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.
    However, no OID information is available to report this year for any such debt instruments. See Section I-B for corporate discount debt 
instruments issued after 1984. 

                                                                                                                                             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     2023 1st    2023 2nd   2024 2nd       ---------------          
Name of Issuer               CUSIP No.     Date       Date       Amount)      Rate       1/1/23      Period     2024 1st    Period        2023       2024          
______________               _________   ________   ________   ___________   _______   _________    ________    ________   ________      ______     ______         
                                                                                                                                                           


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 2024 are not included.  See Section I-A for corporate discount debt instruments
issued before 1985.
    CAUTION:  The following OID information supersedes 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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

ABILENE TEX INDPT SCH DI 003464MH4 07/23/20 02/15/26     91.448     0.000     1.6140     51.99   0.043067   0.043415   0.043765   0.044118  0.044474     15.66    15.92 
ABILENE TEX INDPT SCH DI 003464MG6 07/23/20 02/15/25     94.017     0.000     1.3572     44.77   0.036942   0.037192   0.037445                          13.41     1.65 
ACADEMY TEX INDPT SCH DI 004014GQ3 05/05/21 08/15/28     85.895     0.000     2.0999     49.02   0.052546   0.053098   0.053655   0.054219  0.054788     19.17    19.57 
ACADEMY TEX INDPT SCH DI 004014GR1 05/05/21 08/15/29     83.776     0.000     2.1498     48.97   0.052527   0.053092   0.053662   0.054239  0.054822     19.17    19.58 
ALEDO TEX INDPT SCH DIST 014464XP1 02/04/21 02/15/25     96.817     0.000     0.8042     22.87   0.022070   0.022159   0.022248                           7.99     0.98 
ALEDO TEX INDPT SCH DIST 014464XQ9 02/04/21 02/15/26     94.773     0.000     1.0700     29.88   0.028940   0.029095   0.029251   0.029407  0.029565     10.49    10.60 
ALEDO TEX INDPT SCH DIST 014464XS5 02/04/21 02/15/27     93.206     0.000     1.1701     32.17   0.031202   0.031384   0.031568   0.031753  0.031939     11.32    11.45 
ALEDO TEX INDPT SCH DIST 014464XN6 02/04/21 02/15/24     98.040     0.000     0.6542     18.80   0.018114                                                 0.80          
ALLEN TEX INDPT SCH DIST 018106UW2 05/27/21 02/15/27     91.292     0.000     1.5999     38.55   0.042032   0.042368   0.042707   0.043049  0.043393     15.28    15.53 
ALLEN TEX INDPT SCH DIST 018106UV4 05/27/21 02/15/26     94.159     0.000     1.2800     31.70   0.034439   0.034659   0.034881   0.035104  0.035329     12.50    12.66 
ALVARADO TEX INDPT SCH   022357H67 10/28/20 02/15/29     87.333     0.000     1.6390     46.47   0.041618   0.041959   0.042302   0.042649  0.042999     15.14    15.39 
ALVARADO TEX INDPT SCH   022357H75 10/28/20 02/15/30     85.130     0.000     1.7390     48.12   0.043164   0.043539   0.043918   0.044300  0.044685     15.71    15.98 
ALVARADO TEX INDPT SCH   022357H42 10/28/20 02/15/27     92.609     0.000     1.2230     36.56   0.032553   0.032752   0.032952   0.033153  0.033356     11.81    11.95 
ALVARADO TEX INDPT SCH   022357H59 10/28/20 02/15/28     89.415     0.000     1.5390     44.61   0.039900   0.040207   0.040517   0.040828  0.041143     14.50    14.73 
ALVARADO TEX INDPT SCH   022357H26 10/28/20 02/15/25     96.321     0.000     0.8741     27.05   0.023966   0.024071   0.024176                           8.68     1.06 
ALVARADO TEX INDPT SCH   022357H34 10/28/20 02/15/26     94.240     0.000     1.1230     34.12   0.030333   0.030504   0.030675   0.030847  0.031020     11.00    11.12 
AMARILLO TEX INDPT SCH   023051YV1 10/14/20 02/01/24     97.347     0.000     0.8171     25.85   0.022604                                                 0.68          
AMARILLO TEX INDPT SCH   023051YW9 10/14/20 02/01/25     96.350     0.000     0.8671     27.17   0.023775   0.023879   0.023982                           8.61     0.72 
ANHEUSER-BUSCH COMPANIES U00323AE2 11/13/18 02/01/36     93.636     4.700     5.2667     13.45   0.008220   0.008436   0.008658   0.008886  0.009120      3.06     3.23 
ANHEUSER-BUSCH COMPANIES U00323AD4 11/13/18 02/01/26     96.122     3.650     4.2802     26.35   0.015747   0.016084   0.016428   0.016780  0.017139      5.83     6.08 
ANHEUSER-BUSCH COMPANIES 03522AAD2 11/13/18 02/01/26     96.122     3.650     4.2802     26.35   0.015747   0.016084   0.016428   0.016780  0.017139      5.83     6.08 
ANHEUSER-BUSCH COMPANIES 03522AAE0 11/13/18 02/01/36     93.636     4.700     5.2667     13.45   0.008220   0.008436   0.008658   0.008886  0.009120      3.06     3.23 
ARGYLE TEX INDPT SCH DIS 040319L52 10/14/20 08/15/30     84.028     0.000     1.7770     49.17   0.043611   0.043998   0.044389   0.044783  0.045181     15.88    16.16 
ARGYLE TEX INDPT SCH DIS 040319L29 10/14/20 08/15/25     95.120     0.000     1.0371     32.16   0.028220   0.028366   0.028513   0.028661               10.23     6.41 
ARGYLE TEX INDPT SCH DIS 040319L45 10/14/20 08/15/27     91.280     0.000     1.3390     40.01   0.035262   0.035498   0.035736   0.035975  0.036216     12.80    12.97 
ARGYLE TEX INDPT SCH DIS 040319L37 10/14/20 08/15/26     92.991     0.000     1.2489     37.97   0.033421   0.033630   0.033840   0.034051  0.034264     12.13    12.28 
ARLINGTON TEX INDPT SCH  0418265M6 07/30/20 02/15/24     95.925     0.000     1.1781     39.32   0.032534                                                 1.43          
Amgen Inc.               031162AK6 03/01/05 03/01/32     72.947    VARIES     4.4730    945.22   0.202402   0.206708   0.211085   0.215561  0.220136     74.68    77.88 
Anywhere Real Estate Gro 75606DAS0 08/24/23 04/15/30     91.110     7.000     8.8000      3.60   0.028500   0.029778   0.031056   0.032444  0.033833     10.68    11.64 
Argentina, Republic      040114GB0 07/21/01 07/21/30     80.144    10.250    12.8670     84.99   0.030367   0.032320   0.034400   0.036613  0.038968     11.93    13.51 
Azul Investments LLP     05502FAE8 09/28/23 06/30/30     55.670     7.500    19.6100      8.74   0.099719   0.109497   0.120235   0.132025  0.144922     37.66    45.41 
Azul Secured Finance LLP 05501WABB 07/14/23 05/28/30     83.250    10.875    14.8400      7.29   0.042916   0.045598   0.049792   0.052613  0.057452     16.43    18.95 
Azul Secured Finance LLP 05501WAA0 07/14/23 05/28/29     93.950    11.500    13.0000      3.69   0.020551   0.021648   0.023437   0.024553  0.026581      7.82     8.86 
BANK OF AMERICA          09711BKW5 04/30/24 01/30/29    100.000     0.000     5.2200                        0.145000   0.146892   0.150726  0.154660     35.23    54.74 
BANK OF AMERICA          09710PJT4 02/05/24 02/05/26    100.000     0.000     4.8200                        0.133889   0.137116   0.140420  0.143804     44.12    50.93 
BANK OF AMERICA          09711DBL5 08/30/24 07/30/26    100.000     0.000     4.8900                                   0.135833   0.138601  0.141990     16.44    50.33 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

BANK OF AMERICA          09710PL38 01/31/24 01/31/29    100.000     0.000     4.6900                        0.130278   0.133333   0.136459  0.139659     43.58    49.52 
BANK OF AMERICA          09709T7K1 03/21/24 03/21/39    100.000    VARIES     5.4000                        0.149512   0.147536   0.145506  0.143421     41.56    52.34 
BANK OF AMERICA          09711DD58 07/31/24 07/30/26    100.000     0.000     5.0000                                   0.138889   0.142361  0.145920     20.97    51.69 
BANK OF AMERICA          09711BNP7 04/26/24 04/22/27    110.000     1.200     5.3000                        0.161944   0.165277   0.168773  0.172363     39.74    60.61 
BANK OF AMERICA          09711BP59 05/03/24 05/03/27    100.000     0.000     5.3200                        0.147778   0.151709   0.155744  0.159887     35.40    55.82 
BANK OF AMERICA          09711D6V9 08/22/24 08/23/29    100.000     0.000     4.3200                                   0.120000   0.122606  0.125255     15.48    44.34 
BANK OF AMERICA          09711BBP0 03/25/24 03/23/29    100.000     0.000     4.8100                        0.133611   0.136789   0.140079  0.143447     37.19    50.49 
BANK OF AMERICA          09710PRW8 02/29/24 02/27/26    100.000     0.000     5.1200                        0.142222   0.145823   0.149556  0.153384     43.40    54.11 
BANK OF AMERICA          09711DZB1 08/05/24 08/05/26    100.000     0.000     4.8900                                   0.135833   0.139154  0.142557     19.83    50.48 
BANK OF AMERICA          09711B2Q8 03/28/24 03/30/26    100.000     0.000     5.1500             0.143056   0.143096   0.146781   0.150561  0.154438     39.40    54.22 
BANK OF AMERICA          09711DZX3 06/28/24 06/30/26    100.000     0.000     5.0600             0.140556   0.140595   0.144152   0.147799  0.151538     25.73    52.56 
BANK OF AMERICA          09710PSQ0 03/05/24 03/05/26    100.000     0.000     5.0000                        0.138889   0.142361   0.145920  0.149568     41.51    52.73 
BANK OF AMERICA          09711B3T1 04/03/24 04/06/26    100.000     0.000     5.4600             0.151667   0.151736   0.155878   0.160134  0.164505     41.02    57.62 
BANK OF AMERICA          09711B4H6 03/13/24 03/13/29    100.000     0.000     4.7700                        0.132500   0.135660   0.138896  0.142208     38.50    50.13 
BANK OF AMERICA          09711DLC4 05/24/24 05/27/27    100.000     0.000     5.0000             0.138889   0.138947   0.142420   0.145981  0.149630     30.27    52.16 
BANK OF AMERICA          09711BER3 03/28/24 03/25/27    110.000     1.000     4.9600                        0.151555   0.154574   0.157719  0.160941     41.51    56.82 
BANK OF AMERICA          09710PDZ6 12/29/23 12/29/28    100.000     0.000     4.7600      0.26   0.132222   0.135369   0.138591   0.141889  0.145266     48.18    50.50 
BANK OF AMERICA          09710PV78 02/29/24 03/01/29    100.000     0.000     5.0500                        0.140278   0.143859   0.147492  0.151216     42.79    53.33 
BANK OF AMERICA          09711BFQ4 04/30/24 04/30/26    100.000     0.000     5.3500                        0.148611   0.152586   0.156668  0.160859     36.06    56.17 
BANK OF AMERICA          09710PVX1 03/05/24 03/05/29    100.000     0.000     4.8500                        0.134722   0.137989   0.141335  0.144763     40.26    51.06 
BANK OF AMERICA          09711B7D2 03/28/24 12/29/28    100.000     0.000     4.0900             0.113611   0.114786   0.117133   0.119528  0.121973     31.23    42.61 
BANK OF AMERICA          09710PYJ9 03/01/24 03/02/29    100.000     0.000     4.7900                        0.133056   0.136260   0.139523  0.142865     40.30    50.43 
BANK OF AMERICA          09710PHX7 01/31/24 01/30/26    100.000     0.000     4.9400                        0.137222   0.140612   0.144085  0.147644     45.93    52.31 
BANK OF AMERICA CORPORAT 06084WY46 09/28/22 09/28/27    100.000    VARIES     5.9700     74.04   0.163705   0.163613   0.164346   0.164272  0.164198     58.98    59.14 
BANK OF MONTREAL         06376AD49 04/16/24 04/16/26    100.000     0.000     5.7400                        0.159444   0.164021   0.168728  0.173570     41.00    60.61 
BANK OF MONTREAL         06368GZ83 08/31/22 02/28/30    100.000     0.000     4.0770     55.45   0.117888   0.120291   0.122743   0.125245  0.127799     43.47    45.26 
BANK OF MONTREAL         06368GYR2 09/06/22 09/08/26    100.000     0.000     4.2130     56.61   0.122039   0.124609   0.127234   0.129914  0.132651     44.98    46.90 
BANK OF MONTREAL         06368GYS0 08/31/22 08/31/26    100.000     0.000     4.1370     56.28   0.119720   0.122183   0.124724   0.127275  0.129937     44.15    46.00 
BANK OF MONTREAL         06368GYT8 09/06/22 09/08/26    100.000     0.000     4.2130     56.61   0.122039   0.124609   0.127234   0.129914  0.132651     44.98    46.90 
BANK OF MONTREAL         06368GYQ4 08/31/22 08/31/26    100.000     0.000     4.1370     56.28   0.119720   0.122183   0.124724   0.127275  0.129937     44.15    46.00 
BANK OF MONTREAL         06375MRA5 02/05/24 08/05/25    100.000     0.000     5.3400                        0.148333   0.152294   0.156360               48.93    33.32 
BANK OF MONTREAL         06375MRB3 01/31/24 01/31/28    100.000     0.000     5.1300                        0.142500   0.146155   0.149904  0.153749     47.72    54.44 
BANK OF MONTREAL         06375MR98 01/31/24 07/31/25    100.000     0.000     5.4300                        0.150833   0.154928   0.159135               50.54    33.14 
BANK OF MONTREAL         06375MS22 01/31/24 01/30/26    100.000     0.000     5.2900                        0.146944   0.150831   0.154821  0.158916     49.23    56.24 
BANK OF MONTREAL         06375MRF4 02/05/24 02/05/26    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     47.54    55.07 
BANK OF MONTREAL         06375MRE7 02/05/24 02/05/26    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     47.54    55.07 
BANK OF MONTREAL         06375MRG2 02/05/24 02/05/26    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     47.54    55.07 
BANK OF MONTREAL         06375MRH0 01/31/24 01/29/27    100.000     0.000     5.1100                        0.141944   0.145551   0.149270  0.153084     47.53    54.21 
BANK OF MONTREAL         06375MRJ6 01/31/24 01/30/26    100.000     0.000     5.2900                        0.146944   0.150831   0.154821  0.158916     49.23    56.24 
BANK OF MONTREAL         06375MRK3 01/31/24 01/30/26    100.000     0.000     5.2900                        0.146944   0.150831   0.154821  0.158916     49.23    56.24 
BANK OF MONTREAL         06374VAK2 10/31/22 04/30/24    100.000     0.000     5.4470     64.95   0.159659                                                19.00          
BANK OF MONTREAL         06374VAL0 10/31/22 04/30/24    100.000     0.000     5.4470     64.95   0.159659                                                19.00          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

BANK OF MONTREAL         06375MRL1 02/05/24 02/05/26    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     47.54    55.07 
BANK OF MONTREAL         06375MRM9 01/31/24 01/30/26    100.000     0.000     5.2900                        0.146944   0.150831   0.154821  0.158916     49.23    56.24 
BANK OF MONTREAL         06374VSD4 09/22/22 09/23/24    100.000     0.000     4.1550     53.89   0.120276   0.122774                                     31.96          
BANK OF MONTREAL         06374VAV8 11/01/22 05/01/24    100.000     0.000     5.3340     63.42   0.156175                                                18.74          
BANK OF MONTREAL         06374VAW6 11/01/22 05/01/24    100.000     0.000     5.3340     63.42   0.156175                                                18.74          
BANK OF MONTREAL         06374VAX4 10/31/22 10/30/26    100.000     0.000     5.4140     64.55   0.158641   0.162936   0.167346   0.171876  0.176529     58.41    61.62 
BANK OF MONTREAL         06375MSN6 01/18/24 01/18/29    100.000     0.000     4.9300                        0.136944   0.140320   0.143779  0.147323     47.52    52.28 
BANK OF MONTREAL         06375MTK1 01/26/24 01/26/27    100.000     0.000     5.0600                        0.140556   0.144112   0.147758  0.151496     47.64    53.68 
BANK OF MONTREAL         06375MUH6 02/29/24 02/27/26    100.000     0.000     5.2100                        0.144722   0.148450   0.152317  0.156285     44.17    55.11 
BANK OF MONTREAL         06375MUJ2 02/29/24 08/29/25    100.000     0.000     5.6900                        0.158056   0.162552   0.167151               48.28    39.52 
BANK OF MONTREAL         06375MTZ8 01/31/24 01/30/26    100.000     0.000     5.2800                        0.146667   0.150539   0.154513  0.158592     49.13    56.13 
BANK OF MONTREAL         06375MUV5 02/29/24 02/26/27    100.000     0.000     5.2900                        0.146944   0.150766   0.154754  0.158847     44.85    56.00 
BANK OF MONTREAL         06375MV77 03/05/24 03/05/26    100.000     0.000     5.5100                        0.153056   0.157272   0.161605  0.166057     45.79    58.42 
BANK OF MONTREAL         06375MV85 03/05/24 03/05/26    100.000     0.000     5.5100                        0.153056   0.157272   0.161605  0.166057     45.79    58.42 
BANK OF MONTREAL         06375MUW3 02/29/24 02/27/26    100.000     0.000     5.5100                        0.153056   0.157225   0.161557  0.166008     46.74    58.47 
BANK OF MONTREAL         06375MV93 03/05/24 03/05/26    100.000     0.000     5.5100                        0.153056   0.157272   0.161605  0.166057     45.79    58.42 
BANK OF MONTREAL         06375MUX1 02/29/24 02/27/26    100.000     0.000     5.5100                        0.153056   0.157225   0.161557  0.166008     46.74    58.47 
BANK OF MONTREAL         06375MUL7 02/29/24 02/29/28    100.000     0.000     5.2400                        0.145556   0.149369   0.153261  0.157299     44.42    55.44 
BANK OF MONTREAL         06375MUK9 03/05/24 09/05/25    100.000     0.000     5.6800                        0.157778   0.162259   0.166867               47.22    40.42 
BANK OF MONTREAL         06375MV36 03/05/24 09/05/28    100.000     0.000     5.1800                        0.143889   0.147616   0.151439  0.155361     43.02    54.73 
BANK OF MONTREAL         06374V4T0 09/07/22 09/05/25    100.000     0.000     4.2850     57.47   0.124154   0.126814   0.129531   0.132306               45.80    32.11 
BANK OF MONTREAL         06375MW35 02/21/24 02/23/26    100.000     0.000     5.5000             0.152778   0.152824   0.157027   0.161345  0.165782     47.91    58.43 
BANK OF MONTREAL         06374V4S2 09/20/22 09/22/25    100.000     0.000     4.0706     53.01   0.117748   0.120145   0.122590   0.125085               43.30    32.45 
BANK OF MONTREAL         06375MWD3 02/22/24 08/22/25    100.000     0.000     5.7200                        0.158889   0.163433   0.168107               49.68    38.59 
BANK OF MONTREAL         06375MWZ4 02/26/24 05/27/25    100.000     0.000     5.6400             0.156667   0.158900   0.163381                          48.41    23.85 
BANK OF MONTREAL         06375MYL3 03/28/24 03/31/26    100.000     0.000     5.3900             0.149722   0.149767   0.153803   0.157948  0.162205     41.25    56.88 
BANK OF MONTREAL         06375MYM1 03/28/24 09/30/25    100.000     0.000     5.5600             0.154444   0.154492   0.158787   0.163201               42.57    43.51 
BANK OF MONTREAL         06375MYN9 04/02/24 10/02/25    100.000     0.000     5.5400                        0.153889   0.158152   0.162532               41.78    43.65 
BANK OF MONTREAL         06375MYP4 03/28/24 03/31/28    100.000     0.000     5.1800             0.143889   0.143930   0.147658   0.151482  0.155406     39.63    54.55 
BANK OF MONTREAL         06375MYQ2 03/28/24 03/31/28    100.000     0.000     5.1800             0.143889   0.143930   0.147658   0.151482  0.155406     39.63    54.55 
BANK OF MONTREAL         06375MZ32 04/02/24 10/02/28    100.000     0.000     5.0700                        0.140833   0.144403   0.148064  0.151818     38.20    53.30 
BANK OF MONTREAL         06376AQ37 06/28/24 12/28/26    100.000     0.000     5.3791                        0.149419   0.153438   0.157565  0.161803     27.36    56.01 
BANK OF MONTREAL         06376APU8 06/28/24 12/31/25    100.000     0.000     5.6081             0.155781   0.155829   0.160199   0.164691               28.52    58.32 
BANK OF MONTREAL         06376APT1 06/28/24 06/30/26    100.000     0.000     5.4534             0.151483   0.151529   0.155661   0.159905  0.164266     27.73    56.81 
BANK OF MONTREAL         06376APW4 06/28/24 06/30/28    100.000     0.000     5.2415             0.145597   0.145640   0.149456   0.153373  0.157393     26.66    54.52 
BANK OF MONTREAL         06375MZ65 03/28/24 03/31/27    100.000     0.000     5.2400             0.145556   0.145598   0.149413   0.153327  0.157344     40.10    55.21 
BANK OF MONTREAL         06375MZ73 03/28/24 03/31/26    100.000     0.000     5.3900             0.149722   0.149767   0.153803   0.157948  0.162205     41.25    56.88 
BANK OF MONTREAL         06375MZ81 03/28/24 03/31/26    100.000     0.000     5.3900             0.149722   0.149767   0.153803   0.157948  0.162205     41.25    56.88 
BANK OF MONTREAL         06375MYX7 04/02/24 04/02/26    100.000     0.000     5.3700                        0.149167   0.153172   0.157284  0.161508     40.48    56.62 
BANK OF MONTREAL         06375MYY5 04/02/24 04/02/26    100.000     0.000     5.3700                        0.149167   0.153172   0.157284  0.161508     40.48    56.62 
BANK OF MONTREAL         06375MYZ2 04/02/24 04/02/26    100.000     0.000     5.3700                        0.149167   0.153172   0.157284  0.161508     40.48    56.62 
BANK OF MONTREAL         06375MZG3 04/02/24 04/02/27    100.000     0.000     5.2100                        0.144722   0.148492   0.152360  0.156329     39.27    54.85 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

BANK OF MONTREAL         06375MZH1 04/02/24 04/02/27    100.000     0.000     5.2100                        0.144722   0.148492   0.152360  0.156329     39.27    54.85 
BANK OF MONTREAL         06376AQN3 06/28/24 06/30/26    100.000     0.000     5.4534             0.151483   0.151529   0.155661   0.159905  0.164266     27.73    56.81 
BANK OF MONTREAL         06376AQP8 06/28/24 06/30/26    100.000     0.000     5.4534             0.151483   0.151529   0.155661   0.159905  0.164266     27.73    56.81 
BANK OF MONTREAL         06376AQQ6 06/28/24 06/30/26    100.000     0.000     5.4534             0.151483   0.151529   0.155661   0.159905  0.164266     27.73    56.81 
BANK OF NOVA SCOTIA      06417YR92 05/03/24 05/06/27    100.000     0.000     5.5700             0.154722   0.154794   0.159105   0.163536  0.168091     37.08    58.57 
BANK OF NOVA SCOTIA      06417Y5S4 08/19/24 09/03/27    100.000     4.560     4.5600                        0.126667   0.129556   0.132500  0.135556     16.72    46.89 
BANK OF NOVA SCOTIA      06417Y4A4 06/27/24 06/27/26    100.000    VARIES     5.7400                        0.011009   0.011031   0.011053  0.011074      2.03     3.98 
BANK OF NOVA SCOTIA      06417YK32 02/06/24 02/06/29    100.000    VARIES     5.3700                        0.027528   0.027664   0.027802  0.027939      8.97    10.02 
BANK OF NOVA SCOTIA      06417YYQ6 01/03/24 01/06/26    100.000     0.000     5.0400             0.140000   0.140059   0.143588   0.147207  0.150916     50.76    53.63 
BANK OF NOVA SCOTIA      06418J697 03/07/24 02/25/28    100.000     0.000     5.2600                        0.146111   0.149698   0.153635  0.157675     43.41    55.61 
BANK OF NOVA SCOTIA      06418LAW6 03/05/24 03/05/26    100.000     0.000     5.3500                        0.148611   0.152586   0.156668  0.160859     44.45    56.63 
BARCLAYS BANK            06745QAK5 03/27/24 03/25/27    100.000     0.000     4.9600                        0.137778   0.141157   0.144657  0.148245     38.08    52.13 
BARCLAYS BANK            06745QRD3 05/31/24 06/01/29    100.000     0.000     5.4200                        0.150556   0.154658   0.158850  0.163154     31.89    56.69 
BARCLAYS BANK            06745QRH4 05/07/24 05/07/29    107.140     0.250     5.3900                        0.160389   0.164556   0.168778  0.173167     37.76    60.47 
BARCLAYS BANK            06745QRB7 05/31/24 12/03/26    100.000     0.000     5.3500             0.148611   0.148677   0.152654   0.156738  0.160931     31.48    55.92 
BARCLAYS BANK            06745QRC5 05/31/24 06/03/27    100.000     0.000     5.3700             0.149167   0.149233   0.153240   0.157355  0.161580     31.60    56.14 
BARCLAYS BANK            06744EDH7 02/16/24 02/16/29    100.000     1.000     5.2800                        0.146667   0.151500   0.153056  0.155500     46.63    55.39 
BARCLAYS BANK            06745QA90 03/25/24 04/24/25    100.000     0.000     5.0100             0.139167   0.139728   0.143229                          38.78    16.18 
BARCLAYS BANK            06745QR27 05/31/24 06/03/27    100.000     0.000     5.3700             0.149167   0.149233   0.153240   0.157355  0.161580     31.60    56.14 
BARCLAYS BANK            06745QR35 05/31/24 06/01/29    100.000     0.000     5.4200                        0.150556   0.154658   0.158850  0.163154     31.89    56.69 
BARCLAYS BANK            06745QQC6 06/04/24 12/03/27    100.000     0.000     5.3700                        0.149167   0.153150   0.157262  0.161484     30.99    56.11 
BARCLAYS BANK            06745PMZ1 01/26/24 02/27/25    100.000     0.000     5.2900             0.146944   0.147614   0.151518                          49.91     8.49 
BARCLAYS BANK            06745QQ28 05/31/24 06/07/28    100.000     0.000     5.4100             0.150278   0.150436   0.154505   0.158685  0.162977     31.84    56.58 
BARCLAYS BANK            06745QPR4 05/17/24 05/17/29    100.000     0.000     5.3000                        0.147222   0.151124   0.155128  0.159239     33.15    55.48 
BARCLAYS BANK            06745PMK4 01/26/24 01/28/26    100.000     0.000     5.2900             0.146944   0.146988   0.150875   0.154866  0.158962     49.84    56.27 
BARCLAYS BANK            06745UL73 08/14/24 08/14/28    100.000     0.000     4.6900                                   0.130278   0.133333  0.136459     17.85    48.30 
BARCLAYS BANK            06745PLT6 01/25/24 07/25/25    100.000     0.000     5.3800                        0.149444   0.153465   0.157593               50.84    32.05 
BARCLAYS BANK            06745UK25 07/24/24 01/24/28    100.000     0.000     5.0800                                   0.141111   0.144695  0.148371     22.15    52.58 
BARCLAYS BANK            06745PLC3 01/24/24 01/24/29    100.000    VARIES     5.3400                        0.147111   0.143889   0.139056  0.134944     48.54    49.64 
BARCLAYS BANK            06745QNR6 04/24/24 04/22/27    100.000    VARIES     5.4600                        0.151556   0.151167   0.151833  0.156056     37.26    54.86 
BARCLAYS BANK            06745Q4R7 03/28/24 03/29/29    100.000     0.000     5.0800                        0.141111   0.144715   0.148391  0.152160     38.85    53.44 
BARCLAYS BANK            06745QVQ9 05/28/24 05/25/29    100.000     0.000     5.2900                        0.146944   0.150766   0.154754  0.158847     31.44    55.28 
BARCLAYS BANK            06745Q4N6 03/28/24 03/30/27    100.000     0.000     5.0000             0.138889   0.138927   0.142401   0.145961  0.149610     38.24    52.56 
BARCLAYS BANK            06745Q4Q9 04/03/24 04/01/27    100.000     0.000     5.1100                        0.141944   0.145531   0.149249  0.153062     38.36    53.74 
BARCLAYS BANK            06745PSJ1 03/05/24 03/04/27    100.000     0.000     5.2000                        0.144444   0.148179   0.152032  0.155985     43.19    54.95 
BARCLAYS BANK            06745PSL6 02/08/24 02/08/29    100.000     0.000     5.4100                        0.150278   0.154343   0.158518  0.162806     49.12    57.53 
BARCLAYS BANK            06745PSK8 03/05/24 03/05/29    100.000     0.000     5.2700                        0.146389   0.150246   0.154205  0.158269     43.78    55.73 
BARCLAYS BANK            06745QEG0 05/02/24 11/03/27    100.000     0.000     5.4000                        0.150000   0.154073   0.158232  0.162505     36.09    56.70 
BARCLAYS BANK            06745PSH5 03/05/24 03/05/26    100.000     0.000     5.1600                        0.143333   0.147031   0.150825  0.154716     42.86    54.51 
BARCLAYS BANK            06745QEF2 05/02/24 02/04/27    100.000     0.000     5.3400                        0.148333   0.150358   0.154372  0.158494     35.75    56.05 
BARCLAYS BANK            06745PRY9 02/29/24 03/01/29    100.000    VARIES     5.3100                        0.147111   0.143167   0.136889  0.136667     43.19    49.65 
BARCLAYS BANK            06745QV89 06/05/24 06/03/27    100.000     0.000     5.2800                        0.146667   0.150496   0.154469  0.158547     30.32    55.12 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

BARCLAYS BANK            06745Q3U1 03/28/24 03/30/26    100.000     0.000     5.3600             0.148889   0.148933   0.152925   0.157023  0.161231     41.02    56.55 
BARCLAYS BANK            06745Q3V9 03/28/24 03/30/27    100.000     0.000     5.3100             0.147500   0.147544   0.151461   0.155482  0.159610     40.64    55.99 
BARCLAYS BANK            06745Q3W7 03/28/24 03/29/29    100.000     0.000     5.2300                        0.145278   0.149098   0.152997  0.156998     40.01    55.10 
BARCLAYS BANK            06745PRP8 02/29/24 08/31/26    100.000     0.000     5.2500                        0.145833   0.149683   0.153568  0.157644     44.51    55.56 
BARCLAYS BANK            06745PRQ6 02/29/24 03/03/27    100.000     0.000     5.2600             0.146111   0.146197   0.150041   0.153988  0.158037     44.60    55.67 
BARCLAYS BANK            06745PRR4 02/29/24 03/01/29    100.000     0.000     5.3100                        0.147500   0.151460   0.155481  0.159609     45.02    56.23 
BARCLAYS BANK            06745QUU1 05/28/24 02/25/27    100.000     0.000     5.2600                        0.146111   0.147968   0.151860  0.155854     31.36    54.96 
BARCLAYS BANK            06745QDS5 03/27/24 03/25/26    100.000     0.000     4.9300                        0.136944   0.140283   0.143741  0.147284     37.84    51.80 
BARCLAYS BANK            06745QDM8 03/28/24 03/29/29    100.000    VARIES     5.2300                        0.146056   0.137056   0.134167  0.128222     38.42    48.04 
BARCLAYS BANK            06745QUR8 05/18/24 05/18/28    100.000     0.000     5.3300                        0.148056   0.152001   0.156052  0.160211     33.19    55.80 
BARCLAYS BANK            06745QDL0 04/02/24 04/01/26    100.000     0.000     5.0300                        0.139722   0.143217   0.146819  0.150511     37.90    52.86 
BARCLAYS BANK            06745QDE6 03/25/24 03/24/27    100.000     0.000     5.3900                        0.149722   0.153735   0.157878  0.162133     41.71    56.90 
BARCLAYS BANK            06745Q3C1 03/12/24 03/11/27    100.000     0.000     4.9600                        0.137778   0.141176   0.144677  0.148265     40.19    52.23 
BARCLAYS BANK            06745QDD8 04/10/24 04/10/29    100.000    VARIES     5.2300                        0.145778   0.136444   0.132444  0.126833     36.67    47.79 
BARCLAYS BANK            06745Q2W8 03/11/24 03/11/27    100.000     0.000     5.0200                        0.139444   0.142944   0.146532  0.150210     40.82    52.91 
BARCLAYS BANK            06745QD97 03/25/24 03/25/26    100.000     0.000     4.9500                        0.137500   0.140903   0.144390  0.147964     38.28    52.03 
BARCLAYS BANK            06745PR37 02/09/24 02/09/29    100.000     0.000     5.3300                        0.148056   0.152001   0.156052  0.160211     48.23    56.62 
BARCLAYS BANK            06745QTQ2 05/30/24 08/28/25    100.000     0.000     5.3200                        0.147778   0.149700   0.153682               31.42    36.20 
BARCLAYS BANK            06745Q2N8 03/27/24 09/27/28    100.000     0.000     5.0200                        0.139444   0.142944   0.146532  0.150210     38.54    52.79 
BARCLAYS BANK            06745PR29 02/13/24 02/13/29    100.000    VARIES     5.4100                        0.149778   0.149389   0.143167  0.145889     46.94    52.30 
BARCLAYS BANK            06745Q2M0 03/27/24 09/27/29    100.000     0.000     5.0000                        0.138889   0.142361   0.145920  0.149568     38.38    52.57 
BARCLAYS BANK            06745PQE4 03/04/24 09/07/27    100.000     0.000     5.2400             0.145556   0.145619   0.149434   0.153350  0.157367     43.68    55.41 
BARCLAYS BANK            06745QCJ6 03/25/24 03/25/27    100.000     0.000     5.0800                        0.141111   0.144695   0.148371  0.152139     39.29    53.47 
BARCLAYS BANK            06745Q2A6 03/28/24 03/30/28    100.000     0.000     5.2700             0.146389   0.146432   0.150290   0.154250  0.158315     40.33    55.55 
BARCLAYS BANK            06745QCF4 03/27/24 03/27/28    100.000     0.000     5.0000                        0.138889   0.142361   0.145920  0.149568     38.38    52.57 
BARCLAYS BANK            06745PQD6 03/04/24 12/04/26    100.000     0.000     5.2100             0.144722   0.146607   0.150426   0.154345  0.158366     43.48    55.07 
BARCLAYS BANK            06745QTG4 06/10/24 12/10/25    100.000     0.000     5.0400                        0.140000   0.143528   0.147145               28.21    49.31 
BARCLAYS BANK            06745QSX8 05/13/24 05/11/28    100.000    VARIES     5.3200                        0.147778   0.145800   0.143767  0.147589     33.32    52.59 
BARCLAYS BANK            06745QSU4 06/05/24 06/05/29    100.000     0.000     5.3400                        0.148333   0.152294   0.156360  0.160535     30.66    55.77 
BARCLAYS BANK            06745QSV2 05/31/24 06/01/29    100.000    VARIES     5.4200                        0.153167   0.144556   0.144944  0.141222     31.22    52.14 
BARCLAYS BANK            06745QBP3 04/03/24 04/05/27    100.000     0.000     5.3200             0.147778   0.147821   0.151754   0.155790  0.159934     39.95    56.06 
BARCLAYS BANK            06745QSN0 06/05/24 06/05/29    100.000     0.000     5.3400                        0.148333   0.152294   0.156360  0.160535     30.66    55.77 
BARCLAYS BANK            06745PPC9 02/22/24 08/01/28    100.000     0.000     5.6300                        0.156389   0.160278   0.164789  0.169428     48.91    59.88 
BARCLAYS BANK            06745QSE0 06/05/24 06/04/26    100.000     0.000     5.2300                        0.145278   0.149056   0.152953  0.156953     30.03    54.57 
BARCLAYS BANK            06745PPB1 02/22/24 08/21/29    100.000     0.000     5.4900                        0.152500   0.156663   0.160963  0.165382     47.66    58.31 
BARCLAYS BANK            06745QRY7 05/31/24 06/01/29    100.000     0.000     5.4200                        0.150556   0.154658   0.158850  0.163154     31.89    56.69 
BARCLAYS BANK            06745QRZ4 06/05/24 06/05/29    100.000     0.000     5.3400                        0.148333   0.152294   0.156360  0.160535     30.66    55.77 
BARCLAYS BANK            06745QS67 05/31/24 06/02/31    100.000     0.000     5.3100             0.147500   0.147544   0.151461   0.155482  0.159610     31.25    55.49 
BARCLAYS BANK            06745QS75 05/31/24 06/04/31    100.000     0.000     5.3100             0.147500   0.147587   0.151505   0.155528  0.159657     31.25    55.49 
BARCLAYS BANK            06745QB57 03/20/24 03/18/27    100.000     0.000     5.4200                        0.150556   0.154590   0.158780  0.163083     42.72    57.28 
BARCLAYS BANK            06745QAT6 03/15/24 06/16/25    100.000     0.000     5.0200             0.139444   0.141214   0.144758                          40.28    23.89 
BARCLAYS BANK            06745QAU3 03/15/24 06/16/25    100.000     0.000     5.0200             0.139444   0.141214   0.144758                          40.28    23.89 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

BARCLAYS BANK            06745QRW1 05/31/24 12/03/26    100.000     0.000     5.3500             0.148611   0.148677   0.152654   0.156738  0.160931     31.48    55.92 
BARCLAYS BANK            06745QRX9 06/05/24 12/03/26    100.000     0.000     5.2500                        0.145833   0.149619   0.153546  0.157577     30.15    54.79 
BARCLAYS BANK            06745QRQ4 05/29/24 11/28/29    100.000     0.000     5.3300                        0.148056   0.151979   0.156030  0.160188     31.52    55.71 
BARCLAYS BANK            06745QRR2 05/29/24 11/29/28    100.000     0.000     5.3600                        0.148889   0.152879   0.156976  0.161183     31.69    56.04 
BARCLAYS BANK            06745PFY2 02/05/24 02/05/29    100.000     0.000     5.1300                        0.142500   0.146155   0.149904  0.153749     46.99    54.40 
BARCLAYS BANK            06745PFZ9 01/31/24 07/30/26    100.000     0.000     5.2900                        0.146944   0.150831   0.154821  0.158916     49.23    56.24 
BARCLAYS BANK            06745UEJ5 08/05/24 08/03/29    100.000     0.000     4.8400                                   0.134444   0.137662  0.140993     19.63    49.95 
BARCLAYS BANK            06745PG54 02/05/24 02/04/27    100.000     0.000     5.0700                        0.140833   0.144384   0.148044  0.151797     46.43    53.73 
BARCLAYS BANK            06745QZZ5 06/07/24 12/09/25    100.000     0.000     5.2500             0.145833   0.145876   0.149705   0.153635               29.84    51.31 
BARCLAYS BANK            06745QJ59 05/03/24 05/03/29    100.000     0.000     5.4900                        0.152500   0.156686   0.160987  0.165406     36.54    57.69 
BARCLAYS BANK            06745PG21 01/31/24 01/29/27    100.000     0.000     5.2300                        0.145278   0.149056   0.152953  0.156953     48.66    55.56 
BARCLAYS BANK            06745PWT2 02/28/24 02/26/27    100.000     0.000     5.2300                        0.145278   0.149035   0.152932  0.156931     44.49    55.34 
BARCLAYS BANK            06745PX55 03/01/24 03/04/27    100.000     0.000     5.2700             0.146389   0.146453   0.150312   0.154273  0.158338     44.39    55.76 
BARCLAYS BANK            06745PWT4 02/28/24 03/27/25    100.000     0.000     5.1400             0.142778   0.143369   0.147054                          43.77    12.65 
BARCLAYS BANK            06745PG39 01/31/24 01/31/29    100.000     0.000     5.3300                        0.148056   0.152001   0.156052  0.160211     49.60    56.69 
BARCLAYS BANK            06745PFR7 01/24/24 07/24/29    100.000     0.000     5.2600                        0.146111   0.149954   0.153898  0.157945     49.84    55.95 
BARCLAYS BANK            06745PG47 02/05/24 02/05/26    100.000     0.000     5.1500                        0.143056   0.146739   0.150518  0.154394     47.17    54.62 
BARCLAYS BANK            06745PFS5 01/25/24 07/24/28    100.000     0.000     5.3400                        0.148333   0.152272   0.156337  0.160512     50.46    56.84 
BARCLAYS BANK            06745P5L1 12/27/23 06/25/26    100.000     0.000     5.1600      0.57   0.143333   0.146990   0.150783   0.154673  0.158663     52.30    55.03 
BARCLAYS BANK            06745QJ26 04/30/24 04/30/31    100.000     0.000     5.4700                        0.151944   0.156100   0.160369  0.164756     36.87    57.49 
BARCLAYS BANK            06745P5F4 12/27/23 12/27/28    100.000     0.000     5.1200      0.57   0.142222   0.145863   0.149597   0.153427  0.157355     51.88    54.58 
BARCLAYS BANK            06745U3U2 06/28/24 06/30/27    100.000     0.000     5.2800             0.146667   0.146710   0.150583   0.154558  0.158639     26.85    54.93 
BARCLAYS BANK            06745U3V0 06/28/24 06/28/29    100.000     0.000     5.2100                        0.144722   0.148492   0.152360  0.156329     26.50    54.18 
BARCLAYS BANK            06745PFD8 02/05/24 08/05/26    100.000     0.000     5.1100                        0.141944   0.145571   0.149290  0.153105     46.80    54.18 
BARCLAYS BANK            06745U3Q1 06/28/24 12/31/26    100.000     0.000     5.3200             0.147778   0.147821   0.151754   0.155790  0.159934     27.06    55.37 
BARCLAYS BANK            06745PFE6 01/31/24 01/31/29    100.000     0.000     5.3300                        0.148056   0.152001   0.156052  0.160211     49.60    56.69 
BARCLAYS BANK            06745U3R9 06/28/24 06/30/27    100.000     0.000     5.2800             0.146667   0.146710   0.150583   0.154558  0.158639     26.85    54.93 
BARCLAYS BANK            06745P5D9 12/27/23 12/24/26    100.000     0.000     5.1000      0.57   0.141667   0.145219   0.148922   0.152720  0.156614     51.69    54.35 
BARCLAYS BANK            06745U3S7 06/28/24 06/28/29    100.000     0.000     5.2100                        0.144722   0.148492   0.152360  0.156329     26.50    54.18 
BARCLAYS BANK            06745UE55 07/31/24 07/31/29    100.000     0.000     4.9900                                   0.138611   0.142069  0.145614     20.93    51.58 
BARCLAYS BANK            06745P5E7 12/27/23 12/27/27    100.000     0.000     5.1400      0.57   0.142778   0.146447   0.150211   0.154071  0.158031     52.09    54.80 
BARCLAYS BANK            06745PFA4 01/31/24 01/29/31    100.000     0.000     5.5400                        0.153889   0.158128   0.162508  0.167010     51.58    59.06 
BARCLAYS BANK            06745UDN7 07/31/24 07/31/29    100.000     0.000     4.9900                                   0.138611   0.142069  0.145614     20.93    51.58 
BARCLAYS BANK            06745PFC0 01/31/24 07/29/26    100.000     0.000     5.2600                        0.146111   0.149932   0.153876  0.157923     48.94    55.90 
BARCLAYS BANK            06745UDP2 07/31/24 01/29/27    100.000     0.000     4.9700                                   0.138056   0.141467  0.144983     20.85    51.37 
BARCLAYS BANK            06745UDL1 07/31/24 07/29/27    100.000     0.000     4.9700                                   0.138056   0.141467  0.144983     20.85    51.37 
BARCLAYS BANK            06745UDE7 08/02/24 05/05/27    100.000     0.000     4.9600                        0.137778   0.139543   0.143004  0.146550     20.63    51.25 
BARCLAYS BANK            06745QHY8 04/30/24 04/30/29    100.000     0.000     5.5600                        0.154444   0.158738   0.163151  0.167687     37.48    58.49 
BARCLAYS BANK            06745PVY4 02/21/24 08/19/27    100.000     0.000     5.5100                        0.153056   0.157225   0.161557  0.166008     48.00    58.54 
BARCLAYS BANK            06745QHZ5 04/30/24 04/30/31    100.000     0.000     5.4700                        0.151944   0.156100   0.160369  0.164756     36.87    57.49 
BARCLAYS BANK            06745UDC1 07/31/24 07/31/28    100.000     0.000     4.9900                                   0.138611   0.142069  0.145614     20.93    51.58 
BARCLAYS BANK            06745PW80 02/28/24 02/28/28    100.000     8.000     5.2700                        0.146389   0.144389   0.142333  0.146111     44.11    51.82 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

BARCLAYS BANK            06745QZ77 06/28/24 06/29/28    100.000     0.000     5.2600                        0.146111   0.149975   0.153920  0.157968     26.75    54.72 
BARCLAYS BANK            06745QHM4 05/03/24 05/05/26    100.000     0.000     5.3500             0.148611   0.148655   0.152632   0.156715  0.160907     35.60    56.15 
BARCLAYS BANK            06745UCY4 07/24/24 01/25/30    100.000     0.000     5.0600                                   0.140556   0.144131  0.147778     22.07    52.37 
BARCLAYS BANK            06745QHN2 04/30/24 04/30/29    100.000     0.000     5.5600                        0.154444   0.158738   0.163151  0.167687     37.48    58.49 
BARCLAYS BANK            06745UCZ1 07/24/24 01/24/29    100.000     0.000     5.0900                                   0.141389   0.144987  0.148677     22.20    52.69 
BARCLAYS BANK            06745QHL6 04/30/24 10/29/26    100.000     0.000     5.3800                        0.149444   0.153442   0.157570  0.161808     36.26    56.50 
BARCLAYS BANK            06745PEB3 02/02/24 08/04/27    100.000     0.000     5.2400             0.145556   0.145598   0.149413   0.153327  0.157344     48.46    55.66 
BARCLAYS BANK            06745QYG8 07/02/24 12/30/27    100.000     0.000     5.0100                        0.139167   0.142614   0.146187  0.149849     24.91    51.99 
BARCLAYS BANK            06745PVD0 03/01/24 03/04/27    100.000     0.000     5.2700             0.146389   0.146453   0.150312   0.154273  0.158338     44.39    55.76 
BARCLAYS BANK            06745PEA5 02/02/24 11/04/26    100.000     0.000     5.2600             0.146111   0.148075   0.151970   0.155966  0.160068     48.76    55.89 
BARCLAYS BANK            06745UTL4 08/20/24 08/20/29    100.000     0.250     4.5900                                   0.136611   0.139556  0.142611     17.90    50.50 
BARCLAYS BANK            06745PUX7 02/29/24 03/01/29    100.000    VARIES     5.3200                        0.148167   0.143111   0.136556  0.136056     43.22    49.52 
BARCLAYS BANK            06745QGT0 04/30/24 04/28/28    100.000     0.000     5.5300                        0.153611   0.157811   0.162175  0.166659     37.28    58.15 
BARCLAYS BANK            06745PUT6 02/22/24 02/19/27    100.000     0.000     5.5400                        0.153889   0.158081   0.162459  0.166960     48.10    58.87 
BARCLAYS BANK            06745Q6N4 03/28/24 03/28/31    100.000     0.000     5.1200                        0.142222   0.145863   0.149597  0.153427     39.17    53.89 
BARCLAYS BANK            06745UBZ2 07/10/24 07/09/27    100.000     0.000     5.1900                                   0.144167   0.147887  0.151725     24.65    53.87 
BARCLAYS BANK            06745Q6M6 03/28/24 03/28/31    100.000     0.000     5.1200                        0.142222   0.145863   0.149597  0.153427     39.17    53.89 
BARCLAYS BANK            06745PUP4 03/05/24 03/05/30    100.000     0.000     5.2700                        0.146389   0.150246   0.154205  0.158269     43.78    55.73 
BARCLAYS BANK            06745Q6P9 04/03/24 04/02/29    100.000     0.000     5.1500                        0.143056   0.146719   0.150497  0.154372     38.66    54.18 
BARCLAYS BANK            06745QGK9 04/30/24 04/30/29    100.000     0.000     5.5600                        0.154444   0.158738   0.163151  0.167687     37.48    58.49 
BARCLAYS BANK            06745Q6K0 04/03/24 10/01/26    100.000     0.000     5.1000                        0.141667   0.145239   0.148943  0.152741     38.29    53.63 
BARCLAYS BANK            06745Q6J3 03/28/24 09/30/26    100.000     0.000     5.3600             0.148889   0.148933   0.152925   0.157023  0.161231     41.02    56.55 
BARCLAYS BANK            06745Q6L8 03/28/24 03/29/29    100.000     0.000     5.2300                        0.145278   0.149098   0.152997  0.156998     40.01    55.10 
BARCLAYS BANK            06745QGG8 05/03/24 05/03/29    100.000     0.000     5.4900                        0.152500   0.156686   0.160987  0.165406     36.54    57.69 
BARCLAYS BANK            06745QGH6 05/03/24 05/05/27    100.000     0.000     5.3400             0.148333   0.148377   0.152339   0.156406  0.160583     35.54    56.04 
BARCLAYS BANK            06745QGJ2 04/30/24 04/29/27    100.000     0.000     5.3800                        0.149444   0.153442   0.157570  0.161808     36.26    56.50 
BARCLAYS BANK            06745Q6H7 03/28/24 03/29/29    100.000     0.000     5.2300                        0.145278   0.149098   0.152997  0.156998     40.01    55.10 
BARCLAYS BANK            06745Q6A2 04/03/24 04/02/26    100.000     0.000     5.0900                        0.141389   0.144967   0.148657  0.152440     38.21    53.52 
BARCLAYS BANK            06745Q5Y1 04/03/24 04/01/27    100.000     0.000     5.1100                        0.141944   0.145531   0.149249  0.153062     38.36    53.74 
BARCLAYS BANK            06745Q5Z8 04/03/24 04/02/29    100.000     0.000     5.1500                        0.143056   0.146719   0.150497  0.154372     38.66    54.18 
BARCLAYS BANK            06745UBA7 06/24/24 09/18/25    100.000     0.000     5.4900                        0.152500   0.154454   0.158693               28.72    40.46 
BARCLAYS BANK            06745Q5T7 06/05/24 06/04/27    100.000     0.000     5.2800                        0.146667   0.150517   0.154491  0.158569     30.32    55.12 
BARCLAYS BANK            06745QG78 04/24/24 10/24/29    100.000     0.000     5.4700                        0.151944   0.156100   0.160369  0.164756     37.81    57.54 
BARCLAYS BANK            06745QG86 04/24/24 10/24/28    100.000     0.000     5.4900                        0.152500   0.156686   0.160987  0.165406     37.95    57.77 
BARCLAYS BANK            06745QFW4 05/03/24 05/05/26    100.000     0.000     5.3500             0.148611   0.148655   0.152632   0.156715  0.160907     35.60    56.15 
BARCLAYS BANK            06745QFY0 05/03/24 05/05/27    100.000     0.000     5.3400             0.148333   0.148377   0.152339   0.156406  0.160583     35.54    56.04 
BARCLAYS BANK            06745QFX2 05/03/24 05/03/29    100.000     0.000     5.4900                        0.152500   0.156686   0.160987  0.165406     36.54    57.69 
BARCLAYS BANK            06745Q5R1 05/30/24 05/27/27    100.000     0.000     5.3300                        0.148056   0.151935   0.155985  0.160142     31.37    55.70 
BARCLAYS BANK            06745Q5R6 03/13/24 06/12/25    100.000     0.000     4.9500             0.137500   0.139183   0.142627                          40.00    22.96 
BARCLAYS BANK            06745Q5S4 03/13/24 06/12/26    100.000     0.000     4.9500             0.137500   0.139183   0.142627   0.146157  0.149775     40.00    52.12 
BARCLAYS BANK            06745PTS0 02/22/24 02/21/31    100.000     0.000     5.7300                        0.159167   0.163701   0.168392  0.173216     49.77    61.01 
BARCLAYS BANK            06745QFM6 04/30/24 04/29/27    100.000     0.000     5.3800                        0.149444   0.153442   0.157570  0.161808     36.26    56.50 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

BARCLAYS BANK            06745QFN4 04/30/24 04/30/29    100.000     0.000     5.5600                        0.154444   0.158738   0.163151  0.167687     37.48    58.49 
BARCLAYS BANK            06745PCM1 12/28/23 06/25/26    100.000     0.000     5.1200      0.43   0.142222   0.145802   0.149535   0.153363  0.157289     51.89    54.57 
BARCLAYS BANK            06745QFL8 04/30/24 10/29/26    100.000     0.000     5.3800                        0.149444   0.153442   0.157570  0.161808     36.26    56.50 
BARCLAYS BANK            06745PTC5 02/29/24 03/01/29    100.000     0.000     5.3100                        0.147500   0.151460   0.155481  0.159609     45.02    56.23 
BARCLAYS BANK            06745Q5F7 06/05/24 06/04/27    100.000     0.000     5.2800                        0.146667   0.150517   0.154491  0.158569     30.32    55.12 
BARCLAYS BANK            06745QFB0 04/22/24 05/04/29    100.000     0.000     5.4800             0.152222   0.152500   0.156679   0.160972  0.165382     38.21    57.67 
BARCLAYS BANK            06745PTA9 02/29/24 03/03/31    100.000     0.000     5.2200             0.145000   0.145084   0.148871   0.152756  0.156743     44.26    55.22 
BARCLAYS BANK            06745Q5A3 03/20/24 03/22/27    100.000     0.000     5.4200             0.150556   0.150601   0.154682   0.158874  0.163180     42.72    57.28 
BARCLAYS BANK            06745PTB7 02/29/24 03/03/31    100.000     0.000     5.2200             0.145000   0.145084   0.148871   0.152756  0.156743     44.26    55.22 
BARCLAYS BANK            06745PT76 02/29/24 08/31/26    100.000     0.000     5.2500                        0.145833   0.149683   0.153568  0.157644     44.51    55.56 
BARCLAYS BANK            06745PT84 03/05/24 09/03/26    100.000     0.000     5.1800                        0.143889   0.147574   0.151396  0.155318     43.03    54.73 
BARCLAYS BANK            06745PC82 12/28/23 12/28/28    100.000    VARIES     5.1200      0.42   0.142389   0.138278   0.135778   0.134667  0.132056     50.10    48.68 
BARCLAYS BANK            06745PT92 02/29/24 03/01/29    100.000     0.000     5.3100                        0.147500   0.151460   0.155481  0.159609     45.02    56.23 
BARCLAYS BANK            06745PKC4 01/23/24 01/23/29    100.000     0.000     5.3300                        0.148056   0.152001   0.156052  0.160211     50.67    56.75 
BARCLAYS BANK            06745PJZ5 01/31/24 05/01/25    100.000     0.000     5.3400             0.148333   0.150336   0.154350                          49.82    18.52 
BARCLAYS BANK            06745QMM8 05/03/24 05/03/28    100.000     0.000     5.4700                        0.151944   0.156100   0.160369  0.164756     36.40    57.47 
BARCLAYS BANK            06745UHK9 08/05/24 08/03/28    100.000     0.000     4.8400                                   0.134444   0.137662  0.140993     19.63    49.95 
BARCLAYS BANK            06745PZL8 03/20/24 04/05/27    100.000     0.000     5.4200             0.150556   0.150896   0.154985   0.159185  0.163499     42.75    57.28 
BARCLAYS BANK            06745PZH7 03/06/24 03/06/28    100.000     0.000     5.1700                        0.143611   0.147323   0.151132  0.155039     42.79    54.61 
BARCLAYS BANK            06745PZF1 04/01/24 09/30/27    100.000     0.000     5.1000                        0.141667   0.145259   0.148963  0.152762     38.58    53.64 
BARCLAYS BANK            06745QLA5 04/29/24 04/27/29    100.000    VARIES     5.4900                        0.151000   0.145611   0.141778  0.137889     35.87    51.27 
BARCLAYS BANK            06745U6E5 06/26/24 09/25/25    100.000     0.000     5.4900                        0.152500   0.154570   0.158813               28.41    41.57 
BARCLAYS BANK            06745PYV7 02/29/24 03/02/29    100.000     0.000     5.3200             0.147778   0.147843   0.151776   0.155813  0.159958     45.12    56.34 
BARCLAYS BANK            06745PHQ7 01/16/24 01/16/29    100.000     6.500     5.2400                        0.144444   0.142667   0.141667  0.143000     49.39    50.85 
BARCLAYS BANK            06745PZ38 04/01/24 09/30/27    100.000     0.000     5.1000                        0.141667   0.145259   0.148963  0.152762     38.58    53.64 
BARCLAYS BANK            06745PZ53 04/01/24 04/01/30    100.000     0.000     5.0800                        0.141111   0.144695   0.148371  0.152139     38.42    53.42 
BARCLAYS BANK            06745PYT2 03/05/24 03/12/25    100.000     0.000     5.1000             0.141667   0.141807   0.145423                          42.37    10.33 
BARCLAYS BANK            06745QKN8 04/23/24 04/22/27    100.000     0.000     5.4400                        0.151111   0.155198   0.159420  0.163756     37.76    57.22 
BARCLAYS BANK            06745U5P1 07/03/24 07/03/29    100.000     0.000     5.3100                                   0.147500   0.151416  0.155436     26.25    55.22 
BARCLAYS BANK            06745U5Q9 06/28/24 06/30/31    100.000     0.000     5.1100             0.141944   0.141985   0.145612   0.149333  0.153148     25.99    53.10 
BARCLAYS BANK            06745U5R7 06/28/24 06/30/31    100.000     0.000     5.1100             0.141944   0.141985   0.145612   0.149333  0.153148     25.99    53.10 
BARCLAYS BANK            06745U5L0 06/28/24 12/31/26    100.000     0.000     5.3200             0.147778   0.147821   0.151754   0.155790  0.159934     27.06    55.37 
BARCLAYS BANK            06745U5M8 07/03/24 12/31/26    100.000     0.000     5.3800                        0.149444   0.153397   0.157524  0.161761     26.61    55.97 
BARCLAYS BANK            06745U5N6 06/28/24 06/28/29    100.000     0.000     5.2100                        0.144722   0.148492   0.152360  0.156329     26.50    54.18 
BARCLAYS BANK            06745PHB0 01/24/24 01/23/26    100.000     0.000     5.3100                        0.147500   0.151394   0.155414  0.159540     50.32    56.51 
BARCLAYS BANK            06745U5E6 07/03/24 07/01/27    100.000     0.000     5.3500                                   0.152542   0.156623  0.160812     26.45    55.65 
BARCLAYS BANK            06745QJW0 05/01/24 10/29/26    100.000     0.000     5.3700                        0.149167   0.153127   0.157239  0.161461     36.05    56.38 
BARCLAYS BANK            06745U5C0 07/03/24 07/03/29    100.000     0.000     5.3100                                   0.147500   0.151416  0.155436     26.25    55.22 
BARCLAYS BANK            06745QJS9 04/08/24 04/09/26    100.000     0.000     5.0400                        0.140000   0.143548   0.147165  0.150874     37.11    52.93 
BARCLAYS BANK            06745P6H9 12/27/23 12/27/30    100.000     0.000     5.2900      0.59   0.146944   0.150831   0.154821   0.158916  0.163119     53.63    56.51 
BARCLAYS BANK            06745QJN0 05/01/24 04/29/27    100.000     0.000     5.3700                        0.149167   0.153127   0.157239  0.161461     36.05    56.38 
BARCLAYS BANK            06745P6L0 12/27/23 12/24/26    100.000     0.000     5.1000      0.57   0.141667   0.145219   0.148922   0.152720  0.156614     51.69    54.35 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

BARCLAYS BANK            06745UEU0 08/05/24 08/03/29    100.000     0.000     4.8400                                   0.134444   0.137662  0.140993     19.63    49.95 
BARCLAYS BANK            06745UF62 08/05/24 08/05/27    100.000     0.000     4.8300                                   0.134167   0.137407  0.140725     19.59    49.84 
BARCLAYS BANK            06745UET3 08/05/24 08/05/27    100.000     0.000     4.8300                                   0.134167   0.137407  0.140725     19.59    49.84 
BARCLAYS BANK            06745P6E6 12/27/23 12/27/30    100.000     0.000     5.2900      0.59   0.146944   0.150831   0.154821   0.158916  0.163119     53.63    56.51 
BARCLAYS BANK            06745UF70 08/05/24 08/03/29    100.000     0.000     4.8400                                   0.134444   0.137662  0.140993     19.63    49.95 
BARCLAYS BANK            06745P6F3 12/27/23 06/25/26    100.000     0.000     5.1600      0.57   0.143333   0.146990   0.150783   0.154673  0.158663     52.30    55.03 
BARCLAYS BANK            06745P6G1 12/27/23 12/27/28    100.000     0.000     5.1200      0.57   0.142222   0.145863   0.149597   0.153427  0.157355     51.88    54.58 
BARCLAYS BANK            06745U4N7 07/03/24 07/03/29    100.000     0.000     5.3100                                   0.147500   0.151416  0.155436     26.25    55.22 
BARCLAYS BANK            06745UEP1 07/31/24 07/31/29    100.000     0.000     4.9900                                   0.138611   0.142069  0.145614     20.93    51.58 
BARCLAYS BANK            06745U4P2 07/03/24 07/02/26    100.000     0.000     5.4000                                   0.150000   0.154028  0.158186     26.70    56.19 
BARCLAYS BANK            06745UF21 08/05/24 08/05/26    100.000     0.000     4.8800                                   0.135556   0.138863  0.142251     19.79    50.37 
BARCLAYS BANK            06745UER7 07/31/24 07/30/27    100.000     0.000     4.9700                                   0.138056   0.141486  0.145002     20.85    51.37 
BARCLAYS BANK            06745UEK2 07/31/24 07/31/27    100.000     0.000     4.9500                                   0.137500   0.140903  0.144390     20.76    51.15 
BARCLAYS BANK            06745UEL0 07/31/24 01/29/27    100.000     0.000     4.9900                                   0.138611   0.142050  0.145594     20.93    51.58 
BARCLAYS BANK            06745UEM8 07/31/24 07/31/31    100.000     0.000     4.9500                                   0.137500   0.140903  0.144390     20.76    51.15 
BARCLAYS BANK            06745U4M9 07/03/24 07/01/27    100.000     0.000     5.3500                                   0.152542   0.156623  0.160812     26.45    55.65 
BARCLAYS BANK            06745UEN6 08/05/24 02/04/27    100.000     0.000     4.8500                                   0.134722   0.137971  0.141317     19.67    50.05 
BARCLAYS BANK PLC        06748XSU6 09/15/22 09/15/25    100.000    VARIES     3.2900      7.34   0.015944   0.015833   0.015722   0.015581                5.70     3.97 
BARCLAYS BANK PLC        06748XQP9 09/02/22 09/02/25    100.000    VARIES     3.3800      5.33   0.011278   0.111829   0.011090   0.010995                4.02     2.66 
BARCLAYS BANK PLC        06748XV81 09/23/22 09/25/25    100.000     0.000     5.6800     73.96   0.166919   0.171660   0.176535   0.181549               61.87    47.51 
BEMIS COMPANY INC        081437AQ8 06/13/19 09/15/26     95.210     3.100     3.8632     28.48   0.018902   0.019267   0.019639   0.020018  0.020405      6.95     7.22 
BETHEL OHIO LOC SCH DIST 086851DE9 07/28/20 11/01/25     92.621     0.000     1.4630     47.43   0.039470   0.039759   0.040050   0.040343               14.30    12.07 
BETHEL OHIO LOC SCH DIST 086851DD1 07/28/20 11/01/24     94.579     0.000     1.3130     43.37   0.035998   0.036234                                     10.84          
BGC Group Inc.           05541TAQ4 10/06/23 05/25/28     97.311     8.000     8.7170      1.15   0.013871   0.014000   0.014713   0.015222  0.016016      5.04     5.48 
BGC Group Inc.           05541TAP6 10/06/23 12/15/25     92.385     4.375     8.2400      7.85   0.094693   0.095778   0.097625   0.098944               34.48    35.62 
BIOMARIN PHARMACEUTICAL  09061GAH4 08/11/17 08/01/24     98.000     0.599     0.8955     18.28   0.008164   0.008201                                      1.72          
BOFA Finance LLC         09709T5W7 07/30/21 07/30/31    100.000    VARIES     2.1299     51.09   0.058119   0.058179   0.058240   0.058302  0.058364     20.95    21.00 
BOFA Finance LLC         09709T5V9 07/29/21 07/29/36    100.000    VARIES     2.5499     60.53   0.068853   0.068918   0.068983   0.069050  0.069117     24.82    24.87 
BOFA Finance LLC         09709T5X5 08/03/21 08/03/31    100.000    VARIES     2.1400     51.13   0.058713   0.058755   0.058798   0.058841  0.058884     21.16    21.19 
BOFA Finance LLC         09709T6D8 10/19/21 10/19/41    100.000    VARIES     2.9997     64.27   0.080101   0.080170   0.080239   0.080309  0.080380     28.86    28.91 
BOFA Finance LLC         09709T6F3 11/17/21 11/17/31    100.000    VARIES     2.6999     56.83   0.074115   0.074164   0.074215   0.074266  0.074318     26.69    26.73 
BOFA Finance LLC         09709T6E6 11/12/21 11/12/36    100.000    VARIES     2.6670     56.12   0.072448   0.072502   0.072555   0.072610  0.072665     26.10    26.13 
BOFA Finance LLC         09709T6B2 09/24/21 09/24/31    100.000    VARIES     2.3499     52.76   0.064302   0.064357   0.064414   0.064471  0.064528     23.17    23.21 
BOFA Finance LLC         09709T6A4 09/30/21 09/30/41    100.000    VARIES     3.0153     66.36   0.080935   0.080995   0.081056   0.081117  0.081179     29.16    29.20 
BOFA Finance LLC         09709TXD8 11/27/19 11/28/24    100.000     0.000     2.3000     98.17   0.070013   0.070818                                     23.04          
BOFA Finance LLC         09709T6N6 05/18/22 05/18/32    100.000    VARIES     4.7335     77.34   0.134582   0.135664   0.135446   0.135223  0.134994     48.68    48.70 
BOFA Finance LLC         09709TGZ8 06/20/19 06/18/24    100.000     0.000     2.5962    123.98   0.080981                                                13.52          
BOFA Finance LLC         09709TJM4 01/31/19 01/26/24    100.000     0.000     3.3706    178.75   0.108785                                                 2.72          
BOFA Finance LLC         09710F496 04/29/22 04/17/25    100.000     0.000     3.6593     62.57   0.107202   0.109163   0.111160                          39.24    11.78 
BOFA Finance LLC         09709UTW8 10/25/21 10/27/28    100.000     0.000     1.9500     43.29   0.056316   0.056865   0.057419   0.057979  0.058545     20.44    20.84 
BOFA Finance LLC         09709TUA7 07/31/19 01/31/24    100.000     0.000     2.3707    109.78   0.072363                                                 2.10          
BOFA Finance LLC         097098297 02/28/19 02/28/25    100.000     0.000     3.3423    174.12   0.107778   0.109579   0.111410                          39.57     6.35 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

