036597 7.30* 404085AG7 06/17/02 06/15/13* 80.016 12.500 31.92 0.033808 0.036597 7.30* 404085AH5 06/17/02 06/15/13* 80.016 12.500 31.92 0.033808 0.036597 7.30* HM Publishing Corp. 40425LAA4 10/03/03 10/15/13 56.960 VARIES 0.228404 0.241536 0.255424 0.270109 0.285639 86.64 96.89 40425LAB2 10/03/03 10/15/13 56.960 VARIES 0.228404 0.241536 0.255424 0.270109 0.285639 86.64 96.89 40425LAC0 10/03/03 10/15/13 56.960 VARIES 0.228404 0.241536 0.255424 0.270109 0.285639 86.64 96.89 HSBC USA, Inc. 40428HCU4 07/27/06 01/27/10 100.000 0.000 0.150740 0.154830 0.159031 23.21 56.28 John Hancock Life Insurance Company 41013MBT6 10/29/02 04/15/15 50.000 0.000 96.56 0.092367 0.094971 0.097650 0.100404 0.103235 34.12 36.07 Harrisburg, PA 414738NM2 12/28/95 04/01/06 51.318 0.000 470.83 0.177707 15.99 414738NN0 12/28/95 04/01/07 47.774 0.000 443.65 0.167885 0.173483 0.179268 62.47 16.13 414738NP5 12/28/95 04/01/08 44.423 0.000 417.53 0.158411 0.163740 0.169249 0.174943 0.180829 58.96 63.00 414738NQ3 12/28/95 04/01/09 41.259 0.000 392.47 0.149286 0.154353 0.159593 0.165010 0.170611 55.58 59.42 414738NR1 12/28/95 04/01/10 38.328 0.000 368.23 0.140370 0.145170 0.150135 0.155269 0.160578 52.28 55.91 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Harrisburg, PA 414738NS9 12/28/95 04/01/11 35.259 0.000 346.14 0.132573 0.137179 0.141945 0.146877 0.151981 49.40 52.89 414738NT7 12/28/95 04/01/12 32.621 0.000 324.02 0.124420 0.128781 0.133294 0.137965 0.142800 46.37 49.68 414738NU4 12/28/95 04/01/13 30.247 0.000 302.78 0.116462 0.120567 0.124816 0.129215 0.133770 43.42 46.53 414738NV2 12/28/95 04/01/14 27.925 0.000 282.79 0.109054 0.112930 0.116944 0.121101 0.125406 40.67 43.61 414738NW0 12/28/95 04/01/15 25.992 0.000 263.73 0.101745 0.105367 0.109118 0.113002 0.117025 37.94 40.69 414738NX8 12/28/95 04/01/16 24.047 0.000 245.87 0.095018 0.098419 0.101942 0.105591 0.109371 35.44 38.02 414738NY6 12/28/95 04/01/17 22.322 0.000 229.10 0.088614 0.091795 0.095090 0.098504 0.102039 33.06 35.47 414738NZ3 12/28/95 04/01/18 20.535 0.000 213.19 0.082669 0.085661 0.088762 0.091975 0.095304 30.85 33.12 414738PA6 12/28/95 04/01/19 19.125 0.000 198.55 0.076994 0.079781 0.082669 0.085661 0.088762 28.73 30.85 Hartford Financial Services Group, Inc. 416515203 09/13/02 11/16/08* 100.000 VARIES 0.133203 0.133657 30.01* 416515500 05/23/03 08/16/08* 100.000 VARIES 0.101918 0.102470 13.81* 416515AH7 05/23/03 08/16/08 100.000 VARIES 0.101918 0.102470 0.102407 0.101716 0.101014 36.86 36.55 Hasbro, Inc. 418056AM9 11/30/01 12/01/21 100.000 VARIES 0.287057 0.295648 0.304593 0.313906 0.323603 105.41 111.90 418056AN7 11/30/01 12/01/21 100.000 VARIES 0.287057 0.295648 0.304593 0.313906 0.323603 105.41 111.90 Headwaters, Inc. 42210PAA0 06/01/04 06/01/16 100.000 VARIES 0.239997 0.246403 0.253064 0.259993 0.267198 87.94 92.77 42210PAB8 06/01/04 06/01/16 100.000 VARIES 0.239997 0.246403 0.253064 0.259993 0.267198 87.94 92.77 City of Hoboken 434110QH8 08/28/03 04/01/27 19.107 0.000 34.17 0.043888 0.045454 0.047077 0.048758 0.050498 16.37 17.56 434110QJ4 08/28/03 04/01/28 17.813 0.000 31.85 0.040915 0.042375 0.043888 0.045455 0.047077 15.26 16.37 434110QK1 08/28/03 04/01/29 16.606 0.000 29.70 0.038143 0.039504 0.040914 0.042375 0.043888 14.23 15.26 434110QL9 08/28/03 04/01/30 15.481 0.000 27.68 0.035558 0.036828 0.038143 0.039504 0.040914 13.26 14.23 434110QM7 08/28/03 04/01/31 14.432 0.000 25.81 0.033149 0.034333 0.035558 0.036828 0.038142 12.36 13.26 434110QN5 08/28/03 04/01/32 13.454 0.000 24.06 0.030903 0.032006 0.033149 0.034332 0.035558 11.53 12.36 434110QP0 08/28/03 04/01/33 12.543 0.000 22.43 0.028810 0.029839 0.030904 0.032007 0.033150 10.75 11.53 Hollywood Casino Shreveport 43613PAA1 08/10/99 08/01/06 100.000 VARIES 0.386415 0.381287 80.22 43613PAB9 08/10/99 08/01/06 100.000 VARIES 0.386415 0.381287 80.22 43613PAE3 06/15/01 08/01/06 103.000 VARIES 0.377000 0.375500 78.90 Horace Mann Educators Corporation 440327AF1 05/14/02 05/14/32 47.500 1.426 0.104603 0.106841 0.109157 0.111552 0.115394 38.27 40.02 440327AG9 05/14/02 05/14/32 47.500 1.426 0.104603 0.106841 0.109157 0.111552 0.115394 38.27 40.02 Horizon PCS, Inc. 44043UAB6 09/26/00 10/01/10 43.889 VARIES 0.412026 0.413852 0.415822 0.417946 0.420239 149.00 150.48 44043UAD2 09/26/00 10/01/10 43.889 VARIES 0.412026 0.413852 0.415822 0.417946 0.420239 149.00 150.48 44043UAE0 09/26/00 10/01/10 43.889 VARIES 0.412026 0.413852 0.415822 0.417946 0.420239 149.00 150.48 44043UAF7 09/26/00 10/01/10 43.889 VARIES 0.412026 0.413852 0.415822 0.417946 0.420239 149.00 150.48 Host Marriott Corp. 441079209 12/02/96 12/02/26 100.000 6.750 0.187500 0.187500 0.187500 0.187500 0.187500 67.50 67.50 441079308 12/02/96 12/02/26 100.000 6.750 0.187500 0.187500 0.187500 0.187500 0.187500 67.50 67.50 441079407 05/19/97 12/02/26 100.000 6.750 0.187500 0.187500 0.187500 0.187500 0.187500 67.50 67.50 Houghton Mifflin, LLC 441577AA1 05/15/06 05/15/11 99.000 VARIES 0.344169 0.372254 0.389608 0.419085 80.82 141.27 441577AB9 05/15/06 05/15/11 99.000 VARIES 0.344169 0.372254 0.389608 0.419085 80.82 141.27 Household Finance Corp. 441815AQ0 10/30/02 02/15/08 94.200 VARIES 0.302399 0.304121 0.304470 0.304838 0.305226 109.46 109.78 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Hynix Semiconductor, Inc 449130AD5 07/05/05 07/01/12 97.000 9.875 1.47 0.008808 0.009270 0.009756 0.010268 3.25 3.60 449130AE3 07/05/05 07/01/12 97.000 9.875 1.47 0.008808 0.009270 0.009756 0.010268 3.25 3.60 ICON Fitness Corporation 451039AB7 11/20/96 11/15/06 50.931 VARIES 0.388868 0.388867 122.10 Illinois Power Company 452092CK3 12/20/02 12/15/10 97.480 11.500 6.96 0.007658 0.008073 0.008605 0.009071 0.009616 2.89 3.24 452092CL1 12/20/02 12/15/10 97.480 11.500 6.95 0.007744 0.008208 0.008701 0.009223 0.009776 2.89 3.24 452092CM9 12/20/02 12/15/10 97.480 11.500 6.95 0.007744 0.008208 0.008701 0.009223 0.009776 2.89 3.24 IBC Capital Finance 453838500 12/18/96 12/31/26 100.000 9.250 0.256944 0.256944 0.256944 0.256944 0.256944 92.50 92.50 Insilco Holdings Co. 457661AA4 08/17/98 08/15/08 49.411 VARIES 0.395425 0.395895 0.396398 0.396937 0.397514 142.57 142.95 457661AB2 08/17/98 08/15/08 49.411 VARIES 0.395425 0.395895 0.396398 0.396937 0.397514 142.57 142.95 457661AC0 08/17/98 08/15/08 49.411 VARIES 0.395425 0.395895 0.396398 0.396937 0.397514 142.57 142.95 Insignia Financing I 45766X304 11/01/96 09/30/16 100.000 6.500 0.178571 0.177596 0.178571 0.177596 0.177596 65.00 64.91 Intermedia Communications, Inc. 458801BA4 02/24/99 03/01/09 55.057 VARIES 0.340266 0.340266 0.340265 0.340264 0.340263 122.50 122.50 International Bank for Reconstruction 459056GC5 03/06/85 02/15/06 9.429 0.000 892.31 0.297836 13.40 459056GD3 03/06/85 08/15/06 8.912 0.000 843.41 0.281517 0.302776 67.47 459056GE1 03/06/85 02/15/07 8.423 0.000 797.19 0.266096 0.286191 0.297848 105.18 13.40 459056GF8 03/06/85 08/15/07 7.962 0.000 753.50 0.251507 0.270499 0.281517 0.302776 99.41 67.47 459056GG6 03/06/85 02/15/08 7.690 0.000 712.13 0.236238 0.253958 0.264177 0.283993 0.295421 93.32 104.35 459056GH4 03/06/85 08/15/08 7.272 0.000 673.42 0.223397 0.240153 0.249817 0.268556 0.279363 88.25 98.68 459056GJ0 03/06/85 02/15/09 6.955 0.000 637.08 0.210683 0.226433 0.235489 0.253093 0.263215 83.20 92.99 459056GK7 03/06/85 08/15/09 6.732 0.000 603.34 0.198289 0.213012 0.221426 0.237867 0.247264 78.26 87.39 459056GL5 03/06/85 02/15/10 6.446 0.000 571.43 0.187216 0.201069 0.208963 0.224425 0.233236 73.86 82.44 459056GM3 03/06/85 08/15/10 6.175 0.000 541.45 0.176842 0.189882 0.197291 0.211839 0.220104 69.75 77.82 459056GN1 03/06/85 02/15/11 5.992 0.000 513.94 0.166803 0.179018 0.185914 0.199529 0.207215 65.75 73.28 459056GP6 03/06/85 08/15/11 5.676 0.000 486.82 0.157996 0.169566 0.176098 0.188994 0.196274 62.28 69.41 459056GQ4 03/06/85 02/15/12 5.445 0.000 461.92 0.149445 0.160351 0.166488 0.178639 0.185476 58.89 65.61 459056GR2 03/06/85 08/15/12 5.159 0.000 437.64 0.141588 0.151921 0.157735 0.169247 0.175725 55.79 62.16 459056GS0 03/06/85 02/15/13 5.019 0.000 416.46 0.133884 0.143587 0.149012 0.159811 0.165849 52.73 58.68 459056GT8 03/06/85 08/15/13 4.757 0.000 394.74 0.126907 0.136104 0.141247 0.151483 0.157207 49.98 55.63 459056GU5 03/06/85 02/15/14 4.634 0.000 376.15 0.120164 0.128812 0.133616 0.143231 0.148573 47.29 52.59 459056GV3 03/06/85 08/15/14 4.395 0.000 356.72 0.113955 0.122155 0.126711 0.135829 0.140895 44.85 49.87 459056GW1 03/06/85 02/15/15 4.349 0.000 341.43 0.108030 0.115722 0.119952 0.128493 0.133190 42.48 47.17 459056HY6 01/07/86 02/15/16 5.299 0.000 319.55 0.097539 0.104113 0.107535 0.114783 0.118556 38.18 42.09 459056JD0 01/07/86 02/15/06 12.535 0.000 862.34 0.273513 12.31 459056JE8 01/07/86 02/15/07 11.305 0.000 777.73 0.246676 0.264054 0.273513 96.91 12.31 459056JF5 01/07/86 02/15/08 10.303 0.000 701.15 0.221689 0.237250 0.245691 0.262937 0.272292 87.07 96.50 459056JG3 01/07/86 02/15/09 9.297 0.000 632.65 0.200028 0.214068 0.221684 0.237245 0.245686 78.56 87.07 459056JH1 01/07/86 02/15/10 8.388 0.000 570.85 0.180491 0.193160 0.200033 0.214074 0.221691 70.89 78.56 459056JJ7 01/07/86 02/15/11 7.569 0.000 515.08 0.162856 0.174287 0.180488 0.193157 0.200030 63.96 70.89 459056JK4 01/07/86 02/15/12 6.915 0.000 465.46 0.146701 0.156961 0.162507 0.173873 0.180016 57.60 63.81 459056JL2 01/07/86 02/15/13 6.323 0.000 421.01 0.132273 0.141491 0.146455 0.156661 0.162158 51.92 57.49 459056JM0 01/07/86 02/15/14 5.865 0.000 382.08 0.119281 0.127533 0.131945 0.141073 0.145954 46.79 51.76 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ International Bank for Reconstruction 459056JN8 01/07/86 02/15/15 5.604 0.000 349.36 0.107678 0.115017 0.118883 0.126987 0.131255 42.19 46.58 International Finance Corporation 45950K209 12/08/03 12/08/10 100.000 0.000 0.118353 0.120686 0.123064 0.125488 0.127961 43.14 44.85 International Game Tech 459902AK8 01/29/03 01/29/33 59.291 0.000 0.154363 0.160344 0.166558 0.173012 0.179716 58.50 63.12 459902AL6 01/29/03 01/29/33 59.291 0.000 0.154363 0.160344 0.166558 0.173012 0.179716 58.50 63.12 459902AM4 01/29/03 01/29/33 59.291 0.000 0.154363 0.160344 0.166558 0.173012 0.179716 58.50 63.12 Ionica, PLC. 462213AK5 03/19/97 05/01/07 47.688 VARIES 0.416649 0.416648 0.416646 149.99 50.00 462213AL3 03/19/97 05/01/07 47.688 VARIES 0.416649 0.416648 0.416646 149.99 50.00 Itron Inc. 465741AJ5 08/04/06 08/01/26 100.000 VARIES 0.204969 0.209886 0.215068 30.13 76.19 Ivax Corporation 465823AH5 03/03/04 03/01/24 100.000 VARIES 0.210995 0.216921 0.223055 0.229404 0.235975 78.47 82.99 465823AJ1 03/03/04 03/01/24 100.000 VARIES 0.210995 0.216921 0.223055 0.229404 0.235975 78.47 82.99 465823AK8 12/22/04 12/15/24 98.500 VARIES 0.163374 0.166574 0.169866 0.173253 0.176737 59.49 61.87 465823AL6 03/03/04 03/01/24 100.000 VARIES 0.210995 0.216921 0.223055 0.229404 0.235975 78.47 82.99 465823AM4 03/03/04 03/01/24 100.000 VARIES 0.210995 0.216921 0.223055 0.229404 0.235975 78.47 82.99 465823AN2 12/22/04 12/15/24 98.500 VARIES 0.163374 0.166574 0.169866 0.173253 0.176737 59.49 61.87 465823AP7 05/09/05 05/15/25 100.000 VARIES 0.199483 0.204993 0.210696 0.216598 0.222706 73.32 77.47 465823AQ5 05/09/05 05/15/25 100.000 VARIES 0.199483 0.204993 0.210696 0.216598 0.222706 73.32 77.47 JDS Uniphase Corporation 46612JAA9 10/31/03 11/15/10 98.000 0.000 6.12 0.007862 0.007873 0.007884 0.007896 0.007907 2.83 2.84 46612JAB7 10/31/03 11/15/10 98.000 0.000 6.12 0.007862 0.007873 0.007884 0.007896 0.007907 2.83 2.84 JL French Automotive Castings, Inc. 46620QAC9 12/27/02 12/31/07 97.410 12.000 0.672945 0.698703 0.725573 0.753613 246.95 265.53 JP Morgan Chase & Co. 46623EBY4 11/01/04 11/01/11 100.000 VARIES 0.122111 0.122385 0.122382 0.122238 0.122201 44.03 44.02 JP Morgan Chase & Co. 46625HAQ3 11/26/02 11/26/07 100.000 0.000 0.112666 0.114716 0.116804 0.118930 41.07 38.34 46625HAU4 03/12/03 03/12/08 100.000 0.000 0.096594 0.098145 0.099720 0.101321 0.102948 35.39 36.54 46625HAY6 09/18/03 09/22/08 100.000 0.000 0.113914 0.116079 0.118286 0.120534 0.122825 41.83 43.44 46625HAZ3 10/30/03 10/30/08 100.000 0.000 0.113219 0.115360 0.117541 0.119764 0.122028 41.41 42.99 46625HBB5 12/17/03 01/21/09 100.000 0.000 0.112342 0.114481 0.116661 0.118882 0.121146 41.52 43.12 46625HBG4 03/31/04 03/31/09 100.000 0.000 0.098092 0.099740 0.101415 0.103118 0.104850 35.91 37.13 46625HBT6 06/25/04 07/07/09 100.000 0.000 0.138519 0.141809 0.145178 0.148626 0.152156 51.62 54.10 46625HBU3 09/21/04 09/21/09 100.000 0.000 0.115728 0.118046 0.120409 0.122820 0.125279 42.55 44.27 46625HBW9 09/30/04 09/30/10 100.000 0.000 0.119263 0.121721 0.124230 0.126790 0.129403 43.83 45.65 46625HBZ2 10/29/04 10/29/10 100.000 0.000 0.119552 0.122021 0.124542 0.127114 0.129740 43.79 45.62 46625HCB4 01/31/05 01/29/10 100.000 VARIES 0.118367 0.117323 0.117262 0.117199 0.117437 42.26 42.23 46625HCF5 03/23/05 03/22/12 100.000 0.000 0.141233 0.144737 0.148328 0.152008 0.155779 52.18 54.80 46625HCG3 03/31/05 04/02/08 100.000 0.000 0.131176 0.134203 0.137300 0.140467 0.143709 48.31 50.57 46625HCH1 04/29/05 05/01/08 100.000 0.000 0.124461 0.127189 0.129977 0.132825 0.135736 45.63 47.65 46625HCJ7 04/27/05 04/27/10 100.000 0.000 0.130207 0.133191 0.136242 0.139364 0.142557 47.80 50.01 46625HCL2 05/31/05 05/31/12 100.000 0.000 0.130744 0.133752 0.136829 0.139976 0.143197 47.80 50.02 46625HCN8 05/25/05 05/24/07 100.000 0.000 0.120555 0.121123 0.125761 44.30 17.98 46625HCQ1 06/22/05 06/22/11 100.000 0.000 0.132184 0.135258 0.138403 0.141621 0.144914 48.20 50.46 46625HCZ1 09/26/05 09/24/10 100.000 0.000 0.126742 0.129602 0.132558 0.135583 0.138676 46.71 48.86 46625HDP2 11/29/05 11/29/11 100.000 0.000 0.142269 0.145912 0.149649 0.153481 0.157412 52.11 