BP CAPITAL MARKETS AMERI 10373QAZ3 12/14/18 04/14/27     97.935     3.588     3.8804     11.71   0.007099   0.007237   0.007377   0.007520  0.007666      2.60     2.70 
BP CAPITAL MARKETS AMERI 10373QAV2 12/14/18 01/16/27     94.278     3.017     3.8468     33.62   0.020173   0.020561   0.020956   0.021359  0.021770      7.46     7.75 
BP CAPITAL MARKETS AMERI 10373QAT7 12/14/18 05/04/26     95.741     3.119     3.7851     27.80   0.016847   0.017166   0.017491   0.017822  0.018159      6.16     6.39 
BRENHAM TEX INDPT SCH DI 107133PL8 11/06/20 02/15/26     93.491     0.000     1.2799     38.38   0.034437   0.034657   0.034879   0.035102  0.035327     12.50    12.66 
BRENHAM TEX INDPT SCH DI 107133PM6 11/06/20 02/15/27     91.617     0.000     1.4001     41.21   0.037037   0.037296   0.037557   0.037820  0.038085     13.45    13.64 
BRENHAM TEX INDPT SCH DI 107133PN4 11/06/20 02/15/28     88.094     0.000     1.7500     49.76   0.044944   0.045338   0.045734   0.046135  0.046538     16.36    16.65 
BRENHAM TEX INDPT SCH DI 107133PJ3 11/06/20 02/15/24     96.943     0.000     0.9502     29.41   0.026269                                                 1.16          
BRENHAM TEX INDPT SCH DI 107133PK0 11/06/20 02/15/25     95.621     0.000     1.0501     32.11   0.028715   0.028866   0.029017                          10.41     1.28 
BROOKHAVEN N Y LOC DEV   113168BH0 10/29/20 10/01/25     98.910     4.500     4.7509      6.74   0.006345   0.006496   0.006650   0.006808                2.34     1.82 
BURLESON TEX INDPT SCH   1214034B2 07/01/20 08/01/25     90.706     0.000     1.9281     63.02   0.051541   0.052038   0.052539   0.053046               18.79    11.12 
BURLESON TEX INDPT SCH   1214034A4 07/01/20 08/01/24     92.838     0.000     1.8281     61.07   0.049865   0.050321                                     10.55          
BURLESON TEX INDPT SCH   1214034C0 07/01/20 08/01/26     87.833     0.000     2.1439     68.08   0.055862   0.056460   0.057066   0.057677  0.058296     20.40    20.84 
BURLESON TEX INDPT SCH   1214034E6 07/01/20 08/01/28     82.817     0.000     2.3459     70.46   0.057992   0.058673   0.059361   0.060057  0.060762     21.21    21.71 
BURLESON TEX INDPT SCH   1214034D8 07/01/20 08/01/27     85.379     0.000     2.2439     69.37   0.057009   0.057649   0.058296   0.058950  0.059611     20.83    21.30 
BURLESON TEX INDPT SCH   1214034F3 07/01/20 08/01/29     80.401     0.000     2.4159     70.52   0.058104   0.058806   0.059517   0.060235  0.060963     21.26    21.77 
Banco de Galicia         059538AR9 07/19/16 07/19/26    100.000    VARIES     8.7499    662.86   0.247881   0.247160   0.246407   0.245622  0.244802     88.87    88.31 
Banco de Galicia y Bueno P0R66CAA6 07/19/16 07/19/26    100.000    VARIES     0.0000    662.86   0.247881   0.247160   0.246407   0.245622  0.244802     88.87    88.31 
Bank Of Montreal         06374V3D6 09/09/22 06/06/25    100.000     0.000     4.2780     57.15   0.125253   0.127932   0.130669                          45.71    20.25 
Bank Of Montreal         06374VF43 12/27/22 12/28/26    100.000     0.000     4.8310     49.45   0.140774   0.144175   0.147657   0.151224  0.154877     51.31    53.82 
Bank Of Montreal         06374VFG6 12/28/22 01/29/24    100.000     0.000     5.5200     56.55   0.158314                                                 4.43          
Bank Of Montreal         06374VFH4 12/28/22 06/28/24    100.000     0.000     5.2960     54.13   0.155005                                                27.44          
Bank Of Montreal         06374VFE1 12/27/22 01/29/24    100.000     0.000     5.4600     56.08   0.156563                                                 4.38          
Bank Of Montreal         06374VFF8 12/27/22 06/27/24    100.000     0.000     5.2200     53.49   0.152668                                                26.87          
Bank Of Montreal         06374VH25 12/20/22 12/18/25    100.000     0.000     4.8960     51.14   0.142702   0.146196   0.149774   0.153441               52.09    52.63 
Bank Of Montreal         06374VGA8 12/28/22 12/29/25    100.000     0.000     4.8850     49.87   0.142423   0.145902   0.149465   0.153116               51.91    54.17 
Bank Of Montreal         06374VGZ3 12/20/22 12/18/25    100.000     0.000     4.8960     51.14   0.142702   0.146196   0.149774   0.153441               52.09    52.63 
Bank Of Montreal         06374VHM1 01/31/23 01/29/27    100.000     0.000     4.8961     45.52   0.139314   0.142724   0.146218   0.149798  0.153465     51.82    54.38 
Bank Of Montreal         06374VJ23 01/31/23 07/31/24    100.000     0.000     5.5803     51.96   0.159333   0.163779                                     34.10          
Bank Of Montreal         06374VJ31 01/31/23 10/31/24    100.000     0.000     5.4607     50.96   0.157955   0.162268                                     48.00          
Bank Of Montreal         06374VJ56 02/03/23 10/31/24    100.000     0.000     5.3926     49.85   0.155838   0.160040                                     47.35          
Bank Of Montreal         06374VJ49 02/03/23 07/31/24    100.000     0.000     5.4964     50.70   0.156804   0.161113                                     33.55          
Bank of America Corp     09709T6Z9 05/11/23 05/14/24    100.000     0.000     5.1500     33.09   0.146802                                                19.52          
Bank of America Corp     09709T7B1 05/09/23 05/10/24    100.000     0.000     5.2200     33.83   0.148806                                                19.20          
Bank of America Corp     09709T7A3 05/09/23 05/10/24    100.000     0.000     5.2200     33.83   0.148806                                                19.20          
Bank of America Corp     06048WZ52 10/20/22 10/20/27    100.000     0.000     5.3793     65.70   0.157571   0.161809   0.166161   0.170630  0.175220     58.10    61.27 
Bank of America Corp     09709V6D3 10/21/22 10/20/25    100.000     0.000     5.4000     65.81   0.158186   0.162457   0.166844   0.171348               58.33    49.03 
Bank of America Corp.    06048WHN3 09/30/11 09/30/31    100.000    VARIES     5.3142    612.95   0.141371   0.141689   0.142016   0.142351  0.142695     51.01    51.25 
Bank of America Corp.    06048WZE3 02/06/19 02/06/39    100.000     0.000     4.7730    260.24   0.163937   0.167850   0.171856   0.175957  0.180156     60.87    63.81 
Bank of America Corp.    06048WHF0 08/26/11 08/26/31    100.000    VARIES     5.0293    585.86   0.134030   0.134323   0.134623   0.134930  0.135245     48.38    48.60 
Bank of America Corp.    06048WG61 12/23/19 12/23/49    100.000     0.000     3.6664    157.36   0.117775   0.119934   0.122132   0.124371  0.126651     42.82    44.41 
Bank of America Corp.    06048WWY2 06/27/18 06/27/28    100.000    VARIES     3.6179     32.18   0.016002   0.016291   0.016586   0.016886  0.017191      5.82     6.03 
Bank of America Corp.    06048WWX4 06/13/18 06/13/28    100.000    VARIES     3.6250     27.93   0.014250   0.014508   0.014771   0.015039  0.015312      5.19     5.38 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Bank of America Corp.    06048WFJ4 03/04/11 03/04/31    100.000    VARIES     5.6399    693.94   0.152212   0.152454   0.152704   0.152960  0.153224     54.90    55.08 
Bank of America Corp.    06048WET3 12/15/10 12/15/30    100.000    VARIES     5.9911    721.85   0.157402   0.157930   0.158474   0.159034  0.159611     56.78    57.17 
Bank of America Corp.    06048WEJ5 11/19/10 11/19/30    100.000    VARIES     5.6999    699.03   0.151067   0.151496   0.151938   0.152392  0.152859     54.50    54.82 
Bank of America Corp.    06048WVM9 01/30/18 01/30/28    100.000    VARIES     3.1591     21.69   0.010351   0.010514   0.010680   0.010849  0.011020      3.81     3.93 
Bank of America Corp.    06048WWA4 03/27/18 03/27/28    100.000    VARIES     3.7904    218.82   0.105457   0.105440   0.105423   0.105405  0.105386     37.96    37.95 
Bank of America Corp.    06048WUR9 08/25/17 08/25/29    100.000    VARIES     1.6609     17.70   0.007820   0.007885   0.007950   0.008016  0.008083      2.84     2.89 
Bank of America Corp.    06048WUT5 08/28/17 08/28/27    100.000    VARIES     1.7157     23.03   0.010266   0.010354   0.010443   0.010532  0.010623      3.73     3.80 
Bank of America Corp.    06048WEE6 10/14/10 10/15/30    100.000    VARIES     5.2017    638.09   0.137264   0.137698   0.138144   0.138602  0.139071     49.56    49.88 
Bank of America Corp.    06051GHN2 08/29/18 12/15/37     43.329     0.000     4.3817    112.86   0.066344   0.067798   0.069283   0.070801  0.072352     24.19    25.26 
Bank of America Corp.    06048WTR1 10/28/16 10/28/26    100.000    VARIES     2.1950     19.69   0.007934   0.008021   0.008109   0.008198  0.008288      2.88     2.95 
Bank of America Corp.    06048WB74 08/02/19 08/02/49    100.000     0.000     4.1568    199.17   0.136122   0.138951   0.141839   0.144787  0.147796     50.37    52.48 
Bank of America Corp.    06048WRV4 10/30/15 10/30/25    100.000    VARIES     2.4485     26.62   0.009486   0.009602   0.009720   0.009839                3.45     2.93 
Bank of America Corp.    06048WRU6 09/30/15 09/30/30    100.000    VARIES     2.8047     51.63   0.016793   0.017029   0.017268   0.017510  0.017755      6.13     6.30 
Bank of America Corp.    06048WPF1 10/10/13 10/10/33    100.000    VARIES     4.7034    460.89   0.126212   0.126388   0.126569   0.126754  0.126943     45.50    45.63 
Bank of America Corp.    06048WPE4 09/23/13 09/23/33    100.000    VARIES     4.8735    479.40   0.130677   0.130862   0.131052   0.131246  0.131445     47.11    47.25 
Bank of America Corp.    06048WPJ3 12/23/13 12/23/33    100.000    VARIES     4.8649    467.75   0.130659   0.130835   0.131016   0.131201  0.131391     47.07    47.20 
Bank of America Corp.    06048WPD6 08/30/13 08/30/33    100.000    VARIES     4.9958    496.12   0.132071   0.132244   0.133150   0.132604  0.133520     48.50    48.55 
Bank of America Corp.    06048WPB0 08/06/13 08/06/33    100.000    VARIES     4.8453    483.63   0.130119   0.130296   0.130476   0.130662  0.130851     46.93    47.06 
Bank of America Corp.    06048WPN4 03/20/14 03/20/34    100.000    VARIES     4.4527    416.43   0.119155   0.119326   0.119502   0.119681  0.119864     42.96    43.09 
Bank of America Corp.    06048WPM6 02/28/14 02/29/24    100.000    VARIES     3.7879    364.21   0.103775                                                 6.12          
Bank of America Corp.    06048WNZ9 07/11/13 07/11/33    100.000    VARIES     5.0043    502.43   0.134281   0.134466   0.134656   0.134850  0.135050     48.44    48.58 
Bank of America Corp.    06053M864 02/12/15 02/26/27    100.000     0.000     3.3492    343.38   0.123542   0.125611   0.127714   0.129853  0.132027     45.37    46.90 
Bank of America Corporat 06055JAF6 02/28/23 03/28/24    100.000    VARIES     6.2400      4.86   0.024138                                                 6.47          
Bank of America Corporat 09709T6G1 04/13/22 10/17/24    100.000     0.000     3.1000     54.26   0.090209   0.091607                                     26.05          
Bank of America Corporat 09711AZU5 11/30/23 11/30/28    100.000     0.000     5.2800      4.55   0.146667   0.150539   0.154513   0.158592  0.162779     53.74    56.62 
Bank of America Corporat 09709T6P1 05/31/22 10/02/24    100.000     0.000     3.3400     54.01   0.096988   0.098608                                     26.58          
Bank of America Corporat 09709T6Q9 07/28/22 07/28/32    100.000     0.000     4.5700     66.54   0.132812   0.135847   0.138951   0.142126  0.145374     49.30    51.58 
Bank of America Corporat 06048WZ78 11/10/22 11/10/25    100.000    VARIES     4.1100      8.00   0.019780   0.019402   0.019558   0.019444                7.16     6.04 
Bank of America Corporat 06048WW30 07/06/22 07/06/27    100.000     0.000     4.5900     69.78   0.133419   0.136481   0.139614   0.142818  0.146095     49.67    51.97 
Bank of America Corporat 09709VCZ7 12/20/22 12/18/25    100.000     0.000     4.5500     47.48   0.132172   0.135179   0.138255   0.141400               48.20    48.54 
Bank of America Corporat 09710PAT3 12/04/23 12/04/28    100.000     0.000     5.1000      3.83   0.141667   0.145279   0.148984   0.152783  0.156679     51.85    54.53 
Bank of America Corporat 06048W2C3 11/15/22 11/15/27    100.000    VARIES     5.4300     59.90   0.146739   0.146808   0.147114   0.147451  0.147796     52.81    53.05 
Bank of America Corporat 06048W2F6 11/10/22 11/09/29    100.000    VARIES     5.3600      6.03   0.011648   0.011793   0.012376   0.012778  0.013056      4.33    14.93 
Bank of America Corporat 09711AAU2 07/12/23 07/09/26    115.000     3.500     5.3000     24.73   0.170571   0.172486   0.174480   0.176528  0.178629     61.75    63.18 
Bank of America Corporat 09710F660 07/01/22 06/24/25    100.000     0.000     4.3100     66.07   0.127526   0.130274   0.133081                          46.44    23.02 
Bank of America Corporat 09710P3Z7 12/05/23 12/05/28    100.000     0.000     5.4100      3.91   0.150278   0.154343   0.158518   0.162806  0.167210     55.05    58.06 
Bank of America Corporat 09709UV70 05/25/22 05/25/27    100.000     0.600     3.9100     63.62   0.114109   0.116014   0.117957   0.119937  0.121956     41.56    42.96 
Bank of America Corporat 09710P4E3 11/15/23 11/15/28    100.000     0.000     5.2000      6.64   0.144444   0.148200   0.152053   0.156007  0.160063     53.03    55.82 
Bank of America Corporat 09711A5U8 07/06/23 07/02/26    115.000     4.000     5.2600     29.24   0.168028   0.169427   0.170960   0.174132  0.175789     61.26    62.40 
Bank of Montreal         06375MLE3 12/26/23 06/30/25    100.000     0.000     5.3500      0.74   0.148699   0.152677   0.156761                          54.26    28.06 
Bank of Montreal         06375MLG8 12/29/23 12/31/27    100.000     0.000     4.9700      0.28   0.138075   0.141506   0.145022   0.148626  0.152319     50.33    52.86 
Bank of Montreal         06375MKZ7 12/22/23 12/31/26    100.000     0.000     4.6500      1.16   0.129300   0.132306   0.135382   0.138530  0.141751     47.10    49.31 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Bank of Montreal         06374VM86 02/28/23 11/29/24    100.000     0.000     5.7347     48.90   0.166240   0.171007                                     55.38          
Bank of Montreal         06374VM78 03/01/23 09/03/24    100.000     0.000     5.8987     49.74   0.168741   0.173717                                     41.73          
Bank of Montreal         06374VM94 03/01/23 12/02/24    100.000     0.000     5.8383     49.29   0.169372   0.174317                                     56.95          
Bank of Montreal         06375MM77 12/29/23 12/31/25    100.000     0.000     5.0900      0.28   0.141409   0.145008   0.148698   0.152483               51.56    54.06 
Bank of Montreal         06375MM85 12/29/23 12/31/25    100.000     0.000     5.0900      0.28   0.141409   0.145008   0.148698   0.152483               51.56    54.06 
Bank of Montreal         06375MM93 12/29/23 12/31/25    100.000     0.000     5.0900      0.28   0.141409   0.145008   0.148698   0.152483               51.56    54.06 
Bank of Montreal         06374VLP9 02/28/23 02/26/27    100.000     0.000     5.3613     45.62   0.152873   0.156971   0.161179   0.165499  0.169936     56.81    59.90 
Bank of Montreal         06374VMA1 02/28/23 02/29/28    100.000     0.000     5.3772     45.75   0.153405   0.157529   0.161765   0.166090  0.170580     56.99    60.09 
Bank of Montreal         06375MMA0 12/29/23 12/31/26    100.000     0.000     4.9200      0.27   0.136685   0.140048   0.143493   0.147023  0.150640     49.82    52.30 
Bank of Montreal         06375MMB8 12/29/23 12/31/25    100.000     0.000     5.0900      0.28   0.141409   0.145008   0.148698   0.152483               51.56    54.06 
Bank of Montreal         06374VPA8 03/31/23 03/31/27    100.000     0.000     5.1052     38.76   0.145431   0.149143   0.152950   0.156854  0.160858     53.71    56.48 
Bank of Montreal         06374VP75 02/28/23 02/28/25    100.000     0.000     5.6621     48.20   0.161733   0.166312   0.171020                          60.19     9.75 
Bank of Montreal         06368GZZ3 08/22/22 08/22/25    100.000     0.000     4.0150     55.52   0.116051   0.118380   0.120757   0.123181               42.80    28.33 
Bank of Montreal         06375MPH3 11/07/23 11/09/26    100.000     0.000     5.9599      8.94   0.165608   0.170543   0.175625   0.180858  0.186248     61.03    64.72 
Bank of Montreal         06368GZK6 08/09/22 08/11/25    100.000     0.000     3.7530     53.25   0.108222   0.110253   0.112321   0.114429               39.90    25.09 
Bank of Montreal         06368GZG5 08/16/22 08/16/27    100.000     0.000     3.9460     55.24   0.113979   0.116228   0.118521   0.120859  0.123244     42.05    43.73 
Bank of Montreal         06374VPW0 03/31/23 09/30/24    100.000     0.000     5.4726     41.58   0.156176   0.160450                                     42.78          
Bank of Montreal         06374VQ82 04/05/23 10/07/24    100.000     0.000     5.4887     40.92   0.156696   0.160996                                     44.02          
Bank of Montreal         06374VQ74 04/05/23 01/06/25    100.000     0.000     5.3699     40.03   0.151189   0.155248   0.159416                          56.60     0.80 
Bank of Montreal         06374VQ90 04/05/23 04/06/26    100.000     0.000     5.0618     37.71   0.144184   0.147833   0.151575   0.155411  0.159344     53.19    55.92 
Bank of Montreal         06374VPX8 03/31/23 03/31/28    100.000     0.000     5.1355     38.99   0.146316   0.150073   0.153926   0.157879  0.161933     54.04    56.85 
Bank of Montreal         06374VR32 03/29/23 03/31/25    100.000     0.000     4.9773     37.92   0.141719   0.145246   0.148860                          52.30    13.25 
Bank of Montreal         06374VQF6 04/05/23 04/06/26    100.000     0.000     5.0618     37.71   0.144184   0.147833   0.151575   0.155411  0.159344     53.19    55.92 
Bank of Montreal         06374VAD8 10/19/22 04/22/30    100.000     0.000     5.1600     63.13   0.150890   0.154783   0.158776   0.162872  0.167074     55.57    58.47 
Bank of Montreal         06375MA39 08/29/23 08/22/28    100.000     0.000     5.2577     17.82   0.146047   0.149737   0.153674   0.157713  0.161860     54.23    57.11 
Bank of Montreal         06368GXV4 07/29/22 07/31/25    100.000     0.000     3.8040     55.08   0.109736   0.111823   0.113950   0.116117               40.52    24.21 
Bank of Montreal         06368GY27 07/29/22 07/29/25    100.000    VARIES     3.7700     53.18   0.103352   0.103673   0.103998   0.104330               37.36    21.69 
Bank of Montreal         06374VAS5 10/13/22 04/03/25    100.000     0.000     5.2430     65.10   0.153157   0.157172   0.161292                          56.58    14.84 
Bank of Montreal         06368GXH5 07/20/22 07/22/24    100.000     0.000     3.9580     58.38   0.114364   0.116628                                     23.39          
Bank of Montreal         06375MAG0 09/29/23 09/30/27    100.000     0.000     5.9408     15.18   0.165022   0.169951   0.175000   0.180198  0.185550     61.20    64.90 
Bank of Montreal         06368GWT0 07/29/22 07/31/26    100.000     0.000     3.8220     55.35   0.110275   0.112382   0.114530   0.116718  0.118949     40.72    42.29 
Bank of Montreal         06368GWU7 08/01/22 08/03/26    100.000     0.000     3.8040     54.86   0.109748   0.111835   0.113962   0.116130  0.118338     40.51    42.06 
Bank of Montreal         06368GWG8 07/06/22 07/05/24    100.000     0.000     3.7490     56.76   0.108069   0.110094                                     20.25          
Bank of Montreal         06375MBH7 09/29/23 09/30/26    100.000     0.000     5.9506     15.21   0.165294   0.170240   0.175305   0.180521  0.185892     61.31    65.01 
Bank of Montreal         06375M2B0 08/02/23 08/03/26    100.000     0.000     5.6200     23.26   0.156111   0.160522   0.165033   0.169670  0.174438     58.31    61.64 
Bank of Montreal         06375M2D6 07/31/23 07/31/26    100.000     0.000     5.5367     23.22   0.153797   0.158055   0.162430   0.166927  0.171548     57.44    60.66 
Bank of Montreal         06375MBX2 10/03/23 10/05/26    100.000     0.000     5.9506     14.55   0.165349   0.170269   0.175335   0.180551  0.185923     61.27    64.97 
Bank of Montreal         06368GW78 07/11/22 07/11/25    100.000    VARIES     3.8970     57.02   0.107112   0.107407   0.107709   0.108016               38.71    20.52 
Bank of Montreal         06374VTS5 05/31/23 05/28/27    100.000     0.000     5.3109     31.26   0.151399   0.155419   0.159546   0.163783  0.168132     55.50    58.48 
Bank of Montreal         06375MCR4 10/26/23 10/26/26    100.000    VARIES     6.1750     11.15   0.171351   0.170632   0.170166   0.170513  0.170873     61.46    61.37 
Bank of Montreal         06374VU95 05/31/23 02/28/25    100.000     0.000     5.7877     34.20   0.163044   0.167762   0.172617                          60.72     9.84 
Bank of Montreal         06374VCY0 11/28/22 11/28/25    100.000     0.000     5.3110     58.95   0.155467   0.159595   0.163833   0.168184               56.99    54.36 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Bank of Montreal         06374VUE4 05/31/23 05/31/28    100.000     0.000     5.2471     30.87   0.149577   0.153501   0.157528   0.161661  0.165902     54.80    57.71 
Bank of Montreal         06374VUF1 06/05/23 06/05/26    100.000     0.000     5.2623     30.21   0.150021   0.153968   0.158020   0.162177  0.166444     54.93    57.85 
Bank of Montreal         06374VCZ7 11/30/22 11/30/26    100.000     0.000     5.0620     55.84   0.147819   0.151560   0.155396   0.159329  0.163362     54.12    56.90 
Bank of Montreal         06374V2Z8 08/24/22 08/24/27    100.000     0.000     4.0600     55.92   0.117403   0.119786   0.122218   0.124699  0.127230     43.31    45.08 
Bank of Montreal         06374VUA2 06/05/23 03/05/25    100.000     0.000     5.6563     32.62   0.159341   0.163848   0.168481                          59.23    10.78 
Bank of Montreal         06374VUB0 05/31/23 11/29/24    100.000     0.000     5.9154     34.83   0.169150   0.174153                                     56.38          
Bank of Montreal         06374VUC8 06/05/23 12/05/24    100.000     0.000     5.7806     33.20   0.165213   0.169988                                     56.04          
Bank of Montreal         06368GV20 07/01/22 07/01/26    100.000     0.000     4.0508     62.00   0.119499   0.119499   0.124388   0.124388  0.129478     43.46    45.23 
Bank of Montreal         06374VDT0 12/02/22 12/02/27    100.000     0.500     4.9700     54.92   0.145728   0.147372   0.152432   0.155914  0.159477     53.25    55.70 
Bank of Montreal         06374VE85 11/16/22 11/16/26    100.000     0.000     5.4710     62.68   0.160400   0.164788   0.169296   0.173927  0.178685     58.93    62.20 
Bank of Montreal         06374VDY9 11/28/22 11/28/25    100.000     0.000     5.3110     58.95   0.155467   0.159595   0.163833   0.168184               56.99    54.36 
Bank of Montreal         06374VDL7 11/30/22 05/31/24    100.000     0.000     5.5490     61.31   0.162811                                                24.26          
Bank of Montreal         06374VDN3 12/02/22 01/02/24    100.000     0.000     5.6820     62.47   0.163086                                                 0.16          
Bank of Montreal         06374VDP8 12/02/22 12/02/26    100.000     0.434     5.0600     55.92   0.148460   0.151885   0.155398   0.159001  0.162695     54.26    56.80 
Bank of Montreal         06375MDQ5 10/11/23 10/14/25    100.000     0.000     6.1732     13.73   0.171566   0.176862   0.182321   0.187948               63.55    52.61 
Bank of Montreal         06374V4D5 10/03/22 10/05/26    100.000     0.000     4.9900     63.34   0.145654   0.149289   0.153013   0.156831  0.160744     53.72    56.44 
Bank of Montreal         06374V4E3 09/30/22 09/30/26    100.000     0.000     5.2120     66.67   0.152422   0.156394   0.160470   0.164652  0.168942     56.32    59.29 
Bank of Montreal         06374V4F0 10/03/22 10/05/26    100.000     0.000     4.9900     63.34   0.145654   0.149289   0.153013   0.156831  0.160744     53.72    56.44 
Bank of Montreal         06374VVL7 06/05/23 06/05/26    100.000     0.000     5.2623     30.21   0.150021   0.153968   0.158020   0.162177  0.166444     54.93    57.85 
Bank of Montreal         06375MEA9 10/31/23 10/30/26    100.000     0.000     5.9599     10.10   0.165553   0.170486   0.175567   0.180798  0.186186     61.10    64.79 
Bank of Montreal         06375MEB4 10/31/23 10/29/27    100.000     0.000     6.1978     10.50   0.172161   0.177467   0.182966   0.188636  0.194482     63.60    67.60 
Bank of Montreal         06374VEC6 11/23/22 11/21/25    100.000     0.000     5.3400     60.06   0.156315   0.160489   0.164774   0.169173               57.36    53.52 
Bank of Montreal         06374V4C7 09/30/22 09/30/26    100.000     0.000     5.2120     66.67   0.152422   0.156394   0.160470   0.164652  0.168942     56.32    59.29 
Bank of Montreal         06374VED4 11/23/22 11/23/27    100.000     0.000     5.1440     57.81   0.150334   0.154200   0.158166   0.162234  0.166407     55.11    57.99 
Bank of Montreal         06375MF67 10/11/23 10/14/25    100.000     0.000     6.1732     13.73   0.171566   0.176862   0.182321   0.187948               63.55    52.61 
Bank of Montreal         06375MEQ4 10/04/23 10/06/25    100.000     0.000     6.1261     14.81   0.170227   0.175442   0.180815   0.186354               63.12    50.72 
Bank of Montreal         06375M4R3 08/31/23 08/31/27    100.000     0.000     5.7618     19.37   0.160050   0.164635   0.169405   0.174231  0.179306     59.58    63.06 
Bank of Montreal         06374V5G7 09/30/22 09/30/26    100.000     0.000     5.2120     66.67   0.152422   0.156394   0.160470   0.164652  0.168942     56.32    59.29 
Bank of Montreal         06375MFE0 11/02/23 11/02/26    100.000     0.000     6.1347     10.05   0.170408   0.175635   0.181023   0.186575  0.192298     62.91    66.83 
Bank of Montreal         06374V5W2 10/13/22 10/14/25    100.000     0.000     5.2400     65.04   0.153304   0.157321   0.161443   0.165673               56.54    46.45 
Bank of Montreal         06374V5R3 09/20/22 09/22/25    100.000     0.000     4.7090     61.49   0.137074   0.140301   0.143604   0.146986               50.57    38.09 
Bank of Montreal         06375MGN9 01/09/24 01/09/26    100.000    VARIES     5.2000                        0.144419   0.144272   0.144344  0.144417     50.81    51.98 
Bank of Montreal         06374V7J9 10/12/22 04/14/25    100.000     0.000     5.2430     65.24   0.153419   0.157441   0.161569                          56.58    16.64 
Bank of Montreal         06374V7A8 10/04/22 10/05/26    100.000     0.000     5.1600     65.39   0.150846   0.154738   0.158730   0.162825  0.167026     55.68    58.59 
Bank of Montreal         06374VYJ9 07/31/23 07/30/27    100.000     0.000     5.4014     22.66   0.150039   0.154091   0.158253   0.162526  0.166916     55.98    59.05 
Bank of Montreal         06375MJ55 11/30/23 11/30/27    100.000     0.000     5.7134      4.92   0.158706   0.163239   0.167903   0.172699  0.177633     58.24    61.61 
Bank of Montreal         06375MJJ5 11/30/23 05/30/25    100.000     0.000     6.0789      5.23   0.168858   0.173991   0.179279                          62.04    26.71 
Bank of Montreal         06375MJK2 12/04/23 06/04/25    100.000     0.000     5.7974      4.35   0.161039   0.165707   0.170510                          59.07    26.09 
Bank of Montreal         06375MJZ9 11/22/23 11/24/25    100.000     0.000     5.9639      6.46   0.165719   0.170660   0.175749   0.180990               60.92    57.71 
Bank of Nova Scotia      06417P819 11/01/18 10/25/24    100.000     0.000     3.9550    224.33   0.133538   0.136179                                     39.74          
Bank of Nova Scotia      06417P611 12/28/18 12/20/24    100.000     0.000     3.9396    215.81   0.132891   0.135509                                     46.85          
Bank of Nova Scotia      064159X92 06/16/21 06/16/36    100.000    VARIES     2.3423     58.27   0.062791   0.062763   0.062759   0.062777  0.062817     22.60    22.60 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Bank of Nova Scotia      06417P124 08/01/19 07/26/24    100.000     0.000     2.5003    116.01   0.076685   0.077643                                     15.89          
Bank of Nova Scotia      06417P330 06/06/19 05/30/25    100.000     0.000     3.0038    145.98   0.095374   0.096806   0.098260                          34.68    14.64 
Barclay Bank PLC         06748C362 12/20/22 12/18/25    100.000     0.000     5.3400     55.84   0.156315   0.160489   0.164774   0.169173               57.13    57.97 
Barclay Bank PLC         06749NDP4 12/27/22 12/29/25    100.000     0.000     5.5000     56.40   0.161345   0.165782   0.170341   0.175026               58.90    61.83 
Barclay Bank PLC         06749NDD1 12/30/22 12/30/27    100.000     0.000     5.2500     53.34   0.153590   0.157622   0.161759   0.166006  0.170363     56.03    59.01 
Barclay Bank PLC         06749NBW1 01/05/23 01/03/25    100.000     0.000     5.5900     56.04   0.159570   0.164030   0.168614                          59.86     0.34 
Barclay Bank PLC         06749NBL5 01/05/23 01/05/26    100.000     0.000     5.5000     55.13   0.156979   0.161296   0.165732   0.170289  0.174972     58.83    62.11 
Barclay Bank PLC         06749NBM3 01/05/23 01/04/28    100.000     0.000     5.4800     54.93   0.156370   0.160654   0.165056   0.169579  0.174225     58.60    61.86 
Barclay Bank PLC         06749NAW2 12/30/22 12/29/25    100.000     0.000     5.5400     56.33   0.162508   0.167010   0.171636   0.176390               59.33    62.30 
Barclay Bank PLC         06749NB50 12/27/22 12/27/26    100.000     0.000     5.5600     57.03   0.163151   0.167687   0.172348   0.177139  0.182064     59.59    62.95 
Barclay Bank PLC         06749NB68 12/27/22 12/24/27    100.000     0.000     5.5300     56.73   0.162150   0.166634   0.171241   0.175976  0.180842     59.24    62.57 
Barclay Bank PLC         06749N7J5 01/03/23 07/03/25    100.000     0.000     5.5000     55.44   0.156979   0.161296   0.165732   0.170289               58.85    30.98 
Barclay Bank PLC         06749N7K2 01/03/23 01/04/27    100.000     0.000     5.5500     55.95   0.158469   0.162866   0.167386   0.172031  0.176804     59.42    62.76 
Barclay Bank PLC         06749N7F3 12/28/22 12/27/24    100.000     0.000     5.5800     57.07   0.163745   0.168313                                     59.12          
Barclay Bank PLC         06749N7G1 12/28/22 12/26/25    100.000     0.000     5.5100     56.35   0.161557   0.166008   0.170581   0.175281               59.01    61.40 
Barclay Bank PLC         06749NFL1 01/06/23 01/09/24    100.000     0.000     5.6900     56.91   0.162629                                                 1.30          
Barclays Bank PLC        06741TRR0 04/09/13 04/09/28    100.000    VARIES     3.5338    316.03   0.086347   0.087857   0.089394   0.090958  0.092208     31.61    32.69 
Barclays Bank PLC        06745M5A2 05/03/23 05/03/28    100.000     0.000     4.8400     32.19   0.137698   0.141030   0.144443   0.147939  0.151519     50.56    53.04 
Barclays Bank PLC        06741TRP4 03/28/13 03/28/33    100.000    VARIES     3.9300    282.65   0.075426   0.076908   0.078419   0.079960  0.081531     27.70    28.80 
Barclays Bank PLC        06748X3E9 02/03/22 02/03/27    100.000     0.000     2.2900     44.49   0.065821   0.066575   0.067337   0.068108  0.068888     24.06    24.61 
Barclays Bank PLC        06745NZB5 11/28/23 11/28/28    100.000     0.000     5.6900      5.22   0.158056   0.162552   0.167177   0.171933  0.176825     58.01    61.36 
Barclays Bank PLC        06738G8A1 01/30/20 02/04/25    104.000     0.000     2.1300     90.06   0.066285   0.066991   0.067704                          24.20     2.23 
Barclays Bank PLC        06747MJP2 03/14/19 03/14/29    100.000    VARIES     3.5244     24.68   0.014060   0.014308   0.014560   0.014816  0.015078      5.16     5.34 
Barclays Bank PLC        06748XDD0 02/28/22 02/28/28    100.000     0.000     2.5100     47.03   0.072380   0.073288   0.074208   0.075139  0.076082     26.44    27.11 
Barclays Bank PLC        06748XDE8 02/22/22 02/22/27    100.000    VARIES     0.7226      5.90   0.008738   0.008769   0.008801   0.008833  0.008865      3.16     3.18 
Barclays Bank PLC        06748X3D1 01/31/22 01/25/29    100.000     0.000     2.4390     47.64   0.070235   0.071091   0.071958   0.072836  0.073724     25.71    26.34 
Barclays Bank PLC        06745MF86 07/05/23 04/05/27    100.000     0.000     5.5600     27.37   0.156591   0.160944   0.165419   0.170017  0.174744     57.92    61.18 
Barclays Bank PLC        06748X3A7 01/26/22 01/25/29    100.000     0.000     2.5200     49.54   0.072674   0.073590   0.074517   0.075456  0.076407     26.62    27.29 
Barclays Bank PLC        06747NML5 11/29/19 11/27/24    100.000     0.000     2.4500    104.71   0.075007   0.075926                                     24.62          
Barclays Bank PLC        06748XDC2 03/03/22 03/04/27    100.000     0.000     2.4799     46.10   0.071485   0.072372   0.073269   0.074177  0.075097     26.10    26.75 
Barclays Bank PLC        06745NZ90 12/01/23 12/01/28    100.000    10.750     5.5500      4.57   0.154778   0.149778   0.142389   0.140444  0.134611     53.85    50.83 
Barclays Bank PLC        06747NMK7 11/29/19 05/27/25    100.000     0.000     2.3900    102.03   0.072998   0.073870   0.074753                          26.50    10.91 
Barclays Bank PLC        06748X2Z3 01/26/22 01/26/27    100.000     0.000     2.2400     43.95   0.064336   0.065057   0.065785   0.066522  0.067267     23.52    24.05 
Barclays Bank PLC        06747PBH1 02/28/20 02/26/27    100.000     0.000     1.8200     72.09   0.053860   0.054350   0.054844   0.055344  0.055847     19.60    19.96 
Barclays Bank PLC        06747PBK4 03/04/20 03/04/24    100.000     0.000     1.5201     59.64   0.044522                                                 2.80          
Barclays Bank PLC        06747PBJ7 02/28/20 02/28/25    100.000     0.000     1.6100     63.55   0.047304   0.047685   0.048069                          17.19     2.74 
Barclays Bank PLC        06741UDA9 05/30/14 05/30/34    100.000    VARIES     3.8795    307.65   0.087041   0.087942   0.089071   0.090221  0.091394     31.56    32.34 
Barclays Bank PLC        06745MEK0 06/01/23 11/30/26    100.000     0.000     5.3700     31.45   0.153150   0.157262   0.161484   0.165820  0.170272     56.13    59.19 
Barclays Bank PLC        06748XTR2 10/05/22 10/05/27    100.000     0.000     5.8000     73.51   0.170591   0.175538   0.180629   0.185867  0.191257     63.17    66.88 
Barclays Bank PLC        06747QVE4 01/27/21 01/27/28    100.000     0.000     1.4100     42.00   0.040567   0.040853   0.041141   0.041431  0.041723     14.74    14.95 
Barclays Bank PLC        06748XTP6 10/05/22 10/03/25    100.000     0.000     5.7600     73.00   0.169296   0.174172   0.179188   0.184349               62.69    49.67 
Barclays Bank PLC        06749NQL9 02/23/23 02/22/27    100.000     0.000     5.8300     50.48   0.166639   0.171496   0.176496   0.181640  0.186935     62.14    65.81 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06747QVF1 01/27/21 06/26/26    100.000     0.000     1.2699     37.76   0.036602   0.036834   0.037068   0.037304  0.037541     13.22    13.39 
Barclays Bank PLC        06748XTQ4 10/05/22 10/03/25    100.000     0.000     5.8100     73.65   0.170848   0.175811   0.180919   0.186174               63.28    50.16 
Barclays Bank PLC        06747QVA2 01/29/21 01/31/28    100.000     0.000     1.4406     42.84   0.041480   0.041778   0.042079   0.042382  0.042688     15.08    15.29 
Barclays Bank PLC        06747MJ72 03/11/19 03/11/26    100.000    VARIES     3.1873     20.11   0.012070   0.012263   0.012458   0.012657  0.012858      4.42     4.56 
Barclays Bank PLC        06741VXA5 06/30/17 06/27/24    100.000     0.000     2.9300    208.23   0.098305                                                17.30          
Barclays Bank PLC        06745MVG0 08/21/23 09/03/27    100.000     0.000     5.8000     20.98   0.161423   0.166104   0.170921   0.175878  0.180978     60.08    63.61 
Barclays Bank PLC        06745N7G5 08/17/23 08/29/24    100.000     0.000     6.0000     22.37   0.167000   0.172010                                     40.65          
Barclays Bank PLC        06745NHA7 09/20/23 12/19/24    100.000     0.000     6.0300     16.95   0.169997   0.175122                                     60.08          
Barclays Bank PLC        06747Q3Z8 07/31/20 07/30/27    100.000     0.000     1.8100     63.56   0.053070   0.053551   0.054035   0.054524  0.055018     19.34    19.69 
Barclays Bank PLC        06745NYB6 11/30/23 11/30/28    100.000    VARIES     5.6700      4.64   0.158111   0.152833   0.147556   0.148000  0.141778     55.21    53.04 
Barclays Bank PLC        06745NGX8 10/04/23 10/04/28    100.000     0.000     5.9300     14.33   0.164722   0.169606   0.174635   0.179813  0.185144     61.04    64.71 
Barclays Bank PLC        06745MUY2 08/02/23 10/01/24    100.000     0.000     5.9400     24.73   0.166606   0.171554                                     45.87          
Barclays Bank PLC        06749NPY2 02/21/23 01/21/26    100.000     0.000     5.6400     49.16   0.160348   0.164870   0.169519   0.174300  0.179215     60.01    63.44 
Barclays Bank PLC        06745NXX9 11/13/23 11/13/28    100.000     6.500     5.7700      7.59   0.159944   0.160167   0.154278   0.158778  0.152889     56.77    56.29 
Barclays Bank PLC        06747QDJ3 08/26/20 08/26/26    100.000     0.000     1.4200     48.51   0.041155   0.041447   0.041741   0.042038  0.042336     14.94    15.15 
Barclays Bank PLC        06745MDM7 06/02/23 06/03/27    100.000     0.000     5.4400     31.70   0.155244   0.159467   0.163804   0.168260  0.172836     56.89    60.02 
Barclays Bank PLC        06747PRH4 05/20/20 05/20/27    100.000     0.000     2.3700     88.89   0.071493   0.072340   0.073197   0.074064  0.074942     25.96    26.58 
Barclays Bank PLC        06748XBT7 02/24/22 02/24/28    100.000     0.000     2.6500     50.00   0.076576   0.077591   0.078619   0.079661  0.080716     28.01    28.76 
Barclays Bank PLC        06748XBU4 02/24/22 02/24/27    100.000     0.000     2.4700     46.55   0.071185   0.072064   0.072954   0.073855  0.074767     26.01    26.66 
Barclays Bank PLC        06746T250 09/06/18 09/04/25    100.000     0.000     3.8400    224.30   0.128982   0.131458   0.133982   0.136555               47.46    33.02 
Barclays Bank PLC        06745MDJ4 05/16/23 11/15/24    100.000     5.005     5.7100      1.04   0.004687   0.004622                                      1.46          
Barclays Bank PLC        06744CN72 12/29/17 12/27/24    100.000     0.000     3.2100    210.76   0.107921   0.109653                                     38.73          
Barclays Bank PLC        06747QDH7 08/26/20 08/26/27    100.000     0.000     1.5300     52.35   0.044488   0.044829   0.045172   0.045517  0.045865     16.16    16.41 
Barclays Bank PLC        06741WZK9 03/02/23 03/02/26    100.000     0.000     5.8200     48.90   0.166371   0.171213   0.176195   0.181322  0.186599     61.93    65.59 
Barclays Bank PLC        06745NGH3 09/29/23 10/01/26    100.000     0.000     5.7600     14.72   0.160051   0.164661   0.169403   0.174282  0.179301     59.29    62.75 
Barclays Bank PLC        06747W518 08/04/21 08/03/28    100.000     0.000     1.6100     39.38   0.046177   0.046549   0.046924   0.047302  0.047682     16.80    17.07 
Barclays Bank PLC        06741UBX1 04/30/14 04/30/24    100.000    VARIES     3.4912    345.29   0.097387                                                11.59          
Barclays Bank PLC        06745NGJ9 10/04/23 10/02/26    100.000     0.000     5.7300     13.85   0.159167   0.163676   0.168365   0.173189  0.178151     58.93    62.35 
Barclays Bank PLC        06745NGK6 09/29/23 10/01/30    100.000     0.000     6.0600     15.49   0.168390   0.173492   0.178749   0.184165  0.189745     62.47    66.31 
Barclays Bank PLC        06738KTB7 09/30/11 09/30/31    100.000    VARIES     5.4570    625.13   0.151691   0.152512   0.153355   0.153752  0.154161     54.91    55.35 
Barclays Bank PLC        06747NKZ6 10/31/19 10/30/26    100.000     0.000     2.6300    115.12   0.081104   0.082171   0.083251   0.084346  0.085455     29.52    30.30 
Barclays Bank PLC        06745NGD2 10/04/23 10/02/25    100.000     0.000     5.9300     14.33   0.164722   0.169552   0.174579   0.179755               61.05    48.24 
Barclays Bank PLC        06745NGE0 10/04/23 10/02/26    100.000     0.000     5.7300     13.85   0.159167   0.163676   0.168365   0.173189  0.178151     58.93    62.35 
Barclays Bank PLC        06745NGF7 09/29/23 10/01/25    100.000     0.000     6.0900     15.57   0.169224   0.174377   0.179687   0.185158               62.79    49.50 
Barclays Bank PLC        06747MYV2 06/28/19 06/30/25    100.000     0.000     3.2000    153.87   0.102557   0.104198   0.105865                          37.22    18.95 
Barclays Bank PLC        06745MUD8 08/03/23 08/05/30    100.000     0.000     5.5900     22.99   0.155326   0.159667   0.164130   0.168717  0.173433     57.98    61.27 
Barclays Bank PLC        06749NPF3 02/13/23 02/13/25    100.000     0.000     5.6800     50.79   0.162259   0.166867   0.171606                          60.53     7.21 
Barclays Bank PLC        06747MYU4 07/03/19 07/03/24    100.000     0.000     2.9900    142.70   0.093524   0.094922                                     17.27          
Barclays Bank PLC        06745NGG5 10/04/23 10/02/25    100.000     0.000     6.0500     14.62   0.168056   0.173083   0.178319   0.183713               62.32    49.30 
Barclays Bank PLC        06747NL36 11/05/19 11/05/24    100.000     0.000     2.4900    108.33   0.076364   0.077314                                     23.39          
Barclays Bank PLC        06745NGC4 10/04/23 07/03/25    100.000     0.000     6.0500     14.62   0.168056   0.170569   0.175729   0.181045               62.32    32.94 
Barclays Bank PLC        06747MYK6 06/28/19 12/27/24    100.000     0.000     3.1200    149.79   0.099613   0.101167                                     35.74          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06741TPR2 03/21/13 03/21/33    100.000    VARIES     3.9299    283.55   0.075425   0.076907   0.078418   0.079959  0.081530     27.72    28.82 
Barclays Bank PLC        06747MYJ9 06/28/19 12/27/24    100.000     0.000     3.1200    149.79   0.099614   0.101167                                     35.74          
Barclays Bank PLC        06745NWX0 12/05/23 09/05/25    100.000     0.000     5.6100      4.05   0.155833   0.158019   0.162451   0.167008               57.26    40.46 
Barclays Bank PLC        06745NWZ5 12/05/23 12/04/25    100.000     0.000     5.5900      4.04   0.155278   0.159594   0.164054   0.168640               56.91    55.46 
Barclays Bank PLC        06749NP97 03/14/23 03/13/25    100.000     0.000     6.0200     48.53   0.172228   0.177412   0.182752                          64.07    13.16 
Barclays Bank PLC        06745NX50 12/05/23 12/04/25    100.000     0.000     5.5900      4.04   0.155278   0.159594   0.164054   0.168640               56.91    55.46 
Barclays Bank PLC        067387HW3 03/28/14 03/28/24    100.000     0.000     3.5500    409.77   0.137756                                                11.98          
Barclays Bank PLC        06741WZ52 02/09/23 02/12/26    100.000     0.000     5.3300     48.24   0.152069   0.156121   0.160282   0.164554  0.168939     56.62    59.67 
Barclays Bank PLC        06745N5P7 08/17/23 08/19/25    100.000     0.000     5.9300     22.08   0.164776   0.169662   0.174693   0.179872               61.51    40.76 
Barclays Bank PLC        06745NX68 11/30/23 12/02/27    100.000     0.000     5.7000      4.91   0.158383   0.162897   0.167540   0.172315  0.177226     58.10    61.45 
Barclays Bank PLC        06745NX76 11/30/23 12/03/30    100.000     0.000     5.8300      5.02   0.162023   0.166746   0.171607   0.176609  0.181757     59.45    62.96 
Barclays Bank PLC        067387HZ6 04/10/14 04/10/24    100.000     0.000     3.6100    416.21   0.140870                                                13.95          
Barclays Bank PLC        06745NX84 11/30/23 12/03/30    100.000     0.000     5.8300      5.02   0.162023   0.166746   0.171607   0.176609  0.181757     59.45    62.96 
Barclays Bank PLC        06745NX35 12/05/23 12/05/28    100.000     0.000     5.5400      4.00   0.153889   0.158152   0.162532   0.167035  0.171661     56.39    59.56 
Barclays Bank PLC        06745NX27 12/05/23 12/03/26    100.000     0.000     5.2900      3.82   0.146944   0.150788   0.154776   0.158870  0.163072     53.81    56.69 
Barclays Bank PLC        06745NX43 11/30/23 12/03/25    100.000     0.000     5.7800      4.98   0.160633   0.165275   0.170052   0.174966               58.93    57.34 
Barclays Bank PLC        06745M2E7 05/03/23 05/01/25    100.000     0.000     5.0600     33.66   0.144072   0.147717   0.151454                          52.96    18.17 
Barclays Bank PLC        06745M2F4 04/26/23 10/26/27    100.000     0.000     5.1500     35.29   0.146739   0.150518   0.154394   0.158369  0.162447     54.00    56.82 
Barclays Bank PLC        06745M2G2 04/26/23 10/26/26    100.000     0.000     5.0800     34.81   0.144695   0.148371   0.152139   0.156004  0.159966     53.24    55.97 
Barclays Bank PLC        06741UBA1 04/25/14 04/25/34    100.000    VARIES     3.4516    258.46   0.073746   0.075019   0.076313   0.077630  0.078970     26.95    27.89 
Barclays Bank PLC        06747M6S0 01/31/19 01/31/24    100.000     0.000     3.6200    193.05   0.118173                                                 3.43          
Barclays Bank PLC        06745M2C1 04/28/23 01/29/26    100.000     0.000     4.9800     33.88   0.140075   0.143563   0.147137   0.150801  0.154556     52.13    54.76 
Barclays Bank PLC        06746V776 12/06/18 11/29/24    100.000     0.000     3.9099    216.93   0.131710   0.134285                                     43.66          
Barclays Bank PLC        06745N5F9 08/18/23 08/20/25    100.000     0.000     5.9200     21.88   0.164499   0.169368   0.174381   0.179543               61.39    40.86 
Barclays Bank PLC        06745M2D9 05/03/23 10/31/25    100.000     0.000     4.8800     32.46   0.138808   0.142195   0.145664   0.149219               51.00    44.19 
Barclays Bank PLC        06745NFB7 09/29/23 09/29/28    100.000     0.000     5.9300     15.15   0.164722   0.169606   0.174635   0.179813  0.185144     61.09    64.77 
Barclays Bank PLC        06745NFC5 09/29/23 10/01/26    100.000     0.000     5.7600     14.72   0.160051   0.164661   0.169403   0.174282  0.179301     59.29    62.75 
Barclays Bank PLC        06745NWD4 11/30/23 11/30/28    100.000     0.000     5.6700      4.88   0.157500   0.161965   0.166557   0.171279  0.176134     57.78    61.11 
Barclays Bank PLC        06745NWE2 11/30/23 11/30/27    100.000     0.000     5.7000      4.91   0.158333   0.162846   0.167487   0.172260  0.177170     58.10    61.45 
Barclays Bank PLC        06745NWF9 11/30/23 11/30/26    100.000     0.000     5.4700      4.71   0.151944   0.156100   0.160369   0.164756  0.169262     55.71    58.80 
Barclays Bank PLC        06741VUR1 05/19/17 05/19/27    100.000    VARIES     2.5708     24.48   0.010663   0.010800   0.010939   0.011080  0.011222      3.88     3.98 
Barclays Bank PLC        06745NF92 09/29/23 03/31/26    100.000     0.000     5.9200     15.13   0.164444   0.169339   0.174351   0.179512  0.184826     60.98    64.65 
Barclays Bank PLC        06745MSX7 07/26/23 07/25/30    100.000     0.000     5.4900     23.64   0.152500   0.156663   0.160963   0.165382  0.169921     56.97    60.14 
Barclays Bank PLC        06747NJG0 10/25/19 04/24/25    100.000     0.000     2.6100    114.60   0.080418   0.081467   0.082531                          29.28     9.33 
Barclays Bank PLC        06745NET9 09/29/23 09/30/27    100.000     0.000     5.9700     15.26   0.165833   0.170811   0.175910   0.181161  0.186568     61.51    65.24 
Barclays Bank PLC        06745NW85 11/30/23 05/29/26    100.000     0.000     5.6300      4.85   0.156389   0.160767   0.165292   0.169945  0.174729     57.37    60.64 
Barclays Bank PLC        06747NJH8 10/25/19 10/23/24    100.000     0.000     2.5400    111.38   0.078039   0.079030                                     22.97          
Barclays Bank PLC        06738KAM3 02/25/11 02/25/31    100.000    VARIES     5.5651    607.89   0.138499   0.139988   0.141131   0.142306  0.143513     50.46    51.32 
Barclays Bank PLC        06747PPH6 04/28/20 04/28/25    100.000     0.000     2.2600     86.11   0.067915   0.068683   0.069459                          24.68     8.13 
Barclays Bank PLC        06745NVU7 11/22/23 02/21/25    100.000     0.000     5.8500      6.34   0.162500   0.164850   0.169672                          59.86     8.48 
Barclays Bank PLC        06747PPJ2 04/30/20 04/30/25    100.000    VARIES     2.4441     24.10   0.018324   0.018548   0.018774                           6.66     2.23 
Barclays Bank PLC        06749NNS7 02/09/23 02/06/25    100.000     0.000     5.6400     51.08   0.161011   0.165552   0.170220                          60.12     5.96 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06747QSH1 12/29/20 12/29/27    100.000     0.000     1.4500     44.38   0.042062   0.042367   0.042674   0.042983  0.043295     15.20    15.42 
Barclays Bank PLC        06745MSJ8 08/03/23 08/04/27    100.000     0.000     5.6200     23.10   0.156111   0.160522   0.165033   0.169670  0.174438     58.31    61.63 
Barclays Bank PLC        06748XQU8 09/06/22 09/06/24    100.000     0.000     4.9600     66.86   0.144696   0.148285                                     36.10          
Barclays Bank PLC        06738KQS3 08/31/11 08/31/31    100.000    VARIES     6.1336    675.12   0.160235   0.159718   0.163647   0.161823  0.165389     58.97    59.61 
Barclays Bank PLC        06749NNQ1 02/28/23 02/28/28    100.000     0.000     5.5500     47.24   0.158445   0.162842   0.167360   0.172005  0.176778     58.93    62.24 
Barclays Bank PLC        06749NNN8 02/28/23 02/28/30    100.000     0.000     5.5700     47.41   0.159031   0.163460   0.168013   0.172692  0.177501     59.15    62.49 
Barclays Bank PLC        06749NNL2 02/28/23 02/28/25    100.000     0.000     5.8700     49.99   0.167841   0.172767   0.177838                          62.54    10.14 
Barclays Bank PLC        06749NNM0 03/02/23 09/03/25    100.000     0.000     5.9100     49.66   0.169045   0.174040   0.179183   0.184478               62.95    44.32 
Barclays Bank PLC        06748XQN4 09/02/22 07/06/29    100.000     0.000     4.8500     65.91   0.140294   0.143697   0.147181   0.150750  0.154406     52.32    54.89 
Barclays Bank PLC        06748D667 02/03/23 02/04/26    100.000     0.000     5.3200     49.05   0.151731   0.155767   0.159910   0.164164  0.168530     56.55    59.60 
Barclays Bank PLC        06745NEK8 09/15/23 09/17/26    100.000     0.000     5.6500     16.64   0.156994   0.161429   0.165989   0.170678  0.175500     58.25    61.59 
Barclays Bank PLC        06748EJ53 04/28/21 04/27/28    100.000     0.000     1.9000     51.90   0.055330   0.055855   0.056386   0.056922  0.057462     20.08    20.46 
Barclays Bank PLC        06747MG59 03/29/19 03/29/24    100.000     0.000     3.3800    172.84   0.109174                                                 9.61          
Barclays Bank PLC        06741VTW2 05/31/17 05/30/24    100.000     0.000     3.0612    221.49   0.102449                                                15.37          
Barclays Bank PLC        06741VU83 05/26/17 05/23/24    100.000     0.000     3.0400    220.26   0.102715                                                14.59          
Barclays Bank PLC        06748EJ61 04/28/21 10/28/26    100.000     0.000     1.5300     41.62   0.044151   0.044488   0.044829   0.045172  0.045517     16.00    16.24 
Barclays Bank PLC        06748XQK0 09/06/22 09/05/25    100.000     0.000     5.0200     67.68   0.146512   0.150190   0.153960   0.157824               54.27    38.26 
Barclays Bank PLC        06740PZ33 01/27/11 01/27/31    100.000    VARIES     5.5228    647.80   0.145305   0.146565   0.147396   0.148250  0.149128     52.86    53.48 
Barclays Bank PLC        06749NEN8 02/03/23 08/05/25    100.000     0.000     5.3700     49.53   0.153217   0.157331   0.161556   0.165893               57.12    35.35 
Barclays Bank PLC        06748XZ38 11/02/22 11/02/27    100.000     0.000     6.1700     73.40   0.182127   0.187745   0.193537   0.199508  0.205663     67.25    71.46 
Barclays Bank PLC        06749NEM0 01/31/23 07/31/25    100.000     0.000     5.2900     49.23   0.150831   0.154821   0.158916   0.163119               56.24    33.97 
Barclays Bank PLC        06749N4H2 11/28/22 11/26/27    100.000     0.000     5.6100     62.33   0.164648   0.169267   0.174015   0.178896  0.183914     60.43    63.87 
Barclays Bank PLC        06746T805 07/05/18 07/03/25    100.000     0.000     3.8500    232.83   0.129381   0.131872   0.134410   0.136997               47.92    24.93 
Barclays Bank PLC        06744CT50 01/26/18 01/26/28    100.000    VARIES     3.1964     21.16   0.010076   0.010237   0.010400   0.010566  0.010735      3.71     3.83 
Barclays Bank PLC        06749NED0 01/31/23 01/31/28    100.000     0.000     5.1800     48.19   0.147616   0.151439   0.155361   0.159385  0.163513     55.00    57.89 
Barclays Bank PLC        06749NVE9 04/05/23 10/03/25    100.000     0.000     5.0500     37.62   0.143780   0.147411   0.151133   0.154949               53.06    41.80 
Barclays Bank PLC        06749NVF6 03/31/23 10/02/25    100.000     0.000     5.1200     38.88   0.145905   0.149640   0.153471   0.157399               53.87    42.30 
Barclays Bank PLC        06749NVC3 04/05/23 04/03/25    100.000     0.000     5.1700     38.52   0.147282   0.151089   0.154995                          54.39    14.26 
Barclays Bank PLC        06747PWW5 07/06/20 06/28/24    100.000     0.000     1.3600     48.39   0.039601                                                 7.01          
Barclays Bank PLC        06748X7E5 02/03/22 08/04/27    100.000     0.000     2.3900     46.46   0.068802   0.069624   0.070456   0.071298  0.072150     25.16    25.76 
Barclays Bank PLC        06746XD34 06/29/18 06/27/24    100.000     0.000     3.8100    230.96   0.130220                                                22.92          
Barclays Bank PLC        06747PWV7 06/30/20 06/30/25    100.000     0.000     1.7400     62.57   0.051356   0.051803   0.052253                          18.57     9.35 
Barclays Bank PLC        06744CBB6 07/28/17 07/25/24    100.000     0.000     3.0200    212.40   0.100393   0.101909                                     20.75          
Barclays Bank PLC        06741TVK0 05/31/13 05/31/33    100.000    VARIES     3.5100    259.05   0.070056   0.071285   0.072537   0.073810  0.075105     25.52    26.42 
Barclays Bank PLC        06749NDZ2 02/02/23 08/04/25    100.000     0.000     4.8500     44.82   0.138026   0.141374   0.144802   0.148313               51.29    31.47 
Barclays Bank PLC        06748XYA3 10/18/22 10/17/24    100.000     0.000     6.0900     74.94   0.179596   0.185065                                     52.35          
Barclays Bank PLC        06749N3Z3 12/05/22 12/04/24    100.000     0.000     5.6300     61.39   0.165292   0.169945                                     55.88          
Barclays Bank PLC        06749NUZ3 03/31/23 04/02/26    100.000     0.000     5.0200     38.11   0.142984   0.146573   0.150252   0.154024  0.157890     52.77    55.45 
Barclays Bank PLC        06749NDV1 02/03/23 02/03/28    100.000     0.000     5.2400     48.31   0.149369   0.153283   0.157299   0.161420  0.165649     55.65    58.61 
Barclays Bank PLC        06749NUX8 03/31/23 10/03/24    100.000     0.000     5.1600     39.19   0.147095   0.150890                                     40.69          
Barclays Bank PLC        06745NM94 09/29/23 09/29/26    100.000     0.000     5.8300     14.90   0.161944   0.166665   0.171523   0.176523  0.181669     60.03    63.58 
Barclays Bank PLC        06749NV90 03/20/23 03/19/26    100.000     0.000     4.7400     37.31   0.134770   0.137964   0.141234   0.144581  0.148007     49.75    52.14 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06749NUY6 03/31/23 10/02/25    100.000     0.000     5.1200     38.88   0.145905   0.149640   0.153471   0.157399               53.87    42.30 
Barclays Bank PLC        06749NDT6 01/31/23 01/29/26    100.000     0.000     5.2400     48.76   0.149348   0.153261   0.157276   0.161397  0.165626     55.67    58.63 
Barclays Bank PLC        06745NLR5 10/04/23 10/02/25    100.000     0.000     6.0500     14.62   0.168056   0.173083   0.178319   0.183713               62.32    49.30 
Barclays Bank PLC        06745MZP6 09/06/23 03/05/26    100.000     0.000     5.6600     18.08   0.157222   0.161647   0.166221   0.170926  0.175763     58.44    61.79 
Barclays Bank PLC        06749NUV2 03/31/23 03/31/26    100.000     0.000     4.8000     36.42   0.136533   0.139810   0.143166   0.146602  0.150120     50.35    52.79 
Barclays Bank PLC        06749NDU3 02/03/23 02/05/26    100.000     0.000     5.3200     49.06   0.151754   0.155790   0.159934   0.164188  0.168556     56.55    59.60 
Barclays Bank PLC        06749NV58 04/05/23 04/05/28    100.000     0.000     4.9000     36.49   0.139446   0.142862   0.146362   0.149948  0.153622     51.41    53.96 
Barclays Bank PLC        06749NDS8 01/31/23 01/30/25    100.000     0.000     5.3300     49.60   0.152001   0.156052   0.160211                          56.69     4.65 
Barclays Bank PLC        06749NV25 04/05/23 10/03/24    100.000     0.000     5.1600     38.45   0.146990   0.150783                                     40.66          
Barclays Bank PLC        06749NV33 04/05/23 04/03/25    100.000     0.000     5.1700     38.52   0.147282   0.151089   0.154995                          54.39    14.26 
Barclays Bank PLC        06746XCC5 05/25/18 05/21/26    100.000     0.000     3.9200    242.88   0.134747   0.137388   0.140081   0.142826  0.145626     49.20    51.15 
Barclays Bank PLC        06749NE24 02/02/23 02/02/27    100.000     0.000     4.7500     43.88   0.135078   0.138286   0.141571   0.144933  0.148375     50.17    52.58 
Barclays Bank PLC        06745MZM3 09/06/23 09/04/25    100.000     0.000     5.8500     18.69   0.162500   0.167200   0.172091   0.177125               60.47    42.72 
Barclays Bank PLC        06749NV41 04/05/23 04/03/26    100.000     0.000     4.9300     36.72   0.140283   0.143741   0.147284   0.150914  0.154634     51.74    54.32 
Barclays Bank PLC        06747PWE5 06/30/20 06/30/27    100.000     0.000     2.0600     74.43   0.061478   0.062111   0.062751   0.063397  0.064050     22.25    22.71 
Barclays Bank PLC        06745MZN1 08/31/23 03/05/26    100.000     0.000     5.8100     19.54   0.161519   0.166211   0.171040   0.176008  0.181121     60.10    63.64 
Barclays Bank PLC        06748W3L5 08/04/21 07/31/26    100.000     0.000     1.2107     29.50   0.034446   0.034655   0.034865   0.035076  0.035288     12.50    12.65 
Barclays Bank PLC        06748XY47 11/03/22 11/03/27    100.000     0.000     6.2100     73.70   0.183379   0.189072   0.194943   0.200996  0.207237     67.71    71.98 
Barclays Bank PLC        06747J400 07/06/20 07/06/27    100.000     0.000     1.8800     67.41   0.055238   0.055757   0.056281   0.056810  0.057344     20.16    20.54 
Barclays Bank PLC        06748XY21 11/03/22 11/05/25    100.000     0.000     6.3100     74.92   0.186578   0.192464   0.198536   0.204800               68.90    61.48 
Barclays Bank PLC        06745MZD3 08/23/23 11/21/24    100.000     0.000     5.9600     21.29   0.167968   0.172973                                     54.65          
Barclays Bank PLC        06745MZE1 08/09/23 08/21/24    100.000     0.000     5.7100     22.56   0.158913   0.163450                                     37.37          
Barclays Bank PLC        06748W3C5 07/28/21 01/28/27    100.000     0.000     1.3700     33.67   0.039109   0.039377   0.039647   0.039918  0.040192     14.21    14.41 
Barclays Bank PLC        06748W3D3 07/30/21 07/31/28    100.000     0.000     1.6500     40.56   0.047365   0.047756   0.048150   0.048547  0.048947     17.24    17.53 
Barclays Bank PLC        06748XXK2 11/03/22 05/05/25    100.000     0.000     6.1100     72.49   0.180312   0.185820   0.191497                          66.53    23.75 
Barclays Bank PLC        06748W3B7 07/28/21 07/27/28    100.000     0.000     1.6500     40.66   0.047362   0.047753   0.048147   0.048544  0.048945     17.24    17.53 
Barclays Bank PLC        06745NLD6 09/29/23 09/29/28    100.000     6.900     5.9800     15.15   0.167444   0.163056   0.163111   0.162278  0.161389     59.01    58.41 
Barclays Bank PLC        06744CAL5 07/31/17 07/31/24    100.000     0.000     3.0701    216.04   0.102384   0.103956                                     21.68          
Barclays Bank PLC        06749N3A8 12/02/22 12/02/26    100.000     0.000     5.7000     62.67   0.167487   0.172260   0.177170   0.182219  0.187412     61.44    64.99 
Barclays Bank PLC        06748XXE6 10/31/22 10/29/26    100.000     0.000     6.0800     72.67   0.179284   0.184734   0.190350   0.196137  0.202099     66.21    70.30 
Barclays Bank PLC        06749NUB6 03/31/23 03/31/28    100.000     0.000     5.0100     38.03   0.142653   0.146226   0.149889   0.153644  0.157493     52.66    55.33 
Barclays Bank PLC        06747PEU9 03/27/20 03/25/25    100.000     0.000     2.6800    105.34   0.081702   0.082797   0.083907                          29.82     7.05 
Barclays Bank PLC        06747PET2 03/27/20 03/25/26    100.000     0.000     2.8100    110.68   0.086050   0.087259   0.088485   0.089728  0.090988     31.43    32.32 
Barclays Bank PLC        06745MYW2 09/06/23 09/05/25    100.000     0.000     5.8500     18.69   0.162500   0.167227   0.172118   0.177153               60.47    42.90 
Barclays Bank PLC        06748EPH0 06/03/21 06/02/26    100.000     0.000     1.4100     36.89   0.040565   0.040851   0.041139   0.041429  0.041721     14.67    14.88 
Barclays Bank PLC        06749N2Z4 12/02/22 06/02/25    100.000     0.000     5.8000     63.79   0.170591   0.175538   0.180629                          62.59    27.27 
Barclays Bank PLC        06747P4P1 02/11/20 02/11/25    100.000     0.000     1.9400     77.98   0.057656   0.058216   0.058780                          21.01     2.35 
Barclays Bank PLC        06745MYY8 09/06/23 09/03/26    100.000     0.000     5.4700     17.47   0.151944   0.156031   0.160298   0.164682  0.169187     56.42    59.55 
Barclays Bank PLC        06749NTZ5 04/04/23 10/05/26    100.000     0.000     4.6300     34.60   0.131605   0.134652   0.137769   0.140958  0.144221     48.46    50.73 
Barclays Bank PLC        06745MYZ5 09/06/23 09/06/28    100.000     0.000     5.5800     17.83   0.155000   0.159325   0.163770   0.168339  0.173035     57.59    60.85 
Barclays Bank PLC        06749NCV2 12/16/22 12/18/25    100.000     0.000     5.3100     56.14   0.155482   0.159610   0.163848   0.168198               56.83    57.64 
Barclays Bank PLC        06749N2U5 12/05/22 12/03/27    100.000     0.000     5.3800     58.63   0.157547   0.161785   0.166137   0.170606  0.175195     57.72    60.87 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06747NPF5 11/29/19 11/30/26    100.000     0.000     2.6500    113.66   0.081791   0.082875   0.083973   0.085086  0.086213     29.71    30.50 
Barclays Bank PLC        06749NTY8 04/04/23 10/06/25    100.000     0.000     4.7800     35.73   0.135987   0.139237   0.142565   0.145972               50.10    39.82 
Barclays Bank PLC        06745NL61 09/29/23 09/29/28    100.000     8.250     5.9300     14.91   0.164722   0.160889   0.157111   0.156778  0.152889     57.61    56.12 
Barclays Bank PLC        06748WCU5 08/27/21 08/27/36    100.000    VARIES     2.1838     49.81   0.057667   0.057424   0.057288   0.057227  0.057218     20.67    20.60 
Barclays Bank PLC        06745MYT9 09/06/23 06/04/25    100.000     0.000     5.8800     18.85   0.165681   0.170552   0.175566                          60.79    26.86 
Barclays Bank PLC        06748EPG2 05/28/21 05/31/28    100.000     0.000     1.9300     51.05   0.056254   0.056797   0.057345   0.057898  0.058457     20.38    20.78 
Barclays Bank PLC        06745MHS0 06/30/23 07/02/25    100.000     0.000     5.7300     28.82   0.159217   0.163779   0.168471   0.173298               59.80    31.36 
Barclays Bank PLC        06745MHT8 07/06/23 07/03/25    100.000     0.000     5.8500     28.44   0.162500   0.167174   0.172064   0.177097               61.04    32.22 
Barclays Bank PLC        06749N2T8 12/05/22 12/04/25    100.000     0.000     5.5000     59.95   0.161272   0.165707   0.170264   0.174946               59.10    57.54 
Barclays Bank PLC        06749N2Q4 11/28/22 11/27/24    100.000     0.000     5.8300     64.81   0.171496   0.176496                                     56.81          
Barclays Bank PLC        06749NTU6 03/31/23 04/01/27    100.000     0.000     5.0400     38.26   0.143548   0.147165   0.150874   0.154676  0.158573     52.99    55.69 
Barclays Bank PLC        06744CQZ7 01/26/18 01/24/25    100.000     0.000     3.2700    212.13   0.108553   0.110328   0.112131                          39.96     2.58 
Barclays Bank PLC        06745MYP7 08/31/23 08/31/28    100.000     0.000     5.7200     19.23   0.158889   0.163408   0.168107   0.172862  0.177861     59.13    62.56 
Barclays Bank PLC        06745MYQ8 08/31/23 09/02/26    100.000     0.000     5.6300     18.93   0.156438   0.160842   0.165369   0.170024  0.174811     58.17    61.49 
Barclays Bank PLC        06749N2N1 11/28/22 11/28/25    100.000     0.000     5.7000     63.34   0.167487   0.172260   0.177170   0.182219               61.47    58.84 
Barclays Bank PLC        06748XWU1 10/04/22 10/03/24    100.000     0.000     5.6900     72.26   0.167151   0.171907                                     46.32          
Barclays Bank PLC        06741TUA3 05/10/13 05/10/28    100.000    VARIES     3.2563    278.77   0.078217   0.079490   0.080785   0.082100  0.083437     28.52    29.45 
Barclays Bank PLC        06745MYM4 08/31/23 03/05/26    100.000     0.000     5.8100     19.54   0.161519   0.166211   0.171040   0.176008  0.181121     60.10    63.64 
Barclays Bank PLC        06741TUB1 05/03/13 05/03/33    100.000    VARIES     3.4200    256.87   0.068836   0.070013   0.071210   0.072428  0.073666     25.13    26.00 
Barclays Bank PLC        06744CR29 01/26/18 01/24/24    100.000     0.000     3.2100    207.89   0.106216                                                 2.44          
Barclays Bank PLC        06747QYE1 01/29/21 01/31/41    100.000    VARIES     2.0890     52.60   0.042751   0.041628   0.041289   0.041613  0.042048     14.97    15.04 
Barclays Bank PLC        06741T2W6 12/23/13 12/23/33    100.000    VARIES     4.3876    356.13   0.101087   0.102381   0.103702   0.105053  0.106433     36.65    37.60 
Barclays Bank PLC        06747PUY3 05/28/20 05/28/25    100.000     0.000     2.2200     82.53   0.066621   0.067360   0.068108                          24.17    10.01 
Barclays Bank PLC        06738KWX5 10/31/11 11/01/31    100.000    VARIES     4.5597    529.81   0.127343   0.126377   0.128907   0.126942  0.129189     46.53    46.71 
Barclays Bank PLC        06741UFM1 07/31/14 07/31/34    100.000    VARIES     3.8919    310.47   0.090447   0.091650   0.092877   0.094160  0.095467     33.14    34.06 
Barclays Bank PLC        06748XFB2 02/24/22 02/23/29    100.000     0.000     2.7100     51.16   0.078373   0.079435   0.080512   0.081603  0.082708     28.68    29.46 
Barclays Bank PLC        06745MGX0 06/30/23 07/01/27    100.000     0.000     5.4700     27.50   0.156123   0.156123   0.164780   0.164780  0.173917     56.97    60.13 
Barclays Bank PLC        06748XFC0 03/03/22 09/02/27    100.000     0.000     2.5700     47.80   0.074171   0.075124   0.076089   0.077067  0.078057     27.10    27.80 
Barclays Bank PLC        06746N451 01/03/18 01/03/25    100.000     0.000     3.2700    214.62   0.108573   0.110348   0.112152                          40.04     0.22 
Barclays Bank PLC        06745M6Y9 05/17/23 06/05/28    100.000     0.000     4.8100     30.08   0.137154   0.140452   0.143830   0.147289  0.150831     50.14    52.58 
Barclays Bank PLC        06747QGU5 09/03/20 09/03/27    100.000     0.000     1.3000     44.07   0.037542   0.037786   0.038032   0.038279  0.038528     13.62    13.79 
Barclays Bank PLC        06745MXU7 08/31/23 08/29/25    100.000     0.000     6.0000     20.17   0.166667   0.171639   0.176788   0.182062               62.13    43.03 
Barclays Bank PLC        06744CQB0 01/31/18 01/30/25    100.000     0.000     3.2700    211.69   0.108573   0.110348   0.112152                          39.95     3.25 
Barclays Bank PLC        06741UFK5 07/28/14 07/28/34    100.000    VARIES     3.8226    270.27   0.070011   0.071349   0.072713   0.074102  0.075519     25.86    26.86 
Barclays Bank PLC        06745MXR4 09/05/23 06/05/26    100.000     0.000     5.6800     18.36   0.160018   0.164563   0.169236   0.174043  0.178985     58.66    62.04 
Barclays Bank PLC        06745MXT0 09/05/23 03/05/27    100.000     0.000     5.5000     17.72   0.152778   0.156979   0.161296   0.165732  0.170289     56.74    59.91 
Barclays Bank PLC        06745MGK8 06/30/23 01/02/26    100.000     0.000     5.5400     27.86   0.153936   0.158200   0.162582   0.167086  0.171714     57.73    60.97 
Barclays Bank PLC        06745MGL6 07/06/23 01/05/26    100.000     0.000     5.6600     27.51   0.157222   0.161647   0.166221   0.170926  0.175763     58.98    62.37 
Barclays Bank PLC        06746XAE3 05/25/18 05/23/24    100.000     0.000     3.8000    234.71   0.129808                                                18.43          
Barclays Bank PLC        06749NSP8 03/02/23 03/04/26    100.000     0.000     5.8200     48.90   0.166425   0.171268   0.176252   0.181381  0.186659     61.93    65.59 
Barclays Bank PLC        06745MGG7 07/06/23 01/05/26    100.000     0.000     5.6600     27.51   0.157222   0.161647   0.166221   0.170926  0.175763     58.98    62.37 
Barclays Bank PLC        06745M6E3 06/02/23 03/02/26    100.000     0.000     5.3200     31.12   0.149743   0.153726   0.157816   0.162013  0.166323     55.59    58.58 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06748ENY5 05/26/21 05/25/28    100.000     0.000     1.9000     50.35   0.055330   0.055855   0.056386   0.056922  0.057462     20.05    20.43 
Barclays Bank PLC        06745MGH5 07/06/23 07/03/26    100.000     0.000     5.4800     26.64   0.152222   0.156324   0.160607   0.165007  0.169529     57.03    60.20 
Barclays Bank PLC        06745MGJ1 07/06/23 07/06/28    100.000     0.000     5.4900     26.69   0.152500   0.156686   0.160987   0.165406  0.169947     57.14    60.32 
Barclays Bank PLC        06747A862 05/03/19 05/05/26    100.000     0.000     3.2600    162.71   0.104758   0.106466   0.108201   0.109965  0.111757     38.21    39.47 
Barclays Bank PLC        06745NJM9 10/04/23 10/05/27    100.000     0.000     5.9500     14.38   0.165278   0.170222   0.175286   0.180501  0.185871     61.25    64.95 
Barclays Bank PLC        06745M6H6 06/02/23 06/04/29    100.000     0.000     5.3400     31.12   0.152339   0.156406   0.160583   0.164870  0.169272     55.80    58.82 
Barclays Bank PLC        06748X4K4 01/18/22 01/15/27    100.000     0.000     2.2100     43.86   0.063434   0.064135   0.064844   0.065560  0.066285     23.20    23.71 
Barclays Bank PLC        06747MKS4 04/30/19 04/30/24    100.000     0.000     3.3800    169.46   0.109173                                                12.99          
Barclays Bank PLC        06745MGD4 06/30/23 06/30/28    100.000     0.000     5.4800     27.56   0.156393   0.160678   0.165081   0.169604  0.174251     57.08    60.25 
Barclays Bank PLC        06748ENX7 05/26/21 11/27/26    100.000     0.000     1.5200     40.12   0.043853   0.044186   0.044522   0.044860  0.045201     15.87    16.11 
Barclays Bank PLC        06749NSG8 03/03/23 04/02/24    100.000     0.000     5.8000     48.63   0.166558                                                15.16          
Barclays Bank PLC        06745MGE2 07/06/23 04/03/25    100.000     0.000     5.8300     28.54   0.164226   0.169013   0.173940                          60.84    16.00 
Barclays Bank PLC        06745MGF9 07/06/23 07/03/25    100.000     0.000     5.8500     28.44   0.162500   0.167174   0.172064   0.177097               61.04    32.22 
Barclays Bank PLC        06747PD89 02/27/20 02/26/24    100.000     0.000     1.6500     65.22   0.048544                                                 2.67          
Barclays Bank PLC        06748WBA0 08/25/21 08/24/28    100.000     0.000     1.7700     42.29   0.050928   0.051379   0.051833   0.052292  0.052755     18.53    18.86 
Barclays Bank PLC        06746XR62 09/26/18 09/26/24    100.000     0.000     3.9700    229.96   0.134231   0.136895                                     36.05          
Barclays Bank PLC        06745MWW4 08/31/23 09/02/27    100.000     0.000     5.8000     19.50   0.161163   0.165837   0.170646   0.175595  0.180687     59.99    63.52 
Barclays Bank PLC        06745MG69 06/30/23 01/02/26    100.000     0.000     5.5400     27.86   0.153936   0.158200   0.162582   0.167086  0.171714     57.73    60.97 
Barclays Bank PLC        06745MG77 06/30/23 01/02/26    100.000     0.000     5.5400     27.86   0.153936   0.158200   0.162582   0.167086  0.171714     57.73    60.97 
Barclays Bank PLC        06746Y325 04/04/19 03/28/25    100.000     0.000     3.5099    179.43   0.113958   0.115958   0.117993                          41.76    10.27 
Barclays Bank PLC        06749NRZ7 02/15/23 05/13/26    100.000     0.000     5.3800     47.87   0.155483   0.159665   0.163960   0.168371  0.172900     57.13    60.25 
Barclays Bank PLC        06745MG93 06/30/23 07/02/26    100.000     0.000     5.3500     26.91   0.148655   0.152632   0.156715   0.160907  0.165211     55.67    58.69 
Barclays Bank PLC        06745NZV1 11/30/23 11/30/28    100.000     0.000     5.6700      4.88   0.157500   0.161965   0.166557   0.171279  0.176134     57.78    61.11 
Barclays Bank PLC        06748WB93 08/25/21 02/25/27    100.000     0.000     1.5000     35.75   0.042931   0.043253   0.043577   0.043904  0.044233     15.59    15.83 
Barclays Bank PLC        06741VHH8 01/27/17 01/27/27    100.000    VARIES     2.3799     21.98   0.009105   0.009213   0.009323   0.009434  0.009546      3.33     3.41 
Barclays Bank PLC        06739GCF4 02/20/20 02/18/25    104.000     0.000     3.2800    139.34   0.106163   0.107905   0.109674                          39.00     5.15 
Barclays Bank PLC        06749NRY0 02/15/23 02/13/26    100.000     0.000     5.5500     49.30   0.158397   0.162793   0.167310   0.171953  0.176725     59.04    62.37 
Barclays Bank PLC        06748WB69 08/31/21 08/31/28    100.000     0.000     1.7400     41.31   0.050037   0.050470   0.050912   0.051350  0.051802     18.20    18.52 
Barclays Bank PLC        06749NRV6 02/28/23 02/29/28    100.000     0.000     5.4900     46.72   0.156709   0.161011   0.165431   0.169947  0.174638     58.25    61.50 
Barclays Bank PLC        06748WB77 09/03/21 09/03/26    100.000     0.000     1.3100     30.87   0.037352   0.037597   0.037843   0.038091  0.038340     13.55    13.73 
Barclays Bank PLC        06749NRT1 02/28/23 02/27/26    100.000     0.000     5.5700     47.41   0.159007   0.163436   0.167987   0.172666  0.177475     59.15    62.49 
Barclays Bank PLC        06749NS29 02/15/23 02/18/26    100.000     0.000     5.5500     49.31   0.158518   0.162917   0.167438   0.172084  0.176860     59.04    62.37 
Barclays Bank PLC        06741TSE8 04/19/13 04/19/33    100.000    VARIES     3.7861    310.23   0.082321   0.083879   0.085467   0.087085  0.088665     30.14    31.29 
Barclays Bank PLC        06747QFK8 09/30/20 09/30/27    100.000     0.000     1.3300     44.07   0.038443   0.038699   0.038956   0.039215  0.039476     13.93    14.12 
Barclays Bank PLC        06745NJ49 09/26/23 09/26/28    100.000     8.800     5.9800     15.42   0.164167   0.161667   0.156111   0.155667  0.153000     57.39    55.86 
Barclays Bank PLC        06748WRQ8 12/03/21 12/03/26    100.000     0.000     1.9100     40.29   0.055111   0.055638   0.056169   0.056705  0.057247     19.96    20.35 
Barclays Bank PLC        06738KVE8 09/29/11 09/30/31    100.000    VARIES     5.2986    611.76   0.146201   0.147068   0.147957   0.148407  0.148868     52.95    53.43 
Barclays Bank PLC        06745MWL8 08/07/23 08/07/28    100.000     7.000     5.5700     21.97   0.154278   0.151389   0.151000   0.149778  0.146000     54.37    53.49 
Barclays Bank PLC        06748WRN5 11/29/21 11/29/28    100.000     0.000     2.3000     48.94   0.066879   0.067648   0.068426   0.069213  0.070009     24.26    24.83 
Barclays Bank PLC        06748EVE0 07/06/21 06/30/26    100.000     0.000     1.3100     32.99   0.037588   0.037834   0.038082   0.038331  0.038582     13.58    13.75 
Barclays Bank PLC        06745MNN4 07/31/23 07/29/27    100.000     0.000     5.5800     23.41   0.155000   0.159300   0.163745   0.168313  0.173009     57.90    61.18 
Barclays Bank PLC        06745P5U1 01/02/24 12/31/26    100.000     0.000     5.0300             0.139722   0.143197   0.146799   0.150491  0.154275     50.79    53.52 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06745P5V9 01/02/24 01/02/29    100.000     0.000     5.0500                        0.140278   0.143820   0.147451  0.151174     50.99    53.75 
Barclays Bank PLC        06745P5P2 01/02/24 10/02/25    100.000     0.000     5.3200             0.147778   0.149743   0.153726   0.157816               53.94    42.40 
Barclays Bank PLC        06745P5Q0 01/02/24 01/02/26    100.000     0.000     5.1600                        0.143333   0.147031   0.150825  0.154716     52.12    54.99 
Barclays Bank PLC        06745NQN9 10/25/23 10/23/25    100.000     0.000     6.0300     11.06   0.167500   0.172494   0.177695   0.183052               61.89    52.85 
Barclays Bank PLC        06745NQH2 10/06/23 10/05/28    100.000     0.000     5.9300     14.00   0.164722   0.169579   0.174607   0.179784  0.185115     61.02    64.69 
Barclays Bank PLC        06745MNF1 08/02/23 02/02/27    100.000     0.000     5.5600     23.01   0.154444   0.158738   0.163151   0.167687  0.172348     57.67    60.92 
Barclays Bank PLC        06748EUZ4 06/30/21 06/30/28    100.000     0.000     1.8500     47.17   0.053810   0.054308   0.054810   0.055317  0.055829     19.46    19.82 
Barclays Bank PLC        06749NZG0 05/03/23 05/01/25    100.000     0.000     5.0600     33.66   0.144072   0.147717   0.151454                          52.96    18.17 
Barclays Bank PLC        06745NQC3 11/03/23 11/05/25    100.000     0.000     6.0500      9.75   0.168112   0.173197   0.178437   0.183834               62.01    55.22 
Barclays Bank PLC        06745NQD1 10/31/23 10/29/26    100.000     0.000     5.7800      9.79   0.160556   0.165170   0.169943   0.174855  0.179908     59.21    62.68 
Barclays Bank PLC        06749NZH8 05/03/23 05/05/26    100.000     0.000     4.7000     31.25   0.133659   0.136799   0.140014   0.143305  0.146672     49.04    51.37 
Barclays Bank PLC        06745NQE9 11/03/23 12/05/24    100.000     0.000     6.0200      9.72   0.168117   0.173177                                     57.06          
Barclays Bank PLC        06749NZF2 05/03/23 10/31/24    100.000     0.000     4.8400     32.19   0.137644   0.140975                                     41.76          
Barclays Bank PLC        06741TZW0 08/15/13 08/15/33    100.000    VARIES     4.2320    311.66   0.080407   0.082108   0.083846   0.085620  0.087431     29.72    30.99 
Barclays Bank PLC        06749NZC9 05/03/23 05/03/28    100.000     0.000     4.8400     32.19   0.137698   0.141030   0.144443   0.147939  0.151519     50.56    53.04 
Barclays Bank PLC        06747NUS1 01/03/20 01/03/25    100.000     0.000     2.3200     96.52   0.069863   0.070673   0.071493                          25.59     0.14 
Barclays Bank PLC        06746XH71 07/27/18 07/25/24    100.000     0.000     3.8699    231.30   0.130180   0.132699                                     27.01          
Barclays Bank PLC        06749NZA3 04/28/23 04/30/26    100.000     0.000     4.6300     31.44   0.131622   0.134669   0.137787   0.140977  0.144240     48.31    50.57 
Barclays Bank PLC        06749NZB1 04/28/23 04/28/28    100.000     0.000     4.7800     32.46   0.135951   0.139200   0.142527   0.145934  0.149422     49.94    52.36 
Barclays Bank PLC        06745NPZ3 11/03/23 08/05/25    100.000     0.000     6.0400      9.73   0.167778   0.170368   0.175513   0.180813               62.00    38.51 
Barclays Bank PLC        06745MMZ8 07/19/23 08/04/27    100.000     0.000     5.4900     24.76   0.152849   0.157045   0.161355   0.165785  0.170335     57.03    60.21 
Barclays Bank PLC        06747N3J1 07/31/19 07/31/24    100.000     0.000     2.5801    119.98   0.079408   0.080432                                     16.78          
Barclays Bank PLC        06745NPW0 10/31/23 04/30/26    100.000     0.000     5.8900      9.98   0.163611   0.168429   0.173390   0.178496  0.183753     60.36    63.97 
Barclays Bank PLC        06745NPX8 10/31/23 10/29/26    100.000     0.000     5.7800      9.79   0.160556   0.165170   0.169943   0.174855  0.179908     59.21    62.68 
Barclays Bank PLC        06749NZ88 04/28/23 10/30/24    100.000     0.000     5.1200     34.79   0.145905   0.149640                                     44.30          
Barclays Bank PLC        06749NZ96 04/28/23 10/30/25    100.000     0.000     4.8500     32.95   0.138026   0.141374   0.144802   0.148313               50.71    43.93 
Barclays Bank PLC        06745NQ90 10/31/23 10/30/25    100.000     0.000     6.0100     10.18   0.166944   0.171961   0.177129   0.182451               61.62    53.92 
Barclays Bank PLC        06745NPY6 10/31/23 10/31/28    100.000     0.000     6.0800     10.30   0.168889   0.174023   0.179313   0.184765  0.190381     62.36    66.21 
Barclays Bank PLC        06745NQ33 11/03/23 11/05/26    100.000     0.000     5.8100      9.36   0.161441   0.166131   0.170957   0.175923  0.181034     59.50    63.00 
Barclays Bank PLC        06745NQ41 11/03/23 11/03/28    100.000     0.000     6.1200      9.86   0.170000   0.175202   0.180563   0.186088  0.191783     62.75    66.65 
Barclays Bank PLC        06745NQ58 10/31/23 10/31/30    100.000     0.000     6.2800     10.64   0.174444   0.179922   0.185572   0.191398  0.197408     64.46    68.58 
Barclays Bank PLC        06745NQ66 10/31/23 10/31/30    100.000     0.000     6.2800     10.64   0.174444   0.179922   0.185572   0.191398  0.197408     64.46    68.58 
Barclays Bank PLC        06746X6A6 04/25/18 04/25/28    100.000    VARIES     3.6446     29.36   0.014157   0.014415   0.014677   0.014945  0.015217      5.18     5.37 
Barclays Bank PLC        06744CEV9 08/31/17 08/30/24    100.000     0.000     2.9100    200.90   0.096132   0.097523                                     23.23          
Barclays Bank PLC        06749NHN5 01/31/23 04/29/26    100.000     0.000     5.2900     49.35   0.152804   0.156845   0.160994   0.165252  0.169623     56.24    59.26 
Barclays Bank PLC        06745NQ25 11/03/23 11/05/25    100.000     0.000     6.0500      9.75   0.168112   0.173197   0.178437   0.183834               62.01    55.22 
Barclays Bank PLC        06748E2W2 02/24/21 07/23/26    100.000     0.000     1.2999     37.66   0.037257   0.037499   0.037743   0.037988  0.038235     13.53    13.71 
Barclays Bank PLC        06740PC38 11/29/10 11/29/30    100.000    VARIES     4.9296    536.89   0.118981   0.120333   0.121718   0.123137  0.124591     43.16    44.17 
Barclays Bank PLC        06748E2V4 02/24/21 02/25/28    100.000     0.000     1.6800     48.89   0.048662   0.049071   0.049483   0.049899  0.050318     17.70    17.99 
Barclays Bank PLC        06741TYX9 07/24/13 07/24/28    100.000    VARIES     3.9848    327.02   0.090872   0.092682   0.094529   0.096412  0.098333     33.61    34.97 
Barclays Bank PLC        06749NHK1 01/31/23 01/31/28    100.000     0.000     5.2000     48.38   0.148200   0.152053   0.156007   0.160063  0.164224     55.22    58.13 
Barclays Bank PLC        06747N2T0 07/26/19 07/31/24    100.000     0.000     2.9716    139.63   0.092912   0.094293                                     19.67          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06747MQT6 05/31/19 05/30/24    100.000     0.000     3.0400    148.42   0.096724                                                14.41          
Barclays Bank PLC        06747N2S2 07/26/19 07/31/24    100.000     0.000     2.9716    139.64   0.092913   0.094294                                     19.67          
Barclays Bank PLC        06747NTV6 12/30/19 12/26/24    100.000     0.000     2.4100    100.64   0.073656   0.074544                                     26.31          
Barclays Bank PLC        06747NU77 01/03/20 01/04/27    100.000     0.000     2.5300    105.64   0.076747   0.077718   0.078701   0.079697  0.080705     28.15    28.87 
Barclays Bank PLC        06748ED42 03/31/21 03/30/28    100.000     0.000     2.0000     56.32   0.058389   0.058973   0.059563   0.060159  0.060760     21.23    21.66 
Barclays Bank PLC        06747MQS8 05/31/19 05/31/24    100.000     0.000     3.0400    148.42   0.096724                                                14.41          
Barclays Bank PLC        06748EU92 06/23/21 06/22/28    100.000     0.000     1.8700     48.07   0.054416   0.054925   0.055438   0.055956  0.056480     19.69    20.06 
Barclays Bank PLC        06748EU84 06/23/21 12/23/26    100.000     0.000     1.5600     39.97   0.045049   0.045401   0.045755   0.046112  0.046471     16.29    16.54 
Barclays Bank PLC        06747MQR0 05/31/19 05/30/24    100.000     0.000     3.0400    148.42   0.096723                                                14.41          
Barclays Bank PLC        06741UKP8 10/30/14 10/30/34    100.000    VARIES     3.5915    289.73   0.087054   0.087659   0.088275   0.088902  0.089540     31.52    31.97 
Barclays Bank PLC        06747NTU8 12/30/19 06/25/25    100.000     0.000     2.5700    107.63   0.079037   0.080053   0.081081                          28.65    14.11 
Barclays Bank PLC        06747NU51 12/24/19 12/24/26    100.000     0.000     2.7900    117.81   0.086583   0.087791   0.089016   0.090257  0.091516     31.40    32.29 
Barclays Bank PLC        06744C4C2 09/15/17 09/15/27    100.000    VARIES     2.4839     19.36   0.008756   0.008865   0.008975   0.009087  0.009200      3.19     3.27 
Barclays Bank PLC        06746XG31 07/23/18 01/23/26    100.000    VARIES     3.8703    209.87   0.108806   0.108737   0.108554   0.108276  0.107927     39.12    38.93 
Barclays Bank PLC        06747QLW5 10/30/20 10/29/27    100.000     0.000     1.4500     46.86   0.042060   0.042365   0.042673   0.042982  0.043294     15.23    15.46 
Barclays Bank PLC        06748ECG6 03/24/21 09/24/26    100.000     0.000     1.4700     41.40   0.042356   0.042667   0.042981   0.043297  0.043615     15.36    15.59 
Barclays Bank PLC        06749N6Z0 11/29/22 11/28/25    100.000     0.000     5.7400     63.63   0.168702   0.173543   0.178524   0.183648               61.93    59.30 
Barclays Bank PLC        06749NXW7 03/31/23 03/31/26    100.000     0.000     4.8000     36.42   0.136533   0.139810   0.143166   0.146602  0.150120     50.35    52.79 
Barclays Bank PLC        06748ECE1 03/24/21 03/23/28    100.000     0.000     1.8500     52.33   0.053807   0.054305   0.054807   0.055314  0.055826     19.56    19.92 
Barclays Bank PLC        06747NCC6 09/05/19 09/05/24    100.000     0.000     2.3100    104.38   0.070342   0.071154                                     17.31          
Barclays Bank PLC        06748ESX2 06/03/21 06/03/36    100.000    VARIES     2.5612     63.46   0.064836   0.064210   0.063857   0.063699  0.063720     23.20    22.96 
Barclays Bank PLC        06749N6H0 11/29/22 11/29/24    100.000     0.000     5.8600     64.98   0.172456   0.177509                                     57.48          
Barclays Bank PLC        06745PDL2 01/03/24 12/31/26    100.000     0.000     5.0600             0.140556   0.144052   0.147697   0.151434  0.155265     50.96    53.85 
Barclays Bank PLC        06741UJW5 09/29/14 09/29/34    100.000    VARIES     3.7464    301.14   0.089343   0.090238   0.091150   0.092036  0.092938     32.49    33.14 
Barclays Bank PLC        06747MQ66 05/13/19 11/12/26    100.000     0.000     2.3000    111.79   0.070809   0.071624   0.072447   0.073280  0.074123     25.72    26.31 
Barclays Bank PLC        06741T6S1 03/28/14 03/28/34    100.000    VARIES     4.1532    311.27   0.083186   0.084914   0.086677   0.088477  0.090314     30.58    31.87 
Barclays Bank PLC        06746X4X8 04/27/18 07/25/24    100.000     0.000     3.8193    239.70   0.129379   0.131850                                     26.84          
Barclays Bank PLC        06741T6U6 03/04/14 03/04/24    100.000     0.250     3.4337    392.92   0.129151                                                 8.14          
Barclays Bank PLC        06749N6A5 11/29/22 02/26/26    100.000     0.000     5.7400     63.76   0.166296   0.171068   0.175978   0.181029  0.186224     61.94    65.54 
Barclays Bank PLC        06749NXA5 03/22/23 03/22/28    100.000     0.000     4.8800     38.15   0.138863   0.142251   0.145722   0.149278  0.152920     51.28    53.81 
Barclays Bank PLC        06749NXB3 04/05/23 04/03/26    100.000     0.000     4.9300     36.72   0.140283   0.143741   0.147284   0.150914  0.154634     51.74    54.32 
Barclays Bank PLC        06744C3B5 09/29/17 09/30/24    100.000     0.000     3.1200    213.73   0.104366   0.105994                                     28.37          
Barclays Bank PLC        06741T6B8 02/28/14 02/28/34    100.000    VARIES     4.0797    342.28   0.097603   0.097678   0.100300   0.099672  0.102368     36.07    36.75 
Barclays Bank PLC        06744CUB5 02/28/18 02/28/25    100.000     0.000     3.7300    241.01   0.126964   0.129332   0.131744                          46.72     7.51 
Barclays Bank PLC        06745NNY8 10/05/23 10/04/28    100.000     0.000     5.9300     14.17   0.164722   0.169579   0.174607   0.179784  0.185115     61.03    64.70 
Barclays Bank PLC        06748WWZ2 12/28/21 06/25/27    100.000     0.000     1.8800     38.30   0.054205   0.054714   0.055229   0.055748  0.056272     19.61    19.98 
Barclays Bank PLC        06745P2U4 01/02/24 07/02/27    100.000     0.000     4.9600                        0.137778   0.141195   0.144696  0.148285     50.07    52.73 
Barclays Bank PLC        06747P7G8 02/28/20 02/26/25    100.000     0.000     1.6100     63.55   0.047300   0.047680   0.048064                          17.19     2.64 
Barclays Bank PLC        06747PHJ1 04/03/20 03/29/24    100.000     0.000     3.5299    140.04   0.110784                                                 9.75          
Barclays Bank PLC        06745NNU6 10/11/23 04/10/25    100.000     0.000     6.0500     13.44   0.168056   0.173111   0.178348                          62.24    17.66 
Barclays Bank PLC        06749NWU2 03/30/23 03/30/28    100.000    VARIES     4.9200     36.23   0.131333   0.130444   0.126556   0.126833  0.122667     46.70    44.96 
Barclays Bank PLC        06748WFQ1 09/22/21 09/21/28    100.000     0.000     1.7900     41.38   0.051524   0.051985   0.052450   0.052919  0.053393     18.72    19.06 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06745NNN2 11/02/23 05/03/27    100.000     0.000     5.9200      9.70   0.164444   0.169339   0.174351   0.179512  0.184826     60.66    64.30 
Barclays Bank PLC        06747PHE2 03/31/20 03/31/27    100.000     0.000     3.7900    151.36   0.120063   0.122338   0.124656   0.127019  0.129426     44.05    45.74 
Barclays Bank PLC        06745MKK3 06/23/23 06/23/25    100.000     0.000     5.6300     29.44   0.160791   0.165318   0.169971                          58.77    29.24 
Barclays Bank PLC        06749NX31 03/21/23 03/20/25    100.000     0.000     5.2600     41.30   0.149932   0.153876   0.157923                          55.49    12.48 
Barclays Bank PLC        06744CD65 10/25/17 10/24/24    100.000     0.000     3.2400    219.90   0.109132   0.110900                                     32.29          
Barclays Bank PLC        06748XZV6 11/09/22 11/07/25    100.000     0.000     6.1500     71.89   0.181441   0.187020   0.192771   0.198699               66.93    60.05 
Barclays Bank PLC        06748WX40 01/03/22 01/04/27    100.000     0.000     1.8700     37.82   0.053417   0.053917   0.054421   0.054930  0.055443     19.50    19.86 
Barclays Bank PLC        06744CD73 10/25/17 10/24/24    100.000     0.000     3.2400    219.90   0.109132   0.110900                                     32.29          
Barclays Bank PLC        06748WFR9 09/22/21 03/22/27    100.000     0.000     1.5300     35.29   0.043815   0.044151   0.044488   0.044829  0.045172     15.90    16.14 
Barclays Bank PLC        06747PHD4 03/31/20 03/31/26    100.000     0.000     3.8100    152.21   0.120778   0.123079   0.125424   0.127813  0.130248     44.32    46.02 
Barclays Bank PLC        06747P7E3 02/28/20 08/26/25    100.000     0.000     1.6900     66.80   0.049788   0.050209   0.050633   0.051061               18.11    11.98 
Barclays Bank PLC        06745P2T7 01/02/24 10/02/26    100.000     0.000     5.0100             0.139167   0.140910   0.144440   0.148058  0.151767     50.74    53.30 
Barclays Bank PLC        06749NWP3 03/22/23 06/21/24    100.000     0.000     4.7700     37.30   0.137260                                                23.33          
Barclays Bank PLC        06748WX32 12/28/21 12/28/28    100.000     0.000     2.0600     42.02   0.059616   0.060231   0.060851   0.061478  0.062111     21.58    22.02 
Barclays Bank PLC        06744CTR2 02/26/18 02/21/25    100.000     0.000     3.3199    212.35   0.110480   0.112314   0.114178                          40.58     5.71 
Barclays Bank PLC        06749NWM0 04/06/23 04/08/25    100.000     0.000     5.1100     37.93   0.145612   0.149333   0.153148                          53.72    14.86 
Barclays Bank PLC        06745W7A2 08/31/23 08/28/26    100.000     4.010     5.6300     20.44   0.169333   0.172944   0.171722   0.176389  0.175222     62.01    63.44 
Barclays Bank PLC        06741VLW0 03/31/17 03/28/24    100.000     0.000     3.2600    244.08   0.111716                                                 9.72          
Barclays Bank PLC        06747NAQ7 08/30/19 08/30/24    100.000     0.000     2.2798    103.31   0.069339   0.070125                                     16.71          
Barclays Bank PLC        06746X3V3 04/30/18 04/30/25    100.000     0.000     3.8700    242.78   0.132729   0.135297   0.137915                          48.56    16.41 
Barclays Bank PLC        06747NB45 08/30/19 08/30/24    100.000     0.000     2.2800    103.32   0.069347   0.070133                                     16.72          
Barclays Bank PLC        06744CTM3 03/05/18 03/05/25    100.000    VARIES     3.7200    216.42   0.103541   0.103472   0.103391                          37.24     6.62 
Barclays Bank PLC        06749NWA6 03/10/23 03/12/26    100.000     0.000     5.8900     48.15   0.168485   0.173446   0.178554   0.183813  0.189226     62.65    66.39 
Barclays Bank PLC        06745NMY9 10/25/23 04/25/29    100.000     0.000     6.2600     11.48   0.173889   0.179332   0.184945   0.190733  0.196703     64.31    68.40 
Barclays Bank PLC        06744CTC5 02/14/18 02/12/25    100.000     0.000     3.7700    245.66   0.128576   0.130999   0.133468                          47.40     5.47 
Barclays Bank PLC        06749N4Z2 11/21/22 11/20/25    100.000     0.000     5.8500     66.25   0.172118   0.177153   0.182334   0.187668               63.29    59.12 
Barclays Bank PLC        06745NMZ6 10/25/23 04/25/28    100.000     0.000     6.1400     11.26   0.170556   0.175792   0.181188   0.186751  0.192484     63.04    66.97 
Barclays Bank PLC        06747T259 07/06/21 07/06/28    100.000     0.000     1.7400     44.01   0.050037   0.050473   0.050912   0.051355  0.051802     18.24    18.56 
Barclays Bank PLC        06747NAD6 08/30/19 08/28/24    100.000     0.000     2.2800    103.31   0.069336   0.070127                                     16.58          
Barclays Bank PLC        06745MJR0 06/22/23 06/22/26    100.000     0.000     5.2900     27.81   0.150831   0.154821   0.158916   0.163119  0.167433     55.09    58.04 
Barclays Bank PLC        06748WF65 10/05/21 09/30/26    100.000     0.000     1.4900     33.80   0.042626   0.042944   0.043264   0.043586  0.043911     15.46    15.69 
Barclays Bank PLC        06745NMQ6 10/31/23 10/29/27    100.000     0.000     6.0700     10.29   0.168611   0.173700   0.178972   0.184404  0.190000     62.26    66.09 
Barclays Bank PLC        06748WF57 09/30/21 09/29/28    100.000     0.000     1.9200     44.00   0.055408   0.055940   0.056477   0.057019  0.057566     20.14    20.53 
Barclays Bank PLC        06741TWH6 06/17/13 06/17/33    100.000    VARIES     3.6856    276.51   0.073938   0.075300   0.076688   0.078101  0.079540     26.90    27.90 
Barclays Bank PLC        06747NAC8 08/30/19 08/28/24    100.000     0.000     2.2800    103.31   0.069336   0.070126                                     16.57          
Barclays Bank PLC        06749NW24 03/29/23 03/29/28    100.000     0.000     4.7600     36.25   0.135369   0.138591   0.141889   0.145266  0.148724     49.91    52.32 
Barclays Bank PLC        06749NW32 03/29/23 03/29/27    100.000     0.000     4.7800     36.41   0.135951   0.139200   0.142527   0.145934  0.149422     50.13    52.56 
Barclays Bank PLC        06749NVR0 03/22/23 03/20/25    100.000     0.000     4.9100     38.39   0.139700   0.143130   0.146644                          51.61    11.58 
Barclays Bank PLC        06749NEP3 01/31/23 01/31/30    100.000     0.000     5.0700     47.15   0.144403   0.148064   0.151818   0.155666  0.159612     53.76    56.52 
Barclays Bank PLC        06745MAZ1 05/24/23 05/24/28    100.000     0.000     5.0600     30.63   0.144112   0.147758   0.151496   0.155329  0.159259     52.81    55.52 
Barclays Bank PLC        06740PYE0 12/30/10 12/30/30    100.000    VARIES     5.6003    623.92   0.147132   0.148103   0.149101   0.150127  0.151182     53.14    53.86 
Barclays Bank PLC        06747PP52 04/22/20 04/22/27    100.000     0.000     2.4000     92.09   0.072472   0.073342   0.074222   0.075113  0.076014     26.37    27.00 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06749NMX7 03/03/23 03/05/26    100.000     0.000     5.7600     48.23   0.164661   0.169403   0.174282   0.179301  0.184465     61.25    64.83 
Barclays Bank PLC        06745MB72 05/31/23 03/02/26    100.000     0.000     5.2100     30.77   0.146649   0.150469   0.154389   0.158411  0.162537     54.40    57.27 
Barclays Bank PLC        06749NMY5 03/03/23 03/02/28    100.000     0.000     5.6100     46.96   0.160180   0.164673   0.169292   0.174041  0.178923     59.56    62.95 
Barclays Bank PLC        06748XPZ8 09/01/22 09/03/26    100.000     0.000     5.0300     68.56   0.146880   0.150574   0.154361   0.158243  0.162223     54.42    57.20 
Barclays Bank PLC        06747NZF4 01/31/20 01/29/25    100.000     0.000     1.9400     78.61   0.057653   0.058212   0.058777                          21.03     1.65 
Barclays Bank PLC        06747NZE7 01/31/20 07/29/25    100.000     0.000     2.0100     81.55   0.059878   0.060480   0.061088   0.061702               21.85    12.82 
Barclays Bank PLC        06745NE44 10/03/23 07/06/26    100.000     0.000     5.9625     14.58   0.165625   0.168176   0.173190   0.178353  0.183670     61.41    65.11 
Barclays Bank PLC        06745NE51 10/03/23 04/05/27    100.000     0.000     5.9500     14.55   0.165332   0.170251   0.175316   0.180532  0.185902     61.26    64.96 
Barclays Bank PLC        06745MB23 05/24/23 05/24/27    100.000     0.000     5.3300     32.27   0.152001   0.156052   0.160211   0.164480  0.168864     55.75    58.76 
Barclays Bank PLC        06745MAK4 05/31/23 05/30/28    100.000     0.000     5.2800     31.07   0.150539   0.154513   0.158592   0.162779  0.167076     55.16    58.11 
Barclays Bank PLC        06749NMR0 02/28/23 02/27/25    100.000     0.000     6.0100     51.20   0.171933   0.177100   0.182422                          64.13    10.22 
Barclays Bank PLC        06745MAL2 05/31/23 02/28/25    100.000     0.000     5.6500     33.38   0.159112   0.163607   0.168229                          59.21     9.59 
Barclays Bank PLC        06745MAM0 06/05/23 03/06/25    100.000     0.000     5.5400     31.95   0.156044   0.160366   0.164808                          57.96    10.71 
Barclays Bank PLC        06745MAN8 05/04/23 05/06/25    100.000     0.000     5.1900     34.38   0.147950   0.151790   0.155729                          54.38    19.47 
Barclays Bank PLC        06744CJZ5 11/30/17 11/29/24    100.000     0.000     3.1200    207.36   0.104348   0.105976                                     34.52          
Barclays Bank PLC        06745NDQ6 08/31/23 08/31/26    100.000     5.750     5.6300     16.76   0.155500   0.157111   0.155556   0.163500  0.163889     56.38    58.44 
Barclays Bank PLC        06741RGQ8 04/18/13 04/18/30    100.000    VARIES     3.0513    339.74   0.089900   0.089788   0.089675   0.089560  0.089443     32.33    32.25 
Barclays Bank PLC        06748D527 02/17/23 03/04/26    100.000     0.000     5.5200     48.76   0.157976   0.162336   0.166817   0.171421  0.176152     58.69    61.97 
Barclays Bank PLC        06745NDH6 09/20/23 10/05/27    100.000     0.000     5.8500     16.45   0.162896   0.167661   0.172565   0.177612  0.182808     60.33    63.91 
Barclays Bank PLC        06744CJQ5 11/27/17 11/21/24    100.000     0.000     3.1199    207.68   0.104302   0.105929                                     33.67          
Barclays Bank PLC        06747MW85 06/28/19 06/28/24    100.000     0.000     3.0400    145.71   0.096725                                                17.12          
Barclays Bank PLC        06747NHX5 10/02/19 10/02/24    100.000     0.000     2.3500    104.34   0.071672   0.072514                                     19.57          
Barclays Bank PLC        06747B506 06/05/19 06/04/25    100.000     0.000     3.2000    156.24   0.102530   0.104170   0.105837                          37.30    16.19 
Barclays Bank PLC        06747NHT4 10/02/19 10/02/24    100.000     0.000     2.3500    104.34   0.071672   0.072514                                     19.57          
Barclays Bank PLC        06747PNU9 04/30/20 04/30/25    100.000     0.000     2.2800     86.76   0.068564   0.069345   0.070136                          24.92     8.35 
Barclays Bank PLC        06749NMB5 02/28/23 02/26/26    100.000     0.000     5.6000     47.67   0.159863   0.164339   0.168940   0.173671  0.178533     59.49    62.87 
Barclays Bank PLC        06747MVL7 05/29/19 05/29/29    100.000    VARIES     3.3999    154.02   0.091428   0.091359   0.091382   0.091483  0.091657     32.90    32.92 
Barclays Bank PLC        06747PNV7 05/05/20 04/30/24    100.000     0.000     2.1000     79.37   0.062739                                                 7.47          
Barclays Bank PLC        06745MA65 05/31/23 11/28/25    100.000     0.000     5.3200     31.31   0.151665   0.155699   0.159841   0.164093               55.60    53.03 
Barclays Bank PLC        06745MA73 05/31/23 05/29/26    100.000     0.000     5.1400     30.24   0.146427   0.150190   0.154050   0.158009  0.162070     53.63    56.43 
Barclays Bank PLC        06747QA56 07/29/20 07/29/27    100.000     0.000     1.8100     63.61   0.053070   0.053550   0.054035   0.054524  0.055018     19.34    19.69 
Barclays Bank PLC        06747QA49 07/29/20 07/29/25    100.000     0.000     1.4600     51.05   0.042365   0.042674   0.042985   0.043299               15.40     9.00 
Barclays Bank PLC        06748WLY7 10/27/21 10/26/28    100.000     0.000     2.2700     50.40   0.065963   0.066712   0.067469   0.068235  0.069009     23.98    24.53 
Barclays Bank PLC        06748WLZ4 10/27/21 04/29/27    100.000     0.000     1.9100     42.28   0.055117   0.055643   0.056175   0.056711  0.057253     20.00    20.39 
Barclays Bank PLC        06747H636 06/03/20 06/03/27    100.000     0.000     2.1700     80.29   0.065008   0.065713   0.066426   0.067147  0.067875     23.57    24.08 
Barclays Bank PLC        06747NHF4 10/03/19 10/05/26    100.000     0.000     2.4700    109.84   0.075700   0.076635   0.077582   0.078540  0.079510     27.58    28.27 
Barclays Bank PLC        06745NU95 11/03/23 11/03/26    100.000     0.000     5.8100      9.36   0.161389   0.166077   0.170902   0.175866  0.180975     59.50    63.00 
Barclays Bank PLC        06747G331 04/22/20 05/05/27    100.000     0.000     2.3999     92.09   0.072533   0.073403   0.074284   0.075175  0.076078     26.37    27.00 
Barclays Bank PLC        06745NCP9 08/30/23 09/11/24    100.000     0.000     6.0300     20.30   0.167809   0.172868                                     42.86          
Barclays Bank PLC        06749NLT7 02/28/23 02/26/26    100.000     0.000     5.7200     48.71   0.163383   0.168055   0.172862   0.177806  0.182891     60.84    64.37 
Barclays Bank PLC        06748XP70 08/30/22 02/28/25    100.000     0.000     4.8900     66.75   0.142519   0.146004   0.149573                          52.80     8.53 
Barclays Bank PLC        06747PNC9 04/24/20 04/26/27    100.000     0.000     2.3700     90.75   0.071501   0.072349   0.073206   0.074073  0.074951     26.00    26.62 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06749NLL4 03/02/23 09/02/25    100.000     0.000     5.8900     49.49   0.168429   0.173390   0.178496   0.183753               62.73    43.96 
Barclays Bank PLC        06749NLM2 03/02/23 09/02/26    100.000     0.000     5.8400     49.07   0.166959   0.171834   0.176852   0.182016  0.187331     62.16    65.84 
Barclays Bank PLC        06747B449 07/03/19 07/06/26    100.000     0.000     3.2200    154.39   0.101662   0.103298   0.104961   0.106651  0.108368     37.47    38.69 
Barclays Bank PLC        06745NTG1 10/30/23 10/30/28    100.000     7.500     6.2000     10.18   0.171500   0.167500   0.168111   0.166833  0.165500     60.87    59.80 
Barclays Bank PLC        06747QQA8 11/30/20 11/30/27    100.000     0.000     1.4300     44.96   0.041457   0.041754   0.042052   0.042353  0.042656     15.00    15.21 
Barclays Bank PLC        06747NXT6 02/05/20 02/05/25    100.000     0.000     1.9400     78.33   0.057657   0.058216   0.058781                          21.02     2.00 
Barclays Bank PLC        06747NXS8 01/31/20 01/31/24    100.000     0.000     1.8800     76.10   0.055757                                                 1.62          
Barclays Bank PLC        06747NGL2 09/18/19 09/18/24    100.000     0.000     2.5500    114.74   0.078389   0.079388                                     20.33          
Barclays Bank PLC        06748EGK3 05/05/21 05/05/26    100.000     0.000     1.3500     36.38   0.038783   0.039045   0.039308   0.039573  0.039841     14.04    14.23 
Barclays Bank PLC        06741W3X6 04/18/23 04/17/25    100.000     0.000     5.1200     36.25   0.145843   0.149576   0.153406                          53.74    16.26 
Barclays Bank PLC        06747PN39 04/22/20 04/22/27    100.000     0.000     2.4000     92.09   0.072472   0.073342   0.074222   0.075113  0.076014     26.37    27.00 
Barclays Bank PLC        06748EGJ6 04/30/21 04/28/28    100.000     0.000     1.9100     52.07   0.055632   0.056163   0.056699   0.057241  0.057787     20.19    20.58 
Barclays Bank PLC        06747NXQ2 01/31/20 01/29/27    100.000     0.000     2.1400     87.02   0.064039   0.064724   0.065416   0.066116  0.066824     23.39    23.89 
Barclays Bank PLC        06745MPU6 08/03/23 08/05/26    100.000     0.000     5.4700     22.49   0.151991   0.156148   0.160418   0.164806  0.169313     56.70    59.84 
Barclays Bank PLC        06745MPV4 08/03/23 08/05/25    100.000     0.000     5.8300     23.98   0.161997   0.166719   0.171579   0.176580               60.57    37.62 
Barclays Bank PLC        06745MPW2 07/31/23 07/31/25    100.000     0.000     5.8100     24.37   0.161389   0.166077   0.170902   0.175866               60.38    36.61 
Barclays Bank PLC        06747NGJ7 10/03/19 10/03/24    100.000     0.000     2.2800    101.03   0.069345   0.070135                                     19.00          
Barclays Bank PLC        06745MQ92 07/19/23 10/17/24    100.000     0.000     5.8300     26.41   0.164252   0.169040                                     47.84          
Barclays Bank PLC        06745MPQ5 08/03/23 05/05/25    100.000     0.000     5.8500     24.19   0.164929   0.169754   0.174719                          60.79    21.67 
Barclays Bank PLC        06745MPR3 08/03/23 08/05/25    100.000     0.000     5.8300     23.98   0.161997   0.166719   0.171579   0.176580               60.57    37.62 
Barclays Bank PLC        06745MQ43 07/11/23 07/11/24    100.000     0.000     5.9600     28.14   0.165556   0.170489                                     32.34          
Barclays Bank PLC        06745MPS1 08/03/23 02/05/26    100.000     0.000     5.6400     23.19   0.156716   0.161135   0.165679   0.170351  0.175155     58.52    61.87 
Barclays Bank PLC        06745MPT9 08/03/23 08/03/28    100.000     0.000     5.5200     22.69   0.153333   0.157565   0.161914   0.166383  0.170975     57.23    60.43 
Barclays Bank PLC        06745MPM4 07/31/23 07/31/28    100.000     0.000     5.4700     22.94   0.151944   0.156100   0.160369   0.164756  0.169262     56.72    59.87 
Barclays Bank PLC        06749NKR2 02/23/23 02/23/28    100.000     0.000     5.4900     47.51   0.156686   0.160987   0.165406   0.169947  0.174612     58.30    61.54 
Barclays Bank PLC        06748XNW7 08/24/22 02/23/24    100.000     0.000     4.5900     63.37   0.133403                                                 6.94          
Barclays Bank PLC        06749NKS0 02/23/23 02/22/27    100.000     0.000     5.8300     50.48   0.166639   0.171496   0.176496   0.181640  0.186935     62.14    65.81 
Barclays Bank PLC        06745MPJ1 07/31/23 07/31/25    100.000     0.000     5.8100     24.37   0.161389   0.166077   0.170902   0.175866               60.38    36.61 
Barclays Bank PLC        06744CYW5 03/09/18 03/09/28    100.000    VARIES     3.4394     25.14   0.012232   0.012442   0.012656   0.012874  0.013095      4.49     4.64 
Barclays Bank PLC        06745MPL6 07/31/23 07/30/26    100.000     0.000     5.4500     22.86   0.151389   0.155514   0.159752   0.164105  0.168577     56.51    59.63 
Barclays Bank PLC        06745MPK8 07/31/23 01/29/26    100.000     0.000     5.6300     23.61   0.156389   0.160767   0.165292   0.169945  0.174729     58.44    61.78 
Barclays Bank PLC        06748WKK8 11/03/21 11/03/26    100.000     0.000     1.9400     42.62   0.056011   0.056554   0.057103   0.057657  0.058216     20.33    20.72 
Barclays Bank PLC        06747C686 09/05/19 09/03/26    100.000     0.000     2.5000    113.38   0.076689   0.077648   0.078619   0.079601  0.080596     28.01    28.71 
Barclays Bank PLC        06748XNM9 09/06/22 09/05/24    100.000     0.000     4.9600     66.86   0.144677   0.148265                                     35.95          
Barclays Bank PLC        06748WKJ1 10/29/21 10/31/28    100.000     0.000     2.2700     50.27   0.065971   0.066720   0.067477   0.068243  0.069018     23.98    24.52 
Barclays Bank PLC        06747PM97 04/08/20 04/08/27    100.000     0.000     3.7900    150.40   0.120062   0.122338   0.124656   0.127018  0.129425     44.01    45.70 
Barclays Bank PLC        06741VQQ8 04/28/17 04/25/24    100.000     0.000     3.0900    227.17   0.104739                                                11.94          
Barclays Bank PLC        06740PVH6 10/20/10 10/20/25    100.000    VARIES     4.6203    611.18   0.129088   0.128908   0.128723   0.128535               46.41    37.17 
Barclays Bank PLC        06745NSB3 10/26/23 10/28/25    100.000     0.000     6.1200     11.05   0.170058   0.175262   0.180625   0.186152               62.82    54.64 
Barclays Bank PLC        06744C7B1 10/27/17 10/24/24    100.000     0.000     3.2400    219.68   0.109112   0.110879                                     32.29          
Barclays Bank PLC        06747N5K6 08/05/19 07/31/24    100.000     0.000     2.5814    119.64   0.079425   0.080450                                     16.78          
Barclays Bank PLC        06747N5J9 07/31/19 07/31/25    100.000     0.000     2.4500    113.64   0.075020   0.075939   0.076869   0.077811               27.45    16.24 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06747PLM9 04/20/20 04/21/25    100.000     0.000     2.2700     87.05   0.068243   0.069017   0.069801                          24.82     7.68 
Barclays Bank PLC        06749NJW3 02/15/23 02/14/30    100.000     0.000     5.4500     48.40   0.155491   0.159728   0.164081   0.168552  0.173145     57.92    61.12 
Barclays Bank PLC        06747PLN7 04/17/20 04/18/24    100.000     0.000     2.1600     82.88   0.064691                                                 6.92          
Barclays Bank PLC        06748XN80 08/17/22 08/14/25    100.000     0.000     4.6700     65.45   0.135799   0.138970   0.142215   0.145536               50.34    32.31 
Barclays Bank PLC        06747NWE0 01/02/20 01/02/25    100.000     0.000     2.4000    100.06   0.072472   0.073342   0.074222                          26.56          
Barclays Bank PLC        06744CY70 03/29/18 09/26/24    100.000     0.000     3.6400    230.79   0.123261   0.125505                                     33.07          
Barclays Bank PLC        06748XN31 09/06/22 09/05/24    100.000     0.000     4.9600     66.86   0.144677   0.148265                                     35.95          
Barclays Bank PLC        06745NRP3 10/13/23 10/15/25    100.000     0.000     5.9500     12.90   0.165332   0.170251   0.175316   0.180532               61.16    50.73 
Barclays Bank PLC        06748XN23 09/06/22 09/03/27    100.000     0.000     5.0800     68.51   0.148309   0.152076   0.155939   0.159900  0.163961     54.97    57.80 
Barclays Bank PLC        06747RAA3 04/16/21 04/14/28    100.000     0.000     1.8600     51.43   0.054109   0.054612   0.055120   0.055632  0.056150     19.65    20.01 
Barclays Bank PLC        06747D882 11/05/19 11/04/26    100.000     0.000     2.7100    118.38   0.083829   0.084965   0.086116   0.087283  0.088466     30.51    31.35 
Barclays Bank PLC        06747MC38 02/28/19 02/29/24    100.000     0.000     3.6879    193.59   0.120766                                                 7.00          
Barclays Bank PLC        06747C546 09/06/19 08/29/24    100.000     0.000     2.3000    103.84   0.069976   0.070781                                     16.80          
Barclays Bank PLC        06740PV29 12/30/10 12/30/30    100.000    VARIES     5.2624    617.17   0.140336   0.140961   0.141602   0.142260  0.142936     50.63    51.10 
Barclays Bank PLC        06745NAF3 08/23/23 09/05/24    100.000     0.000     5.9700     21.26   0.166163   0.171123                                     41.44          
Barclays Bank PLC        06745P6J5 01/02/24 07/02/26    100.000     0.000     5.1000                        0.141667   0.145279   0.148984  0.152783     51.50    54.31 
Barclays Bank PLC        06744C6N6 10/31/17 10/31/24    100.000     0.000     3.2400    219.35   0.109142   0.110910                                     32.95          
Barclays Bank PLC        06748F829 02/15/23 02/13/26    100.000     0.000     5.3900     47.86   0.153712   0.157855   0.162109   0.166478  0.170965     57.24    60.37 
Barclays Bank PLC        06747NEP5 09/27/19 09/25/24    100.000     0.000     2.4600    109.83   0.075343   0.076270                                     20.06          
Barclays Bank PLC        06748F845 02/15/23 02/18/26    100.000     0.000     5.4100     48.05   0.154412   0.158589   0.162879   0.167285  0.171810     57.47    60.62 
Barclays Bank PLC        06744CGK1 08/25/17 08/22/24    100.000     0.000     2.9600    205.15   0.098049   0.099500                                     22.91          
Barclays Bank PLC        06747NVN1 12/11/19 12/11/29    100.000    VARIES     2.4256     15.31   0.010231   0.010355   0.010480   0.010607  0.010736      3.71     3.80 
Barclays Bank PLC        06748E4K6 02/26/21 02/28/28    100.000     0.000     1.7600     51.17   0.051083   0.051532   0.051986   0.052443  0.052905     18.58    18.91 
Barclays Bank PLC        06747NEN0 09/27/19 03/25/25    100.000     0.000     2.5300    113.10   0.077702   0.078685   0.079680                          28.34     6.69 
BellSouth                079867AS6 12/13/95 12/15/95     25.235    VARIES     6.8500   1253.64   0.184766   0.184767   0.184769   0.184770  0.184772     66.52    66.52 
Bureau County, SD #205   121133CL4 10/10/13 12/01/29    100.148    VARIES     5.8866    603.93   0.163627   0.163619   0.163611   0.163603  0.163595     58.90    58.90 
C1TIGROUP                17332MSM7 08/30/24 03/04/26    100.000     0.000     4.9000                        0.136111   0.136185   0.139522  0.142940     16.48    50.42 
CANADIAN IMPERIAL BANK   13608J354 02/01/24 01/28/28    100.000     0.000     4.8000                        0.133333   0.136480   0.139756  0.143110     44.48    50.74 
CANADIAN IMPERIAL BANK   13607XSS7 08/05/24 08/05/26    100.000    VARIES     4.8907                        0.135018   0.134552   0.134703  0.134859     19.71    48.48 
CANADIAN IMPERIAL BANK   13607XNE3 10/05/23 10/05/28    100.000    VARIES     6.4400      0.79   0.009137   0.009109   0.009080   0.009051  0.009020      3.28     3.26 
CANADIAN IMPERIAL BANK   13607XNR4 10/31/23 10/30/26    100.000    VARIES     6.4500      0.41   0.006799   0.006399   0.005988   0.006181  0.006381      2.33     2.21 
CANADIAN IMPERIAL BANK   13607Y139 11/22/23 11/20/26    100.000     0.000     5.6200      6.09   0.156111   0.160449   0.164958   0.169593  0.174359     57.34    60.60 
CANADIAN IMPERIAL BANK   13608P665 04/04/24 03/31/28    100.000     0.000     4.8800                        0.135556   0.138790   0.142176  0.145645     36.49    51.20 
CANADIAN IMPERIAL BANK   13608P814 04/18/24 04/28/28    100.000     0.000     5.2200             0.145000   0.145210   0.149000   0.152889  0.156880     36.97    54.84 
CANADIAN IMPERIAL BANK   13608J446 12/29/23 12/18/26    100.000     0.000     5.1900      0.29   0.144167   0.147679   0.151511   0.155443  0.159477     52.63    55.36 
CANADIAN IMPERIAL BANK   13607XPC5 01/02/24 01/02/30    100.000     0.000     4.8000                        0.133333   0.136533   0.139810  0.143166     48.44    50.93 
CANUTILLO TEX INDPT SCH  138735YN9 07/29/20 02/15/30     81.977     0.000     2.0930     60.56   0.050780   0.051311   0.051848   0.052391  0.052939     18.52    18.91 
CANUTILLO TEX INDPT SCH  138735YL3 07/29/20 02/15/28     86.749     0.000     1.8930     57.79   0.048310   0.048767   0.049229   0.049695  0.050165     17.60    17.93 
CANUTILLO TEX INDPT SCH  138735YK5 07/29/20 02/15/27     89.327     0.000     1.7320     54.32   0.045294   0.045686   0.046082   0.046481  0.046883     16.48    16.77 
CANUTILLO TEX INDPT SCH  138735YM1 07/29/20 02/15/29     84.413     0.000     1.9930     59.29   0.049640   0.050134   0.050634   0.051138  0.051648     18.09    18.46 
CAREY OHIO EXMP VLG SCH  141771BW4 03/04/20 11/01/36     57.028     0.000     3.3998     78.53   0.060928   0.061964   0.063018   0.064089  0.065178     22.25    23.01 
CAREY OHIO EXMP VLG SCH  141771BU8 03/04/20 11/01/34     61.892     0.000     3.2998     82.58   0.063949   0.065004   0.066076   0.067167  0.068275     23.34    24.12 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CAREY OHIO EXMP VLG SCH  141771BV6 03/04/20 11/01/35     59.439     0.000     3.3499     80.58   0.062459   0.063505   0.064568   0.065650  0.066749     22.80    23.57 
CAREY OHIO EXMP VLG SCH  141771BT1 03/04/20 11/01/33     64.382     0.000     3.2499     84.53   0.065397   0.066459   0.067539   0.068637  0.069752     23.86    24.64 
CAREY OHIO EXMP VLG SCH  141771BR5 03/04/20 11/01/31     69.862     0.000     3.0999     87.27   0.067324   0.068367   0.069427   0.070503  0.071596     24.55    25.32 
CAREY OHIO EXMP VLG SCH  141771BS3 03/04/20 11/01/32     67.325     0.000     3.1499     85.53   0.066044   0.067084   0.068140   0.069213  0.070303     24.09    24.85 
CBIZ, Inc.               124805AA0 05/30/06 06/01/26    100.000    VARIES     8.9994   2922.39   0.819460   0.851113   0.884189   0.918754  0.954671    302.64   326.64 
CBIZ, Inc.               124805AB8 05/30/06 06/01/26    100.000    VARIES     8.9994   2922.39   0.819460   0.851113   0.884189   0.918754  0.954671    302.64   326.64 
CHINA SPRING TEX INDPT   169412RQ8 07/22/20 08/15/34     68.731     0.000     2.6840     66.07   0.055604   0.056350   0.057107   0.057873  0.058650     20.36    20.91 
CHINA SPRING TEX INDPT   169412RP0 07/22/20 08/15/33     71.045     0.000     2.6339     66.97   0.056319   0.057061   0.057813   0.058574  0.059345     20.61    21.16 
CITIGROUP                17331UZJ9 07/08/24 07/06/29    100.000     0.000     5.1500                                   0.143056   0.146698  0.150476     24.75    53.45 
CITIGROUP                17331UHU4 06/04/24 03/04/27    100.000     0.000     5.0600                        0.140556   0.142334   0.145935  0.149627     29.30    52.74 
CITIGROUP                17332MKX1 08/05/24 08/02/28    100.000     0.000     4.7340                                   0.131500   0.134561  0.137746     19.20    48.82 
CITIGROUP                17331UYZ4 06/28/24 06/28/29    100.000     0.000     4.9980                        0.138833   0.142303   0.145859  0.149504     25.42    51.89 
CITIGROUP                17291LMW2 03/28/24 03/28/31    100.000     0.000     5.0800                        0.141111   0.144695   0.148371  0.152139     38.86    53.44 
CITIGROUP                17331U7F8 08/05/24 11/05/26    100.000     0.000     4.9000                        0.136111   0.137778   0.141154  0.144612     19.97    50.59 
CITIGROUP                17290ADM9 06/28/24 06/28/34    100.000     0.000     5.2300                        0.145278   0.149077   0.152975  0.156975     26.60    54.39 
CITIGROUP                17331U7H4 08/05/24 08/03/29    100.000     0.000     4.7830                                   0.132861   0.136003  0.139256     19.40    49.34 
CITIGROUP                17331UYN1 06/28/24 06/28/29    100.000     0.000     4.9980                        0.138833   0.142303   0.145859  0.149504     25.42    51.89 
CITIGROUP                17333ABD0 09/11/24 09/10/27    100.000     0.000     4.5290                                   0.125806   0.128639  0.131552     13.84    46.44 
CITIGROUP                17331UXQ5 06/28/24 06/28/29    100.000     0.000     4.9980                        0.138833   0.142303   0.145859  0.149504     25.42    51.89 
CITIGROUP                17331UH42 06/27/24 06/28/29    100.000     0.000     4.6170                        0.128250   0.131227   0.134256  0.137356     23.61    47.81 
CITIGROUP                17331UXT9 06/12/24 07/10/25    100.000     0.000     5.9600                        0.165556   0.166323   0.171279               33.08    32.33 
CITIGROUP                17331UH34 06/24/24 06/24/26    100.000     0.000     5.2300                        0.145278   0.149077   0.152975  0.156975     27.19    54.42 
CITIGROUP                17331U6U6 08/05/24 08/05/27    100.000     0.000     4.9000                                   0.136111   0.139446  0.142862     19.87    50.59 
CITIGROUP                17331UXW2 07/03/24 07/03/29    100.000     0.000     5.0270                                   0.139639   0.143149  0.146747     24.86    52.17 
CITIGROUP                17290AAP5 07/18/24 07/18/39    100.000     0.000     5.5600                                   0.154444   0.158738  0.163151     25.17    57.79 
CITIGROUP                17290AB33 04/17/24 04/17/34    100.000     0.000     5.5500                        0.154167   0.158445   0.162842  0.167360     39.47    58.49 
CITIGROUP                17331UKL1 05/29/24 05/29/29    100.000     0.000     5.1200                        0.142222   0.145863   0.149597  0.153427     30.27    53.42 
CITIGROUP                17290AAQ3 04/19/24 04/19/39     40.280     0.000     6.1600                        0.068924   0.071046   0.073235  0.075490     17.52    26.29 
CITIGROUP                17291TT99 01/31/24 01/31/29    100.000     0.000     4.3300                        0.120278   0.122882   0.125542  0.128260     40.21    45.53 
CITIGROUP                17332MNR1 08/30/24 09/02/31    100.000     0.000     4.3040                        0.119556   0.119584   0.122158  0.124786     14.47    44.13 
CITIGROUP                17332MMW1 07/30/24 09/05/25    100.000     0.000     5.6500                        0.156944   0.157807   0.162265               23.80    39.31 
CITIGROUP                17332MN91 09/05/24 09/02/27    100.000     0.000     4.5290                                   0.125806   0.128607  0.131519     14.59    46.47 
CITIGROUP                17331UK48 07/02/24 06/30/28    100.000     0.000     5.0700                        0.140833   0.144364   0.148023  0.151776     25.21    52.64 
CITIGROUP                17332MMV3 07/31/24 07/29/27    100.000     0.000     5.0000                                   0.138889   0.142342  0.145900     20.97    51.69 
CITIGROUP                17291LKV6 04/02/24 10/02/25    100.000     0.000     5.2300                        0.145278   0.149077   0.152975               39.42    41.10 
CITIGROUP                17291LL86 03/18/24 09/18/25    100.000     0.000     5.2200                        0.145000   0.148784   0.152668               41.42    38.94 
CITIGROUP                17332MNA8 08/30/24 09/02/31    100.000     0.000     4.3040                        0.119556   0.119584   0.122158  0.124786     14.47    44.13 
CITIGROUP                17331UKA4 05/31/24 12/03/26    100.000     0.000     5.2600             0.146111   0.146175   0.150020   0.153965  0.158014     30.95    54.94 
CITIGROUP                17290ABQ2 04/03/24 04/03/34    100.000     0.000     5.7000                        0.158333   0.162846   0.167487  0.172260     42.83    60.29 
CITIGROUP                17331UJJ7 05/31/24 06/04/27    100.000     0.000     5.2200             0.145000   0.145084   0.148871   0.152756  0.156743     30.71    54.51 
CITIGROUP                17290AC57 04/18/24 04/18/34    100.000     0.000     5.7600                        0.160000   0.164608   0.169349  0.174226     40.82    60.81 
CITIGROUP                17290ABG4 04/29/24 04/29/34    100.000     0.000     6.1600                        0.171111   0.176381   0.181814  0.187414     41.74    65.16 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP                17291LLW3 03/27/24 03/27/29    100.000     0.000     5.0200                        0.139444   0.142944   0.146532  0.150210     38.54    52.79 
CITIGROUP                17290AAY6 03/15/24 03/15/34    100.000     0.000     5.6500                        0.156944   0.161378   0.165937  0.170625     45.36    59.90 
CITIGROUP                17331UUY1 06/26/24 06/26/29    100.000     0.000     5.0070                        0.139083   0.142565   0.146134  0.149793     25.75    52.00 
CITIGROUP                17332MHB3 07/19/24 07/21/26    100.000     0.000     5.0200                        0.139444   0.139483   0.142984  0.146573     22.60    51.98 
CITIGROUP                17331UVA2 06/26/24 12/27/28    100.000     0.000     5.0460                        0.140167   0.143723   0.147349  0.151066     25.95    52.42 
CITIGROUP                17291LS22 03/20/24 03/18/27    100.000     0.000     5.0500                        0.140278   0.143780   0.147411  0.151133     39.78    53.17 
CITIGROUP                17290AH94 05/31/24 05/31/39    100.000     0.000     5.5900                        0.155278   0.159618   0.164079  0.168665     32.90    58.55 
CITIGROUP                17290AGW4 03/28/24 03/28/34    100.000     0.000     5.3900                        0.149722   0.153757   0.157901  0.162156     41.25    56.88 
CITIGROUP                17331U4G9 07/31/24 07/31/29    100.000     0.000     4.8800                                   0.135556   0.138863  0.142251     20.47    50.41 
CITIGROUP                17291LRH0 04/02/24 12/31/26    100.000     0.000     5.0500             0.140278   0.142009   0.145595   0.149271  0.153041     38.05    53.08 
CITIGROUP                17290A6M7 04/29/24 04/29/39    100.000     0.000     5.8900                        0.163611   0.168429   0.173390  0.178496     39.89    62.15 
CITIGROUP                17332MH49 08/16/24 11/18/25    100.000     0.000     5.0700                        0.140833   0.142658   0.146274               19.09    45.87 
CITIGROUP                17331UUQ8 06/06/24 06/11/29    100.000     0.000     4.6200             0.128333   0.128416   0.131382   0.134417  0.137522     26.38    47.97 
CITIGROUP                17291LBZ7 02/23/24 02/25/27    100.000     0.000     5.0700             0.140833   0.140873   0.144444   0.148106  0.151860     43.84    53.59 
CITIGROUP                17332MXE9 08/08/24 08/13/27    100.000     0.000     5.1900                        0.144167   0.144271   0.148014  0.151855     20.63    53.66 
CITIGROUP                17331AZR5 04/24/24 10/24/28    100.000     0.000     5.5200                        0.153333   0.157565   0.161914  0.166383     38.16    58.10 
CITIGROUP                17291LBE4 02/23/24 02/25/27    100.000     0.000     5.0700             0.140833   0.140873   0.144444   0.148106  0.151860     43.84    53.59 
CITIGROUP                17332MWN0 09/05/24 12/04/25    100.000     0.000     4.6070                        0.127972   0.129430   0.132411               14.88    43.64 
CITIGROUP                17331UCP0 04/26/24 07/28/25    100.000     0.000     5.6500                        0.156944   0.159211   0.163708               38.80    33.77 
CITIGROUP                17291LBA2 02/29/24 03/03/27    100.000     0.000     5.0500             0.140278   0.140356   0.143900   0.147534  0.151259     42.81    53.33 
CITIGROUP                17332MX33 08/29/24 08/29/29    100.000     0.000     4.4210                                   0.122806   0.125505  0.128295     14.98    45.37 
CITIGROUP                17290AHB9 09/10/24 09/10/40    100.000     0.000     5.2180                                   0.144944   0.148726  0.152606     16.09    53.71 
CITIGROUP                17290AF96 08/29/24 08/29/39    100.000     0.000     5.3752                                   0.149311   0.153302  0.157445     18.22    55.47 
CITIGROUP                17291LPU3 04/02/24 10/01/26    100.000     0.000     5.0600                        0.140556   0.144092   0.147737  0.151475     38.13    53.19 
CITIGROUP                17331UXE2 07/03/24 07/01/27    100.000     0.000     5.0850                                   0.144801   0.148483  0.152258     25.14    52.79 
CITIGROUP                17291LPK5 04/02/24 04/01/27    100.000     0.000     4.9800                        0.138333   0.141759   0.145288  0.148906     37.52    52.31 
CITIGROUP                17331UXK8 06/20/24 06/18/26    100.000     0.000     5.1500                        0.143056   0.146698   0.150476  0.154351     27.37    53.59 
CITIGROUP                17331UXM4 07/03/24 07/01/27    100.000     0.000     5.0850                                   0.144801   0.148483  0.152258     25.14    52.79 
CITIGROUP                17331U5K9 08/05/24 02/04/27    100.000     0.000     4.9000                                   0.136111   0.139427  0.142843     19.87    50.59 
CITIGROUP                17291LPC3 03/01/24 05/30/25    100.000     0.000     5.4400             0.151111   0.153143   0.157309                          45.89    23.44 
CITIGROUP                17331U5N3 08/05/24 08/05/26    100.000     0.000     4.9000                                   0.136111   0.139446  0.142862     19.87    50.59 
CITIGROUP                17331UX44 07/03/24 01/02/26    100.000     0.000     5.3100                                   0.147500   0.151394  0.155414     26.25    55.22 
CITIGROUP                17331UWZ6 06/20/24 06/18/26    100.000     0.000     5.1500                        0.143056   0.146698   0.150476  0.154351     27.37    53.59 
CITIGROUP                17331U5W3 07/31/24 07/31/31    100.000     0.000     4.4500                                   0.123611   0.126361  0.129173     18.67    45.83 
CITIGROUP                17331UG92 06/20/24 12/17/26    100.000     0.000     5.0700                        0.140833   0.144344   0.148003  0.151755     26.95    52.73 
CITIGROUP                17331U5Y9 07/31/24 04/29/27    100.000     0.000     5.0000                        0.138889   0.140606   0.144121  0.147724     21.08    51.69 
CITIGROUP                17291LA54 02/29/24 12/02/26    100.000     0.000     5.1000             0.141667   0.143533   0.147193   0.150947  0.154796     43.28    53.89 
CITIGROUP                17290A5W6 06/27/24 06/27/39    100.000     0.000     5.4875                        0.152432   0.156614   0.160911  0.165326     28.06    57.19 
CITIGROUP                17291LR80 04/02/24 04/02/29    100.000     0.000     5.0100                        0.139167   0.142653   0.146226  0.149889     37.75    52.64 
CITIGROUP                17331UWA1 07/03/24 12/31/26    100.000     0.000     5.1440                        0.142889   0.146503   0.150271  0.154136     25.44    53.43 
CITIGROUP                17331UWD5 06/28/24 03/31/27    100.000     0.000     5.0850                        0.141250   0.143086   0.146723  0.150454     26.02    52.84 
CITIGROUP                17331U5B9 08/05/24 11/05/25    100.000     0.000     5.0460                        0.140167   0.141935   0.145516               20.56    43.79 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP                17332MZG2 08/15/24 02/18/26    100.000     0.000     4.8900                        0.135833   0.135889   0.139211  0.142615     18.48    50.41 
CITIGROUP                17331AL58 04/12/24 04/14/25    100.000     0.000     5.5400             0.153889   0.153936   0.158200                          40.20    16.29 
CITIGROUP                17331UVN4 07/03/24 10/02/25    100.000     0.000     5.4300                        0.150833   0.152858   0.157008               27.03    42.17 
CITIGROUP                17331U4K0 07/03/24 07/10/25    100.000     0.000     5.4260                        0.150722   0.150881   0.154975               26.86    29.25 
CITIGROUP                17290A5F3 02/26/24 02/26/31    100.000     0.000     5.6100                        0.155833   0.160204   0.164698  0.169318     48.08    59.62 
CITIGROUP                17290A5E6 06/12/24 06/14/39    100.000     0.000     5.6700             0.157500   0.157550   0.162016   0.166609  0.171333     31.43    59.31 
CITIGROUP                17331U4M6 08/02/24 02/03/28    100.000     0.000     4.7900                                   0.133056   0.136260  0.139523     19.83    49.43 
CITIGROUP                17331UVP9 06/28/24 12/31/26    100.000     0.000     5.1050             0.141806   0.141846   0.145466   0.149179  0.152987     25.96    53.04 
CITIGROUP                17331UVQ7 06/28/24 12/31/25    100.000     0.000     5.3000             0.147222   0.147266   0.151168   0.155174               26.95    54.99 
CITIGROUP                17331UVT1 07/03/24 07/02/26    100.000     0.000     5.2500                                   0.145833   0.149640  0.153568     25.96    54.57 
CITIGROUP                17331UVS3 06/28/24 06/30/31    100.000     0.000     5.1000             0.141667   0.141707   0.145320   0.149026  0.152826     25.94    52.99 
CITIGROUP                17331U4S3 08/05/24 02/05/26    100.000     0.000     4.9100                                   0.136389   0.139737  0.143168     19.91    50.69 
CITIGROUP                17331UVU8 07/03/24 01/02/26    100.000     0.000     5.3100                                   0.147500   0.151394  0.155414     26.25    55.22 
CITIGROUP                17331UW86 07/03/24 01/02/26    100.000     0.000     5.3100                                   0.147500   0.151394  0.155414     26.25    55.22 
CITIGROUP                17331U4W4 07/31/24 01/29/26    100.000     0.000     5.0000                                   0.138889   0.142342  0.145900     20.97    51.69 
CITIGROUP                17291LWA9 03/28/24 12/31/26    100.000     0.000     4.9800             0.138333   0.140094   0.143582   0.147157  0.150822     38.09    52.34 
CITIGROUP                17332M2W3 09/03/24 03/04/27    100.000     0.000     4.5290                                   0.125806   0.128670  0.131584     14.85    46.48 
CITIGROUP                17290ALH1 08/15/24 08/15/39    100.000     0.000     5.3261                                   0.147946   0.151886  0.155931     20.12    55.06 
CITIGROUP                17291LVV4 03/28/24 09/30/26    100.000     0.000     4.9800             0.138333   0.138372   0.141817   0.145348  0.148967     38.09    52.34 
CITIGROUP                17291LF59 02/26/24 02/26/26    100.000     0.000     5.1200                        0.142222   0.145863   0.149597  0.153427     43.83    54.13 
CITIGROUP                17291L4T9 02/13/24 02/12/26    100.000     0.000     5.0200                        0.139444   0.142925   0.146512  0.150190     44.83    53.11 
CITIGROUP                17332MDA9 07/25/24 07/27/27    100.000     0.000     4.8500                        0.134722   0.134759   0.138026  0.141374     21.02    50.12 
CITIGROUP                17291LVU6 03/28/24 03/29/29    100.000     0.000     4.9600                        0.137778   0.141214   0.144716  0.148305     37.93    52.12 
CITIGROUP                17331A5F4 04/29/24 10/29/25    100.000     0.000     5.5000                        0.152778   0.156979   0.161296               37.23    47.56 
CITIGROUP                17291LEL5 03/05/24 03/04/27    100.000     0.000     5.0800                        0.141111   0.144675   0.148350  0.152118     42.19    53.62 
CITIGROUP                17332MCD4 07/11/24 07/13/27    100.000     0.000     4.9200                        0.136667   0.136704   0.140067  0.143513     23.24    50.96 
CITIGROUP                17291LEK7 02/29/24 08/31/26    100.000     0.000     5.1100                        0.141944   0.145591   0.149270  0.153126     43.31    53.99 
CITIGROUP                17332MTM6 09/05/24 09/02/27    100.000     0.000     4.5290                                   0.125806   0.128607  0.131519     14.59    46.47 
CITIGROUP                17332MCP7 08/05/24 08/05/26    100.000     0.000     4.9000                                   0.136111   0.139446  0.142862     19.87    50.59 
CITIGROUP                17290AMG2 08/20/24 08/09/39    100.000     0.000     5.9125                                   0.164236   0.168795  0.173785     21.51    61.30 
CITIGROUP                17291LXE0 03/28/24 06/30/25    100.000     0.000     5.3000             0.147222   0.149216   0.153170                          40.56    27.42 
CITIGROUP                17331UQ67 07/12/24 07/14/27    100.000     0.000     4.9500                        0.137500   0.137538   0.140942  0.144430     23.24    51.28 
CITIGROUP                17331A4Z1 04/24/24 10/23/25    100.000     0.000     5.6400                        0.156667   0.161060   0.165602               39.00    47.85 
CITIGROUP                17331UPW1 06/03/24 07/01/29    100.000     0.000     5.2300                        0.145278   0.149683   0.149683  0.157614     30.32    54.59 
CITIGROUP                17291L5Q4 03/05/24 09/04/25    100.000     0.000     5.2900                        0.146944   0.150810   0.154798               43.95    37.36 
CITIGROUP                17291L5M3 02/28/24 08/28/25    100.000     0.000     5.2600                        0.146111   0.149954   0.153898               44.74    36.25 
CITIGROUP                17291LWP6 03/07/24 06/09/25    100.000     0.000     5.3500             0.148611   0.150643   0.154673                          44.19    24.44 
CITIGROUP                17291LWQ4 04/02/24 07/02/25    100.000     0.000     5.3600                        0.148889   0.150884   0.154928               40.41    28.04 
CITIGROUP                17332MSA3 08/30/24 03/04/26    100.000     0.000     4.9000                        0.136111   0.136185   0.139522  0.142940     16.48    50.42 
CITIGROUP                17332MBK9 07/18/24 07/20/26    100.000     0.000     4.9200                        0.136667   0.136704   0.140067  0.143513     22.28    50.91 
CITIGROUP                17332MF90 08/21/24 08/20/26    100.000     0.000     4.8900                                   0.135833   0.139136  0.142538     17.66    50.37 
CITIGROUP                17332MF66 09/05/24 09/05/29    100.000     0.000     4.4600                                   0.123889   0.126652  0.129476     14.37    45.75 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP                17331UC70 06/20/24 12/18/25    100.000     0.000     5.2500                        0.145833   0.149619   0.153546               27.90    52.62 
CITIGROUP                17291LCU7 02/29/24 03/01/29    100.000     0.000     5.0800                        0.141111   0.144735   0.148411  0.152181     43.05    53.66 
CITIGROUP                17291LTY1 03/28/24 03/29/29    100.000     0.000     4.9600                        0.137778   0.141214   0.144716  0.148305     37.93    52.12 
CITIGROUP                17291L2R5 02/27/24 02/27/29    100.000     0.000     5.0700                        0.140833   0.144403   0.148064  0.151818     43.26    53.56 
CITIGROUP                17291LU60 03/28/24 03/31/27    100.000     0.000     4.9300             0.136944   0.136982   0.140359   0.143818  0.147364     37.70    51.79 
CITIGROUP                17332MFE9 07/19/24 07/21/26    100.000     0.000     5.0200                        0.139444   0.139483   0.142984  0.146573     22.60    51.98 
CITIGROUP                17332MEG5 08/05/24 08/04/27    100.000     0.000     4.7600                                   0.132222   0.135352  0.138573     19.30    49.10 
CITIGROUP                17331AYL9 04/24/24 04/24/29    100.000     0.000     5.4900                        0.152500   0.156686   0.160987  0.165406     37.95    57.77 
CITIGROUP                17331UBC0 04/26/24 07/28/25    100.000     0.000     5.6500                        0.156944   0.159211   0.163708               38.80    33.77 
CITIGROUP                17331USH1 05/29/24 05/29/26    100.000     0.000     5.2900                        0.146944   0.150831   0.154821  0.158916     31.28    55.28 
CITIGROUP                17291L2J3 02/22/24 02/19/27    100.000     0.000     5.0200                        0.139444   0.142886   0.146473  0.150149     43.54    53.04 
CITIGROUP                17291L2C8 03/04/24 03/04/27    100.000     0.000     5.1100                        0.141944   0.145571   0.149290  0.153105     42.58    53.96 
CITIGROUP                17291L2F1 02/22/24 02/19/27    100.000     0.000     5.0200                        0.139444   0.142886   0.146473  0.150149     43.54    53.04 
CITIGROUP                17291LTD7 03/06/24 03/06/28    100.000     0.000     5.1050                        0.141806   0.145425   0.149137  0.152944     42.25    53.89 
CITIGROUP                17332MDU5 08/05/24 08/05/27    100.000     0.000     4.9000                                   0.136111   0.139446  0.142862     19.87    50.59 
CITIGROUP                17332MDV3 07/29/24 07/27/29    100.000     0.000     4.5500                                   0.126389   0.129232  0.132172     19.21    46.90 
CITIGROUP                17332MDT8 07/18/24 07/20/27    100.000     0.000     4.8000                        0.133333   0.133369   0.136570  0.139847     21.74    49.63 
CITIGROUP                17291LUZ6 04/02/24 04/02/29    100.000     0.000     5.0100                        0.139167   0.142653   0.146226  0.149889     37.75    52.64 
CITIGROUP                17291L3W3 03/05/24 09/03/26    100.000     0.000     5.1440                        0.142889   0.146523   0.150292  0.154157     42.72    54.33 
CITIGROUP                17291L3R4 02/29/24 08/29/25    100.000     0.000     5.2600                        0.146111   0.149954   0.153876               44.59    36.40 
CITIGROUP                17291LUW3 04/02/24 04/01/27    100.000     0.000     4.9800                        0.138333   0.141759   0.145288  0.148906     37.52    52.31 
CITIGROUP                17291LE76 03/05/24 06/03/25    100.000     0.000     5.4200             0.150556   0.152550   0.156684                          45.10    23.82 
CITIGROUP                17332MVE1 08/30/24 08/30/29    100.000     0.000     4.4310                                   0.123083   0.125780  0.128598     14.89    45.47 
CITIGROUP                17331UBB2 04/29/24 10/29/25    100.000     0.000     5.6000                        0.155556   0.159911   0.164389               37.91    48.46 
CITIGROUP                17291LDR3 02/23/24 02/25/27    100.000     0.000     5.0700             0.140833   0.140873   0.144444   0.148106  0.151860     43.84    53.59 
CITIGROUP                17331UAD9 05/01/24 05/01/29    100.000     0.000     5.4600                        0.151667   0.155807   0.160061  0.164430     36.65    57.37 
CITIGROUP                17291L3L7 02/14/24 02/14/29    100.000     0.000     5.0000                        0.138889   0.142361   0.145920  0.149568     44.50    52.88 
CITIGROUP                17291L3B9 03/04/24 03/05/29    100.000     0.000     5.1540                        0.143167   0.146877   0.150662  0.154544     42.95    54.45 
CITIGROUP                17331URN9 06/05/24 06/04/26    100.000     0.000     5.3800                        0.149444   0.153442   0.157570  0.161808     30.89    56.21 
CITIGROUP                17332MDQ4 07/25/24 07/27/28    100.000     0.000     4.8400                        0.134444   0.134481   0.137735  0.141068     20.98    50.01 
CITIGROUP                17290AJK7 05/31/24 05/31/34    100.000     0.000     5.5100                        0.153056   0.157272   0.161605  0.166057     32.43    57.67 
CITIGROUP                17331UMKO 06/05/24 06/04/27    100.000     0.000     5.2400                        0.145556   0.149348   0.153261  0.157276     30.09    54.68 
CITIGROUP                17331UMP9 06/05/24 12/03/26    100.000     0.000     5.2900                        0.146944   0.150788   0.154776  0.158870     30.38    55.23 
CITIGROUP                17332MPV0 08/27/24 03/04/27    100.000     0.000     4.9000                        0.136111   0.136241   0.139579  0.142998     16.89    50.44 
CITIGROUP                17331UMT1 05/31/24 06/02/31    100.000     0.000     5.2600             0.146111   0.146154   0.149998   0.153943  0.157991     30.95    54.94 
CITIGROUP                17332MPY4 09/05/24 09/03/26    100.000     0.000     4.5290                                   0.125806   0.128623  0.131535     14.59    46.47 
CITIGROUP                17331UMU8 05/29/24 05/27/27    100.000     0.000     5.1600                        0.143333   0.146990   0.150783  0.154673     30.51    53.86 
CITIGROUP                17291TQR2 01/31/24 01/31/29    100.000     0.000     4.3300                        0.120278   0.122882   0.125542  0.128260     40.21    45.53 
CITIGROUP                5C21DP9H0 04/18/24 04/20/27    100.000     0.000     3.4100             0.094722   0.094740   0.096355   0.097998  0.099669     24.08    35.22 
CITIGROUP                17332MPB4 09/05/24 09/03/26    100.000     0.000     4.5290                                   0.125806   0.128623  0.131535     14.59    46.47 
CITIGROUP                17331UMC8 06/05/24 12/03/26    100.000     0.000     5.2900                        0.146944   0.150788   0.154776  0.158870     30.38    55.23 
CITIGROUP                17331UMH7 05/31/24 06/01/29    100.000     0.000     5.1700                        0.143611   0.147344   0.151153  0.155060     30.41    53.96 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP                17291LKJ3 03/28/24 09/30/25    100.000     0.000     5.1700             0.143611   0.143652   0.147366   0.151175               39.55    40.33 
CITIGROUP                17331AB26 04/04/24 10/06/25    100.000     0.000     5.2600             0.146111   0.146154   0.149998   0.153943               39.35    41.96 
CITIGROUP                17331ULM7 05/29/24 11/29/28    100.000     0.000     5.1700                        0.143611   0.147323   0.151132  0.155039     30.56    53.97 
CITIGROUP                17291LKG9 03/08/24 09/11/25    100.000     0.000     5.2600             0.146111   0.146175   0.150020   0.153965               43.25    38.22 
CITIGROUP                17331AB91 04/18/24 04/20/27    100.000     0.000     5.3000             0.147222   0.147266   0.151168   0.155174  0.159286     37.54    55.72 
CITIGROUP                17331ULR6 06/05/24 12/04/25    100.000     0.000     5.4800                        0.152222   0.156370   0.160654               31.47    52.84 
CITIGROUP                17331ULQ8 05/31/24 03/04/27    100.000     0.000     5.2800                        0.146667   0.148689   0.152614  0.156643     31.18    55.17 
CITIGROUP                17332MP81 08/30/24 08/30/29    100.000     0.000     4.4310                                   0.123083   0.125780  0.128598     14.89    45.47 
CITIGROUP                17332MP99 08/27/24 08/26/27    100.000     0.000     4.9000                                   0.136111   0.139427  0.142843     16.88    50.44 
CITIGROUP                17291LJX4 03/05/24 12/03/26    100.000     0.000     5.1200             0.142222   0.144002   0.147689   0.151469  0.155347     42.57    54.06 
CITIGROUP                17332MRU0 08/30/24 12/02/26    100.000     0.000     4.9000                        0.136111   0.137816   0.141192  0.144651     16.52    50.42 
CITIGROUP                17332MAT1 07/18/24 07/20/26    100.000     0.000     5.0200                        0.139444   0.139483   0.142984  0.146573     22.74    51.99 
CITIGROUP                17331A3Y5 04/29/24 10/29/25    100.000     0.000     5.5000                        0.152778   0.156979   0.161296               37.23    47.56 
CITIGROUP                17291LYB5 04/30/24 01/28/27    100.000     0.000     5.4000                        0.150000   0.151980   0.156083  0.160298     36.45    56.72 
CITIGROUP                17291LH73 02/29/24 05/30/25    100.000     0.000     5.4000             0.150000   0.152048   0.156153                          45.86    23.27 
CITIGROUP                17291L6R1 02/26/24 05/27/25    100.000     0.000     5.3500             0.148611   0.150621   0.154650                          45.89    22.58 
CITIGROUP                17332MRH9 08/30/24 06/02/27    100.000     0.000     4.9000                        0.136111   0.137816   0.141192  0.144651     16.52    50.42 
CITIGROUP                17291LGH2 03/05/24 03/04/27    100.000     0.000     5.0800                        0.141111   0.144675   0.148350  0.152118     42.19    53.62 
CITIGROUP                17331A3J8 04/11/24 04/12/29    100.000     0.000     5.1600                        0.143333   0.147052   0.150846  0.154738     37.56    54.23 
CITIGROUP                17291LGJ8 02/29/24 03/03/31    100.000     0.000     5.1600             0.143333   0.143416   0.147116   0.150911  0.154805     43.75    54.55 
CITIGROUP                17291LGF6 03/06/24 03/05/26    100.000     0.000     5.2100                        0.144722   0.148471   0.152339  0.156307     43.13    55.05 
CITIGROUP                17331A3Q2 04/19/24 04/19/29    100.000     0.000     5.4500                        0.151389   0.155514   0.159752  0.164105     38.45    57.37 
CITIGROUP                17331AU41 04/30/24 04/30/29    100.000     0.000     5.4200                        0.150556   0.154636   0.158826  0.163130     36.53    56.94 
CITIGROUP                17291TQ27 12/20/23 06/20/25    100.000     0.000     5.2000      1.59   0.144444   0.148200   0.152053                          52.76    25.70 
CITIGROUP                17291LHN8 02/06/24 02/26/26    100.000     0.000     4.9600             0.137778   0.138157   0.141584   0.145095  0.148693     45.32    52.49 
CITIGROUP                17332MQG2 09/05/24 09/05/26    100.000     0.000     4.3000                                   0.119444   0.122012  0.124636     13.86    44.06 
CITIGROUP                17331UNC7 05/28/24 06/23/25    100.000     0.000     5.4700             0.151944   0.152522   0.156693                          32.51    26.95 
CITIGROUP                17291L7J8 02/29/24 03/01/29    100.000     0.000     5.0800                        0.141111   0.144735   0.148411  0.152181     43.05    53.66 
CITIGROUP GLBL MKTS HOLD 17330RGV1 11/03/22 11/05/24    100.000     0.000     5.8450     69.28   0.172046   0.177074                                     53.21          
CITIGROUP GLBL MKTS HOLD 17330RFK6 11/03/22 11/05/26    100.000     0.000     5.8740     69.63   0.172948   0.178028   0.183256   0.188639  0.194179     63.75    67.55 
CITIGROUP GLBL MKTS HOLD 17330RFN0 11/03/22 05/03/24    100.000     0.000     5.8640     69.51   0.172581                                                21.05          
CITIGROUP GLBL MKTS HOLD 17330RV69 11/02/22 11/04/27    100.000     0.000     5.8830     69.92   0.173228   0.178324   0.183569   0.188969  0.194528     63.87    67.68 
CITIGROUP GLBL MKTS HOLD 17330RUW3 10/31/22 05/01/24    100.000     0.000     5.9510     71.08   0.175317                                                21.04          
CITIGROUP GLBL MKTS HOLD 17330RHN8 10/31/22 10/29/27    100.000     0.000     6.0870     72.75   0.179503   0.184966   0.190595   0.196396  0.202373     66.29    70.39 
CITIGROUP GLBL MKTS HOLD 17330RZ57 10/25/22 10/23/25    100.000     0.000     6.0190     72.81   0.177352   0.182689   0.188187   0.193851               65.54    55.97 
CITIGROUP GLBL MKTS HOLD 17330YLW8 11/17/22 11/19/24    100.000     0.000     5.5240     63.13   0.162088   0.166564                                     52.35          
CITIGROUP GLBL MKTS HOLD 17330R6G5 09/30/22 10/02/28    100.000     0.000     5.7960     74.32   0.170522   0.175463   0.180548   0.185781  0.191165     63.17    66.88 
CITIGROUP GLBL MKTS HOLD 17330RFT7 11/03/22 11/05/26    100.000     0.000     5.8740     69.63   0.172948   0.178028   0.183256   0.188639  0.194179     63.75    67.55 
CITIGROUP GLBL MKTS HOLD 17330Y5L0 10/26/22 10/24/25    100.000     0.000     6.1160     73.83   0.180379   0.185895   0.191579   0.197438               66.68    57.19 
CITIGROUP GLBL MKTS HOLD 17330Y5V8 10/26/22 10/25/25    100.000     0.000     6.1160     73.83   0.180408   0.185925   0.191611   0.197470               66.68    57.39 
CITIGROUP GLBL MKTS HOLD 17330Y5C0 11/04/22 05/06/24    100.000     0.000     5.7860     68.40   0.170211                                                21.28          
CITIGROUP GLBL MKTS HOLD 17330RS55 10/26/22 04/24/26    100.000     0.000     6.1260     73.95   0.180691   0.186226   0.191930   0.197809  0.203867     66.80    70.95 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLBL MKTS HOLD 17330Y4Q0 10/26/22 04/25/24    100.000     0.000     6.0580     73.11   0.178597                                                20.36          
CITIGROUP GLBL MKTS HOLD 17330YHR4 11/02/22 05/01/25    100.000     0.000     5.7570     68.39   0.169229   0.174101   0.179112                          62.39    21.49 
CITIGROUP GLBL MKTS HOLD 17330RST3 11/03/22 11/05/25    100.000     0.000     5.8740     69.63   0.172948   0.178028   0.183256   0.188639               63.75    56.68 
CITIGROUP GLBL MKTS HOLD 17330RNY7 11/03/22 11/04/27    100.000     0.000     5.9420     70.45   0.175037   0.180237   0.185592   0.191106  0.196784     64.55    68.44 
CITIGROUP GLBL MKTS HOLD 17330YRU6 11/08/22 11/08/29    100.000     0.000     5.9130     69.23   0.174106   0.179253   0.184553   0.190009  0.195627     64.16    68.01 
CITIGROUP GLBL MKTS HOLD 17330YB74 10/31/22 05/01/24    100.000     0.000     5.9510     71.08   0.175317                                                21.04          
CITIGROUP GLBL MKTS HOLD 17330YAX8 10/28/22 10/30/24    100.000     0.000     5.9710     71.69   0.175971   0.181224                                     53.56          
CITIGROUP GLBL MKTS HOLD 17330YAD2 11/04/22 11/04/24    100.000     0.000     5.7570     68.05   0.169256   0.174128                                     52.16          
CITIGROUP GLBL MKTS HOLD 17330YRG7 11/03/22 11/04/27    100.000     0.000     5.9420     70.45   0.175037   0.180237   0.185592   0.191106  0.196784     64.55    68.44 
CITIGROUP GLBL MKTS HOLD 17330YAQ3 10/26/22 10/26/27    100.000     0.000     6.2330     75.27   0.184099   0.189836   0.195752   0.201853  0.208144     68.07    72.37 
CITIGROUP GLBL MKTS HOLD 17330RMG7 10/31/22 10/31/24    100.000     0.000     5.9420     70.98   0.175009   0.180208                                     53.26          
CITIGROUP GLBL MKTS HOLD 17330RQE8 10/26/22 04/26/27    100.000     0.000     6.2810     75.86   0.185603   0.191432   0.197444   0.203644  0.210040     68.64    73.01 
CITIGROUP GLBL MKTS HOLD 17330Y2Y5 10/31/22 10/31/24    100.000     0.000     5.9420     70.98   0.175009   0.180208                                     53.26          
CITIGROUP GLBL MKTS HOLD 17330YUE8 11/16/22 11/16/27    100.000     0.000     5.8060     66.59   0.170777   0.175735   0.180837   0.186086  0.191489     62.82    66.53 
CITIGROUP GLBL MKTS HOLD 17330YDE7 11/17/22 11/19/25    100.000     0.000     5.5040     62.90   0.161469   0.165913   0.170479   0.175170               59.31    55.06 
CITIGROUP GLBL MKTS HOLD 17330Y2H2 10/25/22 10/25/27    100.000     0.000     6.1260     74.13   0.180751   0.186287   0.191993   0.197874  0.203935     66.81    70.96 
CITIGROUP GLBL MKTS HOLD 17330YCR9 11/14/22 11/12/27    100.000     0.000     5.9510     68.64   0.175233   0.180447   0.185816   0.191345  0.197039     64.54    68.44 
CITIGROUP GLBL MKTS HOLD 17330YTW0 11/17/22 11/19/24    100.000     0.000     5.5240     63.13   0.162088   0.166564                                     52.35          
CITIGROUP GLBL MKTS HOLD 17330YSY7 11/02/22 11/02/28    100.000     0.000     5.9030     70.16   0.173794   0.178924   0.184205   0.189642  0.195239     64.10    67.94 
CITIGROUP GLBL MKTS HOLD 17330RJD8 10/31/22 05/01/25    100.000     0.000     5.9510     71.08   0.175317   0.180534   0.185906                          64.69    22.31 
CITIGROUP GLBL MKTS HOLD 17330RZR9 10/20/22 10/21/27    100.000     0.000     6.0290     73.81   0.177750   0.183108   0.188628   0.194314  0.200172     65.72    69.74 
CITIGROUP GLBL MKTS HOLD 17330RM36 10/31/22 10/29/27    100.000     0.000     6.0870     72.75   0.179503   0.184966   0.190595   0.196396  0.202373     66.29    70.39 
CITIGROUP GLBL MKTS HOLD 17330RM69 10/31/22 05/01/25    100.000     0.000     5.9510     71.08   0.175317   0.180534   0.185906                          64.69    22.31 
CITIGROUP GLBL MKTS HOLD 17330YPQ7 11/16/22 11/19/25    100.000     0.000     5.5140     63.18   0.161803   0.166264   0.170848   0.175558               59.43    55.18 
CITIGROUP GLBL MKTS HOLD 17330Y4E7 11/09/22 11/07/25    100.000     0.000     6.0780     71.03   0.179192   0.184638   0.190249   0.196031               66.09    59.26 
CITIGROUP GLBL MKTS HOLD 17330YJT8 11/28/22 05/28/24    100.000     0.000     5.6790     63.10   0.166836                                                24.52          
CITIGROUP GLBL MKTS HOLD 17330YKB5 11/28/22 11/26/27    100.000     0.000     5.4560     60.59   0.159890   0.164252   0.168733   0.173336  0.178064     58.66    61.90 
CITIGROUP GLBL MKTS HOLD 17330YJF8 11/02/22 10/31/24    100.000     0.000     5.8740     69.81   0.172837   0.177913                                     52.59          
CITIGROUP GLBL MKTS HOLD 17330YJE1 11/28/22 11/28/25    100.000     0.000     5.4950     61.02   0.161142   0.165569   0.170118   0.174792               59.10    56.47 
CITIGROUP GLBL MKTS HOLD 17330RVY8 10/31/22 10/29/27    100.000     0.000     6.0870     72.75   0.179503   0.184966   0.190595   0.196396  0.202373     66.29    70.39 
CITIGROUP GLBL MKTS HOLD 17330YJQ4 11/30/22 11/28/25    100.000     0.000     5.3780     59.39   0.157485   0.161720   0.166069   0.170534               57.74    55.11 
CITIGROUP GLBL MKTS HOLD 17330RUZ6 10/31/22 10/29/27    100.000     0.000     6.0870     72.75   0.179503   0.184966   0.190595   0.196396  0.202373     66.29    70.39 
CITIGROUP GLBL MKTS HOLD 17330YLY4 11/28/22 11/28/25    100.000     0.000     5.4950     61.02   0.161142   0.165569   0.170118   0.174792               59.10    56.47 
CITIGROUP GLBL MKTS HOLD 17330RYH2 10/20/22 10/22/25    100.000     0.000     5.9420     72.73   0.175067   0.180268   0.185624   0.191138               64.69    55.01 
CITIGROUP GLBL MKTS HOLD 17330RY58 10/14/22 10/16/25    100.000     0.000     5.6500     70.08   0.165989   0.170678   0.175500   0.180458               61.31    50.91 
CITIGROUP GLBL MKTS HOLD 17330RYD1 10/20/22 04/23/25    100.000     0.000     5.9220     72.48   0.174472   0.179638   0.184957                          64.45    20.72 
CITIGROUP GLBL MKTS HOLD 17330RXJ9 10/14/22 10/16/25    100.000     0.000     5.6500     70.08   0.165989   0.170678   0.175500   0.180458               61.31    50.91 
CITIGROUP GLBL MKTS HOLD 17330RXM2 10/14/22 10/14/27    100.000     0.000     5.7960     71.93   0.170467   0.175407   0.180490   0.185721  0.191103     63.03    66.74 
CITIGROUP GLBL MKTS HOLD 17330RXN0 10/13/22 10/10/24    100.000     0.000     5.4260     67.41   0.158941   0.163253                                     45.12          
CITIGROUP GLBL MKTS HOLD 17330YG53 11/28/22 05/28/25    100.000     0.000     5.5140     61.24   0.161729   0.166188   0.170769                          59.32    25.10 
CITIGROUP GLBL MKTS HOLD 17330Y5Y2 10/21/22 10/21/27    100.000     0.000     5.9710     72.92   0.175913   0.181164   0.186573   0.192143  0.197880     65.02    68.96 
CITIGROUP GLBL MKTS HOLD 17330RSH9 11/01/22 04/30/26    100.000     0.000     5.8930     70.21   0.173455   0.178566   0.183828   0.189244  0.194820     64.00    67.82 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLBL MKTS HOLD 17330RQW8 10/31/22 10/29/27    100.000     0.000     6.0870     72.75   0.179503   0.184966   0.190595   0.196396  0.202373     66.29    70.39 
CITIGROUP GLBL MKTS HOLD 17330YER7 11/28/22 11/26/27    100.000     0.000     4.4560     49.33   0.129323   0.132205   0.135150   0.138161  0.141240     47.28    49.41 
CITIGROUP GLBL MKTS HOLD 17330YF62 11/23/22 11/21/24    100.000     0.000     5.4850     61.72   0.160785   0.165195                                     52.24          
CITIGROUP GLBL MKTS HOLD 17330YEW6 11/28/22 11/28/25    100.000     0.000     5.4950     61.02   0.161142   0.165569   0.170118   0.174792               59.10    56.47 
CITIGROUP GLBL MKTS HOLD 17330YEC0 11/29/22 12/01/25    100.000     0.000     5.4650     60.52   0.160264   0.164643   0.169142   0.173764               58.75    56.65 
CITIGROUP GLBL MKTS HOLD 17330RR31 10/31/22 10/29/27    100.000     0.000     6.0870     72.75   0.179503   0.184966   0.190595   0.196396  0.202373     66.29    70.39 
CITIGROUP GLBL MKTS HOLD 17330YHJ2 11/28/22 11/28/25    100.000     0.000     5.4950     61.02   0.161142   0.165569   0.170118   0.174792               59.10    56.47 
CITIGROUP GLBL MKTS HOLD 17330Y6P0 12/05/22 12/04/25    100.000     0.000     5.4070     58.92   0.158402   0.162684   0.167083   0.171600               58.03    56.45 
CITIGROUP GLBL MKTS HOLD 17330YH78 11/28/22 05/28/25    100.000     0.000     5.5140     61.24   0.161729   0.166188   0.170769                          59.32    25.10 
CITIGROUP GLBL MKTS HOLD 17330Y6D7 11/01/22 11/01/27    100.000     0.000     5.9900     71.39   0.176505   0.181791   0.187236   0.192844  0.198619     65.14    69.10 
CITIGROUP GLBL MKTS HOLD 17330YGK0 11/28/22 11/27/24    100.000     0.000     5.5630     61.79   0.163219   0.167759                                     54.03          
CITIGROUP GLBL MKTS HOLD 17330Y6H8 11/28/22 11/26/27    100.000     0.000     5.4560     60.59   0.159890   0.164252   0.168733   0.173336  0.178064     58.66    61.90 
CITIGROUP GLBL MKTS HOLD 17330YSJ0 11/28/22 11/28/25    100.000     0.000     5.4950     61.02   0.161142   0.165569   0.170118   0.174792               59.10    56.47 
CITIGROUP GLBL MKTS HOLD 17330YSL5 12/05/22 12/04/25    100.000     0.000     5.4070     58.92   0.158402   0.162684   0.167083   0.171600               58.03    56.45 
CITIGROUP GLBL MKTS HOLD 17330YC24 12/02/22 12/02/27    100.000     0.000     5.3390     58.64   0.156329   0.160502   0.164787   0.169186  0.173703     57.27    60.37 
CITIGROUP GLBL MKTS HOLD 17330YRT9 12/06/22 01/05/24    100.000     0.000     6.1650     67.17   0.177405                                                 0.71          
CITIGROUP GLBL MKTS HOLD 17330YB82 10/20/22 10/21/27    100.000     0.000     6.0290     73.81   0.177750   0.183108   0.188628   0.194314  0.200172     65.72    69.74 
CITIGROUP GLBL MKTS HOLD 17330YS84 11/29/22 11/29/27    100.000     0.000     5.3870     59.65   0.157808   0.162059   0.166424   0.170907  0.175510     57.85    61.01 
CITIGROUP GLBL MKTS HOLD 17330YRY8 11/07/22 11/06/25    100.000     0.000     5.9220     69.52   0.174358   0.179521   0.184836   0.190309               64.27    57.36 
CITIGROUP GLBL MKTS HOLD 17330YSB7 11/28/22 11/27/24    100.000     0.000     5.5630     61.79   0.163219   0.167759                                     54.03          
CITIGROUP GLBL MKTS HOLD 17330YSC5 11/28/22 05/28/25    100.000     0.000     5.5140     61.24   0.161729   0.166188   0.170769                          59.32    25.10 
CITIGROUP GLBL MKTS HOLD 17330YRC6 11/23/22 11/23/27    100.000     0.000     5.3780     60.49   0.157531   0.161767   0.166117   0.170584  0.175171     57.80    60.95 
CITIGROUP GLBL MKTS HOLD 17330YAG5 10/21/22 10/21/27    100.000     0.000     5.9710     72.92   0.175913   0.181164   0.186573   0.192143  0.197880     65.02    68.96 
CITIGROUP GLBL MKTS HOLD 17330YB25 12/05/22 12/04/25    100.000     0.000     5.4070     58.92   0.158402   0.162684   0.167083   0.171600               58.03    56.45 
CITIGROUP GLBL MKTS HOLD 17330YQR4 12/05/22 12/05/24    100.000     0.000     5.4650     59.56   0.160215   0.164593                                     54.30          
CITIGROUP GLBL MKTS HOLD 17330YR28 11/28/22 11/28/29    100.000     0.000     5.4950     61.02   0.161142   0.165569   0.170118   0.174792  0.179594     59.10    62.40 
CITIGROUP GLBL MKTS HOLD 17330YQQ6 12/05/22 12/04/25    100.000     0.000     5.4070     58.92   0.158402   0.162684   0.167083   0.171600               58.03    56.45 
CITIGROUP GLBL MKTS HOLD 17330YR44 12/05/22 06/04/25    100.000     0.000     5.4170     59.03   0.158710   0.163009   0.167424                          58.14    25.62 
CITIGROUP GLBL MKTS HOLD 17330YR93 11/22/22 05/22/24    100.000     0.000     5.5430     62.54   0.162625                                                22.93          
CITIGROUP GLBL MKTS HOLD 17330RMK8 10/31/22 05/01/25    100.000     0.000     5.9510     71.08   0.175317   0.180534   0.185906                          64.69    22.31 
CITIGROUP GLBL MKTS HOLD 17330Y3M0 10/20/22 10/22/24    100.000     0.000     5.9130     72.37   0.174163   0.179312                                     51.61          
CITIGROUP GLBL MKTS HOLD 17330YE22 12/05/22 06/04/24    100.000     0.000     5.5820     60.86   0.163807                                                25.06          
CITIGROUP GLBL MKTS HOLD 17330Y3B4 11/28/22 11/27/26    100.000     0.000     5.4260     60.25   0.158988   0.163301   0.167732   0.172282  0.176956     58.31    61.52 
CITIGROUP GLBL MKTS HOLD 17330YDF4 11/07/22 11/07/24    100.000     0.000     5.8740     68.94   0.172892   0.177970                                     53.82          
CITIGROUP GLBL MKTS HOLD 17330Y2J8 11/28/22 11/27/26    100.000     0.000     5.4260     60.25   0.158988   0.163301   0.167732   0.172282  0.176956     58.31    61.52 
CITIGROUP GLBL MKTS HOLD 17330YU32 11/28/22 11/26/27    100.000     0.000     5.4560     60.59   0.159890   0.164252   0.168733   0.173336  0.178064     58.66    61.90 
CITIGROUP GLBL MKTS HOLD 17330YU40 11/28/22 11/28/25    100.000     0.000     5.4950     61.02   0.161142   0.165569   0.170118   0.174792               59.10    56.47 
CITIGROUP GLBL MKTS HOLD 17330YU73 11/28/22 05/28/24    100.000     0.000     5.6790     63.10   0.166836                                                24.52          
CITIGROUP GLBL MKTS HOLD 17330YCT5 11/07/22 11/06/25    100.000     0.000     5.9220     69.52   0.174358   0.179521   0.184836   0.190309               64.27    57.36 
CITIGROUP GLBL MKTS HOLD 17330YBV1 12/05/22 06/04/25    100.000     0.000     5.4170     59.03   0.158710   0.163009   0.167424                          58.14    25.62 
CITIGROUP GLBL MKTS HOLD 17330RZK4 10/20/22 10/22/24    100.000     0.000     5.9130     72.37   0.174163   0.179312                                     51.61          
CITIGROUP GLBL MKTS HOLD 17330YNB2 11/30/22 11/28/25    100.000     0.000     5.3780     59.39   0.157485   0.161720   0.166069   0.170534               57.74    55.11 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLBL MKTS HOLD 17330YN63 12/12/22 06/12/25    100.000     0.000     5.2510     56.12   0.153621   0.157654   0.161793                          56.18    26.05 
CITIGROUP GLBL MKTS HOLD 17330RZA6 10/21/22 10/23/25    100.000     0.000     5.8740     71.71   0.172948   0.178028   0.183256   0.188639               63.88    54.48 
CITIGROUP GLBL MKTS HOLD 17330RZF5 10/13/22 10/10/24    100.000     0.000     5.4260     67.41   0.158941   0.163253                                     45.12          
CITIGROUP GLBL MKTS HOLD 17330YQJ2 11/22/22 11/22/27    100.000     0.000     5.3290     60.08   0.156021   0.160178   0.164446   0.168828  0.173327     57.24    60.34 
CITIGROUP GLBL MKTS HOLD 17330YQN3 11/30/22 12/01/27    100.000     0.000     5.3100     58.62   0.155459   0.159586   0.163823   0.168172  0.172637     56.96    60.02 
CITIGROUP GLBL MKTS HOLD 17330RKL8 10/14/22 10/17/24    100.000     0.000     5.5720     69.09   0.163598   0.168156                                     47.61          
CITIGROUP GLBL MKTS HOLD 17330RF59 08/26/22 08/28/24    100.000     0.000     4.2450     58.28   0.123004   0.125615                                     29.62          
CITIGROUP GLBL MKTS HOLD 17330R4L6 09/30/22 10/02/29    100.000     0.000     5.8540     75.08   0.172326   0.177370   0.182561   0.187905  0.193405     63.86    67.65 
CITIGROUP GLBL MKTS HOLD 17330RDV4 09/30/22 10/02/25    100.000     0.000     5.7960     74.32   0.170522   0.175463   0.180548   0.185781               63.17    49.87 
CITIGROUP GLBL MKTS HOLD 17330RE76 09/30/22 10/02/25    100.000     0.000     5.6210     72.02   0.165090   0.169730   0.174500   0.179405               61.11    48.17 
CITIGROUP GLBL MKTS HOLD 17330RDY8 09/30/22 04/01/26    100.000     0.000     5.6500     72.40   0.165962   0.170651   0.175472   0.180429  0.185526     61.45    64.97 
CITIGROUP GLBL MKTS HOLD 17330PSC4 08/31/22 08/31/27    100.000     0.000     4.5390     61.86   0.131871   0.134847   0.137925   0.141020  0.144256     48.74    50.98 
CITIGROUP GLBL MKTS HOLD 17330RH40 09/30/22 09/30/27    100.000     0.000     5.7960     74.31   0.170467   0.175407   0.180490   0.185721  0.191103     63.17    66.88 
CITIGROUP GLBL MKTS HOLD 17330YM23 11/03/22 11/04/27    100.000     0.000     5.9420     70.45   0.175037   0.180237   0.185592   0.191106  0.196784     64.55    68.44 
CITIGROUP GLBL MKTS HOLD 17330RBG9 08/24/22 08/24/27    100.000     0.000     4.4410     61.27   0.128900   0.131763   0.134688   0.137679  0.140736     47.65    49.79 
CITIGROUP GLBL MKTS HOLD 17330RRN7 10/28/22 10/30/24    100.000     0.000     5.9710     71.69   0.175971   0.181224                                     53.56          
CITIGROUP GLBL MKTS HOLD 17330YFD7 11/15/22 11/13/26    100.000     0.000     5.8830     67.67   0.173117   0.178209   0.183451   0.188847  0.194402     63.73    67.54 
CITIGROUP GLBL MKTS HOLD 17330RB38 08/29/22 08/29/24    100.000     0.000     4.2160     57.50   0.122101   0.124674                                     29.52          
CITIGROUP GLBL MKTS HOLD 17330YFE5 11/15/22 11/15/27    100.000     0.000     5.8830     67.66   0.173172   0.178266   0.183509   0.188907  0.194464     63.73    67.54 
CITIGROUP GLBL MKTS HOLD 17330RAU9 09/30/22 09/30/27    100.000     0.000     5.7960     74.31   0.170467   0.175407   0.180490   0.185721  0.191103     63.17    66.88 
CITIGROUP GLBL MKTS HOLD 17330Y4R8 10/31/22 10/30/25    100.000     0.000     5.9710     71.33   0.175913   0.181164   0.186573   0.192143               64.92    56.79 
CITIGROUP GLBL MKTS HOLD 17330RAD7 09/30/22 04/01/25    100.000     0.000     5.5430     70.99   0.162650   0.167157   0.171790                          60.19    15.46 
CITIGROUP GLBL MKTS HOLD 17330RDD4 08/24/22 08/22/26    100.000     0.000     4.3330     59.76   0.125603   0.128324   0.131105   0.133945  0.136847     46.42    48.45 
CITIGROUP GLBL MKTS HOLD 17330R3E3 08/31/22 08/31/27    100.000     0.000     4.5390     61.86   0.131871   0.134847   0.137925   0.141020  0.144256     48.74    50.98 
CITIGROUP GLBL MKTS HOLD 17330R3J2 09/30/22 09/30/27    100.000     0.000     5.7960     74.31   0.170467   0.175407   0.180490   0.185721  0.191103     63.17    66.88 
CITIGROUP GLBL MKTS HOLD 17330RD28 09/30/22 10/02/24    100.000     0.000     5.4560     69.86   0.159986   0.164350                                     44.14          
CITIGROUP GLBL MKTS HOLD 17330RD51 09/30/22 09/30/25    100.000     0.000     5.6210     72.02   0.165039   0.169677   0.174446   0.179349               61.10    47.81 
CITIGROUP GLBL MKTS HOLD 17330RD93 08/25/22 08/27/24    100.000     0.000     4.1060     56.45   0.118814   0.121253                                     28.48          
CITIGROUP GLBL MKTS HOLD 17330R2X2 09/30/22 04/01/25    100.000     0.000     5.5430     70.99   0.162650   0.167157   0.171790                          60.19    15.46 
CITIGROUP GLBL MKTS HOLD 17330YH94 11/17/22 11/19/24    100.000     0.000     5.5240     63.13   0.162088   0.166564                                     52.35          
CITIGROUP GLBL MKTS HOLD 17330R2G9 09/30/22 09/30/27    100.000     0.000     5.7960     74.31   0.170467   0.175407   0.180490   0.185721  0.191103     63.17    66.88 
CITIGROUP GLBL MKTS HOLD 17330RC94 09/30/22 04/01/25    100.000     0.000     5.5430     70.99   0.162650   0.167157   0.171790                          60.19    15.46 
CITIGROUP GLBL MKTS HOLD 17330PGK9 08/31/22 08/31/28    100.000     0.000     4.5870     62.53   0.133328   0.136369   0.139514   0.142678  0.145987     49.30    51.58 
CITIGROUP GLBL MKTS HOLD 17330PY45 08/31/22 03/03/25    100.000     0.000     4.3430     59.15   0.125981   0.128716   0.131511                          46.50     8.15 
CITIGROUP GLBL MKTS HOLD 17330PH69 08/31/22 08/31/27    100.000     0.000     4.5390     61.86   0.131871   0.134847   0.137925   0.141020  0.144256     48.74    50.98 
CITIGROUP GLBL MKTS HOLD 17330PX95 08/31/22 03/03/25    100.000     0.000     4.3430     59.15   0.125981   0.128716   0.131511                          46.50     8.15 
CITIGROUP GLBL MKTS HOLD 17330RMF9 09/30/22 10/02/25    100.000     0.000     5.6210     72.02   0.165090   0.169730   0.174500   0.179405               61.11    48.17 
CITIGROUP GLBL MKTS HOLD 17330PK81 08/31/22 08/29/25    100.000     0.000     4.4210     60.22   0.128279   0.131115   0.134013   0.136959               47.39    32.43 
CITIGROUP GLBL MKTS HOLD 17330RPS8 10/31/22 10/30/25    100.000     0.000     5.9710     71.33   0.175913   0.181164   0.186573   0.192143               64.92    56.79 
CITIGROUP GLBL MKTS HOLD 17330RP33 10/31/22 10/31/29    100.000     0.000     6.1260     73.22   0.180751   0.186287   0.191993   0.197874  0.203935     66.75    70.90 
CITIGROUP GLBL MKTS HOLD 17330PZM4 08/30/22 03/02/26    100.000     0.000     4.4700     60.91   0.129811   0.132712   0.135679   0.138711  0.141811     47.95    50.12 
CITIGROUP GLBL MKTS HOLD 17330RJN6 11/03/22 05/05/25    100.000     0.000     5.8450     69.28   0.172046   0.177074   0.182249                          63.41    22.60 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLBL MKTS HOLD 17330PUS6 08/31/22 08/31/28    100.000     0.000     4.5870     62.53   0.133328   0.136369   0.139514   0.142678  0.145987     49.30    51.58 
CITIGROUP GLBL MKTS HOLD 17330YNF3 11/17/22 11/18/27    100.000     0.000     5.4850     62.68   0.160857   0.165268   0.169801   0.174457  0.179242     59.09    62.37 
CITIGROUP GLBL MKTS HOLD 17330RLM5 09/30/22 10/02/25    100.000     0.000     5.6210     72.02   0.165090   0.169730   0.174500   0.179405               61.11    48.17 
CITIGROUP GLBL MKTS HOLD 17330PWQ8 08/31/22 08/31/27    100.000     0.000     4.5390     61.86   0.131871   0.134847   0.137925   0.141020  0.144256     48.74    50.98 
CITIGROUP GLBL MKTS HOLD 17330RM93 11/03/22 05/05/25    100.000     0.000     5.8450     69.28   0.172046   0.177074   0.182249                          63.41    22.60 
CITIGROUP GLBL MKTS HOLD 17330PVY2 08/26/22 08/28/24    100.000     0.000     4.2450     58.28   0.123004   0.125615                                     29.62          
CITIGROUP GLBL MKTS HOLD 17330PWE5 08/24/22 08/22/25    100.000     0.000     4.2650     58.80   0.123550   0.126185   0.128876   0.131624               45.64    30.27 
CITIGROUP GLBL MKTS HOLD 17330PVK2 08/31/22 08/30/29    100.000     0.000     4.6480     63.38   0.135182   0.138306   0.141538   0.144791  0.148193     50.00    52.35 
CITIGROUP GLBL MKTS HOLD 17330PEN5 08/31/22 03/03/25    100.000     0.000     4.3430     59.15   0.125981   0.128716   0.131511                          46.50     8.15 
CITIGROUP GLBL MKTS HOLD 17330RAB2 08/25/22 08/27/25    100.000     0.000     4.3330     59.63   0.125663   0.128386   0.131167   0.134009               46.41    31.47 
CITIGROUP GLBL MKTS HOLD 17330YSU5 11/09/22 11/07/24    100.000     0.000     6.0290     70.45   0.177664   0.183019                                     55.33          
CITIGROUP GLOBAL MARKETS 17291TEA2 12/15/23 12/15/43    100.000    VARIES     5.4300      2.40   0.148859   0.145362   0.141769   0.138079  0.134978     52.85    50.25 
CITIGROUP GLOBAL MARKETS 17331HCC8 04/03/23 04/03/28    100.000    VARIES     4.8316     35.84   0.134528   0.134996   0.135238   0.135321  0.138331     49.39    52.96 
CITIGROUP GLOBAL MARKETS 17330FTE1 05/26/22 05/27/27    100.000     0.000     4.3720     71.56   0.129600   0.132433   0.135328   0.138286  0.141309     47.36    49.45 
CITIGROUP GLOBAL MARKETS 17331C3Y1 12/30/22 06/17/27    105.330     0.031     5.3710     57.72   0.166344   0.170747   0.175270   0.179914  0.184684     60.68    64.05 
CITIGROUP GLOBAL MARKETS 17330FTM3 06/02/22 05/31/24    100.000     0.000     3.7150     59.93   0.109030                                                16.25          
CITIGROUP GLOBAL MARKETS 17330F2H3 05/04/22 05/04/26    100.000     3.000     4.2300     70.89   0.121360   0.120374   0.122949   0.123350  0.124600     43.72    44.18 
CITIGROUP GLOBAL MARKETS 17330PPJ2 07/13/22 07/11/24    100.000     0.000     4.3230     64.75   0.125301   0.128010                                     24.29          
CITIGROUP GLOBAL MARKETS 17291T3T3 10/31/23 11/02/43    100.000    VARIES     6.2785      5.71   0.172153   0.168489   0.164709   0.160811  0.156790     61.07    58.33 
CITIGROUP GLOBAL MARKETS 17331HSQ0 05/17/23 05/18/43    100.000    VARIES     5.1000     31.29   0.137283   0.133678   0.129981   0.127933  0.126406     48.46    46.25 
CITIGROUP GLOBAL MARKETS 17331CDB0 01/19/23 01/23/43    100.000    VARIES     5.4466     49.97   0.142329   0.138640   0.134851   0.134851  0.130959     50.74    48.02 
CITIGROUP GLOBAL MARKETS 17330FT43 06/03/22 06/05/24    100.000     0.000     3.7250     59.98   0.109385                                                16.85          
CITIGROUP GLOBAL MARKETS 17290ACE8 05/25/22 05/25/37    100.000    VARIES     3.9200     60.46   0.100278   0.098444   0.098722   0.099052  0.099359     35.69    35.63 
CITIGROUP GLOBAL MARKETS 17330FBT7 05/31/22 05/29/26    100.000     0.000     4.2350     68.77   0.125257   0.127909   0.130618   0.133383  0.136208     45.74    47.70 
CITIGROUP GLOBAL MARKETS 17330PPT0 07/13/22 07/13/27    100.000     0.000     4.6460     69.70   0.135121   0.138260   0.141472   0.144758  0.148121     50.28    52.64 
CITIGROUP GLOBAL MARKETS 17291QLF9 09/19/23 09/21/43    100.000    VARIES     5.5500     15.40   0.153309   0.149831   0.146256   0.142581  0.138803     53.86    51.25 
CITIGROUP GLOBAL MARKETS 17330REA9 08/12/22 08/14/24    100.000     0.000     4.2160     59.58   0.122129   0.124704                                     27.70          
CITIGROUP GLOBAL MARKETS 17330REB7 08/16/22 08/14/25    100.000     1.750     4.2800     59.66   0.122067   0.124657   0.125257   0.127928               44.84    28.54 
CITIGROUP GLOBAL MARKETS 17330PPA1 07/29/22 07/29/42    100.000    VARIES     4.8600     66.99   0.127023   0.123338   0.119562   0.115694  0.112433     43.93    41.24 
CITIGROUP GLOBAL MARKETS 17330FSE2 05/31/22 05/28/27    100.000     0.000     4.2940     69.75   0.127097   0.129826   0.132613   0.135460  0.138369     46.43    48.44 
CITIGROUP GLOBAL MARKETS 17330REJ0 08/10/22 08/08/24    100.000     0.000     4.1270     58.53   0.119392   0.121856                                     26.35          
CITIGROUP GLOBAL MARKETS 17330PPF0 07/12/22 07/12/27    100.000     0.000     4.5870     68.93   0.133328   0.136386   0.139514   0.142714  0.145987     49.59    51.89 
CITIGROUP GLOBAL MARKETS 17330FRM5 06/03/22 06/04/27    100.000     0.000     4.1570     67.10   0.122837   0.125390   0.127996   0.130657  0.133373     44.82    46.70 
CITIGROUP GLOBAL MARKETS 17331HRL2 07/01/23 05/31/27    100.000    VARIES     4.6900     27.28   0.128519   0.128652   0.129229   0.129501  0.129730     46.31    46.61 
CITIGROUP GLOBAL MARKETS 17330FRR4 05/24/22 05/27/25    100.000     0.000     4.1570     68.21   0.122866   0.125419   0.128026                          44.87    18.69 
CITIGROUP GLOBAL MARKETS 17330RDU6 09/21/22 09/22/42    100.000    VARIES     5.5100     67.91   0.142409   0.137707   0.136279   0.135301  0.134269     48.69    48.69 
CITIGROUP GLOBAL MARKETS 17330FRT0 07/06/22 01/03/25    100.000     0.000     4.5190     68.67   0.131216   0.134181   0.137213                          48.84     0.27 
CITIGROUP GLOBAL MARKETS 17330PP78 08/03/22 02/03/25    100.000     0.000     4.1180     59.24   0.119148   0.121601   0.124105                          44.07     3.97 
CITIGROUP GLOBAL MARKETS 17330FVF5 05/31/22 05/28/27    100.000     0.000     4.1960     68.12   0.124018   0.126620   0.129277   0.131989  0.134758     45.29    47.21 
CITIGROUP GLOBAL MARKETS 17330YLZ1 11/30/22 12/01/42    100.000    VARIES     5.4700     57.13   0.138215   0.132099   0.128457   0.128966  0.127790     48.38    46.57 
CITIGROUP GLOBAL MARKETS 17331HVG8 04/28/23 04/28/43    100.000    VARIES     4.9700     33.17   0.133672   0.130069   0.126376   0.123274  0.122165     47.02    44.63 
CITIGROUP GLOBAL MARKETS 17330YMA5 10/31/22 10/31/37    100.000    VARIES     6.1500     60.54   0.165527   0.163699   0.163056   0.166798  0.168755     59.26    59.38 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17331CXA0 03/16/23 03/16/43    100.000    VARIES     5.0900     39.75   0.137006   0.135214   0.129703   0.125910  0.122021     47.91    45.21 
CITIGROUP GLOBAL MARKETS 17330PBM0 06/23/22 06/23/25    100.000     0.000     4.6850     73.05   0.139500   0.142768   0.146112                          50.86    25.13 
CITIGROUP GLOBAL MARKETS 17330FV40 05/16/22 04/17/28    100.000     0.000     4.4600     74.41   0.131898   0.134839   0.137846   0.140920  0.144063     48.45    50.64 
CITIGROUP GLOBAL MARKETS 17330FE49 06/01/22 05/29/26    100.000     0.000     4.0980     66.37   0.120948   0.123426   0.125955   0.128536  0.131170     44.15    45.98 
CITIGROUP GLOBAL MARKETS 17331CWE3 03/15/23 03/15/28    100.000    VARIES     5.0500     39.80   0.138994   0.137937   0.136854   0.136191  0.136859     49.66    49.12 
CITIGROUP GLOBAL MARKETS 17330R6S9 08/24/22 08/14/25    100.000     1.000     4.2800     59.78   0.122961   0.125569   0.127084   0.129789               45.29    28.95 
CITIGROUP GLOBAL MARKETS 17330PRS0 08/01/22 07/30/26    100.000     3.000     4.4300     63.41   0.124906   0.127672   0.126811   0.128900  0.128783     45.75    46.45 
CITIGROUP GLOBAL MARKETS 17330FV73 05/26/22 11/29/24    100.000     0.000     4.0980     66.97   0.121016   0.123496                                     40.14          
CITIGROUP GLOBAL MARKETS 17331HE51 03/31/23 03/31/43    100.000    VARIES     5.2200     38.68   0.140623   0.137019   0.133322   0.129527  0.125632     49.32    46.63 
CITIGROUP GLOBAL MARKETS 17330FUZ2 05/17/22 05/15/25    100.000     0.000     4.1670     69.24   0.123109   0.125674   0.128292                          45.02    17.19 
CITIGROUP GLOBAL MARKETS 17290AA67 02/24/23 02/24/26    100.000    VARIES     4.4940     38.02   0.123641   0.122945   0.123228   0.123726  0.124328     44.09    44.59 
CITIGROUP GLOBAL MARKETS 17330PS91 07/06/22 07/06/27    100.000     0.000     4.8320     73.54   0.140786   0.144188   0.147671   0.151239  0.154893     52.50    55.07 
CITIGROUP GLOBAL MARKETS 17330PAY5 06/21/22 06/21/27    100.000     0.000     5.0850     79.75   0.152300   0.156172   0.160143   0.164215  0.168390     55.60    58.47 
CITIGROUP GLOBAL MARKETS 17291LMM4 03/19/24 03/21/44    100.000    VARIES     5.2400                        0.143856   0.140344   0.136741  0.133043     40.00    49.15 
CITIGROUP GLOBAL MARKETS 17330FUA7 05/18/22 05/18/32    100.000    VARIES     3.3800     52.75   0.086333   0.084667   0.085222   0.085691  0.086201     30.70    30.80 
CITIGROUP GLOBAL MARKETS 17291QL77 08/31/23 08/31/43    100.000    VARIES     5.4900     18.70   0.151641   0.148154   0.144571   0.140890  0.137107     53.10    50.47 
CITIGROUP GLOBAL MARKETS 17330PRA9 07/14/22 07/15/27    100.000     0.000     4.7140     70.61   0.137207   0.140441   0.143752   0.147140  0.150608     51.06    53.50 
CITIGROUP GLOBAL MARKETS 17330PRE1 07/29/22 07/30/27    100.000     0.000     4.4500     64.63   0.129189   0.132063   0.135001   0.138005  0.141076     47.90    50.06 
CITIGROUP GLOBAL MARKETS 17331CF77 02/16/23 02/17/43    100.000    VARIES     5.0600     43.40   0.135152   0.130707   0.126149   0.122464  0.121675     46.64    44.10 
CITIGROUP GLOBAL MARKETS 17330PAD1 06/09/22 06/11/25    100.000     0.000     4.0780     65.07   0.120376   0.122831   0.125335                          43.88    20.05 
CITIGROUP GLOBAL MARKETS 17330FUL3 07/06/22 07/06/27    100.000     0.000     4.8320     73.54   0.140786   0.144188   0.147671   0.151239  0.154893     52.50    55.07 
CITIGROUP GLOBAL MARKETS 17291QKT0 09/29/23 09/29/43    100.000    VARIES     5.7600     14.72   0.159062   0.155256   0.151339   0.147309  0.143162     55.87    53.01 
CITIGROUP GLOBAL MARKETS 17330RXQ3 10/19/22 10/19/37    100.000    VARIES     7.0000     76.76   0.161170   0.161853   0.162559   0.163291  0.164048     58.24    58.76 
CITIGROUP GLOBAL MARKETS 17330FU25 06/07/22 06/05/25    100.000     0.000     4.0690     65.17   0.120041   0.122483   0.124975                          43.78    19.25 
CITIGROUP GLOBAL MARKETS 17331UZW0 07/02/24 07/02/29    100.000     0.400     5.0700                                   0.140722   0.144006  0.147372     25.19    52.44 
CITIGROUP GLOBAL MARKETS 17330PQS1 08/03/22 02/03/25    100.000     0.000     4.1180     59.24   0.119148   0.121601   0.124105                          44.07     3.97 
CITIGROUP GLOBAL MARKETS 17330PQR3 07/29/22 07/31/29    100.000     0.000     4.6260     67.24   0.134530   0.137642   0.140826   0.144083  0.147416     49.94    52.28 
CITIGROUP GLOBAL MARKETS 17291RND0 07/31/23 07/29/27    100.000     2.750     5.1930     21.78   0.144251   0.147972   0.147872   0.152533  0.150839     53.15    54.50 
CITIGROUP GLOBAL MARKETS 17331HCV7 04/20/23 04/20/43    100.000    VARIES     5.0200     34.60   0.135061   0.131456   0.127760   0.123971  0.120087     47.46    44.77 
CITIGROUP GLOBAL MARKETS 17330FTZ4 06/30/22 07/02/26    100.000     0.000     4.6460     71.46   0.135156   0.138296   0.141508   0.144796  0.148159     50.36    52.73 
CITIGROUP GLOBAL MARKETS 17330PLR8 07/28/22 07/28/32    100.000    VARIES     3.2800     45.56   0.086823   0.085059   0.083778   0.083935  0.084047     30.46    30.23 
CITIGROUP GLOBAL MARKETS 17330PM63 08/03/22 08/01/24    100.000     0.000     4.0980     58.95   0.118520   0.120948                                     25.33          
CITIGROUP GLOBAL MARKETS 17330PM89 07/13/22 07/11/25    100.000     0.000     4.4500     66.70   0.129142   0.132015   0.134953   0.137955               48.00    26.18 
CITIGROUP GLOBAL MARKETS 17330PLV9 08/03/22 08/03/27    100.000     0.000     4.3040     61.97   0.124757   0.127441   0.130184   0.132985  0.135847     46.20    48.21 
CITIGROUP GLOBAL MARKETS 17291LS48 04/03/24 04/03/29    100.000     0.150     5.0200                        0.142456   0.140344   0.147661  0.150361     37.63    52.56 
CITIGROUP GLOBAL MARKETS 17291RCC4 06/30/23 06/30/43    100.000    VARIES     5.1800     25.73   0.138674   0.135069   0.131371   0.127577  0.123684     49.27    46.60 
CITIGROUP GLOBAL MARKETS 17330YWT3 12/16/22 12/16/42    100.000    VARIES     5.3756     54.08   0.136526   0.131049   0.126566   0.125416  0.124268     48.00    45.32 
CITIGROUP GLOBAL MARKETS 17330N641 08/03/22 05/07/26    100.000     0.000     4.2450     61.17   0.124338   0.126978   0.129673   0.132425  0.135236     45.52    47.48 
CITIGROUP GLOBAL MARKETS 17290A6V7 05/27/22 05/27/27    100.000    VARIES     3.5200     58.00   0.095115   0.095229   0.095419   0.095671  0.096034     34.26    37.08 
CITIGROUP GLOBAL MARKETS 17331CQUA 02/28/23 02/27/43    100.000    VARIES     5.3000     43.87   0.141224   0.136284   0.131213   0.126007  0.124276     48.71    45.38 
CITIGROUP GLOBAL MARKETS 17330PMC0 08/03/22 08/01/24    100.000     0.000     4.0980     58.95   0.118520   0.120948                                     25.33          
CITIGROUP GLOBAL MARKETS 17290AGD6 11/15/22 11/15/29    100.000    VARIES     5.5500     60.44   0.144361   0.144349   0.144727   0.145337  0.146095     51.67    52.41 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330PLK3 07/06/22 07/06/27    100.000    VARIES     3.1600     45.94   0.085431   0.085637   0.085795   0.085858  0.086089     30.80    30.78 
CITIGROUP GLOBAL MARKETS 17330PM22 06/22/22 06/20/25    100.000     0.000     4.7240     73.82   0.140706   0.144029   0.147431                          51.33    24.92 
CITIGROUP GLOBAL MARKETS 17330FNU1 05/25/22 05/26/26    100.000     0.000     4.3230     70.86   0.128055   0.130823   0.133650   0.136539  0.139490     46.79    48.84 
CITIGROUP GLOBAL MARKETS 17330FNX5 06/01/22 05/30/25    100.000     0.000     4.0100     64.91   0.118211   0.120581   0.122999                          43.13    18.33 
CITIGROUP GLOBAL MARKETS 17330PKX6 07/06/22 07/03/25    100.000     0.000     4.6360     70.49   0.134766   0.137890   0.141086   0.144357               50.20    26.27 
CITIGROUP GLOBAL MARKETS 17330YET3 11/17/22 11/17/42    100.000    VARIES     5.0700     61.14   0.140964   0.133071   0.126747   0.125679  0.124602     48.63    45.34 
CITIGROUP GLOBAL MARKETS 17291TJB5 12/07/23 12/07/28    100.000    VARIES     4.7700      3.09   0.134085   0.134401   0.134893   0.135157  0.135258     48.34    48.62 
CITIGROUP GLOBAL MARKETS 17330PLA5 08/03/22 08/01/25    100.000     0.000     4.1570     59.81   0.120295   0.122795   0.125348   0.127953               44.51    26.79 
CITIGROUP GLOBAL MARKETS 17330YDY3 11/22/22 11/22/27    100.000     2.500     5.3300     59.79   0.152322   0.156380   0.156823   0.159233  0.163361     55.89    57.40 
CITIGROUP GLOBAL MARKETS 17330YZ60 12/30/22 12/30/42    100.000    VARIES     5.4361     53.20   0.142041   0.138351   0.134561   0.129557  0.127409     50.46    47.73 
CITIGROUP GLOBAL MARKETS 17291RRC8 07/31/23 07/31/43    100.000    VARIES     5.1100     21.18   0.141032   0.137338   0.133548   0.129661  0.125841     48.99    46.20 
CITIGROUP GLOBAL MARKETS 17330RTM7 10/20/22 10/22/26    100.000     3.800     5.9600     72.35   0.169308   0.174411   0.173317   0.178483  0.177511     62.31    63.61 
CITIGROUP GLOBAL MARKETS 17330PNH8 07/12/22 07/10/25    100.000     0.000     4.3820     65.78   0.127084   0.129869   0.132714   0.135622               47.21    25.61 
CITIGROUP GLOBAL MARKETS 17330PNL9 07/06/22 07/06/27    100.000     0.000     4.8320     73.54   0.140786   0.144188   0.147671   0.151239  0.154893     52.50    55.07 
CITIGROUP GLOBAL MARKETS 17331HR24 05/11/23 05/11/35    100.000    VARIES     4.9400     31.30   0.133706   0.130816   0.127853   0.125454  0.124923     47.32    45.42 
CITIGROUP GLOBAL MARKETS 17330PNN5 08/02/22 02/02/26    100.000     0.000     4.3130     62.22   0.125028   0.127725   0.130479   0.133293  0.136167     46.31    48.33 
CITIGROUP GLOBAL MARKETS 17330FQR5 06/30/22 06/30/28    100.000     0.000     4.8410     74.53   0.144475   0.147972   0.151554   0.155222  0.158979     52.65    55.23 
CITIGROUP GLOBAL MARKETS 17330FQY0 05/25/22 05/25/27    100.000     0.000     4.4210     72.51   0.131131   0.134029   0.136992   0.140020  0.143115     47.94    50.08 
CITIGROUP GLOBAL MARKETS 17330RCC7 08/31/22 08/29/42    100.000    VARIES     4.9600     63.67   0.126638   0.126352   0.125876   0.124304  0.123117     45.46    44.87 
CITIGROUP GLOBAL MARKETS 17330FQD6 05/20/22 05/22/25    100.000     0.000     4.1470     68.53   0.122538   0.125079   0.127672                          44.77    18.00 
CITIGROUP GLOBAL MARKETS 17330YXY1 12/23/22 12/24/26    100.000     3.500     5.1630     53.18   0.145961   0.149687   0.148573   0.154061  0.149644     53.38    54.19 
CITIGROUP GLOBAL MARKETS 17330PNE5 07/21/22 07/23/25    100.000     0.000     4.5680     67.45   0.132785   0.135818   0.138920   0.142093               49.32    28.63 
CITIGROUP GLOBAL MARKETS 17330PMF3 06/24/22 06/24/27    100.000    VARIES     3.2400     47.65   0.087333   0.087667   0.087778   0.088041  0.088352     31.50    31.39 
CITIGROUP GLOBAL MARKETS 17291TGU6 11/17/23 11/17/43    100.000    VARIES     5.6800      6.94   0.156926   0.153469   0.149914   0.146257  0.142495     55.56    52.99 
CITIGROUP GLOBAL MARKETS 17291TH92 11/22/23 11/22/28    100.000     7.750     5.3950      5.69   0.149272   0.148872   0.149594   0.150289  0.150734     49.17    54.03 
CITIGROUP GLOBAL MARKETS 17330FPQ8 05/26/22 05/26/37    100.000    VARIES     4.7900     74.01   0.123167   0.120778   0.120278   0.119813  0.119813     43.79    43.19 
CITIGROUP GLOBAL MARKETS 17330FPS4 05/18/22 05/18/27    100.000     0.000     4.2550     70.61   0.125900   0.128578   0.131314   0.134108  0.136961     46.04    48.02 
CITIGROUP GLOBAL MARKETS 17330FPU9 06/01/22 12/02/24    100.000     0.000     3.8820     62.79   0.114247   0.116465                                     38.21          
CITIGROUP GLOBAL MARKETS 17330PHM4 08/03/22 08/03/27    100.000     0.000     4.3040     61.97   0.124757   0.127441   0.130184   0.132985  0.135847     46.20    48.21 
CITIGROUP GLOBAL MARKETS 17330PHN2 07/21/22 07/23/25    100.000     0.000     4.5680     67.45   0.132785   0.135818   0.138920   0.142093               49.32    28.63 
CITIGROUP GLOBAL MARKETS 17330PHP7 07/21/22 07/23/25    100.000     0.000     4.5680     67.45   0.132785   0.135818   0.138920   0.142093               49.32    28.63 
CITIGROUP GLOBAL MARKETS 17330PHS1 07/15/22 07/15/27    100.000     0.000     4.6660     69.74   0.135729   0.138896   0.142136   0.145452  0.148846     50.50    52.88 
CITIGROUP GLOBAL MARKETS 17330FKY6 05/31/22 12/01/25    100.000     0.000     4.1270     66.97   0.121897   0.124412   0.126979   0.129600               44.49    42.37 
CITIGROUP GLOBAL MARKETS 17291QDF8 10/19/23 10/16/43    100.000    VARIES     6.0552     12.02   0.166112   0.162731   0.159248   0.155659  0.151962     58.70    56.16 
CITIGROUP GLOBAL MARKETS 17330PHX0 07/29/22 07/31/28    100.000     0.000     4.5870     66.66   0.133345   0.136404   0.139532   0.142732  0.146006     49.49    51.79 
CITIGROUP GLOBAL MARKETS 17330N138 06/15/22 06/15/26    100.000     0.000     4.4020     69.58   0.130531   0.133404   0.136340   0.139341  0.142408     47.60    49.72 
CITIGROUP GLOBAL MARKETS 17330N153 06/15/22 06/13/25    100.000     0.000     4.2450     67.05   0.125557   0.128221   0.130943                          45.78    21.21 
CITIGROUP GLOBAL MARKETS 17291L4N2 01/23/24 02/21/25    100.000     5.140     5.0600                        0.140611   0.144167   0.147857               47.94     7.46 
CITIGROUP GLOBAL MARKETS 17330YRX0 11/18/22 11/18/42    100.000    VARIES     5.7800     63.20   0.152046   0.150237   0.145134   0.143235  0.141309     53.76    51.74 
CITIGROUP GLOBAL MARKETS 17330FKF7 06/14/22 07/10/25    100.000     0.000     4.3430     68.78   0.126330   0.129073   0.131876   0.134740               46.92    25.44 
CITIGROUP GLOBAL MARKETS 17330PHG7 08/10/22 02/10/28    100.000     0.000     4.3720     62.08   0.126812   0.129584   0.132417   0.135311  0.138269     46.94    49.02 
CITIGROUP GLOBAL MARKETS 17291RX49 08/16/23 08/17/43    100.000    VARIES     5.4200     20.09   0.149637   0.145913   0.142088   0.138159  0.134123     52.19    49.38 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330PHH5 08/03/22 08/03/26    100.000     0.000     4.2160     60.68   0.122101   0.124674   0.127303   0.129986  0.132726     45.19    47.11 
CITIGROUP GLOBAL MARKETS 17331UPP6 06/03/24 06/01/29    100.000     0.800     5.2300                        0.147756   0.148083   0.155033  0.153650     26.60    54.56 
CITIGROUP GLOBAL MARKETS 17330PXK0 08/08/22 08/06/27    100.000     0.000     4.4210     63.05   0.128264   0.131099   0.133997   0.136959  0.139987     47.52    49.64 
CITIGROUP GLOBAL MARKETS 17330P6K0 06/07/22 06/07/29    100.000     1.000     4.4900     71.55   0.131306   0.134483   0.135239   0.140083  0.140117     48.08    49.67 
CITIGROUP GLOBAL MARKETS 17330FJR3 05/31/22 05/31/29    100.000     0.000     4.4210     71.86   0.131131   0.134029   0.136992   0.140020  0.143115     47.91    50.05 
CITIGROUP GLOBAL MARKETS 17330RMX0 10/19/22 10/20/42    100.000    VARIES     6.4600     73.74   0.160786   0.152495   0.145780   0.144443  0.143063     55.20    52.05 
CITIGROUP GLOBAL MARKETS 17291LFW0 03/04/24 03/05/29    100.000     0.200     5.1500                        0.143961   0.148361   0.148739  0.157528     43.08    54.34 
CITIGROUP GLOBAL MARKETS 17330PGP8 06/29/22 06/29/27    100.000     0.000     4.7630     73.44   0.141985   0.145366   0.148828   0.152373  0.156001     51.74    54.23 
CITIGROUP GLOBAL MARKETS 17330PXW4 08/09/22 08/09/27    100.000     0.000     4.4410     63.21   0.128900   0.131763   0.134688   0.137679  0.140736     47.74    49.88 
CITIGROUP GLOBAL MARKETS 17330PGX1 07/14/22 07/15/27    100.000     2.000     4.7100     70.18   0.134624   0.137762   0.137639   0.142439  0.141600     49.66    51.07 
CITIGROUP GLOBAL MARKETS 17330PG94 06/22/22 07/22/27    100.000     0.000     5.0170     78.57   0.147053   0.150742   0.154523   0.158399  0.162373     54.79    57.57 
CITIGROUP GLOBAL MARKETS 17330PG86 06/24/22 06/26/24    100.000     0.000     4.4500     69.17   0.132080                                                23.11          
CITIGROUP GLOBAL MARKETS 17291RYD8 08/31/23 09/02/27    100.000     3.000     5.4460     18.30   0.151280   0.155442   0.155162   0.160250  0.158306     55.83    57.10 
CITIGROUP GLOBAL MARKETS 17291LX34 03/14/24 03/15/27    100.000     1.000     4.1000                        0.125861   0.127172   0.129206  0.131283     34.05    46.52 
CITIGROUP GLOBAL MARKETS 17330P5W5 06/16/22 06/16/37    100.000    VARIES     5.3500     80.10   0.139414   0.139038   0.138402   0.137755  0.137113     50.11    49.69 
CITIGROUP GLOBAL MARKETS 17291LFL4 01/31/24 02/03/27    100.000     1.000     4.9200                        0.138783   0.139211   0.141950  0.144767     45.42    51.42 
CITIGROUP GLOBAL MARKETS 17330PXA2 08/11/22 08/13/25    100.000     0.000     4.4020     62.39   0.127751   0.130563   0.133436   0.136373               47.28    30.15 
CITIGROUP GLOBAL MARKETS 17330YQZ6 12/19/22 12/19/25    100.000    VARIES     5.2845     53.51   0.142673   0.145248   0.146059   0.146067               51.83    50.98 
CITIGROUP GLOBAL MARKETS 17330FJG7 05/31/22 05/30/25    100.000     0.000     4.0780     66.16   0.120349   0.122803   0.125307                          43.92    18.67 
CITIGROUP GLOBAL MARKETS 17330P6C8 06/13/22 06/11/27    100.000     0.000     4.4110     69.99   0.130784   0.133668   0.136616   0.139629  0.142709     47.72    49.85 
CITIGROUP GLOBAL MARKETS 17291RXV9 07/28/23 07/28/27    100.000    VARIES     5.3800      9.27   0.150449   0.154293   0.156156   0.155211  0.152419     55.45    55.50 
CITIGROUP GLOBAL MARKETS 17330P6F1 06/08/22 06/08/27    100.000     0.000     4.3330     69.37   0.128355   0.131135   0.133977   0.136879  0.139845     46.84    48.89 
CITIGROUP GLOBAL MARKETS 17330FJJ1 06/01/22 06/01/27    100.000     0.000     4.1960     67.99   0.124047   0.126649   0.129306   0.132019  0.134789     45.28    47.20 
CITIGROUP GLOBAL MARKETS 17291REJ7 06/30/23 07/01/27    100.000     2.750     5.0370     25.19   0.143440   0.143244   0.146856   0.146856  0.146706     26.11    52.22 
CITIGROUP GLOBAL MARKETS 17330FN64 06/01/22 05/30/25    100.000     0.000     4.0100     64.91   0.118211   0.120581   0.122999                          43.13    18.33 
CITIGROUP GLOBAL MARKETS 17330PJP5 08/02/22 08/02/27    100.000    VARIES     3.3100     45.69   0.089719   0.090014   0.090199   0.090327  0.090504     32.41    32.54 
CITIGROUP GLOBAL MARKETS 17291R4C3 06/16/23 06/16/43    100.000    VARIES     5.2300     28.10   0.140442   0.136462   0.132377   0.128184  0.124747     49.72    46.77 
CITIGROUP GLOBAL MARKETS 17330PJX8 08/03/22 08/03/27    100.000     0.000     4.3040     61.97   0.124757   0.127441   0.130184   0.132985  0.135847     46.20    48.21 
CITIGROUP GLOBAL MARKETS 17330YUV0 01/13/23 01/13/28    102.500     0.063     5.3230     53.56   0.160428   0.164539   0.168761   0.168761  0.173094     58.49    61.42 
CITIGROUP GLOBAL MARKETS 17330YV98 12/16/22 12/16/42    100.000    VARIES     5.3756     54.58   0.140370   0.136677   0.133561   0.132409  0.131277     49.76    47.84 
CITIGROUP GLOBAL MARKETS 17330FMB4 05/18/22 06/16/28    100.000     0.000     4.5780     76.11   0.136585   0.139712   0.142910   0.146181  0.149527     49.83    52.14 
CITIGROUP GLOBAL MARKETS 17330PJA8 08/03/22 08/01/25    100.000     0.000     4.1570     59.81   0.120295   0.122795   0.125348   0.127953               44.51    26.79 
CITIGROUP GLOBAL MARKETS 17330YTZ3 11/30/22 12/01/42    100.000    VARIES     5.4700     57.89   0.143450   0.139764   0.135978   0.132088  0.128091     50.76    48.02 
CITIGROUP GLOBAL MARKETS 17330FMD0 06/03/22 06/05/24    100.000     0.000     3.7250     59.98   0.109385                                                16.85          
CITIGROUP GLOBAL MARKETS 17330Y2Z2 10/31/22 10/31/42    100.000    VARIES     6.3100     70.97   0.160923   0.154587   0.148049   0.141305  0.135842     56.03    51.27 
CITIGROUP GLOBAL MARKETS 17330PJC4 06/27/22 06/25/27    100.000     0.000     4.9590     76.84   0.148213   0.151888   0.155654   0.159513  0.163468     54.06    56.78 
CITIGROUP GLOBAL MARKETS 17330FLQ2 05/19/22 05/20/27    100.000     0.000     4.3620     72.29   0.129284   0.132104   0.134985   0.137929  0.140937     47.28    49.37 
CITIGROUP GLOBAL MARKETS 17330FLR0 06/03/22 06/04/27    100.000     0.000     4.1570     67.10   0.122837   0.125390   0.127996   0.130657  0.133373     44.82    46.70 
CITIGROUP GLOBAL MARKETS 17330FM57 05/18/22 05/18/27    100.000     0.000     4.2550     70.61   0.125900   0.128578   0.131314   0.134108  0.136961     46.04    48.02 
CITIGROUP GLOBAL MARKETS 17330YCM0 11/17/22 11/17/42    100.000    VARIES     5.0700     62.29   0.148254   0.143750   0.139118   0.134352  0.129451     52.16    48.80 
CITIGROUP GLOBAL MARKETS 17330FM73 05/25/22 05/24/29    100.000     0.000     4.5780     75.16   0.136084   0.139199   0.142385   0.145644  0.148978     49.78    52.09 
CITIGROUP GLOBAL MARKETS 17330PJ34 07/29/22 07/29/27    100.000     0.000     4.5480     66.08   0.132144   0.135149   0.138223   0.141366  0.144580     49.04    51.29 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17331HLT1 04/13/23 04/15/27    100.000     3.300     4.6260     33.25   0.131506   0.130306   0.133322   0.132161  0.135222     47.40    47.93 
CITIGROUP GLOBAL MARKETS 17330N310 08/03/22 08/03/29    100.000     0.000     4.3820     63.11   0.127115   0.129900   0.132746   0.135654  0.138626     47.10    49.18 
CITIGROUP GLOBAL MARKETS 17330YTV2 11/17/22 11/17/42    100.000    VARIES     5.7100     59.71   0.134724   0.134239   0.133530   0.132164  0.130772     48.37    47.70 
CITIGROUP GLOBAL MARKETS 17330PZB8 08/05/22 08/07/24    100.000     0.000     4.0780     58.42   0.117971   0.120376                                     25.91          
CITIGROUP GLOBAL MARKETS 17330PZD4 08/05/22 08/07/25    100.000     0.000     4.1370     59.28   0.119747   0.122224   0.124753   0.127333               44.28    27.41 
CITIGROUP GLOBAL MARKETS 17291TLA4 12/27/23 12/27/28    100.000     0.800     4.8800      0.14   0.141056   0.144667   0.148333   0.152111  0.155944     51.44    54.09 
CITIGROUP GLOBAL MARKETS 17331CMW4 02/27/23 02/27/30    100.000    VARIES     5.4650     49.38   0.150333   0.149119   0.147873   0.147023  0.147457     53.68    53.01 
CITIGROUP GLOBAL MARKETS 17330PZK8 08/03/22 08/03/27    100.000     0.000     4.3040     61.97   0.124757   0.127441   0.130184   0.132985  0.135847     46.20    48.21 
CITIGROUP GLOBAL MARKETS 17330F6D8 05/31/22 05/31/28    100.000     0.000     4.3620     70.87   0.129269   0.132088   0.134969   0.137913  0.140921     47.22    49.30 
CITIGROUP GLOBAL MARKETS 17330P3F4 06/28/22 06/27/24    100.000     0.000     4.4210     68.19   0.131115                                                23.08          
CITIGROUP GLOBAL MARKETS 17330FXN6 05/31/22 11/29/24    100.000     0.000     3.9710     64.38   0.116995   0.119317                                     38.79          
CITIGROUP GLOBAL MARKETS 17330P3G2 06/23/22 06/23/25    100.000     0.000     4.6850     73.05   0.139500   0.142768   0.146112                          50.86    25.13 
CITIGROUP GLOBAL MARKETS 17330P3N7 06/10/22 06/10/27    100.000     0.000     4.4700     71.35   0.132680   0.135645   0.138677   0.141776  0.144945     48.42    50.61 
CITIGROUP GLOBAL MARKETS 17330PDQ9 07/29/22 01/31/24    100.000     0.000     4.1470     60.14   0.120035                                                 3.48          
CITIGROUP GLOBAL MARKETS 17291TQS0 02/02/24 02/02/29    100.000     0.800     4.9200                        0.139678   0.139517   0.142400  0.145356     45.23    51.59 
CITIGROUP GLOBAL MARKETS 17330RJV8 09/30/22 09/30/42    100.000    VARIES     5.8700     69.81   0.145201   0.137209   0.130973   0.130583  0.130155     49.37    47.01 
CITIGROUP GLOBAL MARKETS 17330FXV8 06/01/22 05/30/25    100.000     0.000     4.0100     64.91   0.118211   0.120581   0.122999                          43.13    18.33 
CITIGROUP GLOBAL MARKETS 17330PTU3 06/23/22 06/23/27    100.000     0.000     4.9100     76.65   0.146683   0.150284   0.153973   0.157753  0.161626     53.51    56.17 
CITIGROUP GLOBAL MARKETS 17330PCT4 08/03/22 08/03/27    100.000     0.000     4.3040     61.97   0.124757   0.127441   0.130184   0.132985  0.135847     46.20    48.21 
CITIGROUP GLOBAL MARKETS 17330F5U1 06/17/22 06/17/27    100.000     0.125     5.0200     79.18   0.149838   0.153494   0.157261   0.153494  0.157261     54.86    57.42 
CITIGROUP GLOBAL MARKETS 17330PTT6 07/29/22 07/29/27    100.000     0.000     4.5480     66.08   0.132144   0.135149   0.138223   0.141366  0.144580     49.04    51.29 
CITIGROUP GLOBAL MARKETS 17330F5Z0 06/01/22 06/01/27    100.000     0.000     4.1960     67.99   0.124047   0.126649   0.129306   0.132019  0.134789     45.28    47.20 
CITIGROUP GLOBAL MARKETS 17330FXB2 06/30/22 07/01/27    100.000     0.000     4.7830     73.61   0.142642   0.142642   0.149546   0.149546  0.156784     51.96    54.48 
CITIGROUP GLOBAL MARKETS 17330YNW6 11/28/22 11/29/27    100.000    VARIES     5.4200     58.32   0.148567   0.149199   0.145929   0.148502  0.148816     53.51    53.27 
CITIGROUP GLOBAL MARKETS 17291QY81 10/31/23 10/29/27    100.000     3.250     5.9220      9.87   0.164500   0.169371   0.169040   0.174045  0.173852     60.37    62.04 
CITIGROUP GLOBAL MARKETS 17330PDA4 06/30/22 06/30/27    100.000     0.000     4.8610     74.85   0.145115   0.148642   0.152254   0.155955  0.159745     52.88    55.49 
CITIGROUP GLOBAL MARKETS 17330FXE6 05/23/22 05/21/27    100.000     0.000     4.4700     73.61   0.132647   0.135612   0.138643   0.141742  0.144909     48.53    50.72 
CITIGROUP GLOBAL MARKETS 17331C6Q5 01/09/23 01/07/27    100.000     3.500     5.3390     52.88   0.151140   0.155126   0.154124   0.152411  0.159072     55.11    56.20 
CITIGROUP GLOBAL MARKETS 17330PCB3 06/30/22 06/30/27    100.000     0.000     4.8610     74.85   0.145115   0.148642   0.152254   0.155955  0.159745     52.88    55.49 
CITIGROUP GLOBAL MARKETS 17330PCE7 07/20/22 07/20/27    100.000    VARIES     3.1700     44.90   0.085647   0.085803   0.086008   0.086196  0.086427     30.91    30.98 
CITIGROUP GLOBAL MARKETS 17290AA34 12/07/22 12/07/29    100.000    VARIES     5.0000     52.35   0.134235   0.132451   0.131211   0.131793  0.132479     48.00    47.76 
CITIGROUP GLOBAL MARKETS 17330FFH9 05/31/22 05/31/28    100.000     0.000     4.3620     70.87   0.129269   0.132088   0.134969   0.137913  0.140921     47.22    49.30 
CITIGROUP GLOBAL MARKETS 17331H5G7 03/22/23 03/22/28    100.000     0.250     5.2940     43.50   0.159339   0.163400   0.167569   0.171848  0.176243     59.07    61.94 
CITIGROUP GLOBAL MARKETS 17330F5H0 05/31/22 05/28/27    100.000     0.000     4.2940     69.75   0.127097   0.129826   0.132613   0.135460  0.138369     46.43    48.44 
CITIGROUP GLOBAL MARKETS 17330FWM9 05/27/22 05/27/37    100.000    VARIES     2.8400     42.98   0.069389   0.067222   0.067167   0.067006  0.066795     24.14    24.14 
CITIGROUP GLOBAL MARKETS 17291TB80 11/30/23 11/30/43    100.000    VARIES     5.5600      5.10   0.153587   0.150111   0.146537   0.142863  0.139696     54.43    51.85 
CITIGROUP GLOBAL MARKETS 17330FX48 05/25/22 05/23/24    100.000     0.000     4.0290     65.94   0.118791                                                16.87          
CITIGROUP GLOBAL MARKETS 17330PCN7 06/23/22 06/21/24    100.000     0.000     4.4500     69.31   0.132015                                                22.44          
CITIGROUP GLOBAL MARKETS 17291LK95 02/29/24 02/29/44    100.000    VARIES     5.3400                        0.146357   0.142852   0.139253  0.135557     43.97    49.88 
CITIGROUP GLOBAL MARKETS 17330PSP5 07/06/22 07/03/25    100.000     0.000     4.6360     70.49   0.134766   0.137890   0.141086   0.144357               50.20    26.27 
CITIGROUP GLOBAL MARKETS 17330PC31 06/24/22 06/25/26    100.000     0.000     4.7630     74.15   0.142003   0.145385   0.148848   0.152392  0.156022     51.77    54.27 
CITIGROUP GLOBAL MARKETS 17330FW72 05/19/22 05/20/27    100.000     0.000     4.3620     72.29   0.129284   0.132104   0.134985   0.137929  0.140937     47.28    49.37 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330PSU4 07/21/22 07/21/42    100.000    VARIES     5.1800     70.29   0.128742   0.127882   0.126876   0.124049  0.122654     45.90    44.97 
CITIGROUP GLOBAL MARKETS 17330PT66 06/27/22 06/26/25    100.000     0.000     4.7340     73.27   0.141042   0.144381   0.147798                          51.41    25.86 
CITIGROUP GLOBAL MARKETS 17330PC49 07/01/22 07/01/27    100.000     0.000     4.8610     74.70   0.145115   0.145115   0.152254   0.152254  0.159745     52.88    55.48 
CITIGROUP GLOBAL MARKETS 17330PC56 06/23/22 06/23/26    100.000     0.000     4.7930     74.78   0.142942   0.146368   0.149875   0.153467  0.157145     52.13    54.66 
CITIGROUP GLOBAL MARKETS 17330FVX6 05/17/22 05/17/32    100.000    VARIES     2.7400     42.77   0.071722   0.071944   0.072167   0.072429  0.072660     25.89    26.05 
CITIGROUP GLOBAL MARKETS 17330PSV2 08/03/22 08/03/27    100.000     0.000     4.3040     61.97   0.124757   0.127441   0.130184   0.132985  0.135847     46.20    48.21 
CITIGROUP GLOBAL MARKETS 17330PBX6 06/17/22 06/17/42    100.000    VARIES     5.2600     75.98   0.125722   0.125444   0.124500   0.123576  0.122602     45.19    44.63 
CITIGROUP GLOBAL MARKETS 17330PC98 06/03/22 06/05/25    100.000     0.000     3.9610     63.87   0.116721   0.119033   0.121390                          42.56    18.69 
CITIGROUP GLOBAL MARKETS 17330PC80 06/15/22 06/13/25    100.000     0.000     4.2450     67.05   0.125557   0.128221   0.130943                          45.78    21.21 
CITIGROUP GLOBAL MARKETS 17331CGM3 01/25/23 01/25/27    100.000     3.300     4.7830     45.14   0.134906   0.138134   0.137033   0.137794  0.138772     49.10    49.87 
CITIGROUP GLOBAL MARKETS 17330FWA5 05/24/22 05/22/25    100.000     0.000     4.3040     70.68   0.127412   0.130153   0.132954                          46.58    18.75 
CITIGROUP GLOBAL MARKETS 17330P5H8 06/09/22 06/10/27    100.000     0.000     4.3530     69.56   0.129000   0.131808   0.134677   0.137608  0.140603     47.06    49.14 
CITIGROUP GLOBAL MARKETS 17330FZQ7 06/03/22 12/04/28    100.000     0.000     4.3040     69.53   0.127456   0.130199   0.133001   0.135863  0.138787     46.53    48.55 
CITIGROUP GLOBAL MARKETS 17331CKC0 01/19/23 01/23/43    100.000    VARIES     5.4466     49.97   0.142329   0.138640   0.135462   0.135462  0.134044     50.74    48.60 
CITIGROUP GLOBAL MARKETS 17330PWS4 08/08/22 08/08/24    100.000     0.000     4.2160     60.06   0.122101   0.124674                                     26.96          
CITIGROUP GLOBAL MARKETS 17330PX61 08/05/22 08/07/28    100.000     0.000     4.2940     61.58   0.124484   0.127157   0.129887   0.132676  0.135524     46.07    48.07 
CITIGROUP GLOBAL MARKETS 17291QWE0 10/20/23 10/20/38    100.000    VARIES     4.4137      8.54   0.121934   0.114770   0.105043   0.103998  0.105185     39.95    37.60 
CITIGROUP GLOBAL MARKETS 17330PWT2 07/29/22 07/29/27    100.000     0.000     4.5480     66.08   0.132144   0.135149   0.138223   0.141366  0.144580     49.04    51.29 
CITIGROUP GLOBAL MARKETS 17291QWG5 10/18/23 01/17/25    100.000     6.000     5.8747     11.75   0.163187   0.167980   0.170993                          60.17     2.91 
CITIGROUP GLOBAL MARKETS 17330PWV7 08/18/22 08/18/42    100.000    VARIES     4.8100     63.63   0.125089   0.121411   0.118311   0.117158  0.115966     43.44    42.07 
CITIGROUP GLOBAL MARKETS 17330FZZ7 07/06/22 07/06/27    100.000     0.000     4.8320     73.54   0.140786   0.144188   0.147671   0.151239  0.154893     52.50    55.07 
CITIGROUP GLOBAL MARKETS 17330FZF1 06/03/22 06/05/25    100.000     0.000     3.9610     63.87   0.116721   0.119033   0.121390                          42.56    18.69 
CITIGROUP GLOBAL MARKETS 17330RLF0 09/20/22 09/20/32    100.000    VARIES     4.9200     20.26   0.042550   0.041308   0.040204   0.039547  0.038902     14.87    13.77 
CITIGROUP GLOBAL MARKETS 17330FZE4 05/18/22 05/18/27    100.000     0.000     4.2550     70.61   0.125900   0.128578   0.131314   0.134108  0.136961     46.04    48.02 
CITIGROUP GLOBAL MARKETS 17330P5C9 06/10/22 06/12/24    100.000     0.000     3.9020     62.09   0.114882                                                18.50          
CITIGROUP GLOBAL MARKETS 17330PVG1 07/21/22 07/22/27    100.000     0.000     4.6950     69.36   0.136629   0.139836   0.143119   0.146479  0.149917     50.80    53.21 
CITIGROUP GLOBAL MARKETS 17330P4C0 06/17/22 06/12/24    100.000     0.000     4.0000     62.87   0.117848                                                18.97          
CITIGROUP GLOBAL MARKETS 17330FYN5 05/17/22 05/17/29    100.000     0.000     4.6170     76.91   0.137339   0.140509   0.143753   0.147071  0.150466     50.29    52.64 
CITIGROUP GLOBAL MARKETS 17291TQ84 01/31/24 01/29/44    100.000    VARIES     5.2000                        0.142744   0.139231   0.135626  0.132533     46.88    48.44 
CITIGROUP GLOBAL MARKETS 17330P4G1 06/21/22 10/18/24    100.000     0.000     9.9190    160.04   0.313320   0.328859                                     92.72          
CITIGROUP GLOBAL MARKETS 17330PVM8 06/23/22 06/23/27    100.000     0.000     4.9100     76.65   0.146683   0.150284   0.153973   0.157753  0.161626     53.51    56.17 
CITIGROUP GLOBAL MARKETS 17291RJL7 07/19/23 07/20/43    100.000    VARIES     5.2000     23.03   0.142828   0.136281   0.131156   0.130726  0.130122     48.33    46.98 
CITIGROUP GLOBAL MARKETS 17330FYQ8 05/25/22 05/23/25    100.000     0.000     4.2450     69.56   0.125557   0.128221   0.130943                          45.88    18.59 
CITIGROUP GLOBAL MARKETS 17331CJD0 01/31/23 01/30/43    100.000    VARIES     5.0900     45.67   0.133401   0.129703   0.126561   0.126561  0.125308     47.58    45.45 
CITIGROUP GLOBAL MARKETS 17330FZ87 06/01/22 06/01/27    100.000     0.000     4.1960     67.99   0.124047   0.126649   0.129306   0.132019  0.134789     45.28    47.20 
CITIGROUP GLOBAL MARKETS 17330PW62 08/10/22 08/10/27    100.000     0.000     4.3430     61.66   0.125935   0.128670   0.131464   0.134319  0.137235     46.61    48.65 
CITIGROUP GLOBAL MARKETS 17330P4Q9 06/21/22 06/21/27    100.000     0.000     5.0850     79.75   0.152300   0.156172   0.160143   0.164215  0.168390     55.60    58.47 
CITIGROUP GLOBAL MARKETS 17330PDS5 06/30/22 01/02/26    100.000     0.000     4.6170     71.01   0.134274   0.137374   0.140545   0.143790  0.147109     50.02    52.36 
CITIGROUP GLOBAL MARKETS 17330PDT3 07/21/22 07/21/37    100.000    VARIES     5.1700     72.23   0.135153   0.132181   0.131343   0.130534  0.129743     47.50    46.88 
CITIGROUP GLOBAL MARKETS 17330PE39 06/30/22 06/30/42    100.000    VARIES     5.1900     74.53   0.127493   0.123192   0.122013   0.120838  0.119738     45.12    43.71 
CITIGROUP GLOBAL MARKETS 17330FY96 06/01/22 05/29/26    100.000     0.000     4.0980     66.37   0.120948   0.123426   0.125955   0.128536  0.131170     44.15    45.98 
CITIGROUP GLOBAL MARKETS 17330P3W7 06/16/22 06/16/37    100.000    VARIES     2.9400     42.15   0.072283   0.072549   0.072819   0.073371  0.073653     26.17    26.37 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17291RJC7 07/19/23 07/20/43    100.000    VARIES     5.2000     23.13   0.140066   0.136462   0.132764   0.132764  0.128969     49.91    47.26 
CITIGROUP GLOBAL MARKETS 17291LHJ7 02/09/24 02/10/25    100.000     5.080     5.0200                        0.139333   0.142833   0.150000               45.22     5.72 
CITIGROUP GLOBAL MARKETS 17330P3Z0 06/10/22 06/12/24    100.000     0.000     3.9020     62.09   0.114882                                                18.50          
CITIGROUP GLOBAL MARKETS 17291TPE2 01/22/24 01/22/29    100.000     8.000     5.1300                        0.140262   0.138877   0.138206  0.137945     47.20    49.72 
CITIGROUP GLOBAL MARKETS 17291QG65 09/29/23 09/03/27    100.000     3.100     5.6110     14.34   0.155861   0.160236   0.159950   0.164433  0.164217     57.27    58.77 
CITIGROUP GLOBAL MKT HLD 17331CUN5 04/05/23 04/05/28    100.000     0.000     4.8410     36.05   0.137727   0.141061   0.144475   0.147972  0.151554     50.76    53.25 
CITIGROUP GLOBAL MKT HLD 17331CDP9 02/28/23 02/28/28    100.000     0.000     5.2510     44.67   0.149691   0.153621   0.157654   0.161793  0.166041     55.58    58.53 
CITIGROUP GLOBAL MKT HLD 17291TEC8 11/30/23 09/01/26    100.000     0.000     5.3290      4.59   0.148028   0.150022   0.154019   0.158123  0.162336     54.37    57.18 
CITIGROUP GLOBAL MKT HLD 17291T3K2 10/31/23 01/31/25    100.000     0.000     5.8616      9.93   0.162822   0.165208   0.170050                          60.14     4.93 
CITIGROUP GLOBAL MKT HLD 17291T3H9 10/25/23 01/24/25    100.000     0.000     5.9900     10.98   0.166389   0.168853   0.173910                          61.52     4.00 
CITIGROUP GLOBAL MKT HLD 17291T5D6 11/30/23 05/30/25    100.000     0.000     5.5330      4.76   0.153694   0.157946   0.162316                          56.36    24.19 
CITIGROUP GLOBAL MKT HLD 17291QMW1 10/30/23 10/29/26    100.000     0.000     5.7180      9.69   0.158833   0.163349   0.168019   0.172823  0.177764     58.56    61.96 
CITIGROUP GLOBAL MKT HLD 17291T4W5 11/30/23 12/03/25    100.000     0.000     5.4070      4.66   0.150262   0.154324   0.158497   0.162782               55.06    53.39 
CITIGROUP GLOBAL MKT HLD 17291TER5 11/30/23 11/30/28    100.000     0.000     5.4850      4.72   0.152361   0.156540   0.160833   0.165244  0.169775     55.86    58.97 
CITIGROUP GLOBAL MKT HLD 17291TES3 11/16/23 12/18/24    100.000     0.000     6.3010      7.89   0.176008   0.181553                                     62.07          
CITIGROUP GLOBAL MKT HLD 17291T4N5 12/06/23 03/05/25    100.000     0.000     5.4360      3.78   0.151000   0.153029   0.157189                          55.44    10.06 
CITIGROUP GLOBAL MKT HLD 17291T4G0 11/01/23 01/30/25    100.000     0.000     5.9220      9.87   0.164500   0.166908   0.171851                          60.76     4.98 
CITIGROUP GLOBAL MKT HLD 17331CCJ4 02/28/23 02/28/30    100.000     0.000     5.3680     45.67   0.153113   0.157223   0.161443   0.165776  0.170225     56.89    59.98 
CITIGROUP GLOBAL MKT HLD 17331CWR4 03/31/23 03/31/28    100.000     0.000     4.8320     36.67   0.137465   0.140786   0.144188   0.147671  0.151239     50.70    53.18 
CITIGROUP GLOBAL MKT HLD 17331CGA9 02/28/23 03/05/26    100.000     0.000     5.0950     43.34   0.145277   0.148978   0.152773   0.156665  0.160656     53.84    56.61 
CITIGROUP GLOBAL MKT HLD 17331CWB9 04/05/23 04/03/25    100.000     0.000     5.0850     37.89   0.144801   0.148483   0.152258                          53.45    14.01 
CITIGROUP GLOBAL MKT HLD 17291TBP2 12/04/23 12/02/27    100.000     0.000     5.1440      3.86   0.142889   0.146523   0.150292   0.154157  0.158122     52.31    55.03 
CITIGROUP GLOBAL MKT HLD 17331HDQ6 03/27/23 12/27/24    100.000     0.000     5.2510     40.33   0.151656   0.155637                                     54.71          
CITIGROUP GLOBAL MKT HLD 17331CFK8 03/03/23 03/02/28    100.000     0.000     5.2710     44.09   0.150254   0.154214   0.158278   0.162450  0.166731     55.76    58.74 
CITIGROUP GLOBAL MKT HLD 17331CVR5 04/05/23 04/03/25    100.000     0.000     5.0850     37.89   0.144801   0.148483   0.152258                          53.45    14.01 
CITIGROUP GLOBAL MKT HLD 17331CVZ7 03/08/23 03/06/26    100.000     0.000     5.3680     44.14   0.153069   0.157177   0.161396   0.165728  0.170176     56.80    59.89 
CITIGROUP GLOBAL MKT HLD 17331CF85 03/03/23 03/05/26    100.000     0.000     5.2220     43.68   0.148886   0.152774   0.156762   0.160856  0.165055     55.21    58.13 
CITIGROUP GLOBAL MKT HLD 17291TCV8 12/05/23 06/04/26    100.000     0.000     5.2020      3.76   0.144500   0.148238   0.152093   0.156049  0.160108     52.90    55.68 
CITIGROUP GLOBAL MKT HLD 17291TCS5 12/05/23 06/04/25    100.000     0.000     5.2800      3.81   0.146667   0.150517   0.154491                          53.70    23.64 
CITIGROUP GLOBAL MKT HLD 17331HCW4 03/21/23 03/21/28    100.000     0.000     5.0660     39.76   0.144287   0.147941   0.151689   0.155531  0.159471     53.34    56.08 
CITIGROUP GLOBAL MKT HLD 17331CVK0 04/05/23 04/05/28    100.000     0.000     4.8410     36.05   0.137727   0.141061   0.144475   0.147972  0.151554     50.76    53.25 
CITIGROUP GLOBAL MKT HLD 17291TCK2 11/30/23 03/04/25    100.000     0.000     5.6600      4.87   0.157222   0.159546   0.164061                          57.82    10.34 
CITIGROUP GLOBAL MKT HLD 17331CVL8 04/05/23 10/03/24    100.000     0.000     5.1630     38.47   0.147078   0.150875                                     40.69          
CITIGROUP GLOBAL MKT HLD 17331CQG5 02/28/23 02/28/25    100.000     0.000     5.2710     44.84   0.150275   0.154236   0.158301                          55.80     9.02 
CITIGROUP GLOBAL MKT HLD 17331CPG6 03/03/23 03/05/26    100.000     0.000     5.2220     43.68   0.148886   0.152774   0.156762   0.160856  0.165055     55.21    58.13 
CITIGROUP GLOBAL MKT HLD 17291TJL3 11/30/23 06/01/26    100.000     0.000     5.3100      4.57   0.147500   0.151438   0.155459   0.159586  0.163823     54.05    56.96 
CITIGROUP GLOBAL MKT HLD 17331CPN1 02/24/23 02/25/28    100.000     0.000     5.0850     43.82   0.144861   0.148544   0.152321   0.156194  0.160165     53.75    56.52 
CITIGROUP GLOBAL MKT HLD 17331CPR2 02/24/23 08/26/26    100.000     0.000     4.9590     42.73   0.141204   0.144706   0.148294   0.151970  0.155739     52.35    54.98 
CITIGROUP GLOBAL MKT HLD 17331CP43 03/02/23 03/04/26    100.000     0.000     5.2410     43.99   0.149442   0.153358   0.157377   0.161501  0.165733     55.43    58.38 
CITIGROUP GLOBAL MKT HLD 17331CBK2 02/23/23 02/23/29    100.000     0.000     5.1630     44.65   0.147119   0.150917   0.154813   0.158809  0.162909     54.63    57.49 
CITIGROUP GLOBAL MKT HLD 17331CBM8 02/28/23 02/26/26    100.000     0.000     5.1240     43.58   0.145939   0.149678   0.153513   0.157446  0.161480     54.16    56.97 
CITIGROUP GLOBAL MKT HLD 17331CSS7 03/01/23 02/28/30    100.000     0.000     5.3290     44.89   0.151906   0.155954   0.160109   0.164375  0.168755     56.42    59.47 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MKT HLD 17291T5Q7 11/15/23 11/14/25    100.000     0.000     5.6110      7.17   0.155861   0.160210   0.164704   0.169325               57.31    52.38 
CITIGROUP GLOBAL MKT HLD 17331CLW5 02/15/23 05/15/24    100.000     0.000     5.2261     46.48   0.150909                                                20.22          
CITIGROUP GLOBAL MKT HLD 17331CM87 02/15/23 02/13/25    100.000     0.000     5.0170     44.52   0.142818   0.146401   0.150073                          53.06     6.30 
CITIGROUP GLOBAL MKT HLD 17291QW34 10/31/23 04/30/26    100.000     0.000     5.7860      9.80   0.160722   0.165372   0.170156   0.175079  0.180144     59.27    62.75 
CITIGROUP GLOBAL MKT HLD 17291QVM3 11/03/23 05/05/25    100.000     0.000     5.7860      9.32   0.160774   0.165425   0.170211                          59.24    21.11 
CITIGROUP GLOBAL MKT HLD 17291QVD3 10/31/23 10/30/25    100.000     0.000     5.8060      9.84   0.161278   0.165960   0.170777   0.175735               59.48    51.95 
CITIGROUP GLOBAL MKT HLD 17331CL54 02/14/23 02/13/25    100.000     0.000     5.0170     44.66   0.142838   0.146421   0.150094                          53.07     6.30 
CITIGROUP GLOBAL MKT HLD 17291QV84 10/31/23 04/30/26    100.000     0.000     5.7860      9.80   0.160722   0.165372   0.170156   0.175079  0.180144     59.27    62.75 
CITIGROUP GLOBAL MKT HLD 17291QUX0 10/19/23 10/21/27    100.000     0.000     5.6600     11.32   0.157272   0.161722   0.166299   0.171005  0.175845     58.05    61.38 
CITIGROUP GLOBAL MKT HLD 17291QDW1 10/12/23 10/09/25    100.000     0.000     5.7090     12.53   0.158583   0.163035   0.167688   0.172475               58.64    47.48 
CITIGROUP GLOBAL MKT HLD 17331CNU7 03/01/23 02/27/26    100.000     0.000     5.1340     43.23   0.146191   0.149943   0.153792   0.157740  0.161789     54.25    57.07 
CITIGROUP GLOBAL MKT HLD 17331CNL7 02/28/23 02/27/26    100.000     0.000     5.1340     43.66   0.146252   0.150006   0.153857   0.157806  0.161857     54.27    57.09 
CITIGROUP GLOBAL MKT HLD 17291TLD8 11/27/23 05/27/25    100.000     0.000     5.5040      5.20   0.152889   0.157096   0.161420                          56.09    23.57 
CITIGROUP GLOBAL MKT HLD 17291QYW8 10/31/23 01/30/25    100.000     0.000     5.9710     10.12   0.165861   0.168337   0.173363                          61.29     5.03 
CITIGROUP GLOBAL MKT HLD 17291QZ98 11/03/23 02/05/25    100.000     0.000     5.9130      9.53   0.164250   0.166732   0.171661                          60.66     5.84 
CITIGROUP GLOBAL MKT HLD 17291QZ23 10/23/23 10/23/25    100.000     0.000     5.8060     10.97   0.161278   0.165960   0.170777   0.175735               59.55    50.76 
CITIGROUP GLOBAL MKT HLD 17291QYM0 11/03/23 11/05/26    100.000     0.000     5.6990      9.18   0.158356   0.162868   0.167509   0.172282  0.177191     58.33    61.70 
CITIGROUP GLOBAL MKT HLD 17331C7D3 02/15/23 08/15/24    100.000     0.000     5.1240     45.47   0.145980   0.149720                                     33.37          
CITIGROUP GLOBAL MKT HLD 17331CYK7 03/29/23 03/27/26    100.000     0.000     4.7930     36.51   0.136294   0.139560   0.142905   0.146330  0.149836     50.28    52.71 
CITIGROUP GLOBAL MKT HLD 17331CYJ0 03/29/23 03/29/28    100.000     0.000     4.8220     36.73   0.137174   0.140481   0.143868   0.147337  0.150889     50.59    53.06 
CITIGROUP GLOBAL MKT HLD 17331CYP6 03/20/23 03/20/28    100.000     0.000     5.3290     41.99   0.151972   0.156021   0.160178   0.164446  0.168828     56.27    59.31 
CITIGROUP GLOBAL MKT HLD 17291QY99 10/31/23 05/01/25    100.000     0.000     5.8740      9.95   0.163167   0.167985   0.172919                          60.19    20.75 
CITIGROUP GLOBAL MKT HLD 17331CGT8 02/28/23 02/26/26    100.000     0.000     5.1240     43.58   0.145939   0.149678   0.153513   0.157446  0.161480     54.16    56.97 
CITIGROUP GLOBAL MKT HLD 17331H5A0 03/22/23 03/22/27    100.000     0.000     5.1050     39.92   0.145425   0.149137   0.152944   0.156848  0.160851     53.77    56.55 
CITIGROUP GLOBAL MKT HLD 17291QZY3 10/12/23 10/09/26    100.000     0.000     5.7180     12.55   0.158833   0.163299   0.167967   0.172770  0.177709     58.73    62.13 
CITIGROUP GLOBAL MKT HLD 17331CGV3 03/03/23 03/02/28    100.000     0.000     5.2710     44.09   0.150254   0.154214   0.158278   0.162450  0.166731     55.76    58.74 
CITIGROUP GLOBAL MKT HLD 17331CY76 03/28/23 03/26/26    100.000     0.000     4.8510     37.09   0.137982   0.141329   0.144757   0.148268  0.151864     50.92    53.42 
CITIGROUP GLOBAL MKT HLD 17331C6V4 02/23/23 02/23/28    100.000     0.000     5.1150     44.23   0.145717   0.149444   0.153266   0.157186  0.161206     54.10    56.90 
CITIGROUP GLOBAL MKT HLD 17331CXY8 04/05/23 05/03/24    100.000     0.000     5.8540     43.71   0.168133                                                20.51          
CITIGROUP GLOBAL MKT HLD 17291TAU2 11/15/23 05/15/25    100.000     0.000     5.6700      7.25   0.157500   0.161965   0.166557                          57.92    22.32 
CITIGROUP GLOBAL MKT HLD 17291QZL1 10/31/23 05/01/25    100.000     0.000     5.8740      9.95   0.163167   0.167985   0.172919                          60.19    20.75 
CITIGROUP GLOBAL MKT HLD 17291TAM0 11/01/23 04/30/26    100.000     0.000     5.7090      9.52   0.158583   0.163085   0.167740   0.172528  0.177453     58.46    61.84 
CITIGROUP GLOBAL MKT HLD 17331CGH4 03/03/23 03/05/26    100.000     0.000     5.2220     43.68   0.148886   0.152774   0.156762   0.160856  0.165055     55.21    58.13 
CITIGROUP GLOBAL MKT HLD 17331CGN1 03/03/23 09/03/25    100.000     0.000     5.2710     44.09   0.150275   0.154236   0.158301   0.162473               55.76    39.06 
CITIGROUP GLOBAL MKT HLD 17291QX33 10/31/23 10/31/30    100.000     0.000     6.2330     10.56   0.173139   0.178535   0.184099   0.189836  0.195752     63.97    68.02 
CITIGROUP GLOBAL MKT HLD 17291QX41 10/18/23 11/18/24    100.000     0.000     5.8932     11.98   0.164504   0.169351                                     53.02          
CITIGROUP GLOBAL MKT HLD 17291QX58 11/03/23 11/05/25    100.000     0.000     5.7180      9.22   0.158884   0.163426   0.168099   0.172905               58.53    51.97 
CITIGROUP GLOBAL MKT HLD 17291QWT7 10/31/23 10/31/28    100.000     0.000     6.0970     10.33   0.169361   0.174524   0.179844   0.185327  0.190977     62.54    66.41 
CITIGROUP GLOBAL MKT HLD 17291QWH3 11/03/23 05/05/26    100.000     0.000     5.6890      9.17   0.158078   0.162574   0.167199   0.171955  0.176846     58.23    61.59 
CITIGROUP GLOBAL MKT HLD 17291QXR0 10/31/23 07/30/26    100.000     0.000     5.8250      9.87   0.161806   0.164162   0.168943   0.173864  0.178927     59.75    63.21 
CITIGROUP GLOBAL MKT HLD 17331H7M2 03/29/23 03/27/25    100.000     0.000     4.4500     33.88   0.126331   0.129142   0.132015                          46.52    11.35 
CITIGROUP GLOBAL MKT HLD 17331CZM2 03/22/23 03/25/24    100.000     0.000     5.2610     41.16   0.150049                                                12.60          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MKT HLD 17331CZQ3 03/29/23 03/29/29    100.000     0.000     4.8900     37.25   0.139154   0.142557   0.146042   0.149613  0.153271     51.34    53.88 
CITIGROUP GLOBAL MKT HLD 17291QWX8 10/12/23 03/11/25    100.000     0.000     5.8640     12.87   0.162889   0.166842   0.171734                          60.32    12.02 
CITIGROUP GLOBAL MKT HLD 17330RWM3 09/21/22 09/19/25    100.000     0.000     5.0560     65.97   0.147595   0.151326   0.155151   0.159074               54.58    40.74 
CITIGROUP GLOBAL MKT HLD 17330RFJ9 09/27/22 09/25/26    100.000     0.000     5.2020     67.00   0.152072   0.156027   0.160085   0.164249  0.168521     56.23    59.19 
CITIGROUP GLOBAL MKT HLD 17330RWL5 09/28/22 03/26/26    100.000     0.000     5.3970     69.41   0.158071   0.162336   0.166717   0.171216  0.175836     58.49    61.69 
CITIGROUP GLOBAL MKT HLD 17330R4T9 09/02/22 09/02/27    100.000     0.000     4.6460     63.08   0.135121   0.138260   0.141472   0.144758  0.148121     49.96    52.31 
CITIGROUP GLOBAL MKT HLD 17330REL5 09/21/22 09/21/27    100.000     0.000     5.2020     67.91   0.152115   0.156071   0.160131   0.164296  0.168569     56.28    59.24 
CITIGROUP GLOBAL MKT HLD 17330RDL6 09/28/22 03/26/26    100.000     0.000     5.3970     69.41   0.158071   0.162336   0.166717   0.171216  0.175836     58.49    61.69 
CITIGROUP GLOBAL MKT HLD 17330RUU7 09/22/22 09/24/25    100.000     0.000     5.0560     65.82   0.147677   0.151410   0.155237   0.159162               54.57    41.53 
CITIGROUP GLOBAL MKT HLD 17330RUY9 09/28/22 03/27/25    100.000     0.000     5.3000     68.13   0.155106   0.159216   0.163436                          57.36    14.06 
CITIGROUP GLOBAL MKT HLD 17330RHM0 09/21/22 09/21/27    100.000     0.000     5.2020     67.91   0.152115   0.156071   0.160131   0.164296  0.168569     56.28    59.24 
CITIGROUP GLOBAL MKT HLD 17330R6F7 09/02/22 09/03/26    100.000     0.000     4.5580     61.86   0.132464   0.135483   0.138571   0.141729  0.144959     48.95    51.21 
CITIGROUP GLOBAL MKT HLD 17330RAK1 09/02/22 09/03/26    100.000     0.000     4.5580     61.86   0.132464   0.135483   0.138571   0.141729  0.144959     48.95    51.21 
CITIGROUP GLOBAL MKT HLD 17330RAQ8 09/28/22 03/29/27    100.000     0.000     5.5920     71.96   0.164166   0.168756   0.173474   0.178325  0.183311     60.78    64.23 
CITIGROUP GLOBAL MKT HLD 17330RAT2 08/18/22 08/20/24    100.000     0.000     4.0980     57.17   0.118573   0.121003                                     27.59          
CITIGROUP GLOBAL MKT HLD 17330RCW3 08/17/22 08/17/27    100.000     0.000     4.4110     61.75   0.127992   0.130815   0.133700   0.136649  0.139663     47.35    49.46 
CITIGROUP GLOBAL MKT HLD 17330PY37 09/02/22 09/02/27    100.000     0.000     5.6460     76.99   0.165813   0.170494   0.175307   0.180256  0.185345     61.67    65.20 
CITIGROUP GLOBAL MKT HLD 17330RPT6 09/28/22 09/28/27    100.000     0.000     5.5330     71.19   0.162316   0.166806   0.171421   0.176164  0.181037     60.09    63.46 
CITIGROUP GLOBAL MKT HLD 17330PZR3 09/01/22 09/02/27    100.000     0.000     4.5780     62.27   0.133072   0.136118   0.139233   0.142420  0.145680     49.19    51.46 
CITIGROUP GLOBAL MKT HLD 17330RHW8 09/23/22 09/24/26    100.000     0.000     5.1730     67.22   0.151245   0.155157   0.159170   0.163287  0.167511     55.92    58.85 
CITIGROUP GLOBAL MKT HLD 17330RLH6 09/02/22 03/31/25    100.000     0.000     5.4260     73.98   0.159682   0.164015   0.168464                          59.06    14.99 
CITIGROUP GLOBAL MKT HLD 17330RL29 09/23/22 09/23/27    100.000     0.000     5.2710     68.52   0.154236   0.158301   0.162473   0.166755  0.171150     57.06    60.11 
CITIGROUP GLOBAL MKT HLD 17331CE45 03/03/23 09/03/25    100.000     0.000     5.2710     44.09   0.150275   0.154236   0.158301   0.162473               55.76    39.06 
CITIGROUP GLOBAL MKT HLD 17330R5M3 08/24/22 08/22/25    100.000     0.000     4.2650     58.80   0.123550   0.126185   0.128876   0.131624               45.64    30.27 
CITIGROUP GLOBAL MKT HLD 17330R4M4 08/24/22 08/24/26    100.000     0.000     4.3330     59.75   0.125633   0.128355   0.131135   0.133977  0.136879     46.42    48.45 
CITIGROUP GLOBAL MKT HLD 17330REP6 08/24/22 08/24/27    100.000     0.000     4.4410     61.27   0.128900   0.131763   0.134688   0.137679  0.140736     47.65    49.79 
CITIGROUP GLOBAL MKT HLD 17331CDJ3 02/21/23 02/20/26    100.000     0.000     4.9680     43.23   0.141409   0.144921   0.148521   0.152211  0.155992     52.47    55.11 
CITIGROUP GLOBAL MKT HLD 17331CDL8 02/28/23 02/26/27    100.000     0.000     5.1440     43.75   0.146523   0.150292   0.154157   0.158122  0.162189     54.38    57.21 
CITIGROUP GLOBAL MKT HLD 17330X631 02/01/23 01/30/26    100.000     0.000     4.8320     44.78   0.137447   0.140768   0.144169   0.147652  0.151219     51.09    53.59 
CITIGROUP GLOBAL MKT HLD 17331C2S5 02/03/23 02/03/28    100.000     0.000     4.8610     44.77   0.138310   0.141671   0.145115   0.148642  0.152254     51.40    53.93 
CITIGROUP GLOBAL MKT HLD 17331C2R7 01/31/23 01/31/28    100.000     0.000     4.7930     44.55   0.136330   0.139597   0.142942   0.146368  0.149875     50.67    53.12 
CITIGROUP GLOBAL MKT HLD 17330RVK8 09/29/22 10/01/24    100.000     0.000     5.3680     68.87   0.157270   0.161491                                     43.22          
CITIGROUP GLOBAL MKT HLD 17331C2X4 02/03/23 02/05/26    100.000     0.000     4.8710     44.87   0.138638   0.142015   0.145474   0.149017  0.152646     51.52    54.06 
CITIGROUP GLOBAL MKT HLD 17330RUQ6 09/28/22 09/26/25    100.000     0.000     5.3680     69.03   0.157177   0.161396   0.165728   0.170176               58.16    44.72 
CITIGROUP GLOBAL MKT HLD 17331C2D8 02/03/23 08/05/25    100.000     0.000     4.9190     45.32   0.140038   0.143482   0.147011   0.150627               52.05    32.11 
CITIGROUP GLOBAL MKT HLD 17331CCH8 03/03/23 03/05/25    100.000     0.000     5.3580     44.83   0.152866   0.156961   0.161166                          56.73    10.31 
CITIGROUP GLOBAL MKT HLD 17330R3Z6 08/15/22 08/13/27    100.000     0.000     4.4900     63.14   0.130353   0.133280   0.136272   0.139331  0.142459     48.27    50.46 
CITIGROUP GLOBAL MKT HLD 17331C2H9 02/03/23 08/05/25    100.000     0.000     4.9190     45.32   0.140038   0.143482   0.147011   0.150627               52.05    32.11 
CITIGROUP GLOBAL MKT HLD 17331C5P8 01/23/23 01/23/26    100.000     0.000     4.9880     47.38   0.142011   0.145553   0.149183   0.152904  0.156717     52.89    55.57 
CITIGROUP GLOBAL MKT HLD 17331CG50 02/28/23 11/28/25    100.000     0.000     5.2120     44.40   0.150486   0.154408   0.158432   0.162561               55.14    52.55 
CITIGROUP GLOBAL MKT HLD 17331CFE2 02/28/23 03/28/24    100.000     0.000     5.9710     50.94   0.171663                                                14.93          
CITIGROUP GLOBAL MKT HLD 17331C4N4 02/03/23 02/05/25    100.000     0.000     5.0270     46.33   0.143189   0.146788   0.150477                          53.26     5.12 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MKT HLD 17330R6E0 08/24/22 08/22/25    100.000     0.000     4.2650     58.80   0.123550   0.126185   0.128876   0.131624               45.64    30.27 
CITIGROUP GLOBAL MKT HLD 17331CEW3 02/08/23 02/08/27    100.000     0.000     4.5480     41.22   0.129206   0.132144   0.135149   0.138223  0.141366     47.89    50.10 
CITIGROUP GLOBAL MKT HLD 17331CEZ6 01/31/23 01/30/26    100.000     0.000     4.8220     44.82   0.137174   0.140481   0.143868   0.147337  0.150889     50.99    53.48 
CITIGROUP GLOBAL MKT HLD 17331C4X2 02/02/23 02/03/28    100.000     0.000     4.8510     44.82   0.138037   0.141385   0.144814   0.148326  0.151924     51.30    53.82 
CITIGROUP GLOBAL MKT HLD 17331CEK9 01/24/23 01/24/25    100.000     0.000     4.9880     47.24   0.142011   0.145553   0.149183                          52.89     3.43 
CITIGROUP GLOBAL MKT HLD 17330RRW7 10/03/22 10/03/24    100.000     0.000     5.5140     70.13   0.161729   0.166188                                     44.79          
CITIGROUP GLOBAL MKT HLD 17330RA96 09/02/22 01/04/28    100.000     0.000     4.8120     65.38   0.139115   0.142462   0.145890   0.149400  0.152994     51.88    54.41 
CITIGROUP GLOBAL MKT HLD 17331CB89 01/27/23 02/29/24    100.000     0.000     5.8060     54.69   0.166816                                                 9.68          
CITIGROUP GLOBAL MKT HLD 17330R2M6 08/15/22 08/13/27    100.000     0.000     4.4900     63.14   0.130353   0.133280   0.136272   0.139331  0.142459     48.27    50.46 
CITIGROUP GLOBAL MKT HLD 17330RCU7 09/01/22 09/04/24    100.000     0.000     4.2840     58.20   0.124197   0.126857                                     30.66          
CITIGROUP GLOBAL MKT HLD 17331CAJ6 01/31/23 01/30/26    100.000     0.000     4.8220     44.82   0.137174   0.140481   0.143868   0.147337  0.150889     50.99    53.48 
CITIGROUP GLOBAL MKT HLD 17330R2C8 10/03/22 10/01/27    100.000     0.000     5.9130     75.33   0.174050   0.179196   0.184494   0.189948  0.195564     64.52    68.40 
CITIGROUP GLOBAL MKT HLD 17331CAT4 01/31/23 01/29/26    100.000     0.000     4.8220     44.82   0.137156   0.140463   0.143849   0.147317  0.150869     50.99    53.48 
CITIGROUP GLOBAL MKT HLD 17331CKP1 02/03/23 05/03/24    100.000     0.000     5.2610     48.62   0.151956                                                18.54          
CITIGROUP GLOBAL MKT HLD 17330YUW8 02/03/23 02/03/28    100.000     0.000     4.8610     44.77   0.138310   0.141671   0.145115   0.148642  0.152254     51.40    53.93 
CITIGROUP GLOBAL MKT HLD 17331cEA1 02/28/23 08/28/25    100.000     0.000     5.1730     44.00   0.147411   0.151224   0.155135   0.159148               54.70    37.49 
CITIGROUP GLOBAL MKT HLD 17331C7H4 02/01/23 02/01/28    100.000     0.000     4.8120     44.59   0.136883   0.140176   0.143549   0.147003  0.150539     50.87    53.35 
CITIGROUP GLOBAL MKT HLD 17331CGR2 02/28/23 08/28/24    100.000     0.000     5.3780     45.76   0.153406   0.157531                                     37.10          
CITIGROUP GLOBAL MKT HLD 17330PW21 08/24/22 08/24/26    100.000     0.000     4.3330     59.75   0.125633   0.128355   0.131135   0.133977  0.136879     46.42    48.45 
CITIGROUP GLOBAL MKT HLD 17330RL60 09/27/22 03/27/24    100.000     0.000     5.0070     64.43   0.146134                                                12.57          
CITIGROUP GLOBAL MKT HLD 17331HCE4 05/02/23 02/02/26    100.000     0.000     4.6360     31.00   0.130270   0.133290   0.136380   0.139541  0.142775     48.35    50.62 
CITIGROUP GLOBAL MKT HLD 17331C3W5 02/03/23 08/25/24    100.000     0.000     5.1050     47.11   0.145879   0.149602                                     34.81          
CITIGROUP GLOBAL MKT HLD 17291RP97 07/31/23 01/29/26    100.000     0.000     5.3290     22.35   0.148028   0.151950   0.155999   0.160155  0.164423     55.21    58.19 
CITIGROUP GLOBAL MKT HLD 17331C3V7 02/03/23 03/05/24    100.000     0.000     5.7090     52.78   0.163938                                                10.49          
CITIGROUP GLOBAL MKT HLD 17331CE86 02/28/23 02/27/25    100.000     0.000     5.2710     44.84   0.150254   0.154214   0.158278                          55.80     8.86 
CITIGROUP GLOBAL MKT HLD 17331HSR8 05/10/23 05/08/26    100.000     0.000     4.4210     28.51   0.125490   0.128264   0.131099   0.133997  0.136959     45.97    48.03 
CITIGROUP GLOBAL MKT HLD 17331C3D7 02/03/23 02/03/28    100.000     0.000     4.8610     44.77   0.138310   0.141671   0.145115   0.148642  0.152254     51.40    53.93 
CITIGROUP GLOBAL MKT HLD 17331HSX5 04/19/23 04/17/25    100.000     0.000     4.8000     33.83   0.136498   0.139774   0.143128                          50.22    15.17 
CITIGROUP GLOBAL MKT HLD 17331CCM7 03/03/23 04/03/24    100.000     0.000     6.0190     50.49   0.173090                                                15.92          
CITIGROUP GLOBAL MKT HLD 17291RQE5 07/31/23 07/30/26    100.000     0.000     5.2610     22.07   0.146139   0.149983   0.153928   0.157977  0.162133     54.48    57.38 
CITIGROUP GLOBAL MKT HLD 17331HSA5 05/31/23 05/28/27    100.000     0.000     4.9100     28.89   0.139700   0.143130   0.146644   0.150244  0.153932     51.14    53.68 
CITIGROUP GLOBAL MKT HLD 17291RPH9 07/31/23 04/30/26    100.000     0.000     5.3480     22.55   0.150542   0.154567   0.158700   0.162944  0.167301     55.42    58.42 
CITIGROUP GLOBAL MKT HLD 17331C2E6 02/03/23 02/05/26    100.000     0.000     4.8710     44.87   0.138638   0.142015   0.145474   0.149017  0.152646     51.52    54.06 
CITIGROUP GLOBAL MKT HLD 17331HRX6 06/05/23 12/05/24    100.000     0.000     5.2410     30.09   0.149398   0.153313                                     50.60          
CITIGROUP GLOBAL MKT HLD 17291RN99 08/03/23 02/05/25    100.000     0.000     5.5420     22.79   0.153992   0.158259   0.162644                          57.47     5.53 
CITIGROUP GLOBAL MKT HLD 17291RMY5 07/20/23 07/22/25    100.000     0.000     5.2900     23.66   0.146988   0.150875   0.154866   0.158962               54.87    31.87 
CITIGROUP GLOBAL MKT HLD 17291RMN9 07/31/23 01/29/26    100.000     0.000     5.3290     22.35   0.148028   0.151950   0.155999   0.160155  0.164423     55.21    58.19 
CITIGROUP GLOBAL MKT HLD 17331HDJ2 04/13/23 04/15/26    100.000     0.000     4.5390     32.76   0.128977   0.131904   0.134898   0.137960  0.141091     47.41    49.58 
CITIGROUP GLOBAL MKT HLD 17331HTZ9 05/31/23 11/29/24    100.000     0.000     5.2020     30.61   0.148238   0.152093                                     49.32          
CITIGROUP GLOBAL MKT HLD 17291RBZ4 06/22/23 09/19/24    100.000     0.000     5.6210     29.73   0.158260   0.162708                                     41.63          
CITIGROUP GLOBAL MKT HLD 17291RST0 07/31/23 07/29/27    100.000     0.000     5.1930     21.78   0.144250   0.147975   0.151817   0.155759  0.159803     53.75    56.58 
CITIGROUP GLOBAL MKT HLD 17291RUD2 08/07/23 08/07/25    100.000     0.000     5.3970     21.59   0.149917   0.153962   0.158117   0.162384               55.88    34.92 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MKT HLD 17291R2U5 06/06/23 06/04/27    100.000     0.000     4.8510     27.71   0.137982   0.141329   0.144757   0.148268  0.151864     50.46    52.94 
CITIGROUP GLOBAL MKT HLD 17291RD41 06/09/23 06/11/25    100.000     0.000     5.0270     28.29   0.143189   0.146788   0.150477                          52.34    24.08 
CITIGROUP GLOBAL MKT HLD 17291RU67 08/03/23 02/04/27    100.000     0.000     5.1730     21.27   0.143694   0.147432   0.151245   0.155157  0.159170     53.51    56.32 
CITIGROUP GLOBAL MKT HLD 17331HNN2 05/31/23 08/29/24    100.000     0.000     5.3870     31.82   0.151632   0.155716                                     36.82          
CITIGROUP GLOBAL MKT HLD 17330YVG2 01/31/23 01/29/27    100.000     0.000     4.7830     44.46   0.136021   0.139274   0.142605   0.146015  0.149507     50.55    53.00 
CITIGROUP GLOBAL MKT HLD 17331HR99 06/05/23 06/04/26    100.000     0.000     4.9100     28.19   0.139719   0.143149   0.146663   0.150264  0.153953     51.10    53.64 
CITIGROUP GLOBAL MKT HLD 17291RRF1 08/03/23 08/05/25    100.000     0.000     5.7800     23.77   0.160607   0.165249   0.170024   0.174938               60.03    37.27 
CITIGROUP GLOBAL MKT HLD 17291RAA0 07/31/23 07/31/28    100.000     0.000     5.1540     21.62   0.143167   0.146856   0.150641   0.154523  0.158505     53.33    56.12 
CITIGROUP GLOBAL MKT HLD 17331CSU2 03/01/23 08/28/25    100.000     0.000     5.1730     43.56   0.147349   0.151160   0.155070   0.159081               54.68    37.47 
CITIGROUP GLOBAL MKT HLD 17331HRF5 05/31/23 05/31/30    100.000     0.000     5.0460     29.68   0.143703   0.147329   0.151046   0.154857  0.158764     52.61    55.30 
CITIGROUP GLOBAL MKT HLD 17291RQL9 08/03/23 11/05/26    100.000     0.000     5.2710     21.78   0.148389   0.152300   0.156314   0.160433  0.164661     54.57    57.48 
CITIGROUP GLOBAL MKT HLD 17331HQ82 05/31/23 12/01/25    100.000     0.000     4.9290     28.99   0.140310   0.143768   0.147311   0.150941               51.34    49.27 
CITIGROUP GLOBAL MKT HLD 17331HPV2 06/05/23 09/06/24    100.000     0.000     5.4260     31.29   0.152789   0.156935                                     38.18          
CITIGROUP GLOBAL MKT HLD 17331HQC3 05/31/23 12/01/25    100.000     0.000     4.9290     28.99   0.140310   0.143768   0.147311   0.150941               51.34    49.27 
CITIGROUP GLOBAL MKT HLD 17331HPJ9 06/05/23 06/05/25    100.000     0.000     5.0370     28.91   0.143440   0.147053   0.150757                          52.48    23.22 
CITIGROUP GLOBAL MKT HLD 17291RRH7 08/03/23 11/05/24    100.000     0.000     5.6600     23.40   0.159496   0.164010                                     49.30          
CITIGROUP GLOBAL MKT HLD 17331HPU4 05/31/23 08/28/26    100.000     0.000     4.9490     29.21   0.139135   0.142578   0.146106   0.149722  0.153427     51.57    54.15 
CITIGROUP GLOBAL MKT HLD 17331HKN5 05/03/23 05/01/25    100.000     0.000     5.8410     38.90   0.166936   0.171811   0.176829                          61.57    21.22 
CITIGROUP GLOBAL MKT HLD 17192R2D3 06/09/23 06/11/30    100.000     0.000     3.5310     19.85   0.099835   0.101597   0.103391   0.105216  0.107074     36.33    37.62 
CITIGROUP GLOBAL MKT HLD 17291RG48 07/31/23 01/30/25    100.000     0.000     5.5720     23.37   0.154778   0.159090   0.163522                          57.82     4.74 
CITIGROUP GLOBAL MKT HLD 17331HK62 05/31/23 05/31/28    100.000     0.000     5.0270     29.57   0.143149   0.146747   0.150435   0.154216  0.158093     52.41    55.07 
CITIGROUP GLOBAL MKT HLD 17291RHK1 08/03/23 02/05/25    100.000     0.000     5.5240     22.72   0.153492   0.157731   0.162088                          57.28     5.51 
CITIGROUP GLOBAL MKT HLD 17331CLF2 03/01/23 02/29/28    100.000     0.000     5.2220     43.97   0.148801   0.152686   0.156673   0.160741  0.164961     55.23    58.15 
CITIGROUP GLOBAL MKT HLD 17331HK54 05/31/23 05/31/28    100.000     0.000     5.0270     29.57   0.143149   0.146747   0.150435   0.154216  0.158093     52.41    55.07 
CITIGROUP GLOBAL MKT HLD 17331HJA5 06/05/23 06/05/28    100.000     0.000     5.0170     28.80   0.142857   0.146441   0.150114   0.153880  0.157740     52.26    54.92 
CITIGROUP GLOBAL MKT HLD 17291RH62 08/03/23 08/05/26    100.000     0.000     5.2320     21.52   0.145376   0.149179   0.153081   0.157086  0.161195     54.14    57.01 
CITIGROUP GLOBAL MKT HLD 17331HN51 05/02/23 04/30/26    100.000     0.000     4.5680     30.50   0.129755   0.132718   0.135750   0.138850  0.142022     47.61    49.81 
CITIGROUP GLOBAL MKT HLD 17331HN93 05/22/23 05/22/25    100.000     0.000     4.8610     29.70   0.138310   0.141671   0.145115                          50.66    20.46 
CITIGROUP GLOBAL MKT HLD 17331HMZ6 06/05/23 06/05/25    100.000     0.000     5.0370     28.91   0.143440   0.147053   0.150757                          52.48    23.22 
CITIGROUP GLOBAL MKT HLD 17291RDY5 06/06/23 08/06/24    100.000     0.000     5.4360     31.15   0.152368   0.156509                                     33.50          
CITIGROUP GLOBAL MKT HLD 17291R3M2 06/06/23 06/04/26    100.000     0.000     4.8320     27.60   0.137429   0.140749   0.144150   0.147632  0.151199     50.25    52.71 
CITIGROUP GLOBAL MKT HLD 17331HM37 05/22/23 05/22/25    100.000     0.000     4.8610     29.70   0.138310   0.141671   0.145115                          50.66    20.46 
CITIGROUP GLOBAL MKT HLD 17291RFJ6 07/31/23 07/31/25    100.000     0.000     5.4170     22.72   0.150472   0.154548   0.158734   0.163033               56.15    33.95 
CITIGROUP GLOBAL MKT HLD 17331HLV6 05/31/23 03/02/26    100.000     0.000     4.9590     29.27   0.139496   0.142955   0.146499   0.150132  0.153854     51.67    54.27 
CITIGROUP GLOBAL MKT HLD 17291RF80 07/31/23 07/31/30    100.000     0.000     5.1340     21.53   0.142611   0.146272   0.150027   0.153878  0.157828     53.12    55.88 
CITIGROUP GLOBAL MKT HLD 17291RL75 07/31/23 10/31/24    100.000     0.000     5.7090     24.08   0.160847   0.165438                                     48.92          
CITIGROUP GLOBAL MKT HLD 17331HXN1 06/05/23 09/06/24    100.000     0.000     5.4260     31.29   0.152789   0.156935                                     38.18          
CITIGROUP GLOBAL MKT HLD 17331HGQ3 05/31/23 05/30/25    100.000     0.000     4.9980     29.40   0.142303   0.145859   0.149504                          52.09    22.28 
CITIGROUP GLOBAL MKT HLD 17331HY34 06/07/23 09/06/24    100.000     0.000     5.3000     30.26   0.149151   0.153104                                     37.25          
CITIGROUP GLOBAL MKT HLD 17331CHN0 03/03/23 09/03/24    100.000     0.000     5.4560     45.65   0.155690   0.159937                                     38.44          
CITIGROUP GLOBAL MKT HLD 17291RM66 08/03/23 08/03/28    100.000     0.000     5.1050     20.99   0.141806   0.145425   0.149137   0.152944  0.156848     52.79    55.52 
CITIGROUP GLOBAL MKT HLD 17331CGW1 02/03/23 02/05/25    100.000     0.000     5.0270     46.33   0.143189   0.146788   0.150477                          53.26     5.12 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MKT HLD 17331C7B7 02/28/23 08/28/25    100.000     0.000     5.1730     44.00   0.147411   0.151224   0.155135   0.159148               54.70    37.49 
CITIGROUP GLOBAL MKT HLD 17331CHD2 01/31/23 01/29/26    100.000     0.000     4.8220     44.82   0.137156   0.140463   0.143849   0.147317  0.150869     50.99    53.48 
CITIGROUP GLOBAL MKT HLD 17291RLH3 07/21/23 01/24/25    100.000     0.000     5.4460     24.22   0.151346   0.155468   0.159701                          56.54     3.67 
CITIGROUP GLOBAL MKT HLD 17331HF27 06/05/23 12/04/25    100.000     0.000     4.9490     28.41   0.140855   0.144341   0.147912   0.151572               51.53    49.91 
CITIGROUP GLOBAL MKT HLD 17331C6A0 02/28/23 08/28/24    100.000     0.000     5.3780     45.76   0.153406   0.157531                                     37.10          
CITIGROUP GLOBAL MKT HLD 17331HW51 06/05/23 06/05/25    100.000     0.000     5.0370     28.91   0.143440   0.147053   0.150757                          52.48    23.22 
CITIGROUP GLOBAL MKT HLD 17331HVV5 06/05/23 12/05/24    100.000     0.000     5.2410     30.09   0.149398   0.153313                                     50.60          
CITIGROUP GLOBAL MKT HLD 17291RLG5 08/03/23 02/05/26    100.000     0.000     5.2900     21.75   0.146988   0.150875   0.154866   0.158962  0.163167     54.77    57.70 
CITIGROUP GLOBAL MKT HLD 17331C6J1 02/08/23 08/10/26    100.000     0.000     4.5390     41.14   0.128977   0.131904   0.134898   0.137960  0.141091     47.79    49.99 
CITIGROUP GLOBAL MKT HLD 17291RZN5 08/02/23 07/31/25    100.000     0.000     5.4600     22.60   0.151667   0.155761   0.160013   0.164382               56.60    34.23 
CITIGROUP GLOBAL MKT HLD 17291RZJ4 08/09/23 08/05/25    100.000     0.000     5.3780     21.21   0.149389   0.153317   0.157439   0.161673               55.66    34.45 
CITIGROUP GLOBAL MKT HLD 17331HYY6 06/02/23 03/04/27    100.000     0.000     5.1240     29.97   0.144197   0.147891   0.151680   0.155567  0.159552     53.45    56.23 
CITIGROUP GLOBAL MKT HLD 17291RYW6 08/02/23 09/03/25    100.000     0.000     5.7470     23.88   0.160429   0.165039   0.169781   0.174660               59.69    41.97 
CITIGROUP GLOBAL MKT HLD 17291RHW5 07/14/23 07/14/28    100.000     0.000     5.2610     24.41   0.146139   0.149983   0.153928   0.157977  0.162133     54.60    57.51 
CITIGROUP GLOBAL MKT HLD 17291RK68 07/26/23 01/24/25    100.000     0.000     5.5530     23.91   0.154250   0.158485   0.162886                          57.65     3.75 
CITIGROUP GLOBAL MKT HLD 17291RJT0 07/14/23 01/16/25    100.000     0.000     5.6600     26.26   0.157272   0.161722   0.166299                          58.91     2.49 
CITIGROUP GLOBAL MKT HLD 17331HGZ3 05/31/23 08/29/24    100.000     0.000     5.3870     31.82   0.151632   0.155716                                     36.82          
CITIGROUP GLOBAL MKT HOL 17330RW92 09/19/22 03/19/24    100.000     0.000     4.7140     61.69   0.137190                                                10.70          
CITIGROUP GLOBAL MKT HOL 17330R4F9 10/05/22 10/05/27    100.000     0.000     5.7180     72.45   0.168045   0.172850   0.177791   0.182874  0.188103     62.20    65.81 
CITIGROUP GLOBAL MKT HOL 17330R3N3 10/05/22 10/05/27    100.000     0.000     5.7180     72.45   0.168045   0.172850   0.177791   0.182874  0.188103     62.20    65.81 
CITIGROUP GLOBAL MKT HOL 17330RV51 10/05/22 10/03/25    100.000     0.000     5.5530     70.32   0.162886   0.167408   0.172056   0.176833               60.26    47.66 
CITIGROUP GLOBAL MKT HOL 17330RV93 10/05/22 10/05/27    100.000     0.000     5.7180     72.45   0.168045   0.172850   0.177791   0.182874  0.188103     62.20    65.81 
CITIGROUP GLOBAL MKT HOL 17330R7A7 10/05/22 10/05/27    100.000     0.000     5.7180     72.45   0.168045   0.172850   0.177791   0.182874  0.188103     62.20    65.81 
CITIGROUP GLOBAL MKT HOL 17330RGJ8 10/05/22 10/03/24    100.000     0.000     5.3870     68.17   0.157763   0.162012                                     43.68          
CITIGROUP GLOBAL MKT HOL 17330R6L4 10/05/22 04/03/25    100.000     0.000     5.4560     69.06   0.159890   0.164252   0.168733                          59.12    15.52 
CITIGROUP GLOBAL MKT HOL 17330RFQ3 10/05/22 10/03/25    100.000     0.000     5.5530     70.32   0.162886   0.167408   0.172056   0.176833               60.26    47.66 
CITIGROUP GLOBAL MKT HOL 17330RFR1 10/05/22 10/05/27    100.000     0.000     5.7180     72.45   0.168045   0.172850   0.177791   0.182874  0.188103     62.20    65.81 
CITIGROUP GLOBAL MKT HOL 17330RS97 09/16/22 09/18/25    100.000     0.000     4.7540     62.64   0.138445   0.141735   0.145105   0.148554               51.12    37.91 
CITIGROUP GLOBAL MKT HOL 17330RAZ8 10/05/22 10/05/27    100.000     0.000     5.7180     72.45   0.168045   0.172850   0.177791   0.182874  0.188103     62.20    65.81 
CITIGROUP GLOBAL MKT HOL 17330RA54 10/05/22 10/03/25    100.000     0.000     5.5530     70.32   0.162886   0.167408   0.172056   0.176833               60.26    47.66 
CITIGROUP GLOBAL MKT HOL 17330RDE2 09/13/22 09/11/26    100.000     0.000     4.7540     63.06   0.138372   0.141661   0.145029   0.148476  0.152005     51.14    53.60 
CITIGROUP GLOBAL MKT HOL 17330RCV5 10/05/22 10/03/24    100.000     0.000     5.3870     68.17   0.157763   0.162012                                     43.68          
CITIGROUP GLOBAL MKT HOL 17330N773 09/06/22 09/06/28    100.000     0.000     4.7440     63.88   0.138103   0.141379   0.144733   0.148166  0.151680     51.07    53.52 
CITIGROUP GLOBAL MKT HOL 17330RSK2 10/05/22 10/05/27    100.000     0.000     5.7180     72.45   0.168045   0.172850   0.177791   0.182874  0.188103     62.20    65.81 
CITIGROUP GLOBAL MKT HOL 17330RBP9 10/05/22 04/03/25    100.000     0.000     5.4560     69.06   0.159890   0.164252   0.168733                          59.12    15.52 
CITIGROUP GLOBAL MKT HOL 17330RSW6 10/05/22 04/03/25    100.000     0.000     5.4560     69.06   0.159890   0.164252   0.168733                          59.12    15.52 
CITIGROUP GLOBAL MKT HOL 17330PMP1 09/06/22 09/03/27    100.000     0.000     4.6850     63.08   0.136255   0.139447   0.142714   0.146057  0.149478     50.39    52.78 
CITIGROUP GLOBAL MKT HOL 17330PHY8 09/06/22 09/03/27    100.000     0.000     4.6850     63.08   0.136255   0.139447   0.142714   0.146057  0.149478     50.39    52.78 
CITIGROUP GLOBAL MKT HOL 17330PXM6 09/06/22 03/05/25    100.000     0.000     4.4700     60.13   0.129763   0.132663   0.135628                          47.92     8.68 
CITIGROUP GLOBAL MKT HOL 17330RMD4 10/05/22 10/03/25    100.000     0.000     5.5530     70.32   0.162886   0.167408   0.172056   0.176833               60.26    47.66 
CITIGROUP GLOBAL MKT HOL 17330PXD6 09/06/22 09/05/25    100.000     0.000     4.5680     61.47   0.132735   0.135767   0.138867   0.142039               49.04    34.45 
CITIGROUP GLOBAL MKT HOL 17330RQ99 10/05/22 10/03/25    100.000     0.000     5.5530     70.32   0.162886   0.167408   0.172056   0.176833               60.26    47.66 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MKT HOL 17330RQA6 10/05/22 10/05/27    100.000     0.000     5.7180     72.45   0.168045   0.172850   0.177791   0.182874  0.188103     62.20    65.81 
CITIGROUP GLOBAL MKT HOL 17330PUM9 09/06/22 09/06/24    100.000     0.000     4.4020     59.19   0.127720   0.130531                                     31.80          
CITIGROUP GLOBAL MKT HOL 17330PCQ0 09/06/22 09/03/27    100.000     0.000     4.6850     63.08   0.136255   0.139447   0.142714   0.146057  0.149478     50.39    52.78 
CITIGROUP GLOBAL MKT HOL 17330PD63 09/06/22 03/05/25    100.000     0.000     4.4700     60.13   0.129763   0.132663   0.135628                          47.92     8.68 
CITIGROUP GLOBAL MKT HOL 17330RJ55 10/07/22 10/09/24    100.000     0.000     5.2900     66.61   0.154866   0.158962                                     43.79          
CITIGROUP GLOBAL MKT HOL 17330RLK9 10/05/22 10/05/27    100.000     0.000     5.7180     72.45   0.168045   0.172850   0.177791   0.182874  0.188103     62.20    65.81 
CITIGROUP GLOBAL MKTS HL 17331HTL0 04/28/23 10/30/24    100.000     0.000     4.9290     33.49   0.140329   0.143788                                     42.58          
CITIGROUP GLOBAL MKTS HL 17331HRZ1 05/03/23 05/01/25    100.000     0.000     4.8410     32.20   0.137691   0.141024   0.144437                          50.57    17.33 
CITIGROUP GLOBAL MKTS HL 17331HB47 05/03/23 10/31/24    100.000     0.000     4.9100     32.66   0.139681   0.143111                                     42.38          
CITIGROUP GLOBAL MKTS HL 17331HS72 05/03/23 05/31/24    100.000     0.000     5.6700     37.77   0.162654                                                24.24          
CITIGROUP GLOBAL MKTS HL 17331HUW4 04/28/23 04/30/25    100.000     0.000     4.8510     32.95   0.138056   0.141404   0.144834                          50.72    17.24 
CITIGROUP GLOBAL MKTS HL 17331HU20 04/28/23 04/28/28    100.000     0.000     4.6560     31.62   0.132344   0.135425   0.138578   0.141804  0.145105     48.59    50.88 
CITIGROUP GLOBAL MKTS HL 17331HCX2 04/28/23 04/29/24    100.000     0.000     4.6260     31.41   0.131489                                                15.52          
CITIGROUP GLOBAL MKTS HL 17331HPC4 04/28/23 04/30/26    100.000     0.000     4.6850     31.82   0.133222   0.136343   0.139537   0.142805  0.146150     48.91    51.22 
CITIGROUP GLOBAL MKTS HL 17331HQH2 05/03/23 10/31/25    100.000     0.000     4.7730     31.74   0.135695   0.138933   0.142249   0.145643               49.83    43.14 
CITIGROUP GLOBAL MKTS HL 17331HQJ8 04/28/23 05/31/24    100.000     0.000     5.6400     38.37   0.161892                                                24.12          
CITIGROUP GLOBAL MKTS HL 17331HQN9 05/03/23 05/01/26    100.000     0.000     4.7240     31.41   0.134287   0.137459   0.140706   0.144029  0.147431     49.30    51.66 
CITIGROUP GLOBAL MKTS HL 17331HQU3 04/28/23 04/28/28    100.000     0.000     4.6560     31.62   0.132344   0.135425   0.138578   0.141804  0.145105     48.59    50.88 
CITIGROUP GLOBAL MKTS HL 17331HMF0 04/28/23 01/29/26    100.000     0.000     4.8000     32.65   0.134951   0.138190   0.141506   0.144903  0.148380     50.16    52.60 
CITIGROUP GLOBAL MKTS HL 17331HGS9 05/03/23 10/31/24    100.000     0.000     4.9100     32.66   0.139681   0.143111                                     42.38          
CITIGROUP GLOBAL MKTS HL 17331HG91 04/28/23 10/30/25    100.000     0.000     4.8000     32.60   0.136570   0.139847   0.143204   0.146641               50.16    43.44 
CITIGROUP GLOBAL MKTS HL 17331HGB6 04/28/23 04/30/30    100.000     0.000     4.1100     27.89   0.116539   0.118934   0.121378   0.123873  0.126418     42.68    44.45 
CITIGROUP GLOBAL MKTS HL 17331HFH4 04/28/23 04/28/28    100.000     0.000     4.6560     31.62   0.132344   0.135425   0.138578   0.141804  0.145105     48.59    50.88 
CITIGROUP GLOBAL MKTS HL 17331HW69 04/28/23 10/30/25    100.000     0.000     4.8000     32.60   0.136570   0.139847   0.143204   0.146641               50.16    43.44 
CITIGROUP GLOBAL MKTS HL 17331HW85 05/03/23 10/31/25    100.000     0.000     4.7730     31.74   0.135695   0.138933   0.142249   0.145643               49.83    43.14 
CITIGROUP GLOBAL MKTS HL 17331HEY8 05/01/23 04/28/25    100.000     0.000     4.8900     32.81   0.139099   0.142500   0.145984                          51.12    17.08 
CITIGROUP GLOBAL MKTS HL 17331CY43 03/31/23 07/03/24    100.000     0.000     5.2510     39.88   0.147840   0.151721                                     27.61          
CITIGROUP GLOBAL MKTS HL 17331HHQ2 05/03/23 05/03/28    100.000     0.000     4.7140     31.34   0.134031   0.137190   0.140423   0.143733  0.147121     49.19    51.54 
CITIGROUP GLOBAL MKTS HL 17331HHR0 05/02/23 10/31/24    100.000     0.000     4.8020     32.07   0.136556   0.139835                                     41.42          
CITIGROUP GLOBAL MKTS HL 17331HHU3 05/03/23 05/01/26    100.000     0.000     4.7240     31.41   0.134287   0.137459   0.140706   0.144029  0.147431     49.30    51.66 
CITIGROUP GLOBAL MKTS HL 17331H6W1 03/27/23 09/25/25    100.000     0.000     5.0370     38.67   0.143401   0.147013   0.150715   0.154511               52.98    40.47 
CITIGROUP GLOBAL MKTS HL 17331CUQ8 04/05/23 04/06/26    100.000     0.000     4.8900     36.42   0.139173   0.142576   0.146062   0.149633  0.153291     51.30    53.84 
CITIGROUP GLOBAL MKTS HL 17331CUU9 03/31/23 10/02/25    100.000     0.000     4.9780     37.79   0.141759   0.145287   0.148903   0.152609               52.30    41.02 
CITIGROUP GLOBAL MKTS HL 17331CV95 03/31/23 10/03/24    100.000     0.000     5.0950     38.69   0.145195   0.148894                                     40.16          
CITIGROUP GLOBAL MKTS HL 17331CUA3 03/31/23 01/02/26    100.000     0.000     4.9980     37.94   0.140607   0.144120   0.147722   0.151414  0.155197     52.52    55.18 
CITIGROUP GLOBAL MKTS HL 17331CUE5 03/31/23 04/02/26    100.000     0.000     4.9390     37.49   0.140621   0.144094   0.147652   0.151298  0.155035     51.87    54.47 
CITIGROUP GLOBAL MKTS HL 17331CUG0 04/05/23 10/03/25    100.000     0.000     4.9780     37.08   0.141681   0.145208   0.148822   0.152526               52.27    41.15 
CITIGROUP GLOBAL MKTS HL 17331CUH8 03/31/23 10/02/25    100.000     0.000     4.9780     37.79   0.141759   0.145287   0.148903   0.152609               52.30    41.02 
CITIGROUP GLOBAL MKTS HL 17331CUJ4 03/31/23 05/02/24    100.000     0.000     5.8350     44.41   0.167677                                                20.29          
CITIGROUP GLOBAL MKTS HL 17331CTR8 03/31/23 10/03/24    100.000     0.000     5.0950     38.69   0.145195   0.148894                                     40.16          
CITIGROUP GLOBAL MKTS HL 17331CTY3 03/20/23 03/20/28    100.000     0.000     5.3290     41.99   0.151972   0.156021   0.160178   0.164446  0.168828     56.27    59.31 
CITIGROUP GLOBAL MKTS HL 17331CWC7 04/05/23 04/06/26    100.000     0.000     4.8900     36.42   0.139173   0.142576   0.146062   0.149633  0.153291     51.30    53.84 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MKTS HL 17331CVT1 03/31/23 03/31/28    100.000     0.000     4.8320     36.67   0.137465   0.140786   0.144188   0.147671  0.151239     50.70    53.18 
CITIGROUP GLOBAL MKTS HL 17331CW52 04/05/23 10/03/25    100.000     0.000     4.9780     37.08   0.141681   0.145208   0.148822   0.152526               52.27    41.15 
CITIGROUP GLOBAL MKTS HL 17331CVW4 03/31/23 04/01/27    100.000     0.000     4.8410     36.74   0.137745   0.141079   0.144494   0.147992  0.151574     50.80    53.28 
CITIGROUP GLOBAL MKTS HL 17331CVA2 03/31/23 04/02/30    100.000     0.000     4.9780     37.79   0.141759   0.145287   0.148903   0.152609  0.156408     52.30    54.94 
CITIGROUP GLOBAL MKTS HL 17331CVC8 03/31/23 04/02/25    100.000     0.000     5.0460     38.31   0.143743   0.147370   0.151088                          53.05    13.75 
CITIGROUP GLOBAL MKTS HL 17331CVG9 04/05/23 10/03/24    100.000     0.000     5.1630     38.47   0.147078   0.150875                                     40.69          
CITIGROUP GLOBAL MKTS HL 17331CVM6 04/05/23 05/03/24    100.000     0.000     5.8540     43.71   0.168133                                                20.51          
CITIGROUP GLOBAL MKTS HL 17331CZB6 04/05/23 05/03/24    100.000     0.000     5.8540     43.71   0.168133                                                20.51          
CITIGROUP GLOBAL MKTS HL 17331CYF8 03/29/23 03/27/26    100.000     0.000     4.7930     36.51   0.136294   0.139560   0.142905   0.146330  0.149836     50.28    52.71 
CITIGROUP GLOBAL MKTS HL 17331CYS0 04/05/23 10/03/25    100.000     0.000     4.9780     37.08   0.141681   0.145208   0.148822   0.152526               52.27    41.15 
CITIGROUP GLOBAL MKTS HL 17331CZX8 04/03/23 04/03/28    100.000     0.000     4.8800     36.62   0.138863   0.142251   0.145722   0.149278  0.152920     51.20    53.73 
CITIGROUP GLOBAL MKTS HL 17331CZS9 03/15/23 03/15/28    100.000     0.000     5.3580     42.99   0.152821   0.156915   0.161118   0.165435  0.169867     56.63    59.71 
CITIGROUP GLOBAL MKTS HL 17291R2F8 07/06/23 01/05/26    100.000     0.000     5.3870     26.19   0.149639   0.153647   0.157786   0.162035  0.166400     56.03    59.08 
CITIGROUP GLOBAL MKTS HL 17291RTA0 06/30/23 05/03/27    100.000     0.000     5.2510     26.55   0.148478   0.152376   0.156377   0.160483  0.164696     54.61    57.52 
CITIGROUP GLOBAL MKTS HL 17291R2Q4 07/06/23 01/03/25    100.000     0.000     5.7570     27.99   0.159917   0.164443   0.169177                          60.03     0.34 
CITIGROUP GLOBAL MKTS HL 17291RCN0 07/05/23 07/05/28    100.000     0.000     4.9880     24.39   0.138556   0.142011   0.145553   0.149183  0.152904     51.73    54.35 
CITIGROUP GLOBAL MKTS HL 17291RBD3 06/29/23 07/01/26    100.000     0.000     5.1150     25.87   0.145759   0.145759   0.153309   0.153309  0.161251     53.14    55.90 
CITIGROUP GLOBAL MKTS HL 17291RGP1 06/29/23 12/31/24    100.000     0.000     5.5530     28.08   0.158557   0.162959                                     57.71          
CITIGROUP GLOBAL MKTS HL 17291R6B3 07/06/23 07/06/28    100.000     0.000     5.1340     24.96   0.142611   0.146272   0.150027   0.153878  0.157828     53.30    56.07 
CITIGROUP GLOBAL MKTS HL 17291R5U2 07/06/23 07/03/25    100.000     0.000     5.5330     26.90   0.153694   0.157876   0.162243   0.166732               57.60    30.34 
CITIGROUP GLOBAL MKTS HL 17291R6R8 07/06/23 07/06/28    100.000     0.000     5.1340     24.96   0.142611   0.146272   0.150027   0.153878  0.157828     53.30    56.07 
CITIGROUP GLOBAL MKTS HL 17291RDQ2 06/26/23 06/27/24    100.000     0.000     5.6990     29.30   0.162842                                                28.66          
CITIGROUP GLOBAL MKTS HL 17291RFM9 06/30/23 07/01/27    100.000     0.000     5.0370     25.32   0.143460   0.143460   0.150777   0.150777  0.158467     52.30    54.96 
CITIGROUP GLOBAL MKTS HL 17291R4T6 07/06/23 07/03/25    100.000     0.000     5.5330     26.90   0.153694   0.157876   0.162243   0.166732               57.60    30.34 
CITIGROUP GLOBAL MKTS HL 17291R4N9 07/06/23 07/06/26    100.000     0.000     5.2800     25.67   0.146667   0.150539   0.154513   0.158592  0.162779     54.87    57.81 
CITIGROUP GLOBAL MKTS HL 17331HXQ4 07/06/23 10/03/24    100.000     0.000     5.8930     28.85   0.166026   0.170918                                     46.04          
CITIGROUP GLOBAL MKTS HL 17331HWT9 06/30/23 07/03/30    100.000     0.000     5.0660     25.48   0.140782   0.144348   0.148004   0.151753  0.155597     52.61    55.31 
CITIGROUP GLOBAL MKTS HL 17331HWE2 06/30/23 04/01/26    100.000     0.000     5.1930     26.28   0.146144   0.149938   0.153831   0.157826  0.161923     53.99    56.83 
CITIGROUP GLOBAL MKTS HL 17331HWL6 06/30/23 10/02/24    100.000     0.000     5.7280     29.01   0.161440   0.166064                                     44.58          
CITIGROUP GLOBAL MKTS HL 17331HZR0 06/30/23 01/02/25    100.000     0.000     5.5720     28.02   0.154826   0.159139   0.163573                          58.08     0.16 
CITIGROUP GLOBAL MKTS HL 17291RJR4 07/03/23 08/01/24    100.000     0.000     6.3880     31.72   0.178326   0.184022                                     38.47          
CITIGROUP GLOBAL MKTS HL 17331HYU4 06/30/23 01/02/26    100.000     0.000     5.2020     26.16   0.144542   0.148301   0.152159   0.156116  0.160177     54.08    56.92 
CITIGROUP GLOBAL MKTS HL 17331HYV2 06/30/23 06/30/28    100.000     0.000     5.0370     25.33   0.143440   0.147053   0.150757   0.154553  0.158446     52.30    54.96 
CITIGROUP GLOBAL MKTS HL 17331HY75 06/30/23 07/02/25    100.000     0.000     5.3390     26.85   0.148350   0.152310   0.156376   0.160550               55.56    29.06 
CITIGROUP GLOBAL MKTS HL 17331HYD2 06/30/23 01/02/26    100.000     0.000     5.2020     26.16   0.144542   0.148301   0.152159   0.156116  0.160177     54.08    56.92 
CITIGROUP GLOBAL MKTS HL 17331HYF7 07/06/23 01/03/25    100.000     0.000     5.7470     27.94   0.159639   0.164150   0.168866                          59.92     0.34 
CITIGROUP GLOBALMARKETS  17330PPS2 06/22/22 06/22/27    100.000     0.000     5.0170     78.51   0.150114   0.153880   0.157740   0.161697  0.165753     54.79    57.57 
CITIGROUP GLOBALMARKETS  17330PPY9 06/23/22 06/23/25    100.000     0.000     4.6850     73.05   0.139500   0.142768   0.146112                          50.86    25.13 
CITIGROUP GLOBALMARKETS  17330FSB8 06/30/22 07/02/25    100.000     0.000     4.5970     70.69   0.133666   0.136738   0.139881   0.143097               49.79    25.90 
CITIGROUP GLOBALMARKETS  17330AXE7 05/04/22 05/04/27    100.000     0.000     4.3130     73.38   0.127725   0.130479   0.133293   0.136167  0.139104     46.79    48.83 
CITIGROUP GLOBALMARKETS  17330FUP4 06/30/22 06/30/28    100.000     0.000     4.8410     74.53   0.144475   0.147972   0.151554   0.155222  0.158979     52.65    55.23 
CITIGROUP GLOBALMARKETS  17330PKU2 06/29/22 06/29/27    100.000     0.000     4.7630     73.44   0.141985   0.145366   0.148828   0.152373  0.156001     51.74    54.23 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBALMARKETS  17330PKB4 06/30/22 06/30/27    100.000     0.000     4.7830     73.62   0.142623   0.146034   0.149526   0.153102  0.156764     51.97    54.48 
CITIGROUP GLOBALMARKETS  17330P7J2 07/06/22 07/05/24    100.000     0.000     4.4310     67.31   0.128582   0.131431                                     24.17          
CITIGROUP GLOBALMARKETS  17330P7E3 06/30/22 01/02/25    100.000     0.000     4.4800     68.85   0.130114   0.133029   0.136009                          48.42     0.14 
CITIGROUP GLOBALMARKETS  17330PK32 07/06/22 07/06/27    100.000     0.000     4.8320     73.54   0.140786   0.144188   0.147671   0.151239  0.154893     52.50    55.07 
CITIGROUP GLOBALMARKETS  17330PJW0 07/15/22 01/16/25    100.000     0.000     4.4110     65.84   0.128007   0.130831   0.133716                          47.53     2.01 
CITIGROUP GLOBALMARKETS  17330FMN8 06/30/22 07/02/29    100.000     0.000     4.8900     75.31   0.142596   0.146082   0.149654   0.153313  0.157061     53.23    55.86 
CITIGROUP GLOBALMARKETS  17330PJ42 06/29/22 06/29/27    100.000     0.000     4.7630     73.44   0.141985   0.145366   0.148828   0.152373  0.156001     51.74    54.23 
CITIGROUP GLOBALMARKETS  17330PDG1 06/28/22 06/27/24    100.000     0.000     4.4210     68.19   0.131115                                                23.08          
CITIGROUP GLOBALMARKETS  17330PU49 07/15/22 01/18/24    100.000     0.000     4.2160     62.88   0.122143                                                 2.08          
CITIGROUP GLOBALMARKETS  17330PD22 06/30/22 07/02/25    100.000     0.000     4.5970     70.69   0.133666   0.136738   0.139881   0.143097               49.79    25.90 
CITIGROUP GLOBALMARKETS  17330AYK2 05/04/22 05/04/27    100.000     0.000     4.3130     73.38   0.127725   0.130479   0.133293   0.136167  0.139104     46.79    48.83 
CITIGROUP GLOBALMARKETS  17330FWP2 06/30/22 07/01/27    100.000     0.000     4.7830     73.61   0.142642   0.142642   0.149546   0.149546  0.156784     51.96    54.48 
CITIGROUP GLOBALMARKETS  17330PTQ2 06/23/22 06/23/26    100.000     0.000     4.7930     74.78   0.142942   0.146368   0.149875   0.153467  0.157145     52.13    54.66 
CITIGROUP GLOBALMARKETS  17330FZS3 06/30/22 01/02/25    100.000     0.000     4.4800     68.85   0.130114   0.133029   0.136009                          48.42     0.14 
CITIGROUP GLOBALMARKETS  17330P5M7 06/30/22 06/30/25    100.000     0.000     4.5970     70.69   0.136704   0.139846   0.143060                          49.79    25.61 
CITIGROUP GLOBALMARKETS  17330FZ61 06/30/22 07/02/29    100.000     0.000     4.8900     75.31   0.142596   0.146082   0.149654   0.153313  0.157061     53.23    55.86 
CITIGROUP GLOBALMARKETS  17330P4N6 06/30/22 07/02/26    100.000     0.000     4.6750     71.92   0.136038   0.139218   0.142473   0.145803  0.149211     50.70    53.10 
CITIGROUP GLOBALMARKETS  17330FHR5 05/03/22 11/03/28    100.000     0.000     4.4800     76.43   0.132996   0.135975   0.139021   0.142135  0.145319     48.76    50.97 
CITIGROUP GLOBALMARKETS  17330PVP1 07/08/22 01/10/24    100.000     0.000     4.1180     62.22   0.119175                                                 1.07          
CITIGROUP GLOBALMARKETS  17330PF46 06/23/22 06/21/24    100.000     0.000     4.4500     69.31   0.132015                                                22.44          
CITIGROUP GLOBALMARKETS  17330PV89 07/12/22 07/10/25    100.000     0.000     4.3820     65.78   0.127084   0.129869   0.132714   0.135622               47.21    25.61 
CITIGROUP GLOBALMARKETS  17330PVC0 06/29/22 06/27/25    100.000     0.000     4.5780     70.53   0.136067   0.139181   0.142367                          49.57    25.06 
CITIGROUP GLOBALMARKETS  17330AZX3 05/04/22 05/04/27    100.000     0.000     4.3130     73.38   0.127725   0.130479   0.133293   0.136167  0.139104     46.79    48.83 
CITIGROUP INC            17290AFJ4 09/22/22 09/22/37     42.925     0.000     5.7120     32.00   0.072054   0.074112   0.076229   0.078406  0.080645     26.72    28.27 
CLEVELAND-CLIFFS INC     185899AE1 03/16/20 03/15/27     81.330     7.000    10.8801     84.09   0.074388   0.078435   0.082702   0.087201  0.091945     28.39    31.56 
CLEVELAND-CLIFFS INC     U1852LAD9 03/16/20 03/15/27     81.330     7.000    10.8801     84.09   0.074388   0.078435   0.082702   0.087201  0.091945     28.39    31.56 
CLINT TEX INDPT SCH DIST 187270G31 09/29/20 02/15/24     97.067     0.000     0.8832     28.26   0.024426                                                 1.07          
CLINT TEX INDPT SCH DIST 187270G64 09/29/20 02/15/27     91.776     0.000     1.3501     41.10   0.035777   0.036018   0.036261   0.036506  0.036753     12.99    13.16 
CLINT TEX INDPT SCH DIST 187270G72 09/29/20 02/15/28     88.641     0.000     1.6409     48.45   0.042349   0.042697   0.043047   0.043400  0.043756     15.40    15.66 
CLINT TEX INDPT SCH DIST 187270G49 09/29/20 02/15/25     95.506     0.000     1.0530     33.23   0.028794   0.028945   0.029098                          10.43     1.28 
CLINT TEX INDPT SCH DIST 187270G56 09/29/20 02/15/26     93.518     0.000     1.2500     38.73   0.033657   0.033867   0.034079   0.034292  0.034506     12.21    12.36 
CLINT TEX INDPT SCH DIST 187270G80 09/29/20 02/15/29     86.482     0.000     1.7410     50.22   0.043964   0.044346   0.044732   0.045122  0.045515     16.00    16.28 
CLINT TEX INDPT SCH DIST 187270G98 09/29/20 02/15/30     84.210     0.000     1.8409     51.78   0.045395   0.045813   0.046234   0.046660  0.047089     16.53    16.84 
CLINT TEX INDPT SCH DIST 187270H48 09/29/20 02/15/33     76.828     0.000     2.1408     55.17   0.048576   0.049096   0.049621   0.050152  0.050689     17.72    18.10 
CLINT TEX INDPT SCH DIST 187270H55 09/29/20 02/15/34     74.122     0.000     2.2509     56.05   0.049428   0.049984   0.050547   0.051116  0.051691     18.05    18.46 
CLINT TEX INDPT SCH DIST 187270H22 09/29/20 02/15/31     81.919     0.000     1.9309     52.90   0.046437   0.046885   0.047338   0.047795  0.048256     16.92    17.25 
CLINT TEX INDPT SCH DIST 187270H30 09/29/20 02/15/32     79.370     0.000     2.0409     54.26   0.047704   0.048190   0.048682   0.049179  0.049681     17.39    17.75 
CLINTON CNTY ILL SCH DIS 18739CAP8 08/24/21 12/01/24    100.000     1.000     0.9984     23.54   0.027734   0.027734                                      9.15          
CLINTON CNTY ILL SCH DIS 18739CAQ6 08/24/21 12/01/25    100.000     1.150     1.1484     27.09   0.031900   0.031900   0.031900   0.031899               11.48    10.53 
CLINTON CNTY ILL SCH DIS 18739CAR4 08/24/21 12/01/26    100.000     1.300     1.2983     30.63   0.036066   0.036065   0.036065   0.036065  0.036064     12.98    12.98 
CLINTON CNTY ILL SCH DIS 18739CAS2 08/24/21 12/01/27    100.000     1.500     1.4981     35.36   0.041616   0.041616   0.041616   0.041615  0.041615     14.98    14.98 
COLUMBUS-FRANKLIN CNTY   19909PAK2 03/18/21 06/15/25     93.000     8.750    10.8515     42.41   0.049817   0.052520   0.055370                          18.51     9.08 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

COLUMBUS-FRANKLIN CNTY   19909PAG1 03/11/21 06/15/27     93.000     8.750    10.2938     26.06   0.030179   0.031732   0.033365   0.035083  0.036888     11.19    12.38 
COOK CNTY ILL SCH DIST   214183KP9 06/15/10 06/01/30     25.818     0.000     6.8998    388.96   0.123323   0.127578   0.131979   0.136532  0.141242     45.42    48.61 
COOK CNTY ILL SCH DIST   214183KR5 06/15/10 12/01/26     33.796     0.000     6.6998    487.24   0.152721   0.157837   0.163124   0.168589  0.174236     56.21    60.04 
COOK CNTY ILL SCH DIST   214183KS3 06/15/10 12/01/27     31.375     0.000     6.7498    457.37   0.143771   0.148623   0.153639   0.158824  0.164185     52.93    56.56 
COOK CNTY ILL SCH DIST   214183KT1 06/15/10 12/01/28     29.098     0.000     6.7998    428.89   0.135206   0.139803   0.144556   0.149471  0.154552     49.78    53.22 
COOK CNTY ILL SCH DIST   214183KU8 06/15/10 12/01/29     26.961     0.000     6.8498    401.77   0.127021   0.131372   0.135871   0.140524  0.145337     46.78    50.04 
COPPELL TEX INDPT SCH DI 217490CN9 10/22/20 08/15/24     97.081     0.000     0.7782     24.37   0.021450   0.021533                                      4.82          
COPPELL TEX INDPT SCH DI 217490CP4 10/22/20 08/15/25     95.732     0.000     0.9081     28.09   0.024772   0.024884   0.024997   0.025111                8.97     5.62 
COPPELL TEX INDPT SCH DI 217490EF4 04/22/21 08/15/25     95.194     0.000     1.1449     29.71   0.031085   0.031263   0.031442   0.031622               11.27     7.08 
COPPELL TEX INDPT SCH DI 217490EG2 04/22/21 08/15/26     93.222     0.000     1.3251     33.74   0.035378   0.035612   0.035848   0.036086  0.036325     12.84    13.01 
COPPELL TEX INDPT SCH DI 217490EE7 04/22/21 08/15/24     97.594     0.000     0.7362     19.50   0.020301   0.020375                                      4.56          
CORONADO FINANCE PTY LTD Q2874LAA2 05/12/21 05/15/26     98.122    10.750    11.2507      8.61   0.010579   0.011174   0.011802   0.012466  0.013167      3.97     4.43 
CORONADO FINANCE PTY LTD 21979LAA4 05/12/21 05/15/26     98.122    10.750    11.2507      8.61   0.010579   0.011174   0.011802   0.012466  0.013167      3.97     4.43 
CORSICANA TEX INDPT SCH  220435SA0 07/21/20 02/15/25     93.644     0.000     1.4431     47.56   0.039232   0.039515   0.039800                          14.25     1.75 
CORSICANA TEX INDPT SCH  220435SB8 07/21/20 02/15/26     91.047     0.000     1.6920     54.41   0.045061   0.045442   0.045826   0.046214  0.046605     16.39    16.67 
CORSICANA TEX INDPT SCH  220435RZ6 07/21/20 02/15/24     95.338     0.000     1.3430     44.99   0.037056                                                 1.63          
CREDIT AGRICOLE          22533AN60 03/06/24 03/05/26    100.000     0.000     5.1049                        0.141803   0.145402   0.149113  0.152919     42.25    53.88 
CREDIT AGRICOLE          22533AND5 03/13/24 03/12/26    100.000     0.000     5.1049                        0.141803   0.145402   0.149113  0.152919     41.23    53.83 
CREDIT AGRICOLE CORP     22533AK63 06/21/23 06/20/28    100.000     0.000     4.1100     21.72   0.116500   0.118894   0.121337   0.123831  0.126375     42.42    44.19 
CREDIT AGRICOLE CORPORAT 22533AES2 10/20/21 10/20/31    100.000    VARIES     1.8471     40.03   0.050313   0.050371   0.050430   0.050489  0.050549     18.13    18.17 
CREDIT AGRICOLE CORPORAT 22533ADU8 05/26/21 05/26/36    100.000    VARIES     2.1485     55.80   0.059679   0.059679   0.059679   0.059679  0.059679     21.48    21.48 
CREDIT AGRICOLE CORPORAT 22533AE29 06/11/21 06/11/36    100.000    VARIES     2.0640     52.75   0.057332   0.057332   0.057332   0.057332  0.057332     20.64    20.64 
CREDIT SUISSE AG LONDON  22551N4R4 11/07/19 11/07/29    100.000     0.000     2.4600    106.81   0.075354   0.076280   0.077219   0.078168  0.079130     27.39    28.07 
CREDIT SUISSE AG LONDON  22553PPZ6 03/30/22 03/30/26    100.000     0.000     3.4399     61.64   0.100568   0.102298   0.104058   0.105847  0.107668     36.83    38.11 
CREDIT SUISSE AG LONDON  22551NWN2 04/07/20 04/07/25    100.000     0.000     2.4500     95.19   0.074111   0.075019   0.075938                          27.00     7.29 
CREDIT SUISSE AG LONDON  22553PR43 04/07/22 04/09/25    100.000     0.000     3.4699     61.48   0.101508   0.103270   0.105061                          37.15    10.30 
CREDIT SUISSE AG LONDON  22553PR76 04/07/22 04/09/25    100.000     0.000     3.4699     61.48   0.101508   0.103270   0.105061                          37.15    10.30 
CREDIT SUISSE AG LONDON  22552XNX7 07/01/21 07/03/28    100.000     0.000     1.8775     47.83   0.054144   0.054652   0.055165   0.055683  0.056206     19.77    20.14 
CREDIT SUISSE AG LONDON  22551NY67 04/21/20 04/21/25    100.000     0.000     2.6886    103.72   0.082001   0.083103   0.084220                          29.87     9.26 
CREDIT SUISSE AG LONDON  22551NH58 01/31/20 05/02/24    100.000     0.000     1.8197     73.60   0.054107                                                 6.55          
CREDIT SUISSE AG LONDON  22551NXV3 04/24/20 10/22/25    100.000     0.000     1.8700     71.03   0.055435   0.055953   0.056476   0.057004               20.12    16.53 
CREDIT SUISSE AG LONDON  22553PRR2 05/04/22 05/02/25    100.000     0.000     4.0400     68.63   0.119135   0.121542   0.123997                          43.61    15.00 
CREDIT SUISSE AG LONDON  22553PRP6 04/28/22 04/29/27    100.000     0.000     3.9900     68.46   0.117612   0.119958   0.122351   0.124792  0.127282     43.06    44.79 
CREDIT SUISSE AG LONDON  22551NHA7 01/31/20 07/31/25    100.000     0.000     2.0500     83.23   0.061158   0.061785   0.062418   0.063058               22.32    13.16 
CREDIT SUISSE AG LONDON  22551NHB5 01/31/20 01/31/24    100.000     0.000     1.7401     70.27   0.051357                                                 1.49          
CREDIT SUISSE AG LONDON  22552WLX1 09/24/20 09/24/27    100.000     0.000     1.2420     41.32   0.035806   0.036029   0.036252   0.036478  0.036704     12.97    13.14 
CREDIT SUISSE AG LONDON  22550V521 03/31/20 03/31/25    100.000     0.000     3.1499    124.48   0.097612   0.099149   0.100711                          35.70     8.96 
CREDIT SUISSE AG LONDON  22551NAX4 12/02/19 12/01/26    100.000     0.000     2.2800     96.93   0.069341   0.070131   0.070931   0.071740  0.072557     25.15    25.73 
CREDIT SUISSE AG LONDON  22551NCE4 12/30/19 06/27/25    100.000     0.000     2.3800     99.34   0.072659   0.073524   0.074399                          26.32    13.09 
CREDIT SUISSE AG LONDON  22552FY97 10/25/19 04/28/25    100.000     0.000     2.1699     94.50   0.065723   0.066436   0.067157                          23.88     7.86 
CREDIT SUISSE AG LONDON  22551N4H6 11/29/19 05/29/25    100.000     0.000     2.2500     95.81   0.068351   0.069120   0.069897                          24.79    10.34 
CREDIT SUISSE AG LONDON  22552J336 03/21/22 04/04/29    100.000     0.000     3.5998     65.54   0.105630   0.107531   0.109467   0.111437  0.113443     38.70    40.11 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CREDIT SUISSE AG LONDON  22551NNC6 02/28/20 08/29/24    100.000     0.000     1.7501     69.24   0.051673   0.052125                                     12.38          
CREDIT SUISSE AG LONDON  22549JY95 08/14/19 03/25/24    100.000     0.125     2.2368    102.13   0.067754                                                 5.69          
CREDIT SUISSE AG LONDON  22552W3S2 05/27/20 11/26/25    100.000     0.000     1.5600     57.45   0.045754   0.046111   0.046471   0.046833               16.56    15.17 
CREDIT SUISSE AG LONDON  22552XDE0 03/02/21 03/02/28    100.000     0.000     1.6030     46.24   0.046342   0.046713   0.047088   0.047465  0.047846     16.84    17.11 
CREDIT SUISSE AG LONDON  22551NMV5 02/28/20 03/02/26    100.000     0.000     1.7500     69.24   0.051678   0.052130   0.052587   0.053047  0.053511     18.79    19.12 
CREDIT SUISSE AG LONDON  22551NMX1 02/28/20 02/28/24    100.000     0.000     1.5699     61.92   0.046063                                                 2.63          
CREDIT SUISSE AG LONDON  22553PYE3 05/26/22 05/27/25    100.000     0.000     4.0300     65.83   0.118862   0.121257   0.123700                          43.39    18.06 
CREDIT SUISSE AG LONDON  22553QNV5 12/05/22 06/04/24    100.000     0.000     8.2700     90.90   0.249058                                                38.11          
CREDIT SUISSE AG LONDON  22553PV89 05/18/22 05/18/27    100.000     0.000     4.3100     71.54   0.127630   0.130381   0.133190   0.136061  0.138993     46.68    48.71 
CREDIT SUISSE AG LONDON  22553PXR5 05/18/22 05/17/29    100.000     0.000     4.4700     74.27   0.132663   0.135628   0.138660   0.141759  0.144927     48.56    50.75 
CREDIT SUISSE AG NASSAU  22549K2A4 06/23/17 06/24/24    100.000     0.500     1.9627    133.87   0.060028                                                10.38          
CREDIT SUISSE AG, LON BR 22553Q2R7 06/03/22 06/03/26    100.000     0.000     4.1000     66.16   0.121038   0.123519   0.126051   0.128635  0.131272     44.16    45.99 
CREDIT SUISSE AG, LON BR 22553Q3X3 06/30/22 07/01/27    100.000     0.000     4.9800     76.72   0.148946   0.148946   0.156456   0.156456  0.164345     54.29    57.03 
CREDIT SUISSE AG, LON BR 22553Q5J2 06/15/22 06/13/25    100.000     0.000     4.4100     69.72   0.130752   0.133635   0.136582                          47.69    22.13 
CREDIT SUISSE AG, LON BR 22553PZM4 06/13/22 06/13/24    100.000     0.000     3.8900     61.55   0.114484                                                18.55          
CREDIT SUISSE AG, LON BR 22552J856 06/29/22 06/29/27    100.000     0.000     4.7600     73.40   0.141889   0.145266   0.148724   0.152263  0.155887     51.70    54.19 
CREDIT SUISSE AG, LON BR 22553PVE6 05/31/22 05/28/27    100.000     0.000     4.2800     69.52   0.126657   0.129367   0.132135   0.134963  0.137851     46.27    48.27 
CREDIT SUISSE AG, LON BR 22553PVF3 06/03/22 06/04/25    100.000     0.000     3.7100     59.74   0.108909   0.110929   0.112987                          39.68    17.29 
CREDIT SUISSE AG, LONDON 22553QBX4 08/03/22 08/01/25    100.000     0.000     4.1800     60.15   0.120988   0.123516   0.126098   0.128733               44.78    26.95 
CREDIT SUISSE AG, LONDON 22553QCG0 08/04/22 08/05/27    100.000     0.000     4.9500     71.34   0.144410   0.147984   0.151647   0.155400  0.159246     53.69    56.38 
CREDIT SUISSE AG, LONDON 22553QDE4 08/03/22 08/01/25    100.000     0.000     4.6000     66.32   0.133690   0.136765   0.139910   0.143128               49.61    29.96 
CREDIT SUISSE AG, LONDON 22553QDQ7 08/04/22 02/04/26    100.000     0.000     4.3500     62.52   0.126147   0.128890   0.131694   0.134558  0.137485     46.72    48.78 
CREDIT SUISSE AG, LONDON 22553QEE3 08/03/22 08/01/25    100.000     0.000     4.6000     66.32   0.133690   0.136765   0.139910   0.143128               49.61    29.96 
CREDIT SUISSE AG, LONDON 22553QEQ6 08/03/22 08/03/27    100.000     0.000     4.7200     68.09   0.137373   0.140615   0.143933   0.147330  0.150807     51.01    53.44 
CREDIT SUISSE AG, LONDON 22553QAL1 08/02/22 08/02/27    100.000     0.000     4.4300     63.95   0.128567   0.131415   0.134326   0.137301  0.140342     47.65    49.79 
CREDIT SUISSE AG, LONDON 22553QAW7 07/06/22 07/06/26    100.000     0.000     4.4800     68.07   0.130082   0.132996   0.135975   0.139021  0.142135     48.39    50.58 
CREDIT SUISSE AG, LONDON 22553QFL6 08/17/22 02/18/25    100.000     0.000     4.3800     61.30   0.127069   0.129852   0.132696                          46.99     6.24 
CREDIT SUISSE AG, LONDON 22553QGH4 08/18/22 08/20/26    100.000     0.000     4.3700     61.04   0.126782   0.129553   0.132383   0.135276  0.138232     46.87    48.94 
CREDIT SUISSE AG, LONDON 22553QGG6 08/18/22 08/20/25    100.000     0.000     4.3800     61.18   0.127085   0.129868   0.132712   0.135619               46.99    30.91 
CREDIT SUISSE AG, LONDON 22553QGJ0 08/18/22 08/19/27    100.000     0.000     4.3800     61.18   0.127069   0.129852   0.132696   0.135602  0.138571     46.99    49.07 
CREDIT SUISSE AG, LONDON 22553QGR2 08/31/22 08/29/25    100.000     0.000     5.1800     70.80   0.151418   0.155339   0.159363   0.163467               56.19    38.67 
CREDIT SUISSE AG, LONDON 22553QQK6 02/14/23 02/14/28    100.000    VARIES     6.4337      7.28   0.019099   0.019728   0.020376   0.020500  0.021500      7.13     7.50 
CREDIT SUISSE AG, LONDON 22553QR66 03/03/23 03/03/25    100.000     0.000     7.3800     61.98   0.212565   0.220408   0.228541                          79.82    14.17 
CREDIT SUISSE AG, LONDON 22553QR58 03/03/23 06/03/24    100.000     0.000     7.3500     61.84   0.215559                                                32.77          
CREDIT SUISSE AG, LONDON 22553QRD1 03/03/23 06/03/24    100.000     0.000     7.3500     61.84   0.215559                                                32.77          
CREDIT SUISSE AG, LONDON 22553QRR0 03/09/23 06/13/24    100.000     0.000     7.7000     63.46   0.226590                                                36.71          
CREDIT SUISSE AG, LONDON 22553QNT0 11/28/22 05/28/26    100.000     0.000     7.2500     80.95   0.216254   0.224093   0.232217   0.240635  0.249358     79.79    85.68 
CREDIT SUISSE AG,LONDON  22553QEW2 08/17/22 08/17/27    100.000     0.125     4.4400     66.96   0.139024   0.142033   0.145109   0.148253  0.151468     51.40    53.65 
CREDIT SUISSE AG,LONDON  22553QEW3 09/02/22 06/02/27    100.000     0.000     4.9800     67.76   0.147117   0.150780   0.154535   0.158383  0.162326     53.84    56.55 
CREDIT SUISSE AG,LONDON  22553QFJ1 08/31/22 08/29/25    100.000     0.000     5.1800     70.80   0.151418   0.155339   0.159363   0.163467               56.19    38.67 
CREDIT SUISSE AG,LONDON  22553QPB7 01/05/23 10/03/25    100.000     0.000     7.8500     79.52   0.230963   0.240028   0.249449   0.259240               86.41    69.61 
CREDIT SUISSE AG,LONDON  22553QPD3 01/05/23 07/03/24    100.000     0.000     7.9600     80.26   0.229814   0.238960                                     43.47          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CREDIT SUISSE AG,LONDON  22553QPC5 01/05/23 01/05/26    100.000     0.000     7.3900     74.41   0.212863   0.220728   0.228884   0.237341  0.246111     80.87    86.95 
CREDIT SUISSE AG,LONDON  22553QG84 09/07/22 10/06/27    100.000     0.000     5.2700     71.03   0.154860   0.158940   0.163129   0.167427  0.171839     57.19    60.24 
CREDIT SUISSE AG,LONDON  22553QFU6 08/31/22 08/31/27    100.000     0.000     5.3000     72.47   0.155128   0.159216   0.163459   0.167743  0.172237     57.59    60.69 
CREDIT SUISSE AG,LONDON  22553QGCS 08/12/22 08/14/24    100.000     0.000     4.5500     64.40   0.132238   0.135247                                     30.03          
CREDIT SUISSE AG,LONDON  22553QGM3 08/19/22 08/20/26    100.000     0.000     4.6300     64.61   0.134652   0.137769   0.140958   0.144221  0.147560     49.86    52.20 
CREDIT SUISSE AG,LONDON  22553QGL5 08/19/22 08/21/25    100.000     0.000     4.6000     64.18   0.133757   0.136834   0.139981   0.143200               49.52    32.78 
CREDIT SUISSE AG,LONDON  22553QH26 08/19/22 08/17/27    100.000     0.000     4.5200     63.04   0.131263   0.134229   0.137263   0.140365  0.143537     48.59    50.81 
CREDIT SUISSE AG,LONDON  22553QHK6 09/06/22 09/05/24    100.000     0.000     4.9600     66.86   0.144677   0.148265                                     35.95          
CREDIT SUISSE AG,LONDON  22553QHJ9 08/23/22 08/23/27    100.000     0.000     4.7700     66.05   0.138896   0.142208   0.145600   0.149073  0.152628     51.46    53.94 
CREDIT SUSSE AG LONDON   22553QKQ9 10/06/22 10/08/26    100.000     0.000     6.7400     85.55   0.200129   0.206873   0.213844   0.221051  0.228500     74.40    79.50 
CROSBY TEX INDPT SCH DIS 227381VA5 12/17/20 02/15/29     85.602     0.000     1.9139     51.03   0.047876   0.048334   0.048796   0.049263  0.049735     17.44    17.78 
CROSBY TEX INDPT SCH DIS 227381VB3 12/17/20 02/15/30     83.152     0.000     2.0240     52.49   0.049324   0.049823   0.050327   0.050837  0.051351     17.98    18.35 
CROSBY TEX INDPT SCH DIS 227381UV0 12/17/20 02/15/24     96.792     0.000     1.0340     30.82   0.028576                                                 1.26          
CROSBY TEX INDPT SCH DIS 227381UW8 12/17/20 02/15/25     95.206     0.000     1.1840     34.78   0.032312   0.032504   0.032696                          11.72     1.44 
CROSBY TEX INDPT SCH DIS 227381UX6 12/17/20 02/15/26     92.947     0.000     1.4221     40.91   0.038127   0.038398   0.038671   0.038946  0.039223     13.85    14.05 
CROSBY TEX INDPT SCH DIS 227381UY4 12/17/20 02/15/27     90.747     0.000     1.5820     44.53   0.041588   0.041916   0.042248   0.042582  0.042919     15.12    15.36 
CROSBY TEX INDPT SCH DIS 227381UZ1 12/17/20 02/15/28     87.931     0.000     1.8040     49.34   0.046221   0.046638   0.047059   0.047483  0.047912     16.83    17.13 
CROWLEY TEX INDPT SCH DI 228130HN3 10/22/20 08/01/24     97.246     0.000     0.7411     23.24   0.020434   0.020510                                      4.30          
CROWLEY TEX INDPT SCH DI 228130HQ6 10/22/20 08/01/26     93.899     0.000     1.0930     33.25   0.029383   0.029544   0.029705   0.029868  0.030031     10.66    10.77 
CROWLEY TEX INDPT SCH DI 228130HP8 10/22/20 08/01/25     95.934     0.000     0.8712     26.99   0.023782   0.023885   0.023989   0.024094                8.61     5.06 
Canadian Imperial Bank   13607Y238 10/27/23 10/30/26    100.000     0.000     6.0679     10.79   0.168638   0.173754   0.179026   0.184458  0.190054     62.26    66.10 
Canadian Imperial Bank   13607Y295 09/29/23 09/25/26    100.000     0.000     5.6307     14.39   0.156408   0.160714   0.165239   0.169891  0.174674     57.93    61.23 
Canadian Imperial Bank   13607Y261 09/29/23 09/25/26    100.000     0.000     5.6307     14.39   0.156408   0.160714   0.165239   0.169891  0.174674     57.93    61.23 
Canadian Imperial Bank   13607Y352 08/24/23 08/28/26    100.000     0.000     5.5140     19.46   0.153261   0.157486   0.161828   0.166289  0.170874     56.99    60.17 
Canadian Imperial Bank   13607Y469 07/20/23 08/31/26    100.000     0.000     5.3500     24.03   0.149495   0.153471   0.157599   0.161768  0.166144     55.52    58.53 
Canadian Imperial Bank   13607Y493 06/30/23 06/26/26    100.000     0.000     5.2700     26.52   0.150161   0.154117   0.158178   0.162346  0.166624     54.81    57.74 
Canadian Imperial Bank   13607Y592 05/18/23 05/29/26    100.000     0.000     4.6265     28.79   0.131673   0.134719   0.137835   0.141023  0.144286     48.15    50.40 
Canadian Imperial Bank   13607XLK1 08/06/23 09/05/29    100.000     0.000     5.4848     22.17   0.153029   0.157225   0.161537   0.165967  0.170519     56.83    59.99 
Canadian Imperial Bank   13607XM87 08/16/23 08/16/28    100.000    VARIES     6.4714      2.19   0.016226   0.016752   0.016701   0.016647  0.016593      6.00     5.99 
Canadian Imperial Bank   13607XLX3 08/02/23 08/02/27    100.000     0.000     5.3193     22.02   0.147758   0.151688   0.155723   0.159864  0.164116     55.09    58.06 
Canadian Imperial Bank   13607XMK0 08/31/23 09/02/25    100.000    VARIES     6.2586      1.00   0.008211   0.008468   0.008386   0.008301  0.008200      3.02     2.00 
Canadian Imperial Bank   13607XN60 09/15/23 09/15/28    100.000    VARIES     6.4657      1.07   0.010076   0.010046   0.010013   0.009973  0.009938      3.62     3.59 
Canadian Imperial Bank   13607XN78 09/18/23 09/18/26    100.000    VARIES     6.5807      1.14   0.011048   0.010388   0.009707   0.010026  0.010356      3.72     3.62 
Canadian Imperial Bank   13607Y105 02/02/23 01/26/29    100.000     0.000     4.5776     42.27   0.129969   0.132944   0.135986   0.139099  0.142283     48.26    50.49 
Canadian Imperial Bank   13607W513 08/04/22 07/28/28    100.000     0.000     4.0510     58.14   0.117055   0.119426   0.121845   0.124313  0.126831     43.30    45.07 
Canadian Imperial Bank   13608M324 09/19/23 09/19/28    100.000     0.000     5.6016     15.87   0.155600   0.159958   0.164438   0.169044  0.173778     57.70    60.98 
Canadian Imperial Bank   13607XK22 06/27/23 06/27/26    100.000    VARIES     6.2300      1.63   0.007414   0.005397   0.005564   0.005771  0.005953      2.30     2.05 
Canadian Imperial Bank   13607XKF3 08/02/23 05/04/26    100.000     0.000     5.3193     22.13   0.149767   0.153750   0.157839   0.162037  0.166347     55.09    58.06 
Canadian Imperial Bank   13607XKG1 08/02/23 08/02/29    100.000     0.000     5.3059     21.96   0.147386   0.151296   0.155310   0.159430  0.163660     54.94    57.90 
Canadian Imperial Bank   13608J537 10/27/23 10/27/28    100.000     0.000     6.2717     11.15   0.174214   0.179677   0.185311   0.191122  0.197116     64.41    68.51 
Canadian Imperial Bank   13607Y774 03/23/23 03/27/26    100.000     0.000     5.0268     39.17   0.143223   0.146823   0.150513   0.154296  0.158174     52.89    55.59 
Canadian Imperial Bank   13607Y873 03/09/23 02/23/29    100.000     0.000     5.1633     42.31   0.146799   0.150588   0.154476   0.158464  0.162555     54.51    57.36 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Canadian Imperial Bank   13607Y808 02/16/23 02/27/26    100.000     0.000     4.7340     41.87   0.134807   0.137998   0.141265   0.144608  0.148031     49.91    52.30 
Canadian Imperial Bank   13607XF85 02/01/23 08/06/24    100.000     0.000     4.8707     45.16   0.138686   0.142063                                     30.43          
Canadian Imperial Bank   13607XFC6 03/02/23 03/02/27    100.000     0.000     5.1926     43.57   0.147984   0.151826   0.155768   0.159812  0.163961     54.89    57.78 
Canadian Imperial Bank   13607W349 11/03/22 10/27/28    100.000     0.000     5.6745     67.24   0.166543   0.171268   0.176128   0.181125  0.186264     61.42    64.95 
Canadian Imperial Bank   13607XGX9 05/02/23 05/03/27    100.000     0.000     4.6265     30.89   0.131503   0.134545   0.137658   0.140842  0.144100     48.25    50.50 
Canadian Pacific Railway 13648TAD9 04/19/23 05/15/43     86.549     4.300     5.4100      2.67   0.010833   0.011167   0.011444   0.011778  0.012111      3.99     4.21 
Canadian Pacific Railway 13648TAC1 04/19/23 11/15/29     89.925     4.670     2.8750      9.34   0.037833   0.038722   0.039667   0.040556  0.041500     13.87    14.53 
Canadian Pacific Railway 13648TAB3 04/19/23 06/01/26     95.979     4.520     3.1250      8.55   0.034722   0.035500   0.036333   0.037111  0.038000     12.69    13.27 
Canadian Pacific Railway 13648TAH0 04/19/23 11/15/69     79.755     4.200     5.3900      0.70   0.002889   0.002944   0.003000   0.003167  0.003278      1.05     1.11 
Canadian Pacific Railway 13648TAG2 04/19/23 05/01/50     74.921     3.500     5.2500      3.03   0.012278   0.012611   0.012944   0.013278  0.013667      4.52     4.77 
Canadian Pacific Railway 13648TAF4 04/19/23 05/01/48     90.782     4.700     5.3700      1.26   0.005111   0.005222   0.005389   0.005556  0.005667      1.88     1.98 
Canadian Pacific Railway 13648TAE7 04/19/23 08/15/45     93.689     4.950     5.4400      1.04   0.004167   0.004333   0.004444   0.004556  0.004667      1.56     1.65 
Carol Stream, IL         143735TZ1 12/30/11 11/01/25     42.963     0.000     6.1994    464.57   0.152411   0.157135   0.162006   0.167028               56.29    49.51 
Carol Stream, IL         143735TY4 12/30/11 11/01/24     46.530     0.000     6.0492    486.34   0.158313   0.163101                                     48.36          
Carol Stream, IL         143735UC0 12/30/11 11/01/28     33.512     0.000     6.5994    395.61   0.132499   0.136871   0.141388   0.146053  0.150872     49.02    52.31 
Carol Stream, IL         143735UB2 12/30/11 11/01/27     36.593     0.000     6.4493    418.18   0.138978   0.143459   0.148085   0.152860  0.157790     51.39    54.75 
Carol Stream, IL         143735UA4 12/30/11 11/01/26     39.556     0.000     6.3493    442.23   0.146213   0.150854   0.155644   0.160585  0.165683     54.04    57.52 
Carol Stream, IL         143735UF3 12/30/11 11/01/31     26.288     0.000     6.8495    327.24   0.111011   0.114813   0.118745   0.122812  0.127018     41.11    43.98 
Carol Stream, IL         143735UE6 12/30/11 11/01/30     28.377     0.000     6.7995    349.55   0.118277   0.122298   0.126456   0.130755  0.135201     43.79    46.82 
Carol Stream, IL         143735UD8 12/30/11 11/01/29     30.868     0.000     6.6994    372.27   0.125320   0.129518   0.133857   0.138340  0.142974     46.38    49.54 
Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29    100.000    VARIES     9.9395   7885.48   2.234945   2.342829   2.456074   2.574948  2.699729    847.44   931.41 
Champaign County, IL     158199BB4 11/04/15 12/01/26     98.267    VARIES     4.1631    331.52   0.111436   0.111269   0.111099   0.111768  0.112450     40.08    40.16 
CitiGroup Global Markets 17291QJS4 09/13/23 03/13/25    100.000     0.000     5.6400     16.92   0.156667   0.161085   0.165627                          58.16    11.93 
CitiGroup Global Markets 17330PSN0 07/29/22 01/30/25    100.000     0.000     4.3620     63.32   0.126525   0.129284   0.132104                          46.89     3.83 
CitiGroup Global Markets 17291QJD7 08/30/23 09/03/24    100.000     0.000     5.6998     19.17   0.158403   0.162917                                     39.15          
CitiGroup Global Markets 17330PAF6 07/05/22 01/02/26    100.000     0.000     4.7240     72.00   0.137441   0.140688   0.144011   0.147412  0.150894     51.24    53.69 
CitiGroup Global Markets 17330PLN7 07/25/22 01/24/25    100.000     0.000     4.5580     66.76   0.132431   0.135450   0.138536                          49.18     3.19 
CitiGroup Global Markets 17291RUJ9 08/31/23 03/05/26    100.000     0.000     5.5330     18.61   0.153813   0.158068   0.162441   0.166935  0.171553     57.14    60.34 
CitiGroup Global Markets 17330PL49 07/29/22 07/31/24    100.000     0.000     4.3130     62.60   0.125043   0.127740                                     26.62          
CitiGroup Global Markets 17331AJC6 07/20/23 08/20/24    100.000     0.000     5.8504     26.27   0.163303   0.168080                                     38.26          
CitiGroup Global Markets 17291QAD6 08/18/23 08/18/28    100.000     0.000     5.3780     19.87   0.149389   0.153406   0.157531   0.161767  0.166117     55.59    58.62 
CitiGroup Global Markets 17330N542 07/29/22 07/31/24    100.000     0.000     4.3130     62.60   0.125043   0.127740                                     26.62          
CitiGroup Global Markets 17330PKE8 07/29/22 07/31/25    100.000     0.000     4.4110     64.05   0.128008   0.130831   0.133716   0.136666               47.45    28.48 
CitiGroup Global Markets 17330PKF5 07/27/22 07/25/25    100.000     0.000     4.4700     65.19   0.129747   0.132647   0.135612   0.138643               48.15    28.21 
CitiGroup Global Markets 17330PKH1 07/29/22 07/31/28    100.000     0.000     4.5870     66.66   0.133345   0.136404   0.139532   0.142732  0.146006     49.49    51.79 
CitiGroup Global Markets 17330PMR7 07/27/22 07/27/26    100.000     0.000     4.5090     65.77   0.130961   0.133914   0.136933   0.140020  0.143177     48.60    50.81 
CitiGroup Global Markets 17291RRK0 07/31/23 10/31/24    100.000     0.000     5.6781     23.95   0.159964   0.164505                                     48.65          
CitiGroup Global Markets 17291RXP2 08/31/23 08/31/28    100.000     0.000     5.4560     18.34   0.151556   0.155667   0.159937   0.164252  0.168782     56.32    59.43 
CitiGroup Global Markets 17291Q3K8 08/23/23 11/21/24    100.000     0.000     5.7380     20.49   0.161625   0.166262                                     52.55          
CitiGroup Global Markets 17291RGJ5 06/30/23 07/03/24    100.000     0.000     5.5648     27.99   0.154649   0.158952                                     28.92          
CitiGroup Global Markets 17291RXH0 09/06/23 03/05/25    100.000     0.000     5.5920     17.86   0.155333   0.159652   0.164116                          57.72    10.50 
CitiGroup Global Markets 17291RX31 09/06/23 12/05/24    100.000     0.000     5.7380     18.39   0.161650   0.166288                                     54.83          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CitiGroup Global Markets 17291Q2L7 08/31/23 08/31/28    100.000     0.000     5.4560     18.34   0.151556   0.155667   0.159937   0.164252  0.168782     56.32    59.43 
CitiGroup Global Markets 17291RWT5 08/31/23 09/03/25    100.000     0.000     5.6020     18.84   0.155684   0.160044   0.164527   0.169136               57.87    40.65 
CitiGroup Global Markets 17291RYU0 09/01/23 09/03/26    100.000     0.000     5.4850     18.29   0.152408   0.156587   0.160882   0.165294  0.169827     56.62    59.77 
CitiGroup Global Markets 17330PH77 07/29/22 07/29/27    100.000     0.000     4.5480     66.08   0.132144   0.135149   0.138223   0.141366  0.144580     49.04    51.29 
CitiGroup Global Markets 17330P5U9 07/06/22 07/06/26    100.000     0.000     4.7140     71.70   0.137190   0.140423   0.143733   0.147121  0.150589     51.12    53.55 
CitiGroup Global Markets 17330PJS9 07/29/22 07/31/25    100.000     0.000     4.4110     64.05   0.128008   0.130831   0.133716   0.136666               47.45    28.48 
CitiGroup Global Markets 17330PK99 08/01/22 07/30/27    100.000     0.000     4.5090     65.24   0.130945   0.133897   0.136916   0.140003  0.143159     48.57    50.79 
CitiGroup Global Markets 17291QB45 08/15/23 09/13/24    100.000     0.000     6.1360     23.27   0.171258   0.176512                                     44.10          
CitiGroup Global Markets 17291RUX8 08/08/23 11/08/24    100.000     0.000     5.6310     22.48   0.158619   0.163085                                     49.50          
CitiGroup Global Markets 17291RV33 09/06/23 03/05/26    100.000     0.000     5.3870     17.21   0.149639   0.153647   0.157786   0.162035  0.166400     55.54    58.57 
CitiGroup Global Markets 17291RUR1 09/06/23 09/05/25    100.000     0.000     5.4560     17.43   0.151556   0.155667   0.159914   0.164276               56.27    39.80 
CitiGroup Global Markets 17330PJH3 07/26/22 07/24/25    100.000     0.000     4.6560     68.09   0.135391   0.138543   0.141768   0.145068               50.31    29.37 
CitiGroup Global Markets 17291RWK4 08/31/23 03/05/25    100.000     0.000     5.7380     19.30   0.159516   0.164092   0.168800                          59.33    10.80 
CitiGroup Global Markets 17291RVT6 08/31/23 09/03/30    100.000     0.000     5.4170     18.22   0.150540   0.154618   0.158805   0.163107  0.167524     55.90    58.97 
CitiGroup Global Markets 17291QBL7 08/31/23 03/05/25    100.000     0.000     5.7380     19.30   0.159516   0.164092   0.168800                          59.33    10.80 
CitiGroup Global Markets 17291RW40 08/16/23 09/16/24    100.000     0.000     5.6597     21.30   0.157955   0.162425                                     41.08          
CitiGroup Global Markets 17330P3K3 07/06/22 07/03/25    100.000     0.000     4.6360     70.49   0.134766   0.137890   0.141086   0.144357               50.20    26.27 
CitiGroup Global Markets 17330PD55 07/29/22 01/30/25    100.000     0.000     4.3620     63.32   0.126525   0.129284   0.132104                          46.89     3.83 
CitiGroup Global Markets 17291Q7A6 08/23/23 02/21/25    100.000     0.000     5.6020     19.92   0.155611   0.159921   0.164401                          57.94     8.22 
CitiGroup Global Markets 17291Q6X7 08/23/23 08/23/28    100.000     0.000     5.5240     19.64   0.153444   0.157683   0.162038   0.166513  0.171112     57.10    60.30 
CitiGroup Global Markets 17291Q6U3 08/22/23 08/20/26    100.000     0.000     5.4850     19.65   0.152361   0.156493   0.160785   0.165195  0.169725     56.70    59.85 
CitiGroup Global Markets 17330PCA5 07/28/22 07/30/24    100.000     0.000     4.2350     61.57   0.122703   0.125301                                     26.11          
CitiGroup Global Markets 17330PCM9 08/02/22 07/31/25    100.000     0.000     4.3040     62.09   0.124727   0.127412   0.130153   0.132954               46.20    27.71 
CitiGroup Global Markets 17291RZL9 08/31/23 12/04/24    100.000     0.000     5.8640     19.78   0.165383   0.170232                                     55.95          
CitiGroup Global Markets 17291QFA7 09/13/23 09/11/25    100.000     0.000     5.5040     16.51   0.152889   0.157050   0.161372   0.165813               56.72    41.14 
CitiGroup Global Markets 17291RZG0 08/31/23 03/05/26    100.000     0.000     5.5330     18.61   0.153813   0.158068   0.162441   0.166935  0.171553     57.14    60.34 
CitiGroup Global Markets 17291RYZ9 08/31/23 09/03/26    100.000     0.000     5.4950     18.48   0.152709   0.156904   0.161215   0.165645  0.170196     56.73    59.89 
CitiGroup Global Markets 17291RYV8 08/31/23 06/02/26    100.000     0.000     5.5530     18.73   0.156439   0.160782   0.165247   0.169835  0.174550     57.36    60.58 
CitiGroup Global Markets 17330PES4 07/29/22 01/30/25    100.000     0.000     4.3620     63.32   0.126525   0.129284   0.132104                          46.89     3.83 
CitiGroup Global Markets 17330PV63 07/29/22 01/30/25    100.000     0.000     4.3620     63.32   0.126525   0.129284   0.132104                          46.89     3.83 
Citigroup Funding, Inc.  1730T0AK5 05/15/06 05/15/36     11.570     0.000     7.3200    295.23   0.082781   0.085810   0.088951   0.092207  0.095581     30.63    32.91 
Citigroup Funding, Inc.  1730T0TK5 05/30/13 05/30/33    100.000    VARIES     4.1925    393.09   0.111412   0.113201   0.114567   0.115961  0.117384     40.53    41.58 
Citigroup Funding, Inc.  1730T0BT5 02/14/07 02/14/37    100.000    VARIES     5.8404    954.41   0.158037   0.158141   0.158249   0.158359  0.158473     56.94    57.02 
Citigroup Funding, Inc.  1730T03J6 12/29/14 12/29/34    100.000    VARIES     4.3208    369.80   0.118117   0.118856   0.119612   0.120383  0.121172     42.66    43.20 
Citigroup Funding, Inc.  1730T0KZ1 11/09/10 11/09/30    100.000    VARIES     5.5699    627.59   0.139760   0.141056   0.142389   0.143477  0.144596     50.68    51.57 
Citigroup Funding, Inc.  1730T0KV0 11/19/10 11/19/30    100.000    VARIES     5.1246    623.28   0.135153   0.135587   0.136032   0.136488  0.136956     48.77    49.09 
Citigroup Funding, Inc.  1730T0HN2 04/29/10 04/29/30    100.000    VARIES     5.9942    712.76   0.150892   0.152123   0.153391   0.154696  0.155837     54.70    55.61 
Citigroup Funding, Inc.  1730T0GY9 04/28/09 04/28/24    100.000    VARIES     8.1832   1110.02   0.225268                                                26.36          
Citigroup Global Markets 17327TZ82 01/31/20 02/02/27    100.000     0.000     2.6047    106.77   0.079222   0.080254   0.081299   0.082358  0.083430     29.02    29.78 
Citigroup Global Markets 17324CHZ2 04/28/17 04/28/27    100.000    VARIES     2.7213     19.48   0.008422   0.008537   0.008653   0.008771  0.008890      3.07     3.15 
Citigroup Global Markets 17330AE24 02/23/22 02/22/27    100.000     0.000     2.8508     53.95   0.082618   0.083796   0.084990   0.086202  0.087430     30.26    31.13 
Citigroup Global Markets 17328VYS3 07/06/20 07/05/24    100.000     0.000     1.2060     42.81   0.034730   0.034940                                      6.43          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Global Markets 17330AE57 02/28/22 02/26/27    100.000     0.000     2.8999     54.48   0.084094   0.085313   0.086550   0.087805  0.089079     30.80    31.70 
Citigroup Global Markets 17329QCY4 08/04/21 08/03/28    100.000     0.000     1.8322     44.91   0.052782   0.053265   0.053753   0.054246  0.054743     19.23    19.59 
Citigroup Global Markets 17328VYQ7 07/31/20 08/02/27    100.000     0.000     1.5241     53.29   0.044313   0.044651   0.044991   0.045334  0.045679     16.11    16.36 
Citigroup Global Markets 17329QCW8 08/31/21 08/31/28    100.000     0.000     1.9013     45.21   0.054851   0.055369   0.055898   0.056424  0.056966     19.97    20.35 
Citigroup Global Markets 17330L454 04/05/22 04/05/29    100.000     0.000     3.6383     64.75   0.106680   0.108621   0.110597   0.112609  0.114657     39.09    40.53 
Citigroup Global Markets 17329FCW2 05/26/21 05/27/26    100.000     0.000     1.4552     38.38   0.041915   0.042220   0.042527   0.042836  0.043148     15.16    15.39 
Citigroup Global Markets 17328YQV9 02/19/21 02/19/41    100.000    VARIES     2.8472     80.02   0.075965   0.075481   0.075059   0.074690  0.074373     27.14    26.86 
Citigroup Global Markets 17330F2B6 04/11/22 08/09/24    100.000     0.000     3.6974     65.20   0.107830   0.109823                                     23.87          
Citigroup Global Markets 17328VHM5 03/31/20 07/01/24    100.000     0.000     3.2340    127.98   0.101331   0.101331                                     18.24          
Citigroup Global Markets 17329QD72 08/31/21 08/31/28    100.000     0.000     1.9013     45.21   0.054851   0.055369   0.055898   0.056424  0.056966     19.97    20.35 
Citigroup Global Markets 17329FTY0 08/04/21 08/04/26    100.000     0.000     1.4752     36.03   0.042199   0.042510   0.042824   0.043140  0.043458     15.34    15.57 
Citigroup Global Markets 17328YRG1 03/31/21 03/30/28    100.000     0.000     2.0694     58.32   0.060519   0.061145   0.061778   0.062417  0.063063     22.01    22.47 
Citigroup Global Markets 17328YRC0 04/06/21 04/06/26    100.000     0.000     1.6533     46.09   0.047856   0.048252   0.048651   0.049053  0.049458     17.37    17.66 
Citigroup Global Markets 17327THY5 11/01/19 11/01/24    100.000     0.000     2.5315    110.53   0.077763   0.078748                                     23.51          
Citigroup Global Markets 17329FUE2 07/01/21 12/31/26    100.000     0.000     1.7520     44.57   0.050833   0.051279   0.051728   0.052181  0.052638     18.38    18.70 
Citigroup Global Markets 17328VYX2 06/30/20 06/30/27    100.000     0.000     1.7917     64.47   0.052975   0.053450   0.053928   0.054412  0.054899     19.16    19.50 
Citigroup Global Markets 17329B848 04/21/21 05/07/26    100.000     0.000     1.5037     41.20   0.043392   0.043718   0.044047   0.044378  0.044712     15.72    15.95 
Citigroup Global Markets 17328YRL0 04/06/21 04/06/26    100.000     0.000     1.6533     46.09   0.047856   0.048252   0.048651   0.049053  0.049458     17.37    17.66 
Citigroup Global Markets 17329UPX3 02/03/22 02/04/27    100.000     0.000     2.4354     47.36   0.070158   0.071012   0.071877   0.072752  0.073638     25.66    26.29 
Citigroup Global Markets 17329F3J1 04/28/21 10/28/26    100.000     0.000     1.7233     46.98   0.049968   0.050399   0.050833   0.051271  0.051713     18.12    18.43 
Citigroup Global Markets 17330FC25 04/22/22 04/23/26    100.000     2.600     4.0001     68.63   0.114983   0.114394   0.116681   0.116126  0.118449     41.40    42.03 
Citigroup Global Markets 17330A3B6 03/02/22 03/02/29    100.000     0.000     3.0668     57.32   0.089167   0.090534   0.091922   0.093332  0.094763     32.67    33.68 
Citigroup Global Markets 17330FSR3 05/11/22 05/11/27    100.000     0.000     4.4129     74.21   0.130876   0.133764   0.136715   0.139732  0.142815     47.93    50.07 
Citigroup Global Markets 17330A3D2 02/25/22 02/25/27    100.000     0.000     2.8609     53.98   0.082928   0.084114   0.085317   0.086538  0.087775     30.37    31.24 
Citigroup Global Markets 17328WLC0 09/30/20 09/30/27    100.000     0.000     1.5842     52.68   0.046139   0.046505   0.046873   0.047245  0.047619     16.74    17.01 
Citigroup Global Markets 17329F3G7 05/05/21 05/05/26    100.000     0.000     1.5643     42.25   0.045178   0.045531   0.045887   0.046246  0.046608     16.37    16.62 
Citigroup Global Markets 17324CJ64 04/28/17 04/28/27    100.000    VARIES     2.8252     31.91   0.013526   0.013717   0.013911   0.014108  0.014307      4.93     5.07 
Citigroup Global Markets 17329QE89 09/02/21 03/04/27    100.000     0.000     1.6633     39.37   0.047763   0.048160   0.048561   0.048964  0.049372     17.36    17.65 
Citigroup Global Markets 17328YAT1 01/12/21 01/10/25    100.000     0.000     0.8580     25.75   0.024349   0.024453   0.024558                           8.82     0.22 
Citigroup Global Markets 17328YB37 01/06/21 01/08/29    100.000     0.000     1.5840     48.24   0.045775   0.046138   0.046503   0.046871  0.047243     16.67    16.94 
Citigroup Global Markets 17329FE42 06/30/21 06/29/28    100.000     0.000     1.9800     50.55   0.057774   0.058346   0.058923   0.059507  0.060096     20.90    21.32 
Citigroup Global Markets 17329F3P7 04/30/21 05/02/28    100.000     0.000     2.0793     56.79   0.060832   0.061464   0.062103   0.062749  0.063401     22.09    22.55 
Citigroup Global Markets 17329FE26 06/30/21 06/30/27    100.000     0.000     1.7920     45.66   0.052048   0.052514   0.052985   0.053460  0.053939     18.82    19.16 
Citigroup Global Markets 17328WJT6 08/12/20 08/12/25    100.000     0.000     1.0971     37.75   0.031492   0.031665   0.031838   0.032013               11.42     7.07 
Citigroup Global Markets 17330AU34 03/31/22 04/03/29    100.000     0.000     3.8243     68.70   0.112476   0.114627   0.116819   0.119052  0.121329     41.26    42.85 
Citigroup Global Markets 17327TXT8 09/10/19 09/10/24    100.000     0.250     2.3208    104.05   0.070030   0.070762                                     17.57          
Citigroup Global Markets 17330ACR1 02/25/22 02/25/32    100.000    VARIES     2.3569     43.00   0.064411   0.064795   0.064913   0.064867  0.064732     23.32    23.34 
Citigroup Global Markets 17328VXW5 07/06/20 07/06/28    100.000     0.000     1.8910     67.82   0.055580   0.056106   0.056636   0.057172  0.057712     20.29    20.67 
Citigroup Global Markets 17328VY79 08/05/20 08/05/25    100.000     0.000     1.2061     41.80   0.034734   0.034943   0.035154   0.035366               12.60     7.56 
Citigroup Global Markets 17329Q2K5 07/20/21 07/19/29    100.000     0.000     2.0691     51.67   0.059888   0.060507   0.061133   0.061766  0.062405     21.87    22.33 
Citigroup Global Markets 17328VYC8 06/30/20 06/30/27    100.000     0.000     1.7917     64.47   0.052975   0.053450   0.053928   0.054412  0.054899     19.16    19.50 
Citigroup Global Markets 17330FAM3 04/29/22 04/29/37    100.000    VARIES     2.3669     37.74   0.059194   0.059401   0.059611   0.059824  0.060039     21.37    21.52 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Global Markets 17328WKC1 09/21/20 09/21/27    100.000     0.000     1.4782     49.47   0.042916   0.043233   0.043553   0.043875  0.044199     15.57    15.80 
Citigroup Global Markets 17326YLW4 12/11/18 12/11/25    100.000    VARIES     3.4423     24.87   0.014097   0.014340   0.014587   0.014838                5.13     5.00 
Citigroup Global Markets 17328YQH0 02/26/21 02/28/28    100.000     0.000     1.7232     50.08   0.049970   0.050401   0.050835   0.051273  0.051715     18.17    18.49 
Citigroup Global Markets 17329FCF9 04/30/21 10/30/26    100.000     0.000     1.7623     47.96   0.051148   0.051599   0.052054   0.052513  0.052975     18.55    18.88 
Citigroup Global Markets 17329FCV4 06/30/21 06/29/28    100.000     0.000     1.9800     50.55   0.057774   0.058346   0.058923   0.059507  0.060096     20.90    21.32 
Citigroup Global Markets 17325E804 04/12/17 12/12/24    100.000     0.000     3.3138    247.18   0.114601   0.116500                                     39.42          
Citigroup Global Markets 17329FTW4 08/04/21 08/04/26    100.000     0.000     1.4752     36.03   0.042199   0.042510   0.042824   0.043140  0.043458     15.34    15.57 
Citigroup Global Markets 17329FD68 05/28/21 12/01/26    100.000     0.000     1.6332     43.06   0.047255   0.047640   0.048029   0.048422  0.048817     17.10    17.38 
Citigroup Global Markets 17329QU65 10/05/21 10/05/26    100.000     0.000     1.6533     37.56   0.047464   0.047856   0.048252   0.048651  0.049053     17.23    17.51 
Citigroup Global Markets 17329FD43 06/30/21 06/29/28    100.000     0.000     1.9800     50.55   0.057774   0.058346   0.058923   0.059507  0.060096     20.90    21.32 
Citigroup Global Markets 17330ATK8 04/01/22 04/01/27    100.000     0.000     3.6877     66.08   0.108207   0.110203   0.112235   0.114304  0.116412     39.68    41.15 
Citigroup Global Markets 17328YQP2 03/03/21 03/05/29    100.000     0.000     2.0693     59.96   0.060523   0.061149   0.061782   0.062421  0.063067     22.05    22.51 
Citigroup Global Markets 17330FAW1 04/26/22 04/26/32    100.000    VARIES     2.6165     42.79   0.069286   0.069466   0.069648   0.069832  0.070019     25.00    25.13 
Citigroup Global Markets 17324CHQ2 05/03/17 05/03/27    100.000    VARIES     2.7384     25.81   0.011071   0.011223   0.011376   0.011532  0.011690      4.03     4.14 
Citigroup Global Markets 17330ATL6 03/18/22 03/18/37    100.000    VARIES     4.0501     72.26   0.112316   0.112310   0.112306   0.112308  0.112317     40.43    40.43 
Citigroup Global Markets 17328YQN7 01/29/21 01/31/28    100.000     0.000     1.4841     44.16   0.042779   0.043097   0.043417   0.043739  0.044063     15.55    15.79 
Citigroup Global Markets 17330AFT4 02/15/22 02/15/37    100.000    VARIES     2.0896     38.39   0.056346   0.056821   0.057058   0.057135  0.057112     20.47    20.56 
Citigroup Global Markets 17330AWT5 03/08/22 03/08/29    100.000     0.000     3.0178     55.86   0.087679   0.089002   0.090345   0.091708  0.093092     32.10    33.08 
Citigroup Global Markets 17328VJW1 06/30/20 06/30/27    100.000     0.000     1.8120     65.22   0.053613   0.054099   0.054589   0.055084  0.055583     19.39    19.74 
Citigroup Global Markets 17324CKB1 07/06/17 07/06/27    100.000    VARIES     2.8475     33.69   0.014499   0.014705   0.014915   0.015127  0.015342      5.33     5.48 
Citigroup Global Markets 17330F4C2 04/21/22 04/22/27    100.000     0.000     4.0709     70.73   0.120142   0.122587   0.125082   0.127628  0.130226     44.03    45.84 
Citigroup Global Markets 17329QWA4 10/04/21 04/03/25    100.000     0.000     1.2163     27.56   0.034614   0.034824   0.035036                          12.54     3.22 
Citigroup Global Markets 17328VK58 05/19/20 11/18/27    100.000     0.000     2.4153     90.73   0.072969   0.073851   0.074742   0.075645  0.076559     26.50    27.15 
Citigroup Global Markets 17330AWY4 03/23/22 03/23/27    100.000     0.000     3.3824     61.28   0.098804   0.100475   0.102174   0.103902  0.105660     36.20    37.44 
Citigroup Global Markets 17330F4G3 05/06/22 05/08/24    100.000     0.000     3.9750     67.26   0.117157                                                14.88          
Citigroup Global Markets 17329F4Z4 04/28/21 10/28/26    100.000     0.000     1.7233     46.98   0.049968   0.050399   0.050833   0.051271  0.051713     18.12    18.43 
Citigroup Global Markets 17329QFJ4 09/30/21 04/01/27    100.000     0.000     1.7523     40.10   0.050407   0.050849   0.051295   0.051744  0.052197     18.31    18.63 
Citigroup Global Markets 17328WND6 11/04/20 11/04/25    100.000     0.000     1.2962     41.65   0.037428   0.037670   0.037915   0.038160               13.55    11.53 
Citigroup Global Markets 17330F4L2 04/29/22 04/30/26    100.000     2.200     4.1669     70.84   0.120562   0.120527   0.123038   0.123055  0.125619     43.54    44.45 
Citigroup Global Markets 17328Y2F0 12/28/20 12/26/25    100.000     0.000     1.1170     34.08   0.032080   0.032260   0.032440   0.032621               11.58    11.55 
Citigroup Global Markets 17330FEL1 04/28/22 04/30/24    100.000     0.000     3.8571     66.13   0.113484                                                13.50          
Citigroup Global Markets 17329FFH2 04/19/21 04/20/28    100.000     0.000     2.1036     58.14   0.061574   0.062222   0.062876   0.063538  0.064206     22.38    22.85 
Citigroup Global Markets 17328Y2D5 11/24/20 11/24/27    100.000     0.000     1.5489     49.04   0.045065   0.045414   0.045765   0.046120  0.046477     16.31    16.57 
Citigroup Global Markets 17328YTF1 03/01/21 02/27/26    100.000     0.000     1.1861     34.08   0.033933   0.034134   0.034336   0.034540  0.034745     12.30    12.45 
Citigroup Global Markets 17330AGB2 03/01/22 08/27/27    100.000     0.000     3.0769     57.61   0.089445   0.090821   0.092219   0.093637  0.095078     32.79    33.81 
Citigroup Global Markets 17328YCP7 01/29/21 01/30/31    100.000     0.000     2.0301     60.81   0.059317   0.059919   0.060527   0.061142  0.061762     21.65    22.09 
Citigroup Global Markets 17328YTQ7 03/23/21 09/23/24    100.000     0.000     1.0472     29.38   0.029859   0.030015                                      7.85          
Citigroup Global Markets 17328YCM4 01/29/21 01/30/31    100.000     0.000     2.0301     60.81   0.059317   0.059919   0.060527   0.061142  0.061762     21.65    22.09 
Citigroup Global Markets 17329F5L4 04/30/21 04/30/27    100.000     0.000     1.8423     50.18   0.053576   0.054070   0.054568   0.055071  0.055578     19.44    19.80 
Citigroup Global Markets 17328Y2W3 12/28/20 12/26/25    100.000     0.000     1.1170     34.08   0.032080   0.032260   0.032440   0.032621               11.58    11.55 
Citigroup Global Markets 17329FFZ2 05/28/21 05/31/28    100.000     0.000     1.9802     52.40   0.057789   0.058361   0.058939   0.059523  0.060112     20.94    21.36 
Citigroup Global Markets 17328WNR5 12/03/20 12/04/25    100.000     0.000     1.1771     36.78   0.033869   0.034069   0.034269   0.034471               12.24    11.45 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Global Markets 17330F3Y5 04/22/22 04/22/37    100.000    VARIES     4.9654     80.70   0.128406   0.128714   0.128420   0.128119  0.127682     46.28    46.13 
Citigroup Global Markets 17328Y2T0 12/24/20 12/27/27    100.000     0.000     1.4840     45.66   0.043098   0.043417   0.043739   0.044064  0.044391     15.58    15.81 
Citigroup Global Markets 17328Y2S2 12/24/20 12/27/27    100.000     0.000     1.4840     45.66   0.043098   0.043417   0.043739   0.044064  0.044391     15.58    15.81 
Citigroup Global Markets 17329F5V2 04/30/21 05/02/28    100.000     0.000     2.0793     56.79   0.060832   0.061464   0.062103   0.062749  0.063401     22.09    22.55 
Citigroup Global Markets 17329QEA4 09/30/21 10/02/28    100.000     0.000     1.9703     45.17   0.056927   0.057488   0.058054   0.058626  0.059203     20.69    21.10 
Citigroup Global Markets 17328VZX1 07/06/20 07/05/24    100.000     0.000     1.2060     42.81   0.034730   0.034940                                      6.43          
Citigroup Global Markets 17330FDA6 04/13/22 04/11/25    100.000     0.000     3.7088     65.16   0.108837   0.110855   0.112911                          39.87    11.29 
Citigroup Global Markets 17330AF56 02/28/22 02/28/29    100.000     0.000     3.0477     57.31   0.088589   0.089938   0.091309   0.092700  0.094113     32.47    33.47 
Citigroup Global Markets 17330AVU3 03/29/22 09/27/24    100.000     0.000     3.3938     60.90   0.099136   0.100818                                     26.67          
Citigroup Global Markets 17328WLU0 10/05/20 10/03/25    100.000     0.000     1.2962     42.74   0.037426   0.037669   0.037913   0.038158               13.56    10.36 
Citigroup Global Markets 17328VZR4 07/31/20 08/02/27    100.000     0.000     1.5241     53.29   0.044313   0.044651   0.044991   0.045334  0.045679     16.11    16.36 
Citigroup Global Markets 17329FVK7 06/16/21 06/16/31    100.000    VARIES     2.0752     51.70   0.055231   0.055207   0.055295   0.055460  0.055632     19.88    19.94 
Citigroup Global Markets 17329UQT1 01/31/22 01/29/27    100.000     0.000     2.3464     45.80   0.067494   0.068286   0.069087   0.069897  0.070717     24.68    25.26 
Citigroup Global Markets 17326YNT9 03/29/19 04/01/24    100.000     0.000     3.2016    163.09   0.102615                                                 9.24          
Citigroup Global Markets 17329FEG5 06/09/21 06/09/33    100.000    VARIES     2.0633     50.37   0.050056   0.048861   0.048438   0.048633  0.049135     17.77    17.49 
Citigroup Global Markets 17326YNS1 03/29/19 04/01/24    100.000     0.500     3.2003    161.53   0.100674                                                 9.06          
Citigroup Global Markets 17329FED2 06/02/21 06/01/26    100.000     0.000     1.4151     37.06   0.040718   0.041006   0.041297   0.041589  0.041883     14.73    14.94 
Citigroup Global Markets 17329F4C5 04/15/21 04/17/31    100.000     0.000     2.6134     72.95   0.077474   0.078487   0.079512   0.080551  0.081604     28.22    28.97 
Citigroup Global Markets 17328YBB9 02/03/21 02/03/26    100.000     0.000     1.0671     31.47   0.030441   0.030603   0.030766   0.030931  0.031096     11.04    11.15 
Citigroup Global Markets 17328VZZ6 08/05/20 08/05/25    100.000     0.000     1.2061     41.80   0.034734   0.034943   0.035154   0.035366               12.60     7.56 
Citigroup Global Markets 17330F2N0 03/31/22 03/31/37    100.000    VARIES     2.2180     37.06   0.055880   0.056499   0.057126   0.057665  0.057756     20.34    20.72 
Citigroup Global Markets 17328YBM5 12/21/20 12/21/40    100.000    VARIES     2.5695     74.86   0.066857   0.066581   0.066339   0.066141  0.065976     24.01    23.84 
Citigroup Global Markets 17329FVL5 07/30/21 07/31/31    100.000     0.000     2.2282     55.08   0.064698   0.065419   0.066148   0.066885  0.067630     23.64    24.17 
Citigroup Global Markets 17330FTV3 05/17/22 05/15/25    100.000     0.000     4.1696     69.28   0.123190   0.125759   0.128381                          45.05    17.20 
Citigroup Global Markets 17328WMR6 11/30/20 11/30/27    100.000     0.000     1.4941     47.01   0.043398   0.043723   0.044049   0.044378  0.044710     15.70    15.94 
Citigroup Global Markets 17328YSW5 02/22/21 02/22/41    100.000    VARIES     2.8536     78.97   0.074604   0.074044   0.073566   0.073166  0.072835     26.62    26.32 
Citigroup Global Markets 17329QVX5 09/15/21 09/15/33    100.000    VARIES     1.7790     39.75   0.046975   0.046748   0.046602   0.046520  0.046497     16.83    16.75 
Citigroup Global Markets 17330F2Z3 04/25/22 10/24/24    100.000     0.000     3.8764     66.81   0.114050   0.116261                                     33.81          
Citigroup Global Markets 17328YSU9 02/26/21 02/26/41    100.000    VARIES     2.9720     80.29   0.073412   0.071582   0.070832   0.070071  0.069742     25.78    25.23 
Citigroup Global Markets 17329FF74 05/26/21 05/26/27    100.000     0.000     1.7422     46.09   0.050539   0.050979   0.051423   0.051871  0.052323     18.30    18.62 
Citigroup Global Markets 17329F4R2 04/28/21 04/27/28    100.000     0.000     2.0693     56.63   0.060514   0.061140   0.061773   0.062412  0.063058     21.98    22.44 
Citigroup Global Markets 17329F4Q4 05/05/21 05/05/26    100.000     0.000     1.5643     42.25   0.045178   0.045531   0.045887   0.046246  0.046608     16.37    16.62 
Citigroup Global Markets 17328WML9 11/30/20 11/30/27    100.000     0.000     1.4941     47.01   0.043398   0.043723   0.044049   0.044378  0.044710     15.70    15.94 
Citigroup Global Markets 17328YT38 02/26/21 02/26/31    100.000    VARIES     1.6111     44.53   0.041553   0.041155   0.040950   0.040916  0.041038     14.81    14.75 
Citigroup Global Markets 17328V3K4 04/14/20 04/11/25    100.000     1.000     2.6920    103.02   0.079786   0.080112   0.081191                          28.89     8.12 
Citigroup Global Markets 17328W6M5 07/22/20 07/22/24    100.000     0.000     1.1071     38.73   0.031788   0.031964                                      6.42          
Citigroup Global Markets 17329FQ56 06/09/21 06/09/31    100.000     0.000     2.5442     66.90   0.075282   0.076240   0.077210   0.078192  0.079186     27.32    28.02 
Citigroup Global Markets 17329QPS3 09/29/21 09/29/33    100.000    VARIES     1.7595     38.64   0.046375   0.046174   0.046069   0.046030  0.046040     16.63    16.58 
Citigroup Global Markets 17328YN26 02/24/21 08/22/24    100.000     0.000     0.6991     20.11   0.019760   0.019829                                      4.58          
Citigroup Global Markets 17326W282 03/05/19 03/04/26    100.000     0.000     3.7445    195.95   0.122901   0.125202   0.127546   0.129934  0.132366     45.20    46.91 
Citigroup Global Markets 17328VUJ7 05/19/20 05/19/25    100.000     0.000     1.9503     72.73   0.057984   0.058549   0.059120                          21.02     8.16 
Citigroup Global Markets 17328WXK9 11/02/20 02/02/26    100.000     0.000     1.3450     43.33   0.038766   0.039026   0.039289   0.039553  0.039819     14.08    14.27 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Global Markets 17328WXL7 12/03/20 12/04/25    100.000     0.000     1.1771     36.78   0.033869   0.034069   0.034269   0.034471               12.24    11.45 
Citigroup Global Markets 17327TV86 12/20/19 12/23/26    100.000     0.170     2.6310    110.78   0.080635   0.081634   0.082645   0.083670  0.084709     29.22    29.95 
Citigroup Global Markets 17328V3S7 03/31/20 10/01/25    100.000     0.000     3.3432    132.54   0.104305   0.106049   0.107821   0.109624               38.18    29.44 
Citigroup Global Markets 17327TUT1 11/29/19 05/30/25    100.000     0.000     2.5704    110.09   0.079086   0.080102   0.081132                          28.72    12.09 
Citigroup Global Markets 17324CDY9 01/31/17 01/31/24    100.000     0.000     3.3783    260.90   0.116670                                                 3.38          
Citigroup Global Markets 17328WYB8 10/26/20 04/25/24    100.000     0.000     0.8781     28.26   0.025041                                                 2.85          
Citigroup Global Markets 17324CED4 02/16/17 02/16/27    100.000    VARIES     2.9107     32.86   0.013524   0.013721   0.013920   0.014123  0.014328      4.96     5.10 
Citigroup Global Markets 17329ULR0 10/29/21 10/29/41     98.000    VARIES     2.9484     58.76   0.071672   0.071334   0.071012   0.070733  0.070470     25.70    25.48 
Citigroup Global Markets 17329ULQ2 12/23/21 12/26/28    100.000     0.000     2.1480     44.16   0.062284   0.062953   0.063629   0.064312  0.065003     22.55    23.04 
Citigroup Global Markets 17328YND2 03/02/21 05/29/26    100.000     0.000     1.3451     38.68   0.038762   0.039022   0.039285   0.039549  0.039815     14.02    14.21 
Citigroup Global Markets 17328VUY4 04/30/20 05/01/25    100.000     0.000     2.2185     84.34   0.066578   0.067316   0.068063                          24.19     8.17 
Citigroup Global Markets 17328W6Y9 08/21/20 02/23/24    100.000     0.000     0.8681     29.54   0.024750                                                 1.29          
Citigroup Global Markets 17330AQB1 03/28/22 03/29/27    100.000     0.000     3.5696     64.23   0.104570   0.106436   0.108336   0.110269  0.112237     38.33    39.71 
Citigroup Global Markets 17329FQL1 05/28/21 05/28/27    100.000     0.000     1.7232     45.48   0.049964   0.050395   0.050829   0.051267  0.051708     18.09    18.41 
Citigroup Global Markets 17328W7B8 09/03/20 09/05/25    100.000     0.000     1.1571     39.15   0.033277   0.033470   0.033663   0.033858               12.06     8.25 
Citigroup Global Markets 17328WFL7 08/31/20 08/31/27    100.000     0.000     1.4942     50.92   0.043400   0.043723   0.044051   0.044377  0.044712     15.76    16.00 
Citigroup Global Markets 17328WFH6 09/11/20 03/13/24    100.000     0.000     0.8181     27.36   0.023289                                                 1.68          
Citigroup Global Markets 17329UJX0 11/29/21 05/27/27    100.000     0.000     2.0993     44.60   0.060794   0.061432   0.062077   0.062728  0.063387     22.04    22.51 
Citigroup Global Markets 17328YLL6 02/26/21 02/28/28    100.000     0.000     1.7232     50.08   0.049970   0.050401   0.050835   0.051273  0.051715     18.17    18.49 
Citigroup Global Markets 17328WX60 10/30/20 11/01/27    100.000     0.000     1.5642     50.63   0.045531   0.045887   0.046246   0.046608  0.046972     16.50    16.76 
Citigroup Global Markets 17326YYH3 05/31/19 12/04/24    100.000     0.000     3.1681    155.08   0.101409   0.103015                                     34.06          
Citigroup Global Markets 17330APT3 03/31/22 04/03/29    100.000     0.000     3.8243     68.70   0.112476   0.114627   0.116819   0.119052  0.121329     41.26    42.85 
Citigroup Global Markets 17328VCM0 03/31/20 04/01/27    100.000     0.000     3.4611    137.48   0.108420   0.110296   0.112205   0.114146  0.116122     39.71    41.10 
Citigroup Global Markets 17324CCV6 12/13/16 12/13/46    100.000    VARIES     0.8469     33.55   0.013401   0.013391   0.013381   0.013371  0.013360      4.82     4.81 
Citigroup Global Markets 17328YME1 03/03/21 03/03/26    100.000     0.000     1.3652     39.23   0.039235   0.039502   0.039772   0.040044  0.040317     14.24    14.43 
Citigroup Global Markets 17328VTY6 05/20/20 05/20/27    100.000     0.000     2.2283     83.39   0.066889   0.067635   0.068388   0.069150  0.069920     24.28    24.82 
Citigroup Global Markets 17329FPC2 05/28/21 12/01/26    100.000     0.000     1.6332     43.06   0.047255   0.047640   0.048029   0.048422  0.048817     17.10    17.38 
Citigroup Global Markets 17329FPB4 06/02/21 06/01/26    100.000     0.000     1.4151     37.06   0.040718   0.041006   0.041297   0.041589  0.041883     14.73    14.94 
Citigroup Global Markets 17328VD64 04/15/20 03/31/25    100.000     0.000     2.4947     96.40   0.075500   0.076442   0.077395                          27.52     6.89 
Citigroup Global Markets 17329UKJ9 12/15/21 06/15/27    100.000     0.000     2.0491     42.57   0.059290   0.059897   0.060511   0.061131  0.061757     21.47    21.92 
Citigroup Global Markets 17328WFW3 09/30/20 06/30/26    100.000     0.000     1.4250     47.28   0.041453   0.041749   0.042046   0.042346  0.042647     14.98    15.19 
Citigroup Global Markets 17328WXE3 10/23/20 10/25/27    100.000     0.000     1.5742     51.28   0.045838   0.046199   0.046562   0.046929  0.047298     16.61    16.88 
Citigroup Global Markets 17330FNN7 05/11/22 05/11/27    100.000     0.000     4.4129     74.21   0.130876   0.133764   0.136715   0.139732  0.142815     47.93    50.07 
Citigroup Global Markets 17330FNQ0 05/12/22 05/12/37    100.000    VARIES     5.1635     82.82   0.136065   0.133482   0.132648   0.131793  0.131087     48.35    47.52 
Citigroup Global Markets 17329UNE7 02/01/22 07/30/27    100.000     0.000     2.4554     47.90   0.070743   0.071611   0.072491   0.073381  0.074281     25.89    26.53 
Citigroup Global Markets 17328WZR2 10/30/20 11/01/27    100.000     0.000     1.5642     50.63   0.045531   0.045887   0.046246   0.046608  0.046972     16.50    16.76 
Citigroup Global Markets 17329QS84 09/30/21 10/02/28    100.000     0.000     1.9703     45.17   0.056927   0.057488   0.058054   0.058626  0.059203     20.69    21.10 
Citigroup Global Markets 17329FS96 06/30/21 06/30/33    100.000    VARIES     2.0721     49.80   0.050636   0.049172   0.048644   0.048807  0.049313     17.96    17.54 
Citigroup Global Markets 17330L223 04/05/22 04/04/29    100.000     0.000     3.6386     64.75   0.106679   0.108620   0.110596   0.112608  0.114657     39.09    40.53 
Citigroup Global Markets 17327TX84 02/04/20 02/04/25    100.000     0.000     2.4251     98.80   0.073295   0.074183   0.075083                          26.81     2.48 
Citigroup Global Markets 17328VWV8 05/05/20 05/05/25    100.000     0.000     1.9904     75.10   0.059258   0.059848   0.060443                          21.51     7.49 
Citigroup Global Markets 17327TFW1 09/30/19 09/30/25    100.000     0.000     2.5748    114.96   0.079227   0.080247   0.081281   0.082327               28.89    22.05 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Global Markets 17330FAF8 04/27/22 04/28/25    100.000     0.000     4.1792     71.91   0.123535   0.126117   0.128752                          45.27    15.06 
Citigroup Global Markets 17328WJ58 09/30/20 12/31/26    100.000     0.000     1.5240     50.63   0.044475   0.044814   0.045155   0.045499  0.045846     16.07    16.32 
Citigroup Global Markets 17326X819 01/04/19 01/05/26    100.000     0.000     4.1130    225.35   0.137237   0.140059   0.142940   0.145879  0.148879     50.92    53.03 
Citigroup Global Markets 17329QT42 10/01/21 04/01/27    100.000     0.000     1.7824     40.74   0.051299   0.051756   0.052217   0.052682  0.053152     18.63    18.97 
Citigroup Global Markets 17330ABF8 02/28/22 02/28/29    100.000     0.000     3.0477     57.31   0.088589   0.089938   0.091309   0.092700  0.094113     32.47    33.47 
Citigroup Global Markets 17330FA68 04/08/22 04/10/25    100.000     0.000     3.5215     62.31   0.103098   0.104913   0.106761                          37.74    10.57 
Citigroup Global Markets 17327TXH4 10/02/19 10/02/24    100.000     0.000     2.4893    110.81   0.076340   0.077290                                     20.86          
Citigroup Global Markets 17329FSP0 07/30/21 02/01/27    100.000     0.000     1.6132     39.64   0.046275   0.046649   0.047025   0.047404  0.047787     16.84    17.11 
Citigroup Global Markets 17328VXE5 07/01/20 07/01/25    100.000     0.000     1.4940     53.48   0.043719   0.043719   0.044375   0.044375               15.80     7.99 
Citigroup Global Markets 17330ASK9 03/31/22 04/03/29    100.000     0.000     3.8243     68.70   0.112476   0.114627   0.116819   0.119052  0.121329     41.26    42.85 
Citigroup Global Markets 17328WJG4 09/21/20 09/21/27    100.000     0.000     1.4782     49.47   0.042916   0.043233   0.043553   0.043875  0.044199     15.57    15.80 
Citigroup Global Markets 17328WHP6 09/30/20 03/31/28    100.000     0.000     1.7012     56.66   0.049721   0.050143   0.050570   0.051000  0.051434     18.05    18.36 
Citigroup Global Markets 17330ARL8 03/25/22 09/25/25    100.000     0.000     3.5212     63.65   0.103069   0.104884   0.106730   0.108609               37.78    28.51 
Citigroup Global Markets 17328WHM3 08/31/20 05/29/26    100.000     0.000     1.3060     44.39   0.037846   0.038093   0.038342   0.038592  0.038844     13.68    13.86 
Citigroup Global Markets 17328WYN2 11/30/20 11/30/27    100.000     0.000     1.4941     47.01   0.043398   0.043723   0.044049   0.044378  0.044710     15.70    15.94 
Citigroup Global Markets 17329QQS2 09/29/21 09/29/33    100.000    VARIES     1.7344     38.30   0.045836   0.045398   0.045216   0.045229  0.045460     16.36    16.30 
Citigroup Global Markets 17329QR36 10/29/21 10/31/28    100.000     0.000     2.2084     48.88   0.064103   0.064810   0.065526   0.066250  0.066981     23.29    23.81 
Citigroup Global Markets 17327T4W3 12/24/19 12/24/24    100.000     0.000     2.4008    100.68   0.073369   0.074249                                     26.06          
Citigroup Global Markets 17330AAT9 02/28/22 08/27/26    100.000     0.000     2.8110     52.78   0.081414   0.082559   0.083719   0.084896  0.086089     29.80    30.64 
Citigroup Global Markets 17330AAS1 02/28/22 08/28/25    100.000     0.000     2.6531     49.76   0.076669   0.077686   0.078717   0.079761               28.04    18.84 
Citigroup Global Markets 17330AS94 03/23/22 03/23/27    100.000     0.000     3.3824     61.28   0.098804   0.100475   0.102174   0.103902  0.105660     36.20    37.44 
Citigroup Global Markets 17327TET9 12/02/19 12/02/24    100.000     0.000     2.4449    104.25   0.074845   0.075760                                     24.94          
Citigroup Global Markets 17328VEP1 03/31/20 03/31/25    100.000     0.750     3.2898    128.99   0.100326   0.101291   0.102957                          36.52     9.16 
Citigroup Global Markets 17328VW22 07/06/20 07/03/25    100.000     0.000     1.4650     52.20   0.042512   0.042823   0.043137   0.043453               15.47     7.91 
Citigroup Global Markets 17329FRK2 07/06/21 07/06/26    100.000     0.000     1.5640     39.49   0.044820   0.045171   0.045524   0.045880  0.046239     16.32    16.58 
Citigroup Global Markets 17330AQZ8 03/31/22 04/02/27    100.000     0.000     3.7567     67.46   0.110368   0.112441   0.114553   0.116705  0.118897     40.48    42.01 
Citigroup Global Markets 17329QRJ1 09/30/21 10/02/28    100.000     0.000     1.9703     45.17   0.056927   0.057488   0.058054   0.058626  0.059203     20.69    21.10 
Citigroup Global Markets 17325K776 08/03/17 02/05/24    100.000     0.000     3.0276    212.48   0.100731                                                 3.42          
Citigroup Global Markets 17329QRG7 10/29/21 10/31/28    100.000     0.000     2.2084     48.88   0.064103   0.064810   0.065526   0.066250  0.066981     23.29    23.81 
Citigroup Global Markets 17329FAD6 04/30/21 05/01/31    100.000     0.000     2.5734     70.66   0.076206   0.077187   0.078180   0.079186  0.080205     27.73    28.45 
Citigroup Global Markets 17324CFE1 03/10/17 03/10/27    100.000    VARIES     2.9100     26.94   0.011198   0.011361   0.011526   0.011694  0.011864      4.10     4.22 
Citigroup Global Markets 17328V5E6 04/15/20 03/31/25    100.000     0.000     2.4947     96.40   0.075500   0.076442   0.077395                          27.52     6.89 
Citigroup Global Markets 17330ARG9 04/05/22 04/05/27    100.000     0.000     3.5796     63.68   0.104868   0.106745   0.108656   0.110600  0.112580     38.42    39.80 
Citigroup Global Markets 17329FRM8 06/30/21 12/31/26    100.000     0.000     1.7230     43.87   0.049958   0.050389   0.050823   0.051261  0.051702     18.06    18.38 
Citigroup Global Markets 17329FAK0 04/21/21 04/21/31    100.000     0.000     2.5734     71.35   0.076202   0.077182   0.078175   0.079181  0.080200     27.75    28.47 
Citigroup Global Markets 17329UGY1 12/23/21 12/26/28    100.000     0.000     2.1480     44.16   0.062284   0.062953   0.063629   0.064312  0.065003     22.55    23.04 
Citigroup Global Markets 17328VQB9 05/20/20 05/20/25    100.000     0.000     1.9603     73.05   0.058302   0.058873   0.059450                          21.14     8.26 
Citigroup Global Markets 17329U6U0 11/24/21 11/22/24    100.000     0.000     1.3362     28.40   0.038117   0.038372                                     12.28          
Citigroup Global Markets 17329UGR6 12/27/21 12/24/26    100.000     0.000     1.8910     38.58   0.054535   0.055051   0.055571   0.056097  0.056627     19.73    20.11 
Citigroup Global Markets 17328VQN3 04/29/20 04/29/25    100.000     0.000     2.2376     85.16   0.067189   0.067940   0.068700                          24.42     8.11 
Citigroup Global Markets 17330AMH2 03/31/22 01/02/26    100.000     0.000     3.6961     66.34   0.107504   0.109490   0.111514   0.113575  0.115674     39.78    41.26 
Citigroup Global Markets 17328YZV9 03/17/21 03/17/31    100.000    VARIES     1.6101     43.96   0.043215   0.043246   0.043336   0.043438  0.043540     15.58    15.64 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Global Markets 17329QM56 09/03/21 09/03/26    100.000     0.000     1.4843     35.03   0.042467   0.042782   0.043100   0.043420  0.043742     15.42    15.65 
Citigroup Global Markets 17329UYA3 12/17/21 06/20/25    100.000     0.000     1.6041     33.11   0.046011   0.046380   0.046752                          16.64     7.90 
Citigroup Global Markets 17328WCK2 10/05/20 10/03/25    100.000     0.000     1.2962     42.74   0.037426   0.037669   0.037913   0.038158               13.56    10.36 
Citigroup Global Markets 17329UGZ8 12/27/21 12/24/26    100.000     0.000     1.8910     38.58   0.054535   0.055051   0.055571   0.056097  0.056627     19.73    20.11 
Citigroup Global Markets 17328W2G2 07/31/20 02/02/26    100.000     0.000     1.3551     47.27   0.039201   0.039467   0.039734   0.040004  0.040275     14.24    14.43 
Citigroup Global Markets 17327TA55 03/02/20 08/29/25    100.000     0.000     2.1805     86.63   0.065333   0.066045   0.066765   0.067489               23.82    16.02 
Citigroup Global Markets 17328WTW8 12/03/20 12/04/25    100.000     0.000     1.1771     36.78   0.033869   0.034069   0.034269   0.034471               12.24    11.45 
Citigroup Global Markets 17328VR44 05/29/20 05/30/25    100.000     0.000     1.9013     70.28   0.056432   0.056968   0.057510                          20.45     8.57 
Citigroup Global Markets 17328VQS2 04/30/20 05/01/25    100.000     0.000     2.2285     84.74   0.066901   0.067647   0.068400                          24.31     8.21 
Citigroup Global Markets 17326Y4G8 04/26/19 04/27/29    100.000     2.000     3.7071    180.93   0.112671   0.112700   0.114789   0.114857  0.116986     40.69    41.47 
Citigroup Global Markets 17329QLZ1 09/30/21 10/02/28    100.000     0.000     1.9703     45.17   0.056927   0.057488   0.058054   0.058626  0.059203     20.69    21.10 
Citigroup Global Markets 17328WU48 10/23/20 10/25/27    100.000     0.000     1.5475     50.39   0.045024   0.045372   0.045723   0.046077  0.046434     16.32    16.57 
Citigroup Global Markets 17329UHD6 11/26/21 11/28/28    100.000     0.000     2.1392     45.65   0.062014   0.062677   0.063348   0.064025  0.064710     22.49    22.97 
Citigroup Global Markets 17329UZ61 01/31/22 01/31/29    100.000     0.000     2.5733     50.31   0.074276   0.075232   0.076200   0.077180  0.078173     27.20    27.91 
Citigroup Global Markets 17328YJG0 01/29/21 01/31/29    100.000     0.000     1.6831     50.20   0.048756   0.049167   0.049580   0.049998  0.050418     17.75    18.05 
Citigroup Global Markets 17329UYU9 01/31/22 01/29/27    100.000     0.000     2.3464     45.80   0.067494   0.068286   0.069087   0.069897  0.070717     24.68    25.26 
Citigroup Global Markets 17326YF68 03/29/19 03/28/24    100.000     0.000     3.1838    162.12   0.101939                                                 8.87          
Citigroup Global Markets 17328W2Y3 08/05/20 08/04/28    100.000     0.000     1.5941     55.57   0.046440   0.046810   0.047183   0.047559  0.047938     16.89    17.16 
Citigroup Global Markets 17329U5V9 12/23/21 12/26/28    100.000     0.000     2.1480     44.16   0.062284   0.062953   0.063629   0.064312  0.065003     22.55    23.04 
Citigroup Global Markets 17329FKL7 05/28/21 05/31/28    100.000     0.000     1.9802     52.40   0.057789   0.058361   0.058939   0.059523  0.060112     20.94    21.36 
Citigroup Global Markets 17326YU95 03/13/19 03/13/26    100.000     0.000     3.6227    188.12   0.118277   0.120419   0.122601   0.124821  0.127082     43.43    45.02 
Citigroup Global Markets 17330FJN2 04/08/22 04/09/26    100.000     0.000     3.5900     63.55   0.105199   0.107087   0.109010   0.110966  0.112958     38.52    39.92 
Citigroup Global Markets 17328Y7E8 01/29/21 01/29/27    100.000     0.000     1.2761     37.87   0.036592   0.036826   0.037061   0.037297  0.037535     13.29    13.46 
Citigroup Global Markets 17328WBA5 09/30/20 09/30/30    100.000     0.000     2.0203     67.58   0.059606   0.060208   0.060817   0.061431  0.062051     21.68    22.12 
Citigroup Global Markets 17329U5Q0 11/26/21 11/28/28    100.000     0.000     2.1392     45.65   0.062014   0.062677   0.063348   0.064025  0.064710     22.49    22.97 
Citigroup Global Markets 17328Y7D0 12/21/20 06/20/24    100.000     0.000     0.7780     23.79   0.022120                                                 3.74          
Citigroup Global Markets 17328YYU2 03/31/21 03/31/31    100.000    VARIES     1.6136     42.38   0.040389   0.040232   0.040376   0.040702  0.041030     14.51    14.65 
Citigroup Global Markets 17328YHR8 02/18/21 05/15/26    100.000     0.000     1.1860     34.52   0.034032   0.034233   0.034436   0.034641  0.034846     12.31    12.45 
Citigroup Global Markets 17328VPK0 07/01/20 04/01/24    100.000     0.000     1.2260     43.72   0.035436                                                 3.19          
Citigroup Global Markets 17330FJX0 05/02/22 04/30/27    100.000     0.000     4.2079     71.80   0.124392   0.127009   0.129681   0.132410  0.135195     45.57    47.51 
Citigroup Global Markets 17329UG96 10/29/21 04/29/27    100.000     0.000     2.1885     48.43   0.063496   0.064191   0.064893   0.065603  0.066321     23.07    23.58 
Citigroup Global Markets 17328WC71 09/18/20 12/18/25    100.000     0.000     1.2660     42.35   0.036640   0.036872   0.037105   0.037340               13.24    12.92 
Citigroup Global Markets 17329UXG1 01/28/22 07/30/25    100.000     0.000     1.9804     38.67   0.056667   0.057228   0.057795   0.058367               20.67    12.18 
Citigroup Global Markets 17328YHY3 01/29/21 01/29/41    100.000    VARIES     2.6993     77.58   0.072520   0.072124   0.071768   0.071451  0.071174     25.92    25.69 
Citigroup Global Markets 17328YHW7 02/26/21 02/26/27    100.000     0.000     1.4752     42.74   0.042511   0.042825   0.043141   0.043459  0.043779     15.44    15.67 
Citigroup Global Markets 17329QKY5 09/03/21 09/03/33    100.000    VARIES     1.7822     40.14   0.046727   0.046546   0.046434   0.046380  0.046377     16.75    16.70 
Citigroup Global Markets 17329FL93 05/21/21 05/21/31    100.000    VARIES     2.1464     54.94   0.057221   0.057216   0.057332   0.057497  0.057664     20.60    20.68 
Citigroup Global Markets 17328YHU1 02/26/21 02/27/31    100.000     0.000     2.3173     67.81   0.068190   0.068980   0.069779   0.070588  0.071406     24.89    25.47 
Citigroup Global Markets 17329U6P1 10/22/21 10/22/36    100.000    VARIES     2.7993     58.74   0.071440   0.071044   0.070664   0.070466  0.070284     25.59    25.38 
Citigroup Global Markets 17330FJC6 03/31/22 03/31/37    100.000    VARIES     2.1578     36.61   0.057028   0.057643   0.058265   0.058894  0.059208     20.75    21.17 
Citigroup Global Markets 17330FJH5 04/29/22 04/29/27    100.000     0.000     4.2270     72.51   0.125020   0.127662   0.130360   0.133116  0.135929     45.81    47.77 
Citigroup Global Markets 17328WBY3 08/31/20 03/02/28    100.000     0.000     1.4842     50.57   0.043100   0.043420   0.043742   0.044067  0.044394     15.65    15.88 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Global Markets 17328VPV6 05/20/20 05/18/28    100.000     0.000     2.3763     89.14   0.071688   0.072540   0.073402   0.074274  0.075157     26.03    26.66 
Citigroup Global Markets 17328WSY5 10/30/20 11/01/27    100.000     0.000     1.5642     50.63   0.045531   0.045887   0.046246   0.046608  0.046972     16.50    16.76 
Citigroup Global Markets 17328WVK1 11/04/20 11/04/25    100.000     0.000     1.2962     41.65   0.037428   0.037670   0.037915   0.038160               13.55    11.53 
Citigroup Global Markets 17327TSJ6 10/31/19 10/31/25    100.000     0.000     2.6129    114.33   0.080522   0.081574   0.082640   0.083720               29.31    24.90 
Citigroup Global Markets 17328VSB7 06/03/20 06/05/28    100.000     0.000     2.2772     84.39   0.068481   0.069261   0.070049   0.070847  0.071654     24.83    25.40 
Citigroup Global Markets 17325E242 01/05/17 07/03/24    100.000     0.000     3.3441    260.85   0.115219   0.117146                                     21.32          
Citigroup Global Markets 17328W4Q8 07/31/20 08/02/27    100.000     0.000     1.5441     54.01   0.044922   0.045268   0.045618   0.045970  0.046325     16.34    16.59 
Citigroup Global Markets 17328WEQ7 09/30/20 09/30/25    100.000     0.000     1.2862     42.59   0.037129   0.037368   0.037608   0.037850               13.45    10.16 
Citigroup Global Markets 17328WVS4 10/30/20 07/30/26    100.000     0.000     1.3950     45.06   0.040262   0.040543   0.040825   0.041110  0.041397     14.63    14.83 
Citigroup Global Markets 17330AP55 04/05/22 04/05/27    100.000     0.000     3.5796     63.68   0.104868   0.106745   0.108656   0.110600  0.112580     38.42    39.80 
Citigroup Global Markets 17329QNT3 10/05/21 10/05/26    100.000     0.000     1.6533     37.56   0.047464   0.047856   0.048252   0.048651  0.049053     17.23    17.51 
Citigroup Global Markets 17330AP48 03/17/22 03/12/26    100.000     0.000     3.1664     57.84   0.092161   0.093620   0.095102   0.096608  0.098138     33.76    34.84 
Citigroup Global Markets 17328VSX9 06/22/20 06/22/28    100.000     0.000     2.4751     90.59   0.074934   0.075861   0.076800   0.077750  0.078713     27.16    27.84 
Citigroup Global Markets 17328W4W5 08/03/20 05/02/24    100.000     0.000     1.0070     34.86   0.028901                                                 3.50          
Citigroup Global Markets 17329UJJ1 11/26/21 11/27/26    100.000     0.000     1.8613     39.63   0.053656   0.054155   0.054659   0.055168  0.055681     19.44    19.80 
Citigroup Global Markets 17327TSV9 08/14/19 08/13/26    100.000     0.000     2.5545    117.63   0.078536   0.079540   0.080556   0.081584  0.082626     28.73    29.47 
Citigroup Global Markets 17328WF60 09/03/20 09/05/25    100.000     0.000     1.1571     39.15   0.033277   0.033470   0.033663   0.033858               12.06     8.25 
Citigroup Global Markets 17326YY59 03/01/19 03/03/25    100.000     1.000     3.5616    182.63   0.111741   0.112742   0.114749                          40.76     7.11 
Citigroup Global Markets 17330FLS8 05/06/22 05/08/24    100.000     0.000     3.9650     67.09   0.116845                                                14.84          
Citigroup Global Markets 17328WUG1 10/01/20 01/02/26    100.000     0.000     1.3750     45.55   0.039663   0.039936   0.040210   0.040487  0.040765     14.43    14.62 
Citigroup Global Markets 17325K263 07/06/17 01/03/24    100.000     0.000     3.1136    221.89   0.104079                                                 0.21          
Citigroup Global Markets 17329FML5 06/30/21 06/30/31    100.000     0.000     2.3860     61.16   0.070327   0.071166   0.072015   0.072874  0.073743     25.47    26.08 
Citigroup Global Markets 17328W3C0 07/20/20 07/18/25    100.000     0.000     1.3751     48.38   0.039797   0.040071   0.040346   0.040624               14.47     8.00 
Citigroup Global Markets 17328WUD8 10/30/20 02/01/27    100.000     0.000     1.4941     48.32   0.043238   0.043561   0.043886   0.044214  0.044544     15.72    15.96 
Citigroup Global Markets 17330FM81 05/09/22 05/08/25    100.000     0.000     4.2771     72.12   0.126579   0.129286   0.132051                          46.35    16.77 
Citigroup Global Markets 17329QMJ6 08/06/21 08/06/26    100.000     0.000     1.4152     34.47   0.040434   0.040721   0.041009   0.041299  0.041591     14.69    14.90 
Citigroup Global Markets 17327TRQ1 07/31/19 01/30/25    100.000     0.000     2.8012    130.83   0.086970   0.088188   0.089423                          31.90     2.59 
Citigroup Global Markets 17328YJX3 02/26/21 02/28/28    100.000     0.000     1.7232     50.08   0.049970   0.050401   0.050835   0.051273  0.051715     18.17    18.49 
Citigroup Global Markets 17328YJV7 03/03/21 03/03/26    100.000     0.000     1.3652     39.23   0.039235   0.039502   0.039772   0.040044  0.040317     14.24    14.43 
Citigroup Global Markets 17330ANM0 03/17/22 03/12/26    100.000     0.000     3.1664     57.84   0.092161   0.093620   0.095102   0.096608  0.098138     33.76    34.84 
Citigroup Global Markets 17324P784 10/05/16 04/03/24    100.000     0.000     2.6555    210.44   0.088709                                                 8.16          
Citigroup Global Markets 17328W3W6 07/31/20 07/31/25    100.000     0.000     1.2561     43.75   0.036228   0.036455   0.036684   0.036915               13.15     7.71 
Citigroup Global Markets 17330AMQ2 03/15/22 03/16/37    100.000    VARIES     3.9112     69.21   0.105898   0.105719   0.105253   0.104777  0.104292     38.02    37.70 
Citigroup Global Markets 17328VB58 03/31/20 07/01/24    100.000     0.000     3.2340    127.98   0.101331   0.101331                                     18.24          
Citigroup Global Markets 17328WV96 12/01/20 03/02/26    100.000     0.000     1.2860     40.33   0.037007   0.037245   0.037484   0.037725  0.037968     13.42    13.60 
Citigroup Global Markets 17328VRU6 06/30/20 06/30/25    100.000     0.000     1.5040     53.89   0.044027   0.044358   0.044692                          15.91     8.00 
Citigroup Global Markets 17326YFJ0 06/28/19 12/31/24    100.000     0.000     2.6784    127.44   0.083876   0.085000                                     30.31          
Citigroup Global Markets 17328YK94 02/26/21 02/28/28    100.000     0.000     1.7232     50.08   0.049970   0.050401   0.050835   0.051273  0.051715     18.17    18.49 
Citigroup Global Markets 17326YFQ4 04/30/19 10/30/24    100.000     0.000     3.2236    161.08   0.103402   0.105069                                     31.22          
Citigroup Global Markets 17330AYY2 04/05/22 04/05/27    100.000     0.000     3.5796     63.68   0.104868   0.106745   0.108656   0.110600  0.112580     38.42    39.80 
Citigroup Global Markets 17329Q7D6 09/03/21 09/03/26    100.000     0.000     1.4843     35.03   0.042467   0.042782   0.043100   0.043420  0.043742     15.42    15.65 
Citigroup Global Markets 17329QYD6 11/03/21 11/03/26    100.000     0.000     2.0494     45.06   0.059299   0.059906   0.060520   0.061140  0.061767     21.53    21.97 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Global Markets 17328YEA8 01/29/21 04/30/26    100.000     0.000     1.1770     34.90   0.033769   0.033968   0.034168   0.034369  0.034571     12.22    12.36 
Citigroup Global Markets 17329UTN1 01/31/22 01/31/29    100.000     0.000     2.5733     50.31   0.074276   0.075232   0.076200   0.077180  0.078173     27.20    27.91 
Citigroup Global Markets 17329FHB3 07/06/21 07/06/26    100.000     0.000     1.5640     39.49   0.044820   0.045171   0.045524   0.045880  0.046239     16.32    16.58 
Citigroup Global Markets 17328YEM2 02/03/21 02/05/29    100.000     0.000     1.7231     51.22   0.049968   0.050398   0.050832   0.051270  0.051712     18.19    18.51 
Citigroup Global Markets 17328VME7 05/20/20 05/22/28    100.000     0.000     2.3713     88.94   0.071544   0.072392   0.073250   0.074119  0.074998     25.98    26.59 
Citigroup Global Markets 17329QHM5 08/31/21 08/31/28    100.000     0.000     1.9013     45.21   0.054851   0.055369   0.055898   0.056424  0.056966     19.97    20.35 
Citigroup Global Markets 17329UTY7 02/03/22 02/04/27    100.000     0.000     2.4354     47.36   0.070158   0.071012   0.071877   0.072752  0.073638     25.66    26.29 
Citigroup Global Markets 17328WPG7 10/19/20 10/19/27    100.000     0.000     1.5142     49.46   0.044008   0.044341   0.044677   0.045015  0.045356     15.95    16.19 
Citigroup Global Markets 17329U2U4 10/06/21 10/05/28    100.000     1.000     2.0590     46.58   0.058428   0.059030   0.059065   0.059673  0.059716     21.20    21.43 
Citigroup Global Markets 17329QYM6 10/29/21 10/31/28    100.000     0.000     2.2084     48.88   0.064103   0.064810   0.065526   0.066250  0.066981     23.29    23.81 
Citigroup Global Markets 17328YEG5 01/25/21 07/25/24    100.000     0.000     0.7090     20.98   0.020047   0.020118                                      4.10          
Citigroup Global Markets 17324CMJ2 09/21/17 09/21/27    100.000    VARIES     2.7273     29.50   0.013117   0.013296   0.013478   0.013661  0.013848      4.79     4.92 
Citigroup Global Markets 17329UD40 11/22/21 11/22/33    100.000    VARIES     1.8518     38.21   0.049639   0.049617   0.049620   0.049649  0.049712     17.87    17.87 
Citigroup Global Markets 17329F7G3 04/30/21 05/02/28    100.000     0.000     2.0793     56.79   0.060832   0.061464   0.062103   0.062749  0.063401     22.09    22.55 
Citigroup Global Markets 17328YET7 12/30/20 12/30/27    100.000     0.000     1.4932     45.68   0.043371   0.043695   0.044021   0.044349  0.044681     15.67    15.91 
Citigroup Global Markets 17329FZ72 06/25/21 06/27/29    100.000     0.000     2.1190     54.48   0.062054   0.062712   0.063376   0.064048  0.064726     22.46    22.94 
Citigroup Global Markets 17330AYL0 04/29/22 05/01/29    100.000     0.000     4.3735     75.09   0.129662   0.132497   0.135395   0.138356  0.141381     47.53    49.63 
Citigroup Global Markets 17330AHM7 03/16/22 09/16/24    100.000     0.000     2.9501     53.90   0.085628   0.086891                                     22.06          
Citigroup Global Markets 17328WPW2 10/30/20 11/01/27    100.000     0.000     1.5642     50.63   0.045531   0.045887   0.046246   0.046608  0.046972     16.50    16.76 
Citigroup Global Markets 17326YAH9 07/03/19 07/03/24    100.000     0.000     2.5848    122.35   0.079568   0.080596                                     14.67          
Citigroup Global Markets 17328YVZ4 04/06/21 04/06/29    100.000     0.000     2.3564     66.21   0.069405   0.070222   0.071050   0.071887  0.072734     25.27    25.87 
Citigroup Global Markets 17330AYV8 03/30/22 03/28/25    100.000     0.000     3.4925     62.61   0.102166   0.103950   0.105765                          37.44     9.20 
Citigroup Global Markets 17328WPR3 11/04/20 11/04/25    100.000     0.000     1.2962     41.65   0.037428   0.037670   0.037915   0.038160               13.55    11.53 
Citigroup Global Markets 17330F5C1 04/08/22 04/10/25    100.000     2.000     3.5191     61.75   0.101033   0.100856   0.102630                          36.47    10.16 
Citigroup Global Markets 17330AXV9 03/30/22 03/31/27    100.000     0.000     3.5996     64.57   0.105486   0.107385   0.109317   0.111285  0.113288     38.67    40.07 
Citigroup Global Markets 17324CLA2 08/02/17 08/02/27    100.000    VARIES     2.7689     28.81   0.012540   0.012714   0.012890   0.013068  0.013249      4.60     4.73 
Citigroup Global Markets 17328YDA9 01/29/21 01/31/28    100.000     0.000     1.4841     44.16   0.042779   0.043097   0.043417   0.043739  0.044063     15.55    15.79 
Citigroup Global Markets 17328VL81 05/20/20 05/20/25    100.000     0.000     1.9603     73.05   0.058302   0.058873   0.059450                          21.14     8.26 
Citigroup Global Markets 17330F5D9 04/29/22 04/29/37    100.000    VARIES     4.9132     80.61   0.130001   0.127735   0.127387   0.127030  0.126673     46.23    45.75 
Citigroup Global Markets 17329FGA6 05/24/21 11/24/26    100.000     0.000     1.7032     45.14   0.049361   0.049781   0.050205   0.050632  0.051064     17.88    18.18 
Citigroup Global Markets 17330F5F4 04/29/22 10/30/25    100.000     0.000     4.1497     71.15   0.122608   0.125152   0.127749   0.130399               44.91    38.67 
Citigroup Global Markets 17329USL6 12/06/21 12/06/28    100.000     0.000     2.1582     45.43   0.062580   0.063255   0.063937   0.064627  0.065325     22.68    23.18 
Citigroup Global Markets 17328VL65 06/03/20 06/03/25    100.000     0.000     1.8512     68.16   0.054848   0.055356   0.055869                          19.87     8.49 
Citigroup Global Markets 17328VL40 06/22/20 06/20/25    100.000     0.500     1.4840     53.16   0.042783   0.042894   0.043212                          15.42     7.30 
Citigroup Global Markets 17328Y2Y9 12/24/20 03/26/26    100.000     0.000     1.2260     37.60   0.035223   0.035438   0.035656   0.035874  0.036094     12.76    12.92 
Citigroup Global Markets 17329Q6K1 08/02/21 02/02/27    100.000     0.000     1.5942     39.08   0.045712   0.046076   0.046443   0.046813  0.047186     16.63    16.90 
Citigroup Global Markets 17330FG47 05/04/22 05/02/25    100.000     0.000     4.1400     70.37   0.122263   0.124794   0.127377                          44.77    15.41 
Citigroup Global Markets 17330AYG1 04/29/22 05/01/29    100.000     0.000     4.3735     75.09   0.129662   0.132497   0.135395   0.138356  0.141381     47.53    49.63 
Citigroup Global Markets 17330FG39 04/27/22 04/25/24    100.000     0.000     3.8181     65.56   0.112226                                                12.79          
Citigroup Global Markets 17329QXG0 07/30/21 08/01/28    100.000     0.000     1.8422     45.37   0.053086   0.053574   0.054068   0.054566  0.055069     19.35    19.70 
Citigroup Global Markets 17329FY81 06/22/21 06/22/26    100.000    VARIES     2.0841     51.88   0.056596   0.056731   0.056942   0.057211  0.057528     20.40    20.55 
Citigroup Global Markets 17329QGU8 08/31/21 03/03/27    100.000     0.000     1.6733     39.70   0.048062   0.048464   0.048869   0.049278  0.049690     17.47    17.76 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Global Markets 17324CLR5 08/17/17 08/17/27    100.000    VARIES     2.6967     29.95   0.013120   0.013297   0.013476   0.013658  0.013842      4.80     4.93 
Citigroup Global Markets 17324CLU8 08/25/17 08/25/29    100.000    VARIES     2.5876     15.71   0.006967   0.007057   0.007148   0.007241  0.007335      2.55     2.61 
Citigroup Global Markets 17329QH29 08/31/21 08/31/28    100.000     0.000     1.9013     45.21   0.054851   0.055369   0.055898   0.056424  0.056966     19.97    20.35 
Citigroup Global Markets 17328VLH1 05/20/20 05/20/25    100.000     0.000     1.9603     73.05   0.058302   0.058873   0.059450                          21.14     8.26 
Citigroup Global Markets 17329QXR6 10/20/21 10/20/31    100.000    VARIES     1.7328     37.52   0.047138   0.047196   0.047255   0.047314  0.047374     16.99    17.03 
Citigroup Global Markets 17329FH23 05/28/21 05/30/31    100.000     0.000     2.5342     67.46   0.074980   0.075930   0.076892   0.077866  0.078853     27.22    27.92 
Citigroup Global Markets 17328Y3M4 12/24/20 12/27/27    100.000     0.000     1.4840     45.66   0.043098   0.043417   0.043739   0.044064  0.044391     15.58    15.81 
Citigroup Global Markets 17328YUP7 03/31/21 03/30/28    100.000     0.000     2.0694     58.32   0.060519   0.061145   0.061778   0.062417  0.063063     22.01    22.47 
Citigroup Global Markets 17328YDL5 01/25/21 01/25/31    100.000    VARIES     1.4542     41.57   0.038088   0.037749   0.037531   0.037437  0.037465     13.56    13.48 
Citigroup Global Markets 17328YUN2 03/01/21 02/27/26    100.000     0.000     1.1861     34.08   0.033933   0.034134   0.034336   0.034540  0.034745     12.30    12.45 
Citigroup Global Markets 17329UTG6 01/31/22 01/31/29    100.000     0.000     2.5733     50.31   0.074276   0.075232   0.076200   0.077180  0.078173     27.20    27.91 
Citigroup Global Markets 17330A6P2 03/03/22 03/04/27    100.000     0.000     2.9590     55.18   0.085903   0.087174   0.088464   0.089773  0.091101     31.45    32.39 
Citigroup Global Markets 17330A6Q0 02/24/22 02/23/26    100.000     0.000     2.6729     50.44   0.077259   0.078291   0.079338   0.080398  0.081472     28.27    29.03 
Citigroup Global Markets 17329F6W9 04/28/21 04/26/24    100.000     0.000     0.9482     25.63   0.026966                                                 3.10          
Citigroup Global Markets 17330AGQ9 03/03/22 03/04/27    100.000     0.000     2.9590     55.18   0.085903   0.087174   0.088464   0.089773  0.091101     31.45    32.39 
Citigroup Global Markets 17329QXY1 10/29/21 04/29/27    100.000     0.000     2.1885     48.43   0.063496   0.064191   0.064893   0.065603  0.066321     23.07    23.58 
Citigroup Global Markets 17329QGW4 08/04/21 08/03/28    100.000     0.000     1.8322     44.91   0.052782   0.053265   0.053753   0.054246  0.054743     19.23    19.59 
Citigroup Global Markets 17330AY55 04/29/22 05/01/29    100.000     0.000     4.3735     75.09   0.129662   0.132497   0.135395   0.138356  0.141381     47.53    49.63 
Citigroup Global Markets 17329F6U3 04/30/21 05/02/28    100.000     0.000     2.0793     56.79   0.060832   0.061464   0.062103   0.062749  0.063401     22.09    22.55 
Citigroup Global Markets 17329UF71 11/26/21 11/28/28    100.000     0.000     2.1392     45.65   0.062014   0.062677   0.063348   0.064025  0.064710     22.49    22.97 
Citigroup Global Markets 17328WAA6 09/30/20 09/30/27    100.000     0.000     1.5842     52.68   0.046139   0.046505   0.046873   0.047245  0.047619     16.74    17.01 
Citigroup Global Markets 17328Y6B5 02/03/21 02/03/26    100.000     0.000     1.0671     31.47   0.030441   0.030603   0.030766   0.030931  0.031096     11.04    11.15 
Citigroup Global Markets 17329U4N8 11/26/21 11/28/28    100.000     0.000     2.1392     45.65   0.062014   0.062677   0.063348   0.064025  0.064710     22.49    22.97 
Citigroup Global Markets 17326YCA2 04/26/19 04/26/29    100.000    VARIES     3.0551     22.13   0.012957   0.013155   0.013356   0.013560  0.013767      4.73     4.87 
Citigroup Global Markets 17329FJR6 06/30/21 06/29/28    100.000     0.000     1.9800     50.55   0.057774   0.058346   0.058923   0.059507  0.060096     20.90    21.32 
Citigroup Global Markets 17328YY24 04/06/21 10/05/26    100.000     0.000     1.8324     51.18   0.053271   0.053760   0.054252   0.054749  0.055251     19.35    19.71 
Citigroup Global Markets 17328Y6K5 01/12/21 01/10/25    100.000     0.000     0.8580     25.75   0.024349   0.024453   0.024558                           8.82     0.22 
Citigroup Global Markets 17329U4U2 11/17/21 11/17/31    100.000    VARIES     1.8560     38.71   0.050199   0.050277   0.050356   0.050437  0.050518     18.09    18.15 
Citigroup Global Markets 17328YXX7 03/31/21 03/30/28    100.000     0.000     2.0694     58.32   0.060519   0.061145   0.061778   0.062417  0.063063     22.01    22.47 
Citigroup Global Markets 17328YHB3 12/30/20 12/30/27    100.000     0.000     1.4932     45.68   0.043371   0.043695   0.044021   0.044349  0.044681     15.67    15.91 
Citigroup Global Markets 17329FKC7 05/28/21 05/31/28    100.000     0.000     1.9802     52.40   0.057789   0.058361   0.058939   0.059523  0.060112     20.94    21.36 
Citigroup Global Markets 17328YHA5 01/29/21 01/31/28    100.000     0.000     1.4841     44.16   0.042779   0.043097   0.043417   0.043739  0.044063     15.55    15.79 
Citigroup Global Markets 17330AJU7 03/23/22 03/23/26    100.000     0.000     3.4519     62.57   0.100936   0.102678   0.104450   0.106253  0.108086     36.99    38.28 
Citigroup Global Markets 17328WRX8 11/30/20 05/30/24    100.000     0.000     0.8281     25.83   0.023579                                                 3.51          
Citigroup Global Markets 17329UWL1 12/23/21 12/24/26    100.000     0.000     1.9011     39.01   0.054847   0.055368   0.055895   0.056426  0.056962     19.85    20.23 
Citigroup Global Markets 17328VP61 05/20/20 05/20/25    100.000     0.000     1.9603     73.05   0.058302   0.058873   0.059450                          21.14     8.26 
Citigroup Global Markets 17328WB80 08/21/20 11/21/25    100.000     0.000     1.2860     44.04   0.037243   0.037483   0.037724   0.037966               13.47    12.12 
Citigroup Global Markets 17329QZJ2 10/29/21 10/31/28    100.000     0.000     2.2084     48.88   0.064103   0.064810   0.065526   0.066250  0.066981     23.29    23.81 
Citigroup Global Markets 17329FZJ6 07/30/21 08/01/28    100.000     0.000     1.8422     45.37   0.053086   0.053574   0.054068   0.054566  0.055069     19.35    19.70 
Citigroup Global Markets 17328Y5D2 02/02/21 02/02/28    100.000     0.000     1.4841     44.03   0.042778   0.043095   0.043415   0.043737  0.044062     15.55    15.78 
Citigroup Global Markets 17329UV24 01/31/22 01/31/29    100.000     0.000     2.5733     50.31   0.074276   0.075232   0.076200   0.077180  0.078173     27.20    27.91 
Citigroup Global Markets 17330F7M7 04/21/22 04/23/24    100.000     0.000     3.5326     61.17   0.103439                                                11.59          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Global Markets 17330F7L9 04/29/22 05/01/25    100.000     0.000     4.0129     68.75   0.118341   0.120716   0.123138                          43.32    14.78 
Citigroup Global Markets 17327TMZ6 08/30/19 03/04/25    100.000     0.000     2.1981     99.45   0.066655   0.067388   0.068128                          24.30     4.29 
Citigroup Global Markets 17328YFN9 01/29/21 01/31/28    100.000     0.000     1.4841     44.16   0.042779   0.043097   0.043417   0.043739  0.044063     15.55    15.79 
Citigroup Global Markets 17328Y5K6 12/24/20 09/24/26    100.000     0.000     1.2860     39.48   0.037005   0.037242   0.037482   0.037723  0.037965     13.41    13.58 
Citigroup Global Markets 17328YWJ9 03/31/21 03/31/31    100.000     0.000     2.6134     74.11   0.077464   0.078476   0.079501   0.080540  0.081593     28.25    29.00 
Citigroup Global Markets 17330FHV6 04/08/22 04/10/24    100.000     0.000     3.3654     59.49   0.098301                                                 9.73          
Citigroup Global Markets 17328YWY6 03/31/21 04/01/27    100.000     0.000     1.8423     51.79   0.053580   0.054074   0.054572   0.055074  0.055582     19.47    19.83 
Citigroup Global Markets 17324P396 08/03/16 02/05/24    100.000     0.000     2.5904    210.17   0.086174                                                 2.93          
Citigroup Global Markets 17329FZY3 07/30/21 08/01/28    100.000     0.000     1.8422     45.37   0.053086   0.053574   0.054068   0.054566  0.055069     19.35    19.70 
Citigroup Global Markets 17330F6Z9 04/08/22 04/08/27    100.000     0.000     3.6386     64.43   0.106691   0.108632   0.110608   0.112621  0.114670     39.08    40.52 
Citigroup Global Markets 17328VNJ5 06/22/20 03/21/24    100.000     0.000     1.2560     45.14   0.036337                                                 2.91          
Citigroup Global Markets 17329FZT4 07/30/21 08/01/28    100.000     0.000     1.8422     45.37   0.053086   0.053574   0.054068   0.054566  0.055069     19.35    19.70 
Citigroup Global Markets 17329FJC9 05/28/21 05/31/28    100.000     0.000     1.9802     52.40   0.057789   0.058361   0.058939   0.059523  0.060112     20.94    21.36 
Citigroup Global Markets 17330AZR6 04/29/22 05/01/29    100.000     0.000     4.3735     75.09   0.129662   0.132497   0.135395   0.138356  0.141381     47.53    49.63 
Citigroup Global Markets 17329U4J7 11/29/21 11/27/26    100.000     0.000     1.9803     42.03   0.057213   0.057779   0.058351   0.058929  0.059513     20.74    21.15 
Citigroup Global Markets 17330AZU9 04/29/22 04/29/27    100.000     0.000     4.2270     72.51   0.125020   0.127662   0.130360   0.133116  0.135929     45.81    47.77 
Citigroup Global Markets 17326YSN7 02/28/19 03/04/24    100.000     0.000     3.5717    187.02   0.116419                                                 7.33          
Citigroup Global Markets 17330AJ78 04/05/22 04/05/27    100.000     0.000     3.5796     63.68   0.104868   0.106745   0.108656   0.110600  0.112580     38.42    39.80 
Citigroup Global Markets 17328WA73 08/31/20 08/31/27    100.000     0.000     1.4842     50.57   0.043097   0.043415   0.043739   0.044060  0.044391     15.65    15.88 
Citigroup Global Markets 17327TNS1 09/03/19 09/03/24    100.000     0.000     1.8671     83.76   0.055867   0.056389                                     13.61          
Citigroup Global Markets 17291QLX0 09/29/23 10/01/30    100.000     0.000     5.7380     14.67   0.159440   0.164014   0.168720   0.173560  0.178540     59.06    62.49 
Citigroup Global Markets 17291QMT8 09/29/23 10/01/26    100.000     0.000     5.6400     14.42   0.156716   0.161135   0.165679   0.170351  0.175155     58.02    61.34 
Citigroup Global Markets 17291QML5 09/29/23 12/30/24    100.000     0.000     5.8961     15.07   0.166222   0.171122                                     60.56          
Citigroup Global Markets 17291QJT2 09/29/23 03/31/26    100.000     0.000     5.6700     14.49   0.157500   0.161990   0.166582   0.171305  0.176161     58.33    61.69 
Citigroup Global Markets 17291QJF2 09/15/23 12/17/24    100.000     0.000     5.7960     17.10   0.163385   0.168120                                     57.38          
Citigroup Global Markets 17291QPQ1 10/04/23 01/03/25    100.000     0.000     5.9320     14.34   0.164778   0.167194   0.172153                          61.07     0.34 
Citigroup Global Markets 17291QR71 09/11/23 09/11/28    100.000     0.000     5.4170     16.55   0.150472   0.154548   0.158734   0.163033  0.167449     55.81    58.88 
Citigroup Global Markets 17291QQR8 09/25/23 09/24/26    100.000     0.000     5.5630     14.83   0.154528   0.158802   0.163219   0.167759  0.172425     57.24    60.47 
Citigroup Global Markets 17291QR55 09/29/23 07/01/26    100.000     0.000     5.6990     14.56   0.160611   0.165188   0.169895   0.174736  0.179715     58.64    62.03 
Citigroup Global Markets 17291QQK3 10/04/23 01/03/25    100.000     0.000     5.9320     14.34   0.164778   0.167194   0.172153                          61.07     0.34 
Citigroup Global Markets 17291RXD9 09/06/23 09/03/26    100.000     0.000     5.3480     17.08   0.148556   0.152462   0.156539   0.160724  0.165022     55.13    58.11 
Citigroup Global Markets 17291QDA9 10/04/23 10/02/25    100.000     0.000     5.7180     13.82   0.158833   0.163324   0.167993   0.172796               58.80    46.39 
Citigroup Global Markets 17291QCW2 09/28/23 09/30/26    100.000     0.000     5.6400     14.57   0.156716   0.161135   0.165679   0.170351  0.175155     58.03    61.35 
Citigroup Global Markets 17291QD27 09/28/23 09/28/28    100.000     0.000     5.6020     14.47   0.155611   0.159970   0.164451   0.169057  0.173792     57.63    60.90 
Citigroup Global Markets 17291RYH9 09/06/23 09/06/28    100.000     0.000     5.3290     17.02   0.148028   0.151972   0.156021   0.160178  0.164446     54.92    57.88 
Citigroup Global Markets 17291RY71 09/06/23 09/06/28    100.000     0.000     5.3290     17.02   0.148028   0.151972   0.156021   0.160178  0.164446     54.92    57.88 
Citigroup Global Markets 17291QRV8 10/04/23 10/02/26    100.000     0.000     5.6310     13.61   0.156417   0.160772   0.165298   0.169952  0.174737     57.88    61.19 
Citigroup Global Markets 17291QCJ1 09/29/23 10/01/25    100.000     0.000     5.7090     14.59   0.158634   0.163162   0.167819   0.172610               58.75    46.17 
Citigroup Global Markets 17291QTM6 09/29/23 03/31/25    100.000     0.000     5.8250     14.89   0.161806   0.166544   0.171395                          59.98    15.25 
Citigroup Global Markets 17291QTG9 10/04/23 04/02/26    100.000     0.000     5.6600     13.68   0.157222   0.161622   0.166196   0.170899  0.175736     58.19    61.53 
Citigroup Global Markets 17291QCG7 10/03/23 10/01/26    100.000     0.000     5.7180     13.98   0.158833   0.163324   0.167993   0.172796  0.177737     58.81    62.22 
Citigroup Global Markets 17291QC44 09/15/23 10/15/24    100.000     0.000     5.6998     16.84   0.159080   0.163613                                     45.99          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Global Markets 17291QHR8 09/29/23 09/29/28    100.000     0.000     5.6500     14.44   0.156944   0.161378   0.165937   0.170625  0.175445     58.13    61.46 
Citigroup Global Markets 17291QHG2 09/29/23 10/01/30    100.000     0.000     5.7380     14.67   0.159440   0.164014   0.168720   0.173560  0.178540     59.06    62.49 
Citigroup Global Markets 17291QGX6 09/29/23 03/31/26    100.000     0.000     5.6700     14.49   0.157500   0.161990   0.166582   0.171305  0.176161     58.33    61.69 
Citigroup Global Markets 17291QFJ8 09/29/23 12/31/24    100.000     0.000     5.9220     15.14   0.166962   0.171906                                     60.83          
Citigroup Global Markets 17291QGG3 10/04/23 04/03/25    100.000     0.000     5.8350     14.10   0.162083   0.166786   0.171652                          60.04    15.79 
Citigroup Global Markets 17291QFV1 09/29/23 09/29/28    100.000     0.000     5.6500     14.44   0.156944   0.161378   0.165937   0.170625  0.175445     58.13    61.46 
Citigroup Global Markets 17331C3N5 01/31/23 01/29/26    100.000     0.000     4.8220     44.82   0.137156   0.140463   0.143849   0.147317  0.150869     50.99    53.48 
Citigroup Global Markets 17331CE37 02/01/23 02/01/27    100.000     0.000     4.7930     44.41   0.136330   0.139597   0.142942   0.146368  0.149875     50.66    53.12 
Citigroup Global Markets 17331CDZ7 01/27/23 01/27/28    100.000     0.000     4.8610     45.60   0.138310   0.141671   0.145115   0.148642  0.152254     51.44    53.98 
Citigroup Global Markets 17331CDE4 01/25/23 07/25/28    100.000     0.000     4.8410     45.69   0.137727   0.141061   0.144475   0.147972  0.151554     51.23    53.74 
Citigroup Global Markets 17330YJP6 12/28/22 06/27/24    100.000     0.000     5.3480     54.67   0.156584                                                27.56          
Citigroup Global Markets 17330YJ27 12/05/22 12/04/25    100.000     0.000     5.4070     58.92   0.158402   0.162684   0.167083   0.171600               58.03    56.45 
Citigroup Global Markets 17331C2L0 01/31/23 01/29/26    100.000     0.000     4.8220     44.82   0.137156   0.140463   0.143849   0.147317  0.150869     50.99    53.48 
Citigroup Global Markets 17330YZY9 01/04/23 01/02/26    100.000     0.000     5.3680     53.94   0.153069   0.157177   0.161396   0.165728  0.170176     57.33    60.45 
Citigroup Global Markets 17331C2P1 01/31/23 07/31/24    100.000     0.000     5.1050     47.48   0.145425   0.149137                                     31.06          
Citigroup Global Markets 17331C2Q9 01/05/23 01/04/28    100.000     0.000     5.3870     53.98   0.153647   0.157786   0.162035   0.166400  0.170882     57.54    60.68 
Citigroup Global Markets 17331C2U0 01/31/23 01/31/28    100.000     0.000     4.7930     44.55   0.136330   0.139597   0.142942   0.146368  0.149875     50.67    53.12 
Citigroup Global Markets 17331C2T3 12/30/22 07/02/24    100.000     0.000     5.4850     55.77   0.156587   0.160882                                     29.12          
Citigroup Global Markets 17330YZG8 12/28/22 12/26/25    100.000     0.000     5.2020     53.16   0.152072   0.156027   0.160085   0.164249               55.50    57.58 
Citigroup Global Markets 17330YLH1 12/02/22 12/04/25    100.000     0.000     5.3870     59.17   0.157856   0.162108   0.166474   0.170958               57.83    56.24 
Citigroup Global Markets 17331C5F0 01/31/23 01/30/25    100.000     0.000     4.9980     46.48   0.142303   0.145859   0.149504                          52.96     4.34 
Citigroup Global Markets 17330YLQ1 12/05/22 12/03/26    100.000     0.000     5.3290     58.06   0.155976   0.160132   0.164399   0.168779  0.173277     57.14    60.22 
Citigroup Global Markets 17330YM31 12/28/22 12/27/24    100.000     0.000     5.2610     53.77   0.153906   0.157955                                     55.52          
Citigroup Global Markets 17331CEQ6 01/27/23 01/27/28    100.000     0.000     4.8610     45.60   0.138310   0.141671   0.145115   0.148642  0.152254     51.44    53.98 
Citigroup Global Markets 17331C4S3 01/31/23 01/31/28    100.000     0.000     4.7930     44.55   0.136330   0.139597   0.142942   0.146368  0.149875     50.67    53.12 
Citigroup Global Markets 17331C4R5 01/31/23 07/31/25    100.000     0.000     4.8710     45.28   0.138601   0.141977   0.145434   0.148976               51.54    31.03 
Citigroup Global Markets 17331C4U8 01/31/23 01/31/30    100.000     0.000     4.8510     45.10   0.138018   0.141366   0.144795   0.148307  0.151904     51.31    53.83 
Citigroup Global Markets 17331C4V6 01/20/23 01/23/25    100.000     0.000     5.1730     49.61   0.147475   0.151289   0.155202                          55.00     3.41 
Citigroup Global Markets 17331C4Y0 01/31/23 07/31/25    100.000     0.000     4.8710     45.28   0.138601   0.141977   0.145434   0.148976               51.54    31.03 
Citigroup Global Markets 17331CEY9 01/27/23 01/27/28    100.000     0.000     4.8610     45.60   0.138310   0.141671   0.145115   0.148642  0.152254     51.44    53.98 
Citigroup Global Markets 17331C4D6 01/31/23 02/29/24    100.000     0.000     5.7470     53.62   0.164986                                                 9.57          
Citigroup Global Markets 17331C4F1 12/30/22 12/30/27    100.000     0.000     5.3580     54.45   0.156915   0.161118   0.165435   0.169867  0.174417     57.25    60.36 
Citigroup Global Markets 17331C4J3 01/31/23 02/05/26    100.000     0.000     4.8220     44.84   0.137266   0.140575   0.143964   0.147435  0.150990     50.99    53.48 
Citigroup Global Markets 17330YWV8 12/30/22 01/02/26    100.000     0.000     5.3100     53.96   0.151461   0.155482   0.159610   0.163848  0.168198     56.71    59.76 
Citigroup Global Markets 17330YFY1 12/28/22 06/26/25    100.000     0.000     5.2020     53.16   0.152072   0.156027   0.160085                          55.50    28.01 
Citigroup Global Markets 17330YWC0 01/05/23 07/06/26    100.000     0.000     5.3680     53.79   0.153135   0.157246   0.161466   0.165800  0.170250     57.33    60.45 
Citigroup Global Markets 17330YVK3 12/22/22 12/23/27    100.000     0.000     5.0460     52.42   0.147349   0.151066   0.154878   0.158785  0.162792     53.77    56.52 
Citigroup Global Markets 17330YF21 12/07/22 12/07/26    100.000     0.000     5.0660     54.85   0.147941   0.151689   0.155531   0.159471  0.163510     54.12    56.89 
Citigroup Global Markets 17330YES5 12/28/22 12/28/27    100.000     0.000     5.2510     53.66   0.153621   0.157654   0.161793   0.166041  0.170401     56.05    59.04 
Citigroup Global Markets 17330YW89 12/30/22 12/31/25    100.000     0.000     5.3780     54.66   0.157531   0.161767   0.166117   0.170584               57.48    60.44 
Citigroup Global Markets 17330YVF4 12/14/22 12/12/24    100.000     0.000     5.3190     56.55   0.155669   0.159809                                     53.83          
Citigroup Global Markets 17330YHS2 12/27/22 01/25/24    100.000     0.000     6.0190     61.91   0.173032                                                 4.15          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Global Markets 17330YZ94 01/31/23 10/30/25    100.000     0.000     4.9000     45.66   0.141154   0.144612   0.148155   0.151785               51.87    44.95 
Citigroup Global Markets 17330YZ86 12/30/22 12/31/25    100.000     0.000     5.3780     54.66   0.157531   0.161767   0.166117   0.170584               57.48    60.44 
Citigroup Global Markets 17331CBT3 02/01/23 01/30/26    100.000     0.000     4.8320     44.78   0.137447   0.140768   0.144169   0.147652  0.151219     51.09    53.59 
Citigroup Global Markets 17330YHA1 12/27/22 06/26/24    100.000     0.000     5.3780     55.14   0.157508                                                27.56          
Citigroup Global Markets 17330YYC8 12/28/22 12/28/27    100.000     0.000     5.2510     53.66   0.153621   0.157654   0.161793   0.166041  0.170401     56.05    59.04 
Citigroup Global Markets 17330YYG9 12/14/22 12/12/24    100.000     0.000     5.3190     56.55   0.155669   0.159809                                     53.83          
Citigroup Global Markets 17331CBB2 01/25/23 07/24/25    100.000     0.000     4.8800     46.06   0.138845   0.142233   0.145703   0.149258               51.67    30.22 
Citigroup Global Markets 17330YXP0 12/23/22 12/26/25    100.000     0.000     5.1930     53.82   0.151904   0.155848   0.159895   0.164046               55.44    57.51 
Citigroup Global Markets 17330YY46 12/22/22 12/24/24    100.000     0.000     5.2120     54.17   0.152466   0.156439                                     54.54          
Citigroup Global Markets 17330YH60 12/27/22 06/26/25    100.000     0.000     5.2320     53.62   0.153015   0.157018   0.161125                          55.85    28.20 
Citigroup Global Markets 17330YXB1 12/28/22 12/27/24    100.000     0.000     5.2610     53.77   0.153906   0.157955                                     55.52          
Citigroup Global Markets 17330YXG0 01/05/23 01/05/27    100.000     0.000     5.3390     53.49   0.152265   0.156329   0.160502   0.164787  0.169186     57.00    60.08 
Citigroup Global Markets 17331CAB3 01/12/23 07/14/25    100.000     0.000     5.2410     51.46   0.149442   0.153358   0.157377   0.161501               55.83    31.12 
Citigroup Global Markets 17330YSP6 12/02/22 12/02/27    100.000     0.000     5.3390     58.64   0.156329   0.160502   0.164787   0.169186  0.173703     57.27    60.37 
Citigroup Global Markets 17330YSR2 12/27/22 06/26/24    100.000     0.000     5.3780     55.14   0.157508                                                27.56          
Citigroup Global Markets 17330YSQ4 12/27/22 12/27/24    100.000     0.000     5.3000     54.32   0.155128   0.159239                                     55.97          
Citigroup Global Markets 17331CLN5 01/23/23 01/23/26    100.000     0.000     4.9880     47.38   0.142011   0.145553   0.149183   0.152904  0.156717     52.89    55.57 
Citigroup Global Markets 17330YRF9 12/30/22 01/05/26    100.000     0.000     5.2410     53.27   0.149507   0.153425   0.157445   0.161571  0.165805     55.92    58.89 
Citigroup Global Markets 17331CLD7 01/25/23 07/23/27    100.000     0.000     4.8220     45.51   0.137138   0.140444   0.143830   0.147298  0.150850     51.02    53.51 
Citigroup Global Markets 17330YRQ5 12/05/22 12/03/27    100.000     0.000     5.3390     58.17   0.156284   0.160456   0.164739   0.169137  0.173652     57.25    60.35 
Citigroup Global Markets 17330YR77 12/27/22 09/25/25    100.000     0.000     5.3000     54.49   0.153082   0.157138   0.161302   0.165577               56.63    43.35 
Citigroup Global Markets 17331CKR7 01/31/23 07/31/24    100.000     0.000     5.1050     47.48   0.145425   0.149137                                     31.06          
Citigroup Global Markets 17331CKS5 01/13/23 01/13/28    100.000     0.000     5.1240     50.14   0.145980   0.149720   0.153556   0.157490  0.161525     54.50    57.33 
Citigroup Global Markets 17331CL88 01/20/23 01/23/26    100.000     0.000     5.0950     48.85   0.145195   0.148894   0.152687   0.156576  0.160565     54.12    56.91 
Citigroup Global Markets 17330YDM9 12/28/22 12/26/25    100.000     0.000     5.2020     53.16   0.152072   0.156027   0.160085   0.164249               55.50    57.58 
Citigroup Global Markets 17330YUU2 12/14/22 12/12/24    100.000     0.000     5.3190     56.55   0.155669   0.159809                                     53.83          
Citigroup Global Markets 17330YE71 12/27/22 12/27/27    100.000     0.000     5.2710     54.02   0.154236   0.158301   0.162473   0.166755  0.171150     56.29    59.30 
Citigroup Global Markets 17330YUF5 12/02/22 06/03/24    100.000     0.000     5.5820     61.35   0.163856                                                24.91          
Citigroup Global Markets 17330YTG5 12/28/22 12/26/25    100.000     0.000     5.2020     53.16   0.152072   0.156027   0.160085   0.164249               55.50    57.58 
Citigroup Global Markets 17330YD31 12/27/22 06/26/25    100.000     0.000     5.2320     53.62   0.153015   0.157018   0.161125                          55.85    28.20 
Citigroup Global Markets 17330YTU4 12/28/22 12/28/27    100.000     0.000     5.2510     53.66   0.153621   0.157654   0.161793   0.166041  0.170401     56.05    59.04 
Citigroup Global Markets 17330YC81 12/27/22 12/27/27    100.000     0.000     5.2710     54.02   0.154236   0.158301   0.162473   0.166755  0.171150     56.29    59.30 
Citigroup Global Markets 17330YTA8 12/28/22 12/26/25    100.000     0.000     5.2020     53.16   0.152072   0.156027   0.160085   0.164249               55.50    57.58 
Citigroup Global Markets 17331CHW0 01/31/23 07/31/24    100.000     0.000     5.1050     47.48   0.145425   0.149137                                     31.06          
Citigroup Global Markets 17330YNP1 12/28/22 06/26/25    100.000     0.000     5.2020     53.16   0.152072   0.156027   0.160085                          55.50    28.01 
Citigroup Global Markets 17331C6H5 01/25/23 01/25/27    100.000     0.000     4.7830     45.14   0.136038   0.139292   0.142623   0.146034  0.149526     50.59    53.04 
Citigroup Global Markets 17330YQD5 12/05/22 12/04/25    100.000     0.000     5.4070     58.92   0.158402   0.162684   0.167083   0.171600               58.03    56.45 
Citigroup Global Markets 17330YPR5 12/27/22 12/27/29    100.000     0.000     5.3680     55.03   0.157223   0.161443   0.165776   0.170225  0.174794     57.39    60.52 
Citigroup Global Markets 17331CJP3 01/27/23 01/28/27    100.000     0.000     4.8410     45.41   0.137745   0.141079   0.144494   0.147992  0.151574     51.22    53.73 
Citigroup Global Markets 17331CJQ1 01/19/23 01/19/28    100.000     0.000     4.9680     47.75   0.141428   0.144941   0.148541   0.152231  0.156013     52.70    55.35 
Citigroup Global Markets 17331CK63 01/25/23 01/25/27    100.000     0.000     4.7830     45.14   0.136038   0.139292   0.142623   0.146034  0.149526     50.59    53.04 
Citigroup Global Markets 17331CJX6 01/23/23 01/23/26    100.000     0.000     4.9880     47.38   0.142011   0.145553   0.149183   0.152904  0.156717     52.89    55.57 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Global Markets 17330YPG9 12/27/22 12/24/26    100.000     0.000     5.2220     53.52   0.152664   0.156651   0.160741   0.164938  0.169244     55.73    58.68 
Citigroup Global Markets 17291TUY2 01/31/24 07/31/25    100.000     0.000     4.9500                        0.137500   0.140903   0.144390               46.03    30.08 
Citigroup Global Markets 17291TDX3 12/26/23 12/23/27    100.000     0.000     4.8100      0.67   0.133611   0.136771   0.140060   0.143429  0.146878     48.72    51.08 
Citigroup Global Markets 17291TV62 02/05/24 08/05/25    100.000     0.000     5.1100                        0.141944   0.145571   0.149290               46.80    31.82 
Citigroup Global Markets 17291TUS5 02/01/24 02/03/28    100.000     0.000     4.9300             0.136944   0.136982   0.140359   0.143818  0.147364     45.70    52.19 
Citigroup Global Markets 17291TFF0 12/27/23 03/26/26    100.000     0.000     5.2000      0.58   0.144444   0.146301   0.150105   0.154008  0.158012     52.87    55.49 
Citigroup Global Markets 17291T5E4 11/30/23 12/03/30    100.000     0.000     5.5600      4.79   0.154516   0.158812   0.163227   0.167764  0.172428     56.64    59.84 
Citigroup Global Markets 17291T4U9 12/05/23 12/03/26    100.000     0.000     5.2000      3.76   0.144444   0.148158   0.152010   0.155963  0.160018     52.88    55.66 
Citigroup Global Markets 17291TF29 12/27/23 06/26/25    100.000     0.000     5.2000      0.58   0.144444   0.148179   0.152032                          52.71    26.61 
Citigroup Global Markets 17291TEK0 12/27/23 06/25/26    100.000     0.000     5.2000      0.58   0.144444   0.148158   0.152010   0.155963  0.160018     52.71    55.48 
Citigroup Global Markets 17291TSQ2 01/10/24 01/08/26    100.000     0.000     5.0100                        0.139167   0.142614   0.146187  0.149849     49.44    53.24 
Citigroup Global Markets 17291TCY2 12/26/23 12/26/30    100.000     0.000     4.7700      0.66   0.132500   0.135660   0.138896   0.142208  0.145600     48.30    50.63 
Citigroup Global Markets 17291TU55 01/31/24 01/30/31    100.000     0.000     4.3300                        0.120278   0.122882   0.125542  0.128260     40.21    45.53 
Citigroup Global Markets 17291TCP1 12/27/23 03/26/25    100.000     0.000     5.3600      0.60   0.148889   0.150862   0.154905                          54.53    13.17 
Citigroup Global Markets 17291TZH4 01/19/24 01/22/27    100.000     0.000     4.6300             0.128611   0.128661   0.131639   0.134687  0.137805     44.48    48.92 
Citigroup Global Markets 17291LAD7 01/25/24 12/26/25    100.000     0.000     5.0200             0.139444   0.142381   0.145954   0.149618               47.41    52.47 
Citigroup Global Markets 17291TYZ5 01/31/24 05/01/25    100.000     0.000     5.2100             0.144722   0.146628   0.150448                          48.59    18.05 
Citigroup Global Markets 17291THP6 12/27/23 12/24/26    100.000     0.000     5.2000      0.58   0.144444   0.148137   0.151989   0.155941  0.159995     52.72    55.48 
Citigroup Global Markets 17291TXB9 01/10/24 01/10/29    100.000     0.000     5.0300                        0.139722   0.143236   0.146839  0.150532     49.64    53.46 
Citigroup Global Markets 17291TXE3 01/31/24 07/30/26    100.000     0.000     4.9500                        0.137500   0.140903   0.144390  0.147964     46.03    52.42 
Citigroup Global Markets 17291TWY0 01/10/24 01/08/27    100.000     0.000     4.9500                        0.137500   0.140865   0.144352  0.147924     48.84    52.56 
Citigroup Global Markets 17291TFM5 12/26/23 06/25/26    100.000     0.000     5.2000      0.72   0.144444   0.148179   0.152032   0.155985  0.160040     52.72    55.49 
Citigroup Global Markets 17291TX06 02/05/24 08/05/26    100.000     0.000     4.9300                        0.136944   0.140320   0.143779  0.147323     45.14    52.16 
Citigroup Global Markets 17291THF8 12/15/23 12/15/28    100.000     0.000     5.2500      2.33   0.145833   0.149661   0.153590   0.157622  0.161759     53.31    56.15 
Citigroup Global Markets 17290A5G1 12/29/23 12/29/28    100.000     0.000     5.0800      0.28   0.141111   0.144695   0.148371   0.152139  0.156004     51.46    54.11 
Citigroup Global Markets 17291TY44 02/05/24 05/05/26    100.000     0.000     5.0100             0.139167   0.140910   0.144440   0.148058  0.151767     45.98    53.06 
Citigroup Global Markets 17291TGL6 12/26/23 12/26/25    100.000     0.000     5.2000      0.72   0.144444   0.148200   0.152053   0.156007               52.71    54.69 
Citigroup Global Markets 17291TMA3 12/28/23 01/27/25    100.000     0.000     5.8700      0.49   0.163056   0.163827   0.168635                          59.70     4.38 
Citigroup Global Markets 17291TNH7 02/05/24 05/05/25    100.000     0.000     5.2500             0.145833   0.147747   0.151626                          48.21    18.80 
Citigroup Global Markets 17291TNB0 01/31/24 10/29/26    100.000     0.000     4.9500             0.137500   0.139183   0.142627   0.146157  0.149775     46.13    52.42 
Citigroup Global Markets 17291TL30 12/26/23 09/24/26    100.000     0.000     5.2000      0.72   0.144444   0.146280   0.150084   0.153986  0.157990     52.88    55.50 
Citigroup Global Markets 17291TKJ6 12/26/23 06/25/25    100.000     0.000     5.2000      0.72   0.144444   0.148179   0.152032                          52.72    26.45 
Citigroup Global Markets 17291TLP1 12/26/23 03/25/25    100.000     0.000     5.4100      0.75   0.150278   0.152288   0.156407                          55.05    13.14 
Citigroup Global Markets 17291LDQ5 02/01/24 05/02/25    100.000     0.000     5.2500             0.145833   0.147769   0.151648                          48.82    18.35 
Citigroup Global Markets 17291TKZ0 12/26/23 12/26/28    100.000     0.000     4.7700      0.66   0.132500   0.135660   0.138896   0.142208  0.145600     48.30    50.63 
Citigroup Global Markets 17291TQF8 12/29/23 12/29/26    100.000     0.000     4.8900      0.27   0.135833   0.139154   0.142557   0.146042  0.149613     49.51    51.96 
Citigroup Global Markets 17291TB23 12/13/23 03/13/25    100.000     0.000     5.3600      2.68   0.148889   0.150884   0.154928                          54.61    11.15 
Citigroup Global Markets 17291LJU0 02/07/24 02/05/27    100.000     0.000     4.7300                        0.131389   0.134462   0.137642  0.140897     43.02    49.92 
Citigroup Global Markets 17291TPU6 01/02/24 04/01/25    100.000     0.000     5.3000             0.147222   0.149151   0.153104                          53.73    13.78 
Citigroup Inc.           1730T0A90 10/30/13 10/30/33    100.000    VARIES     4.6216    410.99   0.115944   0.117312   0.118712   0.120144  0.121609     42.15    43.17 
Citigroup Inc.           1730T0A82 11/15/13 11/15/28    100.000    VARIES     4.5367    407.39   0.115590   0.116770   0.117977   0.119211  0.120473     41.93    42.81 
Citigroup Inc.           1730T0R76 06/27/14 06/27/34    100.000    VARIES     4.4526    371.90   0.110063   0.111174   0.112400   0.113653  0.114934     39.83    40.70 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Inc.           1730T0A58 10/22/13 10/22/33    100.000    VARIES     4.6765    405.35   0.112527   0.114202   0.115916   0.117671  0.119466     41.05    42.29 
Citigroup Inc.           1730T0R50 06/18/14 06/18/34    100.000    VARIES     4.4513    373.57   0.117920   0.120493   0.122902   0.125365  0.127883     42.98    44.75 
Citigroup Inc.           1730T0RN1 02/27/13 02/27/28    100.000    VARIES     3.2574    310.36   0.081577   0.082597   0.083610   0.084639  0.085685     29.80    30.54 
Citigroup Inc.           1730T02B4 10/30/14 10/30/34    100.000    VARIES     4.5064    383.85   0.121351   0.122483   0.123640   0.124606  0.125594     44.03    44.80 
Citigroup Inc.           1730T02D0 10/31/14 10/31/29    100.000    VARIES     4.0094    328.41   0.100968   0.101898   0.102847   0.103797  0.104767     36.63    37.31 
Citigroup Inc.           1730T0T58 06/27/14 06/27/34    100.000    VARIES     4.3618    368.46   0.104637   0.104829   0.105199   0.105576  0.105962     37.71    37.94 
Citigroup Inc.           1730T0C23 11/12/13 11/12/33    100.000    VARIES     4.7621    420.22   0.116673   0.118204   0.119772   0.121377  0.123020     42.43    43.57 
Citigroup Inc.           1730T0SM2 04/29/13 04/29/33    100.000    VARIES     3.4970    336.02   0.092490   0.093609   0.094493   0.095393  0.096308     33.62    34.29 
Citigroup Inc.           1730T0C56 11/26/13 11/26/33    100.000    VARIES     4.7711    423.28   0.120478   0.121834   0.123221   0.124642  0.126096     43.71    44.72 
Citigroup Inc.           1730T0UG2 07/09/13 07/09/28    100.000    VARIES     4.4999    431.59   0.119583   0.120572   0.121582   0.122616  0.123673     43.57    44.32 
Citigroup Inc.           1730T0UB3 07/09/13 07/09/33    100.000    VARIES     4.7565    464.01   0.130766   0.132327   0.133925   0.134992  0.136085     47.90    48.78 
Citigroup Inc.           17298CJ82 03/20/20 03/20/30    100.000    VARIES     2.2121     13.17   0.009342   0.009445   0.009549   0.009655  0.009762      3.40     3.48 
Citigroup Inc.           17298CJ74 03/04/20 03/04/30    100.000    VARIES     1.9573     11.70   0.008240   0.008321   0.008402   0.008485  0.008568      3.00     3.06 
Citigroup Inc.           1730T0UK3 07/30/13 07/30/33    100.000    VARIES     4.8333    448.85   0.125337   0.127095   0.128896   0.130740  0.132628     45.98    47.30 
Citigroup Inc.           1730T0TT6 06/28/13 06/28/33    100.000    VARIES     4.5398    429.32   0.125225   0.127211   0.129241   0.131318  0.132469     45.45    46.91 
Citigroup Inc.           1730T02P3 10/31/14 10/31/34    100.000    VARIES     4.7455    395.52   0.114971   0.115035   0.115100   0.115397  0.115701     41.41    41.53 
Citigroup Inc.           1730T0U49 07/31/14 07/31/34    100.000    VARIES     4.3417    370.72   0.111622   0.112643   0.113686   0.114766  0.115869     40.68    41.45 
Citigroup Inc.           1730T0TQ2 06/11/13 06/11/33    100.000    VARIES     4.2945    413.82   0.115104   0.116507   0.117575   0.118666  0.119781     41.74    42.57 
Citigroup Inc.           1730T0TZ2 06/27/13 06/27/33    100.000    VARIES     4.6405    448.29   0.127282   0.128811   0.130375   0.131976  0.132884     46.11    47.23 
Citigroup Inc.           1730T02V0 11/26/14 11/26/34    100.000    VARIES     4.2546    346.56   0.115906   0.118222   0.120589   0.122737  0.124932     42.31    43.95 
Citigroup Inc.           1730T0N62 04/29/14 04/29/34    100.000    VARIES     4.5423    380.65   0.111163   0.112483   0.113818   0.115183  0.116579     40.42    41.39 
Citigroup Inc.           1730T0P86 05/30/14 05/30/34    100.000    VARIES     4.4254    360.57   0.105700   0.107248   0.108825   0.110437  0.112085     38.43    39.57 
Citigroup Inc.           1730T3AX1 09/30/15 09/30/35    100.000    VARIES     4.3723    318.36   0.111111   0.113456   0.115853   0.118302  0.120805     40.85    42.60 
Citigroup Inc.           1730T3AW3 08/31/15 08/31/35    100.000    VARIES     4.4100    330.23   0.109875   0.109752   0.112685   0.111893  0.114834     40.54    41.25 
Citigroup Inc.           1730T3AV5 08/31/15 08/31/35    100.000    VARIES     4.4143    329.43   0.115116   0.116235   0.120625   0.120907  0.125248     43.02    44.65 
Citigroup Inc.           1730T3AZ6 11/30/15 11/30/35    100.000    VARIES     4.3523    320.20   0.117782   0.119969   0.122204   0.124488  0.126821     42.93    44.55 
Citigroup Inc.           1730T3AY9 10/30/15 10/30/35    100.000    VARIES     4.3036    314.73   0.113922   0.116297   0.118723   0.121201  0.123733     41.73    43.49 
Citigroup Inc.           17298CAT5 05/27/15 05/27/25    100.000    VARIES     2.5639     22.45   0.007698   0.007796   0.007896                           2.80     1.15 
Citigroup Inc.           17298CAR9 05/28/15 05/28/35    100.000    VARIES     4.3835    340.13   0.119642   0.121869   0.124146   0.126473  0.128304     43.62    45.25 
Citigroup Inc.           1730T0L31 03/28/14 03/28/34    100.000    VARIES     4.6422    399.37   0.116887   0.118283   0.119670   0.121090  0.122543     42.59    43.60 
Citigroup Inc.           1730T0L64 03/12/14 03/12/34    100.000    VARIES     4.7152    389.43   0.110693   0.112236   0.113916   0.115636  0.117395     40.48    41.70 
Citigroup Inc.           17298CAF5 05/15/15 05/15/30    100.000    VARIES     2.6421     31.24   0.009886   0.010017   0.010149   0.010283  0.010419      3.59     3.69 
Citigroup Inc.           17298CFV5 01/22/18 01/22/28    100.000    VARIES     3.0673     23.06   0.010955   0.011123   0.011293   0.011466  0.011642      4.03     4.15 
Citigroup Inc.           1730T0VD8 09/18/13 09/18/33    100.000    VARIES     5.1093    466.63   0.133421   0.135278   0.137184   0.139138  0.141142     48.75    50.15 
Citigroup Inc.           17298CFQ6 12/01/17 12/01/27    100.000    VARIES     2.8600     25.87   0.011877   0.012046   0.012219   0.012393  0.012571      4.32     4.44 
Citigroup Inc.           1730T0W21 08/28/14 08/28/34    100.000    VARIES     4.2433    371.90   0.113593   0.114469   0.115364   0.116242  0.117138     41.27    41.91 
Citigroup Inc.           1730T03W7 01/30/15 01/30/35    100.000    VARIES     3.9694    346.85   0.121242   0.123293   0.124911   0.126560  0.128243     44.57    45.77 
Citigroup Inc.           1730T0E96 01/29/14 01/29/34    100.000    VARIES     4.6111    378.96   0.106408   0.108033   0.109758   0.111522  0.113327     39.11    40.37 
Citigroup Inc.           17298CGZ5 06/19/19 06/19/26    100.000    VARIES     2.5629     24.53   0.015220   0.015415   0.015612   0.015812  0.016015      5.52     5.66 
Citigroup Inc.           17298CGS1 03/29/19 03/29/29    100.000    VARIES     3.1121     24.21   0.013949   0.014166   0.014387   0.014611  0.014838      5.10     5.26 
Citigroup Inc.           17298C6K9 01/29/16 01/29/26    100.000    VARIES     2.4179     38.73   0.014071   0.014241   0.014413   0.014587  0.014764      5.15     5.27 
Citigroup Inc.           17298CGL6 11/28/18 11/28/28    100.000    VARIES     3.8162     29.78   0.015663   0.015962   0.016266   0.016577  0.016893      5.71     5.93 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Citigroup Inc.           17298CGC6 08/16/18 08/16/28    100.000    VARIES     3.4665     14.24   0.007265   0.007393   0.007523   0.007656  0.007790      2.72     2.81 
Citigroup Inc.           17298CGD4 09/26/18 09/26/28    100.000    VARIES     3.8142     13.89   0.007340   0.007480   0.007623   0.007768  0.007917      2.69     2.80 
Citigroup Inc.           1730T06D6 03/27/15 03/27/25    100.000    VARIES     3.1775    286.31   0.089567   0.089183   0.088727                          32.10     7.63 
Citigroup Inc.           17298C3F3 10/28/15 10/28/25    100.000    VARIES     2.3916     26.41   0.009393   0.009505   0.009619   0.009734                3.42     2.88 
Citigroup Inc.           1730T0G78 02/19/14 02/19/34    100.000    VARIES     4.7124    410.78   0.122770   0.124866   0.126725   0.128627  0.130575     45.10    46.47 
Citigroup Inc.           1730T07K9 04/30/15 04/30/35    100.000    VARIES     4.1098    325.35   0.101130   0.101107   0.101268   0.101433  0.101601     36.41    36.51 
Citigroup Inc.           1730T07D5 04/27/15 04/27/25    100.000    VARIES     2.3818    204.01   0.065813   0.065927   0.066043                          23.73     7.66 
City of Boston, MA       100853GH7 11/04/09 09/15/24     89.556     6.050     7.2063     96.65   0.029923   0.031002                                      7.79          
City of Hoboken          434110QH8 08/28/03 04/01/27     19.107     0.000     7.1398    605.18   0.155148   0.160687   0.166423   0.172365  0.178518     57.87    62.07 
City of Hoboken          434110QP0 08/28/03 04/01/33     12.543     0.000     7.1397    397.27   0.101846   0.105482   0.109247   0.113147  0.117186     37.99    40.75 
City of Hoboken          434110QM7 08/28/03 04/01/31     14.432     0.000     7.1398    457.11   0.117187   0.121370   0.125703   0.130190  0.134838     43.71    46.88 
City of Hoboken          434110QN5 08/28/03 04/01/32     13.454     0.000     7.1398    426.14   0.109248   0.113148   0.117187   0.121371  0.125704     40.75    43.71 
City of Hoboken          434110QL9 08/28/03 04/01/30     15.481     0.000     7.1397    490.32   0.125703   0.130190   0.134838   0.139651  0.144636     46.88    50.29 
City of Hoboken          434110QJ4 08/28/03 04/01/28     17.813     0.000     7.1397    564.18   0.144636   0.149799   0.155147   0.160685  0.166421     53.94    57.86 
City of Hoboken          434110QK1 08/28/03 04/01/29     16.606     0.000     7.1397    525.96   0.134838   0.139651   0.144636   0.149800  0.155147     50.29    53.94 
Clark CNTY SCH DIST, NV  181059QF6 07/08/10 06/15/24     91.490     5.510     6.4445     80.98   0.025148                                                 4.12          
Comcast Corporation      200300606 11/15/99 11/15/29    100.000     2.000    10.3811   8957.65   2.697232   2.834349   2.978584   3.130305  3.289901   1008.63   1113.92 
Comcast Corporation      200300507 10/15/99 10/15/29    100.000     2.000    10.5154   9359.52   2.823093   2.968602   3.121762   3.282974  3.452662   1065.20   1178.00 
Compucredit Corporation  20478NAA8 05/27/05 05/30/25    100.000    VARIES     9.1299   3207.16   0.864676   0.888800   0.939123                         323.29   139.93 
Compucredit Corporation  20478NAB6 05/27/05 05/30/25    100.000    VARIES     9.1299   3207.16   0.864676   0.888800   0.939123                         323.29   139.93 
Cook County, IL          215219HM1 06/29/06 06/01/26     29.062     0.000     6.2997    570.24   0.149856   0.154576   0.159445   0.164467  0.169647     55.09    58.61 
Cook County, IL          215219HK5 06/29/06 12/01/24     32.181     0.000     6.2498    623.40   0.163244   0.168345                                     54.79          
Cook County, IL          215219HL3 06/29/06 12/01/25     30.147     0.000     6.2697    587.00   0.153930   0.158756   0.163733   0.168865               56.58    54.96 
Cook County, IL SD #123  214651KH3 10/15/07 12/01/25     32.426     0.000     6.3096    563.55   0.154789   0.159673   0.164710   0.169906               56.90    55.29 
Cook County, IL SD #123  214651KG5 10/15/07 12/01/24     34.562     0.000     6.2995    599.17   0.164463   0.169643                                     55.21          
Cook County, IL SD #123  214651KK6 10/15/07 06/01/27     29.429     0.000     6.3296    514.00   0.141368   0.145842   0.150457   0.155219  0.160131     51.97    55.31 
Cook County, IL SD #123  214651KJ9 10/15/07 12/01/26     30.417     0.000     6.3195    529.93   0.145653   0.150255   0.155003   0.159900  0.164953     53.54    56.98 
Cook County, IL SD #155  215219JS6 10/08/09 12/01/24     36.316     0.000     6.7994    577.46   0.176656   0.182661                                     59.38          
Cook County, IL SD #155  215219JT4 10/08/09 12/01/25     33.703     0.000     6.8494    541.94   0.166284   0.171979   0.177869   0.183960               61.23    59.79 
Cook County, IL SD #155  215219JW7 10/08/09 12/01/28     26.292     0.000     7.0995    446.78   0.139134   0.144073   0.149187   0.154483  0.159966     51.28    54.98 
Cook County, IL SD #155  215219JX5 10/08/09 06/01/29     25.151     0.000     7.1494    432.07   0.134952   0.139776   0.144772   0.149948  0.155308     49.75    53.37 
Cook County, IL SD #155  215219JU1 10/08/09 12/01/26     31.248     0.000     6.8993    508.09   0.156361   0.161755   0.167335   0.173108  0.179080     57.59    61.63 
Cook County, IL SD #155  215219JV9 10/08/09 12/01/27     28.691     0.000     6.9993    476.95   0.147653   0.152820   0.158169   0.163704  0.169433     54.40    58.28 
Cook County, IL SD #89   214201GS8 11/29/10 12/15/26     27.332     0.000     8.2497    514.20   0.179808   0.187225   0.194947   0.202989  0.211362     66.31    71.89 
Cook County, IL SD #89   214201GQ2 11/29/10 12/15/25     30.724     0.000     7.9997    550.61   0.189950   0.197548   0.205450   0.213667               70.00    72.15 
Cook County, IL SD #89   214201GR0 11/29/10 12/15/26    109.444    VARIES     7.6950   1078.25   0.219691   0.218792   0.217858   0.216889  0.215882     78.90    78.22 
Cook County, IL SD #89   214201GP4 11/29/10 12/15/24     34.234     0.000     7.7796    587.38   0.200221   0.208010                                     70.28          
Cook County, IL SD #89   214201GM1 12/13/07 12/01/24     33.947     0.000     6.4699    603.90   0.168632   0.174087                                     56.63          
Cook County, Illinois    214723DA3 09/07/05 12/01/24     33.990     0.000     5.6895    610.03   0.149420   0.153670                                     50.07          
Cook County, Illinois    215219GR1 06/02/05 12/01/24     34.002     0.000     5.6101    610.58   0.147447   0.151583                                     49.40          
Credit Agricole Corp and 22533AL96 09/13/23 09/11/25    100.000     0.000     5.3500     16.05   0.148611   0.152542   0.156623   0.160812               55.09    39.91 
Credit Agricole Corporat 22533AHZ3 01/18/23 01/18/25    100.000    VARIES     4.4505     41.90   0.123624   0.123624   0.123624                          44.50     2.21 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Credit Suisse AG         22551NWL6 04/01/20 10/02/25    100.000     0.000     3.0199    118.99   0.093173   0.094580   0.096008   0.097458               34.05    26.28 
Credit Suisse AG         22552FJ52 06/28/19 06/28/24    100.000     0.000     2.3699    112.06   0.073195                                                12.96          
Credit Suisse AG         22551N6K7 11/29/19 02/29/24    100.000     0.000     2.0697     87.87   0.062109                                                 3.60          
Credit Suisse AG         22552FDW9 06/05/19 06/05/24    100.000     0.000     2.3699    113.75   0.073195                                                11.27          
Credit Suisse AG         22551LXX3 03/29/19 03/29/24    100.000     0.000     2.5700    129.14   0.080082                                                 7.05          
Credit Suisse AG         22551LVQ0 03/05/19 03/04/24    100.000     0.000     2.5700    131.07   0.080076                                                 5.04          
Credit Suisse AG London  22552FHW5 06/28/19 09/30/24    100.000     0.000     2.3697    112.09   0.072768   0.073630                                     19.73          
Credit Suisse AG London  22548Y124 07/05/19 06/27/25    100.000     0.000     2.3699    111.56   0.073156   0.074023   0.074900                          26.50    13.18 
Credit Suisse AG London  22551LQP8 01/03/19 01/03/24    100.000     0.000     2.8700    152.95   0.090629                                                 0.18          
Credit Suisse AG London  22552FJ45 06/28/19 06/28/24    100.000     0.000     2.3699    112.06   0.073195                                                12.96          
Credit Suisse AG London  22551LRH5 01/31/19 02/01/24    100.000     0.000     2.8700    150.50   0.090635                                                 2.72          
Credit Suisse AG London  22551LRW2 02/05/19 02/05/24    100.000     0.000     2.6101    135.67   0.081476                                                 2.77          
Credit Suisse AG London  22552FL26 07/29/19 07/29/24    100.000     0.000     2.4409    113.27   0.074712   0.075624                                     15.70          
Credit Suisse AG London  22551LSS0 01/25/19 01/24/24    100.000     0.000     2.8700    150.96   0.090623                                                 2.08          
Credit Suisse AG London  22551LST8 01/25/19 01/24/24    100.000     0.000     2.8700    150.96   0.090623                                                 2.08          
Credit Suisse AG London  22552FLG5 07/26/19 07/26/24    100.000     0.000     2.4299    112.96   0.074345   0.075248                                     15.40          
Credit Suisse AG London  22552FLJ9 07/26/19 07/26/24    100.000     0.000     2.4299    112.96   0.074345   0.075248                                     15.40          
Credit Suisse AG London  22552FDP4 05/31/19 05/31/24    100.000     0.000     2.7591    133.92   0.086699                                                12.92          
Credit Suisse AG London  22552FDM1 05/31/19 05/31/24    100.000     0.000     2.3601    113.61   0.072857                                                10.86          
Credit Suisse AG London  22552FDV1 05/31/19 05/31/24    100.000     0.000     2.3601    113.61   0.072857                                                10.86          
Credit Suisse AG London  22552FVG4 09/27/19 03/27/25    100.000     0.000     2.1800     96.81   0.066040   0.066760   0.067488                          24.04     5.80 
Credit Suisse AG London  22551LN48 01/03/19 01/03/24    100.000     0.000     2.8700    152.95   0.090629                                                 0.18          
Credit Suisse AG London  22552FWE8 09/30/19 06/28/24    100.000     0.000     2.1798     96.60   0.066386                                                11.75          
Credit Suisse AG London  22551LXW5 03/29/19 03/29/24    100.000     0.000     2.5700    129.14   0.080082                                                 7.05          
Credit Suisse AG London  22552FA44 05/03/19 05/03/24    100.000     0.000     2.3601    115.58   0.072857                                                 8.89          
Credit Suisse AG London  22552FA36 04/30/19 04/30/24    100.000     0.000     2.5300    124.58   0.078696                                                 9.36          
Credit Suisse AG London  22551LZU7 03/29/19 03/29/24    100.000     0.000     2.5700    129.14   0.080082                                                 7.05          
Credit Suisse AG London  22551LZV5 04/03/19 04/02/24    100.000     0.000     2.5300    126.71   0.078690                                                 7.16          
Credit Suisse AG London  22552FBX9 05/31/19 06/03/24    100.000     0.000     2.3600    113.61   0.072871                                                11.08          
Credit Suisse AG London  22552FBV3 05/31/19 06/03/24    100.000     0.000     2.3600    113.61   0.072871                                                11.08          
Credit Suisse AG London  22551L3R9 08/10/18 08/12/25    100.000     0.000     2.9800    172.93   0.095988   0.097418   0.098869   0.100342               35.21    22.12 
Credit Suisse AG London  22551LVE7 02/22/19 02/22/24    100.000     0.000     2.6101    134.29   0.081476                                                 4.16          
Credit Suisse AG London  22551LVC1 02/22/19 02/22/24    100.000     0.000     2.6101    134.29   0.081476                                                 4.16          
Credit Suisse AG London  22551LFL9 10/30/18 10/30/24    100.000     0.000     3.0899    171.80   0.100053   0.101599                                     30.19          
Credit Suisse AG Nassau  22552WLY9 09/24/20 09/24/27    100.000     0.000     1.2420     41.32   0.035806   0.036029   0.036252   0.036478  0.036704     12.97    13.14 
Credit Suisse AG Nassau  22552W4L6 05/28/20 05/28/27    100.000     0.000     1.9169     70.93   0.056923   0.057469   0.058020   0.058576  0.059137     20.63    21.02 
Credit Suisse AG Nassau  22549M137 05/03/18 05/06/25    100.000     0.000     3.7900    236.88   0.129466   0.131919   0.134419                          47.32    16.80 
Credit Suisse USA, Inc.  22546VUX2 02/10/16 02/10/26    100.000    VARIES     2.2723     46.27   0.016844   0.017036   0.017229   0.017425  0.017623      6.15     6.29 
Credit Suisse USA, Inc.  22542DFF2 02/28/17 02/28/24    103.000     0.125     2.1990    165.64   0.071996                                                 4.10          
Credit Suisse USA, Inc.  22548QHX6 09/28/16 09/26/24    100.000     0.000     1.3289    100.92   0.040498   0.040768                                     10.78          
Credit Suisse USA, Inc.  22548Q6L4 05/20/16 05/20/31    100.000    VARIES     3.7259    283.69   0.103497   0.103496   0.103497   0.103498  0.103499     37.26    37.26 
Credit Suisse USA, Inc.  22546VRL2 12/23/15 12/23/25    100.000    VARIES     2.4835     24.61   0.009083   0.009196   0.009310   0.009426                3.29     3.30 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Credit Suisse USA, Inc.  22548QL37 10/20/16 10/20/26    100.000    VARIES     2.2705     44.63   0.017665   0.017865   0.018068   0.018273  0.018480      6.42     6.57 
Credit Suisse USA, Inc.  22546VMW3 10/30/15 10/31/25    100.000     1.500     2.5533    217.66   0.076658   0.076273   0.077998   0.077185               28.07    23.48 
Credit Suisse USA, Inc.  22546VPQ3 11/30/15 11/28/25    100.000     1.500     2.5442    214.39   0.077168   0.077620   0.078077   0.078540               27.89    25.61 
Credit Suisse USA, Inc.  22548Q3E3 04/14/16 04/14/26    100.000    VARIES     2.5023     42.74   0.016245   0.016448   0.016654   0.016862  0.017073      5.92     6.07 
Credit Suisse USA, Inc.  22548Q2Q7 04/28/16 04/28/26    100.000    VARIES     2.7488     67.73   0.025551   0.025902   0.026258   0.026619  0.026985      9.31     9.56 
DAYTON-MONTGOMERY CNTY   23981CAC2 03/04/21 06/15/26     93.000     8.750    10.5102     32.77   0.037849   0.039838   0.041931   0.044135  0.046454     14.05    15.56 
DENISON TEX INDPT SCH DI 248415XR7 02/27/20 08/01/25     90.051     0.000     1.9399     69.39   0.051846   0.052349   0.052857   0.053370               18.91    11.19 
DENISON TEX INDPT SCH DI 248415XQ9 02/27/20 08/01/24     92.210     0.000     1.8399     67.28   0.050182   0.050644                                     10.62          
DENISON TEX INDPT SCH DI 248415YD7 02/27/20 08/01/26     87.123     0.000     2.1560     74.89   0.056158   0.056763   0.057375   0.057993  0.058619     20.51    20.95 
DENTON TEX INDPT SCH DIS 249002JH0 12/17/20 08/15/24     96.610     0.000     0.9442     28.06   0.025981   0.026104                                      5.84          
DENTON TEX INDPT SCH DIS 249002JJ6 12/17/20 08/15/25     95.041     0.000     1.0941     32.05   0.029736   0.029898   0.030062   0.030227               10.78     6.76 
DENTON TEX INDPT SCH DIS 249002JK3 12/17/20 08/15/26     92.712     0.000     1.3411     38.44   0.035788   0.036028   0.036270   0.036513  0.036758     12.99    13.17 
DENTON TEX INDPT SCH DIS 249002JL1 12/17/20 08/15/27     91.179     0.000     1.3911     39.24   0.036557   0.036811   0.037067   0.037325  0.037584     13.28    13.46 
DEUTSCHE BANK            25160YAP3 03/25/24 03/25/29    100.000     0.000     5.5300                        0.153611   0.157858   0.162223  0.166709     42.80    58.46 
DEUTSCHE BANK            25160YAT5 05/31/24 03/31/36     48.312     6.250     6.2500                        0.082611   0.085167   0.087778  0.090444     17.48    31.27 
DEUTSCHE BANK            25160YAW8 06/17/24 06/17/36     48.312     6.250     6.2500                        0.082611   0.085167   0.087778  0.090444     16.05    31.20 
DRIPPING SPRINGS TEX IND 262061SV7 09/22/20 02/15/27     91.910     0.000     1.3230     40.57   0.035093   0.035325   0.035558   0.035794  0.036030     12.74    12.91 
DRISCOLL TEX INDPT SCH   262068DE6 01/06/21 08/15/29     88.305     0.000     1.4500     38.94   0.036933   0.037201   0.037470   0.037742  0.038016     13.42    13.61 
DRISCOLL TEX INDPT SCH   262068DF3 01/06/21 08/15/30     84.988     0.000     1.7000     44.08   0.041946   0.042302   0.042662   0.043025  0.043390     15.26    15.52 
DRISCOLL TEX INDPT SCH   262068DC0 01/06/21 08/15/27     92.458     0.000     1.1901     33.35   0.031526   0.031714   0.031902   0.032092  0.032283     11.43    11.57 
DRISCOLL TEX INDPT SCH   262068DD8 01/06/21 08/15/28     90.269     0.000     1.3501     37.02   0.035062   0.035298   0.035537   0.035777  0.036018     12.73    12.90 
DRISCOLL TEX INDPT SCH   262068DB2 01/06/21 08/15/26     94.348     0.000     1.0400     29.69   0.028005   0.028150   0.028297   0.028444  0.028592     10.15    10.25 
DUNCANVILLE TEX INDPT SC 265138LC9 03/24/22 02/15/24     96.692     0.000     1.7859     30.92   0.049169                                                 2.16          
DUNCANVILLE TEX INDPT SC 265138LD7 03/24/22 02/15/25     94.310     0.000     2.0359     34.43   0.054861   0.055419   0.055983                          20.00     2.46 
DUNCANVILLE TEX INDPT SC 265138LE5 03/24/22 02/15/26     92.053     0.000     2.1389     35.33   0.056336   0.056938   0.057547   0.058163  0.058785     20.55    21.00 
DUNCANVILLE TEX INDPT SC 265138LG0 03/24/22 02/15/27     89.897     0.000     2.1890     35.33   0.056344   0.056960   0.057584   0.058214  0.058851     20.56    21.02 
Deutsche Bank AG         25152R5G4 05/26/16 05/26/26    100.000    VARIES     3.0802    227.61   0.084255   0.084529   0.084788   0.085051  0.085304     30.40    30.59 
Deutsche Bank AG         25152RUY7 03/15/13 03/15/33    100.000    VARIES     2.5035    248.37   0.066412   0.066944   0.067357   0.067776  0.068201     24.10    24.41 
Deutsche Bank AG         25152RUV3 01/31/13 01/31/33    100.000    VARIES     2.3745    240.05   0.063303   0.063800   0.064177   0.064558  0.064944     23.01    23.29 
Deutsche Bank AG         25152RVD2 06/28/13 06/28/33    100.000    VARIES     2.0551    200.20   0.055247   0.055643   0.055936   0.056233  0.056532     19.96    20.19 
Deutsche Bank AG         25152RVT7 03/31/14 03/31/34    100.000    VARIES     1.1016     93.87   0.027266   0.027416   0.027567   0.027719  0.027872      9.87     9.98 
Deutsche Bank AG         25152RXB4 06/30/14 06/30/34    100.000    VARIES     1.0463     87.61   0.026048   0.026184   0.026321   0.026459  0.026597      9.40     9.50 
Deutsche Bank AG         25152RXE8 09/30/14 09/30/29    100.000    VARIES     1.1689     98.66   0.030276   0.030453   0.030631   0.030810  0.030990     10.96    11.09 
Deutsche Bank AG         25152RXC2 08/28/14 08/28/34    100.000    VARIES     0.8844     73.57   0.022293   0.022392   0.022491   0.022590  0.022690      8.07     8.14 
Deutsche Bank AG         25152R6M0 09/07/16 09/08/26    100.000    VARIES     3.0640    217.74   0.083449   0.083728   0.084012   0.084285  0.084563     30.16    30.36 
Deutsche Bank AG         25152R2S1 07/31/15 07/31/25    100.000    VARIES     3.0783    259.14   0.085585   0.085566   0.085548   0.085528               30.80    17.88 
Deutsche Bank AG         251526BZ1 06/01/18 01/13/26     95.724     4.100     4.7762     29.81   0.016693   0.017092   0.017500   0.017918  0.018346      6.22     6.52 
Deutsche Bank AG London  251526BY4 06/01/18 05/30/24     95.400     3.700     4.5860     42.41   0.024060                                                 3.58          
Diebold Nixdorf Holding  D3130AAA8 12/29/22 07/15/25    100.000    VARIES    13.4500     17.69   0.053944   0.058367   0.061456   0.061615               20.22    12.97 
Diebold Nixdorf, Incorpo 25365TAF9 12/29/22 07/15/25     69.750    VARIES    26.6530     97.37   0.322200   0.368789   0.411233   0.411233  0.448733    124.38    80.75 
Diebold Nixdorf, Incorpo 25365TAG7 12/29/22 07/15/25     69.000     7.900    24.6600    101.43   0.327473   0.367283   0.410165   0.421875              127.18    80.58 
Diebold Nixdorf, Incorpo 253651AD5 12/29/22 07/15/25     69.000     9.375    26.9800    101.91   0.294744   0.334500   0.379622   0.397687              127.35    77.55 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