54.81 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 46625HFT2 04/28/06 04/28/11 100.000 0.000 0.155925 0.160301 0.164800 0.169425 38.17 59.09 46625HFU9 04/26/06 04/26/13 100.000 0.000 0.155626 0.159986 0.164467 0.169074 38.41 58.99 46625HGC8 05/31/06 05/28/10 100.000 0.000 0.153691 0.157896 0.162264 0.166753 32.57 57.92 46625HGD6 05/31/06 11/28/08 100.000 0.000 0.151215 0.155285 0.159512 0.163854 32.04 56.95 JP Morgan Chase & Co. 4662A0NW7 08/08/05 09/03/10 100.000 0.000 0.132139 0.135272 0.138479 0.141762 0.145122 48.88 51.23 4662A0RR4 12/02/05 12/12/07 100.000 0.000 0.132928 0.136104 0.139356 0.142686 48.55 48.12 4662A0VA6 04/04/06 07/11/07 100.000 0.000 0.143300 0.145292 0.149040 38.60 28.28 4662A0VF5 04/05/06 08/29/07 100.000 0.000 0.144214 0.148031 0.151030 38.83 35.62 Jackson, TN 468826GP1 07/09/98 07/01/12 40.347 0.000 252.22 0.120209 0.124175 0.128273 0.132506 43.99 46.94 Jacobs Entertainment 469815AA2 02/08/02 02/01/09* 96.040 11.875 17.90 0.015742 0.016745 3.25* 469815AB0 02/08/02 02/01/09* 96.040 11.875 17.90 0.015742 0.016745 3.25* Jersey & Greene Counties 476538CQ4 06/26/03 02/01/06 100.000 0.000 0.079324 2.38 476538CR2 06/26/03 02/01/07 100.000 0.000 0.096574 0.098143 0.099738 35.52 2.99 476538CS0 06/26/03 02/01/08 100.000 0.000 0.114208 0.116378 0.118588 0.120841 0.123137 42.16 43.78 Josephine County, OR 480890AA0 10/30/01 06/01/17 36.621 0.000 112.96 0.086705 0.089544 0.092476 0.095505 0.098632 31.90 34.02 480890AB8 10/30/01 06/01/18 33.518 0.000 106.06 0.081659 0.084395 0.087222 0.090144 0.093163 30.06 32.10 480890AF9 10/30/01 06/01/06 80.090 0.000 179.17 0.132836 19.93 480890AG7 10/30/01 06/01/07 74.256 0.000 184.79 0.138457 0.142194 0.146033 50.74 21.90 480890AH5 10/30/01 06/01/08 69.953 0.000 177.64 0.133382 0.137049 0.140818 0.144689 0.148668 48.90 51.63 480890AJ1 10/30/01 06/01/09 65.529 0.000 171.43 0.129125 0.132773 0.136523 0.140379 0.144345 47.36 50.08 480890AK8 10/30/01 06/01/10 61.462 0.000 163.95 0.123750 0.127308 0.130968 0.134733 0.138606 45.41 48.06 480890AL6 10/30/01 06/01/11 57.805 0.000 155.68 0.117633 0.121044 0.124554 0.128166 0.131882 43.17 45.71 480890AM4 10/30/01 06/01/12 54.034 0.000 148.31 0.112301 0.115614 0.119024 0.122535 0.126150 41.23 43.69 480890AN2 10/30/01 06/01/13 50.411 0.000 140.98 0.106973 0.110182 0.113487 0.116892 0.120398 39.28 41.68 480890AP7 10/30/01 06/01/14 46.941 0.000 133.71 0.101670 0.104771 0.107966 0.111259 0.114652 37.35 39.66 480890AQ5 10/30/01 06/01/15 43.624 0.000 126.54 0.096419 0.099408 0.102489 0.105666 0.108942 35.43 37.66 480890AR3 10/30/01 06/01/16 40.464 0.000 119.49 0.091238 0.094111 0.097076 0.100133 0.103287 33.54 35.68 Jostens Holding Corp. 481086AA4 12/02/03 12/01/13 60.682 VARIES 0.210952 0.221764 0.233129 0.245077 0.257637 78.55 86.81 481086AB2 12/02/03 12/01/13 60.682 VARIES 0.210952 0.221764 0.233129 0.245077 0.257637 78.55 86.81 481086AC0 12/02/03 12/01/13 60.682 VARIES 0.210952 0.221764 0.233129 0.245077 0.257637 78.55 86.81 KFW 48245AAH4 05/05/06 05/06/08 100.000 0.000 0.144896 0.144919 0.148699 0.152577 0.156556 34.41 54.66 KI Holdings, Inc. 48247EAA9 11/18/04 11/15/14 61.808 VARIES 0.186546 0.195756 0.205422 0.215564 0.226207 69.68 76.73 48247EAB7 11/18/04 11/15/14 61.808 VARIES 0.186546 0.195756 0.205422 0.215564 0.226207 69.68 76.73 48247EAC5 11/18/04 11/15/14 61.808 VARIES 0.186546 0.195756 0.205422 0.215564 0.226207 69.68 76.73 Kaydon Corporation 486587AA6 05/23/03 05/23/23 100.000 VARIES 0.265154 0.271704 0.278532 0.285650 0.293070 97.14 102.11 486587AB4 05/23/03 05/23/23 100.000 VARIES 0.265154 0.271704 0.278532 0.285650 0.293070 97.14 102.11 Kendall, Kane and Will Counties, IL 488764NN7 04/22/03 10/01/08 105.843 VARIES 0.108981 0.108414 0.107835 0.107246 0.106646 39.03 38.61 488764NP2 04/22/03 10/01/09 105.260 VARIES 0.116572 0.116119 0.115657 0.115186 0.114705 41.80 41.47 488764NQ0 04/22/03 10/01/10 100.839 VARIES 0.121853 0.121784 0.121714 0.121643 0.121570 43.84 43.79 488764NR8 04/22/03 10/01/11 106.125 VARIES 0.133896 0.133461 0.133016 0.132561 0.132096 48.05 47.72 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Kendall, Kane and Will Counties, IL 488764NS6 04/22/03 10/01/12 100.093 VARIES 0.132922 0.132912 0.132902 0.132892 0.132881 47.85 47.84 488764NT4 04/22/03 10/01/13 100.778 VARIES 0.136917 0.136869 0.136820 0.136769 0.136717 49.27 49.24 Keyspan Corporation 49337WAE0 05/06/02 05/16/08 100.000 VARIES 0.159543 0.159028 0.158499 0.157955 0.157395 57.30 56.91 Kreditanstalt Fur Wiederaufbau 500769BR4 04/19/06 04/18/36 19.778 0.000 0.030085 0.030904 0.031751 0.032620 7.64 11.40 L-3 Communications Holdings, Inc. 502413AW7 07/29/05 08/01/35 100.000 VARIES 0.175854 0.178783 0.181803 0.184920 0.188135 64.73 66.96 L-3 Communications Holdings, Inc. 502424AE4 07/29/05 08/01/35 100.000 VARIES 0.175854 0.178783 0.181803 0.184920 0.188135 64.73 66.96 LaSalle & DeKalb Counties, Illinois 504238AX4 09/04/03 12/30/06 100.029 VARIES 0.096636 0.096626 34.69 LaSalle County, IL 504570DB5 04/01/04 12/01/06 103.959 VARIES 0.075044 0.074471 24.66 504570DC3 04/01/04 12/01/07 104.125 VARIES 0.087179 0.086685 0.086183 0.085673 31.27 28.35 LaSalle County, IL School District 141 504588EA8 05/12/06 12/01/07 102.832 0.000 0.154433 0.154873 0.159060 0.163360 35.58 53.26 504588EB6 05/12/06 12/01/08 104.303 VARIES 0.160059 0.160526 0.164960 0.169516 0.156219 36.88 59.94 504588EC4 05/12/06 12/01/09 105.939 VARIES 0.164743 0.165230 0.169855 0.174609 0.161030 37.97 61.74 504588ED2 05/12/06 12/01/10 107.147 VARIES 0.168689 0.169194 0.173988 0.178919 0.165294 38.88 63.26 LaSalle County, IL 504592AN6 06/19/03 12/01/06 104.790 VARIES 0.072599 0.072102 23.87 LaSalle County, IL 504597AR6 11/17/03 12/01/06 105.821 VARIES 0.095720 0.094825 31.43 504597AS4 11/17/03 12/01/07 105.602 VARIES 0.112299 0.111557 0.110801 0.110030 40.25 36.43 504597AT2 11/17/03 12/01/08 105.395 VARIES 0.124303 0.123685 0.123055 0.122411 0.121753 44.60 44.14 Lake County, IL School District No.187 509262CR0 04/09/03 01/01/07 87.867 0.000 87.24 0.093882 0.095524 34.09 509262CS8 04/09/03 01/01/08 83.406 0.000 92.07 0.099663 0.101593 0.103561 0.105567 36.23 37.64 509262CT6 04/09/03 01/01/09 78.814 0.000 94.65 0.102970 0.105132 0.107340 0.109593 37.46 39.05 509262CU3 04/09/03 01/01/10 74.126 0.000 95.70 0.104602 0.106955 0.109361 0.111822 38.08 39.81 509262CV1 04/09/03 01/01/21 35.244 0.000 61.38 0.068620 0.070668 0.072777 0.074949 25.07 26.59 Language Line Holdings II, Inc. 515860AA2 06/11/04 06/15/13 50.460 VARIES 0.243346 0.260532 0.278932 0.298632 0.319722 91.27 104.61 515860AB0 06/11/04 06/15/13 50.460 VARIES 0.243346 0.260532 0.278932 0.298632 0.319722 91.27 104.61 515860AC8 06/11/04 06/15/13 50.460 VARIES 0.243346 0.260532 0.278932 0.298632 0.319722 91.27 104.61 Language Line Holdings II, Inc. 515861AA0 06/11/04 06/15/12 97.432 11.125 3.35 0.006680 0.007068 0.007479 0.007914 0.008374 2.49 2.78 515861AB8 06/11/04 06/15/12 97.432 11.125 3.35 0.006680 0.007068 0.007479 0.007914 0.008374 2.49 2.78 515861AC6 06/11/04 06/15/12 97.432 11.125 3.35 0.006680 0.007068 0.007479 0.007914 0.008374 2.49 2.78 Lee & Ogle Counties, IL 523372AD2 07/02/03 04/01/06 100.261 VARIES 0.076005 6.84 523372AE0 07/02/03 04/01/07 100.510 VARIES 0.094135 0.094083 0.094029 33.87 8.46 523372AF7 07/02/03 04/01/08 100.396 VARIES 0.108012 0.107979 0.107945 0.107911 0.107876 38.87 38.85 523372AG5 07/02/03 04/01/09 100.704 VARIES 0.118002 0.117942 0.117881 0.117818 0.117754 42.46 42.41 523372AH3 07/02/03 04/01/10 101.077 VARIES 0.125348 0.125263 0.125175 0.125086 0.124994 45.09 45.03 523372AT7 06/09/05 04/01/07 88.783 0.000 33.54 0.167935 0.173537 0.179325 62.49 16.14 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Lee & Ogle Counties, IL 523372AU4 06/09/05 04/01/08 83.138 0.000 31.42 0.157321 0.162570 0.167995 0.173601 0.179393 58.54 62.51 523372AV2 06/09/05 04/01/09 77.853 0.000 29.43 0.147340 0.152257 0.157338 0.162589 0.168015 54.83 58.55 523372AW0 06/09/05 04/01/10 72.903 0.000 27.56 0.137988 0.142594 0.147353 0.152271 0.157354 51.35 54.83 523372AX8 06/09/05 04/01/11 68.268 0.000 25.81 0.129224 0.133538 0.137995 0.142601 0.147361 48.09 51.35 Lehman Brothers Holdings, Inc. 524908779 02/05/02 02/05/07 100.000 0.000 0.190737 0.196126 0.201666 71.23 6.86 524908CH1 02/24/00 02/24/07 100.000 0.250 0.347459 0.361335 0.375777 131.18 19.92 524908CS7 11/14/00 11/14/07 100.000 0.250 0.311645 0.323452 0.335717 0.348457 115.45 107.37 524908CT5 11/14/00 11/14/07 100.000 0.250 0.311645 0.323452 0.335717 0.348457 115.45 107.37 524908CU2 01/05/01 01/05/06 100.000 0.250 0.256616 1.03 524908CZ1 02/26/01 02/27/06 100.000 0.250 0.171634 9.61 524908DH0 06/01/01 06/01/08 100.000 0.250 0.250527 0.258752 0.267255 0.276045 0.285132 92.17 98.33 524908DN7 07/03/01 07/03/06 100.000 0.250 0.202217 0.207914 37.83 524908DU1 10/02/01 07/02/06 100.000 0.000 0.191283 0.196637 35.59 524908DW7 12/26/01 12/26/06 100.000 0.000 0.200378 0.206139 72.17 524908EF3 06/19/02 06/19/09 100.000 0.250 0.148628 0.151886 0.155220 0.158630 0.162119 54.17 56.58 524908EK2 08/05/02 08/05/07 100.000 0.000 0.161066 0.165092 0.169220 0.173450 59.90 36.97 524908EN6 08/05/02 08/05/08 100.000 0.000 0.170362 0.174834 0.179423 0.184133 0.188967 63.46 66.83 524908EP1 09/27/02 09/27/07 100.000 0.000 0.125127 0.127629 0.130182 0.132785 45.97 35.10 524908ES5 10/02/02 10/02/07 100.000 0.250 0.090470 0.091723 0.092994 0.094285 33.02 25.43 524908FB1 12/11/02 12/11/07 100.000 0.625 0.129854 0.132217 0.134629 0.137091 47.27 46.22 524908FJ4 04/29/03 04/29/10 100.000 0.000 0.136273 0.139271 0.142335 0.145467 0.148667 49.97 52.20 524908FL9 05/01/03 05/01/10 100.000 0.250 0.135473 0.138301 0.141190 0.144144 0.147162 49.62 51.72 524908FN5 05/08/03 05/08/10 100.000 0.250 0.130373 0.132995 0.135674 0.138409 0.141203 47.69 49.63 524908FP0 05/13/03 05/13/10 100.000 0.250 0.128680 0.131237 0.133847 0.136512 0.139233 47.03 48.92 524908FR6 05/27/03 05/27/08 100.000 0.250 0.091157 0.092446 0.093754 0.095082 0.096431 33.14 34.08 524908JE1 09/10/03 06/10/10 100.000 0.000 0.140166 0.143361 0.146629 0.149971 0.153390 51.17 53.53 524908JJ0 10/09/03 10/09/10 100.000 1.600 0.126422 0.128189 0.129994 0.131837 0.133720 46.12 47.44 524908JK7 11/06/03 11/06/09 100.000 0.000 0.127762 0.130464 0.133223 0.136041 0.138918 46.78 48.78 524908LS7 02/11/04 02/11/11 100.000 0.750 0.126567 0.128851 0.131184 0.133568 0.136003 46.62 48.33 524908MJ6 10/06/04 10/06/11 100.000 0.250 0.127351 0.130000 0.132707 0.135474 0.138301 46.78 48.75 524908NL0 06/21/05 06/21/10 100.000 0.750 0.126131 0.128478 0.130878 0.133331 0.135838 45.88 47.61 524908NM8 06/29/05 06/29/12 100.000 0.250 0.125757 0.128391 0.131084 0.133836 0.136650 45.76 47.70 524908NW6 09/26/05 09/26/08 107.550 0.250 0.130973 0.133692 0.136470 0.139310 0.142211 48.16 50.19 524908NX4 10/13/05 10/13/15 100.000 5.175 0.143750 0.143750 0.143750 0.143750 0.143750 51.75 51.75 524908NY2 10/28/05 10/28/12 100.000 3.000 0.138876 0.140265 0.141688 0.143147 0.144642 50.42 51.46 524908PA2 11/17/05 11/17/12 100.000 3.000 0.145042 0.146653 0.148306 0.150003 0.151743 52.65 53.85 524908PG9 01/06/06 01/06/12 100.000 0.250 0.140139 0.143499 0.146944 0.150475 50.34 53.50 524908PK0 03/08/06 03/03/09 100.000 2.000 0.141670 0.143805 0.146056 0.148363 41.76 52.71 524908PL8 03/23/06 03/23/09 100.000 1.000 0.139142 0.141931 0.144790 0.147721 38.95 52.18 524908PN4 03/29/06 03/29/13 100.000 1.500 0.150055 0.152983 0.155989 0.159077 41.08 56.18 524908SK7 08/09/06 08/09/09 100.000 0.000 0.150748 0.154839 0.159040 21.41 56.18 Lehman Brothers Holdings, Inc. 52517PAE1 10/15/93 10/15/23 100.000 VARIES 0.208654 0.208442 0.208223 0.207996 0.207761 75.04 74.88 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Lehman Brothers Holdings, Inc. 52517PB67 09/28/05 09/28/15* 100.000 VARIES 0.208239 0.202835 36.57* 52517PB91 09/30/05 10/01/07 100.000 0.000 0.116450 0.118890 0.121382 0.123926 42.81 33.23 52517PC25 10/20/05 10/20/20 100.000 VARIES 0.204520 0.203854 0.205446 0.204809 0.205314 74.60 74.86 52517PC90 11/25/05 11/26/07 100.000 0.000 0.133025 0.136210 0.139471 0.142810 48.69 45.93 52517PD73 12/21/05 12/20/09 82.123 0.000 0.113795 0.116617 0.119526 0.122507 0.125562 41.54 43.63 52517PE56 02/22/06 02/22/13 100.000 VARIES 0.143456 0.141781 0.140062 0.140092 44.11 50.51 52517PE64 02/07/06 08/07/07 100.000 0.000 0.133009 0.136193 0.139454 43.55 30.00 52517PE80 03/07/06 09/07/07 100.000 0.000 0.138350 0.141795 0.145327 41.07 35.52 52517PE98 03/15/06 03/15/11 100.000 0.000 0.147072 0.150966 0.154962 0.159065 42.48 55.93 52517PF22 03/22/06 03/24/08 100.000 0.000 0.139751 0.139790 0.143306 0.146911 0.150607 39.34 52.95 52517PF30 03/22/06 03/24/08 100.000 0.000 0.139751 0.139790 0.143306 0.146911 0.150607 39.34 52.95 52517PG70 04/20/06 04/20/07 100.000 0.000 0.141162 0.144749 35.69 15.78 52517PG88 04/24/06 04/24/08 100.000 0.000 0.143414 0.147117 0.150914 0.154810 35.67 54.16 52517PH46 05/17/06 05/17/21 100.000 VARIES 0.163344 0.161613 0.159831 0.160855 36.51 57.83 52517PH79 05/19/06 11/19/07 100.000 0.000 0.146228 0.150077 0.154028 32.62 48.44 52517PH87 05/19/06 11/19/07 100.000 0.000 0.146228 0.150077 0.154028 32.62 48.44 52517PJ93 06/26/06 12/27/07 100.000 0.000 0.154951 0.154976 0.159299 0.163742 28.69 57.51 52517PK26 06/30/06 06/30/08 100.000 0.000 0.157772 0.162252 0.166860 0.171599 28.56 59.25 52517PK42 07/26/06 07/26/21 100.000 VARIES 0.128326 0.124874 0.121342 19.89 44.49 52517PTP6 02/18/03 02/18/08 100.000 0.000 0.125682 0.130430 0.130980 0.135928 0.136501 47.45 49.45 52517PUH2 06/12/03 06/12/13 100.000 VARIES 0.118365 0.116028 0.114927 0.112530 0.110720 42.71 41.43 52517PUK5 05/23/03 05/23/13 100.000 VARIES 0.117306 0.114800 0.116087 0.113575 