EAGLE MTN & SAGINAW TEX  269696PK0 12/17/20 08/15/24     96.646     0.000     0.9339     27.76   0.025702   0.025822                                      5.78          
EAGLE MTN & SAGINAW TEX  269696PL8 12/17/20 08/15/25     95.306     0.000     1.0341     30.35   0.028137   0.028283   0.028429   0.028576               10.20     6.39 
EAGLE MTN & SAGINAW TEX  269696MU1 07/02/20 08/15/25     92.667     0.000     1.4931     49.49   0.040258   0.040559   0.040862   0.041167               14.63     9.21 
EAGLE MTN & SAGINAW TEX  269696MV9 07/02/20 08/15/26     89.494     0.000     1.8220     58.62   0.047931   0.048367   0.048808   0.049253  0.049701     17.45    17.77 
EAGLE MTN & SAGINAW TEX  269696MT4 07/02/20 08/15/24     94.364     0.000     1.4131     47.64   0.038703   0.038977                                      8.72          
ECONOMIC DEVELOPMENT     750209AE8 06/27/24 01/01/35    100.000    VARIES     6.0000                        0.023330   0.143778   0.148111  0.152500     26.42    54.11 
ECTOR CNTY TEX INDPT SCH 279263RD1 12/17/20 08/15/27     90.148     0.000     1.5630     43.69   0.040796   0.041115   0.041436   0.041760  0.042086     14.83    15.06 
ECTOR CNTY TEX INDPT SCH 279263QV2 12/17/20 08/15/26     92.338     0.000     1.4130     40.38   0.037626   0.037892   0.038160   0.038429  0.038701     13.67    13.86 
EDGEWOOD OHIO CITY SCH   280455FH4 12/19/19 12/01/27     77.391     0.000     3.2499    107.49   0.079353   0.080642   0.081952   0.083284  0.084637     28.88    29.82 
EDGEWOOD OHIO CITY SCH   280455FJ0 12/19/19 12/01/28     74.279     0.000     3.3499    106.53   0.078811   0.080131   0.081473   0.082838  0.084225     28.69    29.66 
EDGEWOOD OHIO CITY SCH   280455FG6 12/19/19 12/01/24     86.505     0.000     2.9500    108.48   0.079579   0.080753                                     26.47          
EL PASO TEX INDPT SCH DI 283770NS0 07/22/20 08/15/24     95.211     0.000     1.2112     40.41   0.033240   0.033441                                      7.48          
EMERY CALIF UNI SCH DIST 291119JT3 09/12/19 08/01/45     39.206     0.000     3.6499     66.05   0.045750   0.046585   0.047435   0.048301  0.049183     16.87    17.49 
EMERY CALIF UNI SCH DIST 291119JS5 09/12/19 08/01/39     49.670     0.000     3.5499     81.22   0.056157   0.057154   0.058168   0.059201  0.060251     20.70    21.44 
EMERY CALIF UNI SCH DIST 291119JR7 09/12/19 08/01/34     61.883     0.000     3.2498     92.10   0.063320   0.064349   0.065394   0.066457  0.067537     23.29    24.05 
EURONET WORLDWIDE INC    298736AJ8 03/18/19 03/15/49    100.000     0.750     5.4000    286.14   0.184926   0.189357   0.193907   0.198580  0.203379     68.32    71.65 
EURONET WORLDWIDE INC    298736AL3 03/18/19 03/15/49    100.000     0.750     5.4000    286.14   0.184926   0.189357   0.193907   0.198580  0.203379     68.32    71.65 
EVERMAN TEX INDPT SCH DI 300371T43 11/19/20 02/15/24     97.048     0.000     0.9272     28.39   0.025637                                                 1.13          
EXPEDIA GROUP INC        U3010DAM2 03/03/21 03/15/31     99.081     2.950     3.3084     92.78   0.091244   0.091283   0.091322   0.091362  0.091403     32.86    32.89 
EXPEDIA GROUP INC        30212PBF1 03/03/21 03/15/31     99.081     2.950     3.3084     92.78   0.091244   0.091283   0.091322   0.091362  0.091403     32.86    32.89 
EXPEDIA GROUP INC        30212PBB0 07/14/20 08/01/27     99.997     4.625     4.8755    168.88   0.135428   0.135429   0.135429   0.135429  0.135429     48.75    48.75 
EXPEDIA GROUP INC        30212PAS4 05/05/20 05/01/25    100.000     6.250     6.7500    246.75   0.187500   0.187500   0.187500                          67.50    22.50 
East Orange NJ           274137WV6 04/14/03 04/01/24     26.105     0.000     6.5100    723.19   0.175133                                                15.76          
East Orange NJ           274137WW4 04/14/03 04/01/25     24.381     0.000     6.5300    679.13   0.164723   0.170101   0.175655                          61.25    15.81 
East Orange NJ           274137WX2 04/14/03 04/01/26     22.763     0.000     6.5499    637.50   0.154866   0.159937   0.165175   0.170585  0.176171     57.59    61.43 
East Orange NJ           274137WY0 04/14/03 04/01/27     21.292     0.000     6.5600    597.95   0.145375   0.150143   0.155068   0.160154  0.165407     54.07    57.67 
East Orange NJ           274137WZ7 04/14/03 04/01/28     19.913     0.000     6.5700    560.74   0.136435   0.140917   0.145547   0.150328  0.155266     50.74    54.13 
Exelon Corporation       30161NAE1 06/17/14 06/01/24Y   100.000    VARIES     4.8846    484.61   0.136527                                                20.48          
FABENS TEX INDPT SCH DIS 302783MM4 12/21/21 02/15/30     84.263     0.000     2.1119     36.69   0.051176   0.051716   0.052262   0.052814  0.053372     18.67    19.06 
FABENS TEX INDPT SCH DIS 302783ML6 12/21/21 02/15/29     86.663     0.000     2.0119     35.92   0.050060   0.050563   0.051072   0.051586  0.052105     18.25    18.62 
FAIRFIELD OHIO CITY SCH  304657NX3 11/06/19 11/01/31     68.568     0.000     3.1731     95.79   0.068517   0.069604   0.070708   0.071830  0.072970     24.99    25.79 
FAIRFIELD OHIO CITY SCH  304657NY1 11/06/19 11/01/32     66.020     0.000     3.2230     93.77   0.067141   0.068223   0.069323   0.070440  0.071575     24.50    25.29 
FAIRFIELD OHIO CITY SCH  304657NV7 11/06/19 11/01/29     73.964     0.000     3.0430     98.86   0.070518   0.071591   0.072681   0.073787  0.074909     25.71    26.50 
FAIRFIELD OHIO CITY SCH  304657NW5 11/06/19 11/01/30     71.376     0.000     3.0931     97.06   0.069306   0.070378   0.071467   0.072572  0.073694     25.27    26.06 
FEDERAL HOME LOAN        3130B1GM3 05/28/24 08/27/25     99.745     5.000     5.2100                        0.005351   0.005628   0.005638                1.19     1.36 
FEDERAL HOME LOAN        3130B0F87 03/11/24 06/11/25     99.670     4.850     5.1300                        0.006935   0.007213   0.007312                2.10     3.30 
FEDERAL HOME LOAN        3130B0CD9 03/01/24 02/26/29     98.438     4.250     4.5900                        0.010167   0.007527   0.007814  0.007903      2.79     2.87 
FEDERAL HOME LOAN        3130B1JG3 05/24/24 05/24/29     98.734     4.250     4.5400                        0.006129   0.006393   0.006398  0.006667      1.38     2.37 
FEDERAL HOME LOAN        3130B0GC7 03/18/24 06/18/25     99.625     4.750     5.0600             0.007957   0.008000   0.008315                           2.34     1.41 
FEDERAL HOME LOAN        3130AYZP4 02/20/24 02/20/26    100.000    VARIES     4.8000                        0.018315   0.017312   0.017705  0.017688      5.69     6.51 
FEDERAL HOME LOAN        3130AYZS8 02/16/24 12/01/25     99.735     5.000     5.1600                        0.003913   0.003925   0.004098  0.004167      1.26     0.14 
FEDERAL HOME LOAN        3130B0M89 03/28/24 12/28/28     98.300     4.000     4.4000             0.008710   0.008919   0.009185   0.009297  0.009565      2.50     3.40 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

FEDERAL HOME LOAN        3130AXYC6 12/05/23 12/05/25     99.250     4.600     5.0000      0.27   0.009891   0.010109   0.010440   0.010710                3.68     3.59 
FEDERAL HOME LOAN        3130B0KW8 03/21/24 03/21/29     97.500     4.000     4.5600                        0.012151   0.012568   0.012634  0.013169      3.54     4.72 
FEDERAL HOME LOAN        3130B0RB7 04/10/24 04/10/28     98.875     4.375     4.6900                        0.006973   0.007228   0.007351  0.007554      1.89     2.71 
FEDERAL HOME LOAN        3130B2DE2 08/15/24 12/15/25     99.700     4.350     4.5800                                   0.005914   0.006175  0.006260      0.82     2.18 
FEDERAL HOME LOAN BANKS  3130AT4J3 09/15/22 09/15/27    100.000    VARIES     3.5100     19.12   0.039451   0.038696   0.039061   0.039500  0.039778     14.23    14.22 
FEDERAL HOME LOAN BANKS  3130ASTQ2 08/25/22 08/25/27    100.000    VARIES     3.2700     30.19   0.059891   0.060110   0.059022   0.060056  0.060056     21.85    21.62 
FEDERAL HOME LOAN MORT   3134H1ET6 10/10/23 07/01/33     92.000     3.700     4.7360      1.48   0.018583   0.018665   0.019162   0.019560  0.020080      6.72     7.04 
FEDERAL HOME LOAN MORT   3134H1GB3 10/06/23 10/05/26     99.270     5.100     5.3669      0.54   0.006414   0.006492   0.006679   0.006845  0.007137      2.34     2.46 
FEDERAL HOME LOAN MTG CO 3134GYH21 03/03/23 06/01/27     98.975     4.000     4.2665      1.86   0.005840   0.006477   0.006710   0.006756  0.006999      2.33     2.43 
FEDERAL NATIONAL         3135GAMY4 02/05/24 08/05/27     98.700     4.000     4.4000                        0.009656   0.009868   0.010086  0.010308      3.18     3.66 
FEDERAL NATIONAL         3135GALK5 01/10/24 04/10/25     99.406     4.250     4.7500                        0.012341   0.013257   0.013572                4.60     1.34 
FEDERAL NATIONAL         3135GAM40 01/22/24 12/14/26     99.100     4.000     4.3300                        0.008202   0.008380   0.008562  0.008747      2.81     3.11 
FEDERAL NATIONAL         3135GALW9 01/16/24 01/14/28     99.150     4.500     4.7400                        0.005424   0.005568   0.005700  0.005835      1.90     2.07 
FEDERAL NATIONAL         3135GANM9 02/12/24 08/12/27     98.350     4.000     4.5100                        0.012235   0.012511   0.012793  0.013082      3.94     4.63 
FEDERAL NATIONAL         3135GAKP5 12/13/23 12/13/27     98.330     4.000     4.4600      0.19   0.010722   0.010961   0.011205   0.011455  0.011711      3.91     4.09 
FEDERAL NATIONAL         3135GAJN2 07/24/23 07/24/26     98.800     4.500     4.9400      1.64   0.010445   0.010703   0.010967   0.011238  0.011515      3.89     4.08 
FEDERAL NATIONAL         3135GAU33 08/06/24 08/07/28     98.945     4.250     4.5400                                   0.006759   0.006913  0.007070      0.98     2.51 
FEDERAL NATIONAL         3135GAU58 08/14/24 08/14/28     98.500     3.620     4.0300                                   0.009704   0.009900  0.010099      1.33     3.58 
FEDERAL NATIONAL         3135GAU66 08/12/24 08/12/27     98.500     3.480     4.0100                                   0.013209   0.013474  0.013744      1.84     4.88 
FEDERAL NATIONAL         3135GAU74 08/16/24 08/13/27     99.305     4.000     4.2500                                   0.005986   0.006249  0.006382      0.83     2.26 
FEDERAL NATIONAL         3135GAUD1 08/26/24 08/26/27     98.600     3.500     4.0000                                   0.012330   0.012576  0.012828      1.54     4.55 
FEDERAL NATIONAL         3135GAUF6 08/30/24 08/28/29     99.000     4.000     4.2200                                   0.004930   0.005160  0.005269      0.61     1.87 
FEDERAL NATIONAL         3135GADF5 12/13/22 02/13/26     98.950     4.500     4.8600      3.31   0.009060   0.009282   0.009505   0.009736  0.003273      3.31     3.35 
FEDERAL NATIONAL         3135GAUH2 08/30/24 08/28/28     99.250     4.000     4.2100                                   0.004725   0.004945  0.005049      0.58     1.79 
FEDERAL NATIONAL         3135GAQC8 03/20/24 03/19/27     99.430     4.650     4.8600                        0.004986   0.005115   0.005239  0.005366      1.41     1.89 
FEDERAL NATIONAL         3135GAR52 04/15/24 07/15/25     99.570     4.690     5.0500                        0.009388   0.009626   0.004875                2.42     1.88 
FEDERAL NATIONAL         3135GAR60 04/11/24 04/11/29     95.720     3.500     4.4600                        0.021486   0.021965   0.022456  0.022957      5.62     8.08 
FEDERAL NATIONAL         3135GAQU8 04/09/24 04/09/27     98.750     4.250     4.7000                        0.010912   0.011169   0.011431  0.011700      2.88     4.11 
FEDERAL NATIONAL         3135GAQV6 04/02/24 10/02/26     99.230     4.500     4.8300                        0.008152   0.008349   0.008551  0.008757      2.21     3.08 
FEDERAL NATIONAL         3135GAQW4 04/02/24 04/02/27     98.685     4.250     4.7300                        0.011476   0.011747   0.012025  0.012309      3.11     4.33 
FEDERAL NATIONAL         3135GASJ1 05/17/24 05/17/28     98.775     4.500     4.8400                        0.007812   0.008001   0.008195  0.008393      1.76     2.93 
FEDERAL NATIONAL         3135GAT27 05/28/24 05/28/27     98.825     4.500     4.9300                        0.102290   0.010481   0.010739  0.011003      2.19     3.84 
FEDERAL NATIONAL         3135GASS1 05/14/24 05/14/29     98.348     4.375     4.7500                        0.008239   0.008435   0.008635  0.008840      1.88     3.09 
FEDERAL NATIONAL         3135GAT84 05/29/24 05/29/29     98.725     4.500     4.7900                        0.006353   0.006505   0.006661  0.006821      1.35     2.38 
FEDERAL NATIONAL         3135GATE1 06/04/24 06/04/27     98.900     4.500     4.9000                        0.009579   0.009814   0.010054  0.010300      1.99     3.59 
FEDERAL NATIONAL         3135GAS51 04/26/24 12/01/27     99.100     4.750     5.0200                        0.006491   0.006654   0.006821  0.006993      1.55     2.44 
FEDERAL NATIONAL MORTGAG 3135GATL5 06/04/24 06/04/27     98.360     4.250     4.8400                        0.014291   0.014638   0.014992  0.015355      2.97     5.35 
FLORIDA DEV FIN CORP EDL 34061UGW2 01/28/21 06/15/31     93.000     8.250     9.3165     13.59   0.014964   0.015661   0.016391   0.017154  0.017954      5.54     6.06 
FLOUR BLUFF TEX INDPT SC 343400ER4 08/19/20 08/15/24     96.122     0.000     0.9940     32.63   0.027339   0.027475                                      6.15          
FRISCO TEX INDPT SCH DIS 35880CD50 07/15/20 02/15/25     93.831     0.000     1.3940     46.23   0.037925   0.038189   0.038455                          13.77     1.69 
FRISCO TEX INDPT SCH DIS 35880CD43 07/15/20 02/15/24     95.313     0.000     1.3441     45.24   0.037086                                                 1.63          
FRISCO TEX INDPT SCH DIS 35880CS54 06/22/21 02/15/29     87.101     0.000     1.8140     40.65   0.045624   0.046038   0.046456   0.046877  0.047302     16.61    16.91 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Federal Home Loan        3134A1H60 10/22/97 06/03/24     16.813     0.000     6.8127    804.05   0.183007                                                27.82          
Federal Home Loan        312902VL0 04/25/01 01/04/25     20.007     0.000     6.6235    736.34   0.166854   0.172380   0.178089                          63.05     0.53 
Federal Home Loan        312902VK2 04/25/01 01/04/24     21.145     0.000     6.6664    788.01   0.179206                                                 0.54          
Federal Home Loan        312902VN6 04/25/01 01/04/27     17.654     0.000     6.6034    645.94   0.146121   0.150945   0.155929   0.161077  0.166396     55.21    58.91 
Federal Home Loan        312902VM8 04/25/01 01/04/26     18.780     0.000     6.6160    689.67   0.156179   0.161346   0.166683   0.172197  0.177893     59.01    62.98 
Federal Home Loan        3134A3ZU3 08/02/99 12/14/29     15.469     0.000     6.2411    538.95   0.119899   0.123640   0.127499   0.131477  0.135580     43.97    46.75 
Federal Home Loan        3134A2G77 12/28/98 11/15/28     20.230     0.000     5.4199    568.38   0.115229   0.118352   0.121559   0.124853  0.128237     42.34    44.66 
Federal Home Loan        3134A2HG6 06/30/98 12/11/25     19.896     0.000     5.9700    692.99   0.147426   0.151827   0.156359   0.161026               54.04    54.00 
Federal Home Loan        3128X5LK2 10/02/06 10/02/34     24.784     0.000     5.0446    337.46   0.081007   0.083050   0.085145   0.087292  0.089494     29.90    31.43 
Federal Home Loan        312902LX5 12/17/99 12/17/29     14.255     0.000     6.6001    536.51   0.124177   0.128275   0.132508   0.136881  0.141398     45.56    48.61 
Federal Home Loan        3134A3D29 09/09/99 08/15/27     14.928     0.000     6.9258    632.24   0.146518   0.151592   0.156841   0.162272  0.167892     55.06    58.94 
Federal Home Loan        3128X52H0 04/03/07 04/02/37     21.177     0.000     5.2422    291.97   0.072414   0.074312   0.076259   0.078258  0.080310     26.75    28.17 
Federal Home Loan Banks  3130AUWM2 02/28/23 02/28/28    100.000    VARIES     4.2900     10.71   0.034722   0.033667   0.033444   0.033167  0.033278     22.85    34.81 
Federal Home Loan Banks  3130AYPR1 01/29/24 04/28/25     99.650     4.625     4.9200                        0.007541   0.007581   0.007912                2.56     0.94 
Federal Home Loan Banks  3130AYJQ0 01/17/24 04/17/26     98.500     3.500     4.1400             0.017391   0.016503   0.016409   0.016612  0.024011      5.82     6.02 
Federal Home Loan Banks  3130AYK88 01/18/24 04/17/26     98.410     3.500     4.1800             0.018462   0.017541   0.017308   0.017596  0.025440      6.15     6.41 
Federal Home Loan Banks  3130AWHW3 06/28/23 06/28/27     98.750     4.500     4.8500      1.46   0.008033   0.008251   0.008516   0.008556  0.008833      4.43     7.56 
Federal Home Loan Mort   3134GYA28 12/30/22 12/30/24    100.000    VARIES     4.6431      6.27   0.017310   0.017310                                      6.23          
Federal National         3136F7NM5 11/15/05 11/15/30     26.938     0.000     5.3159    427.96   0.102278   0.104996   0.107787   0.110652  0.113593     37.56    39.59 
Federal National         3136F3LA2 04/04/03 10/03/33     20.285     0.000     5.2999    397.51   0.087255   0.089567   0.091941   0.094377  0.096878     32.24    33.97 
Federal National         3136F1EQ9 12/27/01 03/17/31     16.751     0.000     6.2082    476.04   0.109025   0.112409   0.115898   0.119496  0.123205     40.57    43.13 
Federal National         3136F4R55 01/07/04 12/15/34     18.268     0.000     5.5708    365.07   0.084552   0.086907   0.089328   0.091816  0.094373     30.94    32.69 
Federal National         3136F3ZC3 06/09/03 12/15/33     23.674     0.000        N/A    391.82   0.083729   0.085741   0.087801   0.089911  0.092072     30.57    32.06 
Florida Developmenatal   34061WCD4 12/28/22 07/15/46     90.000     9.625    10.8030      5.59   0.026889   0.025500   0.024167   0.022944  0.021778      9.43     8.49 
Forney Independent SD    3464243J1 02/18/14 08/15/53      4.514     0.000     8.0005     52.78   0.021123   0.021968   0.022847   0.023760  0.024711      7.99     8.64 
Forney Independent SD    3464243F9 02/18/14 08/15/50      6.021     0.000     7.8503     68.55   0.027269   0.028339   0.029452   0.030608  0.031809     10.31    11.13 
Forney Independent SD    3464243G7 02/18/14 08/15/51      5.475     0.000     7.9003     62.89   0.025069   0.026059   0.027088   0.028158  0.029271      9.48    10.24 
Forney Independent SD    3464243H5 02/18/14 08/15/52      4.974     0.000     7.9503     57.64   0.023023   0.023939   0.024890   0.025880  0.026908      8.71     9.41 
Forney Independent SD    3464243A0 02/18/14 08/15/45     10.143     0.000     7.4002    106.39   0.041558   0.043096   0.044690   0.046344  0.048059     15.66    16.84 
Forney Independent SD    3464243B8 02/18/14 08/15/46      9.141     0.000     7.5003     97.67   0.038308   0.039745   0.041236   0.042782  0.044386     14.45    15.55 
Forney Independent SD    3464243C6 02/18/14 08/15/47      8.223     0.000     7.6001     89.49   0.035240   0.036579   0.037969   0.039412  0.040910     13.30    14.33 
Forney Independent SD    3464243D4 02/18/14 08/15/48      7.382     0.000     7.7003     81.81   0.032348   0.033593   0.034887   0.036230  0.037625     12.21    13.17 
Forney Independent SD    3464243E2 02/18/14 08/15/49      6.615     0.000     7.8003     74.64   0.029633   0.030788   0.031989   0.033237  0.034533     11.20    12.09 
Forney Independent SD    3464242X1 02/18/14 08/15/42     13.145     0.000     7.2501    134.06   0.052045   0.053932   0.055887   0.057913  0.060012     19.60    21.05 
Forney Independent SD    3464242Y9 02/18/14 08/15/43     12.068     0.000     7.3002    124.24   0.048333   0.050097   0.051926   0.053821  0.055786     18.21    19.56 
Forney Independent SD    3464242Z6 02/18/14 08/15/44     11.069     0.000     7.3502    115.03   0.044840   0.046488   0.048197   0.049968  0.051804     16.90    18.16 
Forney Independent SD    3464242U7 02/18/14 08/15/39     16.888     0.000     7.1001    167.39   0.064588   0.066881   0.069255   0.071714  0.074260     24.30    26.06 
Forney Independent SD    3464242V5 02/18/14 08/15/40     15.550     0.000     7.1501    155.60   0.060164   0.062315   0.064542   0.066850  0.069240     22.64    24.29 
Forney Independent SD    3464242W3 02/18/14 08/15/41     14.304     0.000     7.2001    144.50   0.055986   0.058001   0.060089   0.062253  0.064494     21.08    22.62 
Forney Independent SD    346424X90 08/27/13 08/15/38     17.946     0.000     7.0000    186.24   0.069276   0.071701   0.074211   0.076808  0.079496     26.05    27.90 
Forney Independent SD    346424Y40 08/27/13 08/15/41     14.210     0.000     7.0999    150.38   0.056176   0.058171   0.060236   0.062374  0.064588     21.13    22.66 
Forney Independent SD    346424Y57 08/27/13 08/15/42     13.252     0.000     7.1001    140.24   0.052390   0.054250   0.056176   0.058170  0.060235     19.71    21.13 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Forney Independent SD    346424Y65 08/27/13 08/15/43     12.359     0.000     7.1000    130.79   0.048860   0.050594   0.052390   0.054250  0.056176     18.38    19.71 
Forney Independent SD    346424Y24 08/27/13 08/15/39     16.544     0.000     7.0499    173.38   0.064631   0.066909   0.069268   0.071709  0.074237     24.31    26.05 
Forney Independent SD    346424Y32 08/27/13 08/15/40     15.436     0.000     7.0501    161.77   0.060304   0.062430   0.064631   0.066909  0.069267     22.68    24.31 
Freddie Mac              3128X7N59 06/30/08 06/30/38     21.820     0.000     5.1394    260.99   0.068400   0.070158   0.071961   0.073810  0.075706     24.94    26.24 
Freddie Mac              3128X8DG4 12/29/08 02/15/39     40.774     0.000     2.9999    229.72   0.052525   0.053313   0.054113   0.054924  0.055748     19.27    19.85 
Freddie Mac              3128X75U4 11/24/08 11/15/38     27.529     0.000     4.3499    252.03   0.063364   0.064743   0.066151   0.067589  0.069060     23.19    24.21 
Freddie Mac              3128X74S0 11/04/08 11/15/38     26.387     0.000     4.4860    253.11   0.064054   0.065491   0.066960   0.068462  0.069998     23.45    24.52 
Freddie Mac              3128X9MG2 11/10/09 12/15/36     29.600     0.000     4.5434    262.77   0.070378   0.071977   0.073612   0.075284  0.076994     25.68    26.86 
Freddie Mac              3128X9MF4 11/10/09 09/15/36     29.930     0.000     4.5439    265.77   0.070381   0.071980   0.073615   0.075288  0.076998     25.97    27.16 
Freddie Mac              3128X6WP7 12/21/07 12/21/37     22.860     0.000     4.9803    274.32   0.069479   0.071209   0.072982   0.074800  0.076662     25.36    26.64 
GCI LIBERTY INC          36164VAA5 06/18/18 09/30/46    100.000     1.750     6.9511    441.22   0.255931   0.263136   0.270592   0.278307  0.286291     94.77   100.23 
GDB DEBT RECOVERY AUTH   36829QAA3 11/29/18 08/20/40    100.000     7.500     0.0000     74.32   0.041381   0.040874   0.037313   0.036833  0.033249      7.21     5.89 
GLADEWATER CNTY LINE IND 376470DD9 12/31/20 08/15/26     93.714     0.000     1.1575     33.05   0.031058   0.031237   0.031418   0.031600  0.031783     11.26    11.39 
GLADEWATER CNTY LINE IND 376470DC1 12/31/20 08/15/25     95.691     0.000     0.9546     27.76   0.026016   0.026140   0.026265   0.026390                9.42     5.91 
GLADEWATER CNTY LINE IND 376470DB3 12/31/20 08/15/24     97.131     0.000     0.8046     23.71   0.022171   0.022260                                      4.98          
GO TO GROUP              38349YAA3 02/05/24 05/01/28     84.750     5.500    10.0046             0.082809   0.083322   0.087490   0.091866  0.096461     27.48    33.35 
GO TO GROUP              38349YAB1 02/05/24 05/01/28     58.500     5.500    20.6755             0.177833   0.185752   0.204955   0.226142  0.249520     62.27    82.90 
GOOSE CREEK TEX CONS IND 382604Z33 11/17/20 02/15/27     91.656     0.000     1.4001     40.82   0.037037   0.037296   0.037558   0.037820  0.038085     13.45    13.64 
GOOSE CREEK TEX CONS IND 382604Y83 11/17/20 02/15/26     93.148     0.000     1.3579     40.21   0.036465   0.036713   0.036962   0.037213  0.037466     13.24    13.42 
GRANBURY TEX INDPT SCH   385064SF8 06/25/20 08/01/28     83.987     0.000     2.1660     66.12   0.054021   0.054606   0.055198   0.055796  0.056400     19.73    20.16 
GRANBURY TEX INDPT SCH   385064SB7 06/25/20 08/01/24     94.332     0.000     1.4281     48.42   0.039110   0.039389                                      8.26          
GRANBURY TEX INDPT SCH   385064SC5 06/25/20 08/01/25     92.530     0.000     1.5280     50.89   0.041172   0.041487   0.041804   0.042123               14.97     8.84 
GRANBURY TEX INDPT SCH   385064SD3 06/25/20 08/01/26     89.407     0.000     1.8439     59.63   0.048476   0.048923   0.049374   0.049829  0.050289     17.67    17.99 
GRANBURY TEX INDPT SCH   385064SE1 06/25/20 08/01/27     87.165     0.000     1.9440     61.38   0.049980   0.050465   0.050956   0.051451  0.051951     18.23    18.58 
GREENVILLE OHIO CITY SCH 396352HF6 11/26/19 01/01/27     82.085     0.000     2.8008     99.10   0.071572   0.072574   0.073590   0.074621  0.075666     25.95    26.68 
GREENVILLE OHIO CITY SCH 396352HD1 11/26/19 01/01/25     87.834     0.000     2.5610     96.53   0.069350   0.070238                                     25.13          
GREENVILLE OHIO CITY SCH 396352HG4 11/26/19 01/01/28     79.515     0.000     2.8508     97.80   0.070712   0.071720   0.072743   0.073779  0.074831     25.64    26.37 
GREENVILLE OHIO CITY SCH 396352HH2 11/26/19 01/01/29     76.605     0.000     2.9509     97.70   0.070802   0.071847   0.072907   0.073982  0.075074     25.68    26.44 
GREENWOOD TEX INDPT SCH  397370HZ3 12/05/19 02/15/25     87.541     0.000     2.5777     96.27   0.068905   0.069793   0.070693                          25.21     3.11 
GREENWOOD TEX INDPT SCH  397370HY6 12/05/19 02/15/24     90.290     0.000     2.4497     94.14   0.067223                                                 2.96          
GREENWOOD TEX INDPT SCH  397370JA6 12/05/19 02/15/26     84.807     0.000     2.6777     97.06   0.069596   0.070528   0.071473   0.072429  0.073399     25.48    26.16 
GS FINANCE               40058ATR5 06/20/24 12/17/26    100.000     0.000     5.2533                        0.145925   0.149694   0.153626  0.157661     27.92    54.71 
GS FINANCE               40057XLZ6 02/02/24 02/08/27    100.000     0.000     5.0300             0.139722   0.139839   0.143356   0.146962  0.150658     46.51    53.30 
GS FINANCE               40057XLY9 02/02/24 02/04/27    100.000     0.000     5.0300             0.139722   0.139761   0.143276   0.146880  0.150574     46.50    53.30 
GS FINANCE               40057XM85 01/05/24 01/07/27    100.000     0.000     5.0400             0.140000   0.140039   0.143568   0.147186  0.150895     50.47    53.61 
GS FINANCE               40057XLV5 02/05/24 02/05/26    100.000     0.000     5.0750                        0.140972   0.144549   0.148217  0.151978     46.48    53.78 
GS FINANCE               40058EP91 08/21/24 08/21/31    100.000     0.000     4.8600                                   0.135000   0.138281  0.141641     17.55    50.05 
GS FINANCE               40057XM51 02/02/24 02/13/31    100.000     0.000     5.2300             0.145278   0.145510   0.149315   0.153220  0.157226     48.40    55.55 
GS FINANCE               40058ATY0 06/25/24 06/25/29    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     26.84    53.98 
GS FINANCE               40057YPE7 03/20/24 09/20/27    100.000     0.000     5.1925                        0.144236   0.147981   0.151823  0.155764     40.91    54.75 
GS FINANCE               40058AU69 06/18/24 06/18/29    100.000     0.000     5.1200                        0.142222   0.145863   0.149597  0.153427     27.50    53.28 
GS FINANCE               40058ATU8 07/02/24 07/02/31    100.000     0.000     5.3000                                   0.147222   0.151124  0.155128     26.35    55.12 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE               40058ACS1 05/28/24 05/28/26    100.000     0.000     5.4400                        0.151111   0.155221   0.159443  0.163780     32.32    56.92 
GS FINANCE               40058AUC6 06/26/24 06/28/29    100.000     0.000     5.2100             0.144722   0.144764   0.148535   0.152405  0.156375     26.79    54.19 
GS FINANCE               40057YPK3 04/01/24 04/01/26    100.000     0.000     5.2600                        0.146111   0.149954   0.153898  0.157945     39.80    55.41 
GS FINANCE               40058EPG5 08/21/24 02/20/26    100.000     0.000     4.9012                                   0.136144   0.139462  0.142880     17.70    50.49 
GS FINANCE               40058ADJ0 05/31/24 05/30/31    100.000     0.000     5.5063                        0.152953   0.157164   0.161491  0.165937     32.40    57.63 
GS FINANCE               40057YPV9 03/19/24 03/18/27    100.000     0.000     5.0758                        0.140994   0.144553   0.148221  0.151983     40.13    53.46 
GS FINANCE               40058ADH4 05/31/24 06/12/29    100.000     0.000     5.4200             0.150556   0.150828   0.154915   0.159113  0.163425     31.90    56.69 
GS FINANCE               40057YQ55 04/01/24 03/29/29    100.000     0.000     5.1571                        0.143253   0.146906   0.150694  0.154579     39.01    54.27 
GS FINANCE               40058ADG6 05/31/24 05/30/31    100.000     0.000     5.5063                        0.152953   0.157164   0.161491  0.165937     32.40    57.63 
GS FINANCE               40058ADF8 05/31/24 06/02/27    100.000     0.000     5.4100             0.150278   0.150323   0.154389   0.158565  0.162855     31.84    56.58 
GS FINANCE               40057XMP7 01/17/24 01/17/29    100.000     0.000     5.1100                        0.141944   0.145571   0.149290  0.153105     49.42    54.31 
GS FINANCE               40058A3C6 04/15/24 10/16/25    100.000     0.000     5.5950                        0.155417   0.159789   0.164259               40.11    46.34 
GS FINANCE               38151F6J7 08/16/24 08/16/39    100.000     0.000     5.3800                                   0.149444   0.153465  0.157593     20.18    55.62 
GS FINANCE               40058ADC5 05/31/24 12/03/26    100.000     0.000     5.4625             0.151736   0.151805   0.155951   0.160211  0.164587     32.15    57.15 
GS FINANCE               40057YPP2 03/28/24 03/28/31    100.000     0.000     5.3000                        0.147222   0.151124   0.155128  0.159239     40.55    55.88 
GS FINANCE               40058AE34 05/07/24 05/04/27    100.000     0.000     5.5750                        0.154861   0.159106   0.163541  0.168100     36.48    58.59 
GS FINANCE               40058AV35 07/01/24 07/01/31    100.000     0.000     5.3500                                   0.152586   0.152586  0.160859     26.75    55.67 
GS FINANCE               40058ADL5 05/31/24 05/31/30    100.000     0.000     5.4038                        0.150106   0.154161   0.158327  0.162604     31.80    56.51 
GS FINANCE               40058EPY6 08/16/24 08/19/26    100.000     0.000     4.8900                        0.135833   0.135889   0.139211  0.142615     18.34    50.41 
GS FINANCE               40058ADK7 05/31/24 12/02/27    100.000     0.000     5.4125             0.150347   0.150392   0.154462   0.158643  0.162936     31.85    56.60 
GS FINANCE               40057XND3 01/10/24 02/05/25    100.000     0.000     5.3900             0.149722   0.150283   0.154333                          53.33     5.25 
GS FINANCE               40057YQG1 03/22/24 03/26/31    100.000     0.000     5.3300             0.148056   0.148143   0.152091   0.156144  0.160306     41.71    56.26 
GS FINANCE               40057XNB7 02/02/24 08/04/27    100.000     0.000     5.0500             0.140278   0.140317   0.143860   0.147493  0.151217     46.69    53.52 
GS FINANCE               40058AUV4 06/20/24 06/17/27    100.000     0.000     5.1733                        0.143703   0.147358   0.151170  0.155080     27.50    53.84 
GS FINANCE               40058AUU6 06/20/24 06/20/29    100.000     0.000     5.1500                        0.143056   0.146739   0.150518  0.154394     27.36    53.59 
GS FINANCE               38151F6Z1 08/26/24 08/26/34    100.000     0.000     5.3600                                   0.148889   0.152879  0.156976     18.61    55.33 
GS FINANCE               40058EQP4 09/04/24 09/04/29    100.000     0.000     4.6200                                   0.128333   0.131298  0.134331     15.01    47.44 
GS FINANCE               38151F7D9 08/23/24 08/23/34    100.000     0.000     5.3600                                   0.148889   0.152879  0.156976     19.06    55.35 
GS FINANCE               40058EQY5 09/03/24 08/31/29    100.000     0.000     4.6142                                   0.128172   0.131047  0.134104     15.12    47.38 
GS FINANCE               40057YA94 02/16/24 02/14/31    100.000     0.000     5.4846                        0.152350   0.156481   0.160773  0.165182     48.56    58.30 
GS FINANCE               40058ER99 08/20/24 08/22/29    100.000     0.000     4.7500                        0.131944   0.131979   0.135114  0.138323     17.29    48.90 
GS FINANCE               40058AVL5 06/24/24 12/23/25    100.000     0.000     5.4292                        0.150811   0.154882   0.159087               28.23    55.28 
GS FINANCE               40058ER57 09/05/24 09/06/28    100.000     0.000     4.5900                                   0.127500   0.130442  0.133436     14.79    47.11 
GS FINANCE               40057YA37 03/05/24 03/04/27    100.000     0.000     5.2008                        0.144467   0.148203   0.152056  0.156010     43.20    54.96 
GS FINANCE               40058ER40 08/28/24 08/28/29    100.000     0.000     4.6800                                   0.130000   0.133042  0.136155     15.99    48.10 
GS FINANCE               40058EQS8 08/15/24 08/17/27    100.000     0.000     4.6900                        0.130278   0.130312   0.133368  0.136495     17.72    48.29 
GS FINANCE               40058AEF7 05/13/24 06/13/25    100.000     0.000     5.4775             0.152153   0.152847   0.157033                          34.90    25.44 
GS FINANCE               40058AVH4 07/02/24 07/02/29    100.000     0.000     5.2200                                   0.145000   0.148784  0.152668     25.95    54.25 
GS FINANCE               40057YR39 04/02/24 04/02/29    100.000     0.000     5.1500                        0.143056   0.146739   0.150518  0.154394     38.81    54.19 
GS FINANCE               40058ERA6 08/21/24 08/21/29    100.000     0.000     4.7200                                   0.131111   0.134205  0.137373     17.04    48.57 
GS FINANCE               40058AES9 05/29/24 11/29/28    100.000     0.000     5.3700                        0.149167   0.153172   0.157284  0.161508     31.75    56.15 
GS FINANCE               40058AW42 07/03/24 07/02/26    100.000     0.000     5.4071                                   0.150197   0.154235  0.158405     26.74    56.27 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE               40058AER1 05/29/24 11/28/29    100.000     0.000     5.3867                        0.149631   0.153638   0.157776  0.162026     31.85    56.33 
GS FINANCE               40058A4N1 05/07/24 05/04/29    100.000     0.000     5.6179                        0.156053   0.160363   0.164868  0.169499     36.76    59.06 
GS FINANCE               40057XNX9 01/17/24 01/21/31    100.000     0.000     5.2500             0.145833   0.145918   0.149749   0.153680  0.157714     50.81    55.89 
GS FINANCE               40057YQZ9 03/26/24 03/26/29    100.000     0.000     5.1400                        0.142778   0.146447   0.150211  0.154071     39.61    54.12 
GS FINANCE               40057XNW1 01/17/24 10/16/26    100.000     0.000     5.0667             0.140742   0.142505   0.146115   0.149816  0.153612     49.14    53.83 
GS FINANCE               40057YRK1 03/27/24 04/25/25    100.000     0.000     5.3900             0.149722   0.150350   0.154402                          41.45    17.60 
GS FINANCE               40057YAG8 02/29/24 03/03/27    100.000     0.000     5.1900             0.144167   0.144250   0.147993   0.151834  0.155774     44.00    54.89 
GS FINANCE               40057YAF0 03/05/24 03/05/29    100.000     0.000     5.2800                        0.146667   0.150539   0.154513  0.158592     43.86    55.84 
GS FINANCE               40057YAE3 03/05/24 03/15/27    100.000     0.000     5.1900             0.144167   0.144375   0.148121   0.151965  0.155908     43.13    54.84 
GS FINANCE               40057YRD7 03/26/24 03/26/31    100.000     0.000     5.2555                        0.145986   0.149822   0.153759  0.157800     40.51    55.40 
GS FINANCE               40057YS38 03/26/24 03/25/27    100.000     0.000     5.0838                        0.141217   0.144786   0.148467  0.152241     39.18    53.50 
GS FINANCE               40058AFD1 05/31/24 05/31/29    100.000     0.000     5.5000                        0.152778   0.156979   0.161296  0.165732     32.37    57.56 
GS FINANCE               40058EAM8 07/26/24 07/30/29    100.000     0.000     5.0900                        0.141389   0.141469   0.145069  0.148761     21.93    52.68 
GS FINANCE               40057YAZ6 03/05/24 03/03/28    100.000     0.000     5.2313                        0.145314   0.149073   0.152972  0.156973     43.46    55.30 
GS FINANCE               40058ERZ1 08/20/24 08/20/29    100.000     0.000     4.7500                                   0.131944   0.135078  0.138286     17.28    48.89 
GS FINANCE               40057YB69 03/05/24 03/05/29    100.000     0.000     5.2800                        0.146667   0.150539   0.154513  0.158592     43.86    55.84 
GS FINANCE               40057YAV5 03/05/24 03/05/26    100.000     0.000     5.3200                        0.147778   0.151709   0.155744  0.159887     44.20    56.29 
GS FINANCE               40058AWL4 07/01/24 07/02/29    100.000     0.000     5.2700                                   0.146389   0.150268  0.154227     26.35    54.80 
GS FINANCE               40058EAS5 07/19/24 07/21/27    100.000     0.000     4.9400                        0.137222   0.137260   0.140650  0.144124     22.24    51.12 
GS FINANCE               40058AWJ9 07/03/24 07/03/29    100.000     0.000     5.2500                                   0.145833   0.149661  0.153590     25.96    54.57 
GS FINANCE               40057YSD6 03/22/24 03/24/26    100.000     0.000     5.2900             0.146944   0.146988   0.150875   0.154866  0.158962     41.39    55.82 
GS FINANCE               40058AX90 07/03/24 01/02/26    100.000     0.000     5.4796                                   0.152211   0.156358  0.160642     27.09    57.05 
GS FINANCE               40057YBA0 02/21/24 08/20/26    100.000     0.000     5.1788                        0.143856   0.147560   0.151381  0.155301     45.08    54.82 
GS FINANCE               40057YBK8 02/13/24 02/13/29    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     46.36    55.01 
GS FINANCE               40058EBH8 07/26/24 08/06/29    100.000     0.000     5.0900                        0.141389   0.141589   0.145192  0.148887     21.94    52.68 
GS FINANCE               40058EBG0 07/22/24 07/22/31    100.000     0.000     5.1200                                   0.142222   0.145863  0.149597     22.61    53.03 
GS FINANCE               40058ESG2 09/05/24 09/05/28    100.000     0.000     4.5900                                   0.127500   0.130426  0.133419     14.79    47.11 
GS FINANCE               40057YBF9 02/20/24 03/05/30    100.000     0.000     5.3550             0.148750   0.149082   0.153074   0.157172  0.161380     46.82    56.81 
GS FINANCE               40057YBE2 03/05/24 03/06/25    100.000     0.000     5.4500                        0.151389   0.155537                          45.29    10.11 
GS FINANCE               40058AWZ3 07/08/24 07/10/31    100.000     0.000     5.4200                        0.150556   0.150601   0.154682  0.158874     26.05    56.37 
GS FINANCE               40057XQ32 01/31/24 10/29/26    100.000     0.000     5.0867             0.141297   0.143074   0.146713   0.150444  0.154271     47.42    53.96 
GS FINANCE               40057XQ24 01/31/24 10/29/27    100.000     0.000     5.0767             0.141019   0.142789   0.146414   0.150130  0.153941     47.33    53.84 
GS FINANCE               40057YBL6 02/22/24 02/22/29    100.000     0.000     5.2700                        0.146389   0.150246   0.154205  0.158269     45.73    55.84 
GS FINANCE               40057XQ99 02/05/24 11/05/26    100.000     0.000     4.9587             0.137742   0.139449   0.142907   0.146450  0.150081     45.50    52.49 
GS FINANCE               40057YBZ5 03/05/24 03/04/27    100.000     0.000     5.2008                        0.144467   0.148203   0.152056  0.156010     43.20    54.96 
GS FINANCE               40057YSZ7 03/26/24 06/30/25    100.000     0.000     5.3580             0.148833   0.150916   0.154959                          41.31    27.74 
GS FINANCE               40057YBY8 02/28/24 05/29/25    100.000     0.000     5.3725             0.149236   0.151263   0.155326                          45.78    22.99 
GS FINANCE               40057YC92 02/29/24 02/28/29    100.000     0.000     5.2667                        0.146297   0.150128   0.154082  0.158139     44.65    55.74 
GS FINANCE               40058AXN9 07/22/24 07/22/31    100.000     0.000     5.1200                                   0.142222   0.145863  0.149597     22.61    53.03 
GS FINANCE               40057YBX0 03/13/24 09/11/25    100.000     0.000     5.2667                        0.146297   0.150107   0.154060               42.55    38.24 
GS FINANCE               40058FEY8 08/28/24 08/27/26    100.000     0.000     4.8900                                   0.135833   0.139136  0.142538     16.71    50.33 
GS FINANCE               40057YC84 02/09/24 02/10/27    100.000     0.000     4.9800                        0.138333   0.141797   0.145328  0.148946     45.03    52.69 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE               40058EBU9 07/26/24 07/28/26    100.000     0.000     5.1650                        0.143472   0.143513   0.147220  0.151022     22.24    53.48 
GS FINANCE               40058ET63 08/28/24 08/28/29    100.000     0.000     4.6800                                   0.130000   0.133042  0.136155     15.99    48.10 
GS FINANCE               40057Y2B8 02/12/24 02/12/30    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     46.51    55.02 
GS FINANCE               40057YTF0 04/01/24 05/01/25    100.000     0.000     5.3468             0.148522   0.149184   0.153172                          40.50    18.38 
GS FINANCE               40057YTB9 04/05/24 07/07/26    100.000     0.000     5.3175                        0.147708   0.149716   0.153696  0.157783     39.64    56.02 
GS FINANCE               40057YCL5 03/05/24 09/04/25    100.000     0.000     5.3958                        0.149883   0.153905   0.158057               44.84    38.15 
GS FINANCE               40057XQK4 01/31/24 07/29/27    100.000     0.000     5.0629                        0.140636   0.144176   0.147826  0.151568     47.09    53.68 
GS FINANCE               40057XQJ7 01/31/24 02/09/29    100.000     0.000     5.1500             0.143056   0.143240   0.146928   0.150712  0.154592     47.93    54.66 
GS FINANCE               40058E2G0 07/10/24 07/08/27    100.000     0.000     5.2417                                   0.145603   0.149376  0.153291     24.90    54.43 
GS FINANCE               40058E2F2 07/24/24 07/22/27    100.000     0.000     5.0312                                   0.139756   0.143232  0.146835     21.94    52.06 
GS FINANCE               40057YCH4 02/14/24 02/14/29    100.000     0.000     5.2200                        0.145000   0.148784   0.152668  0.156652     46.48    55.34 
GS FINANCE               40057YTJ2 04/02/24 04/02/29    100.000     0.000     5.1500                        0.143056   0.146739   0.150518  0.154394     38.81    54.19 
GS FINANCE               40058E2S4 07/12/24 07/12/29    100.000     0.000     5.0600                                   0.140556   0.144112  0.147758     23.75    52.46 
GS FINANCE               40057XR56 01/31/24 01/29/27    100.000     0.000     5.0517                        0.140325   0.143850   0.147483  0.151208     46.98    53.56 
GS FINANCE               40057XQT5 01/31/24 01/31/30    100.000     0.000     5.1592                        0.143311   0.147008   0.150800  0.154690     47.99    54.77 
GS FINANCE               40057XR49 02/05/24 02/16/27    100.000     0.000     4.9200             0.136667   0.136872   0.140239   0.143689  0.147224     45.07    52.05 
GS FINANCE               40057XR31 01/31/24 02/02/29    100.000     0.000     5.1500             0.143056   0.143096   0.146781   0.150561  0.154438     47.91    54.66 
GS FINANCE               40058ETT3 09/06/24 09/11/29    100.000     0.000     4.6154                        0.128206   0.128288   0.131248  0.134277     14.75    47.38 
GS FINANCE               40057XQQ1 01/31/24 01/29/27    100.000     0.000     5.0517                        0.140325   0.143850   0.147483  0.151208     46.98    53.56 
GS FINANCE               40058EU46 08/28/24 02/26/26    100.000     0.000     4.8900                                   0.135833   0.139118  0.142519     16.71    50.33 
GS FINANCE               40057YCQ4 02/20/24 02/20/30    100.000     0.000     5.3550                        0.148750   0.152733   0.156822  0.161021     46.78    56.81 
GS FINANCE               40058ED29 08/14/24 08/12/27    100.000     0.000     4.8900                                   0.135833   0.139118  0.142519     18.61    50.42 
GS FINANCE               40057XQP3 01/31/24 01/31/28    100.000     0.000     5.0950                        0.141528   0.145133   0.148830  0.152622     47.39    54.04 
GS FINANCE               40057YU43 04/02/24 04/01/27    100.000     0.000     5.1342                        0.142617   0.146257   0.150012  0.153863     38.69    54.01 
GS FINANCE               40057YTS2 04/09/24 04/09/29    100.000     0.000     5.2300                        0.145278   0.149077   0.152975  0.156975     38.37    55.02 
GS FINANCE               40057YU35 04/02/24 04/02/31    100.000     0.000     5.2700                        0.146389   0.150246   0.154205  0.158269     39.72    55.52 
GS FINANCE               40057XQN8 01/31/24 07/30/26    100.000     0.000     5.1217                        0.142269   0.145913   0.149649  0.153482     47.64    54.34 
GS FINANCE               40057YTQ6 03/27/24 03/27/31    100.000     0.000     5.2400                        0.145556   0.149369   0.153283  0.157299     40.24    55.22 
GS FINANCE               40057YTP8 03/27/24 03/27/31    100.000     0.000     5.2400                        0.145556   0.149369   0.153283  0.157299     40.24    55.22 
GS FINANCE               40057XQM0 02/05/24 02/04/27    100.000     0.000     4.9329                        0.137025   0.140386   0.143848  0.147396     45.16    52.19 
GS FINANCE               40057Y2M4 02/05/24 02/05/29    100.000     0.000     5.0200                        0.139444   0.142944   0.146532  0.150210     45.97    53.17 
GS FINANCE               40058E2Z8 07/03/24 07/02/26    100.000     0.000     5.4071                                   0.150197   0.154235  0.158405     26.74    56.27 
GS FINANCE               40057YTZ6 04/09/24 04/09/31    100.000     0.000     5.3600                        0.148889   0.152879   0.156976  0.161183     39.34    56.45 
GS FINANCE               40057XQW8 01/31/24 01/29/27    100.000     0.000     5.0517                        0.140325   0.143850   0.147483  0.151208     46.98    53.56 
GS FINANCE               40058ECX2 07/23/24 04/23/26    100.000     0.000     5.1438                        0.142883   0.144721   0.148443  0.152261     22.70    53.28 
GS FINANCE               40057XQV0 01/31/24 01/31/31    100.000     0.000     5.2800                        0.146667   0.150539   0.154513  0.158592     49.13    56.13 
GS FINANCE               40058EU95 09/05/24 09/05/29    100.000     0.000     4.6600                                   0.129444   0.132461  0.135547     15.02    47.85 
GS FINANCE               40057YTY9 03/29/24 04/01/26    100.000     0.000     5.2600             0.146111   0.146154   0.149998   0.153943  0.157991     40.10    55.43 
GS FINANCE               40057XQU2 01/31/24 01/31/31    100.000     0.000     5.2800                        0.146667   0.150539   0.154513  0.158592     49.13    56.13 
GS FINANCE               40058E3B0 07/05/24 07/07/27    100.000     0.000     5.3000                        0.147222   0.147266   0.151168  0.155174     25.92    55.09 
GS FINANCE               40058AYY4 07/09/24 07/09/29    100.000     0.000     5.0284                                   0.139678   0.143190  0.146790     24.02    52.14 
GS FINANCE               40057YDD2 02/21/24 02/19/27    100.000     0.000     5.1112                        0.141978   0.145566   0.149286  0.153101     44.49    54.07 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE               40058E3A2 07/10/24 07/10/31    100.000     0.000     5.2000                                   0.144444   0.148200  0.152053     24.70    53.98 
GS FINANCE               40058EUA2 09/05/24 09/05/29    100.000     0.000     4.6600                                   0.129444   0.132461  0.135547     15.02    47.85 
GS FINANCE               40057XRN7 01/17/24 01/14/27    100.000     0.000     5.0242                        0.139561   0.143009   0.146601  0.150284     48.58    53.34 
GS FINANCE               40057Y3N1 02/22/24 08/21/28    100.000     0.000     5.2350                        0.145417   0.149202   0.153107  0.157115     45.43    55.44 
GS FINANCE               40058E3L8 07/22/24 08/04/27    100.000     0.000     4.9400                        0.137222   0.137448   0.140843  0.144322     21.85    51.10 
GS FINANCE               362273CE2 06/27/24 06/28/27    110.000     1.250     5.2000                        0.159778   0.162111   0.165444  0.168833     29.09    58.98 
GS FINANCE               40057Y3M3 02/22/24 08/21/29    100.000     0.000     5.2992                        0.147200   0.151079   0.155082  0.159191     45.99    56.16 
GS FINANCE               40057XRJ6 01/17/24 01/17/29    100.000     0.000     5.1100                        0.141944   0.145571   0.149290  0.153105     49.42    54.31 
GS FINANCE               40057YDJ9 03/04/24 03/05/29    100.000     0.000     5.2700                        0.146389   0.150268   0.154227  0.158291     43.93    55.74 
GS FINANCE               362273CC6 05/13/24 05/13/27    110.000     1.000     5.2900                        0.161667   0.165167   0.168833  0.172556     36.86    60.46 
GS FINANCE               40057Y3V3 02/07/24 02/05/27    100.000     0.000     5.0329                        0.139803   0.143282   0.146887  0.150584     45.80    53.30 
GS FINANCE               40057YDS9 03/07/24 04/03/25    100.000     0.000     5.4500             0.151389   0.151985   0.156126                          45.03    14.36 
GS FINANCE               40057XRQ0 01/08/24 01/21/25    100.000     0.000     5.3900             0.149722   0.150014   0.154057                          53.60     3.08 
GS FINANCE               40057YDQ3 03/04/24 03/05/29    100.000     0.000     5.2700                        0.146389   0.150268   0.154227  0.158291     43.93    55.74 
GS FINANCE               40058AZV9 07/24/24 01/25/30    100.000     0.000     5.1125                                   0.142014   0.145664  0.149388     22.30    52.93 
GS FINANCE               40058AZU1 07/24/24 01/24/29    100.000     0.000     5.0650                                   0.140694   0.144258  0.147911     22.09    52.42 
GS FINANCE               40057XRW7 02/05/24 02/05/26    100.000     0.000     5.0750                        0.140972   0.144549   0.148217  0.151978     46.48    53.78 
GS FINANCE               40057Y4F7 02/21/24 02/21/31    100.000     0.000     5.3800                        0.149444   0.153465   0.157593  0.161832     46.85    57.08 
GS FINANCE               40057Y4G5 02/12/24 02/12/29    100.000     0.000     5.1200                        0.142222   0.145863   0.149597  0.153427     45.87    54.23 
GS FINANCE               40057XSE6 02/05/24 02/03/28    100.000     0.000     4.9658                        0.137939   0.141326   0.144835  0.148431     45.47    52.56 
GS FINANCE               40057XSF3 01/22/24 01/22/29    100.000     0.000     5.2500                        0.145833   0.149661   0.153590  0.157622     50.05    55.85 
GS FINANCE               40057Y4E0 02/21/24 11/19/26    100.000     0.000     5.1450             0.142917   0.144714   0.148437   0.152255  0.156172     44.86    54.45 
GS FINANCE               40057Y4C4 02/20/24 03/03/28    100.000     0.000     5.2100             0.144722   0.144995   0.148772   0.152647  0.156624     45.54    55.18 
GS FINANCE               40057Y4B6 02/14/24 02/12/27    100.000     0.000     5.1004                        0.141678   0.145251   0.148955  0.152754     45.41    54.00 
GS FINANCE               40057YVC4 04/22/24 04/22/27    100.000     0.000     5.5400                        0.153889   0.158152   0.162532  0.167035     38.61    58.34 
GS FINANCE               40057YEB5 02/23/24 02/24/31    100.000     0.000     5.3600                        0.148889   0.152901   0.156999  0.161207     46.37    56.84 
GS FINANCE               40057Y4M2 03/04/24 03/04/27    100.000     0.000     5.1600                        0.143333   0.147031   0.150825  0.154716     43.00    54.51 
GS FINANCE               40058EEL6 07/26/24 07/30/29    100.000     0.000     5.0700                        0.140833   0.140913   0.144485  0.148147     21.84    52.46 
GS FINANCE               40057XSL0 02/05/24 03/05/25    100.000     0.000     5.2171             0.144919   0.145549   0.149346                          47.87     9.56 
GS FINANCE               40057XSJ5 01/16/24 01/15/26    100.000     0.000     5.2879                        0.146886   0.150748   0.154734  0.158825     51.32    56.33 
GS FINANCE               40058E4H6 07/24/24 07/28/31    100.000     0.000     5.1543                        0.143175   0.143257   0.146949  0.150736     22.49    53.38 
GS FINANCE               40057Y4X8 03/05/24 03/08/27    100.000     0.000     5.1900             0.144167   0.144229   0.147972   0.151812  0.155751     43.11    54.84 
GS FINANCE               40057XSW6 02/05/24 02/05/29    100.000     0.000     5.0200                        0.139444   0.142944   0.146532  0.150210     45.97    53.17 
GS FINANCE               40057Y4V2 03/04/24 03/14/31    100.000     0.000     5.4000             0.150000   0.150225   0.154281   0.158447  0.162725     45.05    57.19 
GS FINANCE               40058E4T0 07/24/24 04/22/27    100.000     0.000     5.0650                        0.140694   0.142436   0.146044  0.149742     22.21    52.43 
GS FINANCE               40058EW85 09/04/24 09/06/29    100.000     0.000     4.6200                        0.128333   0.128366   0.131332  0.134365     15.02    47.44 
GS FINANCE               40057Y4U4 03/05/24 03/05/26    100.000     0.000     5.3200                        0.147778   0.151709   0.155744  0.159887     44.20    56.29 
GS FINANCE               40057YF73 02/29/24 02/28/34    100.000     0.000     5.4315                        0.150875   0.154950   0.159158  0.163480     46.07    57.59 
GS FINANCE               40057Y4S9 03/04/24 03/08/27    100.000     0.000     5.1600             0.143333   0.143416   0.147116   0.150911  0.154805     43.01    54.51 
GS FINANCE               40058AJV7 05/30/24 08/28/25    100.000     0.000     5.5817                        0.155047   0.157163   0.161549               32.98    38.04 
GS FINANCE               40057YFC2 03/13/24 04/15/25    100.000     0.000     5.3333             0.148147   0.148850   0.152819                          43.15    15.89 
GS FINANCE               40058EFA9 08/20/24 08/19/27    100.000     0.000     4.6829                                   0.130081   0.133109  0.136226     17.04    48.19 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE               40058AJU9 05/31/24 06/03/27    100.000     0.000     5.4100             0.150278   0.150346   0.154412   0.158589  0.162879     31.84    56.58 
GS FINANCE               40057YWC3 04/04/24 04/05/29    100.000     0.000     5.2800                        0.146667   0.150560   0.154535  0.158615     39.49    55.61 
GS FINANCE               40057YWB5 04/04/24 04/05/29    100.000     0.000     5.2800                        0.146667   0.150560   0.154535  0.158615     39.49    55.61 
GS FINANCE               40058AK60 05/29/24 05/29/29    100.000     0.000     5.3700                        0.149167   0.153172   0.157284  0.161508     31.75    56.15 
GS FINANCE               40058AJR6 05/29/24 06/02/31    100.000     0.000     5.3891             0.149697   0.149764   0.153800   0.157944  0.162200     31.87    56.36 
GS FINANCE               40058E4Y9 07/08/24 07/08/30    100.000     0.000     5.3500                                   0.148611   0.152586  0.156668     25.71    55.61 
GS FINANCE               40057XSY2 02/05/24 02/04/27    100.000     0.000     4.9329                        0.137025   0.140386   0.143848  0.147396     45.16    52.19 
GS FINANCE               40057XTJ4 02/05/24 02/05/26    100.000     0.000     5.0750                        0.140972   0.144549   0.148217  0.151978     46.48    53.78 
GS FINANCE               40057XTH8 02/05/24 02/04/27    100.000     0.000     4.9329                        0.137025   0.140386   0.143848  0.147396     45.16    52.19 
GS FINANCE               40057XTG0 02/05/24 02/04/27    100.000     0.000     4.9329                        0.137025   0.140386   0.143848  0.147396     45.16    52.19 
GS FINANCE               40058EFE1 08/21/24 08/23/29    100.000     0.000     4.6742                        0.129839   0.129873   0.132908  0.136014     16.88    48.09 
GS FINANCE               40057Y5C3 02/14/24 02/14/29    100.000     0.000     5.2200                        0.145000   0.148784   0.152668  0.156652     46.48    55.34 
GS FINANCE               40057Y5D1 02/14/24 02/14/29    100.000     0.000     5.2200                        0.145000   0.148784   0.152668  0.156652     46.48    55.34 
GS FINANCE               40058EX35 09/05/24 09/05/29    100.000     0.000     4.6600                                   0.129444   0.132461  0.135547     15.02    47.85 
GS FINANCE               40057YFN8 03/06/24 09/05/25    100.000     0.000     5.3333                        0.148147   0.152076   0.156131               44.16    37.84 
GS FINANCE               40057YWP4 04/19/24 04/19/29    100.000     0.000     5.6900                        0.158056   0.162552   0.167177  0.171933     40.15    60.03 
GS FINANCE               40057XTM7 01/17/24 01/17/29    100.000     0.000     5.1100                        0.141944   0.145571   0.149290  0.153105     49.42    54.31 
GS FINANCE               40057YFM0 02/28/24 02/26/26    100.000     0.000     5.2725                        0.146458   0.150276   0.154238  0.158304     44.85    55.82 
GS FINANCE               40057YFL2 03/05/24 03/04/27    100.000     0.000     5.2008                        0.144467   0.148203   0.152056  0.156010     43.20    54.96 
GS FINANCE               40057Y5Z2 03/04/24 03/04/27    100.000     0.000     5.1600                        0.143333   0.147031   0.150825  0.154716     43.00    54.51 
GS FINANCE               40057Y5Y5 02/29/24 02/28/31    100.000     0.000     5.3850                        0.149583   0.153588   0.157724  0.161971     45.67    57.07 
GS FINANCE               40058EWZ5 09/05/24 12/03/26    100.000     0.000     4.6450                        0.129028   0.130493   0.133524  0.136625     15.01    47.69 
GS FINANCE               40057Y5X7 02/29/24 02/28/30    100.000     0.000     5.2669                        0.146303   0.150134   0.154088  0.158146     44.65    55.75 
GS FINANCE               40058EG91 09/03/24 03/05/26    100.000     0.000     4.6950                        0.130417   0.130451   0.133513  0.136647     15.39    48.23 
GS FINANCE               40057Y5V1 02/29/24 03/03/27    100.000     0.000     5.1900             0.144167   0.144250   0.147993   0.151834  0.155774     44.00    54.89 
GS FINANCE               40058EFU5 08/30/24 06/02/28    100.000     0.000     4.5088                        0.125244   0.126688   0.129544  0.132464     15.20    46.29 
GS FINANCE               40057YG72 03/05/24 03/05/29    100.000     0.000     5.2800                        0.146667   0.150539   0.154513  0.158592     43.86    55.84 
GS FINANCE               40058EWV4 09/04/24 09/04/29    100.000     0.000     4.6200                                   0.128333   0.131298  0.134331     15.01    47.44 
GS FINANCE               40057Y5T6 02/29/24 03/02/28    100.000     0.000     5.2300             0.145278   0.145341   0.149142   0.153042  0.157044     44.35    55.33 
GS FINANCE               40058EG59 09/05/24 06/04/27    100.000     0.000     4.5700                        0.126944   0.128379   0.131312  0.134313     14.76    46.90 
GS FINANCE               40057Y5S8 02/29/24 08/31/26    100.000     0.000     5.2575                        0.146042   0.149902   0.153799  0.157887     44.57    55.64 
GS FINANCE               40057XU45 01/31/24 01/31/29    100.000     0.000     5.1500                        0.143056   0.146739   0.150518  0.154394     47.91    54.66 
GS FINANCE               40058EXF8 09/05/24 09/05/29    100.000     0.000     4.6600                                   0.129444   0.132461  0.135547     15.02    47.85 
GS FINANCE               40058AKW3 05/31/24 06/02/26    100.000     0.000     5.5150             0.153194   0.153241   0.157467   0.161809  0.166271     32.46    57.73 
GS FINANCE               40058AL51 05/28/24 05/29/29    100.000     0.000     5.2752                        0.146533   0.150420   0.154387  0.158459     31.34    55.12 
GS FINANCE               40058AKR4 06/10/24 12/10/25    100.000     0.000     5.4225                        0.150625   0.154709   0.158903               30.36    53.20 
GS FINANCE               40058AL28 06/03/24 06/04/27    100.000     0.000     5.4700                        0.151944   0.156123   0.160393  0.164780     31.72    57.21 
GS FINANCE               40057YGK3 03/06/24 03/05/26    100.000     0.000     5.2533                        0.145925   0.149737   0.153670  0.157706     43.49    55.54 
GS FINANCE               40057YXM0 04/09/24 04/09/26    100.000     0.000     5.2950                        0.147083   0.150977   0.154974  0.159077     38.86    55.74 
GS FINANCE               40057YGJ6 03/05/24 03/05/29    100.000     0.000     5.2800                        0.146667   0.150539   0.154513  0.158592     43.86    55.84 
GS FINANCE               40057YGG2 02/29/24 02/28/31    100.000     0.000     5.3850                        0.149583   0.153588   0.157724  0.161971     45.67    57.07 
GS FINANCE               40057XUD5 01/22/24 01/22/31    100.000     0.000     5.3800                        0.149444   0.153465   0.157593  0.161832     51.30    57.32 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE               40057YXV0 04/08/24 04/06/29    100.000     0.000     5.2567                        0.146019   0.149815   0.153752  0.157794     38.73    55.32 
GS FINANCE               40057YH55 03/05/24 03/05/29    100.000     0.000     5.2800                        0.146667   0.150539   0.154513  0.158592     43.86    55.84 
GS FINANCE               40058EY67 09/06/24 09/06/30    100.000     0.000     4.7550                                   0.132083   0.135224  0.138439     15.19    48.85 
GS FINANCE               40057Y6S7 02/29/24 12/01/27    100.000     0.000     5.2200             0.145000   0.146934   0.150769   0.154704  0.158742     44.31    55.22 
GS FINANCE               40057YH48 03/05/24 03/04/27    100.000     0.000     5.2008                        0.144467   0.148203   0.152056  0.156010     43.20    54.96 
GS FINANCE               40058EH25 09/05/24 12/04/25    100.000     0.000     4.7950                        0.133194   0.134773   0.138005               15.49    45.46 
GS FINANCE               40057Y6P3 02/29/24 12/02/26    100.000     0.000     5.2237             0.145103   0.147061   0.150902   0.154843  0.158887     44.34    55.27 
GS FINANCE               40057YGP2 02/28/24 08/28/25    100.000     0.000     5.3350                        0.148194   0.152148   0.156206               45.39    36.79 
GS FINANCE               40057XUN3 01/17/24 07/16/26    100.000     0.000     5.1092                        0.141922   0.145528   0.149245  0.153058     49.42    54.30 
GS FINANCE               40057XUY9 01/22/24 02/24/25    100.000     0.000     5.3292             0.148033   0.148735   0.152698                          50.90     8.09 
GS FINANCE               40058ALN2 05/30/24 06/03/25    100.000     0.000     5.5700             0.154722   0.154794   0.159105                          32.78    24.18 
GS FINANCE               40058EGX8 08/21/24 08/21/31    100.000     0.000     4.8600                                   0.135000   0.138281  0.141641     17.55    50.05 
GS FINANCE               40058E6V3 07/15/24 07/15/26    100.000     0.000     5.2300                                   0.145278   0.149077  0.152975     24.12    54.26 
GS FINANCE               40058ALL6 05/30/24 02/29/28    100.000     0.000     5.3767                        0.149353   0.151338   0.155384  0.159584     31.76    56.22 
GS FINANCE               40057Y6V0 03/05/24 12/03/26    100.000     0.000     5.2333             0.145369   0.147229   0.151082   0.155035  0.159092     43.52    55.33 
GS FINANCE               40057YH89 03/20/24 03/20/28    100.000     0.000     5.2050                        0.144583   0.148346   0.152207  0.156168     41.01    54.89 
GS FINANCE               40057XUV5 02/14/24 08/14/25    100.000     0.000     5.2775                        0.146597   0.150466   0.154436               47.00    34.27 
GS FINANCE               40057YY98 04/11/24 04/15/25    100.000     0.000     5.5000             0.152778   0.152871   0.157075                          40.07    16.34 
GS FINANCE               40058EHB5 09/04/24 03/03/28    100.000     0.000     4.5092                                   0.125256   0.128064  0.130951     14.65    46.27 
GS FINANCE               40058AM68 05/31/24 05/30/31    100.000     0.000     5.5063                        0.152953   0.157164   0.161491  0.165937     32.40    57.63 
GS FINANCE               40058EHM1 08/19/24 09/06/29    100.000     0.000     4.7200                        0.131111   0.131403   0.134504  0.137679     17.34    48.59 
GS FINANCE               40058AMB7 05/31/24 05/29/26    100.000     0.000     5.5238                        0.153439   0.157653   0.162007  0.166482     32.51    57.82 
GS FINANCE               40057YYM9 04/19/24 04/18/31    100.000     0.000     5.8050                        0.161250   0.165904   0.170720  0.175675     40.97    61.31 
GS FINANCE               40057YHK2 03/04/24 03/07/31    100.000     0.000     5.3402             0.148339   0.148405   0.152367   0.156436  0.160613     44.53    56.52 
GS FINANCE               40057YYL1 04/15/24 04/24/29    100.000     0.000     5.5200             0.153333   0.153545   0.157783   0.162138  0.166613     39.59    58.18 
GS FINANCE               40057YHJ5 03/06/24 03/04/27    100.000     0.000     5.0933                        0.141481   0.145044   0.148737  0.152525     42.15    53.76 
GS FINANCE               40057Y7F4 02/29/24 08/31/27    100.000     0.000     5.2100                        0.144722   0.148513   0.152339  0.156351     44.16    55.11 
GS FINANCE               40057Y7G2 02/29/24 03/12/29    100.000     0.000     5.2700             0.146389   0.146667   0.150532   0.154499  0.158570     44.71    55.78 
GS FINANCE               40058EHG4 08/30/24 09/01/27    100.000     0.000     4.4600                        0.123889   0.123904   0.126667  0.129492     14.99    45.77 
GS FINANCE               40057YHU0 04/01/24 04/05/27    100.000     0.000     5.0900             0.141389   0.141469   0.145069   0.148761  0.152547     38.51    53.53 
GS FINANCE               40058EHT6 09/04/24 09/02/27    100.000     0.000     4.5200                                   0.125556   0.128362  0.131263     14.69    46.38 
GS FINANCE               40057YHT3 04/01/24 04/01/26    100.000     0.000     5.2600                        0.146111   0.149954   0.153898  0.157945     39.80    55.41 
GS FINANCE               40057XVS1 01/31/24 01/29/27    100.000     0.000     5.0517                        0.140325   0.143850   0.147483  0.151208     46.98    53.56 
GS FINANCE               40057XW43 01/22/24 01/22/29    100.000     0.000     5.2500                        0.145833   0.149661   0.153590  0.157622     50.05    55.85 
GS FINANCE               40058AMH4 06/20/24 06/18/31    100.000     0.000     5.2267                        0.145186   0.148938   0.152830  0.156824     27.78    54.42 
GS FINANCE               40057XVQ5 01/22/24 01/22/29    100.000     0.000     5.2500                        0.145833   0.149661   0.153590  0.157622     50.05    55.85 
GS FINANCE               40058EHQ2 09/04/24 09/07/27    100.000     0.000     4.4800                        0.124444   0.124491   0.127279  0.130131     14.57    45.96 
GS FINANCE               40058AMT8 07/03/24 07/02/26    100.000     0.000     5.4071                                   0.150197   0.154235  0.158405     26.74    56.27 
GS FINANCE               40058AN42 07/02/24 04/01/27    100.000     0.000     5.2783                        0.146619   0.148533   0.152453  0.156476     26.42    54.89 
GS FINANCE               40058AN34 07/03/24 07/06/27    100.000     0.000     5.2500                        0.145833   0.145897   0.149727  0.153657     25.97    54.57 
GS FINANCE               40058AN26 07/02/24 07/14/31    100.000     0.000     5.3000                        0.147222   0.147482   0.151391  0.155402     26.40    55.12 
GS FINANCE               40057YHX4 04/01/24 04/01/27    100.000     0.000     5.0900                        0.141389   0.144987   0.148677  0.152461     38.50    53.53 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE               40057XWD3 01/25/24 01/25/29    100.000     0.000     5.1800                        0.143889   0.147616   0.151439  0.155361     48.93    55.04 
GS FINANCE               40057YZE6 05/13/24 11/14/25    100.000     0.000     5.4925                        0.152569   0.156783   0.161088               34.98    49.85 
GS FINANCE               40058AN83 07/02/24 12/30/27    100.000     0.000     5.2279                        0.145219   0.148973   0.152867  0.156863     26.00    54.34 
GS FINANCE               40058AMU5 07/02/24 07/01/27    100.000     0.000     5.2421                                   0.149409   0.153325  0.157344     26.06    54.49 
GS FINANCE               40057YJ20 04/01/24 04/05/27    100.000     0.000     5.1000             0.141667   0.141747   0.145361   0.149068  0.152869     38.58    53.64 
GS FINANCE               40058ANE0 07/03/24 04/01/27    100.000     0.000     5.2983                        0.147175   0.149081   0.153031  0.157085     26.37    55.10 
GS FINANCE               40057YZQ9 04/10/24 10/13/26    100.000     0.000     5.3075             0.147431   0.147496   0.151410   0.155428  0.159553     38.80    55.87 
GS FINANCE               40058ANC4 07/03/24 07/13/27    100.000     0.000     5.2500                        0.145833   0.146046   0.149880  0.153814     25.99    54.57 
GS FINANCE               40058ANB6 06/28/24 12/30/27    100.000     0.000     5.2025             0.144514   0.144556   0.148316   0.152174  0.156132     26.46    54.10 
GS FINANCE               40058ANA8 06/28/24 07/10/29    100.000     0.000     5.1800                        0.143889   0.144137   0.147870  0.151700     26.37    53.85 
GS FINANCE               40057YJ95 03/20/24 03/20/31    100.000     0.000     5.3500                        0.148611   0.152586   0.156668  0.160859     42.16    56.50 
GS FINANCE               40058EJ98 08/30/24 09/01/27    100.000     0.000     4.4600                        0.123889   0.123904   0.126667  0.129492     14.99    45.77 
GS FINANCE               40057YJ87 03/20/24 12/18/26    100.000     0.000     5.2283             0.145231   0.147087   0.150932   0.154877  0.158926     41.22    55.15 
GS FINANCE               40058ANK6 06/28/24 03/30/28    100.000     0.000     5.1988                        0.144411   0.146330   0.150133  0.154036     26.60    54.06 
GS FINANCE               40057YJ79 03/06/24 03/06/30    100.000     0.000     5.2450                        0.145694   0.149515   0.153436  0.157460     43.42    55.44 
GS FINANCE               40058EJ72 08/30/24 09/11/29    100.000     0.000     4.5900                        0.127500   0.127679   0.130609  0.133607     15.45    47.14 
GS FINANCE               40057YZX4 04/16/24 04/15/27    100.000     0.000     5.4958                        0.152661   0.156833   0.161142  0.165570     39.25    57.90 
GS FINANCE               40057XX67 01/31/24 01/31/31    100.000     0.000     5.2800                        0.146667   0.150539   0.154513  0.158592     49.13    56.13 
GS FINANCE               40058EJ64 08/30/24 03/02/28    100.000     0.000     4.4925                        0.124792   0.124823   0.127627  0.130493     15.10    46.12 
GS FINANCE               40057XWT8 01/31/24 12/29/27    100.000     0.000     5.0517             0.140325   0.143259   0.146877   0.150587  0.154391     46.99    53.56 
GS FINANCE               40057XX42 02/05/24 02/05/30    100.000     0.000     5.0900                        0.141389   0.144987   0.148677  0.152461     46.62    53.95 
GS FINANCE               40057YJ46 04/01/24 04/09/31    100.000     0.000     5.3000             0.147222   0.147396   0.151302   0.155311  0.159427     40.12    55.86 
GS FINANCE               40057XX34 02/05/24 02/03/28    100.000     0.000     4.9658                        0.137939   0.141326   0.144835  0.148431     45.47    52.56 
GS FINANCE               40058EJ31 09/05/24 09/07/27    100.000     0.000     4.5200                        0.125556   0.125587   0.128425  0.131328     14.57    46.38 
GS FINANCE               40058EJB3 08/30/24 08/29/31    100.000     0.000     4.7625                                   0.132292   0.135407  0.138649     16.01    48.96 
GS FINANCE               40058EJA5 08/30/24 08/29/31    100.000     0.000     4.7625                                   0.132292   0.135407  0.138649     16.01    48.96 
GS FINANCE               40058ANX8 06/28/24 03/30/27    100.000     0.000     5.2487                        0.145797   0.147753   0.151630  0.155610     26.86    54.60 
GS FINANCE               40058EJC1 09/04/24 09/14/27    100.000     0.000     4.5200                        0.125556   0.125713   0.128554  0.131460     14.71    46.38 
GS FINANCE               40058EJS6 09/04/24 09/04/29    100.000     0.000     4.6200                                   0.128333   0.131298  0.134331     15.01    47.44 
GS FINANCE               40058EJR8 09/04/24 09/03/26    100.000     0.000     4.6479                                   0.129108   0.132092  0.135162     15.11    47.73 
GS FINANCE               40057YJR5 03/28/24 12/31/26    100.000     0.000     5.1300             0.142500   0.144368   0.148071   0.151869  0.155765     39.24    54.00 
GS FINANCE               40057YJN4 04/02/24 04/13/27    100.000     0.000     5.1200             0.142222   0.142445   0.146091   0.149831  0.153667     38.60    53.86 
GS FINANCE               40057XXY6 02/06/24 08/06/25    100.000     0.000     5.1375                        0.142708   0.146374   0.150134               46.91    32.15 
GS FINANCE               40058EJY3 09/04/24 09/04/31    100.000     0.000     4.8100                                   0.133611   0.136824  0.140115     15.63    49.44 
GS FINANCE               40057YJY0 04/02/24 12/31/26    100.000     0.000     5.1767             0.143797   0.145617   0.149386   0.153253  0.157219     39.01    54.48 
GS FINANCE               40057YK85 03/28/24 09/30/26    100.000     0.000     5.1700             0.143611   0.143652   0.147366   0.151175  0.155083     39.55    54.44 
GS FINANCE               40057YJT1 03/28/24 12/30/27    100.000     0.000     5.1163             0.142119   0.143978   0.147661   0.151438  0.155312     39.14    53.85 
GS FINANCE               40057XY41 02/02/24 02/02/29    100.000     0.000     5.1100                        0.141944   0.145571   0.149290  0.153105     47.24    54.20 
GS FINANCE               40057YKE2 03/28/24 04/09/29    100.000     0.000     5.1600             0.143333   0.143559   0.147263   0.151063  0.154960     39.49    54.33 
GS FINANCE               40057XYB5 01/31/24 01/31/29    100.000     0.000     5.1500                        0.143056   0.146739   0.150518  0.154394     47.91    54.66 
GS FINANCE               40057YKD4 03/28/24 03/30/27    100.000     0.000     5.0900             0.141389   0.141429   0.145028   0.148719  0.152504     38.94    53.55 
GS FINANCE               40057YKC6 03/28/24 04/08/31    100.000     0.000     5.3000             0.147222   0.147439   0.151346   0.155357  0.159474     40.57    55.88 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE               40058AP81 06/28/24 07/02/29    100.000     0.000     5.1250                        0.142361   0.142442   0.146092  0.149836     26.07    53.26 
GS FINANCE               40058EKA3 09/04/24 09/02/27    100.000     0.000     4.5200                                   0.125556   0.128362  0.131263     14.69    46.38 
GS FINANCE               40058AP24 07/02/24 07/02/26    100.000     0.000     5.3750                                   0.149306   0.153318  0.157439     26.73    55.93 
GS FINANCE               40057XYL3 02/05/24 02/08/27    100.000     0.000     4.9200             0.136667   0.136723   0.140086   0.143532  0.147063     45.05    52.05 
GS FINANCE               40058EKL9 08/20/24 08/19/27    100.000     0.000     4.8900                                   0.135833   0.139136  0.142538     17.79    50.38 
GS FINANCE               40058EKK1 08/28/24 02/28/30    100.000     0.000     4.7150                                   0.130972   0.134060  0.137220     16.11    48.47 
GS FINANCE               40058EKJ4 08/28/24 02/28/29    100.000     0.000     4.6550                                   0.129306   0.132315  0.135395     15.90    47.84 
GS FINANCE               40057YKH5 03/28/24 03/27/31    100.000     0.000     5.2942                        0.147061   0.150932   0.154928  0.159029     40.51    55.82 
GS FINANCE               40057YKG7 03/28/24 09/30/27    100.000     0.000     5.1075             0.141875   0.141915   0.145539   0.149256  0.153068     39.07    53.75 
GS FINANCE               40057YKF9 03/28/24 03/28/30    100.000     0.000     5.1739                        0.143719   0.147437   0.151252  0.155164     39.58    54.48 
GS FINANCE               40057XZ32 01/31/24 05/01/25    100.000     0.000     5.2850             0.146806   0.148767   0.152698                          49.30    18.32 
GS FINANCE               40057YL27 03/07/24 07/14/25    100.000     0.000     5.3767                        0.149353   0.152186   0.156277               44.38    30.11 
GS FINANCE               40057YKP7 03/28/24 03/28/29    100.000     0.000     5.1600                        0.143333   0.147031   0.150825  0.154716     39.47    54.33 
GS FINANCE               40058AQ31 06/28/24 06/30/27    100.000     0.000     5.2100             0.144722   0.144764   0.148535   0.152405  0.156375     26.50    54.18 
GS FINANCE               40058AQ23 06/28/24 06/27/31    100.000     0.000     5.2471                        0.145753   0.149555   0.153479  0.157506     26.69    54.58 
GS FINANCE               40057YKX0 03/27/24 09/27/28    100.000     0.000     5.0850                        0.141250   0.144841   0.148524  0.152300     39.04    53.51 
GS FINANCE               40057YKW2 03/27/24 09/27/29    100.000     0.000     5.1350                        0.142639   0.146301   0.150057  0.153910     39.43    54.06 
GS FINANCE               40057XHT5 01/17/24 07/16/25    100.000     0.000     5.2792                        0.146644   0.150494   0.154466               51.08    30.06 
GS FINANCE               40058EL87 09/05/24 09/02/27    100.000     0.000     4.5325                                   0.125903   0.128708  0.131625     14.60    46.51 
GS FINANCE               40057YL84 03/20/24 03/20/29    100.000     0.000     5.2300                        0.145278   0.149077   0.152975  0.156975     41.21    55.17 
GS FINANCE               40057YL76 03/20/24 03/20/29    100.000     0.000     5.2300                        0.145278   0.149077   0.152975  0.156975     41.21    55.17 
GS FINANCE               40057XYU3 02/05/24 02/05/26    100.000     0.000     5.0750                        0.140972   0.144549   0.148217  0.151978     46.48    53.78 
GS FINANCE               40058APY4 06/20/24 07/06/27    100.000     0.000     5.1600                        0.143333   0.143662   0.147369  0.151171     27.43    53.70 
GS FINANCE               40058AQ98 06/12/24 06/11/26    100.000     0.000     5.4654                        0.151817   0.155942   0.160204  0.164582     30.29    57.08 
GS FINANCE               40058AQ80 06/12/24 06/12/31    100.000     0.000     5.4100                        0.150278   0.154343   0.158518  0.162806     29.98    56.48 
GS FINANCE               40058APU2 06/28/24 06/30/27    100.000     0.000     5.2100             0.144722   0.144764   0.148535   0.152405  0.156375     26.50    54.18 
GS FINANCE               40057YLB7 04/02/24 03/31/28    100.000     0.000     5.1337                        0.142603   0.146223   0.149976  0.153825     38.69    54.01 
GS FINANCE               40058AQ49 06/28/24 06/27/31    100.000     0.000     5.2471                        0.145753   0.149555   0.153479  0.157506     26.69    54.58 
GS FINANCE               40057YLM3 04/01/24 04/01/27    100.000     0.000     5.1000                        0.141667   0.145279   0.148984  0.152783     38.58    53.64 
GS FINANCE               40058AQB3 06/12/24 12/11/25    100.000     0.000     5.5279                        0.153553   0.157773   0.162134               30.64    54.43 
GS FINANCE               40057YLJ0 03/26/24 03/25/27    100.000     0.000     5.0838                        0.141217   0.144786   0.148467  0.152241     39.18    53.50 
GS FINANCE               40057XZH1 01/31/24 01/31/31    100.000     0.000     5.2800                        0.146667   0.150539   0.154513  0.158592     49.13    56.13 
GS FINANCE               40057YLV3 04/02/24 04/02/29    100.000     0.000     5.1500                        0.143056   0.146739   0.150518  0.154394     38.81    54.19 
GS FINANCE               40058AQJ6 07/02/24 07/02/29    100.000     0.000     5.2200                                   0.145000   0.148784  0.152668     25.95    54.25 
GS FINANCE               38151F2F9 04/30/24 04/30/34    100.000     0.000     5.9651                        0.165697   0.170639   0.175729  0.180970     40.23    62.98 
GS FINANCE               40058AQH0 06/26/24 12/27/28    100.000     0.000     5.2125                        0.144792   0.148586   0.152459  0.156432     26.80    54.22 
GS FINANCE               40057YLP6 04/02/24 04/02/29    100.000     0.000     5.1500                        0.143056   0.146739   0.150518  0.154394     38.81    54.19 
GS FINANCE               40058AQR8 07/02/24 06/30/28    100.000     0.000     5.2254                        0.145150   0.148900   0.152791  0.156782     25.99    54.31 
GS FINANCE               40058AR22 07/02/24 07/02/31    100.000     0.000     5.3000                                   0.147222   0.151124  0.155128     26.35    55.12 
GS FINANCE               40057XZZ1 02/06/24 02/06/31    100.000     0.000     5.0800                        0.141111   0.144695   0.148371  0.152139     46.38    53.83 
GS FINANCE               40058AQM9 06/26/24 12/27/29    100.000     0.000     5.2300                        0.145278   0.149098   0.152997  0.156998     26.89    54.41 
GS FINANCE               40058AQY3 07/01/24 07/31/25    100.000     0.000     5.5500                        0.154167   0.154856   0.159153               27.85    33.14 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE               40057YMC4 03/15/24 03/26/32    100.000     0.000     5.2433             0.145647   0.145881   0.149705   0.153630  0.157657     42.08    55.36 
GS FINANCE               40057YMB6 03/19/24 03/20/28    100.000     0.000     5.1716                        0.143656   0.147391   0.151202  0.155112     40.89    54.53 
GS FINANCE               40057YMQ3 03/20/24 03/20/29    100.000     0.000     5.2300                        0.145278   0.149077   0.152975  0.156975     41.21    55.17 
GS FINANCE               40058ARE6 07/02/24 07/01/27    100.000     0.000     5.2421                                   0.149409   0.153325  0.157344     26.06    54.49 
GS FINANCE               40058ARD8 07/02/24 01/02/26    100.000     0.000     5.4475                                   0.151319   0.155441  0.159675     27.09    56.71 
GS FINANCE               40058ARA4 07/02/24 07/02/26    100.000     0.000     5.3750                                   0.149306   0.153318  0.157439     26.73    55.93 
GS FINANCE               40057YMK6 03/13/24 03/11/27    100.000     0.000     4.9667                        0.137964   0.141352   0.144862  0.148460     40.11    52.30 
GS FINANCE               40057YN82 04/03/24 05/01/25    100.000     0.000     5.4200             0.150556   0.151190   0.155287                          40.75    18.63 
GS FINANCE               40058ARK2 07/09/24 01/08/26    100.000     0.000     5.4033                                   0.150092   0.154124  0.158288     25.82    56.18 
GS FINANCE               40057YMV2 04/01/24 04/01/27    100.000     0.000     5.1000                        0.141667   0.145279   0.148984  0.152783     38.58    53.64 
GS FINANCE               40057YMU4 03/18/24 04/17/25    100.000     0.000     5.4400             0.151111   0.151773   0.155902                          43.24    16.53 
GS FINANCE               40057YN33 03/27/24 06/26/25    100.000     0.000     5.3608             0.148911   0.150885   0.154929                          41.19    27.11 
GS FINANCE               40057YNA7 04/11/24 10/14/25    100.000     0.000     5.4500             0.151389   0.151458   0.155585   0.159825               39.70    44.79 
GS FINANCE               40057YNB5 03/13/24 03/12/26    100.000     0.000     5.1667                        0.143519   0.147206   0.151009  0.154910     41.74    54.52 
GS FINANCE               40058ART3 06/11/24 06/11/30    100.000     0.000     5.2400                        0.145556   0.149369   0.153283  0.157299     29.19    54.64 
GS FINANCE               40058AS21 06/20/24 06/17/27    100.000     0.000     5.1733                        0.143703   0.147358   0.151170  0.155080     27.50    53.84 
GS FINANCE               40058AAM6 06/10/24 06/10/28    100.000     0.000     5.1518                        0.143106   0.146792   0.150573  0.154452     28.84    53.69 
GS FINANCE               40058ARX4 06/28/24 06/28/29    100.000     0.000     5.1800                        0.143889   0.147616   0.151439  0.155361     26.34    53.85 
GS FINANCE               40057XKB0 01/05/24 07/08/25    100.000     0.000     5.3025             0.147292   0.147357   0.151264   0.155274               53.13    29.01 
GS FINANCE               40058ARW6 07/01/24 07/01/27    100.000     0.000     5.2900                                   0.150831   0.150831  0.158916     26.45    55.02 
GS FINANCE               40058AB78 05/31/24 03/04/27    100.000     0.000     5.4362                        0.151006   0.153149   0.157312  0.161588     32.11    56.87 
GS FINANCE               40058ASH8 06/12/24 09/12/28    100.000     0.000     5.3300                        0.148056   0.150028   0.154027  0.158131     29.68    55.61 
GS FINANCE               40058ASG0 06/26/24 07/06/32    100.000     0.000     5.3067                        0.147408   0.147626   0.151543  0.155564     27.31    55.24 
GS FINANCE               40058ASF2 07/02/24 07/01/27    100.000     0.000     5.2421                                   0.149409   0.153325  0.157344     26.06    54.49 
GS FINANCE               40058ABB9 05/31/24 03/02/28    100.000     0.000     5.4137                        0.150381   0.152461   0.156588  0.160827     31.98    56.62 
GS FINANCE               40058ENT9 08/14/24 08/12/27    100.000     0.000     4.8900                                   0.135833   0.139118  0.142519     18.61    50.42 
GS FINANCE               40058ASX3 06/27/24 06/27/29    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     26.54    53.97 
GS FINANCE               40058AC36 05/14/24 05/14/26    100.000     0.000     5.4000                        0.150000   0.154050   0.158209  0.162481     34.24    56.60 
GS FINANCE               40058AT38 06/20/24 06/22/29    100.000     0.000     5.1500             0.143056   0.143096   0.146781   0.150561  0.154438     27.36    53.59 
GS FINANCE               40058ATB0 06/21/24 06/23/26    100.000     0.000     5.3800             0.149444   0.149489   0.153510   0.157640  0.161880     28.44    56.07 
GS FINANCE               40058ATA2 06/21/24 06/22/29    100.000     0.000     5.2200                        0.145000   0.148806   0.152689  0.156675     27.58    54.34 
GS FINANCE               40058ASZ8 07/08/24 07/16/25    100.000     0.000     5.5400                        0.153889   0.154078   0.158346               26.65    30.81 
GS FINANCE               40058ASY1 06/26/24 06/24/27    100.000     0.000     5.2325                        0.145347   0.149108   0.153009  0.157012     26.92    54.44 
GS FINANCE               40057YP56 03/13/24 03/11/27    100.000     0.000     4.9667                        0.137964   0.141352   0.144862  0.148460     40.11    52.30 
GS FINANCE               40058EP42 08/30/24 08/31/28    100.000     0.000     4.5250                                   0.125694   0.128507  0.131446     15.21    46.46 
GS FINANCE               38151F5A7 07/18/24 07/18/34    100.000     0.000     5.3600                                   0.148889   0.152879  0.156976     24.27    55.64 
GS FINANCE               40058EP34 08/30/24 08/30/29    100.000     0.000     4.5900                                   0.127500   0.130394  0.133419     15.43    47.14 
GS FINANCE               36255HBW7 05/15/24 05/13/27    100.000    VARIES     5.3300                        0.148056   0.150333   0.145722  0.149611     33.49    53.48 
GS FINANCE               40058ATG9 06/26/24 06/30/31    100.000    VARIES     5.2326                        0.149136   0.138467   0.128667  0.123716     26.61    48.25 
GS FINANCE               40058ATF1 06/13/24 06/15/26    100.000     0.000     5.4650             0.151806   0.151852   0.156001   0.160264  0.164643     30.13    57.07 
GS FINANCE               40058ATE4 07/03/24 07/01/27    100.000     0.000     5.2621                                   0.149973   0.153918  0.157968     26.02    54.70 
GS FINANCE               40058ATD6 06/28/24 06/28/29    100.000     0.000     5.1800                        0.143889   0.147616   0.151439  0.155361     26.34    53.85 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057RKJ6 05/03/23 05/03/27    100.000     0.000     4.9900     33.19   0.142069   0.145614   0.149247   0.152971  0.156788     52.20    54.84 
GS FINANCE CORP          40057PVD1 03/13/23 03/22/28    100.000     0.000     5.5900     45.21   0.159841   0.164308   0.168901   0.173622  0.178474     59.24    62.60 
GS FINANCE CORP          40057PEC2 01/31/23 02/09/28    100.000     0.000     4.8500     45.11   0.138157   0.141507   0.144938   0.148453  0.152053     51.30    53.82 
GS FINANCE CORP          40057LZW4 05/25/22 05/23/25    100.000     0.000     3.7528     61.33   0.110201   0.112269   0.114375                          40.20    16.24 
GS FINANCE CORP          40057PVC3 03/08/23 04/08/24    100.000     0.000     5.5625     45.82   0.159547                                                15.48          
GS FINANCE CORP          40057TQN7 08/28/23 10/16/24    100.000     0.000     5.9800     20.53   0.167436   0.172442                                     48.62          
GS FINANCE CORP          40057LZX2 05/25/22 05/23/25    100.000     0.000     3.7528     61.33   0.110201   0.112269   0.114375                          40.20    16.24 
GS FINANCE CORP          40057PVB5 04/04/23 04/04/28    100.000     0.000     5.0800     37.99   0.144695   0.148371   0.152139   0.156004  0.159966     53.40    56.15 
GS FINANCE CORP          40057MLU1 07/21/22 07/20/27    100.000     0.000     4.7658     70.43   0.138750   0.142056   0.145441   0.148907  0.152455     51.62    54.11 
GS FINANCE CORP          40057NP84 11/02/22 11/04/25    100.000     0.000     5.8600     69.64   0.172512   0.177567   0.182770   0.188125               63.60    56.34 
GS FINANCE CORP          40057TQW7 08/31/23 06/03/27    100.000     0.000     5.7350     19.34   0.161666   0.166301   0.171070   0.175976  0.181022     59.30    62.75 
GS FINANCE CORP          40057TQV9 08/31/23 06/02/26    100.000     0.000     5.7875     19.52   0.163142   0.167863   0.172720   0.177718  0.182861     59.86    63.37 
GS FINANCE CORP          40057TQR8 08/09/23 08/18/28    100.000     0.000     5.4700     21.60   0.152152   0.156314   0.160589   0.164981  0.169493     56.65    59.79 
GS FINANCE CORP          40057LZZ7 05/18/22 05/18/32    100.000     0.000     4.7100     78.36   0.140296   0.143600   0.146982   0.150443  0.153986     51.39    53.84 
GS FINANCE CORP          40057RKK3 05/03/23 05/03/28    100.000     0.000     5.0200     33.39   0.142944   0.146532   0.150210   0.153981  0.157846     52.53    55.20 
GS FINANCE CORP          40057PW73 03/31/23 04/11/28    100.000     0.000     5.1600     39.20   0.147263   0.151063   0.154960   0.158958  0.163059     54.31    57.15 
GS FINANCE CORP          40057WJH1 10/18/23 10/17/30    100.000     0.000     6.2400     12.65   0.173333   0.178711   0.184287   0.190037  0.195966     64.18    68.24 
GS FINANCE CORP          40057PW65 03/31/23 04/01/30    100.000     0.000     5.2500     39.87   0.149683   0.153612   0.157644   0.161782  0.166029     55.31    58.25 
GS FINANCE CORP          40057PW57 03/31/23 03/31/28    100.000     0.000     5.1600     39.18   0.147031   0.150825   0.154716   0.158708  0.162802     54.31    57.15 
GS FINANCE CORP          40057PVT6 03/28/23 04/02/29    100.000     0.146     5.1788     40.03   0.147691   0.151831   0.154569   0.158245  0.160278     54.96    56.82 
GS FINANCE CORP          40057PW40 03/31/23 04/01/30    100.000     0.000     5.2500     39.87   0.149683   0.153612   0.157644   0.161782  0.166029     55.31    58.25 
GS FINANCE CORP          40057WJE8 11/02/23 11/02/29    100.000     0.000     6.4800     10.62   0.180000   0.185832   0.191853   0.198069  0.204486     66.55    70.93 
GS FINANCE CORP          40057PW32 03/31/23 04/02/26    100.000     0.000     5.1300     38.95   0.146197   0.149947   0.153793   0.157738  0.161784     53.98    56.79 
GS FINANCE CORP          40057MMG1 07/22/22 07/20/27    100.000     0.000     4.7658     70.29   0.138732   0.142038   0.145422   0.148887  0.152435     51.62    54.10 
GS FINANCE CORP          40057PW24 03/31/23 01/02/26    100.000     0.000     5.1713     39.27   0.145546   0.149309   0.153170   0.157130  0.161193     54.44    57.29 
GS FINANCE CORP          40057NPH4 10/28/22 11/01/27    100.000     0.000     6.1800     74.25   0.182534   0.188174   0.193988   0.199983  0.206162     67.41    71.65 
GS FINANCE CORP          40057XMT9 01/03/24 12/31/26    100.000     0.000     4.9775             0.138264   0.141648   0.145173   0.148786  0.152489     50.11    52.92 
GS FINANCE CORP          40057NPX9 10/31/22 10/31/25    100.000     0.000     5.8200     69.49   0.171213   0.176195   0.181322   0.186599               63.15    55.17 
GS FINANCE CORP          40057MMT3 08/03/22 08/03/27    100.000     0.000     4.2300     60.88   0.122523   0.125114   0.127760   0.130462  0.133222     45.35    47.29 
GS FINANCE CORP          40057TAG9 06/14/23 06/25/24    100.000     0.000     5.8100     31.88   0.166372                                                28.95          
GS FINANCE CORP          40057PEZ1 02/03/23 02/05/26    100.000     0.000     4.7400     43.65   0.134823   0.138018   0.141289   0.144638  0.148065     50.06    52.46 
GS FINANCE CORP          40057TAF1 06/29/23 06/29/28    100.000     0.000     5.3600     27.11   0.152879   0.156976   0.161183   0.165503  0.169938     55.79    58.82 
GS FINANCE CORP          40057TRF3 08/18/23 08/18/28    100.000     0.000     5.6900     21.02   0.158056   0.162552   0.167177   0.171933  0.176825     58.92    62.32 
GS FINANCE CORP          40057NQ67 10/31/22 11/02/27    100.000     0.000     6.1000     72.91   0.179999   0.185489   0.191147   0.196977  0.202984     66.45    70.56 
GS FINANCE CORP          40057MN21 07/14/22 07/14/28    100.000     0.000     4.4700     66.87   0.129779   0.132680   0.135645   0.138677  0.141776     48.22    50.40 
GS FINANCE CORP          40057MMQ9 08/03/22 08/01/25    100.000     0.000     3.8597     55.46   0.111369   0.113518   0.115708   0.117941               41.13    24.70 
GS FINANCE CORP          40057PVY5 04/05/23 04/14/26    100.000     0.000     5.0400     37.56   0.143709   0.147330   0.151043   0.154849  0.158752     52.95    55.65 
GS FINANCE CORP          40057PW99 04/05/23 04/03/26    100.000     0.000     5.0588     37.69   0.144037   0.147680   0.151416   0.155246  0.159172     53.16    55.88 
GS FINANCE CORP          40057NQ34 10/31/22 10/29/27    100.000     0.000     6.0883     72.77   0.179543   0.185009   0.190641   0.196444  0.202424     66.31    70.41 
GS FINANCE CORP          40057P4U3 12/05/22 12/05/24    100.000     0.000     5.3000     57.74   0.155128   0.159239                                     52.55          
GS FINANCE CORP          40057PW81 03/31/23 03/31/28    100.000     0.000     5.1600     39.18   0.147031   0.150825   0.154716   0.158708  0.162802     54.31    57.15 
GS FINANCE CORP          40057MMN6 08/03/22 08/01/25    100.000     0.000     3.8597     55.46   0.111369   0.113518   0.115708   0.117941               41.13    24.70 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057PVW9 03/31/23 04/01/30    100.000     0.000     5.2500     39.87   0.149683   0.153612   0.157644   0.161782  0.166029     55.31    58.25 
GS FINANCE CORP          40057WJU2 11/03/23 08/05/26    100.000     0.000     6.2787     10.12   0.174408   0.177207   0.182770   0.188508  0.194426     64.51    68.53 
GS FINANCE CORP          40057PWB4 03/31/23 04/02/26    100.000     0.000     5.1300     38.95   0.146197   0.149947   0.153793   0.157738  0.161784     53.98    56.79 
GS FINANCE CORP          40057RM54 06/02/23 06/02/28    100.000     0.000     5.2800     30.77   0.150539   0.154513   0.158592   0.162779  0.167076     55.14    58.09 
GS FINANCE CORP          40057TB86 06/28/23 06/28/30    100.000     0.000     5.4200     27.56   0.154636   0.158826   0.163130   0.167551  0.172092     56.45    59.55 
GS FINANCE CORP          40057WKB2 11/03/23 11/14/30    100.000     0.000     6.5600     10.59   0.182587   0.188576   0.194762   0.201150  0.207748     67.38    71.87 
GS FINANCE CORP          40057PWM0 03/31/23 10/02/25    100.000     0.000     5.2125     39.59   0.148608   0.152481   0.156455   0.160533               54.89    43.13 
GS FINANCE CORP          40057WKA4 11/03/23 11/05/26    100.000     0.000     6.2900     10.14   0.174783   0.180280   0.185950   0.191798  0.197830     64.54    68.66 
GS FINANCE CORP          40057TS54 08/15/23 08/15/30    100.000     0.000     5.6000     21.16   0.155556   0.159911   0.164389   0.168992  0.173723     57.99    61.28 
GS FINANCE CORP          40057PFV9 02/01/23 03/01/24    100.000     0.000     5.3550     49.77   0.153414                                                 9.20          
GS FINANCE CORP          40057WKK2 10/31/23 10/31/30    100.000     0.000     6.5300     11.06   0.181389   0.187311   0.193427   0.199742  0.206264     67.10    71.55 
GS FINANCE CORP          38150AP90 09/20/22 09/20/32    100.000    VARIES     5.8500      6.24   0.011889   0.010444   0.009444   0.009722  0.010056      3.75     3.51 
GS FINANCE CORP          40057PG63 02/03/23 02/05/24    100.000     0.000     5.3700     49.53   0.153217                                                 5.21          
GS FINANCE CORP          40057NQQ3 11/02/22 10/31/25    100.000     0.000     5.8608     69.65   0.172427   0.177479   0.182680   0.188034               63.61    55.58 
GS FINANCE CORP          40057WKJ5 10/31/23 10/31/30    100.000     0.000     6.5300     11.06   0.181389   0.187311   0.193427   0.199742  0.206264     67.10    71.55 
GS FINANCE CORP          40057RLZ9 04/27/23 04/30/25    100.000     0.000     4.9900     34.05   0.142129   0.145675   0.149309                          52.24    17.77 
GS FINANCE CORP          40057WKH9 10/31/23 10/31/29    100.000     0.000     6.3699     10.79   0.176942   0.182577   0.188392   0.194392  0.200584     65.41    69.64 
GS FINANCE CORP          40057PWS7 03/31/23 10/01/26    100.000     0.000     5.1375     39.01   0.146395   0.150155   0.154012   0.157968  0.162026     54.06    56.88 
GS FINANCE CORP          40057NQN0 11/02/22 11/02/26    100.000     0.000     5.9750     71.03   0.176037   0.181296   0.186713   0.192291  0.198035     64.95    68.89 
GS FINANCE CORP          40057WKG1 10/31/23 10/29/26    100.000     0.000     6.2267     10.55   0.172964   0.178319   0.183871   0.189595  0.195498     63.91    67.94 
GS FINANCE CORP          40057MNG0 07/22/22 07/24/25    100.000     0.000     4.4400     65.39   0.128902   0.131764   0.134689   0.137679               47.83    27.88 
GS FINANCE CORP          40057WKS5 10/23/23 10/23/30    100.000     0.000     6.6200     12.50   0.183889   0.189976   0.196264   0.202760  0.209471     68.14    72.72 
GS FINANCE CORP          40057KHQ9 12/31/21 01/29/29    100.000    VARIES     2.2100     44.43   0.062889   0.063278   0.062889   0.063944  0.063611     22.71    22.83 
GS FINANCE CORP          40057WL21 10/31/23 10/31/28    100.000     0.000     6.3800     10.81   0.177222   0.182876   0.188709   0.194729  0.200941     65.52    69.77 
GS FINANCE CORP          40057NQX8 10/31/22 11/02/27    100.000     0.000     6.1000     72.91   0.179999   0.185489   0.191147   0.196977  0.202984     66.45    70.56 
GS FINANCE CORP          40057WKP1 10/25/23 10/23/26    100.000     0.000     6.3225     11.59   0.175625   0.181115   0.186841   0.192747  0.198840     64.98    69.14 
GS FINANCE CORP          40057NA64 10/13/22 10/10/25    100.000     0.000     5.5433     68.89   0.162561   0.167067   0.171697   0.176456               60.07    48.76 
GS FINANCE CORP          40057NR82 11/03/22 11/08/27    100.000     0.000     6.1100     72.50   0.180404   0.185915   0.191595   0.197448  0.203480     66.53    70.66 
GS FINANCE CORP          40057NQV2 10/31/22 10/31/25    100.000     0.000     5.8200     69.49   0.171213   0.176195   0.181322   0.186599               63.15    55.17 
GS FINANCE CORP          40057TSF2 09/01/23 09/03/26    100.000     0.000     5.6400     18.81   0.156716   0.161135   0.165679   0.170351  0.175155     58.27    61.60 
GS FINANCE CORP          40057NA49 09/21/22 09/21/27    100.000    VARIES     5.2000     67.88   0.151556   0.154500   0.157611   0.160778  0.164111     55.68    57.95 
GS FINANCE CORP          40057TSG0 08/07/23 08/07/25    100.000     0.000     5.6600     22.64   0.157222   0.161672   0.166247   0.170952               58.70    36.76 
GS FINANCE CORP          40057TSE5 09/01/23 09/01/28    100.000     0.000     5.6100     18.70   0.155833   0.160204   0.164698   0.169318  0.174067     57.95    61.25 
GS FINANCE CORP          40057PFX5 02/03/23 08/03/28    100.000     0.000     4.7425     43.67   0.134860   0.138058   0.141331   0.144683  0.148114     50.08    52.49 
GS FINANCE CORP          40057PWZ1 04/05/23 10/03/25    100.000     0.000     5.1713     38.53   0.147320   0.151129   0.155037   0.159046               54.40    42.89 
GS FINANCE CORP          40057NQT7 10/31/22 10/29/27    100.000     0.000     6.0883     72.77   0.179543   0.185009   0.190641   0.196444  0.202424     66.31    70.41 
GS FINANCE CORP          40057NR41 11/02/22 05/01/25    100.000     0.000     5.8658     69.71   0.172609   0.177672   0.182883                          63.67    21.95 
GS FINANCE CORP          40057PWY4 04/05/23 10/03/25    100.000     0.000     5.1713     38.53   0.147320   0.151129   0.155037   0.159046               54.40    42.89 
GS FINANCE CORP          40057NRC3 11/02/22 11/04/25    100.000     0.000     5.8600     69.64   0.172512   0.177567   0.182770   0.188125               63.60    56.34 
GS FINANCE CORP          40057TST2 08/07/23 02/08/29    100.000     0.000     5.5475     22.19   0.154097   0.158395   0.162789   0.167304  0.171945     57.49    60.73 
GS FINANCE CORP          40057TBQ6 07/06/23 08/05/24    100.000     0.000     5.8600     28.60   0.163546   0.168338                                     35.86          
GS FINANCE CORP          40057NRB5 11/02/22 11/04/27    100.000     0.000     6.0900     72.43   0.179687   0.185158   0.190796   0.196606  0.202592     66.31    70.40 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057WKY2 11/03/23 11/17/26    100.000     0.000     6.2900     10.15   0.175150   0.180658   0.186340   0.192200  0.198245     64.54    68.66 
GS FINANCE CORP          40057TT38 08/09/23 08/09/28    100.000     0.000     5.4700     21.58   0.151944   0.156100   0.160369   0.164756  0.169262     56.64    59.79 
GS FINANCE CORP          38150APL3 09/30/22 10/05/32    100.000    VARIES     6.3100     10.72   0.020833   0.018167   0.016222   0.016722  0.017278      6.45     6.02 
GS FINANCE CORP          40057WL88 10/18/23 11/18/24    100.000     0.000     6.0696     12.34   0.169453   0.174595                                     54.64          
GS FINANCE CORP          40057WKV8 10/31/23 11/09/28    100.000     0.000     6.3800     10.83   0.177505   0.183167   0.189010   0.195040  0.201262     65.52    69.77 
GS FINANCE CORP          40057PXC1 03/20/23 03/20/28    100.000     0.000     5.3900     42.48   0.153757   0.157901   0.162156   0.166527  0.171014     56.95    60.06 
GS FINANCE CORP          40057WKU0 10/31/23 10/29/26    100.000     0.000     6.2267     10.55   0.172964   0.178319   0.183871   0.189595  0.195498     63.91    67.94 
GS FINANCE CORP          40057PXB3 04/05/23 04/03/26    100.000     0.000     5.0588     37.69   0.144037   0.147680   0.151416   0.155246  0.159172     53.16    55.88 
GS FINANCE CORP          40057PY30 03/29/23 03/27/26    100.000     0.000     4.9254     37.53   0.140149   0.143600   0.147136   0.150760  0.154473     51.73    54.31 
GS FINANCE CORP          40057N0G6 11/03/22 11/05/25    100.000     0.000     5.8900     69.83   0.173446   0.178554   0.183813   0.189226               63.94    56.85 
GS FINANCE CORP          40057RMU9 05/04/23 11/06/24    100.000     0.000     5.2800     34.98   0.150583   0.154558                                     46.64          
GS FINANCE CORP          40057PXN7 03/20/23 03/20/25    100.000     0.000     5.5200     43.51   0.157565   0.161914   0.166383                          58.40    13.14 
GS FINANCE CORP          40057RMS4 05/04/23 05/07/24    100.000     0.000     5.3600     35.52   0.152947                                                19.27          
GS FINANCE CORP          40057WLA3 10/18/23 11/18/24    100.000     0.000     6.0696     12.34   0.169453   0.174595                                     54.64          
GS FINANCE CORP          40057RMR6 05/03/23 05/03/30    100.000     0.000     5.0800     33.79   0.144695   0.148371   0.152139   0.156004  0.159966     53.18    55.92 
GS FINANCE CORP          40057TT79 08/09/23 08/18/27    100.000     0.000     5.4450     21.50   0.151456   0.155579   0.159815   0.164166  0.168635     56.38    59.49 
GS FINANCE CORP          40057RMP0 05/02/23 05/02/28    100.000     0.000     5.0900     34.00   0.144987   0.148677   0.152461   0.156341  0.160320     53.30    56.05 
GS FINANCE CORP          40057TC44 06/20/23 09/19/24    100.000     0.000     5.9042     31.57   0.166399   0.171312                                     43.82          
GS FINANCE CORP          40057NAC1 09/29/22 10/01/25    100.000     0.000     5.5300     70.99   0.162273   0.166760   0.171371   0.176109               60.04    47.12 
GS FINANCE CORP          40057T2B9 06/30/23 04/01/27    100.000     0.000     5.4600     27.64   0.153760   0.157958   0.162270   0.166700  0.171251     56.88    60.02 
GS FINANCE CORP          40057NAR8 10/13/22 10/15/25    100.000     0.000     5.5500     68.98   0.162892   0.167412   0.172058   0.176832               60.15    49.72 
GS FINANCE CORP          40057TTE4 08/17/23 08/16/30    100.000     0.000     5.7167     21.28   0.158797   0.163311   0.167979   0.172780  0.177719     59.22    62.65 
GS FINANCE CORP          40057PGX4 02/01/23 02/01/28    100.000     0.000     4.8800     45.23   0.138863   0.142251   0.145722   0.149278  0.152920     51.63    54.18 
GS FINANCE CORP          40057TCD4 06/29/23 07/03/28    100.000     0.000     5.3600     27.11   0.148978   0.152970   0.157070   0.161279  0.165602     55.79    58.82 
GS FINANCE CORP          40057WLL9 11/03/23 11/04/27    100.000     0.000     6.3650     10.25   0.176806   0.182464   0.188271   0.194262  0.200445     65.32    69.55 
GS FINANCE CORP          40057P6V9 12/07/22 12/05/25    100.000     0.000     4.9979     54.11   0.145816   0.149460   0.153195   0.157023               53.34    51.86 
GS FINANCE CORP          40057PXY3 03/10/23 03/10/28    100.000     0.000     5.5300     45.17   0.157858   0.162223   0.166709   0.171318  0.176055     58.60    61.88 
GS FINANCE CORP          40057NAP2 09/28/22 09/28/27    100.000     0.000     5.6300     72.47   0.165318   0.169971   0.174756   0.179675  0.184733     61.23    64.73 
GS FINANCE CORP          40057NS32 11/01/22 10/27/25    100.000     0.000     5.7608     68.61   0.169268   0.174144   0.179160   0.184320               62.45    53.96 
GS FINANCE CORP          40057PXV9 03/20/23 03/20/25    100.000     0.000     5.5200     43.51   0.157565   0.161914   0.166383                          58.40    13.14 
GS FINANCE CORP          40057NRN9 10/31/22 10/31/24    100.000     0.000     5.7700     68.88   0.169659   0.174554                                     51.61          
GS FINANCE CORP          40057RN95 05/31/23 08/28/25    100.000     0.000     5.5408     32.73   0.155996   0.160317   0.164759   0.169323               58.01    39.87 
GS FINANCE CORP          40057PGR7 02/03/23 03/05/24    100.000     0.000     5.3438     49.36   0.153129                                                 9.80          
GS FINANCE CORP          40057PY55 04/05/23 05/03/24    100.000     0.000     5.4900     40.96   0.157355                                                19.20          
GS FINANCE CORP          40057PHA3 02/01/23 01/30/25    100.000     0.000     5.1050     47.34   0.145405   0.149116   0.152923                          54.15     4.43 
GS FINANCE CORP          40057WM61 10/18/23 10/18/28    100.000     0.000     6.1500     12.47   0.170833   0.176086   0.181501   0.187082  0.192835     63.22    67.17 
GS FINANCE CORP          40057MP94 08/08/22 08/08/24    100.000     0.000     2.8600     40.49   0.081733   0.082902                                     17.95          
GS FINANCE CORP          40057TCK8 06/29/23 07/31/24    100.000     0.000     5.8504     29.70   0.163330   0.168108                                     35.00          
GS FINANCE CORP          40057NAX5 09/28/22 09/30/27    100.000     0.000     5.6300     72.47   0.165369   0.170024   0.174811   0.179731  0.184791     61.23    64.73 
GS FINANCE CORP          40057WLS4 11/01/23 10/30/25    100.000     0.000     6.1629     10.27   0.171192   0.176438   0.181874   0.187479               63.22    55.39 
GS FINANCE CORP          40057NB97 09/27/22 09/27/27    100.000     0.000     5.5500     71.58   0.162842   0.167360   0.172005   0.176778  0.181683     60.30    63.69 
GS FINANCE CORP          40057RND6 05/17/23 05/16/30    100.000     0.000     5.1950     32.49   0.148033   0.151878   0.155823   0.159871  0.164023     54.33    57.19 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057NAW7 10/05/22 04/04/24    100.000     0.000     5.3558     67.77   0.156824                                                14.58          
GS FINANCE CORP          40057WM38 10/11/23 09/29/28    100.000     0.000     6.2838     13.96   0.174550   0.179669   0.185314   0.191136  0.197141     64.75    68.85 
GS FINANCE CORP          40057MP78 08/02/22 08/02/27    100.000     0.000     4.2800     61.74   0.124032   0.126686   0.129397   0.132166  0.134995     45.93    47.92 
GS FINANCE CORP          40057MP60 08/03/22 08/03/27    100.000     0.000     4.2300     60.88   0.122523   0.125114   0.127760   0.130462  0.133222     45.35    47.29 
GS FINANCE CORP          40057NAU1 10/19/22 10/21/25    100.000     0.000     5.8800     72.13   0.173135   0.178225   0.183465   0.188859               63.97    54.18 
GS FINANCE CORP          40057RNB0 05/17/23 08/17/26    100.000     0.000     5.0275     31.52   0.141408   0.144963   0.148607   0.152342  0.156172     52.51    55.18 
GS FINANCE CORP          40057NS81 11/01/22 10/31/24    100.000     0.000     5.7708     68.72   0.169658   0.174553                                     51.61          
GS FINANCE CORP          40057RNA2 05/01/23 10/31/24    100.000     0.000     5.1454     34.53   0.146584   0.150356                                     44.51          
GS FINANCE CORP          40057NRV1 11/09/22 11/02/26    100.000     0.000     5.9371     69.37   0.174660   0.179845   0.185184   0.190681  0.196342     64.43    68.31 
GS FINANCE CORP          40057T2C7 06/30/23 04/01/26    100.000     0.000     5.5375     28.04   0.155973   0.160291   0.164729   0.169290  0.173977     57.72    60.96 
GS FINANCE CORP          40057NRU3 11/02/22 10/31/25    100.000     0.000     5.8608     69.65   0.172427   0.177479   0.182680   0.188034               63.61    55.58 
GS FINANCE CORP          40057NSE8 11/23/22 11/24/28    100.000     0.000     5.5450     62.40   0.162711   0.167223   0.171859   0.176624  0.181520     59.73    63.08 
GS FINANCE CORP          40057MPB9 07/28/22 07/25/24    100.000     0.000     4.2300     61.49   0.122481   0.125071                                     25.45          
GS FINANCE CORP          40057NSD0 11/23/22 11/23/27    100.000     0.000     5.5000     61.89   0.161296   0.165732   0.170289   0.174972  0.179784     59.21    62.51 
GS FINANCE CORP          40057TCS1 06/29/23 08/12/24    100.000     0.000     5.8817     29.89   0.164528   0.169367                                     37.23          
GS FINANCE CORP          40057TD43 07/11/23 10/16/25    100.000     0.000     5.7562     27.36   0.162323   0.166995   0.171801   0.176746               59.99    49.85 
GS FINANCE CORP          40057NSC2 11/18/22 11/23/29    100.000     0.000     5.5900     63.74   0.164206   0.168796   0.173514   0.178364  0.183349     60.29    63.71 
GS FINANCE CORP          40057TCR3 06/29/23 07/24/24    100.000     0.000     5.9000     29.93   0.164560   0.169415                                     34.28          
GS FINANCE CORP          40057RNN4 06/02/23 06/04/26    100.000     0.000     5.3000     30.88   0.151168   0.155174   0.159286   0.163507  0.167840     55.36    58.33 
GS FINANCE CORP          40057T2Q6 07/05/23 04/06/26    100.000     0.000     5.5675     27.40   0.156829   0.161195   0.165682   0.170294  0.175035     58.00    61.27 
GS FINANCE CORP          40057T2P8 07/05/23 07/05/29    100.000     0.000     5.4650     26.72   0.151806   0.155954   0.160215   0.164593  0.169090     56.88    60.03 
GS FINANCE CORP          40057NBA4 09/30/22 10/06/25    100.000     0.000     5.5800     71.49   0.163922   0.168495   0.173196   0.178029               60.62    48.50 
GS FINANCE CORP          40057RNL8 06/05/23 03/05/25    100.000     0.000     5.4788     31.59   0.154273   0.158500   0.162842                          57.29    10.42 
GS FINANCE CORP          40057NSA6 11/18/22 11/23/29    100.000     0.000     5.5900     63.74   0.164206   0.168796   0.173514   0.178364  0.183349     60.29    63.71 
GS FINANCE CORP          40057PHD7 02/03/23 05/06/24    100.000     0.000     5.2913     48.90   0.152931                                                19.12          
GS FINANCE CORP          38150AQP3 12/07/22 12/07/27    100.000    VARIES     5.9300      5.06   0.012222   0.012611   0.013000   0.013333  0.013722      4.49     4.76 
GS FINANCE CORP          40057PHC9 02/03/23 05/06/24    100.000     0.000     5.2913     48.90   0.152931                                                19.12          
GS FINANCE CORP          40057TCM4 06/21/23 06/20/25    100.000     0.000     5.6592     29.92   0.161623   0.166197   0.170899                          59.11    28.88 
GS FINANCE CORP          40057WMG9 11/03/23 08/05/26    100.000     0.000     6.2787     10.12   0.174408   0.177207   0.182770   0.188508  0.194426     64.51    68.53 
GS FINANCE CORP          40057MPH6 07/27/22 07/29/25    100.000     0.000     4.1300     60.14   0.119537   0.122005   0.124524   0.127096               44.24    26.36 
GS FINANCE CORP          40057TTZ7 08/01/23 09/09/24    100.000     0.000     5.8200     24.36   0.162660   0.167393                                     41.19          
GS FINANCE CORP          40057TCW2 07/06/23 07/10/28    100.000     0.000     5.3800     26.17   0.149534   0.153556   0.157687   0.161929  0.166285     55.95    59.00 
GS FINANCE CORP          40057TD84 06/30/23 06/30/28    100.000     0.000     5.4100     27.20   0.154343   0.158518   0.162806   0.167210  0.171733     56.32    59.41 
GS FINANCE CORP          40057RNS3 06/05/23 06/08/26    100.000     0.000     5.2100     29.91   0.148557   0.152427   0.156397   0.160471  0.164652     54.36    57.23 
GS FINANCE CORP          40057MPD5 07/28/22 08/08/29    100.000     0.000     4.6700     68.06   0.136027   0.139203   0.142454   0.145780  0.149184     50.46    52.84 
GS FINANCE CORP          40057NBF3 09/28/22 09/28/27    100.000     0.000     5.6300     72.47   0.165318   0.169971   0.174756   0.179675  0.184733     61.23    64.73 
GS FINANCE CORP          40057RNR5 06/02/23 06/08/26    100.000     0.000     5.3000     30.89   0.151257   0.155265   0.159380   0.163604  0.167939     55.36    58.33 
GS FINANCE CORP          40057TTW4 08/29/23 08/29/28    100.000     0.000     5.7300     19.42   0.159167   0.163727   0.168418   0.173216  0.178206     59.25    62.69 
GS FINANCE CORP          40057TUG7 08/16/23 08/16/28    100.000     0.000     5.6100     21.04   0.155833   0.160204   0.164698   0.169318  0.174067     58.08    61.39 
GS FINANCE CORP          40057MPS2 08/03/22 08/02/29    100.000     0.000     4.3642     62.85   0.126561   0.129323   0.132145   0.135028  0.137975     46.89    48.96 
GS FINANCE CORP          40057T3C6 07/06/23 07/03/25    100.000     0.000     5.6767     27.60   0.157686   0.162087   0.166688   0.171419               59.16    31.19 
GS FINANCE CORP          40057T3B8 07/05/23 07/06/26    100.000     0.000     5.5200     26.99   0.153333   0.157589   0.161938   0.166408  0.171001     57.47    60.69 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057TUE2 08/18/23 08/18/28    100.000     0.000     5.6900     21.02   0.158056   0.162552   0.167177   0.171933  0.176825     58.92    62.32 
GS FINANCE CORP          40057MPQ6 08/03/22 08/05/25    100.000     0.000     3.9700     57.07   0.114725   0.117002   0.119324   0.121693               42.38    25.96 
GS FINANCE CORP          40057NSR9 11/07/22 11/05/27    100.000     0.000     5.9625     70.01   0.175591   0.180826   0.186217   0.191768  0.197485     64.75    68.67 
GS FINANCE CORP          40057WML8 10/23/23 10/22/26    100.000     0.000     6.3617     12.02   0.176714   0.182304   0.188102   0.194086  0.200259     65.41    69.63 
GS FINANCE CORP          40057NSS7 12/05/22 12/05/24    100.000     0.000     5.3000     57.74   0.155128   0.159239                                     52.55          
GS FINANCE CORP          40057PZ96 03/31/23 04/02/25    100.000     0.000     5.2950     40.22   0.151022   0.155020   0.159124                          55.81    14.48 
GS FINANCE CORP          40057NT31 11/03/22 11/05/24    100.000     0.000     5.9350     70.37   0.174848   0.180037                                     54.09          
GS FINANCE CORP          40057NSQ1 10/31/22 10/31/27    100.000    VARIES     6.4200     71.53   0.161278   0.162389   0.162667   0.163000  0.162611     58.36    58.64 
GS FINANCE CORP          40057MPL7 07/22/22 07/24/25    100.000     0.000     4.4400     65.39   0.128902   0.131764   0.134689   0.137679               47.83    27.88 
GS FINANCE CORP          36263Q603 07/06/22 07/03/25    100.000     0.000     4.1611     63.12   0.120405   0.122910   0.125467   0.128078               44.70    23.30 
GS FINANCE CORP          40057WN86 11/03/23 12/04/24    100.000     0.000     6.2038     10.02   0.173248   0.178622                                     58.66          
GS FINANCE CORP          40057T3M4 06/20/23 09/17/26    100.000     0.000     5.5067     29.43   0.155000   0.159267   0.163652   0.168158  0.172788     57.47    60.68 
GS FINANCE CORP          40057WN60 10/25/23 10/25/28    100.000     0.000     6.5200     11.95   0.181111   0.187015   0.193112   0.199407  0.205908     67.05    71.50 
GS FINANCE CORP          40057TUN2 08/23/23 08/23/27    100.000     0.000     5.7700     20.52   0.160278   0.164902   0.169659   0.174554  0.179590     59.73    63.23 
GS FINANCE CORP          40057TUL6 08/21/23 08/20/26    100.000     0.000     5.7496     20.76   0.159711   0.164277   0.169000   0.173858  0.178856     59.53    63.01 
GS FINANCE CORP          40057T3J1 07/06/23 07/07/26    100.000     0.000     5.4600     26.54   0.151667   0.155830   0.160084   0.164455  0.168944     56.81    59.96 
GS FINANCE CORP          40057MPX1 07/29/22 10/29/27    100.000     0.000     4.5500     66.21   0.133709   0.136751   0.139862   0.143044  0.146298     49.06    51.32 
GS FINANCE CORP          40057WN45 10/03/23 11/05/26    100.000     0.000     6.2900     15.43   0.175699   0.181225   0.186924   0.192803  0.198867     64.87    69.02 
GS FINANCE CORP          40057MPW3 07/29/22 07/31/25    100.000     0.000     4.2000     60.93   0.121632   0.124187   0.126795   0.129457               45.03    26.98 
GS FINANCE CORP          40057NSZ1 11/30/22 11/28/25    100.000     0.000     5.3146     58.68   0.155533   0.159666   0.163909   0.168264               57.01    54.38 
GS FINANCE CORP          40057MPV5 08/15/22 08/13/27    100.000     0.000     4.3504     61.14   0.126129   0.128873   0.131676   0.134540  0.137467     46.67    48.72 
GS FINANCE CORP          40057T3F9 07/05/23 07/02/26    100.000     0.000     5.5358     27.06   0.153772   0.157958   0.162330   0.166823  0.171440     57.64    60.88 
GS FINANCE CORP          40057WMQ7 11/03/23 11/05/26    100.000     0.000     6.2900     10.14   0.174783   0.180280   0.185950   0.191798  0.197830     64.54    68.66 
GS FINANCE CORP          40057NT98 12/02/22 06/03/25    100.000     0.000     5.3050     58.25   0.155305   0.159424   0.163653                          56.88    24.88 
GS FINANCE CORP          40057MPU7 08/03/22 08/03/27    100.000     0.000     4.2300     60.88   0.122523   0.125114   0.127760   0.130462  0.133222     45.35    47.29 
GS FINANCE CORP          40057MPT0 08/03/22 08/03/27    100.000     0.000     4.2300     60.88   0.122523   0.125114   0.127760   0.130462  0.133222     45.35    47.29 
GS FINANCE CORP          40057NSW8 11/28/22 11/30/27    100.000     0.000     5.4600     60.63   0.160109   0.164480   0.168971   0.173583  0.178322     58.70    61.95 
GS FINANCE CORP          40057WMP9 11/03/23 05/05/26    100.000     0.000     6.2675     10.10   0.174158   0.179616   0.185244   0.191049  0.197036     64.30    68.39 
GS FINANCE CORP          36264Q396 09/21/22 10/03/29    100.000     0.000     5.3200     69.51   0.156020   0.160170   0.164431   0.168805  0.173295     57.65    60.76 
GS FINANCE CORP          40057NTE7 12/05/22 12/08/25    100.000     0.000     5.1200     55.75   0.149661   0.153492   0.157422   0.161452               54.75    53.78 
GS FINANCE CORP          40057TUV4 08/23/23 08/23/30    100.000     0.000     5.8600     20.84   0.162778   0.167547   0.172456   0.177509  0.182710     60.70    64.31 
GS FINANCE CORP          38150AS30 05/05/23 05/06/24    100.000    VARIES     0.4800      5.44   0.020273   0.018065                                      2.59          
GS FINANCE CORP          40057T3N2 06/20/23 06/20/30    100.000     0.000     5.5000     29.23   0.156979   0.161296   0.165732   0.170289  0.174972     57.39    60.59 
GS FINANCE CORP          40057TVA9 08/23/23 08/23/30    100.000     0.000     5.8600     20.84   0.162778   0.167547   0.172456   0.177509  0.182710     60.70    64.31 
GS FINANCE CORP          40057PZR6 04/05/23 04/05/28    100.000     0.000     5.0500     37.62   0.143820   0.147451   0.151174   0.154992  0.158905     53.06    55.77 
GS FINANCE CORP          40057WNF0 11/01/23 10/30/25    100.000     0.000     6.1629     10.27   0.171192   0.176438   0.181874   0.187479               63.22    55.39 
GS FINANCE CORP          40057PZQ8 03/15/23 03/13/25    100.000     0.000     5.4146     43.45   0.154432   0.158613   0.162907                          57.26    11.73 
GS FINANCE CORP          40057NTK3 12/05/22 12/04/25    100.000     0.000     5.1350     55.91   0.150037   0.153889   0.157840   0.161892               54.92    53.29 
GS FINANCE CORP          40057T3X0 06/01/23 06/12/24    100.000     0.000     5.7700     33.80   0.165193                                                26.60          
GS FINANCE CORP          40057PZP0 03/13/23 06/13/24    100.000     0.000     5.7617     46.63   0.167030                                                27.06          
GS FINANCE CORP          40057RP69 06/05/23 09/05/24    100.000     0.000     5.5862     32.22   0.157339   0.161734                                     39.18          
GS FINANCE CORP          40057RP51 06/05/23 12/04/24    100.000     0.000     5.5504     31.88   0.158433   0.162830                                     53.55          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057NCH8 09/30/22 09/30/27    100.000     0.000     5.7100     73.18   0.167797   0.172588   0.177515   0.182583  0.187796     62.15    65.75 
GS FINANCE CORP          40057PZN5 03/15/23 03/13/25    100.000     0.000     5.4146     43.45   0.154432   0.158613   0.162907                          57.26    11.73 
GS FINANCE CORP          40057TE83 07/06/23 01/06/25    100.000     0.000     5.7600     28.00   0.160000   0.164608   0.169349                          60.07     0.85 
GS FINANCE CORP          40057TE91 07/03/23 07/03/25    100.000     0.000     5.7100     28.23   0.158611   0.163139   0.167797   0.172588               59.55    31.40 
GS FINANCE CORP          40057T4F8 06/30/23 04/01/26    100.000     0.000     5.5375     28.04   0.155973   0.160291   0.164729   0.169290  0.173977     57.72    60.96 
GS FINANCE CORP          40057NCV7 10/05/22 04/02/26    100.000     0.000     5.5946     70.86   0.164147   0.168739   0.173459   0.178311  0.183299     60.75    64.19 
GS FINANCE CORP          40057XA39 11/22/23 11/22/30    100.000     0.000     5.9200      6.41   0.164444   0.169312   0.174324   0.179484  0.184796     60.46    64.09 
GS FINANCE CORP          40057YD75 02/27/24 02/25/27    100.000     0.000     5.1317                        0.142547   0.146164   0.149914  0.153761     43.79    54.25 
GS FINANCE CORP          40057T4E1 06/30/23 06/28/30    100.000     0.000     5.4292     27.31   0.154860   0.159063   0.163381   0.167816  0.172372     56.53    59.64 
GS FINANCE CORP          40057TVH4 08/23/23 08/23/28    100.000     0.000     5.7800     20.55   0.160556   0.165196   0.169970   0.174882  0.179936     59.84    63.35 
GS FINANCE CORP          40057T4D3 06/30/23 07/02/26    100.000     0.000     5.4900     27.61   0.152547   0.156734   0.161036   0.165457  0.169998     57.19    60.37 
GS FINANCE CORP          40057TVG6 08/31/23 12/05/25    100.000     0.000     5.8625     19.77   0.165367   0.170214   0.175203   0.180339               60.66    59.44 
GS FINANCE CORP          40057NTV9 11/28/22 05/28/25    100.000     0.000     5.3600     59.50   0.156976   0.161183   0.165503                          57.55    24.33 
GS FINANCE CORP          40057T4C5 06/30/23 06/28/30    100.000     0.000     5.4292     27.31   0.154860   0.159063   0.163381   0.167816  0.172372     56.53    59.64 
GS FINANCE CORP          40057NCS4 10/05/22 10/07/27    100.000     0.000     5.8400     74.04   0.171890   0.176909   0.182075   0.187392  0.192863     63.64    67.41 
GS FINANCE CORP          40057NTT4 12/05/22 12/03/27    100.000     0.000     5.3692     58.51   0.157214   0.161435   0.165769   0.170219  0.174788     57.60    60.73 
GS FINANCE CORP          40057PZY1 03/28/23 09/06/24    100.000     0.000     5.2000     39.81   0.147741   0.151582                                     36.89          
GS FINANCE CORP          40057TEB6 07/19/23 10/19/26    100.000     0.000     5.4000     24.45   0.152025   0.156130   0.160345   0.164674  0.169121     56.07    59.14 
GS FINANCE CORP          40057PZX3 03/28/23 03/27/25    100.000     0.000     5.0800     38.86   0.144675   0.148350   0.152118                          53.44    13.08 
GS FINANCE CORP          40057PZV7 03/20/23 03/20/25    100.000     0.000     5.5200     43.51   0.157565   0.161914   0.166383                          58.40    13.14 
GS FINANCE CORP          40057TEA8 07/19/23 07/19/30    100.000     0.000     5.4600     24.57   0.151667   0.155807   0.160061   0.164430  0.168919     56.71    59.84 
GS FINANCE CORP          40057TEP5 07/31/23 04/30/26    100.000     0.000     5.5033     23.21   0.154973   0.159237   0.163619   0.168121  0.172747     57.09    60.27 
GS FINANCE CORP          40057RPK8 05/31/23 05/30/25    100.000     0.000     5.5771     32.82   0.159239   0.163680   0.168244                          58.40    25.07 
GS FINANCE CORP          40057PJF0 03/02/23 03/06/26    100.000     0.000     5.3500     44.92   0.152677   0.156761   0.160955   0.165260  0.169681     56.65    59.72 
GS FINANCE CORP          40057T4N1 06/05/23 06/05/30    100.000     0.000     5.2228     29.98   0.148866   0.152754   0.156743   0.160836  0.165036     54.50    57.38 
GS FINANCE CORP          40057TEN0 07/31/23 07/31/30    100.000     0.000     5.4100     22.69   0.150278   0.154343   0.158518   0.162806  0.167210     56.08    59.15 
GS FINANCE CORP          40057WNW3 10/16/23 10/15/26    100.000     0.000     6.0121     12.53   0.167003   0.171995   0.177165   0.182491  0.187977     61.79    65.56 
GS FINANCE CORP          40057PJC7 02/28/23 02/26/27    100.000     0.000     5.2742     44.87   0.150326   0.154290   0.158359   0.162535  0.166821     55.84    58.82 
GS FINANCE CORP          40057RPJ1 05/24/23 11/24/27    100.000     0.000     5.2950     32.06   0.150977   0.154974   0.159077   0.163289  0.167612     55.37    58.34 
GS FINANCE CORP          40057TEM2 07/31/23 07/30/26    100.000     0.000     5.4558     22.88   0.151550   0.155684   0.159931   0.164294  0.168776     56.57    59.70 
GS FINANCE CORP          40057WNV5 10/25/23 10/23/25    100.000     0.000     6.2325     11.43   0.173125   0.178460   0.184021   0.189756               64.03    54.77 
GS FINANCE CORP          40057RPH5 05/24/23 11/24/28    100.000     0.000     5.3300     32.27   0.152001   0.156052   0.160211   0.164480  0.168864     55.75    58.76 
GS FINANCE CORP          38150ASL0 05/30/23 07/01/24    100.000    VARIES     0.5000      3.48   0.017611   0.009667                                      2.88          
GS FINANCE CORP          40057MQX0 08/03/22 08/03/26    100.000     0.000     4.1000     58.97   0.118606   0.121038   0.123519   0.126051  0.128635     43.86    45.68 
GS FINANCE CORP          40057ND95 09/28/22 03/27/25    100.000     0.000     5.2588     67.59   0.153839   0.157884   0.162035                          56.88    13.94 
GS FINANCE CORP          40057T4G6 06/30/23 07/12/28    100.000     0.000     5.4100     27.25   0.150549   0.154621   0.158804   0.163099  0.167511     56.33    59.41 
GS FINANCE CORP          40057NCW5 10/05/22 04/02/27    100.000     0.000     5.7496     72.87   0.168947   0.173804   0.178801   0.183941  0.189229     62.57    66.22 
GS FINANCE CORP          40057N2V8 10/05/22 04/03/25    100.000     0.000     5.4658     69.19   0.160192   0.164570   0.169068                          59.24    15.55 
GS FINANCE CORP          40057TEX8 08/03/23 08/05/25    100.000     0.000     5.6150     23.09   0.156021   0.160401   0.164904   0.169534               58.25    36.12 
GS FINANCE CORP          40057PJM5 03/03/23 03/09/26    100.000     0.000     5.3800     45.02   0.153602   0.157734   0.161977   0.166334  0.170809     56.98    60.09 
GS FINANCE CORP          40057MRD3 08/03/22 02/03/25    100.000     0.000     3.3083     47.41   0.094963   0.096533   0.098130                          34.94     3.14 
GS FINANCE CORP          40057TEV6 08/02/23 08/04/26    100.000     0.000     5.4800     22.69   0.152269   0.156441   0.160727   0.165131  0.169656     56.81    59.97 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057MAC3 07/06/22 07/08/25    100.000     0.000     4.2800     64.97   0.124061   0.126716   0.129428   0.132198               46.07    24.70 
GS FINANCE CORP          40057NUF2 11/18/22 11/20/25    100.000     0.000     5.2400     59.68   0.153327   0.157344   0.161467   0.165697               56.25    52.27 
GS FINANCE CORP          40057T4T8 06/28/23 07/03/24    100.000     0.000     5.8700     29.86   0.163188   0.167978                                     30.56          
GS FINANCE CORP          40057RQ27 05/31/23 03/02/27    100.000     0.000     5.4238     32.04   0.152749   0.156892   0.161147   0.165517  0.170005     56.73    59.85 
GS FINANCE CORP          40057TET7 08/03/23 08/05/26    100.000     0.000     5.4200     22.29   0.150601   0.154682   0.158874   0.163180  0.167602     56.16    59.24 
GS FINANCE CORP          40057MRB7 08/03/22 02/03/25    100.000     0.000     3.3083     47.41   0.094963   0.096533   0.098130                          34.94     3.14 
GS FINANCE CORP          40057T4S0 07/06/23 07/03/26    100.000     0.000     5.4767     26.62   0.152131   0.156227   0.160505   0.164900  0.169416     57.00    60.16 
GS FINANCE CORP          40057TVV3 09/01/23 08/30/30    100.000     0.000     5.6675     18.89   0.157431   0.161842   0.166454   0.171118  0.176021     58.57    61.93 
GS FINANCE CORP          40057TF41 08/03/23 08/07/26    100.000     0.000     5.4200     22.30   0.150646   0.154729   0.158922   0.163229  0.167652     56.16    59.24 
GS FINANCE CORP          40057PJG8 03/02/23 03/04/26    100.000     0.000     5.3500     44.91   0.152632   0.156715   0.160907   0.165211  0.169630     56.65    59.72 
GS FINANCE CORP          40057TER1 07/31/23 07/31/30    100.000     0.000     5.4100     22.69   0.150278   0.154343   0.158518   0.162806  0.167210     56.08    59.15 
GS FINANCE CORP          40057T4Q4 07/06/23 07/14/28    100.000     0.000     5.4600     26.57   0.151851   0.155996   0.160255   0.164630  0.169124     56.82    59.96 
GS FINANCE CORP          40057NUC9 11/28/22 11/27/26    100.000     0.000     5.3517     59.41   0.156698   0.160891   0.165196   0.169616  0.174155     57.45    60.57 
GS FINANCE CORP          40057NDB0 10/04/22 10/03/24    100.000     0.000     5.3729     68.14   0.157351   0.161578                                     43.56          
GS FINANCE CORP          40057TEQ3 07/31/23 08/09/28    100.000     0.000     5.3700     22.55   0.149367   0.153377   0.157496   0.161724  0.166067     55.65    58.68 
GS FINANCE CORP          362273BZ6 09/27/23 09/28/26    110.980     4.000     5.8800     16.86   0.182278   0.183333   0.185444   0.187667  0.189889     66.02    67.57 
GS FINANCE CORP          40057TFB5 08/03/23 02/05/25    100.000     0.000     5.7125     23.49   0.158731   0.163265   0.167928                          59.30     5.71 
GS FINANCE CORP          40057PK68 02/28/23 08/27/26    100.000     0.000     5.2392     44.57   0.149325   0.153236   0.157250   0.161370  0.165597     55.44    58.39 
GS FINANCE CORP          40057PJU7 02/28/23 02/28/28    100.000     0.000     5.3500     45.52   0.152586   0.156668   0.160859   0.165162  0.169580     56.68    59.76 
GS FINANCE CORP          38150ASX4 06/27/23 07/29/24    100.000    VARIES     0.5300      3.35   0.018222   0.010667                                      3.53          
GS FINANCE CORP          40057PJT0 02/28/23 02/28/30    100.000     0.000     5.4400     46.29   0.155221   0.159443   0.163780   0.168235  0.172811     57.69    60.87 
GS FINANCE CORP          40057PK50 02/28/23 08/28/25    100.000     0.000     5.3225     45.28   0.151782   0.155821   0.159968   0.164225               56.38    38.68 
GS FINANCE CORP          40057PJS2 02/28/23 02/26/26    100.000     0.000     5.2288     44.48   0.149000   0.152895   0.156892   0.160994  0.165203     55.33    58.26 
GS FINANCE CORP          40057RPY8 05/31/23 03/02/26    100.000     0.000     5.4562     32.23   0.153674   0.157867   0.162174   0.166598  0.171143     57.09    60.25 
GS FINANCE CORP          40057NUM7 11/18/22 11/18/27    100.000     0.000     5.4500     62.11   0.159752   0.164105   0.168577   0.173171  0.177890     58.67    61.92 
GS FINANCE CORP          40057TEZ3 08/02/23 07/31/26    100.000     0.000     5.4954     22.74   0.152650   0.156798   0.161106   0.165533  0.170081     56.98    60.15 
GS FINANCE CORP          40057NDJ3 09/30/22 10/12/27    100.000     0.000     5.9500     76.36   0.175606   0.180830   0.186210   0.191749  0.197454     65.00    68.92 
GS FINANCE CORP          40057PJP8 03/03/23 03/09/26    100.000     0.000     5.3800     45.02   0.153602   0.157734   0.161977   0.166334  0.170809     56.98    60.09 
GS FINANCE CORP          40057MS83 08/03/22 08/01/24    100.000     0.000     2.8600     40.90   0.081720   0.082889                                     17.37          
GS FINANCE CORP          40057MRW1 08/31/22 09/11/29    100.000     0.000     4.7600     64.96   0.138792   0.142096   0.145478   0.148940  0.152485     51.30    53.77 
GS FINANCE CORP          40057TFJ8 07/31/23 04/30/26    100.000     0.000     5.5033     23.21   0.154973   0.159237   0.163619   0.168121  0.172747     57.09    60.27 
GS FINANCE CORP          40057TWJ9 08/30/23 03/02/26    100.000     0.000     5.8575     19.69   0.162761   0.167528   0.172435   0.177485  0.182683     60.60    64.21 
GS FINANCE CORP          40057XB46 12/01/23 12/12/31    100.000     0.000     5.8067      4.84   0.161583   0.166275   0.171102   0.176070  0.181182     59.20    62.68 
GS FINANCE CORP          40057NDW4 10/13/22 10/23/29    100.000     0.000     5.9600     74.20   0.175860   0.181101   0.186498   0.192055  0.197779     64.98    68.91 
GS FINANCE CORP          40057N3V7 10/05/22 10/03/25    100.000     0.000     5.5208     69.90   0.161891   0.166359   0.170952   0.175670               59.88    47.35 
GS FINANCE CORP          40057MRV3 08/31/22 08/29/25    100.000     0.000     4.2583     57.97   0.123362   0.125989   0.128671   0.131396               45.53    31.12 
GS FINANCE CORP          40057T5F7 07/06/23 07/03/26    100.000     0.000     5.4767     26.62   0.152131   0.156227   0.160505   0.164900  0.169416     57.00    60.16 
GS FINANCE CORP          40057XRT4 01/29/24 01/28/27    100.000     0.000     5.1312                        0.142533   0.146170   0.149920  0.153766     47.88    54.46 
GS FINANCE CORP          40057MRU5 08/31/22 03/03/27    100.000     0.000     4.5750     62.37   0.133015   0.136057   0.139170   0.142353  0.145609     49.16    51.43 
GS FINANCE CORP          40057NUX3 12/05/22 12/04/25    100.000     0.000     5.1350     55.91   0.150037   0.153889   0.157840   0.161892               54.92    53.29 
GS FINANCE CORP          40057NV79 11/28/22 11/28/25    100.000     0.000     5.2600     58.37   0.153898   0.157945   0.162099   0.166362               56.40    53.77 
GS FINANCE CORP          40057MRT8 08/31/22 09/11/29    100.000     0.000     7.0000     96.48   0.208739   0.216045   0.223607   0.231433  0.239533     78.10    83.66 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057NV87 11/28/22 12/07/29    100.000     0.000     5.5300     61.42   0.162448   0.166939   0.171555   0.176299  0.181173     59.51    62.84 
GS FINANCE CORP          40057XRR8 01/26/24 01/26/29    100.000     0.000     5.2200                        0.145000   0.148784   0.152668  0.156652     49.16    55.48 
GS FINANCE CORP          40057MRS0 08/31/22 08/29/25    100.000     0.000     4.2583     57.97   0.123362   0.125989   0.128671   0.131396               45.53    31.12 
GS FINANCE CORP          40057MRR2 08/31/22 08/31/27    100.000     0.000     4.6400     63.27   0.134939   0.138052   0.141272   0.144514  0.147904     49.91    52.25 
GS FINANCE CORP          40057NV61 11/28/22 11/26/27    100.000     0.000     5.4517     60.54   0.159757   0.164112   0.168586   0.173181  0.177902     58.61    61.84 
GS FINANCE CORP          40057NV46 12/05/22 12/04/25    100.000     0.000     5.1350     55.91   0.150037   0.153889   0.157840   0.161892               54.92    53.29 
GS FINANCE CORP          40057NDR5 10/12/22 10/10/24    100.000     0.000     5.3850     67.04   0.157701   0.161947                                     44.76          
GS FINANCE CORP          40057NUT2 11/28/22 12/10/29    100.000     0.000     5.5300     61.42   0.162522   0.167016   0.171634   0.176380  0.181257     59.51    62.84 
GS FINANCE CORP          40057XAM7 11/27/23 05/27/25    100.000     0.000     5.8190      5.50   0.161639   0.166342   0.171181                          59.36    24.99 
GS FINANCE CORP          40057NUR6 11/28/22 12/01/25    100.000     0.000     5.2600     58.37   0.153965   0.158014   0.162170   0.166435               56.40    54.28 
GS FINANCE CORP          40057PJW3 03/02/23 09/05/28    100.000     0.000     5.4625     45.87   0.155951   0.160211   0.164587   0.169082  0.173700     57.91    61.12 
GS FINANCE CORP          40057NDQ7 09/29/22 01/04/24    100.000     0.000     5.2413     67.21   0.151474                                                 0.45          
GS FINANCE CORP          40057NUS4 11/28/22 11/28/28    100.000     0.000     5.4950     61.02   0.161142   0.165569   0.170118   0.174792  0.179594     59.10    62.40 
GS FINANCE CORP          40057PKF8 03/03/23 09/03/25    100.000     0.000     5.4275     45.41   0.154855   0.159058   0.163374   0.167808               57.51    40.33 
GS FINANCE CORP          40057RQM3 06/05/23 03/05/26    100.000     0.000     5.2637     30.34   0.148138   0.152037   0.156038   0.160145  0.164360     54.95    57.88 
GS FINANCE CORP          40057WP92 10/23/23 10/23/25    100.000     0.000     6.2700     11.84   0.174167   0.179627   0.185258   0.191066               64.44    55.14 
GS FINANCE CORP          40057T5N0 06/14/23 06/17/30    100.000     0.000     5.3891     29.56   0.153800   0.157944   0.162200   0.166571  0.171059     56.23    59.30 
GS FINANCE CORP          40057TX25 08/29/23 09/02/31    100.000     0.000     5.8333     19.78   0.162115   0.166843   0.171709   0.176718  0.181872     60.35    63.93 
GS FINANCE CORP          40057WP76 10/25/23 10/25/28    100.000     0.000     6.5200     11.95   0.181111   0.187015   0.193112   0.199407  0.205908     67.05    71.50 
GS FINANCE CORP          40057MB99 06/30/22 06/30/28    100.000     0.000     4.9300     75.94   0.147323   0.150955   0.154676   0.158488  0.162395     53.70    56.38 
GS FINANCE CORP          40057N3Z8 10/05/22 10/05/27    100.000     0.000     5.8400     74.03   0.171834   0.176852   0.182016   0.187331  0.192801     63.64    67.41 
GS FINANCE CORP          40057T5J9 06/07/23 06/07/28    100.000     0.000     5.2500     29.84   0.149661   0.153590   0.157622   0.161759  0.166006     54.78    57.69 
GS FINANCE CORP          40057N3X3 10/05/22 10/05/27    100.000     0.000     5.8400     74.03   0.171834   0.176852   0.182016   0.187331  0.192801     63.64    67.41 
GS FINANCE CORP          40057TFK5 07/31/23 04/29/27    100.000     0.000     5.4167     22.84   0.152479   0.156608   0.160850   0.165206  0.169681     56.15    59.24 
GS FINANCE CORP          40057MSH3 09/06/22 09/09/25    100.000     0.000     4.5300     60.95   0.131648   0.134630   0.137679   0.140797               48.61    34.71 
GS FINANCE CORP          40057NVK0 12/05/22 06/04/25    100.000     0.000     5.2250     56.91   0.152800   0.156792   0.160888                          55.94    24.62 
GS FINANCE CORP          40057WPE1 11/15/23 05/15/25    100.000     0.000     6.1125      7.81   0.169792   0.174981   0.180329                          62.54    24.16 
GS FINANCE CORP          40057T5Y6 06/30/23 06/30/28    100.000     0.000     5.4100     27.20   0.154343   0.158518   0.162806   0.167210  0.171733     56.32    59.41 
GS FINANCE CORP          40057MSG5 09/02/22 09/05/25    100.000     0.000     4.5100     61.20   0.131041   0.133996   0.137017   0.140107               48.40    33.99 
GS FINANCE CORP          40057RQU5 06/05/23 06/15/26    100.000     0.000     5.2100     29.91   0.148707   0.152581   0.156556   0.160634  0.164818     54.36    57.23 
GS FINANCE CORP          40057RQT8 05/31/23 06/09/28    100.000     0.000     5.4300     31.96   0.155139   0.159351   0.163677   0.168121  0.172685     56.80    59.92 
GS FINANCE CORP          40057RR59 05/15/23 06/13/24    100.000     0.000     5.3200     33.59   0.152336                                                24.68          
GS FINANCE CORP          40057WPA9 10/23/23 11/21/24    100.000     0.000     6.1700     11.69   0.172211   0.177524                                     56.06          
GS FINANCE CORP          40057RQS0 05/31/23 05/31/30    100.000     0.000     5.4800     32.25   0.156393   0.160678   0.165081   0.169604  0.174251     57.34    60.53 
GS FINANCE CORP          40057RR42 05/18/23 05/20/26    100.000     0.000     5.0100     31.19   0.142692   0.146267   0.149931   0.153687  0.157537     52.31    54.96 
GS FINANCE CORP          40057NEF0 10/31/22 05/01/25    100.000     0.000     5.7950     69.18   0.170462   0.175402   0.180484                          62.86    21.66 
GS FINANCE CORP          40057RQR2 05/31/23 03/02/26    100.000     0.000     5.4562     32.23   0.153674   0.157867   0.162174   0.166598  0.171143     57.09    60.25 
GS FINANCE CORP          40057RR34 06/05/23 06/04/26    100.000     0.000     5.2279     30.02   0.148994   0.152889   0.156885   0.160986  0.165194     54.55    57.44 
GS FINANCE CORP          40057NVF1 11/28/22 12/10/29    100.000     0.000     5.5300     61.42   0.162522   0.167016   0.171634   0.176380  0.181257     59.51    62.84 
GS FINANCE CORP          40057T5T7 06/30/23 06/30/25    100.000     0.000     5.6800     28.56   0.162259   0.166867   0.171606                          59.25    30.72 
GS FINANCE CORP          40057TX82 08/31/23 08/30/30    100.000     0.000     5.7675     19.39   0.160208   0.164803   0.169582   0.174418  0.179503     59.64    63.13 
GS FINANCE CORP          40057NVE4 11/28/22 08/27/25    100.000     0.000     5.3267     59.24   0.153905   0.158004   0.162212   0.166533               57.17    39.06 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057RQP6 05/31/23 05/31/30    100.000     0.000     5.4800     32.25   0.156393   0.160678   0.165081   0.169604  0.174251     57.34    60.53 
GS FINANCE CORP          40057T6B5 06/30/23 07/02/26    100.000     0.000     5.4900     27.61   0.152547   0.156734   0.161036   0.165457  0.169998     57.19    60.37 
GS FINANCE CORP          40057MSP5 09/06/22 09/03/27    100.000     0.000     4.8079     64.77   0.139996   0.143362   0.146808   0.150337  0.153951     51.81    54.33 
GS FINANCE CORP          40057XBN4 11/29/23 11/28/25    100.000     0.000     5.8392      5.19   0.162200   0.166909   0.171782   0.176798               59.56    57.08 
GS FINANCE CORP          40057MSQ3 09/06/22 09/05/25    100.000     0.000     4.4042     59.22   0.127771   0.130585   0.133460   0.136399               47.16    33.09 
GS FINANCE CORP          40057NW52 11/16/22 05/15/24    100.000     0.000     5.5258     63.32   0.162069                                                21.72          
GS FINANCE CORP          40057TGD0 08/03/23 08/14/26    100.000     0.000     5.4200     22.32   0.150805   0.154892   0.159089   0.163401  0.167829     56.16    59.25 
GS FINANCE CORP          40057NVT1 11/28/22 11/28/25    100.000     0.000     5.2600     58.37   0.153898   0.157945   0.162099   0.166362               56.40    53.77 
GS FINANCE CORP          40057PL83 02/28/23 02/27/26    100.000     0.000     5.2288     44.48   0.149021   0.152917   0.156914   0.161017  0.165226     55.33    58.26 
GS FINANCE CORP          40057TXD1 08/30/23 08/30/28    100.000     0.000     5.7500     19.33   0.159722   0.164289   0.169038   0.173844  0.178898     59.45    62.92 
GS FINANCE CORP          40057NF28 11/03/22 11/04/27    100.000     0.000     6.1100     72.48   0.180280   0.185788   0.191464   0.197313  0.203341     66.53    70.66 
GS FINANCE CORP          40057NVS3 12/05/22 06/04/25    100.000     0.000     5.2250     56.91   0.152800   0.156792   0.160888                          55.94    24.62 
GS FINANCE CORP          40057TXB5 08/31/23 08/30/30    100.000     0.000     5.7675     19.39   0.160208   0.164803   0.169582   0.174418  0.179503     59.64    63.13 
GS FINANCE CORP          40057PL59 03/03/23 09/03/25    100.000     0.000     5.4275     45.41   0.154855   0.159058   0.163374   0.167808               57.51    40.33 
GS FINANCE CORP          40057RQW1 06/05/23 06/04/26    100.000     0.000     5.2279     30.02   0.148994   0.152889   0.156885   0.160986  0.165194     54.55    57.44 
GS FINANCE CORP          40057MBW8 06/03/22 06/05/24    100.000     0.000     2.4000     38.37   0.069105                                                10.64          
GS FINANCE CORP          40057RRG5 05/10/23 05/10/28    100.000     0.000     5.0600     32.65   0.144112   0.147758   0.151496   0.155329  0.159259     52.91    55.62 
GS FINANCE CORP          40057PLA8 02/28/23 03/11/30    100.000     0.000     5.4400     46.33   0.155526   0.159757   0.164102   0.168566  0.173151     57.69    60.88 
GS FINANCE CORP          40057NEY9 10/31/22 10/30/25    100.000     0.000     5.8158     69.44   0.171082   0.176057   0.181176   0.186445               63.10    55.12 
GS FINANCE CORP          40057NEX1 10/31/22 11/09/29    100.000     0.000     6.2300     74.51   0.184291   0.190032   0.195952   0.202055  0.208350     67.98    72.29 
GS FINANCE CORP          40057NEW3 10/31/22 11/09/29    100.000     0.000     6.2300     74.51   0.184291   0.190032   0.195952   0.202055  0.208350     67.98    72.29 
GS FINANCE CORP          40057NF77 11/03/22 11/04/27    100.000     0.000     6.1100     72.48   0.180280   0.185788   0.191464   0.197313  0.203341     66.53    70.66 
GS FINANCE CORP          40057NEV5 10/31/22 10/29/27    100.000     0.000     6.0883     72.77   0.179543   0.185009   0.190641   0.196444  0.202424     66.31    70.41 
GS FINANCE CORP          40057RRC4 05/31/23 05/31/28    100.000     0.000     5.4300     31.95   0.154928   0.159135   0.163455   0.167893  0.172451     56.80    59.92 
GS FINANCE CORP          40057TGH1 07/12/23 01/12/27    100.000     0.000     5.6275     26.42   0.156319   0.160718   0.165240   0.169890  0.174670     58.57    61.92 
GS FINANCE CORP          40057MT66 08/31/22 08/29/25    100.000     0.000     4.2583     57.97   0.123362   0.125989   0.128671   0.131396               45.53    31.12 
GS FINANCE CORP          40057NEU7 10/31/22 04/30/26    100.000     0.000     5.8783     70.20   0.173026   0.178111   0.183346   0.188735  0.194282     63.83    67.64 
GS FINANCE CORP          40057TXH2 09/01/23 09/01/28    100.000     0.000     5.6100     18.70   0.155833   0.160204   0.164698   0.169318  0.174067     57.95    61.25 
GS FINANCE CORP          40057NF69 11/03/22 05/05/25    100.000     0.000     5.9125     70.10   0.174147   0.179296   0.184596                          64.20    22.89 
GS FINANCE CORP          40057NVW4 11/15/22 11/14/24    100.000     0.000     5.7987     66.68   0.170524   0.175468                                     54.26          
GS FINANCE CORP          40057TXF6 09/01/23 09/01/28    100.000     0.000     5.6100     18.70   0.155833   0.160204   0.164698   0.169318  0.174067     57.95    61.25 
GS FINANCE CORP          40057N4R5 10/05/22 10/03/25    100.000     0.000     5.5208     69.90   0.161891   0.166359   0.170952   0.175670               59.88    47.35 
GS FINANCE CORP          40057T6S8 06/30/23 07/02/29    100.000     0.000     5.3598     26.96   0.148928   0.152919   0.157017   0.161225  0.165545     55.78    58.81 
GS FINANCE CORP          40057MTB5 08/31/22 08/31/26    100.000     0.000     4.5100     61.46   0.130992   0.133929   0.136966   0.140020  0.143213     48.41    50.62 
GS FINANCE CORP          40057TXV1 08/30/23 03/01/29    100.000     0.000     5.7650     19.38   0.160139   0.164781   0.169530   0.174417  0.179445     59.61    63.10 
GS FINANCE CORP          40057TY73 08/30/23 06/28/25    100.000     0.000     5.9363     19.96   0.168106   0.173095   0.178233                          61.45    31.55 
GS FINANCE CORP          40057NFB8 10/13/22 10/10/24    100.000     0.000     5.4633     67.88   0.160092   0.164465                                     45.45          
GS FINANCE CORP          40057TY57 08/31/23 09/03/25    100.000     0.000     5.9000     19.84   0.163969   0.168807   0.173786   0.178913               61.06    42.98 
GS FINANCE CORP          40057PLH3 03/03/23 03/05/26    100.000     0.000     5.3800     45.01   0.153510   0.157640   0.161880   0.166235  0.170707     56.98    60.08 
GS FINANCE CORP          40057RRK6 09/15/23 09/17/25    100.000     0.000     5.9300     17.47   0.164776   0.169662   0.174693   0.179872               61.23    45.65 
GS FINANCE CORP          40057RRL4 11/09/23 11/12/25    100.000     0.000     6.0450      8.74   0.168001   0.173079   0.178310   0.183700               61.90    56.42 
GS FINANCE CORP          40057PLD2 02/28/23 02/28/30    100.000     0.000     5.4400     46.29   0.155221   0.159443   0.163780   0.168235  0.172811     57.69    60.87 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057TXQ2 08/28/23 02/28/29    100.000     0.000     5.7325     19.59   0.159236   0.163800   0.168495   0.173325  0.178293     59.29    62.73 
GS FINANCE CORP          40057TY24 09/13/23 09/13/30    100.000     0.000     5.8200     17.46   0.161667   0.166371   0.171213   0.176195  0.181322     60.08    63.63 
GS FINANCE CORP          40057PLE0 02/28/23 03/09/28    100.000     0.000     5.3500     45.55   0.152836   0.156924   0.161122   0.165432  0.169857     56.68    59.76 
GS FINANCE CORP          40057PLC4 03/03/23 03/16/26    100.000     0.000     5.3800     45.04   0.153763   0.157899   0.162146   0.166508  0.170987     56.98    60.09 
GS FINANCE CORP          40057TGN8 08/03/23 08/05/26    100.000     0.000     5.4200     22.29   0.150601   0.154682   0.158874   0.163180  0.167602     56.16    59.24 
GS FINANCE CORP          40057PLB6 02/28/23 12/01/25    100.000     0.000     5.2663     44.86   0.152181   0.156188   0.160300   0.164521               55.75    53.66 
GS FINANCE CORP          40057RRH3 05/17/23 05/17/28    100.000     0.000     5.0000     31.26   0.142361   0.145920   0.149568   0.153307  0.157140     52.21    54.85 
GS FINANCE CORP          40057MBX6 06/03/22 06/04/27    100.000     0.000     4.0700     65.66   0.120112   0.122557   0.125051   0.127595  0.130192     43.81    45.62 
GS FINANCE CORP          40057RB72 05/02/23 05/02/28    100.000     0.000     5.0900     34.00   0.144987   0.148677   0.152461   0.156341  0.160320     53.30    56.05 
GS FINANCE CORP          40057RRW0 05/25/23 05/25/28    100.000     0.000     5.3000     31.94   0.151124   0.155128   0.159239   0.163459  0.167791     55.42    58.39 
GS FINANCE CORP          40057PLQ3 03/03/23 03/05/26    100.000     0.000     5.3800     45.01   0.153510   0.157640   0.161880   0.166235  0.170707     56.98    60.08 
GS FINANCE CORP          40057T6Z2 07/06/23 07/08/24    100.000     0.000     5.8600     28.50   0.162831   0.167602                                     31.31          
GS FINANCE CORP          40057PLP5 02/28/23 02/28/28    100.000     0.000     5.3500     45.52   0.152586   0.156668   0.160859   0.165162  0.169580     56.68    59.76 
GS FINANCE CORP          40057WQE0 10/25/23 10/25/28    100.000     0.000     6.5200     11.95   0.181111   0.187015   0.193112   0.199407  0.205908     67.05    71.50 
GS FINANCE CORP          40057NFJ1 11/03/22 11/05/25    100.000     0.000     5.8900     69.83   0.173446   0.178554   0.183813   0.189226               63.94    56.85 
GS FINANCE CORP          40057T6Y5 07/06/23 01/05/29    100.000     0.000     5.3842     26.17   0.149561   0.153565   0.157699   0.161945  0.166304     56.00    59.05 
GS FINANCE CORP          40057RS74 05/31/23 05/31/28    100.000     0.000     5.4300     31.95   0.154928   0.159135   0.163455   0.167893  0.172451     56.80    59.92 
GS FINANCE CORP          40057NWJ2 11/23/22 11/25/25    100.000     0.000     5.2900     59.48   0.154866   0.158962   0.163167   0.167483               56.79    53.64 
GS FINANCE CORP          40057N5G8 09/20/22 09/18/25    100.000     0.000     4.8125     62.87   0.140155   0.143527   0.146981   0.150518               51.77    38.41 
GS FINANCE CORP          40057WQD2 10/25/23 10/25/28    100.000     0.000     6.5200     11.95   0.181111   0.187015   0.193112   0.199407  0.205908     67.05    71.50 
GS FINANCE CORP          40057RS66 06/05/23 06/04/26    100.000     0.000     5.2279     30.02   0.148994   0.152889   0.156885   0.160986  0.165194     54.55    57.44 
GS FINANCE CORP          40057TH98 07/31/23 07/31/28    100.000     0.000     5.3700     22.52   0.149167   0.153172   0.157284   0.161508  0.165844     55.65    58.68 
GS FINANCE CORP          40057RRT7 05/31/23 05/29/26    100.000     0.000     5.4321     31.97   0.154967   0.159176   0.163499   0.167940  0.172502     56.82    59.95 
GS FINANCE CORP          40057T6W9 06/30/23 07/12/30    100.000     0.000     5.4300     27.35   0.151106   0.155209   0.159423   0.163751  0.168197     56.54    59.65 
GS FINANCE CORP          40057TGW8 07/31/23 07/31/25    100.000     0.000     5.6300     23.61   0.156389   0.160791   0.165318   0.169971               58.44    35.39 
GS FINANCE CORP          40057NFF9 10/03/22 10/03/24    100.000     0.000     5.2400     66.58   0.153283   0.157299                                     42.42          
GS FINANCE CORP          40057NWH6 11/17/22 11/19/25    100.000     0.000     5.3500     61.11   0.156715   0.160907   0.165211   0.169630               57.53    53.33 
GS FINANCE CORP          40057RRS9 05/31/23 05/28/27    100.000     0.000     5.4246     31.93   0.154725   0.158922   0.163232   0.167659  0.172207     56.74    59.86 
GS FINANCE CORP          40057MTE9 09/06/22 09/05/25    100.000     0.000     4.4042     59.22   0.127771   0.130585   0.133460   0.136399               47.16    33.09 
GS FINANCE CORP          40057NFG7 10/04/22 04/03/25    100.000     0.000     5.4454     69.08   0.159587   0.163932   0.168395                          59.01    15.49 
GS FINANCE CORP          40057RS41 05/31/23 05/31/30    100.000     0.000     5.4800     32.25   0.156393   0.160678   0.165081   0.169604  0.174251     57.34    60.53 
GS FINANCE CORP          40057TH72 07/31/23 07/30/26    100.000     0.000     5.4558     22.88   0.151550   0.155684   0.159931   0.164294  0.168776     56.57    59.70 
GS FINANCE CORP          40057MTD1 08/31/22 09/11/29    100.000     0.000     4.7600     64.96   0.138792   0.142096   0.145478   0.148940  0.152485     51.30    53.77 
GS FINANCE CORP          40057TXX7 09/01/23 08/30/30    100.000     0.000     5.6017     18.67   0.155603   0.159913   0.164416   0.168970  0.173755     57.86    61.15 
GS FINANCE CORP          40057TY99 08/30/23 11/04/24    100.000     0.000     6.0375     20.40   0.169508   0.174625                                     52.28          
GS FINANCE CORP          40057T6U3 06/21/23 06/20/25    100.000     0.000     5.6592     29.92   0.161623   0.166197   0.170899                          59.11    28.88 
GS FINANCE CORP          40057RS33 05/31/23 05/31/29    100.000     0.000     5.3940     31.74   0.153874   0.158024   0.162286   0.166663  0.171158     56.40    59.49 
GS FINANCE CORP          40057MTC3 08/31/22 08/31/28    100.000    VARIES     4.7000     64.06   0.136611   0.139056   0.141556   0.144111  0.146778     50.07    51.90 
GS FINANCE CORP          40057T6T6 06/30/23 07/02/26    100.000     0.000     5.4900     27.61   0.152547   0.156734   0.161036   0.165457  0.169998     57.19    60.37 
GS FINANCE CORP          40057TY81 08/30/23 08/28/26    100.000     0.000     5.8012     19.50   0.161144   0.165767   0.170575   0.175523  0.180614     60.00    63.53 
GS FINANCE CORP          40057NFE2 10/03/22 10/02/25    100.000     0.000     5.3592     68.12   0.156929   0.161134   0.165452   0.169885               58.01    45.64 
GS FINANCE CORP          40057NX69 11/10/22 10/31/29    100.000    VARIES     5.9400     66.91   0.159389   0.156889   0.155667   0.158500  0.160611     56.67    56.82 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057MD22 06/30/22 10/03/24    100.000     0.000     3.3450     51.19   0.096881   0.098501                                     26.64          
GS FINANCE CORP          40057NFT9 10/26/22 10/24/24    100.000     0.000     5.8583     70.65   0.172349   0.177397                                     51.41          
GS FINANCE CORP          40057N5S2 09/22/22 09/23/27    100.000     0.000     5.2900     68.93   0.154843   0.158938   0.163142   0.167457  0.171887     57.29    60.36 
GS FINANCE CORP          40057M2P3 05/25/22 05/27/27    100.000     0.000     4.3500     71.32   0.128922   0.131726   0.134591   0.137518  0.140509     47.11    49.18 
GS FINANCE CORP          40057NFS1 10/26/22 10/24/24    100.000     0.000     5.8637     70.72   0.172517   0.177575                                     51.46          
GS FINANCE CORP          40057N5R4 09/22/22 09/23/27    100.000     0.000     5.2900     68.93   0.154843   0.158938   0.163142   0.167457  0.171887     57.29    60.36 
GS FINANCE CORP          40057N5P8 09/13/22 09/12/24    100.000     0.000     3.0300     39.90   0.086729   0.088043                                     22.01          
GS FINANCE CORP          40057THD9 08/03/23 05/05/26    100.000     0.000     5.4688     22.60   0.154034   0.158246   0.162573   0.167019  0.171586     56.69    59.83 
GS FINANCE CORP          40057NWT0 11/23/22 11/25/26    100.000     0.000     5.3950     60.69   0.158103   0.162367   0.166747   0.171245  0.175865     58.00    61.17 
GS FINANCE CORP          40057NX36 12/01/22 12/03/25    100.000     0.000     5.1700     56.90   0.151175   0.155083   0.159092   0.163204               55.35    53.56 
GS FINANCE CORP          40057T7A6 07/06/23 07/08/24    100.000     0.000     5.8600     28.50   0.162831   0.167602                                     31.31          
GS FINANCE CORP          40057NWR4 11/15/22 11/14/24    100.000     0.000     5.7967     66.65   0.170462   0.175402                                     54.24          
GS FINANCE CORP          40057NX28 11/09/22 05/09/24    100.000     0.000     5.9175     69.11   0.174246                                                22.30          
GS FINANCE CORP          40057N5M5 09/13/22 09/12/24    100.000     0.000     3.0300     39.90   0.086729   0.088043                                     22.01          
GS FINANCE CORP          40057MTM1 09/06/22 03/05/25    100.000     0.000     3.6492     48.91   0.105089   0.107006   0.108959                          38.63     6.97 
GS FINANCE CORP          40057PM66 02/15/23 02/13/25    100.000     0.000     5.2029     46.18   0.148243   0.152099   0.156056                          55.14     6.55 
GS FINANCE CORP          40057MTL3 08/31/22 03/03/25    100.000     0.000     3.6500     49.56   0.105155   0.107074   0.109029                          38.66     6.76 
GS FINANCE CORP          40057PM58 02/21/23 02/18/28    100.000     0.000     5.2067     45.33   0.148333   0.152195   0.156157   0.160222  0.164393     55.14    58.04 
GS FINANCE CORP          40057N5K9 09/14/22 09/14/27    100.000     0.000     4.9800     65.97   0.145308   0.148926   0.152635   0.156435  0.160330     53.75    56.46 
GS FINANCE CORP          40057WQH3 10/23/23 10/23/25    100.000     0.000     6.2700     11.84   0.174167   0.179627   0.185258   0.191066               64.44    55.14 
GS FINANCE CORP          40057RRY6 05/31/23 05/29/26    100.000     0.000     5.4321     31.97   0.154967   0.159176   0.163499   0.167940  0.172502     56.82    59.95 
GS FINANCE CORP          40057WQW0 11/03/23 11/03/27    100.000     0.000     6.4663     10.42   0.179619   0.185427   0.191422   0.197611  0.204000     66.39    70.76 
GS FINANCE CORP          40057WR74 10/23/23 10/23/28    100.000     0.000     6.5000     12.28   0.180556   0.186424   0.192482   0.198738  0.205197     66.87    71.28 
GS FINANCE CORP          40057T7L2 06/14/23 06/16/28    100.000     0.000     5.4000     29.62   0.154096   0.158257   0.162530   0.166918  0.171425     56.35    59.43 
GS FINANCE CORP          40057WQU4 11/09/23 05/09/25    100.000     0.000     6.0725      8.77   0.168681   0.173802   0.179079                          62.19    22.92 
GS FINANCE CORP          40057WR41 10/25/23 04/23/26    100.000     0.000     6.2775     11.51   0.174375   0.179787   0.185430   0.191251  0.197254     64.50    68.61 
GS FINANCE CORP          40057NWZ6 11/09/22 02/08/24    100.000     0.000     5.9325     69.38   0.172168                                                 6.37          
GS FINANCE CORP          40057M2R9 05/25/22 05/20/27    100.000    VARIES     4.3296     70.74   0.126567   0.128494   0.130500   0.132511  0.134606     46.06    47.50 
GS FINANCE CORP          40057MD55 08/24/22 03/24/25    100.000     0.000     3.6942     50.83   0.106770   0.108742   0.110751                          39.18     9.19 
GS FINANCE CORP          40057X2R5 11/07/23 11/06/25    100.000     0.000     6.1025      9.15   0.169514   0.174657   0.179987   0.185479               62.53    55.88 
GS FINANCE CORP          40057MU72 08/31/22 08/29/25    100.000     0.000     4.2583     57.97   0.123362   0.125989   0.128671   0.131396               45.53    31.12 
GS FINANCE CORP          40057T7F5 07/06/23 08/05/24    100.000     0.000     5.8600     28.60   0.163546   0.168338                                     35.86          
GS FINANCE CORP          40057RSC3 05/05/23 05/07/25    100.000     0.000     5.0950     33.60   0.145174   0.148873   0.152665                          53.33    19.24 
GS FINANCE CORP          40057MD48 08/03/22 08/01/25    100.000     0.000     3.8597     55.46   0.111369   0.113518   0.115708   0.117941               41.13    24.70 
GS FINANCE CORP          40057RSB5 05/04/23 05/06/24    100.000     0.000     5.3600     35.52   0.152925                                                19.12          
GS FINANCE CORP          40057T7E8 06/29/23 07/01/26    100.000     0.000     5.4000     27.31   0.154096   0.154096   0.162530   0.162530  0.171425     56.22    59.30 
GS FINANCE CORP          40057MTS8 09/06/22 03/05/25    100.000     0.000     3.6492     48.91   0.105089   0.107006   0.108959                          38.63     6.97 
GS FINANCE CORP          40057MD30 07/06/22 01/06/25    100.000     0.000     3.5667     53.95   0.102640   0.104471   0.106334                          37.93     0.53 
GS FINANCE CORP          40057MU56 08/24/22 08/22/24    100.000     0.000     2.8600     39.19   0.081720   0.082889                                     19.09          
GS FINANCE CORP          40057XUC7 01/24/24 01/22/27    100.000     0.000     5.1608                        0.143356   0.147014   0.150807  0.154699     48.89    54.83 
GS FINANCE CORP          40057M3A5 06/03/22 06/04/30    100.000     0.000     4.3600     70.45   0.129221   0.132038   0.134916   0.137858  0.140863     47.18    49.26 
GS FINANCE CORP          40057PML3 02/21/23 02/23/28    100.000     0.000     5.2100     45.36   0.148535   0.152405   0.156375   0.160448  0.164628     55.17    58.08 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057PMJ8 02/22/23 02/19/27    100.000     0.000     5.1758     44.91   0.147431   0.151246   0.155160   0.159176  0.163295     54.78    57.65 
GS FINANCE CORP          40057THU1 07/31/23 07/30/26    100.000     0.000     5.4558     22.88   0.151550   0.155684   0.159931   0.164294  0.168776     56.57    59.70 
GS FINANCE CORP          40057RT24 05/17/23 05/17/28    100.000     0.000     5.0800     31.77   0.144695   0.148371   0.152139   0.156004  0.159966     53.08    55.81 
GS FINANCE CORP          40057THT4 07/31/23 07/31/29    100.000     0.000     5.3305     22.36   0.148069   0.152016   0.156067   0.160227  0.164498     55.22    58.21 
GS FINANCE CORP          40057NGD3 11/03/22 11/07/25    100.000     0.000     5.8900     69.83   0.173503   0.178613   0.183873   0.189288               63.94    57.24 
GS FINANCE CORP          40057THS6 07/31/23 08/09/30    100.000     0.000     5.4100     22.72   0.150481   0.154552   0.158732   0.163026  0.167436     56.08    59.15 
GS FINANCE CORP          40057N6A0 10/05/22 04/03/25    100.000     0.000     5.4658     69.19   0.160192   0.164570   0.169068                          59.24    15.55 
GS FINANCE CORP          40057NGA9 11/02/22 10/31/25    100.000     0.000     5.8608     69.65   0.172427   0.177479   0.182680   0.188034               63.61    55.58 
GS FINANCE CORP          40057PMH2 02/23/23 02/25/30    100.000     0.000     5.3300     46.11   0.152046   0.156098   0.160258   0.164529  0.168914     56.50    59.55 
GS FINANCE CORP          40057RSK5 05/19/23 05/21/26    100.000     0.000     5.0700     31.42   0.144444   0.148106   0.151860   0.155710  0.159657     52.96    55.67 
GS FINANCE CORP          40057TZ28 09/20/23 02/19/27    100.000     0.000     5.8183     16.32   0.161619   0.165511   0.170326   0.175281  0.180381     60.03    63.54 
GS FINANCE CORP          40057RSJ8 05/05/23 05/07/25    100.000     0.000     5.0630     33.39   0.144240   0.147891   0.151635                          52.98    19.11 
GS FINANCE CORP          40057M2Y4 05/25/22 05/23/24    100.000     0.000     2.4661     40.01   0.071059                                                10.09          
GS FINANCE CORP          40057RBX5 04/19/23 04/18/30    100.000     0.000     5.1571     36.37   0.146926   0.150715   0.154601   0.158587  0.162677     54.14    56.96 
GS FINANCE CORP          40057PMT6 02/16/23 03/18/24    100.000     0.000     5.4121     47.98   0.155147                                                11.95          
GS FINANCE CORP          40057NGN1 10/04/22 10/03/24    100.000     0.000     5.3729     68.14   0.157351   0.161578                                     43.56          
GS FINANCE CORP          40057RC89 05/03/23 05/05/26    100.000     0.000     4.9600     32.99   0.141234   0.144736   0.148326   0.152004  0.155774     51.87    54.48 
GS FINANCE CORP          40057MUK3 08/17/22 08/17/27    100.000     0.000     4.3300     60.59   0.125542   0.128260   0.131037   0.133874  0.136772     46.42    48.45 
GS FINANCE CORP          40057WAF4 09/19/23 09/19/28    100.000     0.000     5.7700     16.35   0.160278   0.164902   0.169659   0.174554  0.179590     59.49    62.97 
GS FINANCE CORP          40057RBW7 04/19/23 07/17/26    100.000     0.000     5.0258     35.46   0.141321   0.144872   0.148512   0.152244  0.156070     52.69    55.38 
GS FINANCE CORP          40057NGM3 10/19/22 10/19/26    100.000     0.000     6.0450     74.20   0.178221   0.183607   0.189157   0.194874  0.200764     65.92    69.96 
GS FINANCE CORP          40057RSX7 05/31/23 05/29/26    100.000     0.000     5.4321     31.97   0.154967   0.159176   0.163499   0.167940  0.172502     56.82    59.95 
GS FINANCE CORP          40057XUH6 01/24/24 01/24/31    100.000     0.000     5.3600                        0.148889   0.152879   0.156976  0.161183     50.80    57.08 
GS FINANCE CORP          40057RC63 05/03/23 01/31/25    100.000     0.000     5.1933     34.61   0.146069   0.149862   0.153753                          54.43     4.46 
GS FINANCE CORP          40057MUH0 08/17/22 08/15/25    100.000     0.000     4.0056     55.97   0.115743   0.118061   0.120426   0.122837               42.72    27.41 
GS FINANCE CORP          40057XUG8 01/24/24 01/24/31    100.000     0.000     5.3600                        0.148889   0.152879   0.156976  0.161183     50.80    57.08 
GS FINANCE CORP          40057RC55 05/02/23 04/30/26    100.000     0.000     5.0421     33.69   0.143550   0.147169   0.150879   0.154683  0.158583     52.78    55.47 
GS FINANCE CORP          40057NGJ0 10/31/22 11/09/29    100.000     0.000     6.2300     74.51   0.184291   0.190032   0.195952   0.202055  0.208350     67.98    72.29 
GS FINANCE CORP          40057RSU3 05/17/23 05/17/28    100.000     0.000     5.0800     31.77   0.144695   0.148371   0.152139   0.156004  0.159966     53.08    55.81 
GS FINANCE CORP          40057RBR8 04/05/23 10/03/25    100.000     0.000     5.1713     38.53   0.147320   0.151129   0.155037   0.159046               54.40    42.89 
GS FINANCE CORP          40057XUE3 01/24/24 01/24/29    100.000     0.000     5.2400                        0.145556   0.149369   0.153283  0.157299     49.65    55.72 
GS FINANCE CORP          40057M3C1 05/25/22 05/28/25    100.000     0.000     3.8600     63.11   0.113588   0.115780   0.118014                          41.43    17.35 
GS FINANCE CORP          40057RST6 05/11/23 06/13/24    100.000     0.000     5.3663     34.50   0.153794                                                24.91          
GS FINANCE CORP          40057TYZ1 09/20/23 12/18/26    100.000     0.000     5.8192     16.36   0.163944   0.168714   0.173623   0.178675  0.183873     60.00    63.55 
GS FINANCE CORP          40057WAA5 10/02/23 10/02/25    100.000     0.000     6.1150     15.12   0.169861   0.175055   0.180407   0.185923               63.02    49.88 
GS FINANCE CORP          40057X3A1 11/13/23 11/13/28    100.000     0.000     6.0100      8.01   0.166944   0.171961   0.177129   0.182451  0.187934     61.49    65.24 
GS FINANCE CORP          40057RC22 05/02/23 05/04/26    100.000     0.000     5.0300     33.60   0.143276   0.146880   0.150574   0.154361  0.158243     52.64    55.33 
GS FINANCE CORP          40057MUE7 08/17/22 08/13/25    100.000     0.000     4.0153     56.11   0.116009   0.118338   0.120714   0.123137               42.83    27.23 
GS FINANCE CORP          40057TYY4 09/20/23 09/20/30    100.000     0.000     5.8800     16.50   0.163333   0.168135   0.173079   0.178167  0.183405     60.65    64.27 
GS FINANCE CORP          40057NH75 10/26/22 10/26/27    100.000     0.000     6.3400     76.59   0.187454   0.193396   0.199526   0.205851  0.212377     69.34    73.80 
GS FINANCE CORP          40057MV63 08/24/22 08/24/27    100.000     0.000     4.5200     62.39   0.131295   0.134262   0.137296   0.140399  0.143572     48.56    50.78 
GS FINANCE CORP          40057XDP7 01/03/24 01/12/27    100.000     0.000     4.9600             0.137778   0.137949   0.141370   0.144876  0.148469     49.96    52.72 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057RTA6 06/05/23 07/03/24    100.000     0.000     5.6400     32.40   0.157354   0.161791                                     29.44          
GS FINANCE CORP          40057NXU6 11/14/22 11/14/24    100.000     0.000     5.8400     67.33   0.171834   0.176852                                     54.69          
GS FINANCE CORP          40057NH59 10/26/22 10/26/28    100.000     0.000     6.4200     77.58   0.189966   0.196064   0.202358   0.208853  0.215558     70.29    74.88 
GS FINANCE CORP          40057NGT8 10/05/22 10/05/27    100.000     0.000     5.8400     74.03   0.171834   0.176852   0.182016   0.187331  0.192801     63.64    67.41 
GS FINANCE CORP          40057XV36 01/24/24 01/22/27    100.000     0.000     5.1608                        0.143356   0.147014   0.150807  0.154699     48.89    54.83 
GS FINANCE CORP          40057XUQ6 01/23/24 02/03/32    100.000     0.000     5.3700             0.149167   0.149389   0.153400   0.157519  0.161748     51.08    57.20 
GS FINANCE CORP          40057M3M9 05/31/22 05/28/27    100.000     0.000     4.0029     64.92   0.117977   0.120338   0.122747   0.125203  0.127709     43.05    44.79 
GS FINANCE CORP          40057XUP8 01/22/24 01/22/29    100.000     0.000     5.2500                        0.145833   0.149661   0.153590  0.157622     50.05    55.85 
GS FINANCE CORP          40057WRL3 10/30/23 11/08/30    100.000     0.000     6.6400     11.27   0.184717   0.190849   0.197185   0.203732  0.210496     68.26    72.87 
GS FINANCE CORP          40057NGQ4 10/31/22 10/30/25    100.000     0.000     5.8158     69.44   0.171082   0.176057   0.181176   0.186445               63.10    55.12 
GS FINANCE CORP          40057TZD9 09/29/23 10/01/26    100.000     0.000     5.9300     15.16   0.164776   0.169662   0.174693   0.179872  0.185205     61.09    64.77 
GS FINANCE CORP          40057TZC1 09/29/23 09/27/30    100.000     0.000     6.1346     15.68   0.170406   0.175574   0.180960   0.186510  0.192231     63.27    67.20 
GS FINANCE CORP          40057NGP6 10/11/22 10/08/27    100.000     0.000     5.6483     70.56   0.165808   0.170491   0.175306   0.180257  0.185348     61.32    64.83 
GS FINANCE CORP          40057TZB3 09/29/23 10/11/28    100.000     0.000     6.0100     15.39   0.167279   0.172306   0.177483   0.182817  0.188310     61.94    65.72 
GS FINANCE CORP          40057M3J6 06/01/22 05/29/25    100.000     0.000     3.5097     56.66   0.102695   0.104497   0.106331                          37.41    15.74 
GS FINANCE CORP          40057WAW7 09/20/23 09/18/26    100.000     0.000     5.8312     16.36   0.161978   0.166648   0.171507   0.176507  0.181653     60.13    63.69 
GS FINANCE CORP          40057WB97 10/04/23 10/04/30    100.000     0.000     6.2300     15.06   0.173056   0.178446   0.184005   0.189737  0.195647     64.22    68.29 
GS FINANCE CORP          40057X3X1 11/10/23 11/10/30    100.000    VARIES     6.0640      8.59   0.168278   0.167611   0.167222   0.167278  0.167444     60.40    60.22 
GS FINANCE CORP          36264U298 11/21/22 12/05/28    100.000     0.000     5.4700     61.87   0.160711   0.165106   0.169622   0.174261  0.179027     58.88    62.14 
GS FINANCE CORP          40057WB71 10/18/23 04/17/25    100.000     0.000     6.0679     12.30   0.168553   0.173638   0.178906                          62.36    18.96 
GS FINANCE CORP          40057M3V9 06/01/22 06/12/29    100.000     0.000     4.2600     69.06   0.126221   0.128910   0.131655   0.134460  0.137324     46.03    48.01 
GS FINANCE CORP          40057MV89 09/06/22 01/15/26    100.000     0.000     4.5783     61.62   0.132220   0.135247   0.138343   0.141510  0.144749     49.16    51.44 
GS FINANCE CORP          40057XDU6 01/03/24 10/01/26    100.000     0.000     5.0300             0.139722   0.141440   0.144997   0.148644  0.152382     50.80    53.52 
GS FINANCE CORP          40057WAR8 10/04/23 10/06/28    100.000     0.000     6.0800     14.70   0.168946   0.174082   0.179374   0.184827  0.190446     62.63    66.50 
GS FINANCE CORP          40057MV97 10/28/22 10/30/24    100.000     0.000     5.8050     69.65   0.170801   0.175759                                     51.96          
GS FINANCE CORP          40057MUX5 08/31/22 08/29/24    100.000     0.000     2.8600     38.69   0.081726   0.082895                                     19.66          
GS FINANCE CORP          40057WS40 10/30/23 10/30/30    100.000     0.000     6.6400     11.25   0.184444   0.190568   0.196895   0.203432  0.210186     68.26    72.87 
GS FINANCE CORP          40057R2B3 03/22/23 03/22/27    100.000     0.000     5.1050     39.92   0.145425   0.149137   0.152944   0.156848  0.160851     53.77    56.55 
GS FINANCE CORP          40057W114 10/24/23 10/22/26    100.000     0.000     6.3808     11.88   0.177244   0.182836   0.188670   0.194689  0.200900     65.60    69.85 
GS FINANCE CORP          40057RCC0 05/03/23 05/05/26    100.000     0.000     4.9600     32.99   0.141234   0.144736   0.148326   0.152004  0.155774     51.87    54.48 
GS FINANCE CORP          40057RD39 04/28/23 04/28/28    100.000     0.000     4.9300     33.49   0.140320   0.143779   0.147323   0.150955  0.154676     51.58    54.15 
GS FINANCE CORP          40057N7F8 09/14/22 09/12/25    100.000     0.000     4.5597     60.30   0.132467   0.135487   0.138576   0.141735               48.90    35.35 
GS FINANCE CORP          40057TZZ0 10/03/23 10/03/29    100.000     0.000     6.1550     15.05   0.170972   0.176234   0.181657   0.187248  0.193011     63.44    67.40 
GS FINANCE CORP          40057WBA4 09/27/23 09/29/31    100.000     0.000     6.0400     15.78   0.167834   0.172903   0.178124   0.183504  0.189045     62.28    66.10 
GS FINANCE CORP          40057M4B2 06/03/22 12/03/26    100.000     0.000     3.9650     63.93   0.116820   0.119136   0.121498   0.123907  0.126363     42.60    44.31 
GS FINANCE CORP          40057RD21 05/03/23 05/01/26    100.000     0.000     4.9746     33.09   0.141582   0.145104   0.148713   0.152412  0.156203     52.03    54.65 
GS FINANCE CORP          40057RCP1 04/28/23 04/29/26    100.000     0.000     4.8000     32.60   0.136551   0.139828   0.143184   0.146621  0.150140     50.16    52.60 
GS FINANCE CORP          40057N7D3 10/03/22 09/29/25    100.000     0.000     5.3592     68.13   0.156861   0.161064   0.165380   0.169811               58.01    45.12 
GS FINANCE CORP          40057TJ70 07/19/23 07/17/25    100.000     0.000     5.6058     25.23   0.155717   0.160033   0.164518   0.169130               58.28    33.08 
GS FINANCE CORP          40057MVD8 10/21/22 10/22/25    100.000     0.000     6.0100     73.40   0.177157   0.182481   0.187964   0.193613               65.48    55.71 
GS FINANCE CORP          40057TJ62 07/31/23 07/30/26    100.000     0.000     5.4558     22.88   0.151550   0.155684   0.159931   0.164294  0.168776     56.57    59.70 
GS FINANCE CORP          40057RTQ1 05/23/23 05/21/26    100.000     0.000     5.2496     31.94   0.149607   0.153534   0.157564   0.161700  0.165944     54.88    57.80 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057MVB2 11/04/22 11/06/24    100.000     0.000     5.9000     69.77   0.173758   0.178884                                     53.92          
GS FINANCE CORP          40057R2L1 03/24/23 03/26/25    100.000     0.000     5.3750     41.75   0.153364   0.157486   0.161718                          56.75    13.75 
GS FINANCE CORP          40057MVA4 10/26/22 10/24/25    100.000     0.000     5.9988     72.38   0.176722   0.182023   0.187482   0.193106               65.29    55.94 
GS FINANCE CORP          40057TJ39 08/03/23 07/31/28    100.000     0.000     5.3931     22.17   0.149808   0.153781   0.157927   0.162186  0.166559     55.87    58.92 
GS FINANCE CORP          40057RCK2 05/03/23 05/01/26    100.000     0.000     4.9746     33.09   0.141582   0.145104   0.148713   0.152412  0.156203     52.03    54.65 
GS FINANCE CORP          40057NYQ4 11/28/22 11/29/24    100.000     0.000     5.4600     60.62   0.160084   0.164455                                     53.29          
GS FINANCE CORP          40057TJB1 08/03/23 02/05/26    100.000     0.000     5.5175     22.69   0.153311   0.157540   0.161886   0.166353  0.170942     57.21    60.41 
GS FINANCE CORP          40057R2Y3 03/17/23 03/19/25    100.000     0.000     5.3750     42.82   0.153364   0.157486   0.161718                          56.81    12.61 
GS FINANCE CORP          40057MVM8 08/22/22 08/24/27    100.000     0.000     4.4100     61.10   0.127993   0.130815   0.133700   0.136648  0.139661     47.31    49.42 
GS FINANCE CORP          40057WSJ7 11/01/23 11/01/28    100.000     0.000     6.3500     10.58   0.176389   0.181989   0.187767   0.193729  0.199880     65.19    69.40 
GS FINANCE CORP          40057R2X5 03/17/23 03/19/25    100.000     0.000     5.3750     42.82   0.153364   0.157486   0.161718                          56.81    12.61 
GS FINANCE CORP          40057MVL0 09/01/22 09/13/30    100.000     0.000     4.9000     66.77   0.143096   0.146601   0.150193   0.153873  0.157643     52.91    55.54 
GS FINANCE CORP          40057RD88 04/28/23 04/30/26    100.000     0.000     4.8000     32.60   0.136570   0.139847   0.143204   0.146641  0.150160     50.16    52.60 
GS FINANCE CORP          40057X4H5 11/10/23 11/17/25    100.000     0.000     6.0150      8.53   0.167279   0.172310   0.177492   0.182830               61.58    57.05 
GS FINANCE CORP          40057RD62 04/28/23 04/29/27    100.000     0.000     4.8650     33.04   0.138444   0.141812   0.145262   0.148795  0.152415     50.87    53.37 
GS FINANCE CORP          40057RU89 05/12/23 05/14/24    100.000     0.000     5.3800     34.42   0.153510                                                20.42          
GS FINANCE CORP          36264U207 11/03/22 11/04/24    100.000     0.000     6.0000     71.15   0.176845   0.182151                                     54.54          
GS FINANCE CORP          40057NYK7 11/18/22 05/20/24    100.000     0.000     5.5175     62.90   0.161886                                                22.50          
GS FINANCE CORP          40057N7H4 09/28/22 09/26/24    100.000     0.000     5.2063     66.90   0.152204   0.156166                                     41.05          
GS FINANCE CORP          40057MVH9 08/18/22 02/19/26    100.000     0.000     4.1725     58.22   0.120803   0.123323   0.125896   0.128523  0.131204     44.62    46.50 
GS FINANCE CORP          40057NHJ9 10/05/22 10/03/24    100.000     0.000     5.4108     68.48   0.158496   0.162784                                     43.88          
GS FINANCE CORP          40057WBB2 09/22/23 09/20/30    100.000     0.000     5.9367     16.33   0.164908   0.169749   0.174788   0.179976  0.185318     61.24    64.92 
GS FINANCE CORP          40057WBQ9 09/27/23 10/01/26    100.000     0.000     5.8900     15.39   0.163718   0.168540   0.173503   0.178613  0.183873     60.69    64.31 
GS FINANCE CORP          40057MVV8 08/31/22 08/29/25    100.000     0.000     4.2583     57.97   0.123362   0.125989   0.128671   0.131396               45.53    31.12 
GS FINANCE CORP          40057R3A4 03/20/23 03/19/26    100.000     0.000     5.4283     42.79   0.154856   0.159059   0.163376   0.167810  0.172365     57.37    60.53 
GS FINANCE CORP          40057MW62 08/26/22 08/27/26    100.000     0.000     4.4950     61.77   0.130553   0.133487   0.136487   0.139554  0.142691     48.26    50.46 
GS FINANCE CORP          40057NZ91 11/29/22 05/29/24    100.000     0.000     5.5000     60.92   0.161296                                                23.87          
GS FINANCE CORP          40057NZ75 11/18/22 02/21/24    100.000     0.000     5.5638     63.54   0.161133                                                 8.06          
GS FINANCE CORP          40057MW54 08/26/22 08/26/37    100.000    VARIES     5.6000     72.07   0.143111   0.144944   0.145667   0.145778  0.145056     52.21    52.41 
GS FINANCE CORP          40057NHT7 10/19/22 10/21/27    100.000     0.000     6.2100     76.27   0.183442   0.189138   0.195010   0.201065  0.207309     67.87    72.15 
GS FINANCE CORP          40057NYV3 11/22/22 11/22/27    100.000     0.000     5.4900     61.93   0.160987   0.165406   0.169947   0.174612  0.179405     59.10    62.39 
GS FINANCE CORP          40057M4N6 06/02/22 05/30/24    100.000     0.000     2.3958     38.37   0.068961                                                10.28          
GS FINANCE CORP          40057WSN8 11/03/23 11/03/28    100.000     0.000     6.4400     10.38   0.178889   0.184649   0.190595   0.196732  0.203067     66.12    70.44 
GS FINANCE CORP          40057WBK2 09/29/23 01/05/26    100.000     0.000     6.0200     15.38   0.167222   0.169907   0.175021   0.180289  0.185716     62.06    65.84 
GS FINANCE CORP          40057PNW8 02/22/23 02/22/30    100.000     0.000     5.3200     46.17   0.151709   0.155744   0.159887   0.164140  0.168506     56.40    59.44 
GS FINANCE CORP          40057R3K2 03/29/23 03/29/28    100.000     0.000     4.9700     37.87   0.141486   0.145002   0.148605   0.152298  0.156083     52.22    54.85 
GS FINANCE CORP          40057TJR6 07/31/23 07/30/26    100.000     0.000     5.4558     22.88   0.151550   0.155684   0.159931   0.164294  0.168776     56.57    59.70 
GS FINANCE CORP          40057RDK1 04/19/23 05/03/28    100.000     0.000     5.0900     35.91   0.145274   0.148971   0.152763   0.156651  0.160637     53.40    56.15 
GS FINANCE CORP          40057WBX4 10/04/23 10/02/26    100.000     0.000     5.9717     14.43   0.165881   0.170778   0.175878   0.181129  0.186537     61.49    65.21 
GS FINANCE CORP          40057RUJ5 05/17/23 11/15/24    100.000     0.000     5.3050     33.19   0.151226   0.155238                                     48.21          
GS FINANCE CORP          40057WSV0 10/31/23 10/31/28    100.000    VARIES     6.3004     10.50   0.174749   0.173611   0.172849   0.173167  0.173408     62.40    62.14 
GS FINANCE CORP          40057MVZ9 08/31/22 08/31/27    100.000     0.000     4.6400     63.27   0.134939   0.138052   0.141272   0.144514  0.147904     49.91    52.25 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057WT64 10/31/23 01/30/25    100.000     0.000     6.1567     10.43   0.171019   0.173652   0.178997                          63.25     5.19 
GS FINANCE CORP          40057WC39 09/27/23 03/26/26    100.000     0.000     5.9629     15.57   0.165636   0.170547   0.175632   0.180868  0.186261     61.46    65.18 
GS FINANCE CORP          40057RUF3 05/11/23 05/13/24    100.000     0.000     5.3800     34.58   0.153510                                                20.26          
GS FINANCE CORP          40057WST5 10/31/23 10/31/28    100.000    VARIES     6.3004     10.50   0.174413   0.171944   0.170223   0.170833  0.170444     61.88    61.28 
GS FINANCE CORP          40057TJK1 07/18/23 01/16/25    100.000     0.000     5.6062     25.38   0.155728   0.160044   0.164531                          58.29     2.47 
GS FINANCE CORP          40057M4U0 06/03/22 06/04/32    100.000     0.000     4.4600     72.11   0.132379   0.135331   0.138349   0.141434  0.144588     48.35    50.53 
GS FINANCE CORP          40057NZK6 11/28/22 11/28/37    100.000    VARIES     5.5100     59.22   0.146722   0.143778   0.141833   0.142667  0.142889     52.09    51.26 
GS FINANCE CORP          40057M5E5 06/03/22 12/02/24    100.000     0.000     2.9403     47.15   0.085324   0.086578                                     28.47          
GS FINANCE CORP          40057RDT2 04/28/23 10/30/25    100.000     0.000     4.8950     33.25   0.139338   0.142748   0.146242   0.149821               51.20    44.37 
GS FINANCE CORP          40057WCC9 10/02/23 10/12/28    100.000     0.000     6.1100     15.13   0.170010   0.175204   0.180557   0.186073  0.191757     62.97    66.88 
GS FINANCE CORP          40057X5E1 11/22/23 11/20/26    100.000     0.000     5.7600      6.24   0.160000   0.164557   0.169296   0.174172  0.179188     58.80    62.23 
GS FINANCE CORP          40057WTC1 10/30/23 10/29/26    100.000     0.000     6.3233     10.71   0.175647   0.181170   0.186898   0.192807  0.198903     64.92    69.09 
GS FINANCE CORP          40057RDR6 04/26/23 10/26/27    100.000     0.000     5.1085     35.00   0.145527   0.149244   0.153057   0.156966  0.160975     53.55    56.32 
GS FINANCE CORP          40057WTB3 10/30/23 10/30/25    100.000     0.000     6.2500     10.59   0.173611   0.179036   0.184631   0.190401               64.15    56.24 
GS FINANCE CORP          40057RDQ8 04/26/23 10/26/28    100.000     0.000     5.1375     35.20   0.146374   0.150134   0.153991   0.157946  0.162004     53.87    56.67 
GS FINANCE CORP          40057WTA5 10/30/23 10/28/27    100.000     0.000     6.4079     10.86   0.177997   0.183637   0.189520   0.195593  0.201859     65.82    70.10 
GS FINANCE CORP          40057TK78 07/26/23 01/24/25    100.000     0.000     5.7513     24.76   0.159758   0.164301   0.169026                          59.79     3.89 
GS FINANCE CORP          40057RUQ9 05/24/23 05/24/30    100.000     0.000     5.3900     32.64   0.153757   0.157901   0.162156   0.166527  0.171014     56.41    59.49 
GS FINANCE CORP          40057TK60 08/03/23 09/05/24    100.000     0.000     5.7937     23.91   0.161765   0.166451                                     40.31          
GS FINANCE CORP          40057NZF7 11/29/22 11/29/24    100.000     0.000     5.4000     59.79   0.158209   0.162481                                     52.66          
GS FINANCE CORP          40057TK45 08/02/23 08/04/31    100.000     0.000     5.5033     22.78   0.152916   0.157124   0.161447   0.165890  0.170455     57.06    60.24 
GS FINANCE CORP          40057R3L0 03/22/23 09/20/24    100.000     0.000     5.4446     42.61   0.155310   0.159538                                     40.99          
GS FINANCE CORP          40057MWA3 08/31/22 11/30/27    100.000    VARIES     4.6500     63.50   0.136556   0.139222   0.141889   0.144722  0.147500     49.81    51.77 
GS FINANCE CORP          40057WCK1 10/04/23 10/02/26    100.000     0.000     5.9717     14.43   0.165881   0.170778   0.175878   0.181129  0.186537     61.49    65.21 
GS FINANCE CORP          40057MWP0 09/06/22 03/04/27    100.000     0.000     4.7354     63.77   0.137806   0.141069   0.144409   0.147828  0.151328     50.97    53.41 
GS FINANCE CORP          40057TKC7 07/28/23 07/26/30    100.000     0.000     5.4896     23.33   0.152489   0.156628   0.160927   0.165344  0.169883     56.95    60.12 
GS FINANCE CORP          40057TKD5 07/26/23 07/28/28    100.000     0.000     5.4400     23.43   0.151157   0.155268   0.159492   0.163830  0.168286     56.43    59.54 
GS FINANCE CORP          40057MX20 08/30/22 08/29/24    100.000     0.000     2.8600     38.69   0.081726   0.082895                                     19.66          
GS FINANCE CORP          40057WCJ4 09/27/23 09/27/28    100.000     0.000     5.9200     15.46   0.164444   0.169312   0.174324   0.179484  0.184796     61.00    64.67 
GS FINANCE CORP          40057M5K1 06/02/22 06/02/27    100.000     0.000     4.0000     64.63   0.117912   0.120270   0.122676   0.125129  0.127632     43.01    44.75 
GS FINANCE CORP          40057X5K7 11/22/23 11/22/27    100.000     0.000     5.7800      6.26   0.160556   0.165196   0.169970   0.174882  0.179936     59.00    62.46 
GS FINANCE CORP          40057M5J4 06/03/22 06/08/27    100.000     0.000     4.0700     65.67   0.120167   0.122612   0.125107   0.127653  0.130251     43.81    45.62 
GS FINANCE CORP          40057WCG0 09/28/23 09/30/26    100.000     0.000     5.9400     15.35   0.165054   0.169957   0.175004   0.180202  0.185554     61.21    64.90 
GS FINANCE CORP          40057RUZ9 06/05/23 06/05/28    100.000     0.000     5.2200     29.97   0.148784   0.152668   0.156652   0.160741  0.164936     54.47    57.35 
GS FINANCE CORP          40057R3W6 04/03/23 04/04/24    100.000     0.000     5.5100     41.39   0.157296                                                14.63          
GS FINANCE CORP          40057W2D8 09/29/23 07/01/27    100.000     0.000     5.9600     15.23   0.168077   0.173086   0.178244   0.183555  0.189025     61.41    65.12 
GS FINANCE CORP          40057R3V8 04/03/23 07/05/24    100.000     0.000     5.4613     41.03   0.153820   0.158020                                     29.06          
GS FINANCE CORP          40057X5H4 11/30/23 11/30/28    100.000     0.000     5.7100      4.92   0.158611   0.163139   0.167797   0.172588  0.177515     58.20    61.57 
GS FINANCE CORP          40057MWJ4 08/31/22 08/31/27    100.000    VARIES     4.6400     63.22   0.134333   0.136722   0.139167   0.141611  0.144222     49.38    51.15 
GS FINANCE CORP          40057PP30 02/22/23 02/22/28    100.000     0.000     5.2300     45.38   0.149077   0.152975   0.156975   0.161080  0.165293     55.39    58.32 
GS FINANCE CORP          40057RDU9 04/28/23 10/29/26    100.000     0.000     4.8325     32.82   0.137498   0.140820   0.144222   0.147707  0.151276     50.51    52.98 
GS FINANCE CORP          40057WTE7 11/03/23 11/05/25    100.000     0.000     6.2450     10.06   0.173532   0.178951   0.184539   0.190301               64.06    57.14 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057PP22 03/03/23 04/04/24    100.000     0.000     5.5621     46.62   0.159560                                                14.84          
GS FINANCE CORP          40057W2C0 09/29/23 07/01/26    100.000     0.000     5.9600     15.23   0.168077   0.173086   0.178244   0.183555  0.189025     61.41    65.12 
GS FINANCE CORP          40057XX91 01/24/24 01/24/29    100.000     0.000     5.2400                        0.145556   0.149369   0.153283  0.157299     49.65    55.72 
GS FINANCE CORP          40057WTU1 11/20/23 08/20/26    100.000     0.000     5.8525      6.67   0.162569   0.164948   0.169775   0.174743  0.179856     59.90    63.33 
GS FINANCE CORP          40057WD46 10/02/23 04/01/26    100.000     0.000     6.0713     15.01   0.168647   0.173738   0.179012   0.184447  0.190046     62.56    66.42 
GS FINANCE CORP          40057XX83 01/24/24 01/22/27    100.000     0.000     5.1608                        0.143356   0.147014   0.150807  0.154699     48.89    54.83 
GS FINANCE CORP          40057MWX3 09/06/22 09/07/27    100.000    VARIES     4.8200     64.84   0.139628   0.142078   0.144617   0.148061  0.150744     51.27    53.12 
GS FINANCE CORP          40057WTS6 11/20/23 11/21/30    100.000     0.000     6.0300      6.87   0.167500   0.172578   0.177781   0.183142  0.188663     61.63    65.40 
GS FINANCE CORP          40057XX75 01/24/24 01/22/27    100.000     0.000     5.1608                        0.143356   0.147014   0.150807  0.154699     48.89    54.83 
GS FINANCE CORP          40057WU39 11/03/23 11/03/26    100.000     0.000     6.2863     10.13   0.174619   0.180108   0.185769   0.191608  0.197631     64.50    68.62 
GS FINANCE CORP          40057NZY6 11/29/22 12/01/27    100.000     0.000     5.4000     59.79   0.158257   0.162530   0.166918   0.171425  0.176053     58.00    61.18 
GS FINANCE CORP          40057XWU5 01/24/24 01/24/29    100.000     0.000     5.2400                        0.145556   0.149369   0.153283  0.157299     49.65    55.72 
GS FINANCE CORP          40057W2N6 10/04/23 07/02/26    100.000     0.000     6.0067     14.52   0.166853   0.169303   0.174387   0.179625  0.185020     61.86    65.63 
GS FINANCE CORP          40057WTQ0 11/01/23 01/30/25    100.000     0.000     6.1442     10.24   0.170672   0.173265   0.178588                          63.10     5.18 
GS FINANCE CORP          40057WU21 11/24/23 05/23/25    100.000     0.000     5.9158      6.08   0.164328   0.169161   0.174165                          60.40    24.73 
GS FINANCE CORP          40057WCN5 10/02/23 10/02/28    100.000     0.000     6.1100     15.11   0.169722   0.174907   0.180251   0.185757  0.191432     62.97    66.88 
GS FINANCE CORP          40057W2M8 10/04/23 07/02/26    100.000     0.000     6.0067     14.52   0.166853   0.169303   0.174387   0.179625  0.185020     61.86    65.63 
GS FINANCE CORP          40057TKG8 07/27/23 08/29/24    100.000     0.000     5.8258     25.02   0.162666   0.167404                                     39.57          
GS FINANCE CORP          40057NJ65 11/03/22 05/05/25    100.000     0.000     5.9125     70.10   0.174147   0.179296   0.184596                          64.20    22.89 
GS FINANCE CORP          40057MWQ8 09/06/22 02/05/26    100.000     0.000     4.5904     61.79   0.132916   0.135967   0.139087   0.142280  0.145545     49.30    51.59 
GS FINANCE CORP          40057NJ40 11/03/22 05/05/25    100.000     0.000     5.9125     70.10   0.174147   0.179296   0.184596                          64.20    22.89 
GS FINANCE CORP          40057TKE3 07/27/23 07/31/28    100.000     0.000     5.4300     23.24   0.150902   0.154999   0.159207   0.163529  0.167969     56.32    59.42 
GS FINANCE CORP          40057R4L9 04/05/23 10/05/28    100.000     0.000     5.0650     37.73   0.144258   0.147911   0.151657   0.155497  0.159435     53.23    55.96 
GS FINANCE CORP          40057WCZ8 09/29/23 09/27/30    100.000     0.000     6.1346     15.68   0.170406   0.175574   0.180960   0.186510  0.192231     63.27    67.20 
GS FINANCE CORP          40057NJA6 10/19/22 10/19/27    100.000     0.000     6.2100     76.27   0.183379   0.189072   0.194943   0.200996  0.207237     67.87    72.15 
GS FINANCE CORP          40057R4K1 03/29/23 06/20/24    100.000     0.000     5.2492     40.03   0.151405                                                25.59          
GS FINANCE CORP          40057WTZ0 11/22/23 11/22/28    100.000     0.000     5.7684      6.25   0.160233   0.164855   0.169610   0.174501  0.179534     58.88    62.33 
GS FINANCE CORP          40057R4H8 03/31/23 03/31/25    100.000     0.000     5.2950     40.21   0.150977   0.154974   0.159077                          55.81    14.16 
GS FINANCE CORP          40057WCW5 09/29/23 09/29/28    100.000     0.000     6.0100     15.36   0.166944   0.171961   0.177129   0.182451  0.187934     61.94    65.72 
GS FINANCE CORP          40057MFZ7 07/06/22 07/03/25    100.000     0.000     4.1611     63.12   0.120405   0.122910   0.125467   0.128078               44.70    23.30 
GS FINANCE CORP          40057WU96 11/20/23 05/22/25    100.000     0.000     5.9650      6.80   0.165749   0.170693   0.175784                          60.95    24.79 
GS FINANCE CORP          40057X5X9 11/17/23 11/22/27    100.000     0.000     5.7850      7.08   0.160824   0.165475   0.170262   0.175187  0.180254     59.10    62.57 
GS FINANCE CORP          40057R4F2 03/31/23 03/31/28    100.000     0.000     5.1600     39.18   0.147031   0.150825   0.154716   0.158708  0.162802     54.31    57.15 
GS FINANCE CORP          40057REH7 05/03/23 10/31/25    100.000     0.000     5.0621     33.68   0.144114   0.147761   0.151501   0.155336               52.99    45.99 
GS FINANCE CORP          40057WTW7 10/30/21 10/30/28    100.000    VARIES     6.3299     10.55   0.175587   0.174500   0.172778   0.173944  0.173278     62.71    62.44 
GS FINANCE CORP          40057TKN3 08/02/23 07/31/25    100.000     0.000     5.6804     23.51   0.157789   0.162221   0.166828   0.171566               58.97    35.72 
GS FINANCE CORP          40057REG9 05/03/23 10/31/25    100.000     0.000     5.0621     33.68   0.144114   0.147761   0.151501   0.155336               52.99    45.99 
GS FINANCE CORP          40057REV6 05/03/23 05/01/26    100.000     0.000     4.9746     33.09   0.141582   0.145104   0.148713   0.152412  0.156203     52.03    54.65 
GS FINANCE CORP          40057W3C9 10/04/23 10/14/26    100.000     0.000     5.9600     14.42   0.165830   0.170771   0.175860   0.181101  0.186498     61.36    65.07 
GS FINANCE CORP          40057M6G9 06/06/22 06/05/25    100.000     0.000     3.5486     56.78   0.103903   0.105746   0.107623                          37.83    16.57 
GS FINANCE CORP          40057REU8 04/28/23 04/26/30    100.000     0.000     5.0354     34.22   0.143355   0.146964   0.150664   0.154457  0.158346     52.73    55.42 
GS FINANCE CORP          40057RW87 05/17/23 05/30/24    100.000     0.000     5.3800     33.66   0.153763                                                22.91          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057WDD6 09/27/23 09/25/25    100.000     0.000     6.0254     15.73   0.167372   0.172359   0.177551   0.182900               62.13    47.84 
GS FINANCE CORP          40057RF52 04/26/23 10/26/27    100.000     0.000     5.1025     34.96   0.145352   0.149060   0.152863   0.156763  0.160763     53.48    56.25 
GS FINANCE CORP          40057RVV7 06/01/23 05/29/26    100.000     0.000     5.4825     32.11   0.156420   0.160708   0.165113   0.169639  0.174290     57.36    60.55 
GS FINANCE CORP          40057PQ18 03/03/23 03/02/28    100.000     0.000     5.4567     45.66   0.155688   0.159935   0.164299   0.168781  0.173386     57.84    61.04 
GS FINANCE CORP          40057RF45 04/26/23 10/26/28    100.000     0.000     5.1375     35.20   0.146374   0.150134   0.153991   0.157946  0.162004     53.87    56.67 
GS FINANCE CORP          40057XGE9 01/03/24 12/31/26    100.000     0.000     4.9775             0.138264   0.141648   0.145173   0.148786  0.152489     50.11    52.92 
GS FINANCE CORP          40057WDB0 10/04/23 10/15/30    100.000     0.000     6.2300     15.08   0.173385   0.178786   0.184355   0.190098  0.196019     64.22    68.29 
GS FINANCE CORP          40057RW61 05/31/23 05/31/38    100.000    VARIES     5.6594     32.82   0.153889   0.151167   0.148333   0.143722  0.134111     54.74    52.19 
GS FINANCE CORP          40057X6B6 11/15/23 05/15/25    100.000     0.000     6.1125      7.81   0.169792   0.174981   0.180329                          62.54    24.16 
GS FINANCE CORP          40057RER5 04/28/23 05/02/29    100.000     0.000     4.9340     33.52   0.140514   0.143980   0.147532   0.151172  0.154901     51.62    54.20 
GS FINANCE CORP          40057M6C8 06/02/22 05/31/24    100.000     0.000     2.3000     36.82   0.066110                                                 9.85          
GS FINANCE CORP          40057MGE3 07/06/22 07/06/27    100.000     0.000     4.7400     72.11   0.137982   0.141252   0.144599   0.148026  0.151535     51.42    53.89 
GS FINANCE CORP          40057REQ7 04/28/23 04/30/26    100.000     0.000     4.8000     32.60   0.136570   0.139847   0.143204   0.146641  0.150160     50.16    52.60 
GS FINANCE CORP          40057RVS4 05/19/23 05/21/25    100.000     0.000     5.2300     32.41   0.149120   0.153020   0.157021                          54.70    21.98 
GS FINANCE CORP          40057RW46 05/24/23 05/26/28    100.000     0.000     5.3100     32.15   0.151461   0.155482   0.159610   0.163848  0.168198     55.53    58.52 
GS FINANCE CORP          40057RF29 04/28/23 04/28/28    100.000     0.000     4.9300     33.49   0.140320   0.143779   0.147323   0.150955  0.154676     51.58    54.15 
GS FINANCE CORP          40057XGC3 01/03/24 01/03/29    100.000     0.000     5.0200                        0.139444   0.142944   0.146532  0.150210     50.54    53.40 
GS FINANCE CORP          40057MXD6 09/06/22 09/03/26    100.000     0.000     4.6629     62.77   0.135584   0.138745   0.141979   0.145290  0.148677     50.13    52.50 
GS FINANCE CORP          40057PPL0 03/02/23 04/01/24    100.000     0.000     5.5300     46.50   0.158562                                                14.27          
GS FINANCE CORP          40057XGA7 01/03/24 01/03/29    100.000     0.000     5.0200                        0.139444   0.142944   0.146532  0.150210     50.54    53.40 
GS FINANCE CORP          40057MXC8 09/06/22 03/05/26    100.000     0.000     4.5904     61.78   0.133415   0.136477   0.139609   0.142814  0.146092     49.30    51.59 
GS FINANCE CORP          40057WDM6 10/04/23 10/04/28    100.000     0.000     6.0800     14.69   0.168889   0.174023   0.179313   0.184765  0.190381     62.63    66.50 
GS FINANCE CORP          40057MY29 09/02/22 09/02/27    100.000     0.000     4.7500     64.52   0.138286   0.141571   0.144933   0.148375  0.151899     51.17    53.62 
GS FINANCE CORP          40057W3K1 10/03/23 10/01/26    100.000     0.000     5.9712     14.60   0.165867   0.170764   0.175862   0.181113  0.186520     61.49    65.21 
GS FINANCE CORP          40057TLE2 07/26/23 07/26/30    100.000     0.000     5.4700     23.55   0.151944   0.156100   0.160369   0.164756  0.169262     56.75    59.90 
GS FINANCE CORP          40057WDK0 09/26/23 09/25/25    100.000     0.000     6.0492     15.96   0.168033   0.173087   0.178323   0.183716               62.39    48.05 
GS FINANCE CORP          40057PQ96 03/01/23 08/29/24    100.000     0.000     5.5583     46.84   0.158640   0.163049                                     38.55          
GS FINANCE CORP          40057W3H8 10/04/23 10/02/25    100.000     0.000     6.1117     14.77   0.169769   0.174900   0.180244   0.185752               62.97    49.84 
GS FINANCE CORP          40057TLB8 07/25/23 01/24/25    100.000     0.000     5.6953     24.68   0.158203   0.162683   0.167315                          59.19     3.85 
GS FINANCE CORP          40057NJQ1 10/31/22 10/31/28    100.000     0.000     6.1700     73.76   0.182127   0.187745   0.193537   0.199508  0.205663     67.27    71.49 
GS FINANCE CORP          40057X6J9 11/30/23 11/30/28    100.000     0.000     5.7100      4.92   0.158611   0.163139   0.167797   0.172588  0.177515     58.20    61.57 
GS FINANCE CORP          40057REZ7 04/28/23 04/26/30    100.000     0.000     5.0354     34.22   0.143355   0.146964   0.150664   0.154457  0.158346     52.73    55.42 
GS FINANCE CORP          40057NJP3 10/31/22 10/29/26    100.000     0.000     5.9483     71.06   0.175177   0.180387   0.185752   0.191277  0.196965     64.66    68.56 
GS FINANCE CORP          40057REY0 04/28/23 04/30/26    100.000     0.000     4.8000     32.60   0.136570   0.139847   0.143204   0.146641  0.150160     50.16    52.60 
GS FINANCE CORP          40057W3G0 10/03/23 10/05/26    100.000     0.000     5.9600     14.57   0.165610   0.170546   0.175628   0.180862  0.186251     61.37    65.08 
GS FINANCE CORP          40057PQ62 02/23/23 02/22/27    100.000     0.000     5.1704     44.71   0.147315   0.151123   0.155030   0.159038  0.163149     54.71    57.58 
GS FINANCE CORP          40057REX2 05/03/23 05/12/26    100.000     0.000     4.9600     33.00   0.141370   0.144876   0.148469   0.152151  0.155924     51.87    54.48 
GS FINANCE CORP          40057RF94 04/28/23 04/26/30    100.000     0.000     5.0354     34.22   0.143355   0.146964   0.150664   0.154457  0.158346     52.73    55.42 
GS FINANCE CORP          40057PPT3 03/08/23 04/02/24    100.000     0.000     5.5700     45.87   0.159622                                                14.53          
GS FINANCE CORP          40057NJN8 10/13/22 10/10/24    100.000     0.000     5.4633     67.88   0.160092   0.164465                                     45.45          
GS FINANCE CORP          40057REW4 04/28/23 04/28/28    100.000     0.000     4.9300     33.49   0.140320   0.143779   0.147323   0.150955  0.154676     51.58    54.15 
GS FINANCE CORP          40057RFH6 04/11/23 04/10/25    100.000     0.000     5.0421     36.70   0.143570   0.147189   0.150900                          52.93    14.94 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057TLN2 07/25/23 07/01/26    100.000     0.000     5.5233     23.93   0.157097   0.161436   0.165894   0.170475  0.175183     57.34    60.55 
GS FINANCE CORP          40057R5E4 03/24/23 09/26/24    100.000     0.000     5.4825     42.59   0.156514   0.160804                                     42.25          
GS FINANCE CORP          40057RFG8 04/11/23 04/10/25    100.000     0.000     5.0421     36.70   0.143570   0.147189   0.150900                          52.93    14.94 
GS FINANCE CORP          40057TLM4 07/31/23 07/31/25    100.000     0.000     5.6300     23.61   0.156389   0.160791   0.165318   0.169971               58.44    35.39 
GS FINANCE CORP          40057WE45 10/12/23 10/16/28    100.000     0.000     6.3100     13.86   0.175401   0.180935   0.186643   0.192532  0.198606     64.98    69.15 
GS FINANCE CORP          40057RWF1 06/01/23 06/05/28    100.000     0.000     5.4500     31.92   0.155608   0.159849   0.164205   0.168679  0.173276     57.01    60.15 
GS FINANCE CORP          40057RFE3 05/03/23 05/01/26    100.000     0.000     4.9746     33.09   0.141582   0.145104   0.148713   0.152412  0.156203     52.03    54.65 
GS FINANCE CORP          40057RFD5 04/19/23 04/17/26    100.000     0.000     5.0354     35.51   0.143355   0.146964   0.150664   0.154457  0.158346     52.80    55.49 
GS FINANCE CORP          40057MGU7 07/05/22 07/03/25    100.000     0.000     4.2583     64.75   0.123348   0.125974   0.128657   0.131396               45.82    23.91 
GS FINANCE CORP          40057TLJ1 08/03/23 08/07/26    100.000     0.000     5.4200     22.30   0.150646   0.154729   0.158922   0.163229  0.167652     56.16    59.24 
GS FINANCE CORP          40057MGT0 07/05/22 07/02/26    100.000     0.000     4.5817     69.78   0.133118   0.136167   0.139287   0.142477  0.145741     49.58    51.87 
GS FINANCE CORP          40057RFC7 04/28/23 01/29/26    100.000     0.000     4.8475     32.97   0.136303   0.139606   0.142990   0.146456  0.150006     50.68    53.17 
GS FINANCE CORP          40057XXT7 01/30/24 01/30/29    100.000     0.000     5.2200                        0.145000   0.148784   0.152668  0.156652     48.57    55.45 
GS FINANCE CORP          40057W3N5 10/04/23 10/06/26    100.000     0.000     5.9600     14.41   0.165610   0.170546   0.175628   0.180862  0.186251     61.36    65.07 
GS FINANCE CORP          40057RFA1 04/28/23 05/09/28    100.000     0.000     4.9300     33.50   0.140532   0.143996   0.147545   0.151182  0.154909     51.58    54.15 
GS FINANCE CORP          40057XXS9 01/30/24 01/28/27    100.000     0.000     5.1312                        0.142533   0.146150   0.149899  0.153745     47.73    54.45 
GS FINANCE CORP          40057TLG7 07/25/23 07/24/25    100.000     0.000     5.6833     24.63   0.157869   0.162331   0.166943   0.171687               59.06    34.74 
GS FINANCE CORP          40057MY52 09/30/22 04/01/25    100.000     0.000     5.4825     70.20   0.160779   0.165187   0.169715                          59.48    15.27 
GS FINANCE CORP          40057M7A1 07/05/22 07/06/27    100.000     0.000     4.8200     73.49   0.140438   0.143823   0.147289   0.150839  0.154474     52.37    54.92 
GS FINANCE CORP          40057NKD8 11/02/22 10/31/25    100.000     0.000     5.8608     69.65   0.172427   0.177479   0.182680   0.188034               63.61    55.58 
GS FINANCE CORP          40057PQK1 03/03/23 03/05/25    100.000     0.000     5.4750     45.82   0.156294   0.160573   0.164968                          58.04    10.56 
GS FINANCE CORP          40057NKC0 11/02/22 10/31/25    100.000     0.000     5.8608     69.65   0.172427   0.177479   0.182680   0.188034               63.61    55.58 
GS FINANCE CORP          40057TLT9 08/07/23 08/07/25    100.000     0.000     5.6600     22.64   0.157222   0.161672   0.166247   0.170952               58.70    36.76 
GS FINANCE CORP          40057WDZ7 10/04/23 10/02/26    100.000     0.000     5.9717     14.43   0.165881   0.170778   0.175878   0.181129  0.186537     61.49    65.21 
GS FINANCE CORP          40057TLR3 08/07/23 08/09/27    100.000     0.000     5.4775     21.92   0.152199   0.156367   0.160650   0.165050  0.169570     56.74    59.89 
GS FINANCE CORP          40057RFL7 05/03/23 05/31/24    100.000     0.000     5.3100     35.35   0.152019                                                22.65          
GS FINANCE CORP          40057PQF2 03/01/23 03/01/27    100.000     0.000     5.4450     45.87   0.155368   0.159598   0.163943   0.168406  0.172991     57.72    60.91 
GS FINANCE CORP          40057RWL8 05/31/23 05/30/25    100.000     0.000     5.5771     32.82   0.159239   0.163680   0.168244                          58.40    25.07 
GS FINANCE CORP          40057TLP7 07/26/23 07/24/25    100.000     0.000     5.6833     24.47   0.157869   0.162306   0.166918   0.171661               59.05    34.74 
GS FINANCE CORP          40057X6X8 11/30/23 12/03/25    100.000     0.000     5.7650      4.97   0.160216   0.164834   0.169585   0.174474               58.77    57.18 
GS FINANCE CORP          40057NKN6 10/26/22 10/26/27    100.000     0.000     6.3400     76.59   0.187454   0.193396   0.199526   0.205851  0.212377     69.34    73.80 
GS FINANCE CORP          40057NKM8 10/24/22 10/27/25    100.000     0.000     6.0100     72.88   0.177217   0.182543   0.188028   0.193678               65.45    56.67 
GS FINANCE CORP          40057RG77 04/19/23 04/20/28    100.000     0.000     5.0900     35.89   0.145007   0.148698   0.152482   0.156363  0.160342     53.40    56.15 
GS FINANCE CORP          40057X7F6 11/22/23 02/21/25    100.000     0.000     5.9700      6.47   0.165833   0.168281   0.173304                          61.11     8.67 
GS FINANCE CORP          40057NKL0 10/24/22 10/26/27    100.000     0.000     6.3300     76.84   0.187206   0.193131   0.199243   0.205549  0.212055     69.24    73.70 
GS FINANCE CORP          40057RWX2 06/05/23 06/05/28    100.000     0.000     5.2200     29.97   0.148784   0.152668   0.156652   0.160741  0.164936     54.47    57.35 
GS FINANCE CORP          40057X7E9 11/22/23 11/20/25    100.000     0.000     5.8800      6.37   0.163333   0.168082   0.173024   0.178110               60.05    56.11 
GS FINANCE CORP          36264U348 11/21/22 12/04/24    100.000     0.000     5.4000     61.07   0.158518   0.162798                                     53.56          
GS FINANCE CORP          40057X7D1 11/22/23 05/21/26    100.000     0.000     5.8200      6.30   0.161667   0.166345   0.171186   0.176167  0.181294     59.42    62.93 
GS FINANCE CORP          40057LVE8 05/31/22 05/31/28    100.000     0.000     4.2300     68.68   0.125114   0.127760   0.130462   0.133222  0.136039     45.68    47.64 
GS FINANCE CORP          40057NKJ5 10/19/22 10/17/25    100.000     0.000     5.8708     72.02   0.172738   0.177808   0.183027   0.188400               63.86    53.31 
GS FINANCE CORP          40057X7B5 11/22/23 11/24/26    100.000     0.000     5.7500      6.23   0.159773   0.164367   0.169092   0.173954  0.178955     58.69    62.11 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057RG36 04/19/23 01/17/25    100.000     0.000     5.2667     37.18   0.148181   0.152083   0.156088                          55.34     2.50 
GS FINANCE CORP          40057TLX0 08/02/23 08/04/28    100.000     0.000     5.4200     22.44   0.150601   0.154682   0.158874   0.163180  0.167602     56.17    59.25 
GS FINANCE CORP          40057NL70 10/12/22 10/09/25    100.000     0.000     5.4450     67.81   0.159527   0.163870   0.168332   0.172914               58.93    47.62 
GS FINANCE CORP          40057TMH4 08/02/23 08/02/28    100.000     0.000     5.4200     22.43   0.150556   0.154636   0.158826   0.163130  0.167551     56.17    59.25 
GS FINANCE CORP          40057WEN3 09/29/23 10/02/28    100.000     0.000     6.1100     15.62   0.169809   0.174996   0.180342   0.185852  0.191530     63.00    66.91 
GS FINANCE CORP          40057MYT0 09/30/22 10/02/25    100.000     0.000     5.5800     71.49   0.163820   0.168391   0.173089   0.177918               60.62    47.78 
GS FINANCE CORP          40057MZ51 09/30/22 10/01/26    100.000     0.000     5.7650     73.90   0.169530   0.174417   0.179445   0.184617  0.189939     62.80    66.48 
GS FINANCE CORP          40057NL54 10/17/22 10/17/24    100.000     0.000     5.5450     68.26   0.162687   0.167198                                     47.34          
GS FINANCE CORP          40057WEL7 09/29/23 10/13/26    100.000     0.000     5.9300     15.18   0.165102   0.169997   0.175038   0.180228  0.185571     61.09    64.77 
GS FINANCE CORP          40057WVN4 11/20/23 12/03/25    100.000     0.000     5.9200      6.75   0.164796   0.169674   0.174696   0.179867               60.48    58.93 
GS FINANCE CORP          40057TMB4 08/01/23 07/30/27    100.000     0.000     5.5271     23.03   0.153531   0.157750   0.162109   0.166589  0.171193     57.33    60.54 
GS FINANCE CORP          40057R5Z7 04/04/23 05/03/24    100.000     0.000     5.5200     41.35   0.158266                                                19.31          
GS FINANCE CORP          40057NKP1 10/26/22 10/24/25    100.000     0.000     5.9983     72.38   0.176706   0.182006   0.187465   0.193087               65.29    55.94 
GS FINANCE CORP          40057WVY0 11/16/23 11/16/28    100.000     0.000     6.0233      7.53   0.167314   0.172353   0.177543   0.182890  0.188398     61.60    65.37 
GS FINANCE CORP          40057RGJ1 04/26/23 04/28/28    100.000     0.000     5.1200     35.08   0.145905   0.149640   0.153471   0.157399  0.161429     53.67    56.46 
GS FINANCE CORP          40057WEV5 10/12/23 10/13/26    100.000    VARIES     6.1231     13.61   0.171092   0.175187   0.179455   0.183752  0.188214     64.02    66.96 
GS FINANCE CORP          40057WF77 10/24/23 01/22/25    100.000     0.000     6.1883     11.52   0.171897   0.174498   0.179897                          63.62     3.78 
GS FINANCE CORP          40057LVW8 05/31/22 02/28/25    100.000     0.000     3.3333     53.90   0.096484   0.098092   0.099726                          35.42     5.68 
GS FINANCE CORP          40057R6F0 03/29/23 03/27/26    100.000     0.000     4.9254     37.53   0.140149   0.143600   0.147136   0.150760  0.154473     51.73    54.31 
GS FINANCE CORP          3626EQ876 07/22/22 08/03/29    100.000     0.000     4.4400     65.41   0.129045   0.131910   0.134838   0.137832  0.140891     47.83    49.98 
GS FINANCE CORP          40057LVX6 05/31/22 06/11/29    100.000     0.000     4.4800     72.84   0.133178   0.136161   0.139211   0.142329  0.145518     48.60    50.80 
GS FINANCE CORP          40057MYY9 09/30/22 10/12/29    100.000     0.000     6.0800     78.07   0.179677   0.185139   0.190767   0.196567  0.202542     66.54    70.65 
GS FINANCE CORP          40057WW78 12/04/23 12/07/26    100.000     0.000     5.4300      4.07   0.150902   0.154999   0.159207   0.163529  0.167969     55.26    58.30 
GS FINANCE CORP          40057WVV6 11/22/23 05/22/28    100.000     0.000     5.7950      6.28   0.160972   0.165636   0.170436   0.175374  0.180456     59.16    62.64 
GS FINANCE CORP          40057NKZ9 10/14/22 04/15/24    100.000     0.000     5.4650     67.73   0.160239                                                16.66          
GS FINANCE CORP          40057LVV0 05/31/22 05/29/26    100.000     0.000     3.9700     64.37   0.116963   0.119285   0.121653   0.124068  0.126530     42.67    44.39 
GS FINANCE CORP          40057RGE2 04/26/23 04/28/28    100.000     0.000     5.1200     35.08   0.145905   0.149640   0.153471   0.157399  0.161429     53.67    56.46 
GS FINANCE CORP          40057WVT1 11/22/23 05/22/29    100.000     0.000     5.8375      6.32   0.162153   0.166886   0.171757   0.176770  0.181929     59.60    63.13 
GS FINANCE CORP          40057XZ81 01/30/24 01/27/26    100.000     0.000     5.1725                        0.143681   0.147335   0.151145  0.155054     48.12    54.92 
GS FINANCE CORP          40057MYX1 09/30/22 10/12/29    100.000     0.000     6.0800     78.07   0.179677   0.185139   0.190767   0.196567  0.202542     66.54    70.65 
GS FINANCE CORP          40057RXE3 05/31/23 08/29/24    100.000     0.000     5.6858     33.60   0.160159   0.164712                                     38.94          
GS FINANCE CORP          40057MZ77 09/30/22 10/02/28    100.000    VARIES     6.0200     76.72   0.174222   0.177333   0.180556   0.183833  0.187278     63.86    66.21 
GS FINANCE CORP          40057MYV5 09/30/22 04/02/27    100.000     0.000     5.8575     75.12   0.172435   0.177485   0.182683   0.188033  0.193540     63.90    67.70 
GS FINANCE CORP          40057MYW3 09/30/22 10/02/25    100.000     0.000     5.5800     71.49   0.163820   0.168391   0.173089   0.177918               60.62    47.78 
GS FINANCE CORP          40057MZ69 09/30/22 10/12/29    100.000     0.000     6.0800     78.07   0.179677   0.185139   0.190767   0.196567  0.202542     66.54    70.65 
GS FINANCE CORP          40057MYU7 09/30/22 09/30/27    100.000     0.000     5.9500     76.33   0.175258   0.180472   0.185841   0.191370  0.197063     64.99    68.92 
GS FINANCE CORP          40057TN91 08/08/23 08/07/25    100.000     0.000     5.7108     22.68   0.158633   0.163138   0.167796   0.172587               59.24    37.11 
GS FINANCE CORP          40057LWC1 05/31/22 05/28/27    100.000     0.000     4.2100     68.35   0.124458   0.127077   0.129752   0.132484  0.135272     45.45    47.38 
GS FINANCE CORP          40057WFA0 10/18/23 10/18/30    100.000     0.000     6.2800     12.73   0.174444   0.179922   0.185572   0.191398  0.197408     64.60    68.72 
GS FINANCE CORP          40057NLF2 10/26/22 10/24/24    100.000     0.000     5.8583     70.65   0.172349   0.177397                                     51.41          
GS FINANCE CORP          40057RY36 05/22/23 06/03/24    100.000     0.000     5.4200     33.14   0.154892                                                23.54          
GS FINANCE CORP          40057LWA5 05/05/22 05/17/29    100.000    VARIES     4.6800     78.50   0.134279   0.135573   0.136927   0.138283  0.139686     48.72    49.69 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057RXP8 06/05/23 06/07/28    100.000     0.000     5.2200     29.97   0.148828   0.152712   0.156698   0.160788  0.164984     54.47    57.35 
GS FINANCE CORP          40057W4Z7 09/29/23 09/29/28    100.000     0.000     6.0100     15.36   0.166944   0.171961   0.177129   0.182451  0.187934     61.94    65.72 
GS FINANCE CORP          40057W4Y0 09/29/23 10/01/29    100.000    VARIES     5.9995     15.55   0.169795   0.175815   0.176253   0.179591  0.183050     62.62    64.85 
GS FINANCE CORP          40057WEZ6 10/18/23 10/18/28    100.000     0.000     6.1034     12.38   0.169539   0.174713   0.180044   0.185539  0.191201     62.73    66.62 
GS FINANCE CORP          40057NLA3 10/26/22 10/24/25    100.000     0.000     5.9983     72.38   0.176706   0.182006   0.187465   0.193087               65.29    55.94 
GS FINANCE CORP          40057W4X2 09/29/23 10/01/26    100.000     0.000     5.9300     15.16   0.164776   0.169662   0.174693   0.179872  0.185205     61.09    64.77 
GS FINANCE CORP          40057W4W4 09/29/23 10/10/30    100.000     0.000     6.1400     15.72   0.170876   0.176121   0.181528   0.187101  0.192845     63.32    67.27 
GS FINANCE CORP          40057TN26 08/17/23 11/19/26    100.000     0.000     5.6750     21.22   0.159925   0.164463   0.169130   0.173929  0.178864     58.78    62.16 
GS FINANCE CORP          40057NLP0 10/24/22 10/24/24    100.000     0.000     5.8900     71.38   0.173390   0.178496                                     51.72          
GS FINANCE CORP          40057RGY8 05/03/23 05/03/28    100.000     0.000     5.0200     33.39   0.142944   0.146532   0.150210   0.153981  0.157846     52.53    55.20 
GS FINANCE CORP          40057RGX0 04/26/23 10/24/24    100.000     0.000     5.3033     36.35   0.151177   0.155185                                     45.02          
GS FINANCE CORP          40057MZL6 10/05/22 10/07/25    100.000     0.000     5.5300     70.02   0.162273   0.166760   0.171371   0.176109               59.99    48.15 
GS FINANCE CORP          40057WWH6 11/03/23 11/05/26    100.000     0.000     6.2900     10.14   0.174783   0.180280   0.185950   0.191798  0.197830     64.54    68.66 
GS FINANCE CORP          40057WWG8 11/03/23 11/05/25    100.000     0.000     6.2450     10.06   0.173532   0.178951   0.184539   0.190301               64.06    57.14 
GS FINANCE CORP          40057WFF9 11/02/23 11/06/26    100.000     0.000     6.2400     10.23   0.173454   0.178865   0.184446   0.190201  0.196135     64.02    68.08 
GS FINANCE CORP          40057TMZ4 08/17/23 08/16/30    100.000     0.000     5.7160     21.28   0.158778   0.163290   0.167957   0.172757  0.177695     59.21    62.64 
GS FINANCE CORP          40057RY69 06/05/23 06/05/30    100.000     0.000     5.2800     30.31   0.150539   0.154513   0.158592   0.162779  0.167076     55.12    58.07 
GS FINANCE CORP          40057MZH5 10/04/22 10/02/25    100.000     0.000     5.5179     70.03   0.161801   0.166265   0.170852   0.175566               59.86    47.15 
GS FINANCE CORP          40057LWE7 05/31/22 06/11/29    100.000     0.000     4.4800     72.84   0.133178   0.136161   0.139211   0.142329  0.145518     48.60    50.80 
GS FINANCE CORP          40057RGS1 04/27/23 10/22/26    100.000     0.000     4.9887     34.04   0.141936   0.145476   0.149105   0.152824  0.156636     52.23    54.87 
GS FINANCE CORP          40057NLH8 10/26/22 11/04/27    100.000     0.000     6.3400     76.60   0.187718   0.193668   0.199808   0.206141  0.212676     69.34    73.80 
GS FINANCE CORP          40057WFB8 10/18/23 01/19/27    100.000     0.000     6.0713     12.31   0.168647   0.171235   0.176434   0.181789  0.187308     62.44    66.24 
GS FINANCE CORP          40057LWD9 05/31/22 02/28/25    100.000     0.000     3.3333     53.90   0.096484   0.098092   0.099726                          35.42     5.68 
GS FINANCE CORP          40057LX48 05/31/22 05/29/26    100.000     0.000     3.9700     64.37   0.116963   0.119285   0.121653   0.124068  0.126530     42.67    44.39 
GS FINANCE CORP          40057WX36 11/22/23 11/20/26    100.000     0.000     5.7600      6.24   0.160000   0.164557   0.169296   0.174172  0.179188     58.80    62.23 
GS FINANCE CORP          40057W5M5 09/27/23 03/27/29    100.000     0.000     5.9425     15.52   0.165069   0.169974   0.175024   0.180225  0.185580     61.24    64.94 
GS FINANCE CORP          40057TNG5 08/16/23 08/18/28    100.000     0.000     5.6100     21.04   0.155882   0.160254   0.164750   0.169371  0.174122     58.08    61.39 
GS FINANCE CORP          40057WFM4 11/02/23 11/04/26    100.000     0.000     6.2400     10.23   0.173393   0.178803   0.184382   0.190135  0.196067     64.02    68.08 
GS FINANCE CORP          40057NLT2 10/19/22 10/21/25    100.000     0.000     5.8800     72.13   0.173135   0.178225   0.183465   0.188859               63.97    54.18 
GS FINANCE CORP          40057NM46 10/18/22 04/17/25    100.000     0.000     5.7546     70.73   0.169155   0.174022   0.179029                          62.50    18.98 
GS FINANCE CORP          40057WWL7 11/03/23 11/03/28    100.000     0.000     6.4400     10.38   0.178889   0.184649   0.190595   0.196732  0.203067     66.12    70.44 
GS FINANCE CORP          40057WWM5 11/30/23 12/02/26    100.000     0.000     5.6400      4.86   0.156716   0.161135   0.165679   0.170351  0.175155     57.47    60.76 
GS FINANCE CORP          40057WFJ1 11/03/23 11/05/25    100.000     0.000     6.2450     10.06   0.173532   0.178951   0.184539   0.190301               64.06    57.14 
GS FINANCE CORP          40057WWK9 11/30/23 12/11/28    100.000     0.000     5.7100      4.92   0.158888   0.163424   0.168090   0.172889  0.177825     58.20    61.57 
GS FINANCE CORP          40057W5X1 09/29/23 10/01/26    100.000     0.000     5.9300     15.16   0.164776   0.169662   0.174693   0.179872  0.185205     61.09    64.77 
GS FINANCE CORP          40057R7H5 03/29/23 03/31/28    100.000     0.000     4.9700     37.87   0.141506   0.145022   0.148626   0.152319  0.156104     52.22    54.85 
GS FINANCE CORP          40057R7G7 04/05/23 04/05/27    100.000     0.000     5.0450     37.58   0.143674   0.147298   0.151014   0.154823  0.158728     53.01    55.71 
GS FINANCE CORP          40057WWX1 11/06/23 11/06/28    100.000     0.000     6.3300      9.67   0.175833   0.181398   0.187140   0.193063  0.199173     64.92    69.10 
GS FINANCE CORP          40057WFU6 10/12/23 10/09/25    100.000     0.000     6.1429     13.48   0.170636   0.175790   0.181189   0.186754               63.22    51.37 
GS FINANCE CORP          40057W5T0 09/27/23 03/27/28    100.000     0.000     5.9125     15.44   0.164236   0.169091   0.174090   0.179237  0.184535     60.93    64.58 
GS FINANCE CORP          40057MJ91 07/06/22 07/03/25    100.000     0.000     4.1611     63.12   0.120405   0.122910   0.125467   0.128078               44.70    23.30 
GS FINANCE CORP          40057NLZ8 10/25/22 10/23/25    100.000     0.000     6.0783     73.54   0.179202   0.184648   0.190259   0.196042               66.24    56.60 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057LX55 05/31/22 06/11/29    100.000     0.000     4.4800     72.84   0.133178   0.136161   0.139211   0.142329  0.145518     48.60    50.80 
GS FINANCE CORP          40057WFR3 11/03/23 11/09/26    100.000     0.000     6.2900     10.14   0.174905   0.180406   0.186080   0.191932  0.197968     64.54    68.66 
GS FINANCE CORP          40057LX63 05/31/22 05/31/28    100.000     0.000     4.2300     68.68   0.125114   0.127760   0.130462   0.133222  0.136039     45.68    47.64 
GS FINANCE CORP          40057MZX0 09/07/22 09/05/25    100.000     0.000     4.5306     60.83   0.131584   0.134565   0.137613   0.140730               48.61    34.14 
GS FINANCE CORP          40057W6A0 10/04/23 10/02/26    100.000     0.000     5.9717     14.43   0.165881   0.170778   0.175878   0.181129  0.186537     61.49    65.21 
GS FINANCE CORP          40057WGC5 10/31/23 07/29/27    100.000     0.000     6.2800     10.64   0.174444   0.177153   0.182715   0.188453  0.194370     64.54    68.58 
GS FINANCE CORP          40057RZ76 07/06/23 01/06/25    100.000     0.000     5.7600     28.00   0.160000   0.164608   0.169349                          60.07     0.85 
GS FINANCE CORP          40057WGB7 10/31/23 07/30/26    100.000     0.000     6.2167     10.53   0.172686   0.175370   0.180821   0.186442  0.192237     63.88    67.83 
GS FINANCE CORP          40057LXD8 05/18/22 05/27/27    100.000     0.000     4.2400     70.36   0.125561   0.128223   0.130942   0.133718  0.136552     45.86    47.83 
GS FINANCE CORP          40057WXB8 11/03/23 11/05/25    100.000     0.000     6.2450     10.06   0.173532   0.178951   0.184539   0.190301               64.06    57.14 
GS FINANCE CORP          40057LXC0 05/18/22 05/27/27    100.000     0.000     4.2400     70.36   0.125561   0.128223   0.130942   0.133718  0.136552     45.86    47.83 
GS FINANCE CORP          40057NMF1 11/03/22 11/05/24    100.000     0.000     5.9350     70.37   0.174848   0.180037                                     54.09          
GS FINANCE CORP          40057RYP7 06/01/23 06/03/24    100.000     0.000     5.7290     33.56   0.163750                                                24.89          
GS FINANCE CORP          40057MJA8 07/06/22 07/05/24    100.000     0.000     2.7344     41.19   0.078041   0.079108                                     14.55          
GS FINANCE CORP          40057WXL6 11/30/23 12/04/28    100.000     0.000     5.7100      4.92   0.158712   0.163243   0.167904   0.172697  0.177628     58.20    61.57 
GS FINANCE CORP          40057W6J1 09/22/23 09/20/30    100.000     0.000     5.9367     16.33   0.164908   0.169749   0.174788   0.179976  0.185318     61.24    64.92 
GS FINANCE CORP          40057PT85 03/02/23 03/04/25    100.000     0.000     5.4400     45.68   0.155268   0.159492   0.163830                          57.66    10.32 
GS FINANCE CORP          40057PC59 01/31/23 01/29/27    100.000     0.000     4.7958     44.58   0.136393   0.139664   0.143013   0.146442  0.149954     50.70    53.16 
GS FINANCE CORP          40057NMP9 10/31/22 11/02/27    100.000     0.000     6.1000     72.91   0.179999   0.185489   0.191147   0.196977  0.202984     66.45    70.56 
GS FINANCE CORP          40057PT77 03/02/23 08/30/24    100.000     0.000     5.4925     46.12   0.156713   0.160993                                     38.23          
GS FINANCE CORP          40057MJM2 08/02/22 02/02/26    100.000     0.000     4.0550     58.43   0.117253   0.119630   0.122055   0.124530  0.127055     43.35    45.13 
GS FINANCE CORP          40057W6F9 09/13/23 09/11/25    100.000     0.000     5.9217     17.77   0.164492   0.169308   0.174321   0.179482               61.17    44.51 
GS FINANCE CORP          40057PT69 03/02/23 03/04/26    100.000     0.000     5.3500     44.91   0.152632   0.156715   0.160907   0.165211  0.169630     56.65    59.72 
GS FINANCE CORP          40057W6E2 10/04/23 11/01/24    100.000     0.000     6.2400     15.13   0.174145   0.179578                                     53.22          
GS FINANCE CORP          40057NML8 10/26/22 10/26/27    100.000     0.000     6.3500     76.71   0.187767   0.193729   0.199880   0.206226  0.212774     69.46    73.94 
GS FINANCE CORP          40057W6D4 10/04/23 11/01/24    100.000     0.000     6.2400     15.13   0.174145   0.179578                                     53.22          
GS FINANCE CORP          40057RYY8 07/06/23 01/08/25    100.000     0.000     5.7600     28.01   0.160051   0.164661   0.169403                          60.07     1.19 
GS FINANCE CORP          40057LXH9 05/06/22 05/06/27    100.000     0.000     4.4200     74.99   0.131099   0.133996   0.136958   0.139985  0.143078     48.04    50.19 
GS FINANCE CORP          40057PT44 02/28/23 02/26/26    100.000     0.000     5.2288     44.48   0.149000   0.152895   0.156892   0.160994  0.165203     55.33    58.26 
GS FINANCE CORP          40057LXG1 05/06/22 05/06/27    100.000     0.000     4.4200     74.99   0.131099   0.133996   0.136958   0.139985  0.143078     48.04    50.19 
GS FINANCE CORP          40057PT36 02/28/23 02/26/26    100.000     0.000     5.2288     44.48   0.149000   0.152895   0.156892   0.160994  0.165203     55.33    58.26 
GS FINANCE CORP          40057RYX0 07/06/23 07/03/26    100.000     0.000     5.4767     26.62   0.152131   0.156227   0.160505   0.164900  0.169416     57.00    60.16 
GS FINANCE CORP          40057RZ92 07/06/23 07/03/26    100.000     0.000     5.4962     26.72   0.152672   0.156798   0.161107   0.165534  0.170083     57.21    60.39 
GS FINANCE CORP          40057LXF3 05/06/22 05/06/27    100.000     0.000     4.4200     74.99   0.131099   0.133996   0.136958   0.139985  0.143078     48.04    50.19 
GS FINANCE CORP          40057RYW2 06/05/23 07/05/24    100.000     0.000     5.6221     32.30   0.156901   0.161312                                     29.66          
GS FINANCE CORP          40057PTA0 03/08/23 03/10/28    100.000     0.000     5.4800     45.08   0.156441   0.160727   0.165131   0.169656  0.174304     58.05    61.28 
GS FINANCE CORP          40057WXU6 11/30/23 11/29/30    100.000     0.000     5.8250      5.02   0.161806   0.166492   0.171341   0.176331  0.181467     59.40    62.91 
GS FINANCE CORP          40057WXT9 11/30/23 12/02/26    100.000     0.000     5.6400      4.86   0.156716   0.161135   0.165679   0.170351  0.175155     57.47    60.76 
GS FINANCE CORP          36263Q330 06/03/22 06/05/28    100.000     0.000     4.1900     67.64   0.123887   0.126483   0.129132   0.131838  0.134600     45.20    47.12 
GS FINANCE CORP          40057W6P7 10/04/23 10/04/27    100.000     0.000     6.0200     14.55   0.167222   0.172256   0.177441   0.182781  0.188283     62.00    65.78 
GS FINANCE CORP          40057XJS5 01/02/24 12/30/27    100.000     0.000     4.9529             0.137581   0.140950   0.144440   0.148017  0.151683     50.00    52.65 
GS FINANCE CORP          40057PBZ4 02/03/23 02/05/26    100.000     0.000     4.7400     43.65   0.134823   0.138018   0.141289   0.144638  0.148065     50.06    52.46 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057LY21 05/24/22 06/03/27    100.000     0.000     4.4500     73.14   0.132194   0.135135   0.138142   0.141216  0.144358     48.29    50.46 
GS FINANCE CORP          40057P1Y1 03/03/23 03/05/26    100.000     0.000     5.3800     45.01   0.153510   0.157640   0.161880   0.166235  0.170707     56.98    60.08 
GS FINANCE CORP          40057WXQ5 11/30/23 12/02/26    100.000     0.000     5.6400      4.86   0.156716   0.161135   0.165679   0.170351  0.175155     57.47    60.76 
GS FINANCE CORP          40057WXP7 11/30/23 12/02/27    100.000     0.000     5.6750      4.89   0.157689   0.162163   0.166764   0.171496  0.176363     57.84    61.17 
GS FINANCE CORP          40057W6K8 09/15/23 09/17/26    100.000     0.000     5.8000     17.08   0.161163   0.165837   0.170646   0.175595  0.180687     59.85    63.37 
GS FINANCE CORP          40057RZA9 06/01/23 05/30/25    100.000     0.000     5.6325     32.99   0.160840   0.165370   0.170027                          59.00    25.33 
GS FINANCE CORP          40057NNC7 10/19/22 10/17/25    100.000     0.000     5.8708     72.02   0.172738   0.177808   0.183027   0.188400               63.86    53.31 
GS FINANCE CORP          40057W6Y8 09/18/23 09/20/28    100.000     0.000     5.7600     16.49   0.160051   0.164661   0.169403   0.174282  0.179301     59.39    62.86 
GS FINANCE CORP          40057PCF7 02/03/23 02/09/26    100.000     0.000     4.7400     43.66   0.134894   0.138091   0.141363   0.144714  0.148143     50.06    52.46 
GS FINANCE CORP          40057LXZ9 05/24/22 06/03/25    100.000     0.000     4.0100     65.74   0.118343   0.120715   0.123136                          43.16    18.72 
GS FINANCE CORP          40057WXZ5 11/03/23 11/01/30    100.000     0.000     6.5933     10.62   0.183147   0.189118   0.195352   0.201792  0.208445     67.74    72.27 
GS FINANCE CORP          40057RZK7 07/06/23 07/03/26    100.000     0.000     5.4767     26.62   0.152131   0.156227   0.160505   0.164900  0.169416     57.00    60.16 
GS FINANCE CORP          40057WH83 10/31/23 10/29/26    100.000     0.000     6.2267     10.55   0.172964   0.178319   0.183871   0.189595  0.195498     63.91    67.94 
GS FINANCE CORP          40057WXX0 11/15/23 11/15/28    100.000     0.000     6.1400      7.85   0.170556   0.175792   0.181188   0.186751  0.192484     62.83    66.75 
GS FINANCE CORP          40057RZJ0 06/14/23 06/14/30    100.000     0.000     5.4500     29.89   0.155514   0.159752   0.164105   0.168577  0.173171     56.89    60.04 
GS FINANCE CORP          40057P2A9 12/06/22 12/06/27    100.000     0.000     5.2000     56.48   0.152053   0.156007   0.160063   0.164224  0.168494     55.65    58.58 
GS FINANCE CORP          40057PCC4 02/02/23 02/06/26    100.000     0.000     4.8100     44.45   0.136898   0.140190   0.143562   0.147014  0.150550     50.84    53.32 
GS FINANCE CORP          40057LXW6 06/03/22 06/09/25    100.000     0.000     3.6500     58.75   0.107107   0.109062   0.111052                          39.00    17.55 
GS FINANCE CORP          40057PTC6 03/01/23 02/27/25    100.000     0.000     5.5083     46.41   0.157129   0.161456   0.165903                          58.43     9.29 
GS FINANCE CORP          40057WXW2 11/30/23 11/29/30    100.000     0.000     5.8250      5.02   0.161806   0.166492   0.171341   0.176331  0.181467     59.40    62.91 
GS FINANCE CORP          40057PCB6 02/02/23 02/04/26    100.000     0.000     4.8100     44.44   0.136861   0.140153   0.143523   0.146975  0.150510     50.84    53.32 
GS FINANCE CORP          40057PTB8 03/08/23 03/10/28    100.000     0.000     5.4800     45.08   0.156441   0.160727   0.165131   0.169656  0.174304     58.05    61.28 
GS FINANCE CORP          40057WXV4 11/30/23 11/30/29    100.000    VARIES     5.7018      4.91   0.161199   0.161979   0.164607   0.167280  0.170071     58.98    60.74 
GS FINANCE CORP          40057LYG0 05/18/22 05/29/29    100.000     0.000     4.5000     74.78   0.133813   0.136823   0.139902   0.143050  0.146268     48.91    51.13 
GS FINANCE CORP          40057MKG3 07/29/22 08/09/29    100.000     0.000     4.6900     68.22   0.136637   0.139841   0.143121   0.146477  0.149912     50.69    53.09 
GS FINANCE CORP          40057WYE1 11/02/23 02/04/25    100.000     0.000     6.1700     10.11   0.171389   0.174091   0.179462                          63.37     5.92 
GS FINANCE CORP          40057RZW1 07/06/23 01/05/26    100.000     0.000     5.5767     27.11   0.154908   0.159204   0.163643   0.168206  0.172896     58.08    61.36 
GS FINANCE CORP          40057MKH1 07/29/22 05/01/25    100.000     0.000     3.8500     55.82   0.112195   0.114354   0.116556                          41.04    13.99 
GS FINANCE CORP          40057MKF5 07/29/22 05/01/25    100.000     0.000     3.8500     55.82   0.112195   0.114354   0.116556                          41.04    13.99 
GS FINANCE CORP          40057PCN0 01/31/23 01/29/26    100.000     0.000     4.7754     44.39   0.135800   0.139042   0.142362   0.145761  0.149242     50.47    52.91 
GS FINANCE CORP          40057NNJ2 10/25/22 10/24/24    100.000     0.000     5.9383     71.81   0.174866   0.180058                                     52.17          
GS FINANCE CORP          40057MKE8 07/29/22 08/09/29    100.000     0.000     4.6900     68.22   0.136637   0.139841   0.143121   0.146477  0.149912     50.69    53.09 
GS FINANCE CORP          40057P2K7 11/28/22 11/30/27    100.000     0.000     5.4600     60.63   0.160109   0.164480   0.168971   0.173583  0.178322     58.70    61.95 
GS FINANCE CORP          40057PCM2 01/31/23 02/11/30    100.000     0.000     4.9500     46.06   0.141116   0.144609   0.148188   0.151856  0.155614     52.42    55.05 
GS FINANCE CORP          40057MKD0 07/29/22 07/29/27    100.000     0.000     4.5300     65.82   0.131598   0.134579   0.137627   0.140744  0.143932     48.83    51.07 
GS FINANCE CORP          40057LYB1 05/12/22 05/13/27    100.000     0.000     4.4000     73.85   0.130483   0.133354   0.136288   0.139286  0.142350     47.77    49.89 
GS FINANCE CORP          40057NNE3 10/24/22 10/24/24    100.000     0.000     5.8900     71.38   0.173390   0.178496                                     51.72          
GS FINANCE CORP          40057WHM2 10/25/23 04/25/28    100.000     0.000     6.4725     11.87   0.179792   0.185610   0.191617   0.197818  0.204220     66.55    70.93 
GS FINANCE CORP          40057W7K7 09/15/23 06/17/25    100.000     0.000     5.9625     17.59   0.168149   0.173162   0.178324                          61.58    29.60 
GS FINANCE CORP          40057TPE8 08/31/23 09/02/26    100.000     0.000     5.7500     19.33   0.159773   0.164367   0.169092   0.173954  0.178955     59.45    62.92 
GS FINANCE CORP          40057PCX8 01/31/23 02/11/30    100.000     0.000     4.9500     46.06   0.141116   0.144609   0.148188   0.151856  0.155614     52.42    55.05 
GS FINANCE CORP          40057PCW0 01/31/23 01/31/28    100.000     0.000     4.8500     45.09   0.137989   0.141335   0.144763   0.148273  0.151869     51.30    53.82 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057NNS2 10/28/22 10/30/24    100.000     0.000     5.8050     69.65   0.170801   0.175759                                     51.96          
GS FINANCE CORP          40057PCV2 01/31/23 10/30/25    100.000     0.000     4.8517     45.20   0.139713   0.143102   0.146574   0.150129               51.33    44.47 
GS FINANCE CORP          40057TPC2 08/31/23 08/30/30    100.000     0.000     5.7675     19.39   0.160208   0.164803   0.169582   0.174418  0.179503     59.64    63.13 
GS FINANCE CORP          40057PU91 04/05/23 01/06/25    100.000     0.000     5.3213     39.67   0.149802   0.153788   0.157880                          56.06     0.79 
GS FINANCE CORP          40057W7J0 09/14/23 09/16/24    100.000     0.000     5.9951     17.82   0.166586   0.171580                                     43.38          
GS FINANCE CORP          40057TPD0 08/31/23 06/02/26    100.000     0.000     5.7875     19.52   0.163142   0.167863   0.172720   0.177718  0.182861     59.86    63.37 
GS FINANCE CORP          40057TPB4 08/31/23 08/30/30    100.000     0.000     5.7675     19.39   0.160208   0.164803   0.169582   0.174418  0.179503     59.64    63.13 
GS FINANCE CORP          40057PU83 04/04/23 04/02/26    100.000     0.000     5.0696     37.91   0.144352   0.148011   0.151763   0.155610  0.159554     53.28    56.02 
GS FINANCE CORP          40057P2T8 12/02/22 12/06/27    100.000     0.000     5.4700     60.10   0.160467   0.164856   0.169365   0.173997  0.178755     58.78    62.04 
GS FINANCE CORP          40057NNQ6 10/24/22 10/24/24    100.000     0.000     5.8900     71.38   0.173390   0.178496                                     51.72          
GS FINANCE CORP          40057TPA6 08/31/23 09/12/28    100.000     0.000     5.7100     19.22   0.158913   0.163450   0.168116   0.172916  0.177853     59.03    62.45 
GS FINANCE CORP          40057NNP8 11/02/22 11/02/27    100.000     0.000     6.0900     72.43   0.179626   0.185095   0.190732   0.196539  0.202524     66.31    70.40 
GS FINANCE CORP          40057PU75 04/04/23 04/06/26    100.000     0.000     5.0500     37.77   0.143860   0.147493   0.151217   0.155035  0.158950     53.07    55.78 
GS FINANCE CORP          40057PD41 01/31/23 07/30/26    100.000     0.000     4.7708     44.34   0.135683   0.138920   0.142234   0.145627  0.149100     50.42    52.85 
GS FINANCE CORP          40057LYJ4 05/18/22 05/18/27    100.000     0.000     4.2400     70.35   0.125428   0.128087   0.130803   0.133576  0.136408     45.86    47.83 
GS FINANCE CORP          40057WHH3 10/31/23 10/31/28    100.000     0.000     6.3800     10.81   0.177222   0.182876   0.188709   0.194729  0.200941     65.52    69.77 
GS FINANCE CORP          40057RJ90 04/21/23 04/21/38    100.000    VARIES     5.3838     36.99   0.145222   0.141611   0.137944   0.135222  0.135389     51.12    48.93 
GS FINANCE CORP          40057PD33 01/31/23 07/31/25    100.000     0.000     4.9025     45.58   0.139519   0.142939   0.146442   0.150032               51.89    31.25 
GS FINANCE CORP          40057WYH4 11/10/23 11/12/27    100.000     0.000     5.9950      8.50   0.166583   0.171577   0.176720   0.182017  0.187473     61.37    65.10 
GS FINANCE CORP          40057RZZ4 07/06/23 04/02/26    100.000     0.000     5.5267     27.05   0.155546   0.159845   0.164262   0.168801  0.173465     57.55    60.77 
GS FINANCE CORP          40057PTT9 03/14/23 06/12/26    100.000     0.000     5.4183     43.67   0.156633   0.160877   0.165235   0.169712  0.174309     57.32    60.46 
GS FINANCE CORP          40057P2Q4 12/02/22 12/04/24    100.000     0.000     5.3900     59.21   0.157948   0.162205                                     53.36          
GS FINANCE CORP          40057WHG5 10/31/23 10/29/26    100.000     0.000     6.2267     10.55   0.172964   0.178319   0.183871   0.189595  0.195498     63.91    67.94 
GS FINANCE CORP          40057WYG6 11/15/23 11/14/25    100.000     0.000     6.0979      7.79   0.169386   0.174522   0.179843   0.185326               62.39    57.28 
GS FINANCE CORP          40057PTS1 03/14/23 03/14/30    100.000     0.000     5.5600     44.78   0.158738   0.163151   0.167687   0.172348  0.177139     58.90    62.22 
GS FINANCE CORP          40057LYW5 05/17/22 05/14/24    100.000     0.000     2.4800     40.81   0.071469                                                 9.51          
GS FINANCE CORP          36264U876 03/22/23 04/03/29    100.000     0.000     5.1150     40.02   0.145945   0.149677   0.153505   0.157431  0.161458     53.88    56.67 
GS FINANCE CORP          40057RJH2 04/25/23 04/27/28    100.000     0.000     5.1000     35.09   0.145320   0.149026   0.152826   0.156723  0.160720     53.46    56.22 
GS FINANCE CORP          40057TPN8 08/02/23 07/31/25    100.000     0.000     5.6804     23.51   0.157789   0.162221   0.166828   0.171566               58.97    35.72 
GS FINANCE CORP          36263Q223 05/13/22 09/15/27    100.000     0.000     4.4517     74.68   0.131174   0.134094   0.137078   0.140130  0.143249     48.37    50.55 
GS FINANCE CORP          40057RJE9 04/28/23 10/30/24    100.000     0.000     5.0850     34.55   0.144882   0.148566                                     43.98          
GS FINANCE CORP          40057MKW8 07/29/22 07/30/26    100.000     0.000     4.3650     63.37   0.126615   0.129379   0.132202   0.135088  0.138036     46.92    48.99 
GS FINANCE CORP          40057NNZ6 11/02/22 05/02/24    100.000     0.000     5.8750     69.82   0.172923                                                20.92          
GS FINANCE CORP          40057PUA8 04/05/23 04/07/26    100.000     0.000     5.0400     37.55   0.143568   0.147186   0.150895   0.154698  0.158596     52.95    55.65 
GS FINANCE CORP          40057NNX1 10/31/22 10/31/29    100.000    VARIES     6.1500     71.08   0.166889   0.165111   0.163833   0.164333  0.164722     59.54    59.13 
GS FINANCE CORP          40057WZ42 12/01/23 12/03/26    100.000     0.000     5.5400      4.62   0.153936   0.158200   0.162582   0.167086  0.171714     56.43    59.60 
GS FINANCE CORP          40057ML56 07/26/22 07/24/25    100.000     0.000     4.1611     60.71   0.120419   0.122924   0.125481   0.128092               44.60    25.94 
GS FINANCE CORP          40057NNW3 11/02/22 11/04/25    100.000     0.000     5.8600     69.64   0.172512   0.177567   0.182770   0.188125               63.60    56.34 
GS FINANCE CORP          40057RJC3 04/26/23 04/24/25    100.000     0.000     5.2233     35.80   0.148839   0.152726   0.156715                          54.81    17.71 
GS FINANCE CORP          40057WHNO 10/25/23 04/25/29    100.000     0.000     6.5575     12.02   0.182153   0.188125   0.194293   0.200664  0.207243     67.45    71.95 
GS FINANCE CORP          36265J227 04/05/23 04/04/29    100.000     0.000     5.0775     37.83   0.144602   0.148274   0.152038   0.155898  0.159856     53.36    56.11 
GS FINANCE CORP          40057MKS7 08/03/22 08/05/25    100.000     0.000     3.9700     57.07   0.114725   0.117002   0.119324   0.121693               42.38    25.96 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057PCY6 01/31/23 02/11/30    100.000     0.000     4.9500     46.06   0.141116   0.144609   0.148188   0.151856  0.155614     52.42    55.05 
GS FINANCE CORP          40057TQ49 08/31/23 08/31/28    100.000     0.000     5.7100     19.19   0.158611   0.163114   0.167797   0.172534  0.177515     59.03    62.45 
GS FINANCE CORP          40057WYZ4 11/22/23 11/23/26    100.000     0.000     5.7093      6.19   0.158592   0.163144   0.167801   0.172591  0.177518     58.26    61.64 
GS FINANCE CORP          40057PUE0 04/05/23 04/07/26    100.000     0.000     5.0400     37.55   0.143568   0.147186   0.150895   0.154698  0.158596     52.95    55.65 
GS FINANCE CORP          40057WYY7 11/30/23 12/02/26    100.000     0.000     5.6400      4.86   0.156716   0.161135   0.165679   0.170351  0.175155     57.47    60.76 
GS FINANCE CORP          40057LYY1 05/25/22 05/23/25    100.000     0.000     3.7528     61.33   0.110201   0.112269   0.114375                          40.20    16.24 
GS FINANCE CORP          40057RK98 04/28/23 04/30/24    100.000     0.000     5.1800     35.20   0.147658                                                17.57          
GS FINANCE CORP          40057MLK3 07/29/22 07/30/26    100.000     0.000     4.3650     63.37   0.126615   0.129379   0.132202   0.135088  0.138036     46.92    48.99 
GS FINANCE CORP          40057LZH7 05/25/22 05/25/27    100.000     0.000     4.3500     71.32   0.128890   0.131694   0.134558   0.137485  0.140475     47.11    49.18 
GS FINANCE CORP          40057RJV1 04/28/23 04/30/25    100.000     0.000     4.9900     33.90   0.142109   0.145654   0.149289                          52.24    17.77 
GS FINANCE CORP          40057PDP4 02/03/23 08/05/25    100.000     0.000     4.8975     45.12   0.139411   0.142825   0.146322   0.149905               51.81    31.96 
GS FINANCE CORP          40057MLG2 07/29/22 07/31/25    100.000     0.000     4.2000     60.93   0.121632   0.124187   0.126795   0.129457               45.03    26.98 
GS FINANCE CORP          40057PV25 04/05/23 10/03/24    100.000     0.000     5.3963     40.22   0.153897   0.158049                                     42.61          
GS FINANCE CORP          40057WZD2 11/22/23 11/22/27    100.000     0.000     5.7800      6.26   0.160556   0.165196   0.169970   0.174882  0.179936     59.00    62.46 
GS FINANCE CORP          40057PDN9 02/03/23 08/05/25    100.000     0.000     4.8975     45.12   0.139411   0.142825   0.146322   0.149905               51.81    31.96 
GS FINANCE CORP          36255HBY3 04/11/23 04/11/28    100.000     0.500     4.8300     35.85   0.140500   0.143556   0.146722   0.149889  0.153167     51.62    53.90 
GS FINANCE CORP          40057LZE4 06/03/22 06/05/25    100.000     0.000     3.6500     58.75   0.107064   0.109017   0.111007                          39.00    17.10 
GS FINANCE CORP          40057WZC4 11/13/23 03/28/25    100.000     0.000     6.0817      8.11   0.168936   0.172789   0.178043                          62.36    15.49 
GS FINANCE CORP          40057WZB6 11/03/23 05/05/25    100.000     0.000     6.1525      9.92   0.170961   0.176220   0.181641                          63.09    22.52 
GS FINANCE CORP          40057TPX6 08/23/23 02/24/28    100.000     0.000     5.7750     20.53   0.160417   0.165074   0.169841   0.174745  0.179791     59.79    63.29 
GS FINANCE CORP          40057TQ98 07/31/23 10/25/24    100.000     0.000     5.8433     24.66   0.164553   0.169361                                     49.24          
GS FINANCE CORP          40057LZB0 06/03/22 06/05/25    100.000     0.000     3.6500     58.75   0.107064   0.109017   0.111007                          39.00    17.10 
GS FINANCE CORP          40057TPW8 08/23/23 02/23/29    100.000     0.000     5.8000     20.62   0.161111   0.165783   0.170591   0.175538  0.180629     60.05    63.59 
GS FINANCE CORP          40057XM36 02/05/24 02/08/27    100.000     0.000     4.9200             0.136667   0.136723   0.140086   0.143532  0.147063     45.05    52.05 
GS FINANCE CORP          40057WZQ3 11/27/23 11/27/25    100.000     0.000     5.7500      5.43   0.159722   0.164314   0.169038   0.173898               58.64    55.98 
GS FINANCE CORP          36263Q181 05/18/22 06/05/29    100.000     0.000     4.5000     74.78   0.133913   0.136926   0.140007   0.143157  0.146378     48.91    51.14 
GS FINANCE CORP          40057TQD9 08/31/23 09/12/30    100.000     0.000     5.7700     19.43   0.160586   0.165219   0.169986   0.174890  0.179935     59.67    63.16 
GS FINANCE CORP          40057WZN0 11/30/23 06/01/26    100.000     0.000     5.7025      4.91   0.158403   0.162944   0.167590   0.172369  0.177283     58.12    61.48 
GS FINANCE CORP          40057TQC1 08/31/23 08/31/29    100.000     0.000     5.6725     19.07   0.157569   0.162014   0.166634   0.171308  0.176221     58.63    62.00 
GS FINANCE CORP          40057PUX8 03/31/23 04/02/26    100.000     0.000     5.1300     38.95   0.146197   0.149947   0.153793   0.157738  0.161784     53.98    56.79 
GS FINANCE CORP          40057MLM9 07/29/22 07/31/28    100.000     0.000     4.6100     67.01   0.134044   0.137134   0.140295   0.143529  0.146837     49.76    52.08 
GS FINANCE CORP          40057TQB3 08/31/23 09/02/26    100.000     0.000     5.7500     19.33   0.159773   0.164367   0.169092   0.173954  0.178955     59.45    62.92 
GS FINANCE CORP          40057MLN7 07/15/22 07/15/27    100.000     0.000     4.6700     69.80   0.135851   0.139023   0.142269   0.145591  0.148991     50.54    52.93 
GS FINANCE CORP          40057PV74 04/05/23 04/03/26    100.000     0.000     5.0588     37.69   0.144037   0.147680   0.151416   0.155246  0.159172     53.16    55.88 
GS FINANCE CORP          36265J193 04/05/23 04/05/28    100.000     0.000     5.0500     37.62   0.143820   0.147451   0.151174   0.154992  0.158905     53.06    55.77 
GS FINANCE CORP          40057MLL1 07/29/22 08/09/29    100.000     0.000     4.6900     68.22   0.136637   0.139841   0.143121   0.146477  0.149912     50.69    53.09 
GS Fin Corp Medium Term  40057KY31 02/28/22 03/12/29    100.000     0.000     3.2400     61.02   0.094565   0.096097   0.097653   0.099235  0.100843     34.66    35.79 
GS Fin Corp Medium Term  36255H2A5 06/22/18 06/23/25    100.000     0.500     4.0576    245.51   0.137159   0.139660   0.142212                          49.87    24.46 
GS Finance Cor           40057TUH5 09/06/23 09/17/30    100.000     0.000     6.6500     21.28   0.185098   0.191252   0.197611   0.204182  0.210971     69.04    73.71 
GS Finance Corp          40057P4H2 12/27/22 12/26/25    100.000     0.000     5.0613     51.85   0.147777   0.151517   0.155351   0.159283               53.91    55.86 
GS Finance Corp          40057PEJ7 01/25/23 01/25/28    100.000     0.000     4.9600     46.83   0.141195   0.144696   0.148285   0.151962  0.155731     52.57    55.21 
GS Finance Corp          40057P4F6 12/27/22 12/28/27    100.000     0.000     5.3200     54.53   0.155767   0.159910   0.164164   0.168530  0.173013     56.85    59.91 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp          40057PEH1 01/25/23 01/25/29    100.000     0.000     4.9950     47.16   0.142215   0.145767   0.149408   0.153139  0.156964     52.96    55.64 
GS Finance Corp          40057TQST 09/06/23 09/03/26    100.000     0.000     5.6142     17.93   0.155950   0.160255   0.164753   0.169378  0.174133     57.96    61.25 
GS Finance Corp          40057P4C3 01/03/23 01/03/28    100.000     0.000     5.4600     55.03   0.155807   0.160061   0.164430   0.168919  0.173531     58.39    61.62 
GS Finance Corp          40057P4S8 12/28/22 01/11/30    100.000     0.000     5.4300     55.55   0.155232   0.159447   0.163776   0.168222  0.172790     58.09    61.29 
GS Finance Corp          40057P4R0 12/28/22 01/09/30    100.000     0.000     5.4300     55.55   0.155186   0.159399   0.163726   0.168172  0.172738     58.09    61.29 
GS Finance Corp          40057P4Q2 12/28/22 12/26/25    100.000     0.000     5.0725     51.82   0.148100   0.151856   0.155708   0.159657               54.03    55.99 
GS Finance Corp          40057PF23 01/31/23 01/31/28    100.000     0.000     4.8500     45.09   0.137989   0.141335   0.144763   0.148273  0.151869     51.30    53.82 
GS Finance Corp          40057PEQ1 01/11/23 01/11/27    100.000     0.000     5.1850     51.04   0.147762   0.151592   0.155522   0.159554  0.163691     55.20    58.10 
GS Finance Corp          40057P4P4 12/28/22 12/27/27    100.000     0.000     5.3092     54.27   0.155389   0.159514   0.163749   0.168096  0.172558     56.72    59.77 
GS Finance Corp          40057PEN8 01/11/23 01/14/30    100.000     0.000     5.3700     52.90   0.153240   0.157355   0.161580   0.165918  0.170373     57.30    60.42 
GS Finance Corp          40057PF98 01/17/23 01/14/28    100.000     0.000     5.1908     50.22   0.147869   0.151707   0.155644   0.159684  0.163828     55.22    58.13 
GS Finance Corp          40057TRD8 09/06/23 03/05/26    100.000     0.000     5.6992     18.21   0.158311   0.162797   0.167436   0.172208  0.177115     58.86    62.26 
GS Finance Corp          40057PF72 01/27/23 01/29/24    100.000     0.000     5.3200     49.97   0.151754                                                 4.25          
GS Finance Corp          40057PEU2 01/23/23 01/28/30    100.000     0.000     4.9000     46.55   0.139541   0.142959   0.146462   0.150050  0.153727     51.91    54.48 
GS Finance Corp          40057P4T6 12/28/22 12/30/25    100.000     0.000     5.0600     51.68   0.147799   0.151538   0.155372   0.159303               53.89    56.49 
GS Finance Corp          40057P5D0 12/30/22 12/31/26    100.000     0.000     5.2400     53.24   0.153283   0.157299   0.161420   0.165649  0.169989     55.91    58.88 
GS Finance Corp          40057PFF4 01/25/23 01/25/28    100.000     0.000     4.9600     46.83   0.141195   0.144696   0.148285   0.151962  0.155731     52.57    55.21 
GS Finance Corp          40057PFD9 01/13/23 01/14/27    100.000     0.000     5.1850     50.75   0.147782   0.151614   0.155544   0.159577  0.163714     55.19    58.09 
GS Finance Corp          40057PFB3 01/23/23 01/22/27    100.000     0.000     4.7650     45.24   0.135497   0.138725   0.142030   0.145414  0.148879     50.40    52.83 
GS Finance Corp          36263Q496 06/21/22 07/05/29    100.000     0.000     5.1100     80.17   0.149587   0.153409   0.157329   0.161348  0.165471     55.90    58.79 
GS Finance Corp          40057TRL0 09/06/23 06/04/26    100.000     0.000     5.6567     18.13   0.159303   0.163809   0.168442   0.173206  0.178105     58.41    61.76 
GS Finance Corp          40057P5L2 12/28/22 09/25/25    100.000     0.000     5.1100     52.36   0.147369   0.151134   0.154996   0.158956               54.46    41.63 
GS Finance Corp          40057P5K4 12/28/22 06/25/26    100.000     0.000     5.1142     52.25   0.149357   0.153176   0.157093   0.161110  0.165230     54.50    57.33 
GS Finance Corp          40057PFM9 01/11/23 01/09/25    100.000     0.000     5.1892     51.09   0.147843   0.151679   0.155614                          55.25     1.24 
GS Finance Corp          40057P5J7 12/30/22 01/04/29    100.000    VARIES     5.5050     55.63   0.158667   0.160222   0.163500   0.168389  0.169667     57.79    59.75 
GS Finance Corp          40057PFL1 01/18/23 07/17/24    100.000     0.000     5.1392     49.56   0.146403   0.150165                                     29.37          
GS Finance Corp          40057PFK3 01/18/23 07/17/24    100.000     0.000     5.1392     49.56   0.146403   0.150165                                     29.37          
GS Finance Corp          40057P5H1 12/30/22 01/11/30    100.000     0.000     5.4900     55.85   0.156949   0.161257   0.165684   0.170232  0.174905     58.76    62.03 
GS Finance Corp          40057P5G3 12/30/22 01/02/26    100.000     0.000     5.1100     51.91   0.145612   0.149333   0.153148   0.157061  0.161074     54.44    57.26 
GS Finance Corp          40057PFH0 01/30/23 01/30/26    100.000     0.000     4.7600     44.24   0.135369   0.138591   0.141889   0.145266  0.148724     50.30    52.72 
GS Finance Corp          40057P5U2 12/28/22 12/27/27    100.000     0.000     5.3092     54.27   0.155389   0.159514   0.163749   0.168096  0.172558     56.72    59.77 
GS Finance Corp          40057PFU1 01/23/23 01/29/24    100.000     0.000     5.2100     49.53   0.148621                                                 4.16          
GS Finance Corp          40057P5P3 12/14/22 12/16/27    100.000     0.000     5.2700     56.02   0.154250   0.158315   0.162486   0.166768  0.171162     56.39    59.40 
GS Finance Corp          40057PFY3 01/23/23 01/23/26    100.000     0.000     4.7100     44.71   0.133914   0.137068   0.140296   0.143600  0.146982     49.79    52.16 
GS Finance Corp          40057P5X6 12/28/22 12/26/25    100.000     0.000     5.0725     51.82   0.148100   0.151856   0.155708   0.159657               54.03    55.99 
GS Finance Corp          40057PG89 01/26/23 01/31/28    100.000     0.000     4.9700     46.79   0.141564   0.145082   0.148688   0.152382  0.156169     52.67    55.32 
GS Finance Corp          40057PFW7 02/03/23 02/06/24    100.000     0.000     5.3700     49.53   0.153240                                                 5.36          
GS Finance Corp          40057P6E7 12/27/22 12/27/28    100.000     0.000     5.3800     55.15   0.157593   0.161832   0.166185   0.170656  0.175246     57.53    60.67 
GS Finance Corp          40057TT46 09/06/23 03/05/29    100.000     0.000     5.5946     17.87   0.155406   0.159729   0.164197   0.168790  0.173511     57.74    61.02 
GS Finance Corp          40057P6N7 12/27/22 12/24/27    100.000     0.000     5.3088     54.43   0.155332   0.159455   0.163688   0.168033  0.172493     56.72    59.77 
GS Finance Corp          40057P6W7 12/14/22 12/12/25    100.000     0.000     5.0871     54.05   0.148547   0.152326   0.156200   0.160173               54.30    53.98 
GS Finance Corp          40057TTC8 09/06/23 10/03/24    100.000     0.000     5.9400     19.04   0.165735   0.170657                                     45.97          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp          40057P6U1 12/20/22 12/19/24    100.000     0.000     5.2238     54.60   0.152763   0.156753                                     53.88          
GS Finance Corp          40057P6T4 12/20/22 12/20/27    100.000     0.000     5.1200     53.50   0.149597   0.153427   0.157355   0.161383  0.165514     54.63    57.46 
GS Finance Corp          40057TTL8 09/05/23 12/05/24    100.000     0.000     5.9262     19.16   0.167056   0.172006                                     56.69          
GS Finance Corp          40057TTM6 09/05/23 10/03/24    100.000     0.000     5.9700     19.30   0.166603   0.171576                                     46.21          
GS Finance Corp          40057P7H9 01/06/23 01/09/24    100.000     0.000     5.4900     54.88   0.156758                                                 1.25          
GS Finance Corp          40057P7B2 12/29/22 12/29/27    100.000     0.000     5.3700     54.74   0.157284   0.161508   0.165844   0.170297  0.174869     57.40    60.52 
GS Finance Corp          36263Q660 06/15/22 06/13/25    100.000     0.000     4.1319     65.22   0.122009   0.124530   0.127102                          44.47    20.59 
GS Finance Corp          36263Q678 06/15/22 06/15/26    100.000     0.000     4.4440     70.26   0.131857   0.134787   0.137782   0.140844  0.143973     48.09    50.25 
GS Finance Corp          40057TUZ5 09/06/23 09/06/28    100.000     0.000     5.5800     17.83   0.155000   0.159325   0.163770   0.168339  0.173035     57.59    60.85 
GS Finance Corp          40057MAL3 06/30/22 07/02/26    100.000     0.000     4.6500     71.53   0.135278   0.138423   0.141641   0.144934  0.148304     50.41    52.78 
GS Finance Corp          40057MAK5 06/30/22 07/02/25    100.000     0.000     4.4500     68.38   0.129205   0.132080   0.135019   0.138023               48.07    24.98 
GS Finance Corp          40057MAP4 06/30/22 06/30/28    100.000     0.000     4.9300     75.94   0.147323   0.150955   0.154676   0.158488  0.162395     53.70    56.38 
GS Finance Corp          40057TX58 09/06/23 09/03/26    100.000     0.000     5.6142     17.93   0.155950   0.160255   0.164753   0.169378  0.174133     57.96    61.25 
GS Finance Corp          40057TWR1 09/06/23 09/03/26    100.000     0.000     5.6142     17.93   0.155950   0.160255   0.164753   0.169378  0.174133     57.96    61.25 
GS Finance Corp          40057MB81 06/30/22 07/12/29    100.000     0.000     5.0100     77.24   0.146470   0.150140   0.153901   0.157756  0.161708     54.65    57.42 
GS Finance Corp          40057T5X3 09/06/23 09/03/27    100.000     0.000     5.5908     17.86   0.155300   0.159569   0.164029   0.168615  0.173328     57.71    60.97 
GS Finance Corp          40057MBF5 06/30/22 07/12/29    100.000     0.000     5.0100     77.24   0.146470   0.150140   0.153901   0.157756  0.161708     54.65    57.42 
GS Finance Corp          40057TXE9 09/05/23 09/05/28    100.000     0.000     5.6000     18.04   0.155556   0.159911   0.164389   0.168992  0.173723     57.81    61.09 
GS Finance Corp          40057XC52 12/15/23 09/17/26    100.000     0.000     5.4688      2.43   0.151911   0.154034   0.158246   0.162573  0.167019     55.73    58.66 
GS Finance Corp          40057MC49 06/23/22 06/22/27    100.000     0.000     4.8529     75.74   0.144837   0.148351   0.151951   0.155638  0.159414     52.84    55.43 
GS Finance Corp          40057MCN7 06/21/22 06/22/27    100.000     0.000     4.9100     76.94   0.146702   0.150304   0.153994   0.157774  0.161647     53.53    56.19 
GS Finance Corp          40057MCV9 06/21/22 06/18/27    100.000     0.000     4.8917     76.66   0.146039   0.149610   0.153270   0.157018  0.160859     53.31    55.95 
GS Finance Corp          40057MCR8 06/15/22 06/15/27    100.000     0.000     4.6300     73.27   0.137752   0.140940   0.144203   0.147542  0.150957     50.27    52.62 
GS Finance Corp          40057TYU2 09/06/23 06/04/26    100.000     0.000     5.6567     18.13   0.159303   0.163809   0.168442   0.173206  0.178105     58.41    61.76 
GS Finance Corp          40057MCZ0 06/21/22 08/08/24    100.000     0.000     4.2600     66.60   0.124114   0.126758                                     27.41          
GS Finance Corp          40057XDM4 12/27/23 12/27/30    100.000     0.000     5.2200      0.58   0.145000   0.148784   0.152668   0.156652  0.160741     52.91    55.71 
GS Finance Corp          40057MDN6 06/23/22 06/21/24    100.000     0.000     2.8494     44.02   0.082568                                                14.04          
GS Finance Corp          40057ME54 06/15/22 12/15/25    100.000     0.000     4.3450     68.66   0.128733   0.131530   0.134387   0.137307               46.94    46.75 
GS Finance Corp          40057MED7 06/23/22 12/20/24    100.000     0.000     3.5928     55.71   0.105245   0.107135                                     37.07          
GS Finance Corp          40057MEC9 06/23/22 06/20/24    100.000     0.000     2.8494     44.02   0.082562                                                13.95          
GS Finance Corp          40057XEJ0 12/27/23 09/24/26    100.000     0.000     5.1900      0.58   0.144167   0.145975   0.149763   0.153649  0.157636     52.77    55.38 
GS Finance Corp          40057XF42 12/05/23 12/04/25    100.000     0.000     5.6571      4.09   0.157142   0.161562   0.166132   0.170831               57.61    56.17 
GS Finance Corp          40057XF34 12/20/23 12/20/28    100.000     0.000     5.0383      1.54   0.139953   0.143478   0.147093   0.150798  0.154597     51.10    53.70 
GS Finance Corp          40057XF26 12/29/23 12/31/26    100.000     0.000     5.0000      0.28   0.138908   0.142381   0.145940   0.149589  0.153329     50.64    53.20 
GS Finance Corp          40057XEV3 12/27/23 06/26/29    100.000     0.000     5.1329      0.57   0.142581   0.146219   0.149972   0.153821  0.157769     52.02    54.72 
GS Finance Corp          40057MFD6 06/24/22 06/28/27    100.000     0.000     4.8700     75.86   0.145481   0.149024   0.152652   0.156369  0.160177     53.03    55.65 
GS Finance Corp          40057XFN2 12/27/23 12/27/30    100.000     0.000     5.2200      0.58   0.145000   0.148784   0.152668   0.156652  0.160741     52.91    55.71 
GS Finance Corp          36264U504 12/21/22 01/04/29    100.000     0.000     5.1850     54.05   0.148038   0.151876   0.155814   0.159853  0.163997     55.36    58.27 
GS Finance Corp          40057MFK0 06/21/22 06/20/25    100.000     0.000     4.3458     67.90   0.128743   0.131540   0.134399                          46.91    22.71 
GS Finance Corp          40057XFH3 12/05/23 12/04/25    100.000     0.000     5.5496      4.01   0.154156   0.158409   0.162805   0.167322               56.50    55.03 
GS Finance Corp          40057M5U9 06/21/22 06/23/25    100.000     0.000     4.4700     69.89   0.132712   0.135679   0.138711                          48.36    23.86 
GS Finance Corp          40057XFW0 12/20/23 12/20/27    100.000     0.000     5.0550      1.54   0.140417   0.143966   0.147604   0.151335  0.155160     51.27    53.89 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp          40057XG58 12/20/23 12/20/28    100.000     0.000     5.0700      1.55   0.140833   0.144403   0.148064   0.151818  0.155666     51.42    54.06 
GS Finance Corp          40057WTY3 12/05/23 01/06/25    100.000     0.000     5.7779      4.17   0.160497   0.161296   0.165956                          58.88     0.83 
GS Finance Corp          40057MGF0 06/23/22 06/22/27    100.000     0.000     4.8529     75.74   0.144837   0.148351   0.151951   0.155638  0.159414     52.84    55.43 
GS Finance Corp          40057MGC7 06/27/22 06/29/26    100.000     0.000     4.5800     70.83   0.136199   0.139318   0.142508   0.145771  0.149110     49.61    51.90 
GS Finance Corp          40057MGM5 06/27/22 06/25/26    100.000     0.000     4.5617     70.55   0.135550   0.138642   0.141804   0.145038  0.148346     49.39    51.67 
GS Finance Corp          40057MGV5 06/30/22 07/01/27    100.000     0.000     4.8500     74.67   0.144782   0.144782   0.151889   0.151889  0.159345     52.75    55.34 
GS Finance Corp          40057XH65 12/14/23 12/14/28    100.000     0.000     5.5200      2.61   0.153333   0.157565   0.161914   0.166383  0.170975     56.11    59.25 
GS Finance Corp          40057XH40 12/14/23 12/16/27    100.000     0.000     5.4900      2.59   0.152547   0.156734   0.161036   0.165457  0.169998     55.80    58.90 
GS Finance Corp          40057XH24 12/14/23 12/16/25    100.000     0.000     5.5900      2.64   0.155326   0.159667   0.164130   0.168717               56.83    57.45 
GS Finance Corp          40057M6Z7 06/23/22 06/23/26    100.000     0.000     4.6650     72.73   0.138864   0.142103   0.145418   0.148809  0.152280     50.63    53.02 
GS Finance Corp          40057M6Y0 06/23/22 06/23/28    100.000     0.000     4.9550     77.37   0.148124   0.151794   0.155555   0.159409  0.163358     54.04    56.76 
GS Finance Corp          40057XGZ2 12/14/23 12/16/26    100.000     0.000     5.4600      2.58   0.151713   0.155854   0.160109   0.164480  0.168971     55.49    58.56 
GS Finance Corp          40057M7H6 06/30/22 07/02/26    100.000     0.000     4.6500     71.53   0.135278   0.138423   0.141641   0.144934  0.148304     50.41    52.78 
GS Finance Corp          40057WVG9 12/05/23 09/03/26    100.000     0.000     5.5483      4.01   0.154119   0.156210   0.160543   0.164997  0.169574     56.62    59.66 
GS Finance Corp          40057M7G8 06/30/22 04/01/25    100.000     0.000     4.0792     62.67   0.119197   0.121628   0.124109                          43.79    11.17 
GS Finance Corp          40057M7F0 06/30/22 07/12/29    100.000     0.000     5.0100     77.24   0.146470   0.150140   0.153901   0.157756  0.161708     54.65    57.42 
GS Finance Corp          40057M7E3 06/30/22 07/01/27    100.000     0.000     4.8500     74.67   0.144782   0.144782   0.151889   0.151889  0.159345     52.75    55.34 
GS Finance Corp          40057MHR3 06/30/22 07/02/24    100.000     0.000     2.9667     45.25   0.084885   0.086144                                     15.59          
GS Finance Corp          40057X7L3 12/05/23 12/05/28    100.000     0.000     5.6100      4.05   0.155833   0.160204   0.164698   0.169318  0.174067     57.12    60.37 
GS Finance Corp          40057PA51 12/27/22 12/30/24    100.000     0.000     5.1850     53.13   0.151658   0.155590                                     55.15          
GS Finance Corp          40057M7K9 06/30/22 07/12/29    100.000     0.000     5.0100     77.24   0.146470   0.150140   0.153901   0.157756  0.161708     54.65    57.42 
GS Finance Corp          40057M7J2 06/30/22 04/01/25    100.000     0.000     4.0792     62.67   0.119197   0.121628   0.124109                          43.79    11.17 
GS Finance Corp          40057MHZ5 06/29/22 06/27/25    100.000     0.000     4.2583     65.50   0.125974   0.128657   0.131396                          45.86    23.13 
GS Finance Corp          40057PAA0 12/27/22 12/26/25    100.000     0.000     5.0613     51.85   0.147777   0.151517   0.155351   0.159283               53.91    55.86 
GS Finance Corp          40057WWB9 12/05/23 12/07/26    100.000     0.000     5.5000      3.97   0.152824   0.157027   0.161345   0.165782  0.170341     55.98    59.10 
GS Finance Corp          40057PAL6 12/28/22 12/30/25    100.000     0.000     5.0600     51.68   0.147799   0.151538   0.155372   0.159303               53.89    56.49 
GS Finance Corp          40057WWA1 12/04/23 12/03/26    100.000     0.000     5.4446      4.08   0.151239   0.155333   0.159562   0.163906  0.168368     55.42    58.47 
GS Finance Corp          40057PAG7 12/28/22 12/27/24    100.000     0.000     5.2225     53.37   0.152723   0.156711                                     55.09          
GS Finance Corp          40057TNF7 09/06/23 09/03/26    100.000     0.000     5.6142     17.93   0.155950   0.160255   0.164753   0.169378  0.174133     57.96    61.25 
GS Finance Corp          40057PB84 01/05/23 01/06/28    100.000     0.000     5.4200     54.32   0.154658   0.158850   0.163154   0.167576  0.172117     57.92    61.10 
GS Finance Corp          40057PBF8 12/29/22 12/27/24    100.000     0.000     5.2617     53.62   0.153906   0.157955                                     55.52          
GS Finance Corp          40057TNP5 09/06/23 09/06/28    100.000     0.000     5.5800     17.83   0.155000   0.159325   0.163770   0.168339  0.173035     57.59    60.85 
GS Finance Corp          36264U603 01/05/23 01/04/29    100.000     0.000     5.4788     54.91   0.156335   0.160617   0.165017   0.169538  0.174182     58.59    61.84 
GS Finance Corp          40057WWV5 12/04/23 12/13/30    100.000     0.000     5.7000      4.28   0.158559   0.163078   0.167726   0.172506  0.177422     58.06    61.42 
GS Finance Corp          40057XJ63 12/21/23 12/12/28    100.000     0.000     5.1100      1.42   0.141944   0.145390   0.149105   0.152914  0.156821     51.86    54.51 
GS Finance Corp          40057TNK6 09/06/23 12/11/24    100.000     0.000     5.8975     18.89   0.166369   0.171275                                     57.45          
GS Finance Corp          40057PBN1 02/02/23 02/02/28    100.000     0.000     4.9300     45.56   0.140320   0.143779   0.147323   0.150955  0.154676     52.18    54.79 
GS Finance Corp          40057MJD2 07/01/22 07/01/27    100.000     0.000     4.8900     75.16   0.146042   0.146042   0.153271   0.153271  0.160858     53.22    55.85 
GS Finance Corp          40057PBJ0 01/06/23 07/07/28    100.000     0.000     5.4425     54.39   0.155317   0.159544   0.163886   0.168345  0.172926     58.17    61.37 
GS Finance Corp          40057PBH4 01/03/23 12/29/27    100.000     0.500     5.3100     54.61   0.158500   0.162333   0.166278   0.170333  0.174444     57.76    60.59 
GS Finance Corp          40057PBQ4 01/04/23 01/03/28    100.000     0.000     5.3983     54.25   0.153978   0.158134   0.162402   0.166786  0.171287     57.68    60.84 
GS Finance Corp          40057XJR7 12/20/23 12/22/26    100.000     0.000     5.0400      1.54   0.140039   0.143568   0.147186   0.150895  0.154698     51.11    53.72 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp          40057TP57 09/06/23 09/03/26    100.000     0.000     5.6346     18.00   0.156517   0.160853   0.165384   0.170044  0.174834     58.17    61.49 
GS Finance Corp          40057TP40 09/06/23 09/05/25    100.000     0.000     5.7842     18.48   0.160672   0.165293   0.170074   0.174992               59.76    42.38 
GS Finance Corp          40057TP32 09/06/23 09/08/26    100.000     0.000     5.6200     17.96   0.156160   0.160548   0.165059   0.169698  0.174466     58.01    61.32 
GS Finance Corp          40057PCP5 02/03/23 02/05/26    100.000     0.000     4.7400     43.65   0.134823   0.138018   0.141289   0.144638  0.148065     50.06    52.46 
GS Finance Corp          40057TP73 09/06/23 09/08/26    100.000     0.000     5.6000     17.89   0.155604   0.159961   0.164440   0.169044  0.173777     57.80    61.08 
GS Finance Corp          40057TPH1 09/06/23 09/03/26    100.000     0.000     5.6142     17.93   0.155950   0.160255   0.164753   0.169378  0.174133     57.96    61.25 
GS Finance Corp          40057TPF5 09/06/23 09/15/26    100.000     0.000     5.6000     17.91   0.155773   0.160135   0.164619   0.169228  0.173966     57.80    61.08 
GS Finance Corp          40057P3G5 12/28/22 06/26/25    100.000     0.000     5.1475     52.60   0.150399   0.154270   0.158241                          54.88    27.69 
GS Finance Corp          40057PE81 01/25/23 01/25/27    100.000     0.000     4.8900     46.16   0.139154   0.142557   0.146042   0.149613  0.153271     51.78    54.35 
GS Finance Corp          40057P3V2 01/04/23 07/03/25    100.000     0.000     5.2204     52.44   0.148775   0.152658   0.156643   0.160732               55.66    29.25 
GS Finance Corp          40057PE73 01/25/23 01/25/28    100.000     0.000     4.9600     46.83   0.141195   0.144696   0.148285   0.151962  0.155731     52.57    55.21 
GS Finance Corp          40057P3S9 01/04/23 07/03/25    100.000     0.000     5.2204     52.44   0.148775   0.152658   0.156643   0.160732               55.66    29.25 
GS Finance Corp.         40055QCU4 06/29/18 07/11/25    100.000     0.000     4.0800    249.06   0.138886   0.141719   0.144610   0.147560               51.48    28.01 
GS Finance Corp.         40054K7K6 04/29/16 04/30/26    100.000     0.000     3.2999    285.49   0.117178   0.119111   0.121076   0.123074  0.125105     42.77    44.19 
GS Finance Corp.         40055A4D6 11/30/17 12/13/27    100.000     0.000     3.3000    220.45   0.111691   0.113534   0.115407   0.117311  0.119247     40.61    41.96 
GS Finance Corp.         40055QCS9 06/29/18 03/31/25    100.000     0.000     4.0414    246.55   0.138523   0.141322   0.144177                          50.89    12.83 
GS Finance Corp.         36254F582 02/05/18 02/05/25    100.000     0.000     3.4781    225.88   0.116791   0.118822   0.120888                          43.01     4.11 
GS Finance Corp.         40054K7J9 04/29/16 05/01/24    100.000     0.000     3.0000    256.70   0.104205                                                12.50          
GS Finance Corp.         40055Q2R2 05/04/18 05/02/24    100.000     1.450     3.8675    234.17   0.124014                                                15.01          
GS Finance Corp.         40055A4B0 11/27/17 05/27/25    100.000     0.000     3.1501    209.86   0.105552   0.107214   0.108903                          38.41    15.90 
GS Finance Corp.         40057HNH9 06/30/21 06/30/31    100.000    VARIES     2.3198     56.92   0.062102   0.062290   0.062505   0.062718  0.062929     22.39    22.54 
GS Finance Corp.         40055A4C8 11/30/17 12/12/24    100.000     0.000     2.9999    198.70   0.099731   0.101227                                     34.28          
GS Finance Corp.         40055QCN0 06/29/18 12/31/25    100.000     0.000     4.1267    252.18   0.143523   0.146485   0.149507   0.152592               52.21    54.23 
GS Finance Corp.         40054KYJ9 03/31/17 03/31/25    100.000     0.000     3.2999    247.39   0.113396   0.115267   0.117169                          41.50    10.43 
GS Finance Corp.         40056XSK3 12/27/19 01/08/27    100.000     0.000     2.7200    114.47   0.083119   0.084250   0.085395   0.086557  0.087734     30.52    31.36 
GS Finance Corp.         40054LKV5 07/28/17 07/28/25    100.000     0.000     3.1002    218.56   0.103572   0.105178   0.106808   0.108464               38.07    22.41 
GS Finance Corp.         40055AVQ7 04/30/18 01/30/25    100.000     0.000     4.0014    251.94   0.136854   0.139592   0.142385                          50.60     4.13 
GS Finance Corp.         40055AVR5 04/30/18 10/30/25    100.000     0.000     4.0867    257.85   0.141807   0.144704   0.147661   0.150678               51.93    44.69 
GS Finance Corp.         40055AW37 04/27/18 04/29/26    100.000     0.000     4.0867    258.27   0.141839   0.144737   0.147695   0.150713  0.153792     51.95    54.09 
GS Finance Corp.         40054KHR0 08/24/16 08/24/26    100.000     0.000     2.8998    235.78   0.098534   0.099963   0.101412   0.102883  0.104374     36.09    37.15 
GS Finance Corp.         36262Y227 02/16/22 03/05/29    100.000     0.000     3.0267     57.98   0.088092   0.089425   0.090778   0.092152  0.093547     32.26    33.25 
GS Finance Corp.         40057F7J7 01/29/21 01/29/36    100.000    VARIES     2.3898     67.12   0.060810   0.059999   0.059439   0.059081  0.058916     21.54    21.25 
GS Finance Corp.         40055A4K0 11/27/17 11/24/25    100.000     0.000     3.2000    213.49   0.107512   0.109233   0.110980   0.112756               39.14    36.17 
GS Finance Corp.         40055Q2X9 05/17/18 05/29/25    100.000     0.000     3.9900    248.77   0.137917   0.140669   0.143475                          50.32    21.23 
GS Finance Corp.         40054K7L4 04/28/16 04/30/24    100.000     0.000     3.0000    256.80   0.104205                                                12.40          
GS Finance Corp.         40056EKM9 12/27/18 09/25/25    100.000     0.000     4.5267    251.62   0.155505   0.159024   0.162623   0.166304               57.30    43.60 
GS Finance Corp.         40057KWY5 02/28/22 08/28/29    100.000     0.000     3.2767     61.72   0.095567   0.097133   0.098724   0.100342  0.101985     35.07    36.23 
GS Finance Corp.         40056XSF4 12/27/19 06/26/25    100.000     0.000     2.5775    108.19   0.079316   0.080338   0.081373                          28.75    14.24 
GS Finance Corp.         40056EKN7 12/27/18 06/25/26    100.000     0.000     4.5781    254.63   0.159430   0.163079   0.166812   0.170631  0.174536     58.10    60.79 
GS Finance Corp.         40057FYJ7 04/21/21 07/21/28    100.000     0.000     2.0792     57.34   0.060509   0.061138   0.061773   0.062416  0.063064     22.10    22.56 
GS Finance Corp.         40055Q2V3 05/25/18 05/28/25    100.000     0.000     4.0600    252.47   0.140727   0.143583   0.146498                          51.37    21.54 
GS Finance Corp.         40054CAD6 01/29/16 07/31/24    100.000     0.000     3.3498    301.21   0.119399   0.121399                                     25.31          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40056YET7 03/04/20 09/03/24    100.000     0.000     1.7759     69.98   0.052477   0.052943                                     12.78          
GS Finance Corp.         40056XSQ0 12/27/19 01/09/30    100.000     0.000     2.8800    121.54   0.088506   0.089781   0.091073   0.092385  0.093715     32.53    33.48 
GS Finance Corp.         40054CAF1 01/29/16 01/29/24    100.000     0.000     3.0501    271.03   0.106321                                                 2.98          
GS Finance Corp.         40055Q3C4 05/30/18 02/27/25    100.000     0.000     3.9600    245.00   0.135107   0.137782   0.140510                          49.79     7.87 
GS Finance Corp.         40054CAE4 01/29/16 01/29/26    100.000     0.000     3.6001    326.70   0.130686   0.133039   0.135433   0.137871  0.140353     48.19    49.94 
GS Finance Corp.         40055AF51 01/31/18 02/11/28    100.000     0.000     3.6599    239.52   0.124247   0.126521   0.128836   0.131194  0.133595     45.78    47.47 
GS Finance Corp.         40056XSP2 12/27/19 01/08/27    100.000     0.000     2.7200    114.47   0.083119   0.084250   0.085395   0.086557  0.087734     30.52    31.36 
GS Finance Corp.         40055AW45 04/27/18 04/29/24    100.000     0.000     3.8501    241.80   0.131931                                                15.57          
GS Finance Corp.         40055AES2 01/29/18 02/07/25    100.000     0.000     3.4299    223.16   0.114959   0.116931   0.118936                          42.31     4.28 
GS Finance Corp.         40055Q3M2 05/30/18 06/10/25    100.000     0.000     4.0101    248.35   0.138729   0.141511   0.144348                          50.56    22.95 
GS Finance Corp.         40055QUP5 09/19/18 09/30/25    100.000     0.000     4.0500    236.02   0.137643   0.140430   0.143273   0.146175               50.57    39.06 
GS Finance Corp.         40057FZC1 04/28/21 04/28/31    100.000    VARIES     2.4400     64.17   0.065655   0.065811   0.066020   0.066220  0.066410     23.69    23.83 
GS Finance Corp.         40055QUQ3 09/19/18 09/30/25    100.000     0.000     4.0500    236.02   0.137643   0.140430   0.143273   0.146175               50.57    39.06 
GS Finance Corp.         40054LLF9 07/28/17 07/30/24    100.000     0.000     2.9497    207.01   0.097689   0.099130                                     20.68          
GS Finance Corp.         40055AWD5 04/30/18 05/09/28    100.000     0.000     4.3200    274.27   0.151963   0.155245   0.158599   0.162024  0.165524     55.64    58.07 
GS Finance Corp.         40054LLJ1 07/31/17 08/09/24    100.000     0.000     2.9498    206.83   0.097748   0.099189                                     21.57          
GS Finance Corp.         40055Q3J9 05/30/18 06/08/28    100.000     0.000     4.3000    268.32   0.151079   0.154327   0.157645   0.161034  0.164496     55.12    57.52 
GS Finance Corp.         40055Q3K6 05/30/18 06/10/25    100.000     0.000     4.0101    248.35   0.138729   0.141511   0.144348                          50.56    22.95 
GS Finance Corp.         40055Q3H3 05/30/18 06/10/25    100.000     0.000     4.0101    248.35   0.138729   0.141511   0.144348                          50.56    22.95 
GS Finance Corp.         40055Q3F7 05/30/18 05/30/28    100.000     0.000     4.3000    268.32   0.150935   0.154180   0.157495   0.160881  0.164340     55.12    57.52 
GS Finance Corp.         40055Q3G5 05/30/18 06/10/25    100.000     0.000     4.0101    248.35   0.138729   0.141511   0.144348                          50.56    22.95 
GS Finance Corp.         40057KGH0 01/12/22 01/12/29    100.000     0.000     2.5499     51.17   0.073576   0.074514   0.075464   0.076426  0.077400     26.98    27.67 
GS Finance Corp.         40057KXX6 02/28/22 12/01/25    100.000     0.000     2.7651     51.91   0.080610   0.081724   0.082854   0.084000               29.29    27.55 
GS Finance Corp.         40055A5H6 12/26/17 12/26/24    100.000     0.000     3.0002    196.13   0.099641   0.101136                                     35.64          
GS Finance Corp.         40057KXY4 02/28/22 02/28/29    100.000     0.000     3.2400     61.01   0.094445   0.095975   0.097530   0.099110  0.100715     34.66    35.79 
GS Finance Corp.         40055QV90 09/28/18 10/09/25    100.000     0.000     4.1100    238.61   0.140095   0.142974   0.145912   0.148910               51.43    41.10 
GS Finance Corp.         40055Q3U4 05/30/18 12/11/25    100.000     0.000     4.0583    251.65   0.140784   0.143641   0.146555   0.149529               51.31    50.36 
GS Finance Corp.         40055Q3V2 05/30/18 06/12/28    100.000     0.000     4.3000    268.32   0.151150   0.154400   0.157720   0.161111  0.164575     55.12    57.52 
GS Finance Corp.         40055Q3S9 05/30/18 06/08/28    100.000     0.000     4.3000    268.32   0.151079   0.154327   0.157645   0.161034  0.164496     55.12    57.52 
GS Finance Corp.         40055QDU3 06/29/18 07/11/28    100.000     0.000     4.3600    268.06   0.150479   0.153759   0.157111   0.160536  0.164036     55.89    58.35 
GS Finance Corp.         40057KXV0 02/28/22 03/01/29    100.000     0.000     3.2400     61.01   0.094471   0.096002   0.097557   0.099137  0.100743     34.66    35.79 
GS Finance Corp.         40055QUW0 09/28/18 10/09/25    100.000     0.000     4.1100    238.61   0.140095   0.142974   0.145912   0.148910               51.43    41.10 
GS Finance Corp.         40055A5G8 12/26/17 12/26/24    100.000     0.000     3.0002    196.13   0.099641   0.101136                                     35.64          
GS Finance Corp.         40057J3N4 08/31/21 09/10/31    100.000     0.000     2.2800     54.41   0.066313   0.067069   0.067833   0.068607  0.069389     24.18    24.73 
GS Finance Corp.         40057K6Q1 11/29/21 11/30/26    100.000     0.000     2.0600     43.75   0.059619   0.060233   0.060854   0.061481  0.062114     21.61    22.06 
GS Finance Corp.         36264H495 04/22/22 05/03/29    100.000     0.000     4.4749     77.81   0.133015   0.135991   0.139034   0.142145  0.145325     48.77    50.98 
GS Finance Corp.         40055QV58 09/04/18 09/04/25    100.000     0.000     3.9600    232.26   0.133826   0.136476   0.139178   0.141934               49.28    34.32 
GS Finance Corp.         40057J3M6 08/31/21 09/12/28    100.000     0.000     1.9000     45.18   0.054848   0.055369   0.055895   0.056426  0.056962     19.95    20.33 
GS Finance Corp.         40055QUU4 09/28/18 10/09/25    100.000     0.000     4.1100    238.61   0.140095   0.142974   0.145912   0.148910               51.43    41.10 
GS Finance Corp.         40055Q3R1 05/30/18 11/28/25    100.000     0.000     4.0503    251.11   0.140240   0.143080   0.145978   0.148934               51.19    48.27 
GS Finance Corp.         40057KY23 02/28/22 02/26/27    100.000     0.000     2.9749     55.92   0.086366   0.087650   0.088954   0.090277  0.091620     31.65    32.60 
GS Finance Corp.         40055Q3P5 05/30/18 06/10/25    100.000     0.000     4.0101    248.35   0.138729   0.141511   0.144348                          50.56    22.95 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40056XTK2 12/03/19 12/03/24    100.000     0.000     2.4500    104.41   0.075019   0.075938                                     25.07          
GS Finance Corp.         40057J3Y0 08/31/21 03/02/28    100.000     0.000     1.7999     42.76   0.051828   0.052295   0.052765   0.053240  0.053719     18.85    19.19 
GS Finance Corp.         40057J3X2 08/31/21 08/31/28    100.000     0.000     1.9000     45.18   0.054811   0.055329   0.055857   0.056382  0.056924     19.95    20.33 
GS Finance Corp.         40057JDX1 09/30/21 10/02/29    100.000     0.000     2.0967     48.12   0.060730   0.061366   0.062010   0.062660  0.063317     22.09    22.56 
GS Finance Corp.         40055A5L7 12/26/17 01/07/25    100.000     0.000     2.9999    196.12   0.098250   0.099724   0.101220                          36.15     0.61 
GS Finance Corp.         40055QUZ3 09/28/18 10/09/25    100.000     0.000     4.1100    238.61   0.140095   0.142974   0.145912   0.148910               51.43    41.10 
GS Finance Corp.         40056EM21 01/03/19 01/03/24    100.000     0.000     4.2400    233.13   0.142252                                                 0.28          
GS Finance Corp.         40054LLU6 08/16/17 08/26/24    100.000     0.000     2.9499    205.28   0.097760   0.099202                                     23.23          
GS Finance Corp.         40057KXZ1 02/28/22 03/09/29    100.000     0.000     3.2400     61.02   0.094539   0.096070   0.097626   0.099208  0.100815     34.66    35.79 
GS Finance Corp.         40057KHF3 12/27/21 01/09/29    100.000     0.000     2.2401     45.83   0.064386   0.065107   0.065837   0.066574  0.067320     23.56    24.09 
GS Finance Corp.         40055A5W3 12/26/17 12/26/24    100.000     0.000     3.0002    196.13   0.099641   0.101136                                     35.64          
GS Finance Corp.         40055A5T0 12/13/17 12/23/24    100.000     0.000     3.0499    200.98   0.101678   0.103229                                     36.07          
GS Finance Corp.         40055QVC3 09/28/18 10/10/28    100.000     0.000     4.3700    255.31   0.150897   0.154194   0.157563   0.161006  0.164524     55.46    57.91 
GS Finance Corp.         40057J4L7 08/25/21 08/28/28    100.000     0.000     1.8700     44.72   0.053924   0.054428   0.054937   0.055450  0.055969     19.63    20.00 
GS Finance Corp.         40057LKT7 03/30/22 04/09/29    100.000     0.000     3.8500     69.18   0.113350   0.115532   0.117756   0.120023  0.122333     41.56    43.18 
GS Finance Corp.         40057KYQ0 02/24/22 02/27/29    100.000     0.000     3.1601     59.84   0.092030   0.093485   0.094962   0.096462  0.097986     33.76    34.83 
GS Finance Corp.         40054KJE7 09/30/16 10/01/26    100.000     0.000     3.0000    241.10   0.102656   0.104196   0.105759   0.107345  0.108955     37.51    38.65 
GS Finance Corp.         40057KYP2 02/24/22 02/25/27    100.000     0.000     2.9000     54.82   0.084118   0.085337   0.086575   0.087830  0.089104     30.81    31.71 
GS Finance Corp.         40057LL33 03/30/22 03/30/26    100.000     0.000     3.5451     63.57   0.103805   0.105645   0.107517   0.109423  0.111363     38.04    39.40 
GS Finance Corp.         40057LL25 03/31/22 04/01/27    100.000     0.000     3.6600     65.68   0.107361   0.109326   0.111326   0.113364  0.115438     39.36    40.81 
GS Finance Corp.         40057E5Y9 06/03/20 12/04/24    100.000     0.000     1.7526     64.43   0.051751   0.052204                                     17.31          
GS Finance Corp.         40054LME1 08/30/17 08/28/25    100.000     0.000     3.0491    211.38   0.101542   0.103090   0.104661   0.106257               37.22    25.09 
GS Finance Corp.         40056XTW6 12/27/19 12/28/27    100.000     0.000     2.7733    116.81   0.086016   0.087209   0.088418   0.089644  0.090887     31.19    32.06 
GS Finance Corp.         40054KJD9 09/30/16 10/02/25    100.000     0.000     2.8001    223.48   0.094509   0.095832   0.097174   0.098534               34.50    26.58 
GS Finance Corp.         40057KHK2 12/27/21 12/28/28    100.000     0.000     2.2401     45.82   0.065063   0.065792   0.066528   0.067274  0.068027     23.56    24.09 
GS Finance Corp.         40056YFZ2 02/28/20 03/01/28    100.000     0.000     2.3000     91.84   0.069225   0.070021   0.070826   0.071640  0.072464     25.26    25.84 
GS Finance Corp.         40055AGK7 02/16/18 02/28/25    100.000     0.000     3.6799    238.96   0.125074   0.127375   0.129719                          46.01     7.39 
GS Finance Corp.         40057JW85 11/29/21 05/27/27    100.000     0.000     2.1329     45.33   0.061809   0.062469   0.063135   0.063808  0.064489     22.42    22.90 
GS Finance Corp.         40054LN34 08/31/17 09/12/24    100.000     0.000     2.8996    200.14   0.095825   0.097214                                     24.30          
GS Finance Corp.         40055A6J1 12/27/17 01/04/28    100.000     0.000     3.2999    217.44   0.109815   0.111627   0.113469   0.115341  0.117244     40.51    41.85 
GS Finance Corp.         40057JW93 11/29/21 11/29/28    100.000     0.000     2.4100     51.33   0.070229   0.071075   0.071932   0.072799  0.073676     25.49    26.11 
GS Finance Corp.         40057JW77 11/29/21 11/29/28    100.000     0.000     2.4100     51.33   0.070229   0.071075   0.071932   0.072799  0.073676     25.49    26.11 
GS Finance Corp.         40055AGL5 02/16/18 02/28/25    100.000     0.000     3.6799    238.96   0.125074   0.127375   0.129719                          46.01     7.39 
GS Finance Corp.         40057JF68 09/30/21 10/02/28    100.000     0.000     1.9700     45.16   0.056916   0.057476   0.058043   0.058614  0.059192     20.69    21.10 
GS Finance Corp.         40055A6K8 12/27/17 01/08/25    100.000     0.000     2.9998    196.01   0.098246   0.099719   0.101215                          36.15     0.71 
GS Finance Corp.         40057JW69 11/29/21 05/27/27    100.000     0.000     2.1329     45.33   0.061809   0.062469   0.063135   0.063808  0.064489     22.42    22.90 
GS Finance Corp.         40054LN59 08/31/17 09/12/24    100.000     0.000     2.8996    200.14   0.095825   0.097214                                     24.30          
GS Finance Corp.         40057JF50 09/30/21 10/02/28    100.000     0.000     1.9700     45.16   0.056916   0.057476   0.058043   0.058614  0.059192     20.69    21.10 
GS Finance Corp.         40057LKZ3 03/31/22 03/31/28    100.000     0.000     3.7350     67.06   0.109671   0.111719   0.113805   0.115930  0.118095     40.23    41.74 
GS Finance Corp.         40055A6H5 12/27/17 01/08/25    100.000     0.000     2.9998    196.01   0.098246   0.099719   0.101215                          36.15     0.71 
GS Finance Corp.         40057E6E2 05/29/20 05/29/26    100.000     0.000     2.0800     77.10   0.062117   0.062763   0.063415   0.064075  0.064741     22.52    22.99 
GS Finance Corp.         40056YXG4 04/14/20 04/14/27    100.000     0.000     2.3699     91.46   0.071490   0.072338   0.073195   0.074062  0.074940     26.02    26.64 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40057JF43 09/30/21 10/01/26    100.000     0.000     1.5801     36.10   0.045297   0.045654   0.046015   0.046379  0.046745     16.44    16.70 
GS Finance Corp.         40057E6D4 06/03/20 06/03/24    100.000     0.000     1.6451     60.37   0.048394                                                 7.36          
GS Finance Corp.         40057LKX8 03/25/22 03/27/25    100.000     0.000     3.2501     58.65   0.094771   0.096311   0.097876                          34.69     8.42 
GS Finance Corp.         40057JF35 09/30/21 10/02/28    100.000     0.000     1.9700     45.16   0.056916   0.057476   0.058043   0.058614  0.059192     20.69    21.10 
GS Finance Corp.         40055A6F9 12/27/17 01/08/25    100.000     0.000     2.9998    196.01   0.098246   0.099719   0.101215                          36.15     0.71 
GS Finance Corp.         40057JW51 11/29/21 05/29/26    100.000     0.000     1.9350     41.05   0.055859   0.056400   0.056945   0.057496  0.058053     20.24    20.63 
GS Finance Corp.         40054KJJ6 09/29/16 10/01/24    100.000     0.000     2.7000    214.84   0.090504   0.091726                                     24.66          
GS Finance Corp.         40057JF27 09/30/21 09/30/27    100.000     0.000     1.7751     40.63   0.051081   0.051535   0.051992   0.052454  0.052919     18.55    18.88 
GS Finance Corp.         40056YXF6 04/14/20 10/15/25    100.000     0.000     2.1451     82.48   0.064209   0.064897   0.065593   0.066297               23.34    18.76 
GS Finance Corp.         40057J4N3 08/25/21 03/01/27    100.000     0.000     1.5774     37.62   0.045229   0.045585   0.045945   0.046307  0.046673     16.43    16.69 
GS Finance Corp.         40054LMZ4 08/31/17 09/03/24    100.000     0.000     2.9002    200.17   0.095777   0.097165                                     23.43          
GS Finance Corp.         40057JWA0 11/29/21 11/29/28    100.000     0.000     2.4100     51.33   0.070229   0.071075   0.071932   0.072799  0.073676     25.49    26.11 
GS Finance Corp.         40056Y6P4 01/31/20 01/31/24    100.000     0.000     2.1851     88.92   0.065494                                                 1.90          
GS Finance Corp.         40056YGN8 02/28/20 08/28/25    100.000     0.000     2.0300     80.69   0.060518   0.061132   0.061753   0.062380               22.05    14.75 
GS Finance Corp.         40056EMU9 01/02/19 01/02/24    100.000     0.000     4.3600    240.53   0.147056                                                               
GS Finance Corp.         40054CCB8 02/29/16 02/29/24    100.000     0.000     3.3000    292.49   0.115886                                                 6.84          
GS Finance Corp.         40057JEZ5 09/30/21 09/30/27    100.000     0.000     1.7751     40.63   0.051081   0.051535   0.051992   0.052454  0.052919     18.55    18.88 
GS Finance Corp.         40054LN67 08/31/17 09/14/27    100.000     0.000     2.9002    200.18   0.095862   0.097252   0.098663   0.100093  0.101545     35.06    36.08 
GS Finance Corp.         40057JEY8 09/22/21 03/24/27    100.000     0.000     1.6075     37.10   0.046110   0.046480   0.046854   0.047231  0.047610     16.74    17.01 
GS Finance Corp.         40057FJM7 02/24/21 02/24/28    100.000     0.000     1.5700     45.63   0.045351   0.045707   0.046066   0.046427  0.046792     16.48    16.74 
GS Finance Corp.         40056FPU3 07/03/19 07/08/24    100.000     0.000     2.7199    129.11   0.084207   0.085352                                     15.95          
GS Finance Corp.         40057JEX0 09/22/21 09/25/28    100.000     0.000     1.9000     43.97   0.054819   0.055340   0.055866   0.056397  0.056932     19.93    20.31 
GS Finance Corp.         40057E6W2 05/29/20 06/01/28    100.000     0.000     2.3367     86.96   0.070415   0.071238   0.072070   0.072912  0.073764     25.55    26.15 
GS Finance Corp.         40056YGZ1 02/28/20 03/11/30    100.000     0.000     2.4800     99.34   0.075162   0.076094   0.077038   0.077993  0.078960     27.43    28.12 
GS Finance Corp.         40056XDT0 09/27/19 10/05/26    100.000     0.000     2.7000    121.10   0.083544   0.084672   0.085815   0.086973  0.088148     30.47    31.30 
GS Finance Corp.         40055AGZ4 01/31/18 02/12/25    100.000     0.000     3.4499    224.47   0.115799   0.117796   0.119828                          42.61     4.91 
GS Finance Corp.         40057LLL3 04/05/22 04/07/27    100.000     0.000     3.4801     61.87   0.101823   0.103595   0.105397   0.107231  0.109097     37.28    38.58 
GS Finance Corp.         40056YXV1 04/13/20 04/11/25    100.000     0.000     2.5468     98.65   0.077285   0.078269   0.079265                          28.16     7.93 
GS Finance Corp.         40056YH56 02/28/20 03/11/27    100.000     0.000     2.2100     88.12   0.066351   0.067084   0.067826   0.068575  0.069333     24.18    24.72 
GS Finance Corp.         40056YXW9 04/13/20 04/11/24    100.000     0.000     2.3867     92.21   0.072030                                                 7.20          
GS Finance Corp.         40056YH64 02/28/20 08/28/24    100.000     0.000     1.9925     79.15   0.059324   0.059915                                     14.17          
GS Finance Corp.         40057JWC6 11/29/21 12/08/28    100.000     0.000     2.4099     51.33   0.070271   0.071117   0.071974   0.072842  0.073719     25.49    26.11 
GS Finance Corp.         40056YGS7 02/28/20 03/11/27    100.000     0.000     2.2100     88.12   0.066351   0.067084   0.067826   0.068575  0.069333     24.18    24.72 
GS Finance Corp.         40057JWB8 11/29/21 12/08/28    100.000     0.000     2.4099     51.33   0.070271   0.071117   0.071974   0.072842  0.073719     25.49    26.11 
GS Finance Corp.         40055AHE0 02/28/18 02/27/25    100.000     0.000     3.6753    237.12   0.124721   0.127013   0.129347                          45.89     7.24 
GS Finance Corp.         40054LNL4 08/31/17 09/03/24    100.000     0.000     2.9002    200.17   0.095777   0.097165                                     23.43          
GS Finance Corp.         40057HQK9 07/30/21 08/01/28    100.000     0.000     1.7900     44.06   0.051528   0.051989   0.052454   0.052924  0.053397     18.77    19.11 
GS Finance Corp.         40054LNK6 08/31/17 09/03/24    100.000     0.000     2.9002    200.17   0.095777   0.097165                                     23.43          
GS Finance Corp.         40057HQJ2 07/30/21 04/30/27    100.000     0.000     1.5401     37.83   0.044282   0.044623   0.044967   0.045313  0.045662     16.04    16.29 
GS Finance Corp.         40055AHF7 02/28/18 02/27/25    100.000     0.000     3.6753    237.12   0.124721   0.127013   0.129347                          45.89     7.24 
GS Finance Corp.         40056Y7A6 01/27/20 02/05/30    100.000     0.000     2.6900    110.68   0.082096   0.083200   0.084319   0.085454  0.086603     30.08    30.89 
GS Finance Corp.         40055QWR9 09/28/18 09/30/26    100.000     0.000     4.1967    244.14   0.143513   0.146524   0.149599   0.152738  0.155943     52.76    55.00 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40055AHD2 02/28/18 03/11/25    100.000     0.000     3.6869    237.96   0.125373   0.127685   0.130038                          46.06     9.10 
GS Finance Corp.         40057LLS8 03/29/22 03/27/25    100.000     0.000     3.1595     56.61   0.091975   0.093428   0.094904                          33.65     8.16 
GS Finance Corp.         40057LLQ2 04/05/22 04/03/24    100.000     0.000     2.1915     38.64   0.062891                                                 5.79          
GS Finance Corp.         36259E770 02/05/20 08/05/25    100.000     0.000     2.1693     87.93   0.064987   0.065691   0.066404   0.067124               23.73    14.34 
GS Finance Corp.         40057E6Y8 05/29/20 06/01/28    100.000     0.000     2.3367     86.96   0.070415   0.071238   0.072070   0.072912  0.073764     25.55    26.15 
GS Finance Corp.         40056XDX1 10/08/19 10/09/29    100.000     0.000     2.9000    129.56   0.090394   0.091705   0.093035   0.094384  0.095752     32.99    33.96 
GS Finance Corp.         40057LLP4 04/05/22 04/03/25    100.000     0.000     3.1988     56.77   0.093170   0.094660   0.096174                          34.07     8.85 
GS Finance Corp.         40055QWN8 09/28/18 09/30/24    100.000     0.000     3.9849    230.64   0.134865   0.137552                                     36.76          
GS Finance Corp.         40057J5G7 09/03/21 09/06/28    100.000     0.000     1.8400     43.57   0.053027   0.053515   0.054007   0.054504  0.055006     19.29    19.65 
GS Finance Corp.         40055AHM2 02/28/18 03/11/25    100.000     0.000     3.6869    237.96   0.125373   0.127685   0.130038                          46.06     9.10 
GS Finance Corp.         40057JG91 09/30/21 10/02/28    100.000     0.000     1.9700     45.16   0.056916   0.057476   0.058043   0.058614  0.059192     20.69    21.10 
GS Finance Corp.         40057HR51 07/30/21 08/01/29    100.000     0.000     1.9200     47.32   0.055413   0.055945   0.056482   0.057024  0.057572     20.20    20.59 
GS Finance Corp.         40056Y7G3 01/22/20 03/20/25    100.000     0.000     2.3879     98.12   0.072354   0.073218   0.074092                          26.38     5.85 
GS Finance Corp.         40055AHK6 02/28/18 03/10/28    100.000     0.000     3.9678    258.06   0.136983   0.139701   0.142472   0.145299  0.148181     50.41    52.43 
GS Finance Corp.         40057HQP8 07/30/21 08/11/31    100.000     0.000     2.1800     53.87   0.063282   0.063972   0.064669   0.065374  0.066086     23.10    23.61 
GS Finance Corp.         40055AHL4 02/28/18 03/11/25    100.000     0.000     3.6869    237.96   0.125373   0.127685   0.130038                          46.06     9.10 
GS Finance Corp.         40057JG67 09/30/21 03/30/28    100.000     0.000     1.8725     42.89   0.053989   0.054495   0.055005   0.055520  0.056040     19.62    19.99 
GS Finance Corp.         40055AYK7 04/26/18 05/07/25    100.000     0.000     3.9700    250.27   0.137060   0.139781   0.142555                          50.13    17.96 
GS Finance Corp.         40057HQN3 07/30/21 08/11/31    100.000     0.000     2.1800     53.87   0.063282   0.063972   0.064669   0.065374  0.066086     23.10    23.61 
GS Finance Corp.         40055AHJ9 02/28/18 03/11/25    100.000     0.000     3.6869    237.96   0.125373   0.127685   0.130038                          46.06     9.10 
GS Finance Corp.         40057HQM5 07/30/21 04/30/27    100.000     0.000     1.5401     37.83   0.044282   0.044623   0.044967   0.045313  0.045662     16.04    16.29 
GS Finance Corp.         40055AHG5 02/28/18 02/27/25    100.000     0.000     3.7053    239.25   0.125942   0.128275   0.130652                          46.34     7.32 
GS Finance Corp.         40057LLX7 04/14/22 04/21/27    100.000     0.000     3.9900     70.11   0.117690   0.120038   0.122433   0.124875  0.127366     43.12    44.86 
GS Finance Corp.         40055AHH3 02/28/18 03/11/25    100.000     0.000     3.6869    237.96   0.125373   0.127685   0.130038                          46.06     9.10 
GS Finance Corp.         40057HQL7 07/30/21 08/01/28    100.000     0.000     1.7900     44.06   0.051528   0.051989   0.052454   0.052924  0.053397     18.77    19.11 
GS Finance Corp.         40055AYW1 05/17/18 05/29/25    100.000     0.000     3.9900    248.77   0.137917   0.140669   0.143475                          50.32    21.23 
GS Finance Corp.         40056YHR8 02/12/20 02/23/27    100.000     0.000     2.3500     95.06   0.070891   0.071724   0.072567   0.073419  0.074282     25.89    26.50 
GS Finance Corp.         40055AYU5 05/17/18 05/29/25    100.000     0.000     3.9900    248.77   0.137917   0.140669   0.143475                          50.32    21.23 
GS Finance Corp.         40055AZ67 05/09/18 05/08/25    100.000     0.000     3.9777    249.02   0.137203   0.139932   0.142715                          50.18    18.12 
GS Finance Corp.         40055QGB2 06/29/18 12/31/25    100.000     0.000     4.1267    252.18   0.143523   0.146485   0.149507   0.152592               52.21    54.23 
GS Finance Corp.         40057JXA9 11/29/21 05/29/29    100.000     0.000     2.4617     52.45   0.071811   0.072695   0.073590   0.074496  0.075413     26.07    26.71 
GS Finance Corp.         40056YZ49 04/13/20 04/13/27    100.000     0.000     2.8100    109.31   0.086062   0.087271   0.088498   0.089741  0.091002     31.39    32.28 
GS Finance Corp.         40055AHU4 02/28/18 03/11/25    100.000     0.000     3.6869    237.96   0.125373   0.127685   0.130038                          46.06     9.10 
GS Finance Corp.         36264H651 05/04/22 05/03/29    100.000     0.000     4.5500     77.52   0.135197   0.138273   0.141419   0.144636  0.147927     49.59    51.87 
GS Finance Corp.         40055AYT8 05/17/18 05/29/25    100.000     0.000     3.9900    248.77   0.137917   0.140669   0.143475                          50.32    21.23 
GS Finance Corp.         40054KL87 10/28/16 10/30/24    100.000     0.000     2.7498    216.50   0.092489   0.093760                                     27.88          
GS Finance Corp.         40055AYR2 04/26/18 10/28/25    100.000     0.000     4.0117    253.18   0.138676   0.141458   0.144296   0.147190               50.78    43.38 
GS Finance Corp.         40057HAC4 05/14/21 05/14/31    100.000    VARIES     2.5799     66.84   0.069585   0.069751   0.070000   0.070247  0.070484     25.10    25.27 
GS Finance Corp.         40057J6E1 08/31/21 08/31/36    100.000    VARIES     2.5599     57.73   0.065770   0.065627   0.065950   0.066355  0.066756     23.67    23.91 
GS Finance Corp.         40057LML2 04/13/22 04/23/29    100.000     0.000     4.0900     72.04   0.120862   0.123333   0.125856   0.128429  0.131056     44.29    46.13 
GS Finance Corp.         40056FAB1 05/03/19 05/14/24    100.000     0.000     3.2699    163.25   0.105210                                                13.99          
GS Finance Corp.         40057JGE0 09/30/21 10/12/28    100.000     0.000     1.9700     45.17   0.056948   0.057509   0.058075   0.058647  0.059225     20.69    21.10 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40057JGC4 09/15/21 09/15/31    100.000    VARIES     2.2298     50.45   0.060339   0.060413   0.060556   0.060703  0.060846     21.76    21.86 
GS Finance Corp.         40057HAL4 05/19/21 05/18/28    100.000     0.000     1.9374     51.76   0.056473   0.057020   0.057572   0.058130  0.058693     20.48    20.87 
GS Finance Corp.         40056YZE7 04/30/20 10/30/25    100.000     0.000     2.2800     86.77   0.068565   0.069346   0.070137   0.070936               24.92    21.11 
GS Finance Corp.         40055AZG5 05/02/18 05/15/28    100.000     0.000     4.2400    268.32   0.148574   0.151724   0.154941   0.158225  0.161580     54.35    56.68 
GS Finance Corp.         40056YZD9 05/05/20 05/03/24    100.000     0.000     1.8596     70.02   0.055107                                                 6.72          
GS Finance Corp.         40056XEZ5 10/02/19 10/04/24    100.000     0.000     2.4700    109.92   0.075701   0.076636                                     20.83          
GS Finance Corp.         40057LNA5 04/06/22 04/06/27    100.000     0.000     3.5800     63.58   0.104881   0.106759   0.108670   0.110615  0.112595     38.42    39.80 
GS Finance Corp.         40056FRX5 07/31/19 07/31/25    100.000     0.000     2.8851    134.97   0.089870   0.091166   0.092481   0.093815               32.98    19.57 
GS Finance Corp.         40054KLR5 10/31/16 10/29/26    100.000     0.000     2.9991    237.94   0.102602   0.104141   0.105703   0.107288  0.108896     37.41    38.54 
GS Finance Corp.         40056XFJ0 10/31/19 05/01/25    100.000     0.000     2.5800    112.83   0.079412   0.080436   0.081474                          28.90     9.78 
GS Finance Corp.         40057EZL4 01/29/21 01/31/28    100.000     0.000     1.4700     43.73   0.042358   0.042670   0.042983   0.043299  0.043618     15.40    15.63 
GS Finance Corp.         40057HB33 05/28/21 05/31/28    100.000     0.000     1.9100     50.51   0.055645   0.056177   0.056713   0.057255  0.057802     20.16    20.55 
GS Finance Corp.         40056XWH5 12/31/19 12/30/24    100.000     2.000     2.4808    100.67   0.070331   0.071204                                     25.41          
GS Finance Corp.         40057EZK6 01/29/21 07/31/28    100.000     0.000     1.5383     45.80   0.044400   0.044741   0.045085   0.045432  0.045782     16.15    16.40 
GS Finance Corp.         40057HS27 07/30/21 11/01/27    100.000     0.000     1.6399     40.32   0.047262   0.047649   0.048040   0.048434  0.048831     17.13    17.41 
GS Finance Corp.         40055QGX4 07/17/18 07/28/25    100.000     0.000     4.0100    241.89   0.136014   0.138741   0.141523   0.144361               50.30    29.81 
GS Finance Corp.         40055AZM2 05/30/18 05/30/25    100.000     0.000     4.0099    248.34   0.138571   0.141349   0.144183                          50.56    21.48 
GS Finance Corp.         40057EZJ9 01/29/21 01/31/28    100.000     0.000     1.4700     43.73   0.042358   0.042670   0.042983   0.043299  0.043618     15.40    15.63 
GS Finance Corp.         40055Q6X5 05/25/18 11/25/26    100.000     0.000     4.2450    265.25   0.148565   0.151718   0.154938   0.158227  0.161585     54.28    56.61 
GS Finance Corp.         40055QGV8 07/17/18 07/28/25    100.000     0.000     4.0100    241.89   0.136014   0.138741   0.141523   0.144361               50.30    29.81 
GS Finance Corp.         40055QXX5 09/28/18 06/30/25    100.000     0.000     4.0788    236.61   0.140092   0.142949   0.145864                          50.95    26.11 
GS Finance Corp.         40055AZL4 05/30/18 05/30/25    100.000     0.000     4.0099    248.34   0.138571   0.141349   0.144183                          50.56    21.48 
GS Finance Corp.         40055AZY6 05/29/18 05/29/26    100.000     0.000     4.1267    256.49   0.143505   0.146466   0.149488   0.152573  0.155721     52.39    54.57 
GS Finance Corp.         40057FLX0 03/12/21 03/12/36    100.000    VARIES     2.8689     75.79   0.069761   0.068917   0.068663   0.068813  0.069279     24.84    24.81 
GS Finance Corp.         40056XFQ4 10/31/19 11/02/27    100.000     0.000     2.8600    125.72   0.089014   0.090286   0.091578   0.092887  0.094215     32.43    33.36 
GS Finance Corp.         40057FLW2 03/11/21 03/11/31    100.000    VARIES     2.5191     68.09   0.064695   0.064900   0.065348   0.065794  0.066228     23.40    23.70 
GS Finance Corp.         40055AZX8 05/29/18 05/29/24    100.000     0.000     3.9300    243.02   0.135224                                                20.01          
GS Finance Corp.         40056FAX3 04/11/19 04/11/24    100.000     0.000     3.3601    170.45   0.108434                                                10.84          
GS Finance Corp.         40057CTW1 09/30/20 09/30/26    100.000     0.000     1.5050     49.99   0.043728   0.044057   0.044388   0.044722  0.045059     15.86    16.10 
GS Finance Corp.         40057JHJ8 10/05/21 10/03/31    100.000     0.000     2.4583     56.25   0.071697   0.072579   0.073471   0.074374  0.075288     26.13    26.77 
GS Finance Corp.         40056EPF9 01/31/19 02/02/27    100.000     0.000     4.1367    223.19   0.138189   0.141048   0.143965   0.146943  0.149982     51.12    53.26 
GS Finance Corp.         40057CTV3 09/30/20 09/30/26    100.000     0.000     1.5050     49.99   0.043728   0.044057   0.044388   0.044722  0.045059     15.86    16.10 
GS Finance Corp.         40056X5V4 09/30/19 10/09/26    100.000     0.000     2.7800    124.61   0.086298   0.087498   0.088714   0.089947  0.091197     31.48    32.36 
GS Finance Corp.         40057JHH2 10/05/21 10/05/28    100.000     0.000     2.0500     46.73   0.059314   0.059922   0.060536   0.061156  0.061783     21.57    22.01 
GS Finance Corp.         40056FSC0 07/31/19 08/10/26    100.000     0.000     3.0000    140.68   0.093952   0.095361   0.096791   0.098243  0.099717     34.48    35.52 
GS Finance Corp.         40057KL84 01/31/22 01/31/29    100.000     0.000     2.7900     54.64   0.080790   0.081917   0.083060   0.084219  0.085394     29.63    30.46 
GS Finance Corp.         40056FSQ9 08/05/19 08/14/24    100.000     0.000     2.7501    127.89   0.085269   0.086441                                     19.23          
GS Finance Corp.         40055AJG3 02/22/18 06/22/26    100.000     0.000     3.8739    252.10   0.134605   0.137212   0.139870   0.142579  0.145341     48.97    50.89 
GS Finance Corp.         40057KL68 01/31/22 07/29/27    100.000     0.000     2.5682     50.21   0.074119   0.075070   0.076034   0.077011  0.078000     27.15    27.85 
GS Finance Corp.         40056FSN6 07/31/19 07/31/25    100.000     0.000     2.8851    134.97   0.089870   0.091166   0.092481   0.093815               32.98    19.57 
GS Finance Corp.         40057KL50 01/31/22 01/31/29    100.000     0.000     2.7900     54.64   0.080790   0.081917   0.083060   0.084219  0.085394     29.63    30.46 
GS Finance Corp.         40057KL43 01/31/22 07/30/26    100.000     0.000     2.3787     46.45   0.068462   0.069276   0.070100   0.070934  0.071778     25.04    25.64 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40056EPG7 01/31/19 01/31/25    100.000     0.000     3.9350    211.34   0.130256   0.132818   0.135432                          48.13     3.93 
GS Finance Corp.         40057J7L4 08/17/21 08/16/29    100.000     0.000     2.0292     49.07   0.058687   0.059282   0.059884   0.060491  0.061105     21.40    21.83 
GS Finance Corp.         40056X5Z5 10/03/19 10/15/24    100.000     0.000     2.4599    109.38   0.075414   0.076342                                     21.58          
GS Finance Corp.         40056FBU8 05/02/19 05/02/24    100.000     0.000     3.3001    164.96   0.106215                                                12.85          
GS Finance Corp.         40057HST8 07/30/21 08/01/28    100.000     0.000     1.7900     44.06   0.051528   0.051989   0.052454   0.052924  0.053397     18.77    19.11 
GS Finance Corp.         40056YJM7 02/21/20 02/21/30    100.000    VARIES     2.5596     96.57   0.068087   0.067872   0.067730   0.067658  0.067657     24.43    24.36 
GS Finance Corp.         40056FSS5 08/05/19 02/05/25    100.000     0.000     2.8100    130.83   0.087274   0.088500   0.089744                          32.00     3.05 
GS Finance Corp.         40057KL92 01/31/22 02/09/29    100.000     0.000     2.7900     54.64   0.080844   0.081972   0.083115   0.084275  0.085451     29.63    30.46 
GS Finance Corp.         40056X6P6 09/30/19 10/09/26    100.000     0.000     2.7800    124.61   0.086298   0.087498   0.088714   0.089947  0.091197     31.48    32.36 
GS Finance Corp.         40056XXT8 02/05/20 02/14/25    100.000     0.000     2.1100     85.44   0.063113   0.063779   0.064452                          23.02     2.77 
GS Finance Corp.         40055AJY4 02/27/18 02/26/26    100.000     0.000     3.8056    246.53   0.130052   0.132527   0.135049   0.137618  0.140237     47.89    49.73 
GS Finance Corp.         40056XXQ4 02/05/20 02/05/24    100.000     0.000     2.0150     81.46   0.060041                                                 2.04          
GS Finance Corp.         40056XXR2 02/05/20 02/05/24    100.000     0.000     2.0150     81.46   0.060041                                                 2.04          
GS Finance Corp.         40055AK89 02/27/18 02/27/25    100.000     0.000     3.7200    240.42   0.126556   0.128910   0.131308                          46.57     7.35 
GS Finance Corp.         40057FN42 03/31/21 03/30/28    100.000     0.000     2.0392     57.45   0.059591   0.060199   0.060813   0.061433  0.062059     21.67    22.12 
GS Finance Corp.         40057CDX6 07/31/20 08/02/28    100.000     0.000     1.6767     58.76   0.048973   0.049384   0.049798   0.050216  0.050637     17.83    18.13 
GS Finance Corp.         40054KNH5 11/28/16 11/27/26    100.000     0.000     3.4699    276.33   0.122620   0.124747   0.126912   0.129114  0.131354     44.67    46.24 
GS Finance Corp.         40057HTE0 07/28/21 02/01/27    100.000     0.000     1.5051     37.03   0.043085   0.043409   0.043736   0.044065  0.044397     15.67    15.90 
GS Finance Corp.         40056XXZ4 01/31/20 07/31/25    100.000     0.000     2.2875     93.25   0.068807   0.069594   0.070390   0.071195               25.15    14.86 
GS Finance Corp.         40057HTD2 07/28/21 07/31/28    100.000     0.000     1.8200     44.92   0.052426   0.052903   0.053384   0.053870  0.054360     19.10    19.45 
GS Finance Corp.         40056YJY1 02/26/20 03/07/30    100.000     0.000     2.4900     99.91   0.075483   0.076423   0.077374   0.078337  0.079313     27.56    28.25 
GS Finance Corp.         40056YJX3 02/26/20 03/07/30    100.000     0.000     2.4900     99.91   0.075483   0.076423   0.077374   0.078337  0.079313     27.56    28.25 
GS Finance Corp.         40054LQQ0 09/15/17 09/26/24    100.000     0.000     2.8003    191.33   0.091990   0.093278                                     24.61          
GS Finance Corp.         40056FCP8 05/31/19 05/31/24    100.000     0.000     3.1099    152.05   0.099256                                                14.79          
GS Finance Corp.         40056EQN1 01/31/19 10/31/25    100.000     0.000     4.0688    219.27   0.136862   0.139647   0.142488   0.145387               50.11    43.13 
GS Finance Corp.         40055QJ52 07/31/18 07/30/26    100.000     0.000     4.1364    248.46   0.141003   0.143920   0.146896   0.149934  0.153035     52.18    54.36 
GS Finance Corp.         40057LP96 04/29/22 05/01/29    100.000     0.000     4.4700     76.79   0.132712   0.135679   0.138711   0.141811  0.144981     48.67    50.87 
GS Finance Corp.         40055QJ60 07/31/18 07/31/24    100.000     0.000     3.9250    234.52   0.132418   0.135016                                     28.14          
GS Finance Corp.         40056EQL5 01/31/19 07/31/26    100.000     0.000     4.1350    223.08   0.138089   0.140944   0.143858   0.146833  0.149868     51.10    53.23 
GS Finance Corp.         40057H2H2 04/21/21 04/21/27    100.000     0.000     1.7850     49.06   0.051837   0.052300   0.052767   0.053238  0.053713     18.81    19.15 
GS Finance Corp.         40055AKQ9 02/28/18 03/10/28    100.000     0.000     3.9678    258.06   0.136983   0.139701   0.142472   0.145299  0.148181     50.41    52.43 
GS Finance Corp.         40056EA32 10/12/18 10/24/25    100.000     0.000     4.2199    243.63   0.144643   0.147695   0.150811   0.153993               53.03    44.76 
GS Finance Corp.         40057HU73 08/04/21 08/03/28    100.000     0.000     1.7533     42.94   0.050430   0.050872   0.051318   0.051768  0.052222     18.37    18.69 
GS Finance Corp.         40054LA53 04/28/17 10/31/24    100.000     0.000     3.1210    229.67   0.106047   0.107702                                     32.01          
GS Finance Corp.         40054LQU1 09/28/17 09/30/25    100.000     0.000     3.1000    212.34   0.103582   0.105188   0.106818   0.108474               37.87    29.03 
GS Finance Corp.         40054LR97 09/29/17 10/10/24    100.000     0.000     2.9500    201.08   0.097772   0.099215                                     27.54          
GS Finance Corp.         40054KNU6 11/28/16 11/27/24    100.000     0.000     3.2301    255.15   0.112275   0.114088                                     36.93          
GS Finance Corp.         40054LR89 09/29/17 10/10/24    100.000     0.000     2.9500    201.08   0.097772   0.099215                                     27.54          
GS Finance Corp.         40054LRB2 09/29/17 10/12/27    100.000     0.000     3.3500    231.06   0.113722   0.115627   0.117564   0.119533  0.121535     41.59    42.99 
GS Finance Corp.         40056FDA0 05/17/19 05/29/26    100.000     0.000     3.4900    173.46   0.113408   0.115387   0.117400   0.119449  0.121533     41.31    42.77 
GS Finance Corp.         40057FNY6 03/31/21 04/09/31    100.000     0.000     2.5000     70.81   0.073941   0.074865   0.075801   0.076749  0.077708     26.94    27.62 
GS Finance Corp.         40057EKV8 11/30/20 11/30/27    100.000     0.000     1.4899     46.88   0.043272   0.043594   0.043919   0.044246  0.044576     15.66    15.89 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40056XZ41 01/31/20 02/11/27    100.000     0.000     2.4300     99.31   0.073510   0.074403   0.075307   0.076222  0.077148     26.88    27.53 
GS Finance Corp.         40057EKU0 11/30/20 11/30/27    100.000     0.000     1.4899     46.88   0.043272   0.043594   0.043919   0.044246  0.044576     15.66    15.89 
GS Finance Corp.         40057FNX8 03/31/21 04/09/31    100.000     0.000     2.5000     70.81   0.073941   0.074865   0.075801   0.076749  0.077708     26.94    27.62 
GS Finance Corp.         40056XYT7 01/31/20 02/02/28    100.000     0.000     2.5000    102.29   0.075764   0.076711   0.077670   0.078641  0.079624     27.73    28.43 
GS Finance Corp.         40056XZ25 01/31/20 02/11/30    100.000     0.000     2.6400    108.29   0.080449   0.081511   0.082586   0.083677  0.084781     29.45    30.23 
GS Finance Corp.         40057HCZ1 05/28/21 05/28/31    100.000    VARIES     2.4405     62.05   0.065337   0.065523   0.065773   0.066025  0.066268     23.57    23.74 
GS Finance Corp.         40054LRA4 09/29/17 10/10/24    100.000     0.000     2.9500    201.08   0.097772   0.099215                                     27.54          
GS Finance Corp.         40057LQ79 04/29/22 05/01/28    100.000     0.000     4.3700     75.03   0.129554   0.132385   0.135277   0.138233  0.141254     47.49    49.59 
GS Finance Corp.         40057LQ61 04/29/22 07/30/26    100.000     0.000     4.1237     70.73   0.120565   0.123051   0.125588   0.128177  0.130820     44.61    46.47 
GS Finance Corp.         40057H3F5 05/05/21 05/05/28    100.000     0.000     2.0100     54.56   0.058695   0.059285   0.059881   0.060483  0.061091     21.30    21.73 
GS Finance Corp.         40056FDH5 05/31/19 06/11/26    100.000     0.000     3.3900    166.71   0.109657   0.111516   0.113406   0.115328  0.117283     39.89    41.25 
GS Finance Corp.         40057LPT2 04/29/22 05/01/29    100.000     0.000     4.4700     76.79   0.132712   0.135679   0.138711   0.141811  0.144981     48.67    50.87 
GS Finance Corp.         40055ALA3 02/20/18 02/20/25    100.000     0.000     3.7500    243.45   0.127783   0.130179   0.132620                          47.07     6.50 
GS Finance Corp.         40057LQ20 04/27/22 04/25/25    100.000     0.000     3.7917     65.10   0.111407   0.113520   0.115672                          40.77    13.19 
GS Finance Corp.         40056XYY6 01/31/20 02/11/27    100.000     0.000     2.4300     99.31   0.073510   0.074403   0.075307   0.076222  0.077148     26.88    27.53 
GS Finance Corp.         40057HUS7 08/04/21 08/04/31    100.000     0.000     2.1800     53.61   0.063239   0.063928   0.064625   0.065330  0.066042     23.09    23.60 
GS Finance Corp.         40054LS47 09/29/17 10/01/24    100.000     0.000     2.9500    201.08   0.097703   0.099144                                     26.64          
GS Finance Corp.         40054LAQ7 05/30/17 05/30/25    100.000     0.000     3.1002    224.62   0.105178   0.106808   0.108464                          38.26    16.16 
GS Finance Corp.         40057C5A5 06/30/20 06/29/28    100.000     0.000     1.9400     69.97   0.057654   0.058214   0.058778   0.059349  0.059924     20.86    21.27 
GS Finance Corp.         40057LPZ8 04/11/22 04/03/25    100.000     0.000     3.3832     59.52   0.098756   0.100427   0.102126                          36.15     9.40 
GS Finance Corp.         40054LAP9 05/31/17 05/31/24    100.000     0.000     2.9498    212.73   0.099119                                                14.77          
GS Finance Corp.         40057LQ95 04/29/22 01/30/25    100.000     0.000     3.5568     60.79   0.103267   0.105103   0.106973                          38.07     3.10 
GS Finance Corp.         40054LS21 09/29/17 10/01/24    100.000     0.000     2.9500    201.08   0.097703   0.099144                                     26.64          
GS Finance Corp.         40056XZC3 01/31/20 02/11/30    100.000     0.000     2.6400    108.29   0.080449   0.081511   0.082586   0.083677  0.084781     29.45    30.23 
GS Finance Corp.         40057LQ87 04/29/22 05/10/29    100.000     0.000     4.3900     75.38   0.130325   0.133186   0.136109   0.139097  0.142150     47.73    49.85 
GS Finance Corp.         40057EM38 11/30/20 05/30/28    100.000     0.000     1.5518     48.86   0.045150   0.045501   0.045854   0.046209  0.046568     16.34    16.59 
GS Finance Corp.         40056F3Y9 03/28/19 03/28/24    100.000     0.000     3.3001    168.57   0.106215                                                 9.24          
GS Finance Corp.         40057FP57 03/31/21 09/29/28    100.000     0.000     2.1210     59.82   0.062105   0.062764   0.063430   0.064102  0.064782     22.60    23.08 
GS Finance Corp.         40057LQD6 04/29/22 01/30/25    100.000     0.000     3.5568     60.79   0.103267   0.105103   0.106973                          38.07     3.10 
GS Finance Corp.         40057FP40 03/31/21 09/29/28    100.000     0.000     2.1210     59.82   0.062105   0.062764   0.063430   0.064102  0.064782     22.60    23.08 
GS Finance Corp.         40057FP24 03/31/21 04/01/27    100.000     0.000     1.8100     50.86   0.052598   0.053074   0.053554   0.054039  0.054528     19.11    19.45 
GS Finance Corp.         40057LQC8 04/29/22 05/10/29    100.000     0.000     4.4700     76.79   0.132860   0.135829   0.138865   0.141969  0.145141     48.67    50.87 
GS Finance Corp.         40057FP32 03/31/21 04/01/27    100.000     0.000     1.7900     50.29   0.051989   0.052454   0.052923   0.053397  0.053875     18.88    19.22 
GS Finance Corp.         40057LQB0 04/29/22 05/10/29    100.000     0.000     4.4700     76.79   0.132860   0.135829   0.138865   0.141969  0.145141     48.67    50.87 
GS Finance Corp.         40057LQA2 04/29/22 07/29/27    100.000     0.000     4.2951     73.74   0.125823   0.128525   0.131285   0.134105  0.136985     46.61    48.64 
GS Finance Corp.         40056F3T0 03/28/19 03/30/26    100.000     2.000     3.6081    177.86   0.108025   0.108972   0.109936   0.110917  0.111915     39.24    39.94 
GS Finance Corp.         40057HE48 05/28/21 05/28/31    100.000    VARIES     2.4396     60.54   0.062541   0.062757   0.063259   0.063760  0.064247     22.58    22.90 
GS Finance Corp.         40057CFU0 07/31/20 08/02/27    100.000     0.000     1.5699     54.93   0.045708   0.046067   0.046428   0.046793  0.047160     16.63    16.89 
GS Finance Corp.         40057CFT3 07/31/20 08/02/27    100.000     0.000     1.5699     54.93   0.045708   0.046067   0.046428   0.046793  0.047160     16.63    16.89 
GS Finance Corp.         40057LQM6 04/13/22 04/11/25    100.000     0.000     3.4028     59.67   0.099411   0.101102   0.102822                          36.37    10.28 
GS Finance Corp.         40057CFS5 07/31/20 08/11/27    100.000     0.000     1.5700     54.94   0.045727   0.046086   0.046447   0.046812  0.047180     16.63    16.89 
GS Finance Corp.         40057CFR7 07/31/20 08/11/27    100.000     0.000     1.5700     54.94   0.045727   0.046086   0.046447   0.046812  0.047180     16.63    16.89 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40057EM61 11/30/20 12/10/30    100.000     0.000     1.8600     58.81   0.054646   0.055154   0.055667   0.056185  0.056707     19.79    20.16 
GS Finance Corp.         40057EM46 11/30/20 05/30/28    100.000     0.000     1.5518     48.86   0.045150   0.045501   0.045854   0.046209  0.046568     16.34    16.59 
GS Finance Corp.         40057LQH7 04/14/22 04/20/26    100.000     0.000     3.7400     65.62   0.109896   0.111951   0.114044   0.116177  0.118349     40.23    41.75 
GS Finance Corp.         40055ALY1 02/28/18 08/28/25    100.000     0.000     3.7368    241.50   0.127244   0.129622   0.132043   0.134511               46.83    31.74 
GS Finance Corp.         40057EM53 11/30/20 12/10/30    100.000     0.000     1.8600     58.81   0.054646   0.055154   0.055667   0.056185  0.056707     19.79    20.16 
GS Finance Corp.         40056ESL3 02/05/19 02/05/24    100.000     0.000     3.5800    190.16   0.116662                                                 3.97          
GS Finance Corp.         40057JKP0 09/30/21 10/12/29    100.000     0.000     2.0967     48.13   0.060766   0.061403   0.062046   0.062697  0.063354     22.09    22.56 
GS Finance Corp.         40057C5X5 07/06/20 01/03/25    100.000     0.000     1.2962     46.07   0.037424   0.037667   0.037911                          13.60     0.08 
GS Finance Corp.         40057LR37 05/04/22 05/05/27    100.000     0.000     4.3200     73.50   0.127961   0.130724   0.133548   0.136433  0.139380     46.88    48.92 
GS Finance Corp.         40055QL26 07/31/18 08/11/25    100.000     0.000     4.0600    243.43   0.138053   0.140856   0.143715   0.146633               51.00    32.14 
GS Finance Corp.         40057LQQ7 04/13/22 04/23/29    100.000     0.000     4.0900     72.04   0.120862   0.123333   0.125856   0.128429  0.131056     44.29    46.13 
GS Finance Corp.         40054LBJ2 05/31/17 06/11/24    100.000     0.000     2.9497    212.73   0.099205                                                15.87          
GS Finance Corp.         40057H4D9 05/03/21 05/01/28    100.000     0.000     1.9900     54.12   0.058076   0.058654   0.059237   0.059827  0.060422     21.08    21.50 
GS Finance Corp.         40057LQR5 04/07/22 04/07/37    100.000    VARIES     3.9995     68.21   0.106845   0.105711   0.106271   0.106762  0.107135     38.21    38.42 
GS Finance Corp.         40057CG70 07/23/20 07/24/25    100.000     0.000     1.2699     44.50   0.036643   0.036876   0.037110   0.037345               13.31     7.58 
GS Finance Corp.         40056FEG6 05/31/19 06/02/25    100.000     0.000     3.2500    159.36   0.104393   0.106089   0.107813                          37.99    16.28 
GS Finance Corp.         40054LSV7 09/13/17 09/12/24    100.000     0.000     2.8499    195.18   0.093806   0.095142                                     23.79          
GS Finance Corp.         40054LSU9 09/29/17 10/01/24    100.000     0.000     2.9500    201.08   0.097703   0.099144                                     26.64          
GS Finance Corp.         40055AMP9 02/26/18 03/05/25    100.000     0.000     3.7000    239.14   0.125857   0.128185   0.130557                          46.27     8.36 
GS Finance Corp.         40054KPR1 11/25/16 11/26/24    100.000     0.000     3.2499    257.23   0.113139   0.114978                                     37.10          
GS Finance Corp.         40054LBV5 05/31/17 05/31/24    100.000     0.000     2.9498    212.73   0.099119                                                14.77          
GS Finance Corp.         40056FF59 05/31/19 06/03/27    100.000     0.000     3.4933    172.16   0.113434   0.115415   0.117431   0.119482  0.121569     41.30    42.76 
GS Finance Corp.         40055QKY7 07/31/18 08/11/25    100.000     0.000     4.0600    243.43   0.138053   0.140856   0.143715   0.146633               51.00    32.14 
GS Finance Corp.         40057LA92 02/28/22 02/29/24    100.000     0.000     1.7601     32.81   0.050197                                                 2.91          
GS Finance Corp.         40055QL75 07/31/18 08/11/25    100.000     0.000     4.0600    243.43   0.138053   0.140856   0.143715   0.146633               51.00    32.14 
GS Finance Corp.         40057JKT2 09/30/21 09/30/31    100.000    VARIES     2.4405     54.32   0.066272   0.066419   0.066561   0.066702  0.066838     23.91    24.01 
GS Finance Corp.         40054LSS4 09/29/17 09/26/24    100.000     1.500     2.9596    193.33   0.090004   0.090719                                     23.98          
GS Finance Corp.         40055QKW1 07/31/18 05/01/25    100.000     0.000     4.0263    241.26   0.137898   0.140674   0.143506                          50.48    17.22 
GS Finance Corp.         40055AMX2 02/28/18 03/10/28    100.000     0.000     3.9678    258.06   0.136983   0.139701   0.142472   0.145299  0.148181     50.41    52.43 
GS Finance Corp.         40057H4Z0 05/28/21 05/31/29    100.000     0.000     2.0800     55.10   0.060853   0.061486   0.062126   0.062772  0.063425     22.06    22.52 
GS Finance Corp.         40055AMU8 02/28/18 03/10/28    100.000     0.000     3.9678    258.06   0.136983   0.139701   0.142472   0.145299  0.148181     50.41    52.43 
GS Finance Corp.         40055QLC4 07/31/18 01/29/26    100.000     0.000     4.0947    245.70   0.139280   0.142132   0.145042   0.148011  0.151041     51.53    53.66 
GS Finance Corp.         40054LTA2 09/29/17 09/30/24    100.000     0.000     2.9501    201.08   0.097695   0.099136                                     26.54          
GS Finance Corp.         40057FQ72 03/10/21 03/10/31    100.000    VARIES     2.5198     69.61   0.067943   0.068050   0.068244   0.068441  0.068635     24.51    24.65 
GS Finance Corp.         40055AMV6 02/28/18 03/10/28    100.000     0.000     3.9678    258.06   0.136983   0.139701   0.142472   0.145299  0.148181     50.41    52.43 
GS Finance Corp.         40054LSZ8 09/20/17 09/22/25    100.000     0.000     3.0502    209.43   0.101620   0.103169   0.104743   0.106340               37.17    27.63 
GS Finance Corp.         36259Y735 04/07/21 04/05/28    100.000     0.000     2.1083     59.02   0.061710   0.062361   0.063018   0.063682  0.064354     22.45    22.92 
GS Finance Corp.         40057LAC5 03/02/22 03/01/28    100.000     0.000     3.0754     57.49   0.089423   0.090798   0.092195   0.093612  0.095052     32.77    33.79 
GS Finance Corp.         40056FF83 05/31/19 06/02/26    100.000     0.000     3.3900    166.71   0.109566   0.111423   0.113311   0.115232  0.117185     39.89    41.25 
GS Finance Corp.         40056FF91 05/31/19 05/31/24    100.000     0.000     3.1099    152.05   0.099256                                                14.79          
GS Finance Corp.         36258L742 12/04/19 06/04/25    100.000     0.000     2.4932    106.25   0.076471   0.077424   0.078389                          27.75    11.99 
GS Finance Corp.         40055ANA1 02/28/18 03/12/25    100.000     0.000     3.6670    236.55   0.124572   0.126856   0.129182                          45.76     9.17 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40055QLJ9 07/31/18 08/11/25    100.000     0.000     4.0600    243.43   0.138053   0.140856   0.143715   0.146633               51.00    32.14 
GS Finance Corp.         40057LAX9 03/23/22 03/26/29    100.000     0.000     3.4800     63.09   0.101829   0.103601   0.105404   0.107238  0.109104     37.32    38.63 
GS Finance Corp.         40057LAW1 03/23/22 03/25/27    100.000     0.000     3.3200     60.13   0.096908   0.098517   0.100152   0.101814  0.103505     35.49    36.68 
GS Finance Corp.         40057KP72 01/31/22 01/31/30    100.000     0.000     2.8700     56.24   0.083205   0.084399   0.085610   0.086839  0.088085     30.53    31.41 
GS Finance Corp.         40056F5L5 04/30/19 04/30/25    100.000     0.000     3.4500    173.22   0.111779   0.113707   0.115668                          40.82    13.76 
GS Finance Corp.         40054LCJ1 05/18/17 05/20/24    100.000     0.000     3.0299    220.28   0.102352                                                14.23          
GS Finance Corp.         40055ANE3 03/16/18 03/27/25    100.000     0.000     3.8098    244.37   0.130394   0.132878   0.135409                          47.86    11.65 
GS Finance Corp.         40054KQH2 12/30/16 01/03/25    100.000     0.000     3.3999    266.29   0.117613   0.119612   0.121646                          43.42     0.24 
GS Finance Corp.         40055ANF0 03/16/18 03/27/25    100.000     0.000     3.8098    244.37   0.130394   0.132878   0.135409                          47.86    11.65 
GS Finance Corp.         40057LS51 04/27/22 05/07/29    100.000     0.000     4.5200     77.95   0.134430   0.137468   0.140575   0.143752  0.147001     49.27    51.53 
GS Finance Corp.         40057H5T3 05/19/21 05/19/31    100.000    VARIES     2.4694     61.82   0.063145   0.063337   0.063860   0.064383  0.064895     22.80    23.13 
GS Finance Corp.         40054KQU3 12/30/16 12/31/26    100.000     0.000     3.6499    288.39   0.130611   0.132994   0.135421   0.137892  0.140409     47.45    49.20 
GS Finance Corp.         40057HG79 06/30/21 06/29/28    100.000     0.000     1.9816     50.59   0.057824   0.058397   0.058976   0.059560  0.060150     20.92    21.34 
GS Finance Corp.         40057HG61 06/30/21 03/30/27    100.000     0.000     1.7249     43.94   0.049803   0.050233   0.050666   0.051103  0.051544     18.08    18.40 
GS Finance Corp.         40057LSB8 05/04/22 05/02/25    100.000     0.000     3.8015     64.48   0.111709   0.113832   0.115996                          40.85    14.04 
GS Finance Corp.         40056YNL4 04/03/20 04/04/24    100.000     0.000     2.6801    104.85   0.081722                                                 7.60          
GS Finance Corp.         40057HG53 06/30/21 03/30/27    100.000     0.000     1.7249     43.94   0.049803   0.050233   0.050666   0.051103  0.051544     18.08    18.40 
GS Finance Corp.         40056FX75 08/30/19 09/02/25    100.000     0.000     2.4350    110.67   0.074526   0.075433   0.076352   0.077281               27.21    18.57 
GS Finance Corp.         40057C7E5 06/30/20 06/30/27    100.000     0.000     1.8299     65.89   0.054178   0.054674   0.055174   0.055679  0.056188     19.59    19.95 
GS Finance Corp.         40056FFV2 06/05/19 06/05/24    100.000     0.000     3.0199    146.90   0.096000                                                14.78          
GS Finance Corp.         40056FX91 09/05/19 03/05/25    100.000     0.000     2.3900    108.16   0.073006   0.073879   0.074761                          26.64     4.78 
GS Finance Corp.         40054KQQ2 12/30/16 07/01/24    100.000     0.000     3.4000    266.29   0.119594                                                21.53          
GS Finance Corp.         40055ANM5 03/16/18 03/27/25    100.000     0.000     3.8098    244.37   0.130394   0.132878   0.135409                          47.86    11.65 
GS Finance Corp.         40056XKH8 10/28/19 10/22/27    100.000     1.000     2.8087    121.58   0.083933   0.085112   0.085527   0.086728  0.087166     30.54    31.12 
GS Finance Corp.         40057HX39 07/30/21 07/31/28    100.000     0.000     1.7900     44.07   0.051528   0.051989   0.052454   0.052923  0.053397     18.77    19.11 
GS Finance Corp.         40056YNK6 03/31/20 10/01/25    100.000     0.000     3.2325    127.91   0.100465   0.102088   0.103738   0.105415               36.75    28.31 
GS Finance Corp.         40057C7B1 06/30/20 07/12/27    100.000     0.000     1.8300     65.90   0.053722   0.054214   0.054710   0.055211  0.055716     19.60    19.96 
GS Finance Corp.         40057HWP1 07/30/21 07/30/36    100.000    VARIES     2.5273     58.85   0.064534   0.064314   0.064604   0.065033  0.065460     23.20    23.46 
GS Finance Corp.         40057LSK8 04/26/22 04/24/25    100.000     0.000     3.7917     65.21   0.111407   0.113520   0.115672                          40.77    13.07 
GS Finance Corp.         40054LUA0 10/13/17 10/25/24    100.000     0.000     2.9399    198.97   0.097387   0.098818                                     28.89          
GS Finance Corp.         40056YNR1 03/27/20 03/27/25    100.000     0.000     3.8599    154.70   0.122571   0.124937   0.127348                          45.00    10.95 
GS Finance Corp.         40057LSD4 04/22/22 04/26/27    100.000     0.000     4.2500     73.79   0.125803   0.128476   0.131206   0.133994  0.136842     46.12    48.10 
GS Finance Corp.         40057HG87 06/30/21 06/29/28    100.000     0.000     1.9816     50.59   0.057824   0.058397   0.058976   0.059560  0.060150     20.92    21.34 
GS Finance Corp.         40057LT50 05/03/22 05/03/27    100.000     0.000     4.3101     73.46   0.127633   0.130383   0.133193   0.136063  0.138995     46.77    48.80 
GS Finance Corp.         40057LC25 03/31/22 04/11/29    100.000     0.000     3.8100     68.45   0.112127   0.114263   0.116439   0.118658  0.120918     41.10    42.68 
GS Finance Corp.         40057LSP7 04/28/22 04/24/24    100.000     0.000     2.4919     42.37   0.071820                                                 8.12          
GS Finance Corp.         40054LUG7 10/30/17 10/30/24    100.000     0.000     3.0002    201.71   0.099641   0.101136                                     30.06          
GS Finance Corp.         40054LUF9 10/30/17 10/30/25    100.000     0.000     3.1001    209.03   0.103568   0.105174   0.106804   0.108460               37.77    32.23 
GS Finance Corp.         40057LBZ3 03/31/22 04/11/29    100.000     0.000     3.8100     68.45   0.112127   0.114263   0.116439   0.118658  0.120918     41.10    42.68 
GS Finance Corp.         40057JN77 10/29/21 10/29/27    100.000     0.000     2.0450     45.20   0.059164   0.059769   0.060380   0.060998  0.061621     21.48    21.93 
GS Finance Corp.         40057LBY6 03/31/22 03/31/28    100.000     0.000     3.7350     67.06   0.109671   0.111719   0.113805   0.115930  0.118095     40.23    41.74 
GS Finance Corp.         40056FXS9 08/30/19 03/04/25    100.000     0.000     2.3825    108.18   0.072776   0.073643   0.074521                          26.56     4.69 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40057JN69 10/29/21 10/31/28    100.000     0.000     2.2300     49.37   0.064759   0.065481   0.066211   0.066950  0.067696     23.53    24.06 
GS Finance Corp.         40057LBX8 03/31/22 01/03/25    100.000     0.000     3.1443     56.24   0.090841   0.092270   0.093720                          33.47     0.19 
GS Finance Corp.         40057JN51 10/29/21 10/31/28    100.000     0.000     2.2300     49.37   0.064759   0.065481   0.066211   0.066950  0.067696     23.53    24.06 
GS Finance Corp.         40057HGN4 06/30/21 07/10/31    100.000     0.000     2.3900     61.27   0.069665   0.070498   0.071340   0.072193  0.073055     25.52    26.13 
GS Finance Corp.         40057LSZ5 04/26/22 05/07/29    100.000     0.000     4.5200     78.08   0.134447   0.137485   0.140592   0.143770  0.147019     49.28    51.53 
GS Finance Corp.         40057JN44 10/29/21 10/29/27    100.000     0.000     2.0450     45.20   0.059164   0.059769   0.060380   0.060998  0.061621     21.48    21.93 
GS Finance Corp.         40057LBV2 03/31/22 04/02/26    100.000     0.000     3.5449     63.57   0.103821   0.105661   0.107534   0.109440  0.111379     38.04    39.40 
GS Finance Corp.         36255U232 08/03/18 08/05/25    100.000     0.000     4.0135    239.94   0.136023   0.138753   0.141537   0.144377               50.26    30.80 
GS Finance Corp.         40057LSW2 05/04/22 05/02/24    100.000     0.000     2.4980     42.05   0.072012                                                 8.71          
GS Finance Corp.         40056E3F3 10/31/18 10/29/26    100.000     0.000     4.2586    243.44   0.146021   0.149130   0.152305   0.155548  0.158860     53.52    55.82 
GS Finance Corp.         40057LST9 05/04/22 05/04/27    100.000     0.000     4.3200     73.50   0.127944   0.130708   0.133531   0.136416  0.139362     46.88    48.92 
GS Finance Corp.         40056E3G1 10/31/18 10/31/24    100.000     0.000     4.0300    229.12   0.136660   0.139413                                     41.36          
GS Finance Corp.         40056F6X8 05/03/19 05/03/24    100.000     0.000     3.2700    163.25   0.105108                                                12.82          
GS Finance Corp.         40057H6T2 05/28/21 06/10/31    100.000     0.000     2.4200     64.34   0.071446   0.072310   0.073185   0.074071  0.074967     25.91    26.54 
GS Finance Corp.         40054L3Y8 04/28/17 04/28/25    100.000     0.000     3.3000    244.22   0.113400   0.115271   0.117173                          41.40    13.71 
GS Finance Corp.         40057H6S4 05/28/21 06/10/31    100.000     0.000     2.4200     64.34   0.071446   0.072310   0.073185   0.074071  0.074967     25.91    26.54 
GS Finance Corp.         40056EUV8 02/28/19 12/01/25    100.000     0.000     3.8350    202.00   0.127638   0.130085   0.132580   0.135122               46.54    44.21 
GS Finance Corp.         40054L3S1 04/28/17 04/30/24    100.000     0.000     3.0498    223.92   0.103153                                                12.28          
GS Finance Corp.         40054LV76 10/31/17 11/12/24    100.000     0.000     3.0000    201.70   0.099736   0.101232                                     31.29          
GS Finance Corp.         40057H6R6 05/28/21 05/31/28    100.000     0.000     1.9100     50.51   0.055645   0.056177   0.056713   0.057255  0.057802     20.16    20.55 
GS Finance Corp.         40056EV47 02/28/19 03/02/27    100.000     0.000     3.9567    208.94   0.131157   0.133751   0.136397   0.139096  0.141848     48.31    50.24 
GS Finance Corp.         40056F6S9 04/30/19 01/29/26    100.000     0.000     3.5433    178.29   0.114265   0.116290   0.118350   0.120447  0.122581     42.12    43.63 
GS Finance Corp.         40054LUU6 10/31/17 10/31/24    100.000     0.000     2.9999    201.69   0.099632   0.101127                                     30.06          
GS Finance Corp.         40057H6Q8 05/28/21 05/31/28    100.000     0.000     1.9100     50.51   0.055645   0.056177   0.056713   0.057255  0.057802     20.16    20.55 
GS Finance Corp.         40056EV54 02/28/19 02/28/25    100.000     0.000     3.7301    195.99   0.122360   0.124642   0.126967                          45.03     7.24 
GS Finance Corp.         40054L3U6 04/27/17 04/29/25    100.000     0.000     3.3000    244.33   0.113418   0.115289   0.117191                          41.40    13.83 
GS Finance Corp.         40057H6P0 05/28/21 12/01/26    100.000     0.000     1.5051     39.63   0.043409   0.043736   0.044065   0.044397  0.044731     15.71    15.94 
GS Finance Corp.         40054LV92 10/31/17 11/12/24    100.000     0.000     3.0000    201.70   0.099736   0.101232                                     31.29          
GS Finance Corp.         40057JN93 10/29/21 10/31/28    100.000     0.000     2.2300     49.37   0.064759   0.065481   0.066211   0.066950  0.067696     23.53    24.06 
GS Finance Corp.         40054LV84 10/31/17 11/12/24    100.000     0.000     3.0000    201.70   0.099736   0.101232                                     31.29          
GS Finance Corp.         40056F6R1 04/30/19 01/30/24    100.000     0.000     3.2726    163.72   0.104356                                                 3.03          
GS Finance Corp.         40057JN85 10/29/21 10/29/26    100.000     0.000     1.8600     41.05   0.053616   0.054114   0.054617   0.055125  0.055638     19.45    19.82 
GS Finance Corp.         40054KBA3 05/27/16 05/30/24    100.000     0.000     2.8998    244.40   0.099985                                                14.90          
GS Finance Corp.         40054LVA9 10/31/17 11/09/27    100.000     0.000     3.3500    227.52   0.113677   0.115581   0.117517   0.119485  0.121486     41.47    42.87 
GS Finance Corp.         40057FS62 03/31/21 03/29/29    100.000     0.000     2.1944     61.93   0.064369   0.065075   0.065789   0.066511  0.067241     23.43    23.95 
GS Finance Corp.         40055APE1 03/29/18 10/01/25    100.000     0.000     3.9000    249.02   0.134005   0.136618   0.139282   0.141998               49.19    38.10 
GS Finance Corp.         40056EEG9 11/30/18 12/02/26    100.000     0.000     4.4667    251.97   0.154781   0.158238   0.161772   0.165385  0.169079     56.55    59.10 
GS Finance Corp.         40055APF8 03/29/18 12/31/24    100.000     0.000     3.8275    243.91   0.132239   0.134770                                     47.93          
GS Finance Corp.         40057LCS8 03/31/22 04/02/29    100.000     0.000     3.8100     68.44   0.112020   0.114154   0.116329   0.118545  0.120803     41.09    42.68 
GS Finance Corp.         40055QNS7 08/16/18 08/27/25    100.000     0.000     3.9600    234.69   0.133987   0.136640   0.139345   0.142104               49.38    33.38 
GS Finance Corp.         40057H7F1 05/28/21 05/31/28    100.000     0.000     1.9100     50.51   0.055645   0.056177   0.056713   0.057255  0.057802     20.16    20.55 
GS Finance Corp.         40057LCQ2 03/31/22 04/02/29    100.000     0.000     3.8100     68.44   0.112020   0.114154   0.116329   0.118545  0.120803     41.09    42.68 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40057KQM8 01/24/22 01/22/27    100.000     0.000     2.4107     47.50   0.069406   0.070243   0.071090   0.071946  0.072814     25.40    26.02 
GS Finance Corp.         40054LEE0 06/30/17 07/02/24    100.000     0.000     2.8998    205.89   0.095754   0.097143                                     17.58          
GS Finance Corp.         40054L4C5 04/25/17 04/25/24    100.000     0.000     3.0999    228.28   0.105168                                                11.99          
GS Finance Corp.         40057L2N0 02/14/22 02/14/29    100.000     0.000     2.9501     56.64   0.085626   0.086889   0.088171   0.089471  0.090791     31.40    32.33 
GS Finance Corp.         40055APM3 03/29/18 04/09/25    100.000     0.000     3.8700    246.91   0.132871   0.135442   0.138063                          48.72    13.53 
GS Finance Corp.         40054LVS0 10/31/17 10/31/24    100.000     0.000     2.9999    201.69   0.099632   0.101127                                     30.06          
GS Finance Corp.         40055APN1 03/29/18 04/09/25    100.000     0.000     3.8700    246.91   0.132871   0.135442   0.138063                          48.72    13.53 
GS Finance Corp.         40056XME3 11/29/19 05/30/25    100.000     0.000     2.4675    105.49   0.075611   0.076544   0.077488                          27.45    11.55 
GS Finance Corp.         40055APL5 03/29/18 04/09/25    100.000     0.000     3.8700    246.91   0.132871   0.135442   0.138063                          48.72    13.53 
GS Finance Corp.         40057JNT9 10/29/21 10/31/29    100.000     0.000     2.3400     51.85   0.068101   0.068898   0.069704   0.070520  0.071345     24.76    25.34 
GS Finance Corp.         40054L4L5 04/28/17 01/30/24    100.000     0.000     3.0000    219.95   0.100400                                                 2.91          
GS Finance Corp.         40057HHL7 06/30/21 06/28/29    100.000     0.000     2.1192     54.18   0.062045   0.062702   0.063367   0.064038  0.064716     22.46    22.94 
GS Finance Corp.         40054LEM2 06/29/17 07/01/25    100.000     0.000     3.0998    221.54   0.105180   0.105180   0.108465   0.108465               38.16    19.52 
GS Finance Corp.         40056YPD0 03/31/20 04/01/27    100.000     0.000     3.3000    130.73   0.102802   0.104498   0.106222   0.107975  0.109756     37.62    38.87 
GS Finance Corp.         40056EEJ3 11/30/18 12/03/24    100.000     0.000     4.2600    239.15   0.146147   0.149260                                     49.08          
GS Finance Corp.         40057FSG0 03/24/21 03/24/31    100.000    VARIES     2.5493     67.44   0.064410   0.064594   0.065109   0.065627  0.066140     23.29    23.63 
GS Finance Corp.         40054KSN7 01/30/17 01/30/25    100.000     0.000     3.3999    262.76   0.117580   0.119579   0.121612                          43.30     3.53 
GS Finance Corp.         40055APU5 03/29/18 10/10/25    100.000     0.000     3.9000    249.03   0.134135   0.136750   0.139417   0.142136               49.19    39.39 
GS Finance Corp.         40055APV3 03/29/18 04/09/25    100.000     0.000     3.8700    246.91   0.132871   0.135442   0.138063                          48.72    13.53 
GS Finance Corp.         40056E4X3 10/31/18 07/31/25    100.000     0.000     4.1350    235.73   0.139518   0.142402   0.145347   0.148352               51.63    30.92 
GS Finance Corp.         40056E4W5 10/31/18 04/30/26    100.000     0.000     4.2103    240.41   0.144041   0.147073   0.150169   0.153331  0.156559     52.77    55.02 
GS Finance Corp.         40056EET1 11/30/18 06/01/26    100.000     0.000     4.4283    249.58   0.153142   0.156533   0.159999   0.163541  0.167162     55.95    58.45 
GS Finance Corp.         40054KBS4 05/31/16 05/31/24    100.000     0.000     3.0499    258.15   0.106312                                                15.84          
GS Finance Corp.         40056EW61 03/05/19 03/04/24    100.000     0.000     3.5562    185.33   0.115754                                                 7.29          
GS Finance Corp.         40055APR2 03/29/18 04/10/28    100.000     0.000     4.0900    262.50   0.142126   0.145033   0.147999   0.151025  0.154114     52.16    54.32 
GS Finance Corp.         40054KT55 01/31/17 01/31/24    100.000     0.000     3.2500    249.93   0.111322                                                 3.23          
GS Finance Corp.         40054KT48 01/31/17 01/29/27    100.000     0.000     3.6999    288.78   0.130417   0.132830   0.135287   0.137790  0.140339     48.12    49.92 
GS Finance Corp.         36257D808 07/03/19 01/03/24    100.000     0.000     2.6546    125.84   0.081943                                                 0.16          
GS Finance Corp.         40056FYV1 08/30/19 03/04/27    100.000     0.000     2.5733    117.27   0.079199   0.080218   0.081250   0.082296  0.083355     28.93    29.68 
GS Finance Corp.         36256M858 02/05/19 02/05/24    100.000     0.000     3.5778    190.04   0.116578                                                 3.96          
GS Finance Corp.         40056EES3 11/30/18 09/02/25    100.000     0.000     4.3363    243.96   0.147721   0.150923   0.154196   0.157539               54.53    37.76 
GS Finance Corp.         40055APP6 03/29/18 04/09/25    100.000     0.000     3.8700    246.91   0.132871   0.135442   0.138063                          48.72    13.53 
GS Finance Corp.         40054KBT2 05/31/16 05/29/26    100.000     0.000     3.2989    281.76   0.117112   0.119043   0.121007   0.123003  0.125032     42.63    44.05 
GS Finance Corp.         40056FYW9 08/30/19 09/02/25    100.000     0.000     2.4350    110.67   0.074526   0.075433   0.076352   0.077281               27.21    18.57 
GS Finance Corp.         40054KTB2 01/27/17 01/29/24    100.000     0.000     3.1998    246.00   0.109273                                                 3.06          
GS Finance Corp.         40057KAK9 12/31/21 01/03/29    100.000     0.000     2.2100     45.00   0.063457   0.064158   0.064867   0.065584  0.066309     23.22    23.74 
GS Finance Corp.         40054LFC3 06/30/17 07/02/24    100.000     0.000     2.8998    205.89   0.095754   0.097143                                     17.58          
GS Finance Corp.         40057KAJ2 12/31/21 01/03/29    100.000     0.000     2.2100     45.00   0.063457   0.064158   0.064867   0.065584  0.066309     23.22    23.74 
GS Finance Corp.         40054KTD8 01/30/17 01/30/24    100.000     0.000     3.2500    249.93   0.111322                                                 3.23          
GS Finance Corp.         40054K2A3 02/29/16 02/27/26    100.000     0.000     3.6002    322.65   0.130651   0.133003   0.135397   0.137835  0.140316     48.05    49.79 
GS Finance Corp.         40056XN77 11/29/19 12/01/27    100.000     0.000     2.7267    117.12   0.084420   0.085570   0.086737   0.087920  0.089118     30.67    31.51 
GS Finance Corp.         40057HZB9 08/31/21 08/30/29    100.000     0.000     2.0160     47.99   0.058294   0.058878   0.059475   0.060068  0.060680     21.23    21.66 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40057KAH6 12/31/21 07/02/26    100.000     0.000     1.8399     37.36   0.052538   0.053021   0.053509   0.054001  0.054498     19.17    19.53 
GS Finance Corp.         40057EQ75 12/29/20 12/28/27    100.000     0.000     1.4339     43.88   0.041572   0.041870   0.042170   0.042472  0.042777     15.02    15.24 
GS Finance Corp.         40057KRG0 02/03/22 02/05/29    100.000     0.000     2.7600     53.80   0.079897   0.081000   0.082117   0.083251  0.084399     29.29    30.10 
GS Finance Corp.         40057L3F6 03/03/22 03/04/27    100.000     0.000     2.8099     52.35   0.081396   0.082540   0.083700   0.084875  0.086068     29.78    30.62 
GS Finance Corp.         40056YQ56 03/31/20 03/30/28    100.000     0.000     3.3672    133.54   0.105127   0.106897   0.108697   0.110527  0.112388     38.49    39.80 
GS Finance Corp.         40057FSX3 03/24/21 03/24/31    100.000    VARIES     2.5501     68.93   0.067909   0.068046   0.068283   0.068522  0.068759     24.51    24.67 
GS Finance Corp.         40057FBU7 02/26/21 02/28/28    100.000     0.000     1.6601     48.20   0.048063   0.048462   0.048864   0.049270  0.049679     17.47    17.76 
GS Finance Corp.         40055AQE0 03/29/18 03/31/25    100.000     0.000     3.8700    246.90   0.132745   0.135313   0.137932                          48.72    12.28 
GS Finance Corp.         40057KAQ6 12/31/21 01/12/29    100.000     0.000     2.2100     45.01   0.063494   0.064196   0.064905   0.065623  0.066348     23.22    23.74 
GS Finance Corp.         40057KAP8 12/31/21 01/12/29    100.000     0.000     2.2100     45.01   0.063494   0.064196   0.064905   0.065623  0.066348     23.22    23.74 
GS Finance Corp.         40057KAN3 12/31/21 07/01/27    100.000     0.000     2.0000     40.66   0.057814   0.058393   0.058976   0.059566  0.060162     20.92    21.34 
GS Finance Corp.         40057LUQ2 05/04/22 05/02/24    100.000     0.000     2.4980     42.05   0.072012                                                 8.71          
GS Finance Corp.         40057KAM5 12/31/21 01/03/29    100.000     0.000     2.2100     45.00   0.063457   0.064158   0.064867   0.065584  0.066309     23.22    23.74 
GS Finance Corp.         40055AQA8 03/28/18 03/27/25    100.000     0.000     3.8492    245.56   0.131853   0.134390   0.136977                          48.41    11.78 
GS Finance Corp.         40057LUP4 05/04/22 05/02/25    100.000     0.000     3.8015     64.48   0.111709   0.113832   0.115996                          40.85    14.04 
GS Finance Corp.         40057KAL7 12/31/21 07/01/27    100.000     0.000     2.0000     40.66   0.057814   0.058393   0.058976   0.059566  0.060162     20.92    21.34 
GS Finance Corp.         40055AQB6 03/28/18 03/26/26    100.000     0.000     3.9333    251.50   0.135333   0.137994   0.140708   0.143475  0.146297     49.71    51.68 
GS Finance Corp.         40054KD29 06/29/16 06/27/24    100.000     0.000     2.7999    232.07   0.095795                                                16.86          
GS Finance Corp.         40057HJ50 06/30/21 09/30/27    100.000     0.000     1.8350     46.80   0.053112   0.053599   0.054091   0.054587  0.055088     19.30    19.65 
GS Finance Corp.         40055AQP5 03/29/18 04/10/28    100.000     0.000     4.0900    262.50   0.142126   0.145033   0.147999   0.151025  0.154114     52.16    54.32 
GS Finance Corp.         40057HJ43 06/30/21 06/29/28    100.000     0.000     1.9816     50.59   0.057824   0.058397   0.058976   0.059560  0.060150     20.92    21.34 
GS Finance Corp.         40055AQM2 03/29/18 04/09/25    100.000     0.000     3.8700    246.91   0.132871   0.135442   0.138063                          48.72    13.53 
GS Finance Corp.         40056XNH5 11/29/19 12/10/26    100.000     0.000     2.6400    113.22   0.081509   0.082585   0.083675   0.084779  0.085899     29.58    30.37 
GS Finance Corp.         40056XNE2 12/02/19 12/04/24    100.000     0.000     2.4200    103.15   0.074023   0.074919                                     24.81          
GS Finance Corp.         40055AQK6 03/29/18 04/09/25    100.000     0.000     3.8700    246.91   0.132871   0.135442   0.138063                          48.72    13.53 
GS Finance Corp.         40056FZS7 08/30/19 09/04/24    100.000     0.000     2.3300    105.68   0.071023   0.071851                                     17.41          
GS Finance Corp.         40057L3V1 03/03/22 03/05/30    100.000     0.000     3.1233     58.31   0.090904   0.092323   0.093765   0.095229  0.096716     33.31    34.36 
GS Finance Corp.         40055QPC0 08/31/18 09/03/24    100.000     0.000     3.8250    224.12   0.128453   0.130910                                     31.53          
GS Finance Corp.         40057FD43 01/29/21 01/29/36    100.000    VARIES     2.3895     67.04   0.060600   0.059747   0.059152   0.058771  0.058591     21.44    21.14 
GS Finance Corp.         40057LEB3 03/31/22 12/31/26    100.000     0.000     3.6314     65.15   0.107432   0.109383   0.111369   0.113391  0.115450     39.03    40.46 
GS Finance Corp.         40055QPB2 08/31/18 09/02/26    100.000     0.000     4.0567    239.06   0.137776   0.140570   0.143421   0.146330  0.149298     50.77    52.85 
GS Finance Corp.         40057LEA5 03/31/22 10/03/28    100.000     0.000     3.7725     67.75   0.110870   0.112961   0.115092   0.117263  0.119474     40.66    42.21 
GS Finance Corp.         40057FU28 04/09/21 04/09/31    100.000    VARIES     2.4795     64.50   0.063282   0.063698   0.064181   0.064655  0.065118     22.93    23.27 
GS Finance Corp.         40055AR25 03/14/18 03/25/25    100.000     0.000     3.7899    243.23   0.129572   0.132028   0.134530                          47.56    11.30 
GS Finance Corp.         40056XNL6 11/29/19 12/10/26    100.000     0.000     2.6400    113.22   0.081509   0.082585   0.083675   0.084779  0.085899     29.58    30.37 
GS Finance Corp.         40057FUA0 03/31/21 03/31/28    100.000    VARIES     2.1198     57.86   0.058102   0.058190   0.058310   0.058425  0.058536     20.95    21.03 
GS Finance Corp.         40056EGA0 11/30/18 11/30/28    100.000     0.000     4.6200    261.55   0.161259   0.164984   0.168795   0.172694  0.176684     58.96    61.71 
GS Finance Corp.         40057F2Y9 01/29/21 02/10/31    100.000     0.000     1.8800     56.22   0.054755   0.055270   0.055790   0.056314  0.056844     19.95    20.33 
GS Finance Corp.         36264H107 03/16/22 03/14/25    100.000     0.000     3.0228     55.25   0.087818   0.089145   0.090492                          32.14     6.61 
GS Finance Corp.         40054LGG3 06/30/17 06/30/25    100.000     0.000     3.0999    221.44   0.105166   0.106796   0.108451                          38.16    19.41 
GS Finance Corp.         36264H131 03/16/22 03/16/27    100.000     0.000     3.4238     62.75   0.100075   0.101788   0.103531   0.105303  0.107106     36.70    37.97 
GS Finance Corp.         36264H123 03/16/22 03/14/25    100.000     0.000     3.0228     55.25   0.087818   0.089145   0.090492                          32.14     6.61 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40057ER90 12/29/20 01/08/31    100.000     0.000     1.9000     58.49   0.055359   0.055885   0.056416   0.056952  0.057493     20.21    20.59 
GS Finance Corp.         40057F2X1 01/29/21 02/10/31    100.000     0.000     1.8800     56.22   0.054755   0.055270   0.055790   0.056314  0.056844     19.95    20.33 
GS Finance Corp.         40056XNS1 11/22/19 11/23/29    100.000     0.000     2.9800    129.24   0.093182   0.094570   0.095979   0.097409  0.098860     33.90    34.92 
GS Finance Corp.         40055AQZ3 03/14/18 03/25/25    100.000     0.000     3.7899    243.23   0.129572   0.132028   0.134530                          47.56    11.30 
GS Finance Corp.         36264H149 03/16/22 03/16/27    100.000     0.000     3.4238     62.75   0.100075   0.101788   0.103531   0.105303  0.107106     36.70    37.97 
GS Finance Corp.         40054KUL8 01/30/17 07/30/24    100.000     0.000     3.3302    256.78   0.114659   0.116568                                     24.31          
GS Finance Corp.         36260W405 04/20/21 04/20/26    100.000     0.000     0.8823     24.03   0.025053   0.025164   0.025275   0.025386  0.025498      9.05     9.13 
GS Finance Corp.         40054LXN9 10/31/17 10/31/24    100.000     0.000     2.9999    201.69   0.099632   0.101127                                     30.06          
GS Finance Corp.         40054LXR0 10/31/17 11/10/27    100.000     0.000     3.3499    227.52   0.113684   0.115588   0.117524   0.119493  0.121494     41.46    42.87 
GS Finance Corp.         40057HJK7 06/16/21 06/16/31    100.000    VARIES     2.3104     57.55   0.061724   0.061918   0.062155   0.062390  0.062621     22.26    22.43 
GS Finance Corp.         36260W421 05/06/21 05/04/28    100.000     0.000     1.9831     53.75   0.057864   0.058438   0.059017   0.059603  0.060194     21.00    21.42 
GS Finance Corp.         40057ERB5 12/29/20 06/28/28    100.000     0.000     1.5125     46.33   0.043956   0.044288   0.044623   0.044961  0.045301     15.89    16.13 
GS Finance Corp.         40057KC27 12/31/21 07/05/29    100.000     0.000     2.3116     47.11   0.066486   0.067255   0.068032   0.068818  0.069614     24.35    24.91 
GS Finance Corp.         40057HJH4 06/23/21 12/28/26    100.000     0.000     1.6224     41.60   0.046937   0.047317   0.047701   0.048088  0.048478     16.97    17.24 
GS Finance Corp.         40057ERA7 12/29/20 06/28/28    100.000     0.000     1.5125     46.33   0.043956   0.044288   0.044623   0.044961  0.045301     15.89    16.13 
GS Finance Corp.         40057HJG6 06/23/21 06/26/28    100.000     0.000     1.9299     49.64   0.056256   0.056799   0.057347   0.057900  0.058459     20.36    20.75 
GS Finance Corp.         40057JPN0 10/29/21 11/09/28    100.000     0.000     2.2300     49.37   0.064795   0.065517   0.066248   0.066987  0.067733     23.53    24.06 
GS Finance Corp.         40057CKY6 09/03/20 09/06/24    100.000     0.000     0.9900     33.41   0.028330   0.028470                                      6.97          
GS Finance Corp.         40057LFA4 03/31/22 04/11/29    100.000     0.000     3.8100     68.45   0.112127   0.114263   0.116439   0.118658  0.120918     41.10    42.68 
GS Finance Corp.         36257W178 08/05/19 08/05/24    100.000     0.000     2.7442    127.60   0.085008   0.086175                                     18.40          
GS Finance Corp.         40055ARR0 03/21/18 03/20/25    100.000     0.000     3.7991    242.95   0.129787   0.132252   0.134765                          47.67    10.65 
GS Finance Corp.         40056FK46 06/17/19 06/26/26    100.000     0.000     3.2600    158.11   0.104826   0.106534   0.108271   0.110036  0.111829     38.06    39.31 
GS Finance Corp.         40054LH23 07/31/17 07/31/24    100.000     0.000     2.9499    206.83   0.097683   0.099124                                     20.68          
GS Finance Corp.         40057L4Z1 03/01/22 02/28/25    100.000     0.000     2.5668     47.89   0.074066   0.075016   0.075979                          27.07     4.33 
GS Finance Corp.         40057JQ82 10/07/21 10/07/27    100.000     0.000     1.8000     40.84   0.051825   0.052291   0.052762   0.053236  0.053716     18.82    19.16 
GS Finance Corp.         40057JQ74 10/07/21 10/10/28    100.000     0.000     2.0200     45.92   0.058422   0.059012   0.059608   0.060210  0.060818     21.23    21.67 
GS Finance Corp.         40057EAE7 05/29/20 06/01/27    100.000     0.000     2.2400     83.24   0.067277   0.068030   0.068792   0.069563  0.070342     24.40    24.95 
GS Finance Corp.         40054LXT6 10/31/17 11/12/24    100.000     0.000     3.0000    201.70   0.099736   0.101232                                     31.29          
GS Finance Corp.         40054KV29 02/27/17 08/26/24    100.000     0.000     3.2501    246.94   0.111316   0.113125                                     26.48          
GS Finance Corp.         40055ARW9 03/29/18 04/10/28    100.000     0.000     4.0900    262.50   0.142126   0.145033   0.147999   0.151025  0.154114     52.16    54.32 
GS Finance Corp.         40056YS39 03/31/20 04/01/27    100.000     0.000     3.3000    130.73   0.102802   0.104498   0.106222   0.107975  0.109756     37.62    38.87 
GS Finance Corp.         40057KCA9 12/10/21 12/10/26    100.000     0.000     1.9700     41.18   0.056909   0.057469   0.058035   0.058607  0.059184     20.61    21.02 
GS Finance Corp.         40055ARV1 03/21/18 03/20/25    100.000     0.000     3.7991    242.95   0.129787   0.132252   0.134765                          47.67    10.65 
GS Finance Corp.         40057FE42 02/03/21 02/03/28    100.000     0.000     1.4700     43.56   0.042355   0.042666   0.042980   0.043296  0.043614     15.40    15.62 
GS Finance Corp.         40055ART6 03/21/18 03/21/24    100.000     0.000     3.6850    234.93   0.125128                                                10.01          
GS Finance Corp.         40054LHJ6 07/28/17 07/30/25    100.000     0.000     3.0997    218.53   0.103570   0.105176   0.106806   0.108461               38.06    22.62 
GS Finance Corp.         40057CM81 08/31/20 08/31/26    100.000     0.000     1.3750     46.78   0.039796   0.040068   0.040345   0.040620  0.040902     14.44    14.64 
GS Finance Corp.         40057CM73 08/31/20 08/31/26    100.000     0.000     1.3750     46.78   0.039796   0.040068   0.040345   0.040620  0.040902     14.44    14.64 
GS Finance Corp.         40054KVB9 02/27/17 02/27/25    100.000     0.000     3.3001    251.15   0.113404   0.115275   0.117178                          41.63     6.56 
GS Finance Corp.         40054LYD0 11/15/17 11/25/24    100.000     0.000     2.9499    196.58   0.097760   0.099202                                     31.93          
GS Finance Corp.         40056FKE4 07/03/19 07/03/24    100.000     0.000     2.7200    129.10   0.084177   0.085321                                     15.53          
GS Finance Corp.         40056FKB0 06/28/19 06/28/24    100.000     0.000     2.6900    128.02   0.084270                                                14.92          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40054KVC7 02/27/17 02/27/24    100.000     0.000     3.1501    238.57   0.107215                                                 6.00          
GS Finance Corp.         40056FKC8 06/28/19 06/30/26    100.000     0.000     2.9700    142.15   0.094219   0.095618   0.097038   0.098479  0.099941     34.17    35.20 
GS Finance Corp.         40055QR95 08/31/18 03/04/26    100.000     0.000     4.0083    235.93   0.135841   0.138563   0.141340   0.144173  0.147062     50.04    52.06 
GS Finance Corp.         40057JR73 10/21/21 10/21/36    100.000    VARIES     2.8389     60.06   0.073176   0.073675   0.074156   0.074609  0.075040     26.50    26.84 
GS Finance Corp.         40057LFX4 04/05/22 04/05/27    100.000     0.000     3.4801     61.87   0.101803   0.103574   0.105377   0.107210  0.109076     37.28    38.58 
GS Finance Corp.         40057LG96 03/30/22 03/30/27    100.000     0.000     3.6901     66.23   0.108280   0.110278   0.112313   0.114385  0.116496     39.71    41.19 
GS Finance Corp.         40055QA69 05/24/18 08/26/25    100.000     0.000     4.1042    255.73   0.141147   0.144043   0.146999   0.150016               52.07    35.09 
GS Finance Corp.         40055QR87 08/31/18 06/02/25    100.000     0.000     3.8963    228.73   0.132570   0.135153   0.137786                          48.34    20.81 
GS Finance Corp.         40055ABF3 12/19/17 06/19/25    100.000     0.000     3.1000    203.95   0.103565   0.105171   0.106801                          37.61    17.94 
GS Finance Corp.         40057HKH2 07/06/21 07/06/28    100.000     0.000     1.9099     48.39   0.055110   0.055636   0.056167   0.056704  0.057245     20.12    20.51 
GS Finance Corp.         40056FKY0 06/28/19 07/09/26    100.000     0.000     2.9701    142.17   0.092912   0.094292   0.095692   0.097113  0.098555     34.17    35.20 
GS Finance Corp.         40057FW42 04/30/21 05/12/31    100.000     0.000     2.4800     68.03   0.073327   0.074236   0.075156   0.076088  0.077032     26.65    27.32 
GS Finance Corp.         40057L6B2 03/02/22 03/02/27    100.000     0.000     2.9701     55.48   0.086232   0.087512   0.088812   0.090131  0.091469     31.58    32.53 
GS Finance Corp.         40054LZ98 11/30/17 12/03/24    100.000     0.000     2.9998    198.70   0.099653   0.101148                                     33.35          
GS Finance Corp.         40057CMG3 08/31/20 09/10/30    100.000     0.000     1.9400     66.54   0.057134   0.057688   0.058248   0.058813  0.059384     20.79    21.20 
GS Finance Corp.         40056FL60 06/28/19 12/31/24    100.000     0.000     2.7600    131.54   0.086746   0.087943                                     31.36          
GS Finance Corp.         40054KVS2 02/28/17 02/28/24    100.000     0.000     3.0999    234.28   0.105168                                                 5.99          
GS Finance Corp.         40054LZ72 11/30/17 12/03/24    100.000     0.000     2.9998    198.70   0.099653   0.101148                                     33.35          
GS Finance Corp.         40054KF27 07/29/16 05/01/25    100.000     0.000     2.7700    226.58   0.093945   0.095246   0.096565                          34.21    11.59 
GS Finance Corp.         40056EYS1 03/29/19 03/31/25    100.000     0.000     3.4250    175.31   0.110858   0.112756   0.114687                          40.60    10.21 
GS Finance Corp.         40057JA89 09/03/21 09/05/31    100.000     0.000     2.2400     53.24   0.065065   0.065794   0.066531   0.067276  0.068029     23.72    24.26 
GS Finance Corp.         40054LZ80 11/30/17 12/03/24    100.000     0.000     2.9998    198.70   0.099653   0.101148                                     33.35          
GS Finance Corp.         40054KF35 07/29/16 07/30/26    100.000     0.000     2.9298    240.97   0.099769   0.101230   0.102713   0.104218  0.105744     36.62    37.71 
GS Finance Corp.         40057FEZ3 02/26/21 02/28/28    100.000     0.000     1.6601     48.20   0.048063   0.048462   0.048864   0.049270  0.049679     17.47    17.76 
GS Finance Corp.         40057L6J5 02/24/22 03/06/29    100.000     0.000     3.1600     59.85   0.092102   0.093557   0.095035   0.096537  0.098062     33.76    34.83 
GS Finance Corp.         40054LZC1 11/30/17 12/03/24    100.000     0.000     2.9998    198.70   0.099653   0.101148                                     33.35          
GS Finance Corp.         40056EZB7 03/29/19 12/31/25    100.000     0.000     3.5625    182.90   0.117046   0.119131   0.121253   0.123412               42.52    43.92 
GS Finance Corp.         40056EZA9 03/29/19 04/01/27    100.000     0.000     3.6700    188.86   0.120097   0.122301   0.124545   0.126830  0.129158     44.03    45.66 
GS Finance Corp.         40057JAE6 08/31/21 09/12/28    100.000     0.000     1.9000     45.18   0.054848   0.055369   0.055895   0.056426  0.056962     19.95    20.33 
GS Finance Corp.         40054LZE7 11/30/17 12/03/25    100.000     0.000     3.1001    205.92   0.103595   0.105201   0.106831   0.108487               37.67    35.77 
GS Finance Corp.         40057FW83 04/30/21 05/02/28    100.000     0.000     2.0200     55.13   0.059010   0.059606   0.060208   0.060816  0.061430     21.42    21.86 
GS Finance Corp.         40055AC70 01/31/18 02/11/25    100.000     0.000     3.4199    222.33   0.114592   0.116552   0.118545                          42.16     4.74 
GS Finance Corp.         40057FF74 02/12/21 02/12/31    100.000    VARIES     1.9200     54.77   0.052560   0.052647   0.052741   0.052825  0.052902     18.96    19.02 
GS Finance Corp.         40057FW75 04/30/21 05/02/28    100.000     0.000     2.0200     55.13   0.059010   0.059606   0.060208   0.060816  0.061430     21.42    21.86 
GS Finance Corp.         40055AC88 01/31/18 01/30/25    100.000     0.000     3.4101    221.61   0.114084   0.116029   0.118007                          42.01     3.42 
GS Finance Corp.         40057FF66 02/26/21 02/28/28    100.000     0.000     1.6601     48.20   0.048063   0.048462   0.048864   0.049270  0.049679     17.47    17.76 
GS Finance Corp.         40057FW67 04/30/21 10/30/26    100.000     0.000     1.6375     44.50   0.047378   0.047766   0.048157   0.048551  0.048949     17.17    17.46 
GS Finance Corp.         40055QAB8 06/04/18 06/13/25    100.000     0.000     3.9400    243.02   0.135774   0.138449   0.141176                          49.46    22.87 
GS Finance Corp.         40055AC54 01/31/18 01/30/25    100.000     0.000     3.4101    221.61   0.114084   0.116029   0.118007                          42.01     3.42 
GS Finance Corp.         40057FF58 02/26/21 08/28/28    100.000     0.000     1.7417     50.62   0.050529   0.050969   0.051413   0.051861  0.052313     18.38    18.70 
GS Finance Corp.         40057FW59 04/30/21 10/30/26    100.000     0.000     1.6375     44.50   0.047378   0.047766   0.048157   0.048551  0.048949     17.17    17.46 
GS Finance Corp.         40057FF41 02/26/21 03/10/31    100.000     0.000     2.1500     62.80   0.063056   0.063734   0.064419   0.065111  0.065811     22.97    23.47 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40055AC62 01/31/18 02/11/25    100.000     0.000     3.4199    222.33   0.114592   0.116552   0.118545                          42.16     4.74 
GS Finance Corp.         40055QRR5 08/31/18 09/12/25    100.000     0.000     3.9600    232.82   0.134004   0.136657   0.139363   0.142123               49.30    35.48 
GS Finance Corp.         40057JRM0 10/27/21 04/29/27    100.000     0.000     1.9850     43.97   0.057367   0.057936   0.058511   0.059092  0.059678     20.83    21.24 
GS Finance Corp.         40057JRL2 10/27/21 10/30/28    100.000     0.000     2.2700     50.40   0.065979   0.066727   0.067485   0.068251  0.069025     23.98    24.53 
GS Finance Corp.         40054KFB7 07/28/16 07/30/24    100.000     0.000     2.6502    215.92   0.088528   0.089701                                     18.71          
GS Finance Corp.         40056FLD5 07/03/19 07/15/24    100.000     0.000     2.7200    129.12   0.084254   0.085400                                     16.55          
GS Finance Corp.         40054LJ39 07/31/17 08/09/24    100.000     0.000     2.9498    206.83   0.097748   0.099189                                     21.57          
GS Finance Corp.         40057E2G1 04/30/20 04/30/27    100.000     0.000     2.4600     93.88   0.074439   0.075355   0.076282   0.077220  0.078170     27.08    27.75 
GS Finance Corp.         40056YCH5 01/24/20 01/25/30    100.000     0.000     2.7100    111.78   0.082721   0.083842   0.084978   0.086129  0.087296     30.33    31.16 
GS Finance Corp.         40055QRZ7 08/31/18 09/12/25    100.000     0.000     3.9600    232.82   0.134004   0.136657   0.139363   0.142123               49.30    35.48 
GS Finance Corp.         40054LZS6 11/30/17 12/12/24    100.000     0.000     2.9999    198.70   0.099731   0.101227                                     34.28          
GS Finance Corp.         40055ACL9 01/31/18 01/30/25    100.000     0.000     3.3896    220.16   0.113276   0.115195   0.117148                          41.71     3.40 
GS Finance Corp.         40057FWL4 04/30/21 05/02/28    100.000     0.000     2.0200     55.13   0.059010   0.059606   0.060208   0.060816  0.061430     21.42    21.86 
GS Finance Corp.         40057JS80 10/20/21 10/20/31    100.000    VARIES     2.6096     56.60   0.070282   0.070280   0.070469   0.070684  0.070893     25.31    25.44 
GS Finance Corp.         40055QAV4 06/15/18 06/26/25    100.000     0.000     4.0700    250.33   0.141277   0.144152   0.147086                          51.41    25.74 
GS Finance Corp.         40055ATK3 04/17/18 04/28/25    100.000     0.000     3.7800    238.26   0.129164   0.131605   0.134093                          47.25    15.69 
GS Finance Corp.         40054LJ54 07/31/17 08/09/27    100.000     0.000     3.3497    237.74   0.113668   0.115572   0.117507   0.119475  0.121476     41.81    43.22 
GS Finance Corp.         40054LZU1 11/30/17 12/12/24    100.000     0.000     2.9999    198.70   0.099731   0.101227                                     34.28          
GS Finance Corp.         40055QB84 06/29/18 07/11/25    100.000     0.000     4.0800    249.06   0.138886   0.141719   0.144610   0.147560               51.48    28.01 
GS Finance Corp.         40054LJ47 07/31/17 08/09/24    100.000     0.000     2.9498    206.83   0.097748   0.099189                                     21.57          
GS Finance Corp.         40054LZT4 11/30/17 12/12/24    100.000     0.000     2.9999    198.70   0.099731   0.101227                                     34.28          
GS Finance Corp.         40054KWL6 02/17/17 08/19/24    100.000     0.000     3.2499    248.04   0.111341   0.113150                                     25.71          
GS Finance Corp.         40055ATJ6 04/17/18 04/28/25    100.000     0.000     3.7800    238.26   0.129164   0.131605   0.134093                          47.25    15.69 
GS Finance Corp.         40055ACE5 01/18/18 01/29/25    100.000     0.000     3.3498    218.70   0.111819   0.113692   0.115596                          41.17     3.24 
GS Finance Corp.         40055QAR3 06/15/18 06/26/25    100.000     0.000     4.0700    250.33   0.141277   0.144152   0.147086                          51.41    25.74 
GS Finance Corp.         40055ACF2 01/18/18 01/29/25    100.000     0.000     3.3498    218.70   0.111819   0.113692   0.115596                          41.17     3.24 
GS Finance Corp.         40055ATH0 04/17/18 04/28/25    100.000     0.000     3.7800    238.26   0.129164   0.131605   0.134093                          47.25    15.69 
GS Finance Corp.         40055QSC7 08/08/18 02/06/26    100.000     0.000     4.0319    240.46   0.136707   0.139463   0.142274   0.145142  0.148068     50.52    52.58 
GS Finance Corp.         40055ATU1 04/02/18 10/03/24    100.000     0.000     3.7376    237.22   0.127286   0.129665                                     35.05          
GS Finance Corp.         40057KVD2 02/04/22 02/04/27    100.000     0.000     2.5400     49.36   0.073278   0.074209   0.075151   0.076106  0.077072     26.82    27.51 
GS Finance Corp.         40055QBB7 06/29/18 07/11/25    100.000     0.000     4.0800    249.06   0.138886   0.141719   0.144610   0.147560               51.48    28.01 
GS Finance Corp.         40057FX58 04/05/21 10/03/24    100.000     0.000     1.0638     29.49   0.030341   0.030503                                      8.28          
GS Finance Corp.         40057FX41 04/05/21 04/02/26    100.000     0.000     1.5814     44.09   0.045685   0.046046   0.046410   0.046777  0.047147     16.58    16.84 
GS Finance Corp.         40055AU47 04/30/18 05/09/25    100.000     0.000     4.0400    254.59   0.139976   0.142803   0.145688                          51.20    18.65 
GS Finance Corp.         40055AU54 04/30/18 05/09/28    100.000     0.000     4.3200    274.27   0.151963   0.155245   0.158599   0.162024  0.165524     55.64    58.07 
GS Finance Corp.         40055QSB9 08/08/18 02/06/26    100.000     0.000     4.0319    240.46   0.136707   0.139463   0.142274   0.145142  0.148068     50.52    52.58 
GS Finance Corp.         40056FM85 06/28/19 06/30/25    100.000     0.000     2.8299    135.07   0.089220   0.090482   0.091763                          32.35    16.43 
GS Finance Corp.         40056EZU5 04/03/19 04/04/24    100.000     0.000     3.3401    170.22   0.107704                                                10.02          
GS Finance Corp.         40055AU39 04/30/18 05/09/25    100.000     0.000     4.0400    254.59   0.139976   0.142803   0.145688                          51.20    18.65 
GS Finance Corp.         40054LZV9 11/30/17 12/13/27    100.000     0.000     3.3000    220.45   0.111691   0.113534   0.115407   0.117311  0.119247     40.61    41.96 
GS Finance Corp.         40057K3Z4 12/03/21 12/05/28    100.000     0.000     2.2800     48.24   0.066279   0.067035   0.067799   0.068572  0.069353     24.04    24.59 
GS Finance Corp.         40057E2H9 04/30/20 01/30/26    100.000     0.000     2.3100     87.96   0.069141   0.069939   0.070747   0.071564  0.072391     25.28    25.86 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40057L7L9 02/24/22 02/23/24    100.000     0.000     1.6034     30.04   0.045617                                                 2.37          
GS Finance Corp.         40057KVK6 02/03/22 02/05/30    100.000     0.000     2.8333     55.26   0.082108   0.083271   0.084450   0.085647  0.086860     30.11    30.97 
GS Finance Corp.         40055QBK7 06/08/18 10/08/26    100.000     0.000     4.1144    254.45   0.142021   0.144943   0.147925   0.150968  0.154074     52.14    54.31 
GS Finance Corp.         40057L7J4 03/02/22 03/12/29    100.000     0.000     3.1999     59.87   0.093305   0.094798   0.096315   0.097856  0.099422     34.19    35.29 
GS Finance Corp.         40057FFY5 02/22/21 02/23/28    100.000     0.000     1.5700     45.72   0.045353   0.045709   0.046068   0.046430  0.046794     16.48    16.74 
GS Finance Corp.         40057LHH7 03/28/22 04/06/29    100.000     0.000     3.6600     65.90   0.107438   0.109404   0.111406   0.113445  0.115521     39.37    40.82 
GS Finance Corp.         40057FX82 04/30/21 05/02/29    100.000     0.000     2.1733     59.41   0.063729   0.064421   0.065121   0.065829  0.066544     23.15    23.65 
GS Finance Corp.         40055AU88 04/30/18 05/09/25    100.000     0.000     4.0400    254.59   0.139976   0.142803   0.145688                          51.20    18.65 
GS Finance Corp.         40054LJA3 07/31/17 08/09/24    100.000     0.000     2.9498    206.83   0.097748   0.099189                                     21.57          
GS Finance Corp.         40057FWV2 04/30/21 05/12/31    100.000     0.000     2.4800     68.03   0.073327   0.074236   0.075156   0.076088  0.077032     26.65    27.32 
GS Finance Corp.         40055ATX5 04/30/18 04/30/25    100.000     0.000     4.0400    254.59   0.139838   0.142662   0.145544                          51.20    17.32 
GS Finance Corp.         40055ACW5 01/30/18 01/29/26    100.000     0.000     3.4733    226.12   0.116588   0.118613   0.120673   0.122769  0.124901     42.96    44.46 
GS Finance Corp.         40055ADF1 01/31/18 02/11/25    100.000     0.000     3.4199    222.33   0.114592   0.116552   0.118545                          42.16     4.74 
GS Finance Corp.         40055QC42 06/29/18 07/01/26    100.000     0.000     4.1733    255.34   0.145526   0.145526   0.151662   0.151662  0.158058     52.94    55.17 
GS Finance Corp.         40055QSU7 08/09/18 08/13/25    100.000     0.000     3.9699    236.27   0.134287   0.136953   0.139671   0.142444               49.57    31.51 
GS Finance Corp.         40055ADC8 01/31/18 02/11/25    100.000     0.000     3.4199    222.33   0.114592   0.116552   0.118545                          42.16     4.74 
GS Finance Corp.         40055ADD6 01/31/18 02/11/25    100.000     0.000     3.4199    222.33   0.114592   0.116552   0.118545                          42.16     4.74 
GS Finance Corp.         40055AUC9 04/30/18 05/09/28    100.000     0.000     4.3200    274.27   0.151963   0.155245   0.158599   0.162024  0.165524     55.64    58.07 
GS Finance Corp.         40054LJJ4 07/31/17 07/31/24    100.000     0.000     2.9499    206.83   0.097683   0.099124                                     20.68          
GS Finance Corp.         40057KVN0 02/04/22 02/04/27    100.000     0.000     2.5000     48.57   0.072081   0.072982   0.073894   0.074818  0.075753     26.38    27.04 
GS Finance Corp.         40055AUA3 04/30/18 05/09/25    100.000     0.000     4.0400    254.59   0.139976   0.142803   0.145688                          51.20    18.65 
GS Finance Corp.         40055AUB1 04/30/18 05/09/25    100.000     0.000     4.0400    254.59   0.139976   0.142803   0.145688                          51.20    18.65 
GS Finance Corp.         40055AUP0 04/30/18 11/10/25    100.000     0.000     4.0867    257.86   0.141969   0.144870   0.147830   0.150851               51.93    46.22 
GS Finance Corp.         40054KGP5 08/31/16 08/31/26    100.000     0.000     2.8001    226.38   0.093457   0.093735   0.096623   0.096379  0.099348     34.65    35.56 
GS Finance Corp.         40054KH41 08/30/16 08/29/24    100.000     0.000     2.5993    208.64   0.084623   0.086665                                     20.77          
GS Finance Corp.         40056EJQ2 12/28/18 12/27/24    100.000     0.000     4.4909    249.12   0.155744   0.159242                                     56.07          
GS Finance Corp.         40054KGR1 08/04/16 08/06/26    100.000     0.000     2.8502    233.28   0.096535   0.097910   0.099306   0.100721  0.102156     35.40    36.42 
GS Finance Corp.         40054LJP0 07/31/17 07/31/24    100.000     0.000     2.9499    206.83   0.097683   0.099124                                     20.68          
GS Finance Corp.         40054KGM2 08/31/16 05/30/25    100.000     0.000     2.6499    213.07   0.089089   0.090269   0.091465                          32.36    13.63 
GS Finance Corp.         40056FN27 06/28/19 12/31/26    100.000     0.000     3.0233    144.86   0.096139   0.097593   0.099068   0.100565  0.102086     34.87    35.94 
GS Finance Corp.         40055ADK0 01/31/18 02/11/25    100.000     0.000     3.4199    222.33   0.114592   0.116552   0.118545                          42.16     4.74 
GS Finance Corp.         40055ADG9 01/31/18 02/11/28    100.000     0.000     3.6599    239.52   0.124247   0.126521   0.128836   0.131194  0.133595     45.78    47.47 
GS Finance Corp.         40057JST4 11/03/21 11/02/28    100.000     0.000     2.2046     48.54   0.063980   0.064685   0.065398   0.066119  0.066848     23.24    23.76 
GS Finance Corp.         40057FGF5 02/11/21 02/11/24    100.000     0.000     0.6198     18.04   0.017486                                                 0.70          
GS Finance Corp.         36260W587 05/19/21 06/03/26    100.000     0.000     1.4218     37.77   0.040940   0.041231   0.041524   0.041820  0.042117     14.81    15.02 
GS Finance Corp.         40055QBU5 06/29/18 07/01/24    100.000     0.000     3.9250    238.62   0.135043   0.135043                                     24.31          
GS Finance Corp.         36261Y566 01/20/22 02/05/29    100.000     0.000     2.6418     52.45   0.076415   0.077425   0.078447   0.079484  0.080533     27.99    28.73 
GS Finance Corp.         40056YE34 02/06/20 02/19/30    100.000     0.000     2.5700    104.82   0.078136   0.079140   0.080157   0.081187  0.082231     28.58    29.32 
GS Finance Corp.         40057KFD0 12/07/21 12/06/29    100.000     0.000     2.4094     50.75   0.070208   0.071054   0.071910   0.072776  0.073653     25.47    26.09 
GS Finance Corp.         40054KXY7 03/30/17 04/01/24    100.000     0.000     3.1002    230.93   0.105188                                                 9.47          
GS Finance Corp.         40055AUQ8 04/30/18 11/10/25    100.000     0.000     4.0867    257.86   0.141969   0.144870   0.147830   0.150851               51.93    46.22 
GS Finance Corp.         40054KXX9 03/30/17 04/01/25    100.000     0.000     3.3001    247.41   0.113415   0.115286   0.117189                          41.51    10.55 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Corp.         40057J2H8 08/31/21 08/31/28    100.000     0.000     1.9000     45.18   0.054811   0.055329   0.055857   0.056382  0.056924     19.95    20.33 
GS Finance Corp.         40056XRY4 01/03/20 10/03/24    100.000     0.000     2.4313    101.38   0.073944   0.074843                                     20.27          
GS Finance Corp.         40056EKC1 12/27/18 12/27/28    100.000     0.000     4.7400    264.61   0.166419   0.170364   0.174401   0.178534  0.182766     60.65    63.56 
GS Finance Corp.         40057J2G0 08/31/21 08/31/28    100.000     0.000     1.9000     45.18   0.054811   0.055329   0.055857   0.056382  0.056924     19.95    20.33 
GS Finance Corp.         40056XRZ1 01/03/20 01/05/24    100.000     0.000     2.3449     97.60   0.070683                                                 0.28          
GS Finance Corp.         40054KYF7 03/31/17 04/02/24    100.000     0.000     3.1000    230.92   0.105189                                                 9.57          
GS Finance Corp.         40057J2F2 08/31/21 08/31/28    100.000     0.000     1.9000     45.18   0.054811   0.055329   0.055857   0.056382  0.056924     19.95    20.33 
GS Finance Corp.         40055QCJ9 06/29/18 07/11/28    100.000     0.000     4.3600    268.06   0.150479   0.153759   0.157111   0.160536  0.164036     55.89    58.35 
GS Finance Corp.         40057J2E5 08/31/21 08/31/27    100.000     0.000     1.7001     40.35   0.048850   0.049263   0.049684   0.050102  0.050532     17.76    18.06 
GS Finance Corp.         40056XAT3 09/30/19 09/30/27    100.000     0.000     2.8633    128.55   0.089115   0.090390   0.091685   0.092997  0.094328     32.54    33.48 
GS Finance Corp.         40057J2D7 08/31/21 08/31/27    100.000     0.000     1.7001     40.35   0.048850   0.049263   0.049684   0.050102  0.050532     17.76    18.06 
GS Finance Corp.         40056XAS5 09/30/19 03/28/25    100.000     0.000     2.5900    115.68   0.079734   0.080767   0.081813                          29.08     7.12 
GS Finance Corp.         40057FXZ2 04/09/21 04/09/31    100.000    VARIES     2.4796     66.15   0.066544   0.066719   0.066932   0.067141  0.067344     24.02    24.17 
GS Finance Corp.         40057J2C9 08/31/21 08/31/26    100.000     0.000     1.5000     35.53   0.042929   0.043250   0.043576   0.043899  0.044232     15.59    15.83 
GS Finance Corp.         40055QTG7 09/04/18 09/08/25    100.000     0.000     3.9400    230.98   0.133078   0.135700   0.138373   0.141099               48.98    34.67 
GS Finance Group         40057XME2 12/28/23 12/26/25    100.000     0.000     5.2296      0.44   0.145267   0.149023   0.152920   0.156918               53.01    55.01 
GS Finance Group         40057XNC5 12/29/23 01/02/26    100.000     0.000     5.1900      0.29   0.144167   0.144229   0.147972   0.151812  0.155751     52.59    55.35 
GS Finance Group         40057XC78 12/15/23 12/13/30    100.000     0.000     5.5658      2.47   0.154606   0.158860   0.163281   0.167825  0.172496     56.58    59.76 
GS Finance Group         40057XC86 12/27/23 12/24/26    100.000     0.000     5.1900      0.58   0.144167   0.147845   0.151682   0.155618  0.159656     52.61    55.37 
GS Finance Group         40057XC60 12/27/23 07/01/26    100.000     0.000     5.1900      0.58   0.144250   0.147993   0.151834   0.155774  0.159816     52.60    55.37 
GS Finance Group         40057XBT1 12/05/23 12/05/28    100.000     0.000     5.6100      4.05   0.155833   0.160204   0.164698   0.169318  0.174067     57.12    60.37 
GS Finance Group         40057XBZ7 12/08/23 06/16/25    100.000     0.000     5.6225      3.60   0.156376   0.160772   0.165292                          57.22    27.27 
GS Finance Group         40057XCH6 12/26/23 12/24/26    100.000     0.000     5.1900      0.72   0.144167   0.147866   0.151703   0.155640  0.159679     52.62    55.38 
GS Finance Group         40057XCF0 12/26/23 12/29/26    100.000     0.000     5.0700      0.70   0.140893   0.144464   0.148127   0.151882  0.155732     51.38    54.02 
GS Finance Group         40057XCN3 12/27/23 12/29/26    100.000     0.000     5.0500      0.56   0.140317   0.143860   0.147493   0.151217  0.155035     51.17    53.78 
GS Finance Group         40057XCK9 12/27/23 12/26/25    100.000     0.000     5.2504      0.58   0.145844   0.149652   0.153581   0.157612               53.23    55.25 
GS Finance Group         40057XCJ2 12/26/23 01/07/31    100.000     0.000     5.2200      0.72   0.145000   0.145231   0.149022   0.152911  0.156902     52.94    55.72 
GS Finance Group         40057XD93 12/29/23 01/24/25    100.000     0.000     5.4200      0.30   0.150556   0.151122   0.155218                          55.03     3.57 
GS Finance Group         40057XD77 12/27/23 12/24/26    100.000     0.000     5.1900      0.58   0.144167   0.147845   0.151682   0.155618  0.159656     52.61    55.37 
GS Finance Group         40057XD85 12/18/23 12/18/25    100.000     0.000     5.3500      1.93   0.148611   0.152586   0.156668   0.160859               54.32    55.12 
GS Finance Group         40057XCT0 12/20/23 12/20/27    100.000     0.000     5.0550      1.54   0.140417   0.143966   0.147604   0.151335  0.155160     51.27    53.89 
GS Finance Group         40057XDB8 12/27/23 12/26/25    100.000     0.000     5.2504      0.58   0.145844   0.149652   0.153581   0.157612               53.23    55.25 
GS Finance Group         40057XDA0 12/29/23 01/24/25    100.000     0.000     5.4200      0.30   0.150556   0.151122   0.155218                          55.03     3.57 
GS Finance Group         40057XDJ1 12/29/23 12/31/26    100.000     0.000     5.0000      0.28   0.138908   0.142381   0.145940   0.149589  0.153329     50.64    53.20 
GS Finance Group         40057XDF9 12/08/23 01/08/25    100.000     0.000     5.6188      3.59   0.156078   0.156809   0.161214                          57.21     1.13 
GS Finance Group         40057XDD4 12/27/23 12/26/25    100.000     0.000     5.2504      0.58   0.145844   0.149652   0.153581   0.157612               53.23    55.25 
GS Finance Group         40057XDC6 12/27/23 12/26/25    100.000     0.000     5.2504      0.58   0.145844   0.149652   0.153581   0.157612               53.23    55.25 
GS Finance Group         40057XDL6 12/29/23 01/24/25    100.000     0.000     5.4200      0.30   0.150556   0.151122   0.155218                          55.03     3.57 
GS Finance Group         40057XDK8 12/29/23 12/30/27    100.000     0.000     5.0350      0.28   0.139861   0.143402   0.147012   0.150713  0.154507     50.99    53.60 
GS Finance Group         40057XEK7 12/27/23 09/24/27    100.000     0.000     5.0700      0.56   0.140833   0.142559   0.146173   0.149878  0.153678     51.53    54.02 
GS Finance Group         40057XEF8 12/27/23 12/24/26    100.000     0.000     5.1900      0.58   0.144167   0.147845   0.151682   0.155618  0.159656     52.61    55.37 
GS Finance Group         40057XEX9 12/27/23 06/26/28    100.000     0.000     5.0925      0.57   0.141458   0.145040   0.148733   0.152520  0.156404     51.61    54.26 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS Finance Group         40057XFF7 12/29/23 12/31/26    100.000     0.000     4.9300      0.27   0.136963   0.140339   0.143799   0.147343  0.150975     49.92    52.41 
GS Finance Group         40057XFE0 12/29/23 12/31/29    100.000     0.000     4.9830      0.28   0.138436   0.141885   0.145420   0.149043  0.152757     50.46    53.01 
GS Finance Group         40057XFD2 12/29/23 12/27/30    100.000     0.000     5.0854      0.28   0.141261   0.144813   0.148495   0.152271  0.156143     51.52    54.17 
GS Finance Group         40057XFC4 12/29/23 12/27/30    100.000     0.000     5.0854      0.28   0.141261   0.144813   0.148495   0.152271  0.156143     51.52    54.17 
GS Finance Group         40057XFG5 12/26/23 12/26/28    100.000     0.000     5.1100      0.71   0.141944   0.145571   0.149290   0.153105  0.157017     51.79    54.47 
GS Finance Group         40057XFS9 12/29/23 01/03/29    100.000     0.000     5.0700      0.28   0.140833   0.140913   0.144485   0.148147  0.151903     51.36    53.99 
GS Finance Group         40057XGY5 12/27/23 12/27/28    100.000     0.000     5.1100      0.57   0.141944   0.145571   0.149290   0.153105  0.157017     51.78    54.46 
GS Finance Group         40057XHN8 12/20/23 12/20/28    100.000     0.000     5.0700      1.55   0.140833   0.144403   0.148064   0.151818  0.155666     51.42    54.06 
GS Finance Group         40057XHM0 12/27/23 12/28/26    100.000     0.000     5.1900      0.58   0.144167   0.147929   0.151767   0.155706  0.159746     52.60    55.37 
GS Finance Group         40057XKW4 12/29/23 12/31/25    100.000     0.000     5.1900      0.29   0.144187   0.147929   0.151768   0.155706               52.59    55.19 
GS Finance Group         40057XKU8 12/28/23 07/01/26    100.000     0.000     5.1900      0.43   0.144229   0.147972   0.151812   0.155751  0.159793     52.60    55.36 
GS Finance Group         40057XL52 12/26/23 12/24/26    100.000     0.000     5.1900      0.72   0.144167   0.147866   0.151703   0.155640  0.159679     52.62    55.38 
GS Finance Group         40057XL29 12/29/23 12/31/25    100.000     0.000     5.1900      0.29   0.144187   0.147929   0.151768   0.155706               52.59    55.19 
GS.FINANCE CORP          40057WUJ4 11/30/23 09/01/26    100.000     0.000     5.6713      4.88   0.157536   0.159795   0.164326   0.168985  0.173777     57.93    61.13 
GSFINANCE CORP           40057WUK1 11/30/23 09/01/27    100.000     0.000     5.6662      4.88   0.157394   0.159649   0.164172   0.168823  0.173606     57.88    61.07 
General Cable Corp.      369300AL2 12/18/09 11/15/29    100.000    VARIES    12.5014   3505.58   1.325506   1.398984   1.477056   1.560007  1.648143    497.38   554.54 
Goldman Sachs Group, Inc 38148TLJ6 02/16/16 02/16/26    100.000    VARIES     3.7570     51.76   0.018859   0.018817   0.018712   0.018604  0.018443      6.76     6.68 
Goldman Sachs Group, Inc 38147QHS8 08/02/13 08/02/28    100.000    VARIES     4.8903    472.48   0.128185   0.128928   0.129689   0.130441  0.131212     46.50    47.05 
Goldman Sachs Group, Inc 38148TJN0 12/31/15 07/03/24    100.000     0.000     3.2988    299.33   0.117153   0.119085                                     21.67          
Goldman Sachs Group, Inc 38147QXX9 03/31/15 03/31/25    100.000    VARIES     3.3914    296.95   0.094405   0.094356   0.094282                          33.97     8.39 
Goldman Sachs Group, Inc 38141GMR2 02/11/13 02/11/28    100.000    VARIES     4.2924    429.05   0.111696   0.112483   0.113286   0.114106  0.114943     40.57    41.16 
Goldman Sachs Group, Inc 38147QGA8 07/22/13 07/22/28    100.000    VARIES     4.9007    475.04   0.128397   0.129138   0.129897   0.130643  0.131406     46.59    47.14 
Goldman Sachs Group, Inc 38147Q5M4 05/21/14 05/21/29    100.000    VARIES     4.4103    392.81   0.115006   0.115557   0.116186   0.116829  0.117485     41.55    41.99 
Goldman Sachs Group, Inc 38147Q5E2 12/13/13 12/13/28    100.000    VARIES     4.9491    441.41   0.123640   0.124851   0.126092   0.127363  0.128666     44.77    45.67 
Goldman Sachs Group, Inc 38141GMD3 01/23/13 01/23/28    100.000    VARIES     4.3421    435.51   0.112675   0.113510   0.114357   0.115223  0.116108     40.98    41.60 
Goldman Sachs Group, Inc 38148THX0 11/18/15 11/18/25    100.000    VARIES     3.7095     22.88   0.007843   0.007684   0.007522   0.007325                2.78     2.35 
Goldman Sachs Group, Inc 38150AAC9 06/13/18 06/13/28    100.000    VARIES     3.7824     35.04   0.017892   0.018231   0.018576   0.018927  0.019285      6.51     6.76 
Goldman Sachs Group, Inc 38150AAG0 06/19/18 06/19/30    100.000    VARIES     3.7644     18.01   0.009032   0.009202   0.009375   0.009552  0.009732      3.29     3.41 
Goldman Sachs Group, Inc 38147QV86 02/27/15 02/28/25    100.000     0.000     2.9501    295.54   0.103964   0.104350   0.107645                          38.57     6.24 
Goldman Sachs Group, Inc 38148TGX1 11/10/15 11/10/26    100.000    VARIES     3.8760     31.81   0.011206   0.011131   0.011055   0.010946  0.010835      4.01     3.95 
Goldman Sachs Group, Inc 38148TGT0 11/30/15 11/28/25    100.000     0.000     3.4490    318.56   0.125927   0.128099   0.130308   0.132555               45.87    43.02 
Goldman Sachs Group, Inc 38150ABH7 09/26/18 09/26/28    100.000    VARIES     3.7555     15.51   0.008198   0.008352   0.008508   0.008668  0.008831      3.01     3.12 
Goldman Sachs Group, Inc 38148TGM5 10/22/15 10/22/27    100.000    VARIES     3.9047     39.28   0.013960   0.013979   0.014000   0.013955  0.013909      5.03     5.03 
Goldman Sachs Group, Inc 38148TGL7 10/30/15 10/30/25    100.000    VARIES     3.6654     24.94   0.008565   0.008438   0.008309   0.008146                3.04     2.46 
Goldman Sachs Group, Inc 38147QTX4 03/21/14 03/21/29    100.000    VARIES     4.6241    408.31   0.118289   0.119097   0.119934   0.120789  0.121665     42.89    43.50 
Goldman Sachs Group, Inc 38148T5U9 07/07/15 07/08/25    100.000     0.000     3.6499    359.14   0.135425   0.137896   0.140413   0.142975               50.06    26.72 
Goldman Sachs Group, Inc 38150AC52 01/30/19 01/30/26    100.000    VARIES     3.5868     27.34   0.015677   0.015958   0.016244   0.016536  0.016832      5.78     5.99 
Goldman Sachs Group, Inc 38150ABW4 11/28/18 11/28/28    100.000    VARIES     3.7010     27.26   0.014360   0.014626   0.014897   0.015173  0.015453      5.24     5.43 
Goldman Sachs Group, Inc 38150ABY0 12/11/18 12/11/28    100.000    VARIES     3.6601     16.34   0.008993   0.009158   0.009326   0.009496  0.009670      3.27     3.39 
Goldman Sachs Group, Inc 38148TFP9 10/30/15 10/30/25    100.000     0.000     3.4498    322.42   0.125989   0.128163   0.130373   0.132622               46.01    39.39 
Goldman Sachs Group, Inc 38150A2F1 02/21/17 02/21/27Y   100.000    VARIES     3.8872    267.03   0.108486   0.108457   0.108427   0.108396  0.108294     39.04    39.01 
Goldman Sachs Group, Inc 38147QCN4 06/19/13 06/19/28    100.000    VARIES     4.6926    460.07   0.123548   0.124235   0.124957   0.125695  0.126451     44.62    45.14 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Goldman Sachs Group, Inc 38147QST4 03/19/14 03/19/29    100.000    VARIES     4.6202    416.32   0.119887   0.120563   0.121260   0.121974  0.122704     43.42    43.93 
Goldman Sachs Group, Inc 38147QC20 10/25/13 10/25/28    100.000    VARIES     4.8590    452.44   0.125405   0.126271   0.127157   0.128066  0.128996     45.42    46.06 
Goldman Sachs Group, Inc 38148TEP0 09/30/15 09/30/25    100.000    VARIES     3.7872     30.76   0.010261   0.010060   0.009854   0.009612                3.62     2.61 
Goldman Sachs Group, Inc 38150A2Z7 04/28/17 04/28/27    100.000    VARIES     3.6989     24.95   0.010734   0.010792   0.010821   0.010850  0.010855      3.88     3.90 
Goldman Sachs Group, Inc 38150A3C7 05/19/17 05/19/27    100.000    VARIES     3.6688     23.85   0.010277   0.010387   0.010488   0.010590  0.010688      3.73     3.80 
Goldman Sachs Group, Inc 38141GHQ0 11/19/12 11/19/27    100.000    VARIES     4.0948    425.28   0.108651   0.109268   0.109897   0.110539  0.111194     39.28    39.73 
Goldman Sachs Group, Inc 38150A3S2 07/10/17 07/10/27    100.000    VARIES     3.6160    233.08   0.100606   0.100657   0.100693   0.100715  0.100723     36.24    36.26 
Goldman Sachs Group, Inc 38150A3U7 08/02/17 08/02/27    100.000    VARIES     3.5643    227.26   0.098813   0.098896   0.098964   0.099017  0.099058     35.61    35.65 
Goldman Sachs Group, Inc 38148T3N7 06/10/15 06/10/25    100.000    VARIES     3.9250     39.58   0.012439   0.012232   0.012020                           4.43     1.91 
Goldman Sachs Group, Inc 38150A3Z6 08/15/17 08/15/24    100.000    VARIES     3.1510    201.69   0.087840   0.087695                                     19.65          
Goldman Sachs Group, Inc 38141GGV0 10/30/12 10/30/27    100.000    VARIES     4.6427    483.42   0.123033   0.123769   0.124523   0.125294  0.126083     44.52    45.06 
Goldman Sachs Group, Inc 38148TDA4 09/30/15 09/30/25    100.000     0.000     3.6001    342.46   0.133039   0.135433   0.137871   0.140353               48.76    37.53 
Goldman Sachs Group, Inc 38150A4K8 09/22/17 09/22/27    100.000    VARIES     3.5451    220.79   0.098055   0.098153   0.098234   0.098302  0.098358     35.34    35.39 
Goldman Sachs Group, Inc 38148T3L1 05/29/15 05/30/25    100.000     0.000     3.5000    347.20   0.130583   0.132868   0.135193                          47.56    20.14 
Goldman Sachs Group, Inc 38150A4M4 10/06/17 10/06/27    100.000    VARIES     3.5757    222.11   0.099610   0.099637   0.099645   0.099630  0.099597     35.87    35.87 
Goldman Sachs Group, Inc 38150A4P7 09/29/17 09/29/27    100.000    VARIES     3.6040    224.03   0.099813   0.099899   0.099969   0.100024  0.100065     35.96    36.01 
Goldman Sachs Group, Inc 38150A4Q5 09/29/17 09/29/27    100.000    VARIES     3.6048    222.98   0.099613   0.099725   0.099821   0.099903  0.099971     35.90    35.96 
Goldman Sachs Group, Inc 38147QA89 06/26/14 06/26/29    100.000    VARIES     4.3665    390.33   0.115140   0.115625   0.116159   0.116705  0.117262     41.54    41.92 
Goldman Sachs Group, Inc 38150A5G6 12/01/17 12/01/27    100.000    VARIES     3.5339    214.43   0.098078   0.098111   0.098135   0.098151  0.098161     35.32    35.33 
Goldman Sachs Group, Inc 38150A5K7 12/12/17 12/12/27    100.000    VARIES     2.7977     20.41   0.009637   0.009772   0.009908   0.010047  0.010188      3.50     3.60 
Goldman Sachs Group, Inc 38147QQJ8 09/05/13 09/05/28    100.000    VARIES     5.0554    469.00   0.127902   0.128976   0.130077   0.131273  0.132498     46.49    47.32 
Goldman Sachs Group, Inc 38148TCH0 09/02/15 09/03/25    100.000     2.000     3.6202    322.35   0.115504   0.116590   0.117694                          42.04    28.48 
Goldman Sachs Group, Inc 38148T2E8 05/07/15 05/07/25    100.000    VARIES     3.7599     47.90   0.014895   0.014674   0.014421                           5.30     1.82 
Goldman Sachs Group, Inc 38150A5R2 01/31/18 01/31/28    100.000    VARIES     3.1064     19.08   0.009101   0.009243   0.009386   0.009532  0.009680      3.34     3.45 
Goldman Sachs Group, Inc 38148TBN8 08/26/15 08/26/25    100.000    VARIES     3.9131     26.59   0.008740   0.008574   0.008405   0.008206                3.07     1.94 
Goldman Sachs Group, Inc 38141GWH3 05/31/17 05/31/27    100.000    VARIES     3.6188     27.08   0.011721   0.011852   0.011972   0.012095  0.012213      4.25     4.34 
Goldman Sachs Group, Inc 38150A6K6 03/28/18 03/28/28    100.000    VARIES     3.3846     29.29   0.013962   0.014198   0.014438   0.014683  0.014931      5.11     5.29 
Goldman Sachs Group, Inc 38148TAK5 07/29/15 07/29/27    100.000    VARIES     3.9238     31.43   0.010754   0.010718   0.010681   0.010621  0.010559      3.85     3.82 
Goldman Sachs Group, Inc 38148TB65 08/31/15 08/29/25    100.000     0.000     3.5990    346.34   0.132975   0.135368   0.137804   0.140284               48.89    33.24 
Goldman Sachs Group, Inc 38148TAE9 07/31/15 07/31/25    100.000     0.000     3.7000    361.65   0.137809   0.140358   0.142955   0.145600               50.85    30.35 
Goldman Sachs Group, Inc 38141GTZ7 05/23/13 05/23/28    100.000    VARIES     4.4916    437.10   0.116877   0.117693   0.118540   0.119407  0.120293     42.29    42.90 
Goldman Sachs Group, Inc 38141GUF9 06/06/13 06/06/28    100.000    VARIES     4.4921    438.10   0.117625   0.118380   0.119158   0.119955  0.120769     42.52    43.08 
Goldman Sachs Group, Inc 38141GTW4 05/30/13 05/30/28    100.000    VARIES     4.3920    428.85   0.114724   0.115483   0.116269   0.117073  0.117895     41.49    42.05 
Goldman Sachs Group, Inc 38141GSM7 04/30/13 04/30/28    100.000    VARIES     4.3925    434.99   0.115018   0.115709   0.116450   0.117207  0.117981     41.62    42.15 
Goldman Sachs Group, Inc 38148TP94 11/18/16 11/18/26    100.000    VARIES     2.2302     20.28   0.008374   0.008468   0.008562   0.008658  0.008754      3.04     3.11 
Goldman Sachs Group, Inc 38148TNV7 09/29/16 09/29/26    100.000    VARIES     2.3290     11.30   0.004586   0.004639   0.004693   0.004748  0.004803      1.67     1.71 
Goldman Sachs Group, Inc 38141GQW7 03/27/13 03/27/28    100.000    VARIES     4.6888    464.17   0.121954   0.122791   0.123647   0.124523  0.125433     44.21    44.84 
Goldman Sachs Group, Inc 38150AM36 04/29/22 04/29/32    100.000    VARIES     4.0171      9.79   0.014115   0.012873   0.013132   0.013396  0.013665      4.80     4.81 
Goldman Sachs Group, Inc 38147QK21 11/13/13 11/13/28    100.000    VARIES     4.9004    453.05   0.126519   0.127399   0.128300   0.129223  0.130169     45.79    46.44 
Goldman Sachs Group, Inc 38141GQL1 03/22/13 03/22/28    100.000    VARIES     4.6902    465.38   0.121968   0.122799   0.123649   0.124520  0.125433     44.22    44.85 
Goldman Sachs Group, Inc 38141GPU2 03/06/13 03/06/28    100.000    VARIES     4.1925    412.12   0.107728   0.108596   0.109510   0.110443  0.111396     39.14    39.81 
Goldman Sachs Group, Inc 38147QZR0 04/30/15 04/30/30    100.000    VARIES     3.7833     32.17   0.010539   0.010507   0.010739   0.010622  0.010836      3.86     3.90 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Goldman Sachs Group, Inc 38141GPC2 02/28/13 02/29/28    100.000    VARIES     4.2915    420.58   0.108279   0.108017   0.110820   0.110031  0.112911     39.89    40.56 
HAMILTON OHIO CITY SCH   407774GJ1 09/10/20 12/01/25     93.492     0.000     1.2920     40.70   0.034976   0.035202   0.035429   0.035658               12.65    11.73 
HENDERSON TEX INDPT SCH  425308PA5 11/12/20 08/15/26     92.809     0.000     1.3001     38.50   0.034737   0.034962   0.035190   0.035418  0.035649     12.61    12.77 
HENDERSON TEX INDPT SCH  425308NZ2 11/12/20 08/15/25     95.364     0.000     1.0000     30.31   0.027230   0.027366   0.027503   0.027640                9.86     6.19 
HENDERSON TEX INDPT SCH  425308NY5 11/12/20 08/15/24     96.681     0.000     0.9000     27.62   0.024778   0.024889                                      5.57          
HSBC                     40447AZE7 03/05/24 06/05/25    100.000     0.000     4.6600             0.129444   0.130952   0.134004                          38.71    20.64 
HSBC                     40447AYR9 02/29/24 05/29/25    100.000     0.000     4.6300             0.128611   0.130100   0.133112                          39.25    19.70 
HSBC                     40447AJ39 03/28/24 06/30/25    100.000     0.000     4.6600             0.129444   0.130986   0.134038                          35.62    23.99 
HSBC                     40447AZX5 02/16/24 02/16/29    100.000     0.000     3.9400                        0.109444   0.111601   0.113799  0.116041     34.77    41.17 
HSBC                     40441XS92 03/16/23 03/16/26    100.000     0.000     4.4505     35.52   0.126376   0.129188   0.132063   0.135002  0.138006     46.60    48.70 
HSBC                     40447B7E6 07/30/24 10/30/25    100.000     0.000     4.9976                        0.138822   0.140557   0.144069               21.07    42.66 
HSBC                     40441XL24 02/28/23 05/28/24    100.000     0.000     5.8393     49.81   0.169376                                                24.90          
HSBC                     40447BGM8 09/17/24 09/17/26    100.000     0.000     4.5189                                   0.125525   0.128361  0.131261     13.05    46.30 
HSBC                     40447BGN6 09/17/24 09/17/26    100.000     0.000     4.5189                                   0.125525   0.128361  0.131261     13.05    46.30 
HSBC                     40447B6F4 08/05/24 08/05/26    100.000     0.000     4.8902                                   0.135839   0.139160  0.142563     19.83    50.48 
HSBC                     40447B6G2 08/05/24 11/05/25    100.000     0.000     4.8902                        0.135839   0.137500   0.140862               19.93    42.41 
HSBC                     40441XM72 02/28/23 03/02/26    100.000     0.000     5.2803     44.93   0.150636   0.154613   0.158695   0.162885  0.167185     55.90    58.89 
HSBC                     40447AVH4 01/31/24 04/30/25    100.000     0.000     4.9400             0.137222   0.138917   0.142348                          46.04    16.94 
HSBC                     40447AVV3 02/05/24 05/05/25    100.000     0.000     4.6300             0.128611   0.130100   0.133112                          42.45    16.51 
HSBC                     40447AG81 04/01/24 07/01/25    100.000     0.000     5.8300                        0.161944   0.169094   0.169094               44.15    30.44 
HSBC                     40447BCT7 09/05/24 12/05/25    100.000     0.000     4.5189                        0.125525   0.126943   0.129811               14.60    42.92 
HSBC                     40447AQS6 11/30/23 02/28/25    100.000     0.000     5.2300      4.50   0.145278   0.147135   0.150983                          53.34     8.61 
HSBC                     40447B2N1 06/28/24 09/29/25    100.000     0.000     5.0561                        0.140447   0.142242   0.145838               25.87    38.77 
HSBC                     40447BCP5 09/05/24 09/08/26    100.000     0.000     4.5189                        0.125525   0.125572   0.128410  0.131311     14.57    46.37 
HSBC                     40447B2Z4 07/03/24 10/03/25    100.000     0.000     4.9976                        0.138822   0.140557   0.144069               24.86    38.86 
HSBC                     40447BCC4 08/30/24 12/01/25    100.000     0.000     4.8902                        0.135839   0.137518   0.140880               16.49    45.99 
HSBC                     40447BCD2 08/30/24 12/01/25    100.000     0.000     4.8902                        0.135839   0.137518   0.140880               16.49    45.99 
HSBC                     40447BCA8 08/30/24 12/01/25    100.000     0.000     4.8902                        0.135839   0.137518   0.140880               16.49    45.99 
HSBC                     40441XG46 03/03/23 04/03/24    100.000     0.000     5.9393     49.82   0.170721                                                15.71          
HSBC                     40447BCB6 08/30/24 09/02/25    100.000     0.000     4.8902                        0.135839   0.135876   0.139198               16.44    33.34 
HSBC                     40447BCN0 09/05/24 12/05/25    100.000     0.000     4.5189                        0.125525   0.126943   0.129811               14.60    42.92 
HSBC                     40447B2M3 06/27/24 09/29/25    100.000     0.000     5.0561                        0.140447   0.142262   0.145858               26.01    38.77 
HSBC                     40441XG79 02/28/23 03/28/24    100.000     0.000     5.8714     50.08   0.168704                                                14.68          
HSBC                     40441XG61 03/03/23 04/03/24    100.000     0.000     5.9321     49.76   0.170507                                                15.69          
HSBC                     40441XG53 02/28/23 03/28/24    100.000     0.000     5.8714     50.08   0.168704                                                14.68          
HSBC                     40441XG95 02/28/23 05/28/24    100.000     0.000     5.8393     49.81   0.169376                                                24.90          
HSBC                     40447ARY2 12/05/23 03/05/25    100.000     0.000     5.1900      3.75   0.144167   0.146037   0.149827                          52.89     9.59 
HSBC                     40447BDF6 08/29/24 03/02/26    100.000     0.000     4.8902                        0.135839   0.135894   0.139217  0.142621     16.58    50.32 
HSBC                     40441XH37 02/28/23 05/28/24    100.000     0.000     5.8393     49.81   0.169376                                                24.90          
HSBC                     40447AT61 04/30/24 07/30/25    100.000     0.000     4.8300                        0.134167   0.135787   0.139066               32.58    28.97 
HSBC                     40441XJ27 03/03/23 03/03/25    100.000     0.000     5.5825     46.72   0.159398   0.163847   0.168420                          59.25    10.44 
HSBC                     40447AU93 05/03/24 08/04/25    100.000     0.000     4.9100                        0.136389   0.138082   0.141472               32.71    30.02 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