0.113885 42.31 41.82 52517PUL3 06/12/03 06/12/18 100.000 VARIES 0.142470 0.140750 0.140551 0.138791 0.137415 51.65 50.92 52517PUP4 07/03/03 07/03/18 100.000 VARIES 0.121583 0.121615 0.117635 0.117507 0.113498 43.67 42.16 52517PUR0 07/17/03 07/17/15 100.000 VARIES 0.112444 0.112417 0.108684 0.108511 0.104758 40.41 38.98 52517PUS8 06/24/03 06/24/08* 100.000 0.250 0.086050 .34* 52517PUT6 07/16/03 01/16/09 100.000 VARIES 0.087095 0.087715 0.085462 0.086028 0.085857 31.63 31.36 52517PUW9 07/30/03 07/30/07 100.000 VARIES 0.083840 0.084766 0.082959 0.085662 30.63 17.91 52517PUX7 08/07/03 08/07/08 100.000 VARIES 0.105616 0.106544 0.103982 0.104850 0.104475 38.48 38.18 52517PVC2 08/27/03 08/27/10 100.000 0.250 0.142592 0.145780 0.149042 0.152382 0.155799 52.71 55.09 52517PVE8 09/25/03 09/25/10 100.000 0.250 0.132380 0.135133 0.137947 0.140823 0.143761 48.69 50.74 52517PVG3 09/30/03 09/30/10 100.000 0.250 0.129761 0.132408 0.135112 0.137874 0.140695 47.68 49.65 52517PVN8 12/17/03 12/17/18 100.000 VARIES 0.171134 0.171593 0.173980 0.174508 0.175610 62.59 63.62 52517PVR9 01/13/04 01/13/11 100.000 0.250 0.129372 0.132053 0.134793 0.137593 0.140454 47.97 49.98 52517PVX6 03/16/04 03/16/07 100.000 VARIES 0.075784 0.074023 0.076276 27.39 5.64 52517PWB3 04/08/04 04/08/14 100.000 VARIES 0.124628 0.121653 0.119960 0.117561 0.115775 44.55 42.99 52517PWC1 04/08/04 04/08/11 100.000 VARIES 0.108496 0.105737 0.104093 0.101987 0.100921 38.72 37.34 52517PWD9 04/14/04 04/14/11 100.000 VARIES 0.097725 0.096974 0.097586 0.097131 0.097212 35.52 35.51 52517PWR8 05/13/04 09/16/10 90.250 1.000 0.127291 0.129695 0.132156 0.134678 0.137260 46.77 48.57 52517PWX5 07/07/04 07/07/11 100.000 0.250 0.147095 0.150634 0.154262 0.157982 0.161796 54.84 57.51 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Lehman Brothers Holdings, Inc. 52517PWY3 07/29/04 07/29/14 100.000 VARIES 0.143631 0.144150 0.140662 0.142183 0.139416 52.06 51.42 52517PXB2 08/20/04 08/20/09 100.000 VARIES 0.122120 0.121544 0.117584 0.118122 0.116352 43.86 42.85 52517PXD8 08/26/04 08/26/14 100.000 VARIES 0.143799 0.144130 0.140451 0.141770 0.138812 52.12 51.29 52517PXF3 09/15/04 09/15/14 100.000 VARIES 0.140436 0.134969 0.133890 0.128359 0.126295 49.55 47.03 52517PXG1 09/15/04 09/15/14 100.000 VARIES 0.140436 0.134969 0.133890 0.128359 0.126295 49.55 47.03 52517PXJ5 10/25/04 10/25/11 100.000 VARIES 0.123644 0.121378 0.121048 0.119373 0.118335 44.54 43.69 52517PXK2 10/27/04 10/27/14 100.000 VARIES 0.136596 0.134072 0.133682 0.131803 0.130624 49.20 48.25 52517PXL0 10/25/04 10/25/11 100.000 VARIES 0.121364 0.117785 0.116072 0.113035 0.110577 43.28 41.44 52517PXM8 10/25/04 10/25/17 100.000 VARIES 0.135814 0.135906 0.137514 0.137642 0.138544 49.70 50.29 52517PXN6 10/26/04 10/26/07* 100.000 VARIES 0.097551 10.44* 52517PXQ9 11/01/04 11/01/14 100.000 VARIES 0.134315 0.134202 0.134086 0.133624 0.133152 48.32 48.13 52517PXS5 10/29/04 10/29/19 100.000 VARIES 0.206736 0.205116 0.205732 0.204079 0.203531 75.10 74.65 52517PXV8 11/18/04 11/18/11 100.000 VARIES 0.134130 0.130810 0.131798 0.129147 0.130045 48.24 47.54 52517PXW6 11/22/04 11/22/19 100.000 VARIES 0.139894 0.138790 0.142320 0.141243 0.144087 50.96 51.82 52517PXZ9 12/07/04 12/07/16 100.000 VARIES 0.142631 0.142729 0.142830 0.142570 0.142303 51.37 51.36 52517PYC9 12/06/04 12/06/11 100.000 VARIES 0.124728 0.121069 0.118670 0.114901 0.111708 44.70 42.44 52517PYD7 12/23/04 12/23/11 100.000 VARIES 0.125034 0.121778 0.120782 0.118426 0.117016 45.00 43.62 52517PYE5 12/23/04 12/23/19 100.000 VARIES 0.141787 0.142087 0.143980 0.144330 0.145500 51.83 52.63 52517PYF2 12/23/04 06/23/08 100.000 VARIES 0.107656 0.107023 0.107510 0.106765 0.107661 39.18 39.11 52517PYG0 12/30/04 12/30/19 100.000 VARIES 0.140636 0.141069 0.141514 0.141971 0.142441 50.71 51.03 52517PYH8 01/06/05 01/06/20 100.000 VARIES 0.162290 0.161346 0.160373 0.159373 0.158342 57.92 57.20 52517PYJ4 12/30/04 12/30/19 100.000 VARIES 0.152319 0.152714 0.153120 0.153538 0.153969 54.91 55.20 52517PYK1 12/29/04 12/29/11 100.000 VARIES 0.126517 0.123605 0.121999 0.118677 0.115958 45.63 43.90 52517PYL9 12/29/04 12/29/14 100.000 VARIES 0.136993 0.133741 0.131893 0.128536 0.125832 49.39 47.51 52517PYM7 01/28/05 01/28/20 100.000 VARIES 0.163428 0.162511 0.161566 0.160594 0.159593 58.38 57.69 52517PYR6 02/02/05 02/02/17 100.000 VARIES 0.146073 0.144981 0.142990 0.145749 0.143765 52.65 52.81 52517PYT2 02/24/05 02/24/20 100.000 VARIES 0.134691 0.126749 0.127150 0.127561 0.127983 46.10 45.95 52517PYU9 02/24/05 02/24/20 100.000 VARIES 0.132903 0.124272 0.124783 0.125308 0.125845 45.26 45.15 52517PYW5 03/23/05 03/23/20 100.000 VARIES 0.137040 0.129787 0.130199 0.130622 0.131056 47.36 47.03 52517PYX3 03/17/05 03/17/20 100.000 VARIES 0.146418 0.147523 0.148657 0.149821 0.151016 53.14 53.97 52517PZF1 04/19/05 04/19/10 100.000 VARIES 0.136386 0.136665 0.136610 0.136554 0.136497 49.17 49.16 Lehman Brothers Holdings, Inc. 52520WAC5 06/05/06 06/15/09 100.000 1.383 0.150515 0.150684 0.153726 0.156850 0.160059 31.09 56.00 52520WAE1 06/05/06 06/15/09 100.000 2.070 0.150521 0.150661 0.153185 0.155777 0.158440 31.08 55.70 52520WAF8 06/09/06 06/09/09 100.000 1.000 0.149750 0.153038 0.156415 0.159882 30.32 55.85 52520WAG6 06/23/06 06/23/11 100.000 0.250 0.163515 0.168123 0.172867 0.177751 30.78 61.46 Level 3 Communications 52729NAD2 12/02/98 12/01/08* 59.966 VARIES 0.291664 0.291663 56.00* 52729NAE0 12/02/98 12/01/08* 59.966 VARIES 0.291664 0.291663 56.00* 52729NAF7 12/02/98 12/01/08* 59.966 VARIES 0.291664 0.291663 56.00* 52729NAR1 02/29/00 03/15/10 53.308 VARIES 0.357612 0.357610 0.357608 0.357606 0.357604 128.74 128.74 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Liberty Media Corp. 530715AF8 11/16/99 11/15/29 100.000 4.000 0.350791 0.361659 0.373020 0.384896 0.397311 129.26 137.54 530715AG6 11/16/99 11/15/29 100.000 4.000 0.350791 0.361659 0.373020 0.384896 0.397311 129.26 137.54 530715AK7 02/10/00 02/15/30 100.000 3.750 0.366405 0.378769 0.391717 0.405274 0.419471 137.57 147.23 530715AL5 02/10/00 02/15/30 100.000 3.750 0.366405 0.378769 0.391717 0.405274 0.419471 137.57 147.23 530715AM3 01/11/01 01/15/31 100.000 3.500 0.350548 0.362581 0.375186 0.388389 0.402219 132.45 141.93 530715AN1 01/11/01 01/15/31 100.000 3.500 0.350548 0.362581 0.375186 0.388389 0.402219 132.45 141.93 530715AP6 03/08/01 03/15/31 100.000 3.250 0.402607 0.418801 0.435834 0.453751 0.472596 151.38 164.02 530715AQ4 03/08/01 03/15/31 100.000 3.250 0.402607 0.418801 0.435834 0.453751 0.472596 151.38 164.02 530715AR2 03/08/01 03/15/31 100.000 3.250 0.402607 0.418801 0.435834 0.453751 0.472596 151.38 164.02 Liberty Media Corp. 530718AB1 03/26/03 03/30/23 98.500 0.750 0.172941 0.177200 0.181579 0.186081 0.190708 63.81 67.01 530718AF2 03/26/03 03/30/23 98.500 0.750 0.172941 0.177200 0.181579 0.186081 0.190708 63.81 67.01 Lithia Motors, Inc. 536797AA1 05/03/04 05/01/14 100.000 VARIES 0.273921 0.282654 0.291779 0.301315 0.311281 101.25 107.93 536797AB9 05/03/04 05/01/14 100.000 VARIES 0.273921 0.282654 0.291779 0.301315 0.311281 101.25 107.93 Lockheed Martin Corp. 539830AN9 08/13/03 08/15/33 98.500 VARIES 0.192998 0.200571 0.199674 0.205476 0.204658 72.74 74.62 539830AP4 08/13/03 08/15/33 98.500 VARIES 0.192998 0.200571 0.199674 0.205476 0.204658 72.74 74.62 Lowe's Companies, Inc. 548661CD7 02/16/01 02/16/21 60.841 0.000 78.35 0.047249 0.047840 0.048438 0.049043 0.049656 17.28 17.71 Lucent Technologies Capital Trust I 549462208 03/19/02 03/15/17 100.000 7.750 0.215278 0.215278 0.215278 0.215278 0.215278 77.50 77.50 549462307 03/19/02 03/15/17 100.000 7.750 0.215278 0.215278 0.215278 0.215278 0.215278 77.50 77.50 Lyondell Chemical Co. 552078AS6 12/04/02 12/15/08 97.750 9.500 9.83 0.010484 0.011008 0.011559 0.012137 0.012745 3.89 4.28 552078AT4 12/04/02 12/15/08 97.750 9.500 9.83 0.010484 0.011008 0.011559 0.012137 0.012745 3.89 4.28 Macoupin County, IL School District No.1 556003DG3 06/28/06 12/01/08 104.791 7.950 0.168955 0.167675 0.166132 0.164545 30.88 59.99 Marion County, OR 56913RAE8 03/28/02 06/01/06 79.181 0.000 185.22 0.153103 22.97 56913RAF5 03/28/02 06/01/07 73.606 0.000 183.55 0.152713 0.157301 0.162026 56.08 24.30 56913RAG3 03/28/02 06/01/08 68.057 0.000 179.71 0.150431 0.155191 0.160101 0.165167 0.170393 55.30 58.86 56913RAH1 03/28/02 06/01/09 63.326 0.000 171.32 0.143790 0.148440 0.153241 0.158197 0.163313 52.88 56.36 56913RAJ7 03/28/02 06/01/10 58.440 0.000 163.81 0.138034 0.142644 0.147407 0.152329 0.157416 50.80 54.25 56913RAK4 03/28/02 06/01/11 53.951 0.000 155.27 0.131236 0.135723 0.140364 0.145164 0.150127 48.33 51.69 56913RAL2 03/28/02 06/01/12 49.948 0.000 146.10 0.123717 0.128009 0.132450 0.137045 0.141800 45.57 48.79 56913RAM0 03/28/02 06/01/13 46.303 0.000 136.96 0.116134 0.120204 0.124417 0.128777 0.133290 42.79 45.84 56913RAN8 03/28/02 06/01/14 42.967 0.000 128.11 0.108730 0.112567 0.116540 0.120653 0.124912 40.07 42.95 56913RAP3 03/28/02 06/01/15 39.329 0.000 120.05 0.102183 0.105866 0.109682 0.113635 0.117731 37.67 40.44 56913RAQ1 03/28/02 06/01/16 36.142 0.000 112.04 0.095544 0.099036 0.102655 0.106407 0.110295 35.24 37.86 56913RAR9 03/28/02 06/01/17 33.393 0.000 104.32 0.089039 0.092315 0.095712 0.099234 0.102885 32.84 35.31 56913RAS7 03/28/02 06/01/18 31.307 0.000 97.06 0.082766 0.085791 0.088926 0.092176 0.095545 30.53 32.80 56913RAT5 03/28/02 06/01/19 28.898 0.000 90.28 0.077056 0.079892 0.082831 0.085879 0.089039 28.42 30.55 56913RAU2 03/28/02 06/01/20 26.649 0.000 83.89 0.071668 0.074323 0.077076 0.079932 0.082893 26.44 28.44 Markel Corporation 570535AD6 05/23/02 08/15/07 92.756 7.200 46.36 0.041145 0.042990 0.044917 0.046930 15.66 10.42 570535AE4 05/23/02 05/15/08 90.005 7.000 53.81 0.049048 0.051307 0.053670 0.056142 0.058727 18.28 20.00 Marquee Holdings, Inc. 57143VAA7 08/18/04 08/15/14 55.894 VARIES 0.209136 0.221684 0.234985 0.249083 0.264028 81.06 91.08 57143VAB5 08/18/04 08/15/14 55.894 VARIES 0.209136 0.221684 0.234985 0.249083 0.264028 81.06 91.08 57143VAC3 08/18/04 08/15/14 55.894 VARIES 0.209136 0.221684 0.234985 0.249083 0.264028 81.06 91.08 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Masco Corporation 574599AW6 07/20/01 07/20/31 39.445 VARIES 0.122427 0.127401 0.132577 0.137963 0.143568 46.60 50.47 574599BB1 07/20/01 07/20/31 39.445 VARIES 0.122427 0.127401 0.132577 0.137963 0.143568 46.60 50.47 Matria Healthcare, Inc. 576817AA8 07/09/01 05/01/08 93.500 11.000 36.60 0.029462 0.030785 0.033242 0.034734 0.037300 11.23 12.66 576817AB6 07/09/01 05/01/08 93.500 11.000 36.60 0.029462 0.030785 0.033242 0.034734 0.037300 11.23 12.66 McCaw International LTD. 579472AC5 03/06/97 04/15/07 50.991 VARIES 0.369240 0.369782 0.370361 133.11 38.52 579472AD3 03/06/97 04/15/07 50.991 VARIES 0.369240 0.369782 0.370361 133.11 38.52 McHenry County, Illinois 581156AW6 03/11/04 12/01/06 108.179 VARIES 0.092261 0.090883 30.20 581156AX4 03/11/04 12/01/07 100.444 VARIES 0.100534 0.100469 0.100402 0.100334 36.18 33.12 581156AY2 03/11/04 12/01/08 104.812 VARIES 0.117535 0.116955 0.116363 0.115759 0.115142 42.17 41.75 581156AZ9 03/11/04 12/01/09 106.159 VARIES 0.126375 0.125740 0.125092 0.124429 0.123751 45.34 44.87 Medicis Pharmaceutical Corporation 584690AB7 08/14/03 06/04/33 93.000 VARIES 0.281038 0.291989 0.303441 0.315417 0.327941 103.75 112.06 Medtronic, Inc. 585055AA4 09/11/01 09/15/21 100.000 VARIES 0.229192 0.234921 0.240842 0.246835 0.253029 84.78 89.07 585055AB2 09/11/01 09/15/21 100.000 VARIES 0.229192 0.234921 0.240842 0.246835 0.253029 84.78 89.07 585055AD8 09/11/01 09/15/21 100.000 VARIES 0.229192 0.234921 0.240842 0.246835 0.253029 84.78 89.07 Cass & Sangamon Counties, Illinois 586362DJ1 06/10/04 12/01/06 104.830 VARIES 0.103091 0.102086 33.84 586362DK8 06/10/04 12/01/07 105.112 VARIES 0.115943 0.115112 0.114265 0.113401 41.54 37.55 The Mens Wearhouse, Inc. 587118AB6 10/21/03 10/15/23 100.000 VARIES 0.245020 0.251348 0.257930 0.264775 0.271894 90.33 95.15 587118AC4 10/21/03 10/15/23 100.000 VARIES 0.245020 0.251348 0.257930 0.264775 0.271894 90.33 95.15 Mercury Interactive Corp 589405AC3 04/29/03 05/01/08 98.000 0.000 10.63 0.011110 0.011132 0.011155 0.011177 0.011200 4.01 4.02 589405AD1 04/29/03 05/01/08 98.000 0.000 10.63 0.011110 0.011132 0.011155 0.011177 0.011200 4.01 4.02 Merisant Worldwide, Inc. 58985CAA8 11/12/03 05/15/14 55.131 VARIES 0.238190 0.252779 0.268261 0.284692 0.302128 89.76 101.09 Merrill Lynch & Co.,Inc. 590188249 09/13/00 09/13/07 100.000 0.000 0.283585 0.289012 0.304388 0.310213 106.80 78.69 590188256 08/04/00 08/03/07 100.000 0.000 0.296990 0.313306 0.319828 0.337399 114.80 71.62 590188264 08/04/00 08/03/07 100.000 0.000 0.296990 0.313306 0.319828 0.337399 114.80 71.62 590188272 06/29/00 06/29/07 100.000 0.000 0.324731 0.335506 0.350458 120.58 62.73 590188280 03/30/00 03/30/07 100.000 0.000 0.311263 0.322906 0.334985 116.31 29.81 590188298 03/03/00 03/05/07 100.000 0.000 0.266639 0.275550 0.284759 99.70 18.22 590188A65 05/23/01 05/23/31 51.108 VARIES 0.114270 0.117774 0.121385 0.125108 0.128944 42.04 44.66 590188A73 03/13/02 03/13/32 100.000 VARIES 0.193287 0.198809 0.204488 0.210329 0.216338 71.79 75.95 590188P44 09/30/03 09/30/08 100.000 0.000 0.101004 0.102720 0.104466 0.106242 0.108047 36.99 38.25 590188P51 10/03/03 10/03/08 100.000 0.000 0.108070 0.110027 0.112019 0.114047 0.116112 39.60 41.05 590188V70 07/30/04 07/30/07 100.000 0.000 0.090488 0.091916 0.093367 0.094841 33.27 19.78 590188V88 08/31/04 08/31/07 100.000 0.000 0.072488 0.072584 0.074323 0.074422 26.34 17.63 590188V96 09/27/04 09/27/07 100.000 0.000 0.071682 0.072584 0.073498 0.074422 26.14 19.72 590188W20 10/29/04 10/29/07 100.000 0.000 0.071746 0.072650 0.073565 0.074491 26.10 22.09 590188W38 11/30/04 11/30/07 100.000 0.000 0.090733 0.092169 0.093628 0.095110 33.01 31.07 590188W79 12/30/04 01/02/14 100.000 0.000 0.131599 0.134645 0.137761 0.140950 0.144212 49.03 51.32 590188X86 05/05/05 05/12/10 100.000 VARIES 0.117155 0.117167 0.117158 0.117149 0.117136 42.18 42.17 Merrill Lynch & Co.,Inc. 59018FBA9 05/16/03 05/17/10 100.000 0.250 0.123053 0.125394 0.127783 0.130219 0.132704 44.93 46.66 59018FBD3 12/30/03 12/30/06 100.000 0.000 0.068435 0.069239 24.71 Merrill Lynch & Co.,Inc. 59018SB94 03/20/98 03/20/28 12.154 0.000 88.43 0.040882 0.042344 0.043858 0.045425 0.047049 15.28 16.39 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Merrill Lynch & Co.,Inc. 59018SRZ9 02/25/97 02/25/27 9.506 0.000 95.29 0.041148 0.042794 0.044506 0.046286 0.048138 15.53 16.80 Merrill Lynch & Co.,Inc. 59018YDJ7 01/12/01 01/07/08 100.000 0.250 0.231356 0.238484 0.245838 0.253426 0.261255 87.09 92.55 59018YKD2 06/27/01 06/27/08 100.000 0.250 0.225428 0.232223 0.239230 0.246455 0.253904 82.43 87.48 59018YNR8 10/03/02 04/03/06 100.000 1.500 0.101031 9.29 59018YUY5 11/29/04 11/29/06 100.000 0.000 0.081833 0.083005 27.05 Merrill Lynch & Co.,Inc. 59021J109 10/06/00 10/05/07 100.000 0.000 0.276870 0.285144 0.296901 0.305774 104.33 83.87 59021J141 06/03/03 06/03/10 100.000 0.000 0.106187 0.108048 0.109941 0.111868 0.113828 38.67 40.03 59021J208 11/20/00 11/20/07 100.000 0.000 0.282503 0.292611 0.303080 0.313924 104.36 98.63 59021J307 04/30/01 06/27/07 100.000 0.000 0.214852 0.221189 0.227713 78.54 40.08 59021J315 06/03/03 09/03/08 100.000 0.000 0.090406 0.091781 0.093176 0.094593 0.096031 33.12 34.14 59021J471 09/04/02 09/04/09 100.000 0.000 0.160443 0.164441 0.168538 0.172737 0.177041 59.43 62.42 59021J489 08/07/02 08/07/09 100.000 0.000 0.170516 0.174996 0.179593 0.184311 0.189153 63.50 66.88 59021J513 06/28/02 06/29/09 100.000 0.000 0.185426 0.190541 0.195796 0.201197 0.206747 67.69 71.48 59021J596 05/03/02 05/04/09 100.000 0.000 0.211067 0.217554 0.224240 0.231131 0.238235 77.90 82.76 59021J679 03/28/02 03/30/09 100.000 0.000 0.217155 0.223986 0.231032 0.238300 0.245796 80.67 85.82 59021J695 03/28/02 03/30/09 100.000 0.000 0.217155 0.223986 0.231032 0.238300 0.245796 80.67 85.82 59021J794 01/16/02 01/16/09 100.000 0.000 0.192817 0.198314 0.203968 0.209782 0.215763 72.24 76.42 59021J877 09/28/01 09/29/08 100.000 0.000 0.190360 0.195607 0.200998 0.206538 0.212230 70.45 74.39 59021J885 08/31/01 08/29/08 100.000 0.000 0.192898 0.199438 0.203953 0.210868 0.214469 72.98 77.02 59021JAA7 05/28/02 05/28/09 100.000 1.000 0.205020 0.210479 0.216107 0.221907 0.227886 75.16 79.23 Merrill Lynch & Co.,Inc. 59021S489 05/10/05 05/10/12 100.000 4.200 0.116667 0.116667 0.116667 0.116667 0.116667 42.00 42.00 59021S497 05/10/05 11/13/06 100.000 0.000 0.102688 0.104552 32.37 59021S612 04/04/05 06/04/09 100.000 0.000 0.115866 0.118219 0.120619 0.123068 0.125567 42.26 44.00 59021S695 03/08/05 03/08/10 100.000 VARIES 0.132324 0.132300 0.132276 0.132250 0.132225 47.63 47.61 59021S752 02/04/05 02/05/07 100.000 0.000 0.090132 0.091571 0.093033 33.13 3.16 59021S778 02/04/05 02/04/10 100.000 3.800 0.105556 0.105556 0.105556 0.105556 0.105556 38.00 38.00 59021S786 01/06/05 07/13/06 100.000 0.000 0.081235 0.082405 15.81 59021S794 12/10/04 01/02/08 100.000 0.000 0.102646 0.104505 0.106397 0.108324 0.110286 37.96 39.35 59021S836 11/30/04 01/30/06 100.000 0.000 0.070030 2.03 59021S844 11/30/04 01/22/10 100.000 0.000 0.106256 0.108240 0.110262 0.112321 0.114419 39.25 40.73 59021S851 11/05/04 01/05/06 100.000 0.000 0.071070 .28 59021S877 11/30/04 11/30/09 100.000 VARIES 0.103168 0.103176 0.103152 0.103160 0.103136 37.14 37.14 Merrill Lynch & Co.,Inc. 59021W159 09/29/04 09/29/09 100.000 VARIES 0.110055 0.110034 0.110013 0.109991 0.109969 39.61 39.60 59021W183 11/01/04 04/30/12 100.000 0.000 0.115246 0.117545 0.119889 0.122280 0.124719 42.19 43.89 59021W217 08/31/04 08/31/11 100.000 0.000 0.115731 0.116712 0.120361 0.121382 0.124477 42.40 44.01 59021W225 08/31/04 08/31/09 100.000 3.940 0.110674 0.109444 0.110674 0.109444 0.110056 39.62 39.55 59021W290 08/04/04 08/04/09 100.000 VARIES 0.110583 0.110573 0.110562 0.110551 0.110540 39.80 39.80 59021W308 07/02/03 07/02/10 100.000 0.000 0.108841 0.110825 0.112845 0.114902 0.116996 40.26 41.74 59021W324 08/02/04 08/01/08 100.000 0.000 0.114513 0.116783 0.119098 0.121459 0.123866 42.32 44.02 59021W464 05/14/04 02/14/12 100.000 0.000 0.091903 0.093364 0.094849 0.096357 0.097890 33.75 34.83 59021W555 07/30/04 07/29/11 100.000 0.000 0.121126 0.123660 0.126247 0.128888 0.131585 44.84 46.74 59021W571 03/01/04 03/28/11 100.000 0.000 0.105203 0.107087 0.109004 0.110956 0.112943 38.57 39.96 59021W613 03/30/04 03/21/07 100.000 0.000 0.051415 0.051879 0.052346 18.69 4.19 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Merrill Lynch & Co.,Inc. 59021W654 12/26/03 12/27/10 100.000 0.000 0.128719 0.131460 0.134259 0.137118 0.140038 46.85 48.87 59021W704 08/05/03 08/05/10 100.000 0.000 0.133294 0.136225 0.139221 0.142283 0.145412 49.38 51.57 59021W712 12/08/03 03/08/11 100.000 0.000 0.115247 0.117483 0.119761 0.122084 0.124452 42.40 44.06 59021W795 01/30/04 01/31/11 100.000 0.000 0.107692 0.109668 0.111681 0.113731 0.115819 39.73 41.20 59021W845 09/30/03 09/30/10 100.000 0.000 0.124468 0.127037 0.129660 0.132337 0.135069 45.74 47.65 59021W860 09/03/03 09/03/08 100.000 0.000 0.118097 0.120419 0.122787 0.125202 0.127664 43.49 45.21 59021WAA8 07/15/04 07/15/11 100.000 0.000 0.119582 0.122053 0.124575 0.127149 0.129776 44.32 46.17 United Mexican States 593048BN0 03/30/01 12/30/19 89.000 8.125 13.12 0.009675 0.010129 0.010604 0.011102 0.011623 3.57 3.91 Microcell Telecommunications 59501TAG1 06/20/96 06/01/06 43.193 VARIES 0.420600 63.09 59501TAL0 05/25/99 06/01/09 55.731 VARIES 0.333322 0.333321 0.333320 0.333319 0.333319 120.00 120.00 Mirant Corporation 604675AA6 05/31/01 06/15/21* 100.000 2.500 0.314911 1.57* Mississippi Home Corp. 60535JAD8 06/17/93 12/01/08 34.265 0.000 474.42 0.159097 0.164706 0.170513 0.176524 0.182748 58.63 62.83 60535JAH9 07/22/93 06/01/09 36.262 0.000 441.14 0.144327 0.149017 0.153859 0.158859 0.164022 53.09 56.59 Mississippi Home Corp. 60535MCB3 07/21/93 09/15/16 19.775 0.000 274.95 0.091626 0.094890 0.098270 0.101771 0.105396 34.28 36.76 J.P. Morgan & Co., Inc. 61688AAF5 02/26/97 04/15/27 10.165 0.000 97.29 0.042039 0.043664 0.045352 0.047105 0.048926 15.68 16.91 61688AAG3 04/24/97 04/24/27 8.845 0.000 90.10 0.040298 0.041961 0.043691 0.045494 0.047370 15.03 16.30 61688AAH1 05/21/97 05/15/27 9.170 0.000 90.46 0.040711 0.042366 0.044088 0.045880 0.047745 15.11 16.36 61688AAJ7 06/18/97 06/18/27 9.169 0.000 89.28 0.040725 0.042380 0.044101 0.045893 0.047757 15.00 16.25 61688AAK4 07/01/97 07/01/27 9.644 0.000 90.65 0.041316 0.042958 0.044666 0.046442 15.17 16.40 61688AAW8 06/30/98 06/30/28 12.693 0.000 85.77 0.041350 0.042797 0.044295 0.045846 0.047450 15.15 16.23 Morgan Stanley Dean Witter & Co. 617446DJ5 05/19/99 05/30/06 98.259 0.000 0.250988 37.40 617446DM8 08/06/99 08/06/06 98.266 0.000 0.293378 0.303764 64.95 617446DP1 10/19/99 10/19/06 98.266 0.000 0.291628 0.301908 85.84 617446DZ9 07/19/00 07/30/07 100.000 0.250 0.281485 0.291342 0.301553 0.312130 106.14 64.93 617446GC7 11/17/00 11/30/07 100.000 0.250 0.259983 0.267149 0.277545 0.285211 96.77 93.83 617446GD5 11/17/00 11/30/07 100.000 0.250 0.259983 0.267149 0.277545 0.285211 96.77 93.83 617446GF0 01/24/01 01/30/08 100.000 0.250 0.215660 0.221924 0.228376 0.235021 0.241866 80.69 85.45 617446GK9 04/03/01 04/15/08 100.000 0.250 0.205692 0.211432 0.217338 0.223415 0.229668 75.97 80.27 617446GN3 05/02/01 05/30/08 100.000 0.250 0.210735 0.216723 0.222888 0.229234 0.235766 77.32 81.78 617446GQ6 05/30/01 05/30/08 100.000 0.250 0.214621 0.220834 0.227234 0.233825 0.240613 78.77 83.41 617446GR4 08/21/01 12/30/08 100.000 1.250 0.188111 0.192399 0.196808 0.201339 0.205998 68.50 71.68 617446GT0 08/16/01 12/30/08 100.000 0.250 0.197419 0.202779 0.208291 0.213958 0.219784 72.05 76.02 617446GU7 09/27/01 12/30/08 100.000 0.250 0.171670 0.175826 0.180087 0.184455 0.188934 62.56 65.63 617446GV5 10/05/01 12/30/09 100.000 0.000 0.172894 0.177251 0.181718 0.186298 0.190993 63.03 66.25 617446GX1 11/08/01 12/30/08 100.000 0.000 0.149663 0.153018 0.156448 0.159955 0.163541 54.49 56.96 617446GY9 12/11/01 12/30/09 92.281 0.000 0.168047 0.172503 0.177076 0.181771 0.186590 61.31 64.60 617446HH5 08/05/02 12/15/09 100.000 1.000 0.185455 0.189948 0.194569 0.199322 0.204210 67.72 71.05 617446HP7 02/14/03 03/30/10 100.000 0.000 0.147125 0.150575 0.154105 0.157718 0.161415 54.22 56.79 617446HV4 03/12/03 03/31/08 100.000 0.000 0.108987 0.110353 0.112968 0.114384 0.116454 40.40 41.82 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 617446HX0 03/18/03 06/30/08 100.000 0.000 0.111842 0.113878 0.115952 0.118063 0.120212 40.63 42.13 617446HZ5 04/28/03 09/15/10 100.000 0.000 0.147475 0.150976 0.154560 0.158229 0.161985 54.47 57.09 617446JB6 04/23/03 04/30/10 100.000 0.000 0.143115 0.146403 0.149766 0.153207 0.156727 52.52 54.96 617446JC4 04/25/03 04/30/08 100.000 0.000 0.118346 0.120635 0.122969 0.125348 0.127773 43.30 44.99 617446JE0 04/30/03 04/30/10 100.000 0.000 0.144657 0.148015 0.151452 0.154968 0.158565 53.10 55.59 617446JF7 05/28/03 12/30/10 100.000 0.000 0.121918 0.124335 0.126800 0.129313 0.131877 44.33 46.11 617446JG5 05/06/03 05/15/10 100.000 0.250 0.125999 0.128450 0.130951 0.133503 0.136109 46.03 47.84 617446JH3 05/21/03 05/30/10 100.000 0.000 0.106524 0.108395 0.110298 0.112235 0.114206 38.80 40.18 617446JJ9 07/10/03 06/30/08 100.000 0.000 0.099604 0.101251 0.102925 0.104626 0.106356 36.16 37.36 617446JL4 08/08/03 03/23/07 100.000 0.000 0.103583 0.105378 0.107205 37.97 8.79 617446JP5 11/25/03 12/30/10 100.000 1.500 0.161988 0.165222 0.168543 0.171953 0.175455 58.90 61.30 617446JQ3 12/26/03 12/30/10 100.000 2.000 0.123172 0.124604 0.126067 0.127561 0.129087 44.60 45.66 617446MD8 12/22/03 12/30/08 115.000 0.000 0.124024 0.126263 0.128543 0.130864 0.133227 45.06 46.70 617446MF3 01/28/04 01/30/11 100.000 1.000 0.119032 0.120899 0.122803 0.124747 0.126731 43.76 45.15 617446MG1 01/21/04 07/30/11 100.000 0.300 0.121520 0.123856 0.126241 0.128675 0.131159 44.88 46.63 617446MH9 02/25/04 04/30/11 100.000 2.000 0.120193 0.121541 0.122918 0.124322 0.125756 43.68 44.68 617446MJ5 02/17/04 07/30/11 102.625 0.300 0.126439 0.128915 0.131442 0.134023 0.136658 46.72 48.57 617446MK2 03/29/04 06/30/11 100.000 1.500 0.108323 0.109572 0.110844 0.112141 0.113462 39.22 40.14 617446ML0 03/22/04 05/15/10 121.125 0.250 0.125059 0.127138 0.129254 0.131407 0.133598 45.59 47.12 617446MM8 03/24/04 04/01/09 100.000 0.250 0.106431 0.108242 0.110086 0.111963 0.113875 38.97 40.31 617446MQ9 04/08/04 04/15/09 115.000 0.750 0.126373 0.128364 0.130393 0.132460 0.134567 46.16 47.63 617446SX8 12/06/04 12/30/11 100.000 0.500 0.130375 0.132996 0.135675 0.138415 0.141216 47.41 49.34 617446YM5 08/30/05 09/01/14 100.000 0.000 0.134661 0.137925 0.141268 0.144691 0.148198 49.86 52.30 Morgan Stanley Dean Witter & Co. 61744Y132 07/29/02 07/30/09 100.000 0.000 0.142620 0.145824 0.149100 0.152449 0.155874 52.90 55.30 61744Y140 03/27/03 06/15/10 100.000 0.000 0.150579 0.154169 0.157845 0.161609 0.165463 54.97 57.62 61744Y173 01/28/03 12/30/09 100.000 0.000 0.143418 0.146666 0.149988 0.153385 0.156859 52.22 54.61 61744Y181 12/17/02 03/30/09 100.000 0.000 0.141927 0.145129 0.148403 0.151751 0.155174 52.26 54.64 61744Y199 11/26/02 03/30/09 100.000 0.000 0.154489 0.158237 0.162076 0.166008 0.170036 56.98 59.78 61744Y231 10/28/02 12/30/08 100.000 0.000 0.164352 0.168502 0.172757 0.177120 0.181593 59.92 62.99 61744Y249 10/16/02 10/30/09 100.000 0.000 0.153621 0.157300 0.161067 0.164924 0.168873 56.42 59.15 61744Y264 09/26/02 06/30/09 100.000 0.000 0.154902 0.158604 0.162394 0.166275 0.170248 56.44 59.17 61744Y280 08/27/02 02/28/09 100.000 0.000 0.167861 0.169422 0.176712 0.178356 0.185009 62.65 65.82 61744Y322 06/26/02 12/30/08 100.000 0.000 0.154101 0.157730 0.161446 0.165248 0.169141 56.14 58.81 61744Y348 06/11/02 12/30/08 100.000 0.000 0.161519 0.165474 0.169525 0.173675 0.177927 58.87 61.78 61744Y363 05/10/02 08/30/08 100.000 0.000 0.165104 0.168380 0.173614 0.177059 0.181564 61.92 64.99 Morgan Stanley 61745ETQ4 02/28/06 03/01/11 100.000 VARIES 0.139828 0.137539 0.137764 0.136383 0.137800 42.25 50.03 61745EUA7 10/03/06 10/03/16 100.000 VARIES 0.153054 0.151148 0.149190 13.47 54.42 Morgan Stanley 61746BCS3 02/09/06 02/11/13 100.000 0.000 0.148594 0.148639 0.152614 0.156696 0.160888 48.42 56.83 61746BCT1 02/27/06 02/27/13 100.000 0.000 0.148931 0.152923 0.157023 0.161232 45.77 56.82 Morgan Stanley 61746S190 01/27/04 03/30/11 100.000 1.875 0.121542 0.123003 0.124494 0.126018 0.127573 44.29 45.37 61746S273 10/26/04 10/30/11 100.000 0.000 0.123102 0.125716 0.128386 0.131112 0.133897 45.11 47.05 61746S422 09/28/04 09/30/12 100.000 1.300 0.127781 0.129824 0.131912 0.134047 0.136230 46.74 48.27 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61746S539 08/27/04 03/30/11 100.000 0.000 0.129499 0.132376 0.135317 0.138323 0.141396 47.67 49.81 61746S646 07/28/04 01/30/11 100.000 0.000 0.134499 0.137609 0.140790 0.144046 0.147376 49.93 52.26 61746S703 02/25/04 12/30/11 100.000 0.400 0.134974 0.137765 0.140618 0.143536 0.146520 49.10 51.15 61746S778 04/28/04 12/30/11 100.000 0.000 0.147094 0.150687 0.154367 0.158137 0.161999 53.61 56.26 61746S877 03/29/04 12/30/11 100.000 0.500 0.119721 0.121864 0.124051 0.126283 0.128559 43.49 45.06 61746SAA7 03/10/04 03/31/09 100.000 0.000 0.109069 0.111091 0.113151 0.115248 0.117385 40.00 41.50 61746SAC3 04/05/04 04/15/09 100.000 0.000 0.104467 0.106328 0.108222 