HSBC                     40447B5V0 07/31/24 10/30/25    100.000     0.000     4.9976                        0.138822   0.140557   0.144069               21.07    42.66 
HSBC                     40447A2R4 05/01/24 06/02/25    100.000     0.000     4.9100             0.136389   0.136966   0.140328                          32.95    21.19 
HSBC                     40447AUE2 12/22/23 03/24/25    100.000     0.000     5.1900      1.30   0.144167   0.146079   0.149870                          52.80    12.44 
HSBC                     40447B6B3 08/05/24 11/05/25    100.000     0.000     4.8902                        0.135839   0.137500   0.140862               19.93    42.41 
HSBC                     40447A2E3 04/15/24 07/01/25    100.000     0.000     4.8300                        0.134167   0.138808   0.138808               34.59    24.99 
HSBC                     40441XJ35 03/03/23 03/03/26    100.000     0.000     5.2191     43.65   0.148758   0.152640   0.156623   0.160710  0.164904     55.18    58.10 
HSBC                     40447ATR5 12/21/23 03/21/25    100.000     0.000     5.1900      1.44   0.144167   0.146037   0.149827                          52.80    11.99 
HSBC                     40447B5L2 07/31/24 10/31/25    100.000     0.000     4.9976                        0.138822   0.140557   0.144069               21.07    42.66 
HSBC                     40447AQ23 04/01/24 07/01/25    100.000     0.000     4.8300                        0.134167   0.139066   0.139066               36.52    25.03 
HSBC                     40447BBW1 08/14/24 02/12/26    100.000     0.000     4.8902                                   0.135839   0.139123  0.142525     18.61    50.42 
HSBC USA INC             40441XPU8 10/20/22 10/20/25    100.000     0.000     5.0853     62.05   0.148533   0.152310   0.156182   0.160154               54.69    45.85 
HSBC USA INC             40441X0Q7 08/23/22 08/25/25    100.000     0.000     3.9204     54.08   0.113236   0.115455   0.117719   0.120026               41.73    27.96 
HSBC USA INC             40441XND8 09/23/22 09/23/25    100.000     0.000     4.1568     53.79   0.120316   0.122817   0.125370   0.127975               44.26    33.32 
HSBC USA INC             40441XGN4 08/31/22 09/02/25    100.000     0.000     4.1176     56.02   0.119163   0.121616   0.124120   0.126676               43.93    30.37 
HSBC USA INC             40441XUW8 01/17/22 05/17/24    100.000     0.000     5.4491    111.02   0.167056                                                22.72          
HSBC USA, INC            40441XP61 02/28/23 03/02/26    100.000     0.000     5.0458     42.91   0.143778   0.147405   0.151124   0.154937  0.158846     53.29    56.01 
HSBC USA, INC            40447AHY3 09/06/23 12/06/24    100.000     0.000     5.0561     16.20   0.142223   0.145818                                     48.29          
HSBC USA, INC            40447AJB1 09/06/23 03/06/25    100.000     0.000     5.0561     16.15   0.140447   0.143998   0.147638                          52.03     9.60 
HSBC USA, INC            40447AJC9 09/06/23 03/06/25    100.000     0.000     5.0561     16.15   0.140447   0.143998   0.147638                          52.03     9.60 
HSBC USA, INC            40447AJA3 09/06/23 12/06/24    100.000     0.000     5.0561     16.20   0.142223   0.145818                                     48.29          
HSBC USA, INC            40441XQ94 02/28/23 10/28/24    100.000     0.000     5.7183     48.79   0.164940   0.169656                                     49.84          
HSBC USA, INC            40441XQZ6 11/03/22 11/03/25    100.000     0.000     5.0247     59.39   0.146676   0.150361   0.154139   0.158011               53.90    47.25 
HSBC USA, INC            40447AJR6 08/18/23 08/20/25    100.000     0.000     5.0073     18.50   0.139130   0.142614   0.146184   0.149844               51.64    34.13 
HSBC USA, INC            40447AJP0 08/21/23 11/21/24    100.000     0.000     5.0073     18.15   0.140833   0.144359                                     45.70          
HSBC USA, INC            40447AJQ8 08/21/23 11/21/24    100.000     0.000     5.0073     18.15   0.140833   0.144359                                     45.70          
HSBC USA, INC            40447ALD4 08/29/23 12/30/24    100.000     0.000     5.0561     17.14   0.142834   0.146445                                     51.93          
HSBC USA, INC            40441TX67 04/05/23 05/06/24    100.000     0.000     5.1578     38.46   0.147620                                                18.45          
HSBC USA, INC            40441XSD3 11/03/22 05/03/24    100.000     0.000     5.2316     61.88   0.153024                                                18.67          
HSBC USA, INC            40441XSC5 10/31/22 04/30/24    100.000     0.000     5.2803     62.93   0.154522                                                18.39          
HSBC USA, INC            40441XS27 03/16/23 03/16/26    100.000     0.000     4.4505     35.52   0.126376   0.129188   0.132063   0.135002  0.138006     46.60    48.70 
HSBC USA, INC            40441XKU3 09/30/22 09/30/25    100.000     0.000     4.9585     63.36   0.144650   0.148237   0.151912   0.155678               53.38    41.54 
HSBC USA, INC            40441XKT6 10/05/22 10/06/25    100.000     0.000     4.9075     61.98   0.143110   0.146622   0.150220   0.153906               52.76    41.97 
HSBC USA, INC            40441XL32 03/03/23 06/03/24    100.000     0.000     5.9063     49.53   0.171403                                                26.05          
HSBC USA, INC            40447AFL3 07/20/23 07/20/26    100.000     0.000     4.7400     21.20   0.131667   0.134787   0.137982   0.141252  0.144599     48.98    51.33 
HSBC USA, INC            40447AHK3 08/31/23 12/02/24    100.000     0.000     5.0073     16.88   0.140872   0.144398                                     47.26          
HSBC USA, INC            40441X6K1 05/31/23 09/03/24    100.000     0.000     5.4200     32.02   0.152664   0.156801                                     37.69          
HSBC USA, INC            40441X6J4 05/31/23 09/03/24    100.000     0.000     5.4177     32.00   0.152598   0.156732                                     37.67          
HSBC USA, INC            40441XG87 03/03/23 04/03/24    100.000     0.000     5.9321     49.76   0.170507                                                15.69          
HSBC USA, INC            40441X7A2 06/05/23 09/05/24    100.000     0.000     5.2971     30.54   0.149090   0.153039                                     37.09          
HSBC USA, INC            40441X7F1 06/05/23 09/05/24    100.000     0.000     5.3105     30.62   0.149472   0.153441                                     37.19          
HSBC USA, INC            40441X7D6 06/05/23 09/05/24    100.000     0.000     5.2971     30.54   0.149090   0.153039                                     37.09          
HSBC USA, INC            40441X7C8 06/05/23 09/05/24    100.000     0.000     5.2971     30.54   0.149090   0.153039                                     37.09          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