0.110150 0.112113 38.23 39.60 61746SAW9 10/12/04 10/30/09 100.000 0.250 0.117623 0.119875 0.122172 0.124517 0.126909 43.03 44.69 61746SBD0 11/30/04 12/30/11 100.000 0.250 0.128592 0.131284 0.134036 0.136848 0.139723 46.78 48.76 61746SBF5 06/30/05 01/04/07 100.000 0.000 0.109054 0.111193 0.113375 40.41 .34 61746SBG3 07/27/05 07/22/08 100.000 0.000 0.122915 0.125559 0.128337 0.131176 0.134078 45.59 47.63 61746SBH1 07/22/05 01/22/07 100.000 0.000 0.116561 0.119007 0.121504 43.19 2.55 61746SBJ7 08/30/05 08/31/08 100.000 0.000 0.129020 0.130517 0.135014 0.136580 0.140497 47.44 49.55 61746SBK4 10/03/05 10/03/08 100.000 0.000 0.125217 0.128039 0.130925 0.133876 0.136893 46.09 48.19 61746SBM0 11/02/05 11/02/07 100.000 0.000 0.129544 0.132565 0.135656 0.138819 47.54 41.40 61746SBT5 12/05/05 12/05/07 100.000 0.000 0.131591 0.134708 0.137898 0.141165 48.10 46.65 61746SBU2 01/06/06 07/06/11 100.000 VARIES 0.142901 0.143376 0.144157 0.146577 50.81 52.32 61746SBW8 02/03/06 02/04/08 100.000 0.000 0.134522 0.134542 0.137799 0.141136 0.144554 44.61 51.20 61746SBZ1 01/30/06 01/30/13 100.000 0.000 0.145468 0.149277 0.153186 0.157197 48.73 55.64 61746SCA5 03/03/06 03/03/08 100.000 0.000 0.143251 0.146945 0.150734 0.154620 43.12 54.49 61746SCJ6 05/03/06 11/03/09 100.000 0.000 0.152003 0.156162 0.160434 0.164824 36.42 57.49 61746SCQ0 06/06/06 06/06/08 100.000 0.000 0.151981 0.156139 0.160410 0.164798 31.26 57.20 61746SCR8 07/06/06 12/30/08 100.000 0.000 0.153479 0.157578 0.161931 0.166404 26.86 57.52 61746SCS6 06/30/06 12/30/08 100.000 3.100 0.073866 0.075993 0.078181 0.080432 13.37 27.76 61746SCT4 06/30/06 03/20/10 100.000 0.000 0.159681 0.161721 0.166369 0.171151 29.11 60.01 61746SCV9 08/04/06 02/04/08 100.000 0.000 0.154795 0.159108 0.163541 22.75 57.79 61746SCW7 09/05/06 03/05/09 100.000 0.000 0.147617 0.151540 0.155566 17.12 54.77 61746SCX5 10/03/06 04/03/09 100.000 0.000 0.141151 0.144737 0.148414 12.42 52.10 Morgan Stanley 61746Y155 08/29/05 08/30/10 100.000 0.000 0.126178 0.128370 0.132039 0.134332 0.137417 47.18 49.28 61746Y288 06/28/05 06/30/11 100.000 0.500 0.121642 0.123957 0.126322 0.128737 0.131205 44.21 45.92 61746Y361 05/26/05 12/30/08 100.000 0.000 0.121094 0.123668 0.126297 0.128981 0.131723 44.06 45.96 61746Y478 04/27/05 10/30/10 100.000 1.000 0.129011 0.131320 0.133682 0.136098 0.138568 47.14 48.86 61746Y593 03/29/05 09/30/08 100.000 0.300 0.132258 0.135145 0.138099 0.141121 0.144214 48.66 50.82 61746Y650 02/24/05 09/01/10 100.000 0.000 0.125490 0.128261 0.131093 0.133987 0.136946 46.35 48.42 61746Y759 01/26/05 06/30/08 100.000 0.000 0.111592 0.113755 0.115960 0.118207 0.120499 40.57 42.15 61746Y858 12/28/04 12/30/11 100.000 0.000 0.128518 0.131363 0.134271 0.137243 0.140281 46.78 48.88 61746YAB2 12/30/04 12/30/12 100.000 0.000 0.137477 0.140723 0.144047 0.147449 0.150931 50.08 52.48 Morgan Stanley 61747S140 06/28/06 06/30/08 100.000 0.000 0.153031 0.153077 0.157294 0.161627 0.166079 28.02 57.41 61747S728 08/16/06 08/14/09 100.000 0.000 0.150719 0.154763 0.158962 20.35 56.12 61747S850 08/31/06 08/26/11 100.000 VARIES 0.151553 0.151671 0.151681 18.34 54.60 Morgan Stanley 61747Y162 06/30/06 06/24/11 100.000 5.771 0.160306 0.160306 0.160306 0.160306 29.02 57.71 61747Y394 02/23/06 02/23/10 100.000 0.000 0.146420 0.150279 0.154239 0.158304 45.59 55.84 61747Y543 01/20/06 01/10/08 100.000 0.000 0.135622 0.138749 0.142136 0.145606 46.78 51.73 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61747Y584 02/09/06 02/17/10 100.000 0.000 0.144894 0.145062 0.148846 0.152728 0.156711 47.22 55.34 61747Y733 11/28/05 05/30/09 100.000 0.000 0.134965 0.138243 0.141600 0.145039 0.148562 49.38 51.81 61747Y808 09/28/05 12/30/09 100.000 0.000 0.128765 0.131715 0.134733 0.137819 0.140977 46.89 49.07 Morgan Stanley 61748A114 06/24/03 06/15/10 100.000 0.000 0.116511 0.118736 0.121003 0.123314 0.125669 42.42 44.05 61748A122 08/22/03 08/30/09 100.000 0.000 0.141629 0.143276 0.148217 0.149941 0.154245 52.08 54.40 61748A486 07/24/06 07/24/09 100.000 0.000 0.155888 0.160262 0.164759 24.47 58.30 61748A494 07/31/06 07/20/10 100.000 0.000 0.154205 0.158248 0.162640 23.28 57.60 61748A528 06/29/06 06/30/09 100.000 0.000 0.159357 0.159384 0.163955 0.168658 0.173496 29.01 59.88 61748A585 04/28/06 04/20/10 100.000 0.000 0.152499 0.156499 0.160795 0.165208 37.34 57.73 61748A742 06/01/04 03/30/12 100.000 2.800 0.150799 0.152717 0.154686 0.156706 0.158779 54.99 56.42 61748A775 11/25/03 12/30/10 100.000 2.000 0.180926 0.184679 0.188545 0.192527 0.196627 65.82 68.60 61748A874 07/29/03 12/30/09 100.000 0.000 0.135237 0.138201 0.141230 0.144325 0.147489 49.22 51.41 61748AAA4 09/24/03 12/30/10 100.000 0.000 0.156204 0.160128 0.164151 0.168275 0.172503 56.95 59.85 61748AAC0 04/30/04 12/30/11 100.000 0.000 0.147139 0.150735 0.154418 0.158191 0.162057 53.62 56.28 61748AAD8 04/30/04 12/30/11 100.000 0.000 0.147139 0.150735 0.154418 0.158191 0.162057 53.62 56.28 61748AAF3 11/29/05 11/30/12 100.000 0.000 0.145583 0.149398 0.153312 0.157329 0.161451 53.34 56.17 61748AAG1 11/29/05 11/30/12 100.000 0.000 0.145583 0.149398 0.153312 0.157329 0.161451 53.34 56.17 Morgan Stanley 61748U300 04/21/06 04/19/10 100.000 0.000 0.154424 0.158669 0.163079 0.167612 38.91 58.56 Morton's Restaurant Group, Inc. 619429AA1 07/07/03 07/01/10* 85.000 7.500 41.50 0.054001 2.32* 619429AB9 07/07/03 07/01/10* 85.000 7.500 41.50 0.054001 2.32* 619429AC7 07/07/03 07/01/10* 85.000 7.500 41.50 0.054001 2.32* Multnomah County, OR 625506HH6 12/08/99 06/01/13 36.019 0.000 210.06 0.121503 0.126193 0.131064 0.136123 0.141377 44.87 48.40 625506HJ2 12/08/99 06/01/14 33.298 0.000 194.81 0.112747 0.117110 0.121642 0.126350 0.131240 41.64 44.93 625506HK9 12/08/99 06/01/15 30.863 0.000 180.56 0.104502 0.108546 0.112747 0.117110 0.121643 38.60 41.64 625506HL7 12/08/99 06/01/16 28.606 0.000 167.36 0.096860 0.100609 0.104502 0.108546 0.112747 35.77 38.60 625506HN3 12/08/99 06/01/20 21.112 0.000 123.52 0.071487 0.074253 0.077127 0.080112 0.083212 26.40 28.49 625506HP8 12/08/99 06/01/21 19.568 0.000 114.48 0.066259 0.068823 0.071487 0.074253 0.077127 24.47 26.40 625506HQ6 12/08/99 06/01/22 18.137 0.000 106.11 0.061413 0.063790 0.066259 0.068823 0.071487 22.68 24.47 625506HR4 12/08/99 06/01/23 16.811 0.000 98.35 0.056922 0.059125 0.061414 0.063790 0.066259 21.02 22.68 625506HS2 12/08/99 06/01/24 15.582 0.000 91.16 0.052760 0.054802 0.056923 0.059126 0.061414 19.49 21.02 625506HT0 12/08/99 06/01/25 14.442 0.000 84.49 0.048901 0.050794 0.052760 0.054802 0.056922 18.06 19.49 625506HU7 12/08/99 06/01/26 13.386 0.000 78.32 0.045326 0.047080 0.048902 0.050794 0.052760 16.74 18.06 625506HV5 12/08/99 06/01/27 12.407 0.000 72.59 0.042011 0.043637 0.045325 0.047080 0.048902 15.52 16.74 625506HW3 12/08/99 06/01/28 11.500 0.000 67.28 0.038939 0.040446 0.042011 0.043637 0.045326 14.38 15.52 625506HX1 12/08/99 06/01/29 10.659 0.000 62.36 0.036091 0.037488 0.038939 0.040446 0.042011 13.33 14.38 625506HY9 12/08/99 06/01/30 9.879 0.000 57.80 0.033451 0.034746 0.036091 0.037488 0.038938 12.35 13.33 Muzak Holdings Finance 62844VAC5 03/18/99 03/15/10 53.328 VARIES 0.361107 0.361107 0.361107 0.361106 0.361106 130.00 130.00 Nabors Industries, Inc. 629568AE6 02/05/01 02/05/21 60.841 0.000 78.87 0.047249 0.047840 0.048438 0.049043 0.049656 17.29 17.72 629568AF3 02/05/01 02/05/21 60.841 0.000 78.87 0.047249 0.047840 0.048438 0.049043 0.049656 17.29 17.72 Nash Finch Company 631158AC6 03/15/05 03/15/35 46.611 VARIES 0.105972 0.108399 0.110923 0.113548 0.116278 39.11 40.97 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Nash Finch Company 631158AD4 03/15/05 03/15/35 46.611 VARIES 0.105972 0.108399 0.110923 0.113548 0.116278 39.11 40.97 Neenah Foundry Company 640071AK2 09/30/03 09/30/10 91.536 11.000 19.73 0.027850 0.029642 0.031550 0.033580 0.035741 10.69 12.10 640071AN6 09/30/03 09/30/10 91.536 11.000 19.73 0.027850 0.029642 0.031550 0.033580 0.035741 10.69 12.10 Network Associates, Inc. 640938AA4 02/13/98 02/13/18 39.106 0.000 175.16 0.073374 0.075117 0.076901 0.078727 0.080597 27.22 28.52 Economic Development Authority, New Jersey 64578JAA4 12/22/05 07/01/15 60.170 0.000 .81 0.090458 0.092903 0.095413 0.097992 33.00 34.81 64578JAB2 12/22/05 07/01/16 56.811 0.000 .77 0.086043 0.088386 0.090792 0.093264 31.40 33.13 64578JAC0 12/22/05 07/01/17 53.569 0.000 .73 0.081803 0.084049 0.086356 0.088726 29.85 31.51 64578JAD8 12/22/05 07/01/18 50.436 0.000 .70 0.077723 0.079876 0.082088 0.084362 28.37 29.96 64578JAE6 12/22/05 07/01/19 47.535 0.000 .66 0.073714 0.075769 0.077881 0.080052 26.91 28.43 New Jersey Economic Development Authority 645913AJ3 06/30/97 02/15/06 55.059 0.000 441.10 0.188873 8.31 645913AK0 06/30/97 02/15/07 51.069 0.000 414.07 0.177711 0.184023 0.190559 66.86 8.38 645913AL8 06/30/97 02/15/08 47.236 0.000 388.63 0.167273 0.173281 0.179505 0.185953 0.192632 62.96 67.57 645913AM6 06/30/97 02/15/09 43.647 0.000 364.03 0.157107 0.162809 0.168718 0.174842 0.181188 59.16 63.54 645913AN4 06/30/97 02/15/10 40.322 0.000 340.27 0.147190 0.152580 0.158168 0.163960 0.169964 55.45 59.59 645913AP9 06/30/97 02/15/11 37.204 0.000 317.63 0.137714 0.142802 0.148078 0.153549 0.159222 51.90 55.81 645913AQ7 06/30/97 02/15/12 34.381 0.000 295.88 0.128493 0.133269 0.138223 0.143361 0.148690 48.44 52.11 645913AR5 06/30/97 02/15/13 31.673 0.000 275.49 0.119891 0.124383 0.129044 0.133880 0.138896 45.21 48.67 645913AS3 06/30/97 02/15/14 29.262 0.000 256.09 0.111586 0.115787 0.120146 0.124669 0.129362 42.09 45.32 645913AT1 06/30/97 02/15/15 27.085 0.000 237.87 0.103722 0.107637 0.111700 0.115916 0.120291 39.13 42.14 645913AU8 06/30/97 02/15/16 25.082 0.000 220.87 0.096359 0.100004 0.103786 0.107711 0.111785 36.36 39.16 645913AV6 06/30/97 02/15/17 23.177 0.000 204.99 0.089511 0.092908 0.096433 0.100093 0.103891 33.78 36.39 645913AW4 06/30/97 02/15/18 21.450 0.000 190.21 0.083099 0.086259 0.089539 0.092943 0.096477 31.36 33.79 645913AX2 06/30/97 02/15/19 19.886 0.000 176.50 0.077124 0.080058 0.083104 0.086266 0.089548 29.11 31.36 645913AY0 06/30/97 02/15/20 18.435 0.000 163.76 0.071571 0.074296 0.077124 0.080061 0.083109 27.01 29.11 645913AZ7 06/30/97 02/15/21 17.088 0.000 151.93 0.066411 0.068941 0.071568 0.074294 0.077125 25.06 27.01 645913BA1 06/30/97 02/15/22 15.838 0.000 140.94 0.061618 0.063967 0.066405 0.068937 0.071565 23.26 25.06 645913BB9 06/30/97 02/15/23 14.678 0.000 130.73 0.057164 0.059345 0.061609 0.063959 0.066399 21.58 23.25 645913BC7 06/30/97 02/15/24 13.601 0.000 121.24 0.053028 0.055052 0.057153 0.059335 0.061600 20.02 21.57 645913BD5 06/30/97 02/15/25 12.602 0.000 112.44 0.049185 0.051064 0.053015 0.055040 0.057142 18.57 20.01 645913BE3 06/30/97 02/15/26 11.676 0.000 104.27 0.045618 0.047361 0.049172 0.051051 0.053003 17.22 18.56 New Millennium Homes 647536AC5 04/11/03 12/31/07 86.094 0.000 77.67 0.083354 0.084686 0.086040 0.087415 30.25 31.14 The City of New York 649653MG4 05/27/93 05/15/06 35.938 0.000 611.82 0.214953 28.80 The City of New York 649654NK2 05/27/93 05/15/07 32.768 0.000 568.64 0.200819 0.209002 0.217518 74.54 29.15 649654NL0 05/27/93 05/15/08 29.863 0.000 527.18 0.187045 0.194751 0.202775 0.211129 0.219827 69.45 75.29 The City of New York 649655LL9 05/27/93 05/15/09 27.086 0.000 488.19 0.174193 0.181465 0.189041 0.196934 0.205155 64.70 70.22 649655LN5 05/27/93 05/15/10 24.595 0.000 450.84 0.161613 0.168433 0.175541 0.182948 0.190669 60.05 65.22 Nextlink Communications 65333HAQ6 11/17/99 12/01/09* 55.257 VARIES 0.333097 5.00* Nexstar Finance Holdings, Inc. 65335BAD6 03/27/03 04/01/13 57.442 VARIES 0.239622 0.253250 0.267653 0.282875 0.298963 91.24 101.91 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Nexstar Finance Holdings, Inc. 65335BAE4 03/27/03 04/01/13 57.442 VARIES 0.239622 0.253250 0.267653 0.282875 0.298963 91.24 101.91 65335BAF1 03/27/03 04/01/13 57.442 VARIES 0.239622 0.253250 0.267653 0.282875 0.298963 91.24 101.91 NorAm Energy Corporation 655419AC3 06/17/96 03/15/12 80.000 6.000 90.28 0.037637 0.039199 0.040825 0.042519 0.044284 14.17 15.37 Northwest Airlines, Inc. 667280AD3 11/04/03 11/15/23 100.000 7.625 0.211806 0.211806 0.211806 0.211806 0.211806 76.25 76.25 667280AE1 11/04/03 11/15/23 100.000 7.625 0.211806 0.211806 0.211806 0.211806 0.211806 76.25 76.25 667280AF8 01/29/04 02/01/09 96.227 10.000 12.17 0.019100 0.020151 0.021259 0.022428 0.023662 7.39 8.22 Northwest Airlines, Inc. 667281AQ2 12/12/03 04/01/09 85.817 10.500 43.11 0.066807 0.071622 0.076784 0.082318 0.088251 25.82 29.67 NOVA Gas Transmission 66978QAD3 10/17/95 10/17/25 100.000 VARIES 0.024740 0.024512 0.024549 0.024316 0.024213 8.97 8.89 Novi, Michigan 670012ZJ5 10/11/95 10/01/07 95.988 6.500 32.02 0.012113 0.012538 0.012976 0.013431 4.51 3.59 670012ZK2 10/11/95 10/01/08 93.268 6.250 47.64 0.018061 0.018698 0.019357 0.020039 0.020746 6.73 7.22 670012ZL0 10/11/95 10/01/09 90.349 6.000 60.85 0.023121 0.023942 0.024792 0.025672 0.026584 8.62 9.24 O'Sullivan Industries 67104RAA2 11/30/99 10/15/09 94.546 13.375 24.64 0.016750 0.017959 0.019254 0.020643 0.022132 6.44 7.40 67104RAB0 11/30/99 10/15/09 94.546 13.375 24.64 0.016750 0.017959 0.019254 0.020643 0.022132 6.44 7.40 67104RAC8 11/30/99 10/15/09 94.546 13.375 24.64 0.016750 0.017959 0.019254 0.020643 0.022132 6.44 7.40 67104RAD6 11/30/99 10/15/09 94.546 13.375 24.64 0.016750 0.017959 0.019254 0.020643 0.022132 6.44 7.40 Ocean Star 2004 PLC 675067AF9 10/07/04 11/13/10 100.000 VARIES 0.127353 0.125005 0.122527 0.120182 0.117882 45.19 43.46 Lee and DeKalb Counties 676865AC2 06/05/03 12/01/06 101.805 VARIES 0.085929 0.085691 28.31 Omnicom Group, Inc. 681919AH9 02/07/01 02/07/31 100.000 VARIES 0.250900 0.259319 0.268020 0.277014 0.285305 94.30 100.60 