HSBC USA, INC            40441X7B0 06/05/23 09/05/24    100.000     0.000     5.2971     30.54   0.149090   0.153039                                     37.09          
HSBC USA, INC            40441X7L8 06/05/23 12/05/24    100.000     0.000     5.1400     29.51   0.146447   0.150211                                     49.59          
HSBC USA, INC            40441X6P0 05/31/23 09/03/24    100.000     0.000     5.4206     32.02   0.152681   0.156819                                     37.69          
HSBC USA, INC            40441XH29 03/03/23 06/03/24    100.000     0.000     5.9063     49.53   0.171403                                                26.05          
HSBC USA, INC            40447AAE4 06/05/23 06/05/26    100.000     0.000     4.5280     25.98   0.128625   0.131537   0.134515   0.137561  0.140675     46.98    49.13 
HSBC USA, INC            40441X6M7 05/31/23 09/03/24    100.000     0.000     5.4156     31.99   0.152538   0.156668                                     37.66          
HSBC USA, INC            40441X6L9 05/31/23 09/03/24    100.000     0.000     5.4177     32.00   0.152598   0.156732                                     37.67          
HSBC USA, INC            40441B744 12/05/22 12/04/24    100.000     0.000     5.2019     56.65   0.152090   0.156046                                     51.36          
HSBC USA, INC            40441XH45 03/03/23 06/03/24    100.000     0.000     5.9063     49.53   0.171403                                                26.05          
HSBC USA, INC            40441X6Q8 05/31/23 12/02/24    100.000     0.000     5.2900     31.13   0.150875   0.154866                                     50.66          
HSBC USA, INC            40441X6X3 06/05/23 07/05/24    100.000     0.000     5.4037     31.04   0.150779   0.154853                                     28.48          
HSBC USA, INC            40447AAJ3 05/18/23 06/18/26    100.000     0.000     4.2500     26.44   0.120991   0.123562   0.126188   0.128869  0.131608     44.09    45.98 
HSBC USA, INC            40441X6Z8 06/05/23 07/05/24    100.000     0.000     5.4037     31.04   0.150779   0.154853                                     28.48          
HSBC USA, INC            40441X6Y1 06/05/23 07/05/24    100.000     0.000     5.4037     31.04   0.150779   0.154853                                     28.48          
HSBC USA, INC            40441XZF0 02/03/23 05/03/24    100.000     0.000     5.5928     51.73   0.161933                                                19.76          
HSBC USA, INC            40441XZE3 01/31/23 04/30/24    100.000     0.000     5.4790     51.14   0.158506                                                18.86          
HSBC USA, INC            40441XZD5 02/03/23 05/03/24    100.000     0.000     5.4972     50.83   0.159053                                                19.40          
HSBC USA, INC            40441XZC7 01/31/23 04/30/24    100.000     0.000     5.4790     51.14   0.158506                                                18.86          
HSBC USA, INC            40441XZG8 02/03/23 02/03/26    100.000     0.000     4.6056     42.40   0.130879   0.133893   0.136977   0.140131  0.143358     48.56    50.82 
HSBC USA, INC            40439J6A8 06/02/22 06/03/24    100.000     0.000     2.6129     41.90   0.075468                                                11.47          
HSBC USA, INC            40441B827 11/30/22 11/24/28    100.000     0.000     4.4700     49.24   0.129684   0.132583   0.135546   0.138575  0.141673     47.42    49.57 
HSBC USA, INC            40441XYY0 02/03/23 03/04/24    100.000     0.000     5.5782     51.55   0.160037                                                10.08          
HSBC USA, INC            40447ABC7 05/31/23 06/01/26    100.000     0.000     4.6900     27.58   0.133350   0.136477   0.139677   0.142953  0.146305     48.76    51.07 
HSBC USA, INC            40441XYZ7 02/03/23 02/03/25    100.000     0.000     5.5873     51.55   0.159539   0.163996   0.168577                          59.57     5.39 
HSBC USA, INC            40441XZB9 02/03/23 03/04/24    100.000     0.000     5.5800     51.57   0.160090                                                10.09          
HSBC USA, INC            40441XC73 01/31/23 02/02/26    100.000     0.000     4.5972     42.72   0.130669   0.133672   0.136745   0.139888  0.143103     48.49    50.74 
HSBC USA, INC            40441XT83 04/05/23 07/05/24    100.000     0.000     5.0752     37.81   0.142767   0.146389                                     26.92          
HSBC USA, INC            40447ALV4 10/04/23 01/06/25    100.000     0.000     5.1536     12.45   0.143156   0.145041   0.148778                          52.86     0.74 
HSBC USA, INC            40447ALW2 09/21/23 12/23/24    100.000     0.000     5.0561     14.06   0.142262   0.145858                                     50.72          
HSBC USA, INC            40447ALX0 09/21/23 12/23/24    100.000     0.000     5.0561     14.06   0.142262   0.145858                                     50.72          
HSBC USA, INC            40441XSJ0 11/08/22 11/10/25    100.000     0.000     5.3365     62.36   0.156299   0.160469   0.164751   0.169147               57.45    51.70 
HSBC USA, INC            40441XT26 04/05/23 05/06/24    100.000     0.000     5.1468     38.38   0.147296                                                18.41          
HSBC USA, INC            40441XT42 04/05/23 05/06/24    100.000     0.000     5.0427     37.60   0.144230                                                18.03          
HSBC USA, INC            40441X2W9 04/28/23 05/28/24    100.000     0.000     5.2718     35.85   0.150959                                                22.19          
HSBC USA, INC            40441X2V1 05/03/23 06/03/24    100.000     0.000     5.1609     34.35   0.147690                                                22.45          
HSBC USA, INC            40447ANL4 10/31/23 01/31/25    100.000     0.000     5.1536      8.73   0.143156   0.145000   0.148736                          52.71     4.31 
HSBC USA, INC            40441X3F5 04/28/23 07/29/24    100.000     0.000     5.1333     34.93   0.144442   0.148149                                     30.71          
HSBC USA, INC            40441X3E8 05/03/23 08/05/24    100.000     0.000     5.0657     33.76   0.142536   0.146146                                     31.15          
HSBC USA, INC            40441X3D0 04/28/23 07/29/24    100.000     0.000     5.1333     34.93   0.144442   0.148149                                     30.71          
HSBC USA, INC            40441X3C2 05/03/23 08/05/24    100.000     0.000     5.0657     33.76   0.142536   0.146146                                     31.15          
HSBC USA, INC            40441X3B4 05/03/23 06/03/24    100.000     0.000     5.1845     34.51   0.148385                                                22.55          
HSBC USA, INC            40441XTK6 11/25/22 05/28/24    100.000     0.000     5.5164     61.75   0.161877                                                23.80          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