681919AJ5 02/07/01 02/07/31 100.000 VARIES 0.250900 0.259319 0.268020 0.277014 0.285305 94.30 100.60 681919AK2 02/07/01 02/07/31 100.000 VARIES 0.250900 0.259319 0.268020 0.277014 0.285305 94.30 100.60 681919AL0 03/06/02 07/31/32 102.250 VARIES 0.232756 0.244533 0.248596 0.261174 0.265515 89.53 95.62 681919AM8 03/06/02 07/31/32 102.250 VARIES 0.232756 0.244533 0.248596 0.261174 0.265515 89.53 95.62 681919AN6 06/10/03 06/15/33 100.000 VARIES 0.143260 0.146555 0.149926 0.153374 0.156902 52.27 54.71 681919AP1 06/10/03 06/15/33 100.000 VARIES 0.143260 0.146555 0.149926 0.153374 0.156902 52.27 54.71 681919AQ9 06/10/03 07/01/38 100.000 VARIES 0.143553 0.203921 0.211404 0.219163 62.55 77.50 681919AR7 06/10/03 06/15/33 100.000 VARIES 0.143260 0.146555 0.149926 0.153374 0.156902 52.27 54.71 681919AT3 06/30/06 07/01/38 100.000 VARIES 0.203877 0.203921 0.211404 0.219163 36.91 77.50 681919AU0 06/30/06 07/01/38 100.000 VARIES 0.203877 0.203921 0.211404 0.219163 36.91 77.50 Oneok, Inc. 682680400 01/28/03 02/16/08 100.000 VARIES 0.139540 0.139497 0.138711 0.137905 0.137081 50.11 49.57 682680AP8 01/28/03 02/16/08 100.000 VARIES 0.139540 0.139497 0.138711 0.137905 0.137081 50.11 49.57 Orange County, CA 68428LAV6 06/12/96 09/01/11 29.734 0.000 339.43 0.139991 0.145680 0.151601 0.157763 0.164175 52.81 57.19 68428LAW4 06/12/96 09/01/12 27.201 0.000 313.74 0.129699 0.135009 0.140537 0.146291 0.152281 48.95 53.04 68428LAX2 06/12/96 09/01/13 25.020 0.000 289.58 0.119805 0.124722 0.129841 0.135171 0.140719 45.22 49.01 68428LAY0 06/12/96 09/01/10 32.377 0.000 367.05 0.151145 0.157258 0.163618 0.170235 0.177120 57.01 61.71 68428LAZ7 06/12/96 09/01/14 23.005 0.000 267.17 0.110622 0.115174 0.119913 0.124847 0.129983 41.76 45.27 68428LBA1 06/12/96 09/01/15 21.183 0.000 246.44 0.102078 0.106283 0.110662 0.115220 0.119967 38.54 41.78 68428LBB9 06/12/96 09/01/16 19.464 0.000 227.21 0.094190 0.098079 0.102130 0.106347 0.110739 35.56 38.56 68428LBT0 03/03/97 09/01/11 34.929 0.000 313.65 0.132817 0.137725 0.142814 0.148091 0.153563 49.90 53.65 68428LBU7 04/01/97 09/01/12 30.602 0.000 293.37 0.127042 0.132015 0.137183 0.142554 0.148134 47.85 51.67 68428LBV5 04/01/97 09/01/13 28.339 0.000 271.69 0.117651 0.122257 0.127043 0.132017 0.137185 44.31 47.85 68428LBW3 01/17/97 09/01/14 26.499 0.000 255.53 0.108263 0.112420 0.116737 0.121219 0.125873 40.74 43.93 68428LBX1 04/01/97 09/01/15 24.175 0.000 232.96 0.100994 0.104963 0.109088 0.113374 0.117830 38.04 41.09 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Orange County, CA 68428LBY9 01/17/97 09/01/16 22.492 0.000 219.57 0.093272 0.096886 0.100640 0.104539 0.108590 35.11 37.89 68428LBZ6 01/17/97 09/01/17 20.762 0.000 203.40 0.086466 0.089825 0.093315 0.096940 0.100706 32.55 35.13 68428LCA0 01/17/97 09/01/18 19.198 0.000 188.40 0.080123 0.083240 0.086478 0.089842 0.093336 30.17 32.56 68428LCB8 01/17/97 09/01/19 17.826 0.000 174.64 0.074240 0.077124 0.080121 0.083233 0.086467 27.95 30.17 68428LCC6 01/17/97 09/01/20 16.480 0.000 161.73 0.068781 0.071456 0.074236 0.077123 0.080123 25.90 27.95 68428LCD4 01/17/97 09/01/21 15.306 0.000 149.94 0.063743 0.066219 0.068792 0.071464 0.074240 24.00 25.90 68428LCF9 01/17/97 09/01/06 50.677 0.000 447.37 0.186072 0.192761 45.86 68428LCG7 01/17/97 09/01/07 46.931 0.000 418.91 0.174632 0.180961 0.187520 0.194317 65.55 46.23 68428LCH5 01/17/97 09/01/08 43.315 0.000 392.32 0.164044 0.170055 0.176287 0.182746 0.189443 61.61 66.20 68428LCJ1 01/17/97 09/01/09 39.915 0.000 366.82 0.153845 0.159544 0.165455 0.171584 0.177941 57.80 62.17 68428LCK8 01/17/97 09/01/10 36.871 0.000 341.91 0.143669 0.149027 0.154585 0.160351 0.166331 54.00 58.10 Oregon Community College 68583RAC6 04/23/03 06/30/06 91.623 0.000 70.21 0.075735 13.56 68583RAD4 04/23/03 06/30/07 87.036 0.000 81.20 0.088375 0.089853 0.091355 32.08 16.35 68583RAE2 04/23/03 06/30/08 82.583 0.000 86.16 0.094316 0.096072 0.097861 0.099683 0.101539 34.27 35.56 68583RAF9 04/23/03 06/30/09 77.449 0.000 91.01 0.100319 0.102412 0.104549 0.106731 0.108958 36.50 38.03 68583RAG7 04/23/03 06/30/10 72.765 0.000 91.95 0.101818 0.104095 0.106423 0.108803 0.111237 37.07 38.75 68583RAH5 04/23/03 06/30/11 68.075 0.000 91.69 0.101960 0.104383 0.106863 0.109402 0.112002 37.15 38.93 68583RAJ1 04/23/03 06/30/12 63.740 0.000 89.85 0.100234 0.102721 0.105269 0.107881 0.110558 36.54 38.37 68583RAK8 04/23/03 06/30/13 59.557 0.000 87.35 0.097723 0.100240 0.102823 0.105471 0.108188 35.64 37.50 68583RAL6 04/23/03 06/30/14 55.504 0.000 84.42 0.094697 0.097222 0.099813 0.102474 0.105206 34.55 36.42 68583RAM4 04/23/03 06/30/15 51.363 0.000 81.38 0.091585 0.094122 0.096730 0.099411 0.102166 33.43 35.31 68583RAN2 04/23/03 06/30/16 47.583 0.000 77.85 0.087832 0.090341 0.092921 0.095575 0.098304 32.08 33.93 68583RAP7 04/23/03 06/30/17 44.239 0.000 74.00 0.083638 0.086076 0.088586 0.091169 0.093828 30.55 32.36 68583RAQ5 04/23/03 06/30/18 40.975 0.000 70.17 0.079461 0.081830 0.084269 0.086781 0.089367 29.04 30.79 68583RAR3 04/23/03 06/30/19 37.976 0.000 66.31 0.075217 0.077501 0.079854 0.082278 0.084775 27.49 29.19 68583RAS1 04/23/03 06/30/20 35.297 0.000 62.50 0.070981 0.073164 0.075414 0.077734 0.080124 25.95 27.57 68583RAT9 04/23/03 06/30/21 32.815 0.000 58.81 0.066860 0.068940 0.071085 0.073296 0.075576 24.45 25.99 68583RAU6 04/23/03 06/30/22 30.636 0.000 55.28 0.062888 0.064857 0.066887 0.068981 0.071141 23.00 24.46 68583RAV4 04/23/03 06/30/23 28.748 0.000 51.96 0.059122 0.060976 0.062888 0.064859 0.066893 21.62 23.00 Oregon School Boards Association 686053AD1 10/31/02 06/30/06 89.333 0.000 91.49 0.084780 15.18 686053AE9 10/31/02 06/30/07 85.050 0.000 98.88 0.092279 0.093894 0.095536 33.51 17.10 686053AF6 10/31/02 06/30/08 80.119 0.000 105.77 0.099485 0.101450 0.103453 0.105496 0.107579 36.17 37.62 686053AG4 10/31/02 06/30/09 75.501 0.000 107.94 0.102088 0.104263 0.106483 0.108751 0.111067 37.15 38.75 686053AH2 10/31/02 06/30/10 70.827 0.000 108.58 0.103212 0.105560 0.107961 0.110417 0.112929 37.58 39.31 686053AJ8 10/31/02 06/30/11 66.180 0.000 107.87 0.103024 0.105507 0.108049 0.110653 0.113319 37.54 39.37 686053AK5 10/31/02 06/30/12 62.040 0.000 105.15 0.100743 0.103261 0.105842 0.108488 0.111200 36.73 38.58 686053AL3 10/31/02 06/30/13 57.955 0.000 102.02 0.098043 0.100582 0.103187 0.105859 0.108601 35.76 37.63 686053AM1 10/31/02 06/30/14 53.950 0.000 98.51 0.094968 0.097513 0.100126 0.102809 0.105564 34.65 36.53 686053AN9 10/31/02 06/30/15 50.233 0.000 94.48 0.091321 0.093836 0.096421 0.099077 0.101806 33.33 35.20 686053AP4 10/31/02 06/30/16 46.574 0.000 90.34 0.087559 0.090041 0.092594 0.095218 0.097918 31.97 33.81 686053AQ2 10/31/02 06/30/17 43.110 0.000 86.00 0.083576 0.086007 0.088510 0.091085 0.093735 30.53 32.33 686053AR0 10/31/02 06/30/18 40.030 0.000 81.49 0.079342 0.081694 0.084116 0.086610 0.089177 28.99 30.74 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Oregon School Boards Association 686053AS8 10/31/02 06/30/19 37.212 0.000 77.00 0.075083 0.077343 0.079671 0.082069 0.084539 27.44 29.12 686053AT6 10/31/02 06/30/20 34.591 0.000 72.60 0.070897 0.073060 0.075288 0.077584 0.079950 25.92 27.52 686053BV0 04/21/03 06/30/06 91.623 0.000 70.24 0.075604 13.53 686053BW8 04/21/03 06/30/07 87.036 0.000 81.27 0.088263 0.089736 0.091235 32.04 16.33 686053BX6 04/21/03 06/30/08 82.583 0.000 86.25 0.094224 0.095976 0.097761 0.099579 0.101431 34.24 35.52 686053BY4 04/21/03 06/30/09 77.449 0.000 91.13 0.100241 0.102331 0.104464 0.106642 0.108865 36.47 38.00 686053BZ1 04/21/03 06/30/10 72.765 0.000 92.08 0.101754 0.104028 0.106353 0.108729 0.111159 37.05 38.72 686053CA5 04/21/03 06/30/11 68.075 0.000 91.83 0.101908 0.104327 0.106805 0.109341 0.111938 37.13 38.91 686053CB3 04/21/03 06/30/12 63.740 0.000 89.99 0.100192 0.102676 0.105222 0.107831 0.110505 36.52 38.35 686053CC1 04/21/03 06/30/13 59.557 0.000 87.49 0.097689 0.100204 0.102784 0.105431 0.108145 35.63 37.48 686053CD9 04/21/03 06/30/14 55.504 0.000 84.56 0.094670 0.097193 0.099783 0.102442 0.105171 34.54 36.41 686053CE7 04/21/03 06/30/15 51.363 0.000 81.52 0.091564 0.094100 0.096706 0.099385 0.102137 33.42 35.30 686053CF4 04/21/03 06/30/16 47.583 0.000 77.99 0.087817 0.090324 0.092902 0.095554 0.098282 32.07 33.93 686053CG2 04/21/03 06/30/17 44.239 0.000 74.13 0.083626 0.086064 0.088572 0.091154 0.093811 30.55 32.36 686053CH0 04/21/03 06/30/18 40.975 0.000 70.29 0.079453 0.081820 0.084258 0.086769 0.089354 29.03 30.79 686053CJ6 04/21/03 06/30/19 37.976 0.000 66.43 0.075212 0.077494 0.079846 0.082269 0.084766 27.49 29.19 686053CK3 04/21/03 06/30/20 35.297 0.000 62.62 0.070977 0.073160 0.075409 0.077728 0.080118 25.95 27.57 686053CL1 04/21/03 06/30/21 32.815 0.000 58.92 0.066859 0.068938 0.071082 0.073292 0.075572 24.45 25.99 686053CM9 04/21/03 06/30/22 30.636 0.000 55.39 0.062888 0.064856 0.066886 0.068979 0.071138 23.00 24.46 686053CN7 04/21/03 06/30/23 28.748 0.000 52.06 0.059123 0.060976 0.062888 0.064859 0.066892 21.62 23.00 PF.NET Communications 69333SAA9 05/10/00 05/15/10 76.400 13.750 81.46 0.065653 0.071931 0.078811 0.086348 0.094606 25.37 30.46 69333SAB7 05/10/00 05/15/10 76.400 13.750 81.46 0.065653 0.071931 0.078811 0.086348 0.094606 25.37 30.46 69333SAC5 05/10/00 05/15/10 76.400 13.750 81.46 0.065653 0.071931 0.078811 0.086348 0.094606 25.37 30.46 PMA Capital Corporation 693419AA1 10/21/02 09/30/22 100.000 VARIES 0.229577 0.232559 0.238258 0.241518 0.245863 85.15 88.27 PPL Capital Funding 69352FAA3 05/09/01 05/18/06 100.543 VARIES 0.206879 28.34 Panamsat Holding Corporation 69831YAA3 10/19/04 11/01/14 60.103 VARIES 0.192293 0.202268 0.212759 0.223795 0.235403 72.25 79.94 69831YAB1 10/19/04 11/01/14 60.103 VARIES 0.192293 0.202268 0.212759 0.223795 0.235403 72.25 79.94 Park n' View, Inc. 700592AB4 05/27/98 05/15/08 93.800 13.000 38.93 0.023281 0.024932 0.026700 0.028593 0.030620 8.84 10.13 Paterson, City of 7031302A1 04/11/03 04/01/15 51.501 0.000 83.94 0.092206 0.094797 0.097461 0.100199 0.103015 34.13 36.08 7031302B9 04/11/03 04/01/16 47.811 0.000 80.14 0.088202 0.090746 0.093364 0.096058 0.098829 32.68 34.59 7031302C7 04/11/03 04/01/17 44.317 0.000 76.21 0.084022 0.086504 0.089061 0.091692 0.094402 31.15 33.02 703130Y99 04/11/03 04/01/06 91.771 0.000 75.12 0.079674 7.17 703130Z23 04/11/03 04/01/07 87.261 0.000 85.45 0.091288 0.092867 0.094473 33.43 8.50 703130Z31 04/11/03 04/01/08 82.728 0.000 90.54 0.097216 0.099087 0.100994 0.102938 0.104920 35.67 37.06 703130Z49 04/11/03 04/01/09 77.835 0.000 94.23 0.101689 0.103845 0.106047 0.108295 0.110590 37.39 38.99 703130Z56 04/11/03 04/01/10 72.826 0.000 96.04 0.104128 0.106523 0.108973 0.111479 0.114043 38.35 40.14 703130Z64 04/11/03 04/01/11 68.193 0.000 95.30 0.103665 0.106184 0.108764 0.111407 0.114114 38.23 40.11 703130Z72 04/11/03 04/01/12 63.812 0.000 93.25 0.101710 0.104288 0.106932 0.109642 0.112422 37.55 39.48 703130Z80 04/11/03 04/01/13 59.701 0.000 90.34 0.098751 0.101338 0.103993 0.106718 0.109514 36.49 38.42 703130Z98 04/11/03 04/01/14 55.492 0.000 87.37 0.095755 0.098359 0.101035 0.103783 0.106605 35.42 37.37 Penton Media, Inc. 709668AA5 06/28/01 06/15/11 97.749 10.375 7.39 0.005834 0.006148 0.006478 0.006826 0.007193 2.17 2.41 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Penton Media, Inc. 709668AB3 06/28/01 06/15/11 97.749 10.375 7.39 0.005834 0.006148 0.006478 0.006826 0.007193 2.17 2.41 City of Peoria, IL School District #150 713040FA6 08/15/05 01/01/11 77.688 0.000 13.94 0.104328 0.106805 0.109341 0.111938 38.00 39.83 713040FB4 08/15/05 01/01/12 73.711 0.000 13.48 0.100898 0.103339 0.105839 0.108400 36.76 38.56 713040FC2 08/15/05 01/01/13 69.865 0.000 12.98 0.097245 0.099637 0.102088 0.104599 35.44 37.20 Peoria County, Illinois 713165EE4 06/01/04 12/01/06 106.585 VARIES 0.104161 0.102768 34.12 713165EG9 06/01/04 12/01/08 107.011 VARIES 0.137051 0.136029 0.134982 0.133911 0.132815 49.09 48.34 713165EH7 06/01/04 12/01/09 108.053 VARIES 0.140816 0.139867 0.138896 0.137902 0.136885 50.47 49.76 Petro Stopping Centers Holdings, LP 71646DAE2 07/23/99 08/01/08 36.636 VARIES 0.476704 0.482315 0.488452 0.495162 0.502499 174.39 179.16 71646DAJ1 02/09/04 04/30/14 93.312 5.000 0.155961 0.161272 0.166802 0.172563 0.178564 57.76 61.79 71646DAK8 02/09/04 04/30/14 100.000 5.000 0.155961 0.161272 0.166802 0.172563 0.178564 57.76 61.79 Philadelphia Authority 71781LAP4 02/03/99 04/15/24 19.046 0.000 109.74 0.055007 0.056847 0.058748 0.060713 0.062744 20.42 21.81 71781LAQ2 02/03/99 04/15/12 43.760 0.000 237.04 0.117591 0.121330 0.125188 0.129169 0.133275 43.58 46.40 71781LAR0 02/03/99 04/15/13 40.766 0.000 223.36 0.111014 0.114577 0.118254 0.122050 0.125967 41.16 43.84 71781LAS8 02/03/99 04/15/14 37.933 0.000 210.21 0.104672 0.108063 0.111564 0.115179 0.118910 38.82 41.37 71781LAT6 02/03/99 04/15/15 35.256 0.000 197.58 0.098570 0.101793 0.105121 0.108559 0.112108 36.56 38.99 71781LAU3 02/03/99 04/15/16 32.784 0.000 185.45 0.092662 0.095715 0.098869 0.102126 0.105491 34.38 36.68 71781LAV1 02/03/99 04/15/17 30.618 0.000 173.84 0.086915 0.089788 0.092755 0.095820 0.098987 32.25 34.42 71781LAW9 02/03/99 04/15/18 28.637 0.000 162.89 0.081468 0.084165 0.086950 0.089828 0.092801 30.23 32.26 71781LAX7 02/03/99 04/15/19 26.727 0.000 152.59 0.076363 0.078898 0.081517 0.084223 0.087019 28.34 30.25 71781LAY5 02/03/99 04/15/20 24.985 0.000 142.91 0.071542 0.073920 0.076378 0.078917 0.081541 26.55 28.35 71781LAZ2 02/03/99 04/15/21 23.403 0.000 133.86 0.067012 0.069240 0.071542 0.073920 0.076378 24.87 26.55 71781LBA6 02/03/99 04/15/22 21.872 0.000 125.33 0.062763 0.064853 0.067012 0.069243 0.071549 23.29 24.87 71781LBB4 02/03/99 04/15/23 20.437 0.000 117.33 0.058772 0.060731 0.062757 0.064849 0.067012 21.81 23.29 71781LBC2 02/03/99 04/15/25 17.878 0.000 102.83 0.051524 0.053245 0.055023 0.056861 0.058760 19.12 20.42 71781LBD0 02/03/99 04/15/26 16.697 0.000 96.21 0.048224 0.049837 0.051504 0.053227 0.055007 17.90 19.12 The Phoenix Companies, Inc. 71902EAA7 12/20/02 02/16/08 100.000 VARIES 0.210647 0.210593 0.209470 0.208305 0.207098 75.66 74.88 Pindo Deli Finance Mauritius Limited 722299AH7 10/01/97 10/01/27 92.750 10.875 0.007915 0.008384 0.008880 0.009406 0.009964 3.02 3.39 Pittsburgh, PA 7252085X6 03/14/97 03/01/06 57.478 0.000 0.200068 12.00 7252085Y4 03/14/97 09/01/06 55.533 0.000 0.193310 0.200076 47.61 7252085Z1 03/14/97 03/01/07 53.656 0.000 0.186769 0.193306 0.200071 70.01 12.00 7252086B3 03/14/97 03/01/24 47.086 VARIES 0.179028 0.185652 0.192521 0.199644 0.199733 67.26 71.46 Playboy Enterprises,Inc. 728117AA0 03/15/05 03/15/25 100.000 VARIES 0.220399 0.225711 0.231228 0.236959 0.242912 81.45 85.51 728117AB8 03/15/05 03/15/25 100.000 VARIES 0.220399 0.225711 0.231228 0.236959 0.242912 81.45 85.51 Pliant Corporation 729136AG6 02/17/04 06/15/09 73.627 VARIES 0.277208 0.292619 0.308886 0.308878 0.308870 103.08 111.20 729136AH4 02/17/04 06/15/09 73.627 VARIES 0.277208 0.292619 0.308886 0.308878 0.308870 103.08 111.20 729136AJ0 02/17/04 06/15/09 73.627 VARIES 0.277208 0.292619 0.308886 0.308878 0.308870 103.08 111.20 Pope & Talbot, Inc. 732827AC4 07/30/02 06/01/13 86.415 8.375 28.05 0.027440 0.028881 0.030397 0.031994 0.033674 10.23 11.33 732827AD2 07/30/02 06/01/13 86.415 8.375 28.05 0.027440 0.028881 0.030397 0.031994 0.033674 10.23 11.33 Presidio Independent School District 741020DW8 05/14/98 02/15/12 38.054 0.000 270.02 0.125792 0.130288 0.134945 0.139769 0.144765 47.34 50.78 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Presidio Independent School District 741020DX6 05/14/98 02/15/13 35.472 0.000 251.71 0.117261 0.121452 0.125793 0.130290 0.134947 44.13 47.34 741020DY4 05/14/98 02/15/14 33.066 0.000 234.63 0.109306 0.113213 0.117260 0.121452 0.125793 41.14 44.13 741020DZ1 05/14/98 02/15/15 30.822 0.000 218.72 0.101893 0.105535 0.109308 0.113215 0.117262 38.35 41.14 741020EA5 05/14/98 02/15/16 28.486 0.000 203.94 0.095162 0.098587 0.102136 0.105813 0.109621 35.82 38.45 741020EB3 05/14/98 02/15/17 26.541 0.000 190.02 0.088664 0.091855 0.095162 0.098587 0.102136 33.38 35.82 741020EC1 05/14/98 02/15/18 24.728 0.000 177.04 0.082610 0.085583 0.088664 0.091856 0.095162 31.10 33.38 741020ED9 05/14/98 02/15/19 22.810 0.000 164.75 0.077000 0.079791 0.082683 0.085680 0.088786 29.00 31.14 741020EE7 05/14/98 02/15/20 21.242 0.000 153.43 0.071707 0.074307 0.077000 0.079791 0.082683 27.00 29.00 741020EF4 05/14/98 02/15/21 19.782 0.000 142.88 0.066779 0.069199 0.071707 0.074307 0.077000 25.15 27.00 741020EG2 05/14/98 02/15/22 18.422 0.000 133.06 0.062189 0.064443 0.066779 0.069199 0.071707 23.42 25.15 Pride International Inc. 74153QAC6 03/28/03 05/15/33 100.000 VARIES 0.262139 0.269229 0.276612 0.284299 0.292303 96.31 101.69 74153QAD4 03/28/03 05/15/33 100.000 VARIES 0.262139 0.269229 0.276612 0.284299 0.292303 96.31 101.69 Pride International Inc. 741932AE7 01/16/01 01/16/21 60.841 0.000 79.77 0.047249 0.047840 0.048438 0.049043 0.049656 17.31 17.75 Proassurance Corporation 74267CAA4 07/07/03 06/30/23 97.250 VARIES 0.266719 0.273648 0.280880 0.288429 0.296308 97.28 102.49 Providian Financial Corporation 74406AAB8 02/15/01 02/15/21* 45.289 0.000 96.53 0.060138 0.061341 3.93* 74406AAC6 05/27/03 05/15/08 100.000 4.000 0.364274 0.378196 0.392883 0.408377 0.424724 134.96 145.69 74406AAD4 03/19/04 03/15/16 100.000 VARIES 0.291673 0.301899 0.312610 0.323831 0.335584 109.06 116.99 Providian Corporation 74406QAM9 05/08/95 06/02/25 62.648 5.000 47.91 0.019059 0.019863 0.020701 0.021574 0.022484 7.05 7.66 Prudential Financial 744320AA0 12/18/01 11/15/06 100.000 VARIES 0.172139 0.171284 53.90 744320AB8 11/16/05 11/15/35 98.500 VARIES 0.167139 0.170891 0.174779 0.178785 0.182913 61.20 64.02 744320AC6 11/16/05 11/15/35 98.500 VARIES 0.167140 0.170892 0.174779 0.178786 0.182914 61.20 64.02 PURE Mortgages 2004 74622TAF6 12/10/04 11/30/09 100.000 VARIES 0.127693 0.126794 0.125921 0.125055 0.124174 45.75 45.12 QBE Funding Trust II 747271AA2 09/10/02 04/15/22 55.100 0.000 58.35 0.051538 0.052327 0.053129 0.053943 0.054770 18.82 19.40 QBE Funding Trust 74729CAA6 04/15/02 04/15/22 59.358 0.000 60.33 0.047418 0.048041 0.048671 0.049310 0.049957 17.28 17.73 QBE Funding Trust III 74729LAA6 09/24/04 09/24/24 67.165 0.000 17.19 0.038064 0.038445 0.038830 0.039218 0.039610 13.85 14.12 Quicksilver Resources 74837RAA2 11/01/04 11/01/24 98.500 VARIES 0.193801 0.198583 0.203527 0.208637 0.213921 71.21 74.81 74837RAB0 11/01/04 11/01/24 98.500 VARIES 0.193801 0.198583 0.203527 0.208637 0.213921 71.21 74.81 RC Trust I 749387403 05/09/01 05/15/06 100.000 VARIES 0.208146 27.89 R.J.Tower Corporation 74962JAD1 06/13/03 06/01/13 97.205 12.000 4.32 0.005574 0.005922 0.006292 0.006685 0.007103 2.09 2.36 RSL Communications, PLC 74972EAH1 11/09/98 11/01/08 94.489 12.000 32.01 0.019064 0.020303 0.021623 0.023029 0.024526 7.24 8.21 Radio Unica Corporation 750408AC0 07/27/98 08/01/06 63.256 VARIES 0.326376 0.326375 68.54 Regal Beloit Corporation 758750AA1 04/05/04 03/15/24 100.000 VARIES 0.265031 0.273284 0.281899 0.290890 0.300275 98.68 105.05 758750AB9 04/05/04 03/15/24 100.000 VARIES 0.265031 0.273284 0.281899 0.290890 0.300275 98.68 105.05 Reliant Energy, Inc. 75952J207 09/21/99 09/15/29 100.000 2.000 0.440943 0.459862 0.479710 0.500532 0.522377 166.25 180.97 Rhodia, SA 762397AK3 05/17/04 06/01/10 96.743 10.250 6.81 0.012906 0.013616 0.014365 0.015155 0.015989 4.82 5.36 762397AL1 05/17/04 06/01/10 96.743 10.250 6.81 0.012906 0.013616 0.014365 0.015155 0.015989 4.82 5.36 762397AM9 05/17/04 06/01/10 96.743 10.250 6.81 0.012906 0.013616 0.014365 0.015155 0.015989 4.82 5.36 Roche Holdings, Inc. 771196AG7 01/19/00 01/19/15 66.386 0.000 117.15 0.058930 0.059741 0.060562 0.061395 0.062239 21.63 22.22 771196AH5 01/19/00 01/19/15 66.386 0.000 117.15 0.058930 0.059741 0.060562 0.061395 0.062239 21.63 22.22 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Roche Holdings, Inc. 771196AJ1 01/19/00 01/19/15 66.386 0.000 117.15 0.058930 0.059741 0.060562 0.061395 0.062239 21.63 22.22 Rockwell ISD, TX 774285UV0 07/02/98 08/15/08 52.654 0.000 320.43 0.147895 0.152657 0.157571 0.162645 0.167881 55.42 59.04 Roper Industries, Inc. 776696AA4 12/29/03 01/15/34 39.502 1.482 0.080813 0.082200 0.083636 0.085123 0.086662 29.81 30.88 Royal Bank of Canada 78008EAC1 08/31/05 02/26/10 100.000 0.000 0.125588 0.128364 0.131266 0.134233 0.137268 46.42 48.54 78008EAK3 01/31/06 07/28/09 100.000 0.000 0.136328 0.139636 0.143062 0.146573 45.63 51.95 78008EAM9 01/31/06 01/31/11 100.000 0.000 0.137778 0.141195 0.144696 0.148285 46.12 52.53 78008EAQ0 02/28/06 08/28/09 100.000 0.000 0.141945 0.145571 0.149291 0.153105 43.46 54.00 78008EAR8 02/28/06 02/27/09 100.000 0.000 0.141290 0.142521 0.148589 0.149904 43.53 54.06 78008EAX5 03/31/06 03/31/11 100.000 0.000 0.146389 0.150246 0.154205 0.158268 40.02 55.53 78008EAZ0 04/28/06 10/30/09 100.000 0.000 0.149756 0.149801 0.153839 0.157986 0.162245 36.65 56.64 78008EBC0 04/28/06 04/29/11 100.000 0.000 0.152689 0.152714 0.156911 0.161224 0.165655 37.37 57.81 78008EBE6 05/31/06 05/31/11 100.000 0.000 0.151944 0.156100 0.160369 0.164755 32.19 57.23 78008EBG1 05/31/06 05/30/08 100.000 0.000 0.145578 0.151933 0.153459 0.159301 31.50 55.97 78008EBJ5 05/31/06 11/30/09 100.000 0.000 0.150000 0.154050 0.158209 0.162481 31.78 56.47 78008EBK2 06/30/06 06/30/10 100.000 0.000 0.159722 0.164314 0.169038 0.173898 28.91 60.01 78008EBN6 06/30/06 06/30/11 100.000 0.000 0.160278 0.164902 0.169659 0.174554 29.01 60.23 78008EBP1 07/31/06 01/29/10 100.000 0.000 0.152065 0.156204 0.160480 22.96 56.77 78008EBT3 08/31/06 08/31/11 100.000 0.000 0.148314 0.150538 0.155376 17.95 54.65 78008ECA3 09/29/06 09/30/11 100.000 0.000 0.139919 0.139940 0.143464 0.147077 12.87 51.66 SG Holdings Inc. 784186AP3 01/31/01 01/31/06 100.000 0.000 0.206642 6.20 784186AQ1 02/28/01 02/28/06 100.000 0.000 0.197246 11.44 784186AR9 02/28/01 02/28/06 100.000 0.000 0.197246 11.44 784186AS7 03/30/01 03/31/06 100.000 0.000 0.192076 17.09 784186AT5 03/30/01 03/31/06 100.000 0.000 0.192076 17.09 784186AU2 04/30/01 04/28/06 100.000 0.000 0.185340 21.68 784186AV0 04/30/01 04/28/06 100.000 0.000 0.185340 21.68 784186AW8 05/31/01 05/31/06 100.000 0.000 0.193498 29.02 784186AX6 05/31/01 05/31/06 100.000 0.000 0.193498 29.02 784186AY4 06/29/01 06/30/06 100.000 0.000 0.195053 35.11 784186AZ1 06/29/01 06/30/06 100.000 0.000 0.195053 35.11 784186BA5 07/31/01 07/31/06 100.000 0.000 0.194089 0.202933 42.55 784186BB3 08/31/01 08/31/06 100.000 0.000 0.183245 0.185094 44.69 784186BC1 08/31/01 08/31/07 100.000 0.000 0.184367 0.187168 0.194306 0.197258 68.08 46.58 784186BD9 11/02/01 11/02/06 100.000 0.000 0.146344 0.147157 44.78 784186BE7 11/02/01 11/02/06 100.000 0.000 0.146344 0.147157 44.78 784186BF4 01/31/02 01/31/07 100.000 0.000 0.161084 0.167839 0.169221 61.27 5.08 784186BG2 03/15/02 03/15/07 100.000 0.000 0.154956 0.156055 0.162416 57.57 11.86 SG Structured Products 78422XBL6 10/31/02 10/31/08 100.000 0.000 0.110246 0.112213 0.114216 0.116254 0.118329 40.28 41.74 78422XBU6 02/28/03 02/29/08 100.000 1.250 0.139356 0.140161 0.144170 0.145029 0.148371 50.90 52.56 SLM Corporation 78442FCY2 10/01/04 10/01/14 100.000 VARIES 0.137510 0.137573 0.137637 0.137703 0.137771 49.53 49.57 St. Clair County, IL 788448HB7 11/03/04 12/01/06 103.698 VARIES 0.101029 0.100129 33.18 788448HC5 11/03/04 12/01/07 104.904 VARIES 0.114108 0.113228 0.112331 0.111416 40.87 36.90 St. Mary Land & Exploration Company 792228AA6 03/12/02 03/15/22 100.000 VARIES 0.325896 0.334203 0.342925 0.352084 0.361700 120.62 127.09 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ St. Mary Land & Exploration Company 792228AB4 03/12/02 03/15/22 100.000 VARIES 0.325896 0.334203 0.342925 0.352084 0.361700 120.62 127.09 792228AC2 03/12/02 03/15/22 100.000 VARIES 0.325896 0.334203 0.342925 0.352084 0.361700 120.62 127.09 Salomon Smith Barney Holdings, Inc. 79548GBA4 02/28/03 02/28/18 41.198 0.000 75.49 0.080487 0.081980 0.085387 0.086971 0.090079 29.84 31.59 Salomon, Inc. 79549GZN9 03/01/96 03/01/16* 47.900 VARIES 0.229492 13.77* 79549GZS8 04/04/96 04/04/16* 44.500 VARIES 0.254271 23.65* Compass Minerals International, Inc. 795559AD5 05/22/03 06/01/13 55.677 VARIES 0.249080 0.264024 0.279864 0.296654 0.314452 93.28 104.81 795559AE3 05/22/03 06/01/13 55.677 VARIES 0.249080 0.264024 0.279864 0.296654 0.314452 93.28 104.81 San Luis Obispo County 798703AQ7 07/02/03 09/01/18 45.439 0.000 63.10 0.074441 0.076403 0.078416 0.080482 0.082602 27.63 29.10 798703AR5 07/02/03 09/01/19 42.462 0.000 60.15 0.071034 0.072941 0.074899 0.076910 0.078975 26.38 27.81 798703AS3 07/02/03 09/01/20 39.603 0.000 57.20 0.067628 0.069477 0.071377 0.073329 0.075335 25.13 26.52 798703AT1 07/02/03 09/01/21 37.061 0.000 54.25 0.064192 0.065970 0.067797 0.069675 0.071605 23.86 25.20 798703AU8 07/02/03 09/01/22 34.700 0.000 51.38 0.060830 0.062533 0.064284 0.066084 0.067934 22.62 23.90 798703AV6 07/02/03 09/01/23 32.578 0.000 48.60 0.057568 0.059192 0.060861 0.062577 0.064341 21.41 22.64 798703AW4 07/02/03 09/01/24 30.563 0.000 45.94 0.054436 0.055982 0.057572 0.059207 0.060888 20.25 21.42 798703AX2 07/02/03 09/01/25 28.774 0.000 43.41 0.051452 0.052918 0.054427 0.055978 0.057573 19.14 20.25 798703AY0 07/02/03 09/01/26 27.018 0.000 40.99 0.048598 0.049990 0.051422 0.052895 0.054411 18.08 19.14 798703AZ7 07/02/03 09/01/27 25.534 0.000 38.74 0.045928 0.047244 0.048598 0.049990 0.051422 17.09 18.08 798703BA1 07/02/03 09/01/28 24.132 0.000 36.61 0.043406 0.044649 0.045928 0.047244 0.048598 16.15 17.09 798703BB9 07/02/03 09/01/29 22.806 0.000 34.60 0.041022 0.042197 0.043406 0.044649 0.045928 15.27 16.15 798703BC7 07/02/03 09/01/30 21.553 0.000 32.70 0.038768 0.039879 0.041021 0.042197 0.043405 14.43 15.27 Sea Containers Ltd 811371AN3 05/04/04 05/15/12 97.369 10.500 3.76 0.006948 0.007330 0.007733 0.008159 0.008608 2.61 2.90 Selective Insurance Group, Inc. 816300AA5 09/24/02 09/24/32 38.012 1.615 0.075049 0.076046 0.077075 0.078138 0.079237 27.39 28.15 816300AB3 09/24/02 09/24/32 38.012 1.615 0.075049 0.076046 0.077075 0.078138 0.079237 27.39 28.15 Christian and Macon Counties, IL 821510AK0 04/01/03 12/01/06 103.939 VARIES 0.088952 0.088447 29.26 821510AL8 04/01/03 12/01/07 104.240 VARIES 0.103819 0.103329 0.102831 0.102323 37.26 33.84 821510AM6 04/01/03 12/01/08 104.513 VARIES 0.113063 0.112606 0.112140 0.111664 0.111179 40.59 40.26 821510AN4 04/01/03 12/01/09 104.283 VARIES 0.124728 0.124328 0.123920 0.123502 0.123075 44.81 44.51 Sinclair Broadcast Group, Inc. 829226AS8 05/20/03 07/15/18 100.000 VARIES 0.283023 0.289848 0.296989 0.304461 0.312277 105.44 110.80 829226AU3 05/20/03 07/15/18 100.000 VARIES 0.283023 0.289848 0.296989 0.304461 0.312277 105.44 110.80 829226AV1 06/15/05 09/15/12 81.000 6.000 10.29 0.053068 0.055644 0.058346 0.061178 0.064149 20.13 22.13 Solectron Corporation 834182AK3 05/08/00 05/08/20 57.912 0.000 96.59 0.051408 0.052115 0.052832 0.053558 0.054294 18.71 19.23 Sonic Automotive, Inc. 83545GAK8 11/23/05 11/30/10 98.125 4.250 .35 0.009335 0.009553 0.009776 0.010005 0.010239 3.41 3.57 Sovereign Bancorp, Inc. 846048205 02/26/04 03/01/34 100.000 VARIES 0.216990 0.220546 0.224235 0.228062 0.232031 79.63 82.35 Sprint Capital Corp. 852060AK8 08/10/01 08/17/06 100.000 VARIES 0.179265 0.181565 41.29 Steel Heddle Group, Inc. 858123AB8 05/26/98 06/01/09 51.337 VARIES 0.381935 0.381934 0.381934 0.381933 0.381932 137.50 137.50 ----------------------------- * Called in 2006; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ STMicroelectronics N.V. 861012AF9 02/23/06 02/23/16 100.000 0.000 0.041666 0.041978 0.042293 0.042610 12.87 15.25 Sunsource, Inc. 867948AA9 09/30/97 09/30/27 110.000 11.600 0.319003 0.318834 0.318656 0.318468 0.318271 114.78 114.65 TVN Entertainment Corp. 87307RAB3 07/29/98 08/01/08 92.930 14.000 0.018282 0.016374 0.014079 0.011349 0.008129 5.61 3.68 87307RAD9 07/29/98 08/01/08 92.930 14.000 0.018282 0.016374 0.014079 0.011349 0.008129 5.61 3.68 Tabletop Holdings, Inc. 87336NAA9 11/12/03 05/15/14 55.131 VARIES 0.238190 0.252779 0.268261 0.284692 0.302128 89.76 101.09 87336NAB7 11/12/03 05/15/14 55.131 VARIES 0.238190 0.252779 0.268261 0.284692 0.302128 89.76 101.09 Telemundo Group, Inc. 87943MAF5 02/26/96 02/15/06 91.270 VARIES 0.097192 4.27 Telemundo Holdings, Inc. 87944FAA0 08/12/98 08/15/08 57.120 VARIES 0.319440 0.319440 0.319440 0.319439 0.319439 115.00 115.00 87944FAB8 08/12/98 08/15/08 57.120 VARIES 0.319440 0.319440 0.319440 0.319439 0.319439 115.00 115.00 87944FAC6 08/10/01 08/15/08 79.837 VARIES 0.319429 0.319428 0.319427 0.319426 0.319425 114.99 114.99 87944FAD4 08/10/01 08/15/08 79.837 VARIES 0.319429 0.319428 0.319427 0.319426 0.319425 114.99 114.99 Telex Communications Holdings, Inc. 879571AA5 11/15/03 05/15/09 100.000 12.000 0.455895 0.483248 0.512243 0.542978 0.575556 171.64 192.85 879571AB3 11/15/03 05/15/09 100.000 12.000 0.455895 0.483248 0.512243 0.542978 0.575556 171.64 192.85 Telesystem International Wireless, Inc. 879946AE1 10/29/97 11/01/07 59.915 VARIES 0.291661 0.291660 0.291660 0.291660 105.00 87.50 Terex Corporation 880779AJ2 03/09/99 04/01/08 94.802 8.875 34.66 0.019199 0.020135 0.021117 0.022146 0.023226 7.25 7.98 Thermwood Corporation 883672AC1 04/27/99 04/27/14 45.454 12.000 54.97 0.048347 0.054906 0.062355 0.070814 0.080421 19.48 25.13 3M Company 88579YAA9 11/21/02 11/21/32 86.087 VARIES 0.124327 0.127151 0.130040 0.132994 0.136015 45.49 47.59 88579YAB7 11/21/02 11/21/32 86.087 VARIES 0.124327 0.127151 0.130040 0.132994 0.136015 45.49 47.59 88579YAC5 11/21/02 11/21/32 86.087 VARIES 0.124327 0.127151 0.130040 0.132994 0.136015 45.49 47.59 Time Warner Inc. 887315AZ2 01/17/96 01/15/36 17.038 VARIES 0.094343 0.098495 0.102828 0.107353 0.112076 36.12 39.37 Toyota Motor Credit Corp 892332206 09/08/06 09/08/08 100.000 VARIES 0.145405 0.149211 0.151062 16.43 53.67 Toys R Us, Inc. 892335AJ9 05/28/02 08/16/07 96.460 VARIES 0.224843 0.224236 0.223606 0.222950 80.67 50.19 Toyota Motor Credit Corp 89233PSP2 10/01/04 10/01/09 100.000 1.220 43.82 -0.052798 0.150028 -0.097562 13.73 89233PYB6 04/21/06 04/23/36 11.632 0.000 0.023550 0.023597 0.024458 0.025351 0.026276 5.96 9.09 89233PYG5 05/08/06 05/09/36 11.635 0.000 0.023500 0.023598 0.024459 0.025352 0.026277 5.54 9.06 89233PYX8 08/16/06 08/16/16 100.000 VARIES 0.173075 0.171232 0.169332 23.37 61.47 89233PYY6 08/17/06 08/17/09 100.000 0.000 0.143329 0.147027 0.150820 19.21 53.27 89233PZC3 09/01/06 09/01/16 100.000 VARIES 0.164399 0.162688 0.160927 19.73 58.46 Transmeridian Exploration, Inc. 89376NAA6 12/12/05 12/15/10 87.985 12.000 .88 0.046529 0.050144 0.054040 0.058239 0.062764 17.52 20.35 89376NAB4 12/12/05 12/15/10 87.985 12.000 .88 0.046529 0.050144 0.054040 0.058239 0.062764 17.52 20.35 89376NAC2 12/12/05 12/15/10 87.985 12.000 .88 0.046529 0.050144 0.054040 0.058239 0.062764 17.52 20.35 89376NAD0 12/12/05 12/15/10 87.985 12.000 .88 0.046529 0.050144 0.054040 0.058239 0.062764 17.52 20.35 89376NAE8 12/12/05 12/15/10 87.985 12.000 .88 0.046529 0.050144 0.054040 0.058239 0.062764 17.52 20.35 89376NAF5 12/12/05 12/15/10 87.985 12.000 .88 0.046529 0.050144 0.054040 0.058239 0.062764 17.52 20.35 TransOcean SedcoForex 893830AA7 05/24/00 05/24/20 57.912 0.000 95.77 0.051408 0.052115 0.052832 0.053558 0.054294 18.69 19.20 Trenton, City of 895130H96 03/13/03 04/01/06 91.538 0.000 77.42 0.079935 7.19 895130J29 03/13/03 04/01/07 87.375 0.000 85.49 0.088782 0.090274 0.091790 32.50 8.26 895130J37 03/13/03 04/01/08 82.851 0.000 91.13 0.095154 0.096943 0.098765 0.100622 0.102514 34.90 36.23 895130J45 03/13/03 04/01/09 78.228 0.000 94.20 0.098801 0.100827 0.102893 0.105003 0.107155 36.30 37.80 895130J52 03/13/03 04/01/10 73.222 0.000 96.55 0.101764 0.104038 0.106363 0.108741 0.111171 37.46 39.15 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Trenton, City of 895130J60 03/13/03 04/01/11 69.016 0.000 95.08 0.100469 0.102810 0.105206 0.107657 0.110165 37.02 38.76 895130J78 03/13/03 04/01/12 64.697 0.000 93.37 0.098942 0.101351 0.103819 0.106346 0.108936 36.49 38.29 895130J86 03/13/03 04/01/13 60.578 0.000 90.86 0.096502 0.098938 0.101436 0.103998 0.106623 35.62 37.44 895130J94 03/13/03 04/01/14 56.464 0.000 88.06 0.093772 0.096228 0.098749 0.101337 0.103992 34.65 36.49 895130K27 03/13/03 04/01/15 52.558 0.000 84.80 0.090500 0.092947 0.095462 0.098044 0.100696 33.47 35.30 895130K35 03/13/03 04/01/22 31.423 0.000 58.34 0.062883 0.064823 0.066822 0.068884 0.071009 23.34 24.80 Tri-Union Development 895728AA1 06/18/01 06/01/06 88.800 12.500 0.086151 9.84 895728AB9 06/18/01 06/01/06 88.800 12.500 0.086151 9.84 895728AC7 06/18/01 06/01/06 88.800 12.500 0.086151 9.84 Trinity Industries, Inc. 896522AF6 06/07/06 06/01/36 100.000 VARIES 0.238485 0.243915 0.249764 0.255866 48.81 89.22 UBS AG 90261KBB5 04/30/02 04/30/09 100.000 0.000 0.182728 0.187708 0.192822 0.198077 0.203474 67.29 71.01 90261KBF6 05/29/02 05/29/09 100.000 0.000 0.174050 0.178602 0.183272 0.188065 0.192983 63.77 67.15 90261KBV1 10/31/02 11/07/07 100.000 0.000 0.117054 0.119257 0.121502 0.123790 42.78 37.59 90261KBY5 11/29/02 12/07/07 100.000 0.000 0.112537 0.114581 0.116663 0.118783 40.98 39.58 90261KBZ2 12/24/02 10/07/11 100.000 0.000 0.138424 0.141478 0.144600 0.147790 0.151050 50.90 53.17 90261KCK4 01/30/03 02/07/08 100.000 0.000 0.100757 0.102438 0.104147 0.105885 0.107652 37.06 38.31 90261KCN8 02/27/03 09/08/10 100.000 0.000 0.119255 0.121577 0.123944 0.126357 0.128817 43.88 45.60 90261KCZ1 03/31/03 04/08/10 100.000 0.000 0.120676 0.123051 0.125474 0.127944 0.130463 44.27 46.03 90261KDA5 04/07/03 10/07/09 100.000 0.000 0.110985 0.113010 0.115073 0.117173 0.119311 40.66 42.16 90261KDE7 04/30/03 05/07/10 100.000 0.000 0.117701 0.119966 0.122275 0.124628 0.127027 43.03 44.70 90261KDH0 05/30/03 06/07/10 100.000 0.000 0.096005 0.097536 0.099093 0.100674 0.102280 34.91 36.03 90261KDL1 05/30/03 08/29/08 100.000 0.000 0.082624 0.083307 0.084936 0.085639 0.086829 30.15 30.93 90261KDY3 06/30/03 07/08/10 100.000 0.000 0.093523 0.095001 0.096502 0.098027 0.099575 34.45 35.55 90261KED8 07/31/03 08/06/10 100.000 0.000 0.120355 0.122762 0.125217 0.127722 0.130276 44.47 46.26 90261KEV8 08/27/03 09/08/09 100.000 0.000 0.123302 0.125822 0.128395 0.131019 0.133698 45.42 47.29 90261KFE5 09/30/03 07/30/09 100.000 0.000 0.116571 0.118849 0.121172 0.123540 0.125955 43.07 44.77 90261KFS4 10/31/03 01/31/12 100.000 0.000 0.131626 0.134516 0.137469 0.140488 0.143572 48.79 50.95 90261KGC8 12/31/03 01/08/09 100.000 0.000 0.104394 0.106253 0.108145 0.110071 0.112031 38.57 39.95 90261KGT1 01/30/04 02/06/09 100.000 0.000 0.100439 0.102163 0.103917 0.105702 0.107516 36.97 38.25 90261KHK9 02/27/04 05/31/11 100.000 0.000 0.118311 0.120662 0.123060 0.125505 0.127998 43.16 44.89 90261KHL7 03/31/04 01/03/12 100.000 0.000 0.109175 0.111222 0.113308 0.115433 0.117598 40.41 41.94 90261KHS2 05/28/04 05/31/11 100.000 0.000 0.144633 0.148136 0.151724 0.155399 0.159163 52.92 55.51 90261KHW3 07/30/04 08/07/09 100.000 0.000 0.116715 0.119069 0.121471 0.123921 0.126421 43.13 44.88 90261KJA9 09/30/04 10/07/10 100.000 0.000 0.114803 0.117082 0.119406 0.121777 0.124194 42.13 43.82 90261KJE1 10/29/04 11/07/12 100.000 2.810 0.114137 0.113009 0.115642 0.114519 0.116564 41.54 42.05 90261KJV3 01/31/05 07/31/06 100.000 0.000 0.095769 0.097392 20.31 90261KJW1 02/28/05 05/31/11 100.000 0.000 0.130299 0.133254 0.136276 0.139366 0.142526 47.62 49.81 90261KKR0 04/29/05 10/27/06 100.000 0.000 0.104769 0.106709 31.36 90261KKU3 05/23/05 11/22/06 100.000 0.000 0.104378 0.106304 33.85 90261KKW9 06/30/05 12/30/11 100.000 0.000 0.117671 0.120113 0.122605 0.125149 0.127746 42.81 44.60 90261KLD0 06/30/05 12/29/06 100.000 0.000 0.105250 0.107208 38.03 90261KLE8 07/26/05 07/30/10 100.000 0.000 0.122831 0.125545 0.128319 0.131155 0.134054 45.54 47.57 90261KLN8 07/25/05 04/29/11 100.000 0.000 0.133296 0.136455 0.139689 0.143000 0.146389 48.95 51.30 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ UBS AG 90261KLP3 08/04/05 08/04/08 100.000 0.000 0.123337 0.126076 0.128875 0.131736 0.134660 45.71 47.76 90261KLS7 09/27/05 09/27/07 100.000 0.000 0.122213 0.124902 0.127649 0.130458 44.99 34.46 90261KLU2 10/25/05 10/25/07 100.000 0.000 0.128993 0.131988 0.135053 0.138188 47.38 40.27 90261KLZ1 01/31/06 01/28/08 100.000 0.000 0.132898 0.136042 0.139296 0.142629 44.47 50.57 90261KMB3 02/24/06 08/24/07 100.000 0.000 0.140421 0.143970 0.147609 43.56 34.20 90261KMC1 02/24/06 08/24/07 100.000 0.000 0.140421 0.143970 0.147609 43.56 34.20 90261KMF4 03/29/06 03/28/08 100.000 0.000 0.144572 0.148314 0.152173 0.156133 39.67 54.81 90261KMJ6 04/26/06 04/29/08 100.000 0.000 0.147223 0.147289 0.151192 0.155199 0.159311 36.33 55.65 90261KMK3 05/30/06 05/30/08 100.000 0.000 0.149970 0.154019 0.158176 0.162446 31.77 56.46 90261KML1 05/23/06 05/30/08 100.000 0.000 0.148488 0.148643 0.152616 0.156695 0.160883 32.53 55.93 90261KMN7 06/07/06 06/09/08 100.000 0.000 0.152686 0.152733 0.156930 0.161243 0.165675 31.25 57.46 90261KMQ0 06/30/06 06/30/08 100.000 0.000 0.159103 0.163660 0.168347 0.173168 28.80 59.77 90261KMR8 07/28/06 07/30/08 100.000 0.000 0.153082 0.153129 0.157348 0.161684 23.43 57.18 90261KMU1 08/31/06 08/29/08 100.000 0.000 0.147555 0.150590 0.154567 17.85 54.52 90261KMX5 09/26/06 09/30/08 100.000 0.000 0.137688 0.138521 0.141235 0.144794 13.43 51.64 UBS AG 90261XAE2 09/27/02 09/28/09 100.000 0.000 0.119865 0.122172 0.124522 0.126918 0.129361 44.00 45.71 90261XAG7 12/22/04 12/22/14 100.000 VARIES 0.126097 0.125299 0.124615 0.124276 0.123929 45.24 44.79 90261XAH5 02/28/05 08/28/06 100.000 0.000 0.098347 0.100058 23.62 90261XAJ1 03/07/05 05/07/06 100.000 0.000 0.098629 12.43 90261XAL6 03/22/05 05/22/06 100.000 0.000 0.102993 14.52 90261XAN2 04/27/05 04/27/35 12.879 0.000 6.12 0.025727 0.026621 0.027546 0.028504 0.029494 9.54 10.21 90261XAP7 04/20/05 10/20/06 100.000 0.000 0.104677 0.106051 30.82 90261XAQ5 05/19/05 07/19/06 100.000 0.000 0.101722 0.103574 20.47 90261XAT9 05/27/05 11/27/06 100.000 0.000 0.104964 0.106911 34.57 90261XAU6 06/23/05 08/23/06 100.000 0.000 0.104254 0.106198 24.54 90261XAY8 07/18/05 10/18/06 100.000 0.000 0.109870 0.112022 31.92 90261XAZ5 07/28/05 09/28/06 100.000 0.000 0.111467 0.113689 30.16 90261XBA9 07/28/05 11/28/06 100.000 0.000 0.113163 0.115437 37.41 90261XBF8 08/30/05 10/30/06 100.000 0.000 0.116921 0.119364 35.40 90261XBS0 05/31/06 05/29/09 100.000 0.000 0.145833 0.149640 0.153568 0.157599 30.89 54.83 90261XBU5 06/08/06 06/08/07 100.000 0.000 0.147779 0.151710 30.09 23.82 90261XBX9 07/24/06 01/24/08 100.000 0.000 0.151389 0.155514 0.159752 23.77 56.56 UIH Australia/Pacific, Inc. 902745AC2 05/14/96 05/15/06 50.816 VARIES 0.394120 52.81 USF&G Corporation 903290AD6 03/03/94 03/03/09 51.298 0.000 355.41 0.106971 0.109378 0.111839 0.114355 0.116928 39.52 41.32 United Technologies Corp 913017AR0 11/13/89 11/15/19 98.974 8.875 2.48 0.000802 0.000824 0.000875 0.000900 0.000950 .30 .33 University of North Carolina Chapel Hill 914713KR2 08/14/91 02/15/10 19.000 0.000 500.87 0.170266 0.178081 0.186255 0.194804 0.203746 64.88 70.97 914713KS0 08/14/91 02/15/11 17.000 0.000 458.01 0.156651 0.163932 0.171550 0.179523 0.187867 59.73 65.41 914713KT8 08/14/91 02/15/12 16.000 0.000 418.66 0.142027 0.148518 0.155306 0.162404 0.169827 54.10 59.16 914713KU5 08/14/91 02/15/13 14.000 0.000 381.51 0.130904 0.137027 0.143437 0.150147 0.157171 49.93 54.71 914713KV3 08/14/91 02/15/14 13.000 0.000 348.92 0.119214 0.124743 0.130528 0.136581 0.142915 45.45 49.76 914713KW1 08/14/91 02/15/15 12.000 0.000 319.22 0.108792 0.113812 0.119063 0.124556 0.130303 41.47 45.38 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated Total --------------------------------------------------- Calendar Year Issue Maturity Principal Interest OID to 2006 1st 2006 2nd 2006 3rd 2007 2nd 2007 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/06 Period Period 2007 1st Period Period 2006 2007 ______________ _________ ________ _________ __________ ________ ________ ________ ________ ________ ________ ________ ______ ______ Upshur County, WV 916734AD8 12/30/93 04/01/10 96.023 8.750 23.32 0.008830 0.009238 0.009664 0.010110 0.010576 3.33 3.64 Uruguay, Republic 917288AK8 03/20/02 03/25/09 87.661 7.875 55.68 0.049120 0.051673 0.054359 0.057184 0.060157 18.65 20.63 917288AL6 05/29/03 11/18/08 85.000 7.875 59.64 0.074847 0.079211 0.083829 0.088717 0.093889 28.12 31.49 917288AM4 05/29/03 07/02/09 68.000 2.145 115.25 0.135371 0.141532 0.147974 0.154709 0.161750 52.10 56.95 917288AN2 05/29/03 01/02/10 68.000 2.036 105.38 0.123037 0.128247 0.133678 0.139339 0.145240 47.14 51.21 917288AT9 05/29/03 03/25/14 76.000 7.875 33.71 0.041647 0.044119 0.046738 0.049512 0.052450 15.93 17.87 917288AU6 05/29/03 05/04/14 73.000 7.250 37.58 0.046938 0.049681 0.052585 0.055657 0.058910 17.71 19.84 917288AV4 05/29/03 06/22/15 76.000 8.750 26.41 0.033993 0.036150 0.038443 0.040882 0.043475 12.67 14.32 917288AX0 05/29/03 01/20/17 73.000 7.625 25.04 0.030262 0.032019 0.033879 0.035847 0.037929 11.79 13.20 917288AY8 05/29/03 02/15/11 76.500 7.250 56.94 0.069574 0.073750 0.078178 0.082871 0.087845 26.97 30.30 917288AZ5 05/