HSBC USA, INC            40441XTJ9 12/05/22 03/05/24    100.000     0.000     5.4457     59.48   0.157504                                                10.08          
HSBC USA, INC            40441XTH3 11/25/22 02/26/24    100.000     0.000     5.5803     62.60   0.161581                                                 8.89          
HSBC USA, INC            40441XTL4 12/05/22 06/05/24    100.000     0.000     5.3407     58.19   0.156382                                                24.08          
HSBC USA, INC            40441X311 04/28/23 10/28/24    100.000     0.000     4.9670     33.74   0.141399   0.144910                                     42.63          
HSBC USA, INC            40441XU40 04/05/23 07/05/24    100.000     0.000     5.0752     37.81   0.142767   0.146389                                     26.92          
HSBC USA, INC            40441XU24 04/05/23 07/05/24    100.000     0.000     5.0752     37.81   0.142767   0.146389                                     26.92          
HSBC USA, INC            40441XU65 04/05/23 04/06/26    100.000     0.000     4.2421     31.56   0.120349   0.122902   0.125509   0.128171  0.130890     44.22    46.12 
HSBC USA, INC            40441X2Q2 04/20/23 04/20/26    100.000     0.000     4.8023     33.71   0.136600   0.139880   0.143239   0.146678  0.150200     50.24    52.68 
HSBC USA, INC            40441XU57 04/05/23 04/07/25    100.000     0.000     4.8023     35.76   0.136637   0.139918   0.143277                          50.34    13.75 
HSBC USA, INC            40441X3J7 05/03/23 11/04/24    100.000     0.000     4.9074     32.64   0.139680   0.143107                                     42.94          
HSBC USA, INC            40441X3G3 05/03/23 08/05/24    100.000     0.000     5.0657     33.76   0.142536   0.146146                                     31.15          
HSBC USA, INC            40441X3N8 05/03/23 11/04/24    100.000     0.000     4.9074     32.64   0.139680   0.143107                                     42.94          
HSBC USA, INC            40441X3M0 04/28/23 10/28/24    100.000     0.000     4.9670     33.74   0.141399   0.144910                                     42.63          
HSBC USA, INC            40441X3L2 05/03/23 11/04/24    100.000     0.000     4.9074     32.64   0.139680   0.143107                                     42.94          
HSBC USA, INC            40447ANY6 11/03/23 02/03/25    100.000     0.000     5.2316      8.43   0.145322   0.147223   0.151074                          53.51     4.83 
HSBC USA, INC            40441X3K4 04/28/23 10/28/24    100.000     0.000     4.9670     33.74   0.141399   0.144910                                     42.63          
HSBC USA, INC            40441XUY4 11/28/22 11/28/25    100.000     0.000     5.0853     56.40   0.148533   0.152310   0.156182   0.160154               54.40    51.79 
HSBC USA, INC            40441X3U2 05/03/23 05/04/26    100.000     0.000     4.2650     28.34   0.121013   0.123593   0.126229   0.128921  0.131670     44.33    46.24 
HSBC USA, INC            40441X5J5 04/28/23 04/28/26    100.000     0.000     4.8023     32.62   0.136600   0.139880   0.143239   0.146678  0.150200     50.18    52.62 
HSBC USA, INC            40447APT5 10/31/23 01/31/25    100.000     0.000     5.1536      8.73   0.143156   0.145000   0.148736                          52.71     4.31 
HSBC USA, INC            40447APU2 10/31/23 01/31/25    100.000     0.000     5.1538      8.73   0.143161   0.145006   0.148742                          52.71     4.31 
HSBC USA, INC            40441X4K3 05/03/23 06/03/24    100.000     0.000     5.1845     34.51   0.148385                                                22.55          
HSBC USA, INC            40441X4J6 04/28/23 05/28/24    100.000     0.000     5.1341     34.91   0.146901                                                21.59          
HSBC USA, Inc.           40435U3T9 02/04/20 02/05/24    100.000     0.000     1.7442     70.24   0.051490                                                 1.75          
HSBC USA, Inc.           40435FJ99 07/27/18 07/28/25    100.000     0.000     3.7400    222.80   0.125047   0.127385   0.129767   0.132194               46.16    27.30 
HSBC USA, Inc.           40435UEW0 02/22/19 02/22/24    100.000     0.000     3.3153    173.25   0.106777                                                 5.45          
HSBC USA, Inc.           40435FJL2 10/25/17 10/25/24    100.000     0.000     3.0894    208.76   0.103147   0.104740                                     30.61          
HSBC USA, Inc.           40435UEV2 02/22/19 02/22/24    100.000     0.000     3.3153    173.25   0.106777                                                 5.45          
HSBC USA, Inc.           40435FJQ1 10/30/17 10/30/24    100.000     0.500     3.1256    208.27   0.101760   0.103350                                     30.71          
HSBC USA, Inc.           40433BEJ3 06/27/14 06/27/29    100.000    VARIES     4.0230    374.50   0.110204   0.110331   0.110460   0.110592  0.110727     39.70    39.79 
HSBC USA, Inc.           40435FVW4 03/06/18 03/06/26    100.000     0.000     3.5803    229.43   0.120888   0.123052   0.125255   0.127497  0.129780     44.41    46.02 
HSBC USA, Inc.           40435FG35 06/29/18 06/30/25    100.000     0.000     3.7007    223.71   0.125780   0.128108   0.130478                          45.70    23.36 
HSBC USA, Inc.           40432XNT4 12/04/13 12/04/28    100.000    VARIES     3.4249    329.35   0.092533   0.092774   0.093019   0.093269  0.093522     33.37    33.55 
HSBC USA, Inc.           40435FZ26 09/28/18 09/29/25    100.000     0.000     3.8667    223.15   0.130092   0.132607   0.135171   0.137784               47.75    36.70 
HSBC USA, Inc.           40432X5T4 01/15/13 01/15/43    100.000     0.000     4.5776    642.34   0.204516   0.209197   0.213985   0.218883  0.223893     76.04    79.56 
HSBC USA, Inc.           40435FQZ3 12/29/17 12/31/24    100.000     0.000     2.1006    133.71   0.066149   0.066844                                     23.87          
HSBC USA, Inc.           40435FR90 08/31/18 09/02/25    100.000     0.000     3.6706    214.25   0.122322   0.124567   0.126853   0.129181               44.98    30.99 
HSBC USA, Inc.           40435FB48 05/24/18 05/27/25    100.000     0.000     2.6745    160.52   0.086001   0.087151   0.088316                          31.25    12.89 
HSBC USA, Inc.           40432X7E5 01/29/13 01/29/43    100.000     0.000     4.6460    651.49   0.209036   0.213892   0.218861   0.223945  0.229147     77.62    81.27 
HSBC USA, Inc.           40432XZ79 05/21/14 05/21/29    100.000    VARIES     3.9810    371.69   0.108520   0.108690   0.108863   0.109039  0.109219     39.11    39.24 
HSBC USA, Inc.           40435FTA5 02/28/18 02/28/25    100.000     0.000     3.5313    226.93   0.118917   0.121016   0.123153                          43.71     7.02 
HSBC USA, Inc.           40435FCC9 07/28/17 07/29/24    100.000     0.000     3.0414    214.04   0.101265   0.102805                                     21.34          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

HSBC USA, Inc.           40435G725 08/31/17 08/30/24    100.000     0.000     2.8720    198.06   0.094666   0.096018                                     22.87          
HSBC USA, Inc.           40441XDM9 07/05/22 07/05/24    100.000     0.000     3.6664     55.59   0.105613   0.107549                                     19.78          
HSBC USA, Inc.           40435FPC5 12/18/17 06/18/25    100.000     0.000     2.0994    134.36   0.066103   0.066797   0.067498                          23.94    11.27 
HSBC USA, Inc.           40441XDT4 07/07/22 07/08/24    100.000     0.000     3.8136     57.64   0.110023   0.112121                                     20.95          
HSBC USA, Inc.           40435FPK7 12/27/17 12/29/25    100.000     0.000     3.2733    215.52   0.110499   0.112308   0.114146   0.116014               40.11    41.20 
HSBC USA, Inc.           40435FPY7 01/31/18 01/31/25    100.000     0.000     3.4220    222.47   0.114560   0.116520   0.118513                          42.19     3.44 
HSBC USA, NC             40441XZA1 01/31/23 02/29/24    100.000     0.000     5.5699     51.95   0.159741                                                 9.26          
HSBC USA,INC             40447AEE0 07/31/23 10/31/24    100.000     0.000     4.7437     19.99   0.133332   0.136495                                     40.44          
HSBC USA,INC             40447AES9 08/03/23 02/03/25    100.000     0.000     5.0073     20.59   0.139092   0.142574   0.146144                          51.74     4.68 
HSBC USA,INC             40447AEP5 08/03/23 11/04/24    100.000     0.000     5.0100     20.70   0.140929   0.144459                                     43.34          
HSBC USA,INC             40447AEQ3 08/03/23 11/04/24    100.000     0.000     5.0073     20.69   0.140852   0.144379                                     43.31          
HSBC USA,INC             40447AER1 08/03/23 02/03/25    100.000     0.000     5.0073     20.59   0.139092   0.142574   0.146144                          51.74     4.68 
HSBC USA,INC             40447AGY4 08/01/23 07/26/26    100.000     0.000     5.0730     21.14   0.140917   0.144392   0.148054   0.151810  0.155660     52.46    55.15 
HUTTO TEX INDPT SCH DIST 4484922Y3 09/23/21 08/01/27     92.155     0.000     1.4000     29.69   0.036779   0.037036   0.037295   0.037556  0.037819     13.36    13.55 
HUTTO TEX INDPT SCH DIST 4484922X5 09/23/21 08/01/26     94.447     0.000     1.1800     25.60   0.031641   0.031828   0.032016   0.032205  0.032395     11.48    11.62 
HUTTO TEX INDPT SCH DIST 4484922W7 09/23/21 08/01/25     96.116     0.000     1.0300     22.71   0.028030   0.028175   0.028320   0.028466               10.16     5.97 
HUTTO TEX INDPT SCH DIST 4484922V9 09/23/21 08/01/24     97.885     0.000     0.7500     16.79   0.020677   0.020754                                      4.36          
Healthcare Realty Holdin 42225UAQ7 07/22/22 01/15/28     94.340     3.625     4.2000      7.44   0.013778   0.013722   0.013667   0.013611  0.013500      4.96     4.94 
Healthcare Realty Holdin 42225UAP9 07/22/22 03/15/30     84.130     2.400     4.4200     21.04   0.046444   0.046500   0.046389   0.046333  0.046278     16.72    16.70 
ITERUM THERAPEUTICS BERM 46565JAA6 09/08/20 01/31/25     76.873     6.500    12.0451    364.53   0.360938   0.382676   0.405723                         140.61    11.77 
ITERUM THERAPEUTICS BERM 46565JAC2 01/21/20 01/31/25     76.873     6.500    11.1575    411.27   0.349367   0.368858   0.389435                         135.33    11.29 
JACKSONVILLE TEX INDPT   469736PL0 12/09/21 02/15/24     98.015     0.000     0.9203     18.73   0.025447                                                 1.12          
JARRELL TEX INDPT SCH DI 471146TT7 01/19/21 08/15/28     90.653     0.000     1.3001     35.33   0.033848   0.034068   0.034290   0.034513  0.034737     12.29    12.45 
JARRELL TEX INDPT SCH DI 471146TS9 01/19/21 08/15/27     93.165     0.000     1.0801     30.09   0.028738   0.028893   0.029049   0.029206  0.029364     10.42    10.53 
JARRELL TEX INDPT SCH DI 471146TQ3 01/19/21 08/15/25     96.591     0.000     0.7600     21.86   0.020794   0.020873   0.020952   0.021032                7.52     4.71 
JARRELL TEX INDPT SCH DI 471146TP5 01/19/21 08/15/24     97.673     0.000     0.6602     19.18   0.018218   0.018278                                      4.09          
JEFFERIES GROUP          47233WGS2 09/04/24 09/05/25    100.000     0.000     5.2300                                   0.145278   0.149098               17.00    36.14 
JEFFERIES GROUP          47233WGV5 08/31/24 08/31/36    100.000    VARIES     5.5269                                   0.153315   0.151374  0.149382     18.40    54.37 
JEFFERIES GROUP          47233WGB9 08/02/24 08/04/25    100.000     0.000     5.5200                        0.153333   0.153380   0.157614               22.85    33.43 
JEFFERIES GROUP          47233WGAI 08/02/24 08/04/25    100.000     0.000     5.5200                        0.153333   0.153380   0.157614               22.85    33.43 
JEFFERIES GROUP          47233WEM7 04/15/24 04/18/29    105.000     0.000     5.8300             0.170042   0.170124   0.175083   0.180187  0.185440     43.91    64.70 
JEFFERIES GROUP          47233WEV7 06/05/24 06/06/25    100.000     0.000     5.8400                        0.162222   0.166985                          33.54    25.88 
JEFFERIES GROUP          47233WAT6 12/11/23 12/11/28    100.000     0.000     5.6700      3.15   0.157500   0.161965   0.166557   0.171279  0.176134     57.68    61.00 
JOHNSON & UN CNTYS ILL   478169AA3 07/19/17 12/01/27    100.000     5.700     5.6760    368.48   0.157800   0.157785   0.157769   0.157753  0.157737     56.80    56.79 
JOSHUA TEX INDPT SCH DIS 481052UE6 09/17/20 08/15/25     95.042     0.000     1.0381     32.93   0.028245   0.028391   0.028538   0.028687               10.23     6.42 
JOSHUA TEX INDPT SCH DIS 481052UD8 09/17/20 08/15/24     96.406     0.000     0.9380     30.14   0.025813   0.025934                                      5.80          
JOSHUA TEX INDPT SCH DIS 481052UF3 09/17/20 08/15/26     92.615     0.000     1.3020     40.39   0.034787   0.035013   0.035241   0.035471  0.035702     12.63    12.79 
JOSHUA TEX INDPT SCH DIS 481052UG1 09/17/20 08/15/27     90.795     0.000     1.4021     42.70   0.036830   0.037088   0.037348   0.037610  0.037874     13.38    13.56 
JOURDANTON TEX INDPT SCH 481124FL4 11/19/20 02/15/28     87.771     0.000     1.8099     50.71   0.046360   0.046780   0.047203   0.047630  0.048061     16.88    17.19 
JOURDANTON TEX INDPT SCH 481124FH3 11/19/20 02/15/25     95.255     0.000     1.1500     34.67   0.031400   0.031581   0.031762                          11.39     1.40 
JOURDANTON TEX INDPT SCH 481124FK6 11/19/20 02/15/27     90.367     0.000     1.6300     46.91   0.042777   0.043126   0.043477   0.043832  0.044189     15.56    15.81 
JOURDANTON TEX INDPT SCH 481124FJ9 11/19/20 02/15/26     92.951     0.000     1.4001     41.32   0.037557   0.037820   0.038085   0.038352  0.038620     13.64    13.83 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JOURDANTON TEX INDPT SCH 481124FG5 11/19/20 02/15/24     96.976     0.000     0.9502     29.08   0.026270                                                 1.16          
JOURDANTON TEX INDPT SCH 481124GA7 11/19/20 02/15/29     85.363     0.000     1.9300     52.68   0.048236   0.048701   0.049171   0.049646  0.050125     17.58    17.92 
JP MORGAN                48135M7D4 06/05/24 06/04/27    100.000     0.000     5.5100                        0.153056   0.157249   0.161581  0.166033     31.64    57.63 
JP MORGAN                48134TSD7 01/19/24 01/22/27    100.000     0.000     6.1700             0.171389   0.171477   0.176767   0.182220  0.187842     59.49    66.38 
JP MORGAN                48135M6Z6 06/05/24 06/05/29    100.000     0.000     5.4800                        0.152222   0.156393   0.160678  0.165081     31.47    57.30 
JP MORGAN                48134TSW5 01/25/24 01/25/29    100.000     0.000     6.1500                        0.170833   0.176086   0.181501  0.187082     58.22    66.08 
JP MORGAN                48135PAF8 07/19/24 08/20/25    100.000     0.000     5.2400                        0.145556   0.146212   0.150043               23.67    34.17 
JP MORGAN                48134RNP9 01/02/24 01/02/29    100.000     0.000     6.1500                        0.170833   0.176086   0.181501  0.187082     62.27    66.33 
JP MORGAN                48134RNN4 12/26/23 12/26/28    100.000     0.000     6.2300      0.87   0.173056   0.178446   0.184005   0.189737  0.195647     63.33    67.33 
JP MORGAN                48134RNT1 01/02/24 12/31/26    100.000     0.000     6.1700             0.171389   0.176617   0.182066   0.187683  0.193473     62.48    66.57 
JP MORGAN                48134RNQ7 01/02/24 10/02/25    100.000     0.000     6.1700             0.171389   0.174033   0.179401   0.184936               62.72    49.61 
JP MORGAN                48134TDE1 01/10/24 01/08/27    100.000     0.000     6.1700                        0.171389   0.176617   0.182066  0.187683     61.06    66.48 
JP MORGAN                48135MJJ8 06/04/24 06/04/27    100.000     0.000     5.0600                        0.140556   0.144112   0.147758  0.151496     29.19    52.74 
JP MORGAN                48134TDD3 01/10/24 01/08/27    100.000     0.000     6.1700                        0.171389   0.176617   0.182066  0.187683     61.06    66.48 
JP MORGAN                48134RNW4 01/02/24 12/31/26    100.000     0.000     6.1700             0.171389   0.176617   0.182066   0.187683  0.193473     62.48    66.57 
JP MORGAN                48134RNX2 12/26/23 12/24/26    100.000     0.000     6.1700      0.86   0.171389   0.176617   0.182066   0.187683  0.193473     62.72    66.63 
JP MORGAN                48134TV84 03/05/24 03/05/29    100.000     0.000     6.2300                        0.173056   0.178446   0.184005  0.189737     51.85    66.55 
JP MORGAN                48134T4G6 02/06/24 11/06/25    100.000     0.000     6.1100             0.169722   0.172315   0.177579   0.183004               56.06    55.14 
JP MORGAN                48134T4H4 02/05/24 01/29/26    100.000     0.000     6.1600                        0.171111   0.176206   0.181633  0.187227     56.56    66.09 
JP MORGAN                48134WNH6 02/26/24 02/26/29    100.000     0.000     5.0400                        0.140000   0.143528   0.147145  0.150853     43.14    53.24 
JP MORGAN                48135P3A7 08/21/24 08/19/27    100.000     0.000     5.5100                                   0.153056   0.157225  0.161557     19.90    56.97 
JP MORGAN                48134T4Z4 03/05/24 03/04/27    100.000     0.000     5.0300                        0.139722   0.143217   0.146819  0.150511     41.77    53.06 
JP MORGAN                48134T4Y7 03/05/24 12/04/25    100.000     0.000     5.1900             0.144167   0.146016   0.149806   0.153693               43.16    50.58 
JP MORGAN                48135PUB5 08/21/24 08/19/27    100.000     0.000     5.5100                                   0.153056   0.157225  0.161557     19.90    56.97 
JP MORGAN                48135M2Y3 07/03/24 07/01/27    100.000     0.000     5.5100                                   0.157225   0.161557  0.166008     27.24    57.38 
JP MORGAN                48134RYS1 12/26/23 12/24/26    100.000     0.000     6.1700      0.86   0.171389   0.176617   0.182066   0.187683  0.193473     62.72    66.63 
JP MORGAN                48135M2Z0 06/28/24 06/30/27    100.000     0.000     5.5100             0.153056   0.153102   0.157320   0.161655  0.166108     28.02    57.42 
JP MORGAN                48134XJD8 04/03/24 04/02/26    100.000     0.000     5.0700                        0.140833   0.144384   0.148044  0.151797     38.06    53.30 
JP MORGAN                48134RYT9 12/26/23 12/26/26    100.000     0.000     6.2300      0.87   0.173056   0.178446   0.184005   0.189737  0.195647     63.33    67.33 
JP MORGAN                48135M3A4 06/28/24 05/29/26    100.000     0.000     5.6200                        0.156111   0.159791   0.164281  0.168898     28.69    58.62 
JP MORGAN                48134RYZ5 01/02/24 01/02/29    100.000     0.000     6.2300                        0.173056   0.178446   0.184005  0.189737     63.09    67.26 
JP MORGAN                48134RYX0 01/02/24 01/30/25    100.000     0.000     6.1400             0.170556   0.171370   0.176631                          62.29     5.12 
JP MORGAN                48135MD54 07/03/24 07/03/29    100.000     0.000     5.4800                                   0.152222   0.156393  0.160678     27.10    57.06 
JP MORGAN                48135MD39 07/03/24 07/01/27    100.000     0.000     5.5100                                   0.157225   0.161557  0.166008     27.24    57.38 
JP MORGAN                48135MD96 06/28/24 06/28/26    100.000     0.000     5.4800                        0.152222   0.156393   0.160678  0.165081     27.87    57.10 
JP MORGAN                48135M2W7 07/03/24 04/02/26    100.000     0.000     5.6700                        0.157500   0.159708   0.164235  0.168892     28.23    59.13 
JP MORGAN                48135M2X5 07/03/24 07/01/27    100.000     0.000     5.5100                                   0.157225   0.161557  0.166008     27.24    57.38 
JP MORGAN                48135M2U1 07/02/24 07/02/31    100.000     0.000     5.5400                                   0.153889   0.158152  0.162532     27.55    57.71 
JP MORGAN                48134RZF8 01/02/24 01/02/26    100.000     0.000     6.1600                        0.171111   0.176381   0.181814  0.187414     62.37    66.45 
JP MORGAN                48134RZE1 12/26/23 06/25/25    100.000     0.000     5.5600      0.77   0.154444   0.158714   0.163126                          56.42    28.38 
JP MORGAN                48135NH12 06/28/24 06/30/27    100.000     0.000     5.5100             0.153056   0.153102   0.157320   0.161655  0.166108     28.02    57.42 
JP MORGAN                48135ME46 06/28/24 06/30/31    100.000     0.000     5.5400             0.153889   0.153936   0.158200   0.162582  0.167086     28.17    57.75 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JP MORGAN                48135MDS4 06/05/24 06/05/28    100.000     0.000     5.0500                        0.140278   0.143820   0.147451  0.151174     28.99    52.62 
JP MORGAN                48134WXY8 04/02/24 04/01/27    100.000     0.000     5.0300                        0.139722   0.143217   0.146819  0.150511     37.90    52.86 
JP MORGAN                48134RZL5 12/26/23 12/26/25    100.000     0.000     6.1600      0.86   0.171111   0.176381   0.181814   0.187414               62.60    65.55 
JP MORGAN                48134RZH4 12/26/23 12/26/25    100.000     0.000     5.9000      0.82   0.163889   0.168724   0.173701   0.178825               59.92    62.59 
JP MORGAN                48134WH67 04/10/24 04/08/27    100.000     0.000     5.0300                        0.139722   0.143197   0.146799  0.150491     36.76    52.80 
JP MORGAN                48135NGT7 06/17/24 07/16/25    100.000     0.000     5.1700                        0.143611   0.144209   0.147937               27.96    28.79 
JP MORGAN                48135M3B2 06/28/24 12/30/27    100.000     0.000     5.4900             0.152500   0.152547   0.156734   0.161036  0.165457     27.92    57.21 
JP MORGAN                48135N6E1 07/01/24 07/01/26    100.000     0.000     5.6000                                   0.159911   0.159911  0.168992     28.00    58.37 
JP MORGAN                48134RZB7 01/02/24 07/02/25    100.000     0.000     6.2400                        0.173333   0.178741   0.184318               63.19    33.36 
JP MORGAN                48134WXP7 03/28/24 09/30/27    100.000     0.000     5.0400             0.140000   0.140039   0.143568   0.147186  0.150895     38.55    53.00 
JP MORGAN                48130CDT9 11/09/23 11/09/35    100.000     0.000     5.6800      8.20   0.157778   0.162259   0.166867   0.171606  0.176479     58.08    61.42 
JP MORGAN                48134WXN2 03/28/24 03/02/26    100.000     0.000     5.1000                        0.141667   0.144757   0.148449  0.152234     39.04    53.67 
JP MORGAN                48130CEH4 12/21/23 12/21/33    100.000     0.000     6.2700      1.74   0.174167   0.179627   0.185258   0.191066  0.197056     63.79    67.86 
JP MORGAN                48135N7B6 07/05/24 01/07/26    100.000     0.000     5.7400                        0.159444   0.159495   0.164073  0.168782     28.07    59.86 
JP MORGAN                48130CEJ0 12/21/23 12/26/38    100.000     0.000     6.2700      1.74   0.174318   0.179783   0.185419   0.191232  0.197227     63.79    67.86 
JP MORGAN                48134WYD3 03/28/24 03/29/29    100.000     0.000     5.1000                        0.141667   0.145299   0.149004  0.152804     39.01    53.67 
JP MORGAN                48134RZZ4 01/02/24 01/02/29    100.000     0.000     6.1500                        0.170833   0.176086   0.181501  0.187082     62.27    66.33 
JP MORGAN                48135NGZ3 06/18/24 06/18/26    100.000     0.000     5.6000                        0.155556   0.159911   0.164389  0.168992     30.08    58.49 
JP MORGAN                48134WXZ5 04/02/24 04/02/29    100.000     0.000     5.1000                        0.141667   0.145279   0.148984  0.152783     38.43    53.64 
JP MORGAN                48135MDU9 06/04/24 06/04/31    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     29.94    54.15 
JP MORGAN                48135MUW6 05/31/24 06/01/29    100.000     0.000     5.1000                        0.141667   0.145299   0.149004  0.152804     30.00    53.20 
JP MORGAN                48135MDZ8 06/05/24 06/04/26    100.000     0.000     5.0700                        0.140833   0.144384   0.148044  0.151797     29.11    52.84 
JP MORGAN                48134WYA9 03/14/24 04/15/25    100.000     0.000     4.8400             0.134444   0.135005   0.138272                          38.98    14.38 
JP MORGAN                48134TQ23 02/05/24 05/05/25    100.000     0.000     6.0000             0.166667   0.169167   0.174242                          55.21    21.61 
JP MORGAN                48134WYL5 04/02/24 03/30/28    100.000     0.000     5.0500                        0.140278   0.143780   0.147411  0.151133     38.05    53.08 
JP MORGAN                48134WYM3 03/28/24 03/28/31    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     39.71    54.66 
JP MORGAN                48134WZH3 03/20/24 03/20/31    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     40.89    54.72 
JP MORGAN                48135M5D6 07/03/24 07/03/28    100.000     0.000     5.4800                                   0.152222   0.156393  0.160678     27.10    57.06 
JP MORGAN                48135MF94 07/03/24 07/02/26    100.000     0.000     5.6000                                   0.155556   0.159887  0.164364     27.69    58.36 
JP MORGAN                48135MEZ7 05/29/24 05/29/29    100.000     0.000     5.1000                        0.141667   0.145279   0.148984  0.152783     30.15    53.21 
JP MORGAN                48135MG36 07/03/24 07/02/26    100.000     0.000     5.6000                                   0.155556   0.159887  0.164364     27.69    58.36 
JP MORGAN                48134RKG2 11/20/23 11/20/28    100.000     0.000     6.2300      7.10   0.173056   0.178446   0.184005   0.189737  0.195647     63.72    67.75 
JP MORGAN                48135MG28 07/02/24 07/01/27    100.000     0.000     5.5100                                   0.157249   0.161581  0.166033     27.40    57.39 
JP MORGAN                48135M5F1 07/02/24 07/02/31    100.000     0.000     5.5400                                   0.153889   0.158152  0.162532     27.55    57.71 
JP MORGAN                48134TQE7 01/18/24 04/17/25    100.000     0.000     5.7500             0.159722   0.161993   0.166650                          55.71    17.66 
JP MORGAN                48134TR97 03/05/24 03/05/26    100.000     0.000     6.0900                        0.169167   0.174318   0.179626  0.185095     50.67    64.96 
JP MORGAN                48134TS21 02/29/24 03/03/26    100.000     0.000     4.6300             0.128611   0.128677   0.131656   0.134704  0.137822     39.21    48.67 
JP MORGAN                48134TAU8 01/08/24 01/17/25    100.000     0.000     5.4300             0.150833   0.151038   0.155139                          53.99     2.48 
JP MORGAN                48135NJM9 06/20/24 06/17/27    100.000     0.000     5.5100                        0.153056   0.157202   0.161533  0.165983     29.29    57.50 
JP MORGAN                48134RUM8 12/26/23 12/24/26    100.000     0.000     6.1700      0.86   0.171389   0.176617   0.182066   0.187683  0.193473     62.72    66.63 
JP MORGAN                48134RUN6 12/27/23 12/24/26    100.000     0.000     6.1700      0.69   0.171389   0.176588   0.182036   0.187652  0.193441     62.71    66.62 
JP MORGAN                48134XF34 06/05/24 06/04/27    100.000     0.000     5.5100                        0.153056   0.157249   0.161581  0.166033     31.64    57.63 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JP MORGAN                48134WSV0 04/03/24 03/30/26    100.000     0.000     5.1100                        0.141944   0.145511   0.149228  0.153041     38.37    53.74 
JP MORGAN                48134WSW8 04/01/24 03/31/31    100.000     0.000     5.1900                        0.144167   0.147887   0.151725  0.155662     39.26    54.64 
JP MORGAN                48134RVB1 12/26/23 12/26/25    100.000     0.000     6.1600      0.86   0.171111   0.176381   0.181814   0.187414               62.60    65.55 
JP MORGAN                48134RVC9 12/26/23 12/23/27    100.000     0.000     6.2900      0.87   0.174722   0.180126   0.185791   0.191634  0.197661     63.96    68.03 
JP MORGAN                48135N2L9 07/03/24 07/03/29    100.000     0.000     5.4800                                   0.152222   0.156393  0.160678     27.10    57.06 
JP MORGAN                48134XX26 04/24/24 04/23/26    100.000     0.000     5.0700                        0.140833   0.144384   0.148044  0.151797     35.03    53.14 
JP MORGAN                48134WCC9 02/22/24 02/22/28    100.000     0.000     5.0500                        0.140278   0.143820   0.147451  0.151174     43.80    53.38 
JP MORGAN                48134XWE1 04/12/24 04/14/27    100.000     0.000     5.0300             0.139722   0.139761   0.143276   0.146880  0.150574     36.47    52.79 
JP MORGAN                48134WTC1 03/13/24 03/13/29    100.000     0.000     5.1000                        0.141667   0.145279   0.148984  0.152783     41.19    53.78 
JP MORGAN                48134RUZ9 12/20/23 03/20/25    100.000     0.000     5.8300      1.78   0.161944   0.164305   0.169094                          59.45    13.36 
JP MORGAN                48135N2B1 07/01/24 12/26/25    100.000     0.000     5.7400                        0.159444   0.163893   0.168597               28.72    59.03 
JP MORGAN                48135PJA0 07/17/24 07/15/26    100.000     0.000     5.6000                                   0.155556   0.159863  0.164339     25.51    58.23 
JP MORGAN                48135MR83 06/10/24 12/08/25    100.000     0.000     5.7400                        0.159444   0.163970   0.168676               32.15    56.10 
JP MORGAN                48134TKR4 01/31/24 01/29/27    100.000     0.000     6.1700                        0.171389   0.176647   0.182096  0.187714     57.53    66.26 
JP MORGAN                48134TKK9 02/05/24 02/05/26    100.000     0.000     6.1600                        0.171111   0.176381   0.181814  0.187414     56.55    66.09 
JP MORGAN                48134TKL7 02/05/24 02/05/26    100.000     0.000     6.1600                        0.171111   0.176381   0.181814  0.187414     56.55    66.09 
JP MORGAN                48134RVD7 12/27/23 12/24/26    100.000     0.000     6.1700      0.69   0.171389   0.176588   0.182036   0.187652  0.193441     62.71    66.62 
JP MORGAN                48134TKP8 01/31/24 01/31/29    100.000     0.000     6.2300                        0.173056   0.178446   0.184005  0.189737     58.10    66.95 
JP MORGAN                48134TKM5 01/31/24 01/29/27    100.000     0.000     6.1700                        0.171389   0.176647   0.182096  0.187714     57.53    66.26 
JP MORGAN                48134WUN5 04/02/24 04/01/26    100.000     0.000     5.0700                        0.140833   0.144384   0.148044  0.151797     38.20    53.30 
JP MORGAN                48134TLF9 01/31/24 01/02/26    100.000     0.000     6.1700                        0.171389   0.175854   0.181279  0.186871     57.53    66.26 
JP MORGAN                48134WUM7 03/20/24 12/18/25    100.000     0.000     5.1400             0.142778   0.144572   0.148287   0.152098               40.52    52.14 
JP MORGAN                48134TLJ1 01/31/24 07/29/27    100.000     0.000     6.1800                        0.171667   0.176942   0.182409  0.188046     57.62    66.37 
JP MORGAN                48134RWF1 01/02/24 01/02/26    100.000     0.000     6.1600                        0.171111   0.176381   0.181814  0.187414     62.37    66.45 
JP MORGAN                48135MAB4 05/31/24 06/02/31    100.000     0.000     5.5400             0.153889   0.153936   0.158200   0.162582  0.167086     32.60    58.00 
JP MORGAN                48135MRZ3 06/26/24 06/25/26    100.000     0.000     5.0700                        0.140833   0.144384   0.148044  0.151797     26.08    52.68 
JP MORGAN                48134TLU6 02/05/24 02/05/29    100.000     0.000     6.2300                        0.173056   0.178446   0.184005  0.189737     57.20    66.89 
JP MORGAN                48134TLV4 01/31/24 01/29/26    100.000     0.000     6.1600                        0.171111   0.176352   0.181784  0.187383     57.43    66.14 
JP MORGAN                48135MRX8 06/26/24 07/03/25    100.000     0.000     5.1400                        0.142778   0.142920   0.146594               26.44    26.67 
JP MORGAN                48135MRY6 06/26/24 12/26/25    100.000     0.000     5.2100                        0.144722   0.148492   0.152360               26.79    53.41 
JP MORGAN                48134R5R5 12/28/23 12/28/28    100.000     0.000     6.2300      0.52   0.173056   0.178446   0.184005   0.189737  0.195647     63.30    67.31 
JP MORGAN                48134X7A7 06/05/24 06/05/28    100.000     0.000     5.1100                        0.141944   0.145571   0.149290  0.153105     29.33    53.27 
JP MORGAN                48134R5P9 12/28/23 12/28/27    100.000     0.000     6.1900      0.52   0.171944   0.177266   0.182753   0.188409  0.194240     62.89    66.84 
JP MORGAN                48134X7B5 06/04/24 06/04/31    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     29.94    54.15 
JP MORGAN                48134TLM4 01/31/24 01/31/29    100.000     0.000     6.2300                        0.173056   0.178446   0.184005  0.189737     58.10    66.95 
JP MORGAN                48134TLN2 01/31/24 01/30/31    100.000     0.000     6.2900                        0.174722   0.180217   0.185885  0.191731     58.66    67.64 
JP MORGAN                48134RWG9 01/02/24 01/02/26    100.000     0.000     6.1600                        0.171111   0.176381   0.181814  0.187414     62.37    66.45 
JP MORGAN                48134TLR3 02/05/24 02/04/27    100.000     0.000     6.1700                        0.171389   0.176647   0.182096  0.187714     56.65    66.20 
JP MORGAN                48135MBJ6 06/05/24 06/04/27    100.000     0.000     5.5100                        0.153056   0.157249   0.161581  0.166033     31.64    57.63 
JP MORGAN                48135N4M5 07/03/24 07/03/29    100.000     0.000     5.4800                                   0.152222   0.156393  0.160678     27.10    57.06 
JP MORGAN                48135MBH0 06/05/24 03/05/26    100.000     0.000     5.1400                        0.142778   0.144612   0.148329  0.152141     29.63    53.60 
JP MORGAN                48134W4Q8 04/05/24 04/08/26    100.000     0.000     5.0700             0.140833   0.140893   0.144464   0.148127  0.151882     37.77    53.28 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JP MORGAN                48134WVU8 04/02/24 01/02/26    100.000     0.000     5.1400                        0.142778   0.144612   0.148329  0.152141     38.74    54.08 
JP MORGAN                48134RXD5 12/26/23 12/26/25    100.000     0.000     6.1600      0.86   0.171111   0.176381   0.181814   0.187414               62.60    65.55 
JP MORGAN                48135MBL1 06/05/24 06/04/27    100.000     0.000     5.5100                        0.153056   0.157249   0.161581  0.166033     31.64    57.63 
JP MORGAN                48134R6B9 12/26/23 12/24/26    100.000     0.000     6.1700      0.86   0.171389   0.176617   0.182066   0.187683  0.193473     62.72    66.63 
JP MORGAN                48134RXF0 01/02/24 01/02/26    100.000     0.000     6.1600                        0.171111   0.176381   0.181814  0.187414     62.37    66.45 
JP MORGAN                48135MBM9 05/31/24 06/03/27    100.000     0.000     5.0300             0.139722   0.139781   0.143296   0.146900  0.150595     29.59    52.44 
JP MORGAN                48135N4D5 06/28/24 06/30/26    100.000     0.000     5.6000             0.155556   0.155604   0.159961   0.164440  0.169044     28.48    58.40 
JP MORGAN                48134R5Y0 12/28/23 12/28/27    100.000     0.000     6.1900      0.52   0.171944   0.177266   0.182753   0.188409  0.194240     62.89    66.84 
JP MORGAN                48134TMW1 02/05/24 08/05/25    100.000     0.000     5.6300                        0.156389   0.160791   0.165318               51.63    35.22 
JP MORGAN                48134XZB4 04/19/24 04/21/28    100.000     0.000     5.0500             0.140278   0.140317   0.143860   0.147493  0.151217     35.61    52.96 
JP MORGAN                48135MBY3 06/05/24 06/04/26    100.000     0.000     5.0700                        0.140833   0.144384   0.148044  0.151797     29.11    52.84 
JP MORGAN                48135TGS6 08/23/24 02/25/26    100.000     0.000     5.7400                        0.159444   0.159495   0.164073  0.168782     20.42    59.41 
JP MORGAN                48135MCA4 06/04/24 06/04/27    100.000     0.000     5.0600                        0.140556   0.144112   0.147758  0.151496     29.19    52.74 
JP MORGAN                48134WVX2 04/02/24 04/01/27    100.000     0.000     4.9700                        0.138056   0.141467   0.144983  0.148585     37.44    52.20 
JP MORGAN                48134WVY0 03/28/24 03/31/27    100.000     0.000     5.0300             0.139722   0.139761   0.143276   0.146880  0.150574     38.47    52.89 
JP MORGAN                48134R6H6 12/26/23 09/25/25    100.000     0.000     6.1800      0.86   0.171667   0.174289   0.179675   0.185227               63.04    48.43 
JP MORGAN                48135MBS6 05/31/24 12/02/27    100.000     0.000     5.0400             0.140000   0.140039   0.143568   0.147186  0.150895     29.65    52.55 
JP MORGAN                48135MSR0 06/03/24 06/04/27    100.000     0.000     5.5100                        0.153056   0.157296   0.161629  0.166082     31.95    57.64 
JP MORGAN                48135MBQ0 05/31/24 05/01/26    100.000     0.000     5.1000                        0.141667   0.144697   0.148387  0.152171     30.07    53.20 
JP MORGAN                48134WVW4 04/02/24 04/01/27    100.000     0.000     5.0300                        0.139722   0.143217   0.146819  0.150511     37.90    52.86 
JP MORGAN                48134RXJ2 12/26/23 12/24/26    100.000     0.000     6.1700      0.86   0.171389   0.176617   0.182066   0.187683  0.193473     62.72    66.63 
JP MORGAN                48135NET9 07/03/24 07/02/26    100.000     0.000     5.6000                                   0.155556   0.159887  0.164364     27.69    58.36 
JP MORGAN                48135MC71 05/30/24 05/27/27    100.000     0.000     5.0300                        0.139722   0.143178   0.146779  0.150470     29.60    52.44 
JP MORGAN                48134TNG5 02/05/24 02/05/26    100.000     0.000     6.0000                        0.166667   0.171667   0.176817  0.182121     55.06    64.25 
JP MORGAN                48134TNH3 01/31/24 01/29/26    100.000     0.000     4.9400                        0.137222   0.140593   0.144065  0.147624     45.93    52.31 
JP MORGAN                48134WWV5 03/13/24 03/13/29    100.000     0.000     5.1000                        0.141667   0.145279   0.148984  0.152783     41.19    53.78 
JP MORGAN                48135NFS0 06/20/24 06/17/27    100.000     0.000     5.5100                        0.153056   0.157202   0.161533  0.165983     29.29    57.50 
JP MORGAN                48130CCZ6 11/15/23 11/15/38    100.000     0.000     6.2700      8.01   0.174167   0.179627   0.185258   0.191066  0.197056     64.19    68.28 
JP MORGAN                48134WWT0 04/02/24 04/01/26    100.000     0.000     5.0700                        0.140833   0.144384   0.148044  0.151797     38.20    53.30 
JP MORGAN                48134WWU7 04/01/24 04/01/27    100.000     0.000     5.0300                        0.139722   0.143236   0.146839  0.150532     38.04    52.87 
JP MORGAN                48134TNE0 01/31/24 07/31/25    100.000     0.000     4.9500                        0.137500   0.140903   0.144390               46.03    30.08 
JP MORGAN                48134XB53 04/26/24 04/28/27    100.000     0.000     5.0300             0.139722   0.139761   0.143276   0.146880  0.150574     34.46    52.69 
JP MORGAN                48134XB61 04/26/24 04/28/27    100.000     0.000     5.0300             0.139722   0.139761   0.143276   0.146880  0.150574     34.46    52.69 
JP MORGAN                48134T5J9 02/29/24 08/31/27    100.000     0.000     6.1800                        0.171667   0.177001   0.182409  0.188108     52.49    66.05 
JP MORGAN                48134XB87 04/18/24 10/20/27    100.000     0.000     5.0400             0.140000   0.140039   0.143568   0.147186  0.150895     35.68    52.86 
JP MORGAN                48134XRK3 04/09/24 04/09/31    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     38.08    54.58 
JP MORGAN                48133WV62 11/09/23 11/09/26    100.000     0.000     5.3600      7.74   0.148889   0.152879   0.156976   0.161183  0.165503     54.74    57.71 
JP MORGAN                48134T5D2 02/29/24 02/28/26    100.000     0.000     6.1700                        0.171389   0.176647   0.182096  0.187714     52.41    65.94 
JP MORGAN                48134T5A8 03/05/24 03/04/27    100.000     0.000     5.0300                        0.139722   0.143217   0.146819  0.150511     41.77    53.06 
JP MORGAN                48134T5B6 02/29/24 03/03/27    100.000     0.000     6.1700             0.171389   0.171506   0.176797   0.182252  0.187874     52.42    65.94 
JP MORGAN                48134TWY6 01/26/24 01/27/28    100.000     0.000     6.1900                        0.171944   0.177296   0.182783  0.188440     58.43    66.53 
JP MORGAN                48134XSL0 04/17/24 04/15/27    100.000     0.000     5.0300                        0.139722   0.143197   0.146799  0.150491     35.75    52.75 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JP MORGAN                48135PEC1 07/11/24 04/02/26    100.000     0.000     5.6700                        0.157500   0.159509   0.164031  0.168682     26.95    59.05 
JP MORGAN                48135PED9 07/11/24 07/01/27    100.000     0.000     5.5100                                   0.157038   0.161364  0.165810     26.02    57.31 
JP MORGAN                48134TWX8 01/26/24 01/28/27    100.000     0.000     6.1700             0.171389   0.171448   0.176737   0.182189  0.187810     58.24    66.30 
JP MORGAN                48134TWV2 01/26/24 01/28/26    100.000     0.000     6.1600             0.171111   0.171170   0.176442   0.181876  0.187478     58.15    66.19 
JP MORGAN                48134TGP3 02/02/24 02/03/28    100.000     0.000     6.1900                        0.171944   0.177296   0.182783  0.188440     57.36    66.46 
JP MORGAN                48134XSP1 04/08/24 04/08/26    100.000     0.000     5.0700                        0.140833   0.144403   0.148064  0.151818     37.34    53.26 
JP MORGAN                48134XSS5 04/08/24 04/08/27    100.000     0.000     5.1300                        0.142500   0.146155   0.149904  0.153749     37.78    53.92 
JP MORGAN                48134XTJ4 04/19/24 04/21/31    100.000     0.000     5.1900             0.144167   0.144208   0.147950   0.151790  0.155729     36.60    54.50 
JP MORGAN                48134THB3 02/05/24 11/05/25    100.000     0.000     6.1700             0.171389   0.174033   0.179401   0.184936               56.80    55.53 
JP MORGAN                48134T6R0 03/05/24 09/04/25    100.000     0.000     5.6700                        0.157500   0.161940   0.166531               47.14    40.18 
JP MORGAN                48135MMV7 05/31/24 06/02/31    100.000     0.000     5.1900             0.144167   0.144208   0.147950   0.151790  0.155729     30.54    54.18 
JP MORGAN                48134T6U3 02/26/24 08/29/25    100.000     0.000     4.6300             0.128611   0.128661   0.131639   0.134670               39.60    31.88 
JP MORGAN                48133W5Y0 05/28/24 06/09/25    100.000     0.000     4.9100             0.136389   0.136594   0.139947                          29.17    22.11 
JP MORGAN                48134THL1 01/10/24 02/05/25    100.000     0.000     5.4300             0.150833   0.151402   0.155513                          53.73     5.29 
JP MORGAN                48134THE7 02/05/24 02/04/27    100.000     0.000     6.1700                        0.171389   0.176647   0.182096  0.187714     56.65    66.20 
JP MORGAN                48135PX22 08/14/24 11/14/25    100.000     0.000     5.4400                        0.151111   0.153166   0.157332               20.80    48.69 
JP MORGAN                48134THC1 02/05/24 02/04/27    100.000     0.000     6.1700                        0.171389   0.176647   0.182096  0.187714     56.65    66.20 
JP MORGAN                48134WQR1 03/13/24 03/13/31    100.000     0.000     5.1900                        0.144167   0.147908   0.151746  0.155684     41.92    54.78 
JP MORGAN                48134THJ6 02/05/24 02/04/27    100.000     0.000     6.1700                        0.171389   0.176647   0.182096  0.187714     56.65    66.20 
JP MORGAN                48134WAG2 02/29/24 03/03/31    100.000     0.000     6.2900             0.174722   0.174844   0.180343   0.186015  0.191865     53.45    67.30 
JP MORGAN                48134WRK5 03/06/24 04/04/25    100.000     0.000     4.8400             0.134444   0.134951   0.138216                          40.08    12.85 
JP MORGAN                48134THV9 02/05/24 02/05/26    100.000     0.000     6.1600                        0.171111   0.176381   0.181814  0.187414     56.55    66.09 
JP MORGAN                48133W6B9 05/30/24 06/09/25    100.000     0.000     4.9100             0.136389   0.136556   0.139909                          28.89    22.11 
JP MORGAN                48134WAC1 02/29/24 03/01/29    100.000     0.000     6.2300                        0.173056   0.178506   0.184067  0.189800     52.92    66.62 
JP MORGAN                48134XUY9 04/17/24 04/17/29    100.000     0.000     5.1000                        0.141667   0.145279   0.148984  0.152783     36.25    53.52 
JP MORGAN                48134XUZ6 04/30/24 04/30/29    100.000     0.000     5.1000                        0.141667   0.145279   0.148984  0.152783     34.36    53.43 
JP MORGAN                48135MP93 06/26/24 06/24/27    100.000     0.000     5.5100                        0.153056   0.157225   0.161557  0.166008     28.34    57.44 
JP MORGAN                48135PHA2 07/15/24 07/14/26    100.000     0.000     5.6000                                   0.155556   0.159887  0.164364     25.82    58.25 
JP MORGAN                48134XE76 05/31/24 06/01/29    100.000     0.000     5.4800                        0.152222   0.156416   0.160702  0.165105     32.24    57.34 
JP MORGAN                48134XE50 06/05/24 06/05/29    100.000     0.000     5.1000                        0.141667   0.145279   0.148984  0.152783     29.28    53.16 
JP MORGAN                48134R2C1 12/15/23 04/17/25    100.000     0.000     5.9700      2.65   0.165833   0.169188   0.174239                          60.93    18.47 
JP MORGAN                48134TJA3 02/02/24 02/04/27    100.000     0.000     6.1700             0.171389   0.171448   0.176737   0.182189  0.187810     57.18    66.23 
JP MORGAN                48135MPE2 05/31/24 06/03/27    100.000     0.000     5.0300             0.139722   0.139781   0.143296   0.146900  0.150595     29.59    52.44 
JP MORGAN                48135PHC8 07/15/24 07/14/27    100.000     0.000     5.5100                                   0.153056   0.157249  0.161581     25.41    57.28 
JP MORGAN                48135TCM3 08/22/24 08/23/29    100.000     0.000     5.4800                                   0.152222   0.156416  0.160702     19.64    56.64 
JP MORGAN CHASE FIN COM  48133DJ68 06/23/22 06/23/25    100.000     0.000     3.4100     52.82   0.099650   0.101349   0.103077                          36.21    17.73 
JP MORGAN CHASE FIN COM  48133GC92 07/06/22 07/03/25    100.000     0.000     4.8100     73.20   0.140060   0.143429   0.146878   0.150411               52.24    27.37 
JP MORGAN CHASE FIN COM  48133GTK9 07/06/22 07/03/25    100.000     0.000     4.8100     73.20   0.140060   0.143429   0.146878   0.150411               52.24    27.37 
JP MORGAN CHASE FIN COM  48133GTD5 06/30/22 07/01/27    100.000     0.000     5.0100     77.19   0.149910   0.149910   0.157514   0.157514  0.165504     54.64    57.42 
JP MORGAN CHASE FIN COM  48133GNZ2 07/06/22 07/06/26    100.000     0.000     4.9300     75.07   0.143779   0.147323   0.150955   0.154676  0.158488     53.65    56.33 
JP MORGAN CHASE FIN COM  48133GNR0 06/30/22 07/02/25    100.000     0.000     4.8100     74.05   0.140153   0.143523   0.146975   0.150510               52.28    27.24 
JP MORGAN CHASE FIN COM  48133GNV1 07/06/22 07/03/25    100.000     0.000     4.8100     73.20   0.140060   0.143429   0.146878   0.150411               52.24    27.37 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JP MORGAN CHASE FIN COM  48133GNX7 06/30/22 07/02/25    100.000     0.000     4.8100     74.05   0.140153   0.143523   0.146975   0.150510               52.28    27.24 
JP MORGAN CHASE FIN COM  48133GPA5 07/06/22 07/06/27    100.000     0.000     5.0100     76.32   0.146226   0.149889   0.153644   0.157493  0.161438     54.60    57.37 
JP MORGAN CHASE FIN COM  48133GPC1 06/30/22 07/01/27    100.000     0.000     5.0100     77.19   0.149910   0.149910   0.157514   0.157514  0.165504     54.64    57.42 
JP MORGAN CHASE FIN COM  48133LHN5 07/11/22 07/11/24    100.000     0.000     4.6100     69.42   0.134027   0.137116                                     26.02          
JP Morgan Chase & Co.    48125UUT7 08/31/15 08/31/25    100.000    VARIES     2.5712     24.93   0.008619   0.008635   0.008891   0.008859                3.19     2.15 
JP Morgan Chase & Co.    48125UUL4 08/31/15 08/31/35    100.000    VARIES     4.2124    345.22   0.121874   0.123121   0.124394   0.125695  0.127022     44.40    45.33 
JP Morgan Chase & Co.    48125UTG7 06/30/15 06/30/30    100.000    VARIES     4.4810    347.86   0.112662   0.113129   0.113814   0.114514  0.115230     40.64    41.10 
JP Morgan Chase & Co.    48128GYV6 12/20/18 12/20/28    100.000    VARIES     3.6202     25.40   0.014051   0.014305   0.014564   0.014827  0.015096      5.11     5.30 
JP Morgan Chase & Co.    48128GYU8 12/19/18 11/10/36     47.489     0.000     4.2056    110.72   0.068006   0.069436   0.070896   0.072387  0.073909     24.89    25.94 
JP Morgan Chase & Co.    48128GYQ7 11/27/18 11/27/68     12.184     0.000     4.2547     29.15   0.017774   0.018152   0.018538   0.018932  0.019335      6.49     6.77 
JP Morgan Chase & Co.    48125UY71 09/18/15 09/18/30    100.000    VARIES     2.6025     35.93   0.011626   0.011777   0.011930   0.012085  0.012243      4.24     4.35 
JP Morgan Chase & Co.    46625HME7 07/31/15 07/31/35    100.000    VARIES     4.4624    375.08   0.130422   0.131306   0.132210   0.133134  0.134079     47.38    48.04 
JP Morgan Chase & Co.    48126DV89 05/17/13 05/17/28    100.000    VARIES     3.8747    371.04   0.099222   0.100082   0.100958   0.101852  0.102788     35.95    36.59 
JP Morgan Chase & Co.    48130WND9 01/31/19 02/02/26    100.000     0.000     3.7407    200.03   0.122792   0.125088   0.127428   0.129811  0.132239     45.31    47.02 
JP Morgan Chase & Co.    48126DS59 04/30/13 04/30/28    100.000    VARIES     3.8928    378.33   0.099190   0.100030   0.100885   0.101758  0.102757     35.96    36.59 
JP Morgan Chase & Co.    48126N5L7 03/28/14 03/28/29    100.000    VARIES     4.4199    410.24   0.116515   0.116818   0.117271   0.117734  0.118207     42.07    42.39 
JP Morgan Chase & Co.    48130W5U1 03/29/19 03/31/26    100.000     0.000     3.2713    166.89   0.105166   0.106886   0.108635   0.110412  0.112218     38.49    39.75 
JP Morgan Chase & Co.    48128GF88 05/24/17 05/24/27    100.000    VARIES     2.5870     23.32   0.010181   0.010313   0.010446   0.010581  0.010718      3.70     3.80 
JP Morgan Chase & Co.    48127F731 04/30/14 04/30/24    100.000     0.000     3.8108    440.60   0.151518                                                18.03          
JP Morgan Chase & Co.    48130U2N4 10/31/18 10/31/25    100.000     0.000     4.1115    234.21   0.139982   0.142859   0.145796   0.148793               51.27    44.13 
JP Morgan Chase & Co.    48130UU29 11/30/18 11/28/25    100.000     0.000     4.1207    230.58   0.140326   0.143217   0.146168   0.149180               51.23    48.34 
JP Morgan Chase & Co.    48126NTC1 11/20/13 11/20/28    100.000    VARIES     4.6982    444.00   0.125657   0.126236   0.126828   0.127435  0.128056     45.39    45.82 
JP Morgan Chase & Co.    48126NSZ1 10/31/13 10/31/28    100.000    VARIES     4.4385    421.71   0.118182   0.118741   0.119312   0.119895  0.120492     42.72    43.13 
JP Morgan Chase Financia 48133VZN3 04/26/23 04/24/25    100.000     0.000     6.0500     41.51   0.173083   0.178319   0.183713                          63.96    20.76 
JPMORGAN CHASE FINANCE   48133NXZ6 10/12/22 04/11/24    100.000     0.000     4.7400     58.86   0.137964                                                13.80          
JPMORGAN CHASE FINANCE   48133ME71 09/30/22 10/02/29    100.000     0.000     5.2900     67.69   0.154866   0.158962   0.163167   0.167483  0.171913     57.23    60.30 
JPMORGAN CHASE FINANCE   48133MDX5 10/19/22 10/21/24    100.000     0.000     4.8500     59.27   0.141374   0.144802                                     41.62          
JPMORGAN CHASE FINANCE   48133MDL1 09/28/22 09/24/25    100.000     0.000     4.9800     63.94   0.145230   0.148846   0.152552   0.156351               53.64    40.80 
JPMORGAN CHASE FINANCE   48133M5M8 10/05/22 10/05/27    100.000     0.000     5.1900     65.62   0.151746   0.155684   0.159724   0.163869  0.168121     56.02    58.97 
JPMORGAN CHASE FINANCE   48133M5B2 10/05/22 10/05/27    100.000     0.000     5.1900     65.62   0.151746   0.155684   0.159724   0.163869  0.168121     56.02    58.97 
JPMORGAN CHASE FINANCE   48133M6A3 10/05/22 10/05/27    100.000     0.000     5.0100     63.30   0.146226   0.149889   0.153644   0.157493  0.161438     53.94    56.67 
JPMORGAN CHASE FINANCE   48133MC73 09/28/22 09/28/26    100.000     0.000     4.9300     63.28   0.143779   0.147323   0.150955   0.154676  0.158488     53.07    55.71 
JPMORGAN CHASE FINANCE   48133MC57 09/28/22 09/28/28    100.000     0.000     5.0800     65.24   0.148371   0.152139   0.156004   0.159966  0.164029     54.80    57.62 
JPMORGAN CHASE FINANCE   48133NEZ7 10/05/22 10/03/25    100.000     0.000     4.9800     62.92   0.145269   0.148886   0.152593   0.156393               53.59    42.19 
JPMORGAN CHASE FINANCE   48133NRB6 10/26/22 10/26/28    100.000     0.000     5.2600     63.30   0.153898   0.157945   0.162099   0.166362  0.170738     56.66    59.68 
JPMORGAN CHASE FINANCE   48133NA32 10/14/22 04/16/24    100.000     0.000     4.7400     58.59   0.138018                                                14.49          
JPMORGAN CHASE FINANCE   48133NRE0 10/26/22 10/26/26    100.000     0.000     5.1000     61.33   0.148984   0.152783   0.156679   0.160674  0.164771     54.82    57.65 
JPMORGAN CHASE FINANCE   48133NAU2 09/27/22 09/17/27    100.000     0.000     5.1900     66.85   0.151533   0.155465   0.159499   0.163638  0.167885     56.09    59.04 
JPMORGAN CHASE FINANCE   48133M6X3 09/30/22 10/02/25    100.000     0.000     4.9800     63.65   0.145348   0.148967   0.152677   0.156478               53.63    42.06 
JPMORGAN CHASE FINANCE   48133MYT1 09/21/22 09/21/26    100.000     0.000     5.1000     66.55   0.148984   0.152783   0.156679   0.160674  0.164771     55.09    57.93 
JPMORGAN CHASE FINANCE   48133MQ60 09/30/22 09/30/27    100.000     0.000     5.1900     66.38   0.151746   0.155684   0.159724   0.163869  0.168121     56.06    59.01 
JPMORGAN CHASE FINANCIAL 48133LCE0 08/03/22 08/01/25    100.000     0.000     4.8100     69.42   0.140079   0.143447   0.146897   0.150430               52.06    31.48 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMORGAN CHASE FINANCIAL 48133LCA8 08/03/22 08/01/25    100.000     0.000     4.8100     69.42   0.140079   0.143447   0.146897   0.150430               52.06    31.48 
JPMORGAN CHASE FINANCIAL 48133MPW4 08/24/22 08/22/24    100.000     0.000     4.6100     63.65   0.133993   0.137082                                     31.51          
JPMORGAN CHASE FINANCIAL 48133MPV6 08/24/22 08/22/24    100.000     0.000     4.6100     63.65   0.133993   0.137082                                     31.51          
JPMORGAN CHASE FINANCIAL 48133MGT1 08/18/22 08/20/24    100.000     0.000     4.6100     64.46   0.134061   0.137151                                     31.26          
JPMORGAN CHASE FINANCIAL 48133MHH6 08/18/22 08/20/24    100.000     0.000     4.6100     64.46   0.134061   0.137151                                     31.26          
JPMORGAN CHASE FINANCIAL 48133MHT0 08/18/22 08/19/27    100.000     0.000     5.0100     70.17   0.146246   0.149910   0.153665   0.157514  0.161460     54.29    57.04 
JPMORGAN CHASE FINANCIAL 48133LF72 08/24/22 08/24/26    100.000     0.000     4.9300     68.17   0.143779   0.147323   0.150955   0.154676  0.158488     53.31    55.97 
JPMORGAN CHASE FINANCIAL 48133LF64 08/24/22 08/24/28    100.000     0.000     5.0800     70.29   0.148371   0.152139   0.156004   0.159966  0.164029     55.06    57.89 
JPMORGAN CHASE FINANCIAL 48133DP87 08/05/22 08/05/24    100.000     0.000     2.7500     39.15   0.078504   0.079583                                     16.99          
JPMORGAN CHASE FINANCIAL 48133LCH3 08/03/22 08/03/26    100.000     0.000     4.9300     71.19   0.143779   0.147323   0.150955   0.154676  0.158488     53.46    56.13 
JPMORGAN CHASE FINANCIAL 48133LCJ9 08/03/22 08/03/27    100.000     0.000     5.0100     72.37   0.146226   0.149889   0.153644   0.157493  0.161438     54.40    57.16 
JPMORGAN CHASE FINANCIAL 48133LUQ3 08/03/22 08/01/25    100.000     0.000     4.8100     69.42   0.140079   0.143447   0.146897   0.150430               52.06    31.48 
JPMORGAN CHASE FINANCIAL 48133DP79 08/05/22 02/05/25    100.000     0.000     2.9100     41.46   0.083203   0.084413   0.085642                          30.53     2.91 
JPMORGAN CHASE FINANCIAL 48133E181 08/03/22 08/05/25    100.000     0.000     4.8100     69.42   0.140153   0.143523   0.146975   0.150510               52.06    32.09 
JPMORGAN CHASE FINANCIAL 48133LX23 08/10/22 08/08/24    100.000     0.000     4.6100     65.53   0.133993   0.137082                                     29.63          
JPMORGAN CHASE FINANCIAL 48133LX49 08/10/22 08/08/25    100.000     0.000     4.8100     68.44   0.140079   0.143447   0.146897   0.150430               52.01    32.51 
JPMORGAN CHASE FINANCIAL 48133LFC1 08/03/22 08/01/25    100.000     0.000     4.8100     69.42   0.140079   0.143447   0.146897   0.150430               52.06    31.48 
JPMorgan Chase Finance   48133TZK4 01/25/23 07/25/24    100.000     0.000     5.7800     54.67   0.165196   0.169970                                     34.56          
JPMorgan Chase Finance   48133TZQ1 01/25/23 07/25/24    100.000     0.000     6.7700     64.18   0.194421   0.201002                                     40.85          
JPMorgan Chase Finance   48133TJK2 02/03/23 02/04/27    100.000     0.000     5.6600     52.23   0.161696   0.166272   0.170978   0.175817  0.180792     60.40    63.87 
JPMorgan Chase Finance   48133VPT1 05/03/23 11/02/26    100.000     0.000     5.7900     38.55   0.165464   0.170254   0.175183   0.180254  0.185473     61.00    64.59 
JPMorgan Chase Finance   48133TJJ5 02/03/23 02/04/27    100.000     0.000     5.6600     52.23   0.161696   0.166272   0.170978   0.175817  0.180792     60.40    63.87 
JPMorgan Chase Finance   48133TKD6 02/03/23 02/05/26    100.000     0.000     5.6400     52.05   0.161135   0.165679   0.170351   0.175155  0.180095     60.17    63.61 
JPMorgan Chase Finance   48133TKC8 02/03/23 11/05/24    100.000     0.000     5.7200     52.92   0.165822   0.170565                                     51.26          
JPMorgan Chase Finance   48133TJY2 02/03/23 02/04/27    100.000     0.000     5.6600     52.23   0.161696   0.166272   0.170978   0.175817  0.180792     60.40    63.87 
JPMorgan Chase Finance   48133TKE4 02/03/23 02/05/25    100.000     0.000     5.7200     52.80   0.163485   0.168161   0.172970                          61.08     5.88 
JPMorgan Chase Finance   48133TKH7 02/03/23 02/05/26    100.000     0.000     5.6400     52.05   0.161135   0.165679   0.170351   0.175155  0.180095     60.17    63.61 
JPMorgan Chase Finance   48133TVC6 01/19/23 01/22/24    100.000     0.000     5.1700     49.73   0.147387                                                 3.10          
JPMorgan Chase Finance   48133TVE2 01/19/23 02/16/24    100.000     0.000     5.2700     50.77   0.150840                                                 6.79          
JPMorgan Chase Finance   48133T5S0 02/02/23 05/03/24    100.000     0.000     5.4700     50.73   0.158259                                                19.31          
JPMorgan Chase Finance   48133TWM3 01/23/23 02/23/24    100.000     0.000     5.2700     50.17   0.150906                                                 7.85          
JPMorgan Chase Finance   48133VM49 05/03/23 05/09/24    100.000     0.000     5.2300     34.80   0.149207                                                19.10          
JPMorgan Chase Finance   48133VM72 05/10/23 08/08/24    100.000     0.000     5.6700     36.69   0.159683   0.164210                                     35.47          
JPMorgan Chase Finance   48133T6E0 02/03/23 08/05/24    100.000     0.000     5.7800     53.36   0.165249   0.170024                                     36.22          
JPMorgan Chase Finance   48133VN22 05/03/23 08/01/24    100.000     0.000     5.6600     37.75   0.159397   0.163908                                     34.29          
JPMorgan Chase Finance   48133U2D3 01/19/23 02/20/24    100.000     0.000     5.2200     50.29   0.149453                                                 7.32          
JPMorgan Chase Finance   48133PDU4 01/19/23 01/31/24    100.000     0.000     5.1700     49.75   0.147556                                                 4.28          
JPMorgan Chase Finance   48133U2F8 02/03/23 03/04/24    100.000     0.000     5.1500     47.54   0.147390                                                 9.29          
JPMorgan Chase Finance   48133U2G6 01/25/23 02/07/24    100.000     0.000     5.1700     48.87   0.147577                                                 5.31          
JPMorgan Chase Finance   48133TA21 02/03/23 02/05/26    100.000     0.000     5.6400     52.05   0.161135   0.165679   0.170351   0.175155  0.180095     60.17    63.61 
JPMorgan Chase Finance   48133TA47 02/03/23 02/05/26    100.000     0.000     5.6400     52.05   0.161135   0.165679   0.170351   0.175155  0.180095     60.17    63.61 
JPMorgan Chase Finance   48133TSC0 01/20/23 04/22/24    100.000     0.000     5.4800     52.73   0.158583                                                17.60          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Finance   48133TB46 02/03/23 02/05/24    100.000     0.000     5.1700     47.66   0.147366                                                 5.01          
JPMorgan Chase Finance   48133TB87 02/03/23 08/05/26    100.000     0.000     5.0400     46.45   0.143568   0.147186   0.150895   0.154698  0.158596     53.41    56.13 
JPMorgan Chase Finance   48133TC45 02/02/23 02/04/25    100.000     0.000     5.7200     52.96   0.163485   0.168161   0.172970                          61.09     5.71 
JPMorgan Chase Finance   48133TC86 02/02/23 02/04/26    100.000     0.000     6.0100     55.68   0.172019   0.177188   0.182512   0.187997  0.193646     64.40    68.33 
JPMorgan Chase Finance   48133TC78 02/02/23 02/04/25    100.000     0.000     5.7200     52.96   0.163485   0.168161   0.172970                          61.09     5.71 
JPMorgan Chase Finance   48133TD28 02/03/23 02/05/26    100.000     0.000     4.9800     45.89   0.141817   0.145348   0.148967   0.152677  0.156478     52.73    55.39 
JPMorgan Chase Finance   48133U5M0 05/03/23 05/01/25    100.000     0.000     5.9600     39.69   0.170434   0.175513   0.180744                          62.89    21.69 
JPMorgan Chase Finance   48133TLS2 02/03/23 02/05/25    100.000     0.000     4.8500     44.68   0.138026   0.141374   0.144802                          51.28     4.92 
JPMorgan Chase Finance   48133TLU7 02/03/23 02/05/25    100.000     0.000     4.8500     44.68   0.138026   0.141374   0.144802                          51.28     4.92 
JPMorgan Chase Finance   48133TLL7 02/03/23 02/05/24    100.000     0.000     5.1700     47.66   0.147366                                                 5.01          
JPMorgan Chase Finance   48133TLK9 02/03/23 02/05/24    100.000     0.000     5.1700     47.66   0.147366                                                 5.01          
JPMorgan Chase Finance   48133TLM5 02/03/23 08/05/24    100.000     0.000     5.7800     53.36   0.165249   0.170024                                     36.22          
JPMorgan Chase Finance   48133VSL5 05/03/23 10/31/24    100.000     0.000     6.1900     41.24   0.177177   0.182661                                     53.96          
JPMorgan Chase Finance   48133VSX9 05/03/23 05/01/26    100.000     0.000     5.8200     38.76   0.166319   0.171159   0.176139   0.181265  0.186540     61.34    64.96 
JPMorgan Chase Finance   48133VSY7 05/03/23 05/01/26    100.000     0.000     5.8200     38.76   0.166319   0.171159   0.176139   0.181265  0.186540     61.34    64.96 
JPMorgan Chase Finance   48133VT67 05/03/23 05/01/25    100.000     0.000     5.9600     39.69   0.170434   0.175513   0.180744                          62.89    21.69 
JPMorgan Chase Finance   48133TPG4 02/03/23 02/05/24    100.000     0.000     5.1700     47.66   0.147366                                                 5.01          
JPMorgan Chase Finance   48133VVM9 05/03/23 05/31/24    100.000     0.000     5.3800     35.82   0.154084                                                22.96          
JPMorgan Chase Financial 48133DZS2 04/05/22 04/03/25    100.000     0.000     2.1708     38.27   0.062278   0.062954   0.063637                          22.66     5.85 
JPMorgan Chase Financial 48133DZT0 04/05/22 04/05/27    100.000     0.000     2.6911     47.60   0.077810   0.078857   0.079918   0.080994  0.082083     28.38    29.15 
JPMorgan Chase Financial 48133DZZ6 04/05/22 04/03/25    100.000     0.000     2.1708     38.27   0.062278   0.062954   0.063637                          22.66     5.85 
JPMorgan Chase Financial 48129MF84 07/31/18 07/31/25    100.000     0.000     3.8909    232.28   0.131045   0.133594   0.136193   0.138843               48.41    28.94 
JPMorgan Chase Financial 48129MF27 07/31/18 07/31/25    100.000     0.000     3.8909    232.28   0.131045   0.133594   0.136193   0.138843               48.41    28.94 
JPMorgan Chase Financial 48130WT50 05/03/19 04/30/24    100.000     0.000     3.1311    155.86   0.100002                                                11.90          
JPMorgan Chase Financial 48130WTC5 02/11/19 02/09/24    100.000     0.000     3.8413    204.48   0.126602                                                 4.81          
JPMorgan Chase Financial 48132HLL4 01/15/20 01/15/25    100.000     0.000     2.3402     96.55   0.070522   0.071347   0.072182                          25.81     1.01 
JPMorgan Chase Financial 48128GJ27 08/31/17 08/31/27    100.000    VARIES     2.4049     16.46   0.007249   0.007335   0.007424   0.007512  0.007604      2.65     2.71 
JPMorgan Chase Financial 48129ME93 07/31/18 07/31/25    100.000     0.000     3.8909    232.28   0.131045   0.133594   0.136193   0.138843               48.41    28.94 
JPMorgan Chase Financial 48132FFT8 09/30/19 09/30/25    100.000     0.000     2.7505    123.22   0.085223   0.086395   0.087583   0.088788               31.11    23.78 
JPMorgan Chase Financial 48132FFS0 09/30/19 09/30/26    100.000     0.000     2.8905    129.84   0.090060   0.091361   0.092682   0.094021  0.095380     32.89    33.85 
JPMorgan Chase Financial 48132FFU5 09/30/19 09/30/24    100.000     0.000     2.5908    115.72   0.079773   0.080806                                     21.64          
JPMorgan Chase Financial 48129M3J3 06/27/18 06/26/25    100.000     0.000     3.9304    239.26   0.135226   0.137883   0.140593                          49.19    24.60 
JPMorgan Chase Financial 48132F6L5 12/03/19 11/29/24    100.000     0.000     2.3202     98.65   0.070661   0.071481                                     23.32          
JPMorgan Chase Financial 48132F6F8 11/29/19 05/30/25    100.000     0.000     2.4004    102.49   0.073359   0.074239   0.075130                          26.62    11.19 
JPMorgan Chase Financial 48132HMN9 02/05/20 01/31/25    100.000     0.000     2.3404     95.15   0.070506   0.071331   0.072166                          25.78     2.09 
JPMorgan Chase Financial 48132F6E1 11/29/19 05/31/24    100.000     0.000     2.2505     95.83   0.068371                                                10.19          
JPMorgan Chase Financial 48132HMM1 02/05/20 01/31/25    100.000     0.000     2.3404     95.15   0.070506   0.071331   0.072166                          25.78     2.09 
JPMorgan Chase Financial 48132F6G6 11/29/19 11/30/26    100.000     0.000     2.6400    113.21   0.081450   0.082525   0.083614   0.084718  0.085836     29.58    30.37 
JPMorgan Chase Financial 48132CP98 09/05/19 08/30/24    100.000     0.000     2.1403     96.40   0.064718   0.065406                                     15.59          
JPMorgan Chase Financial 48130WV57 05/03/19 04/30/24    100.000     0.000     3.1311    155.86   0.100002                                                11.90          
JPMorgan Chase Financial 48130WV65 05/03/19 04/30/24    100.000     0.000     3.1311    155.86   0.100002                                                11.90          
JPMorgan Chase Financial 48132HMY5 01/31/20 01/31/25    100.000     0.000     2.3404     95.50   0.070528   0.071353   0.072188                          25.79     2.09 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48130WV73 04/18/19 04/20/26    100.000     0.000     3.2710    164.88   0.105166   0.106886   0.108634   0.110410  0.112216     38.42    39.68 
JPMorgan Chase Financial 48132F6U5 11/29/19 11/30/26    100.000     0.000     2.6400    113.21   0.081450   0.082525   0.083614   0.084718  0.085836     29.58    30.37 
JPMorgan Chase Financial 48132F6W1 12/03/19 11/29/24    100.000     0.000     2.3202     98.65   0.070661   0.071481                                     23.32          
JPMorgan Chase Financial 48130W4K4 03/29/19 03/31/26    100.000     0.000     3.2713    166.89   0.105166   0.106886   0.108635   0.110412  0.112218     38.49    39.75 
JPMorgan Chase Financial 48130W4L2 03/29/19 03/31/26    100.000     0.000     3.2713    166.89   0.105166   0.106886   0.108635   0.110412  0.112218     38.49    39.75 
JPMorgan Chase Financial 48132F7K6 11/29/19 11/29/24    100.000     0.000     2.3202     98.93   0.070682   0.071502                                     23.33          
JPMorgan Chase Financial 48133FBL8 05/04/22 05/02/25    100.000     0.000     3.4117     57.74   0.099684   0.101384   0.103114                          36.39    12.48 
JPMorgan Chase Financial 48132CPW7 06/28/19 06/30/26    100.000     0.000     2.8100    134.06   0.088511   0.089755   0.091016   0.092295  0.093592     32.09    33.00 
JPMorgan Chase Financial 48129MBS4 03/29/18 04/01/25    100.000     0.000     2.5507    157.08   0.081462   0.082501   0.083553                          29.70     7.52 
JPMorgan Chase Financial 48132CPV9 06/28/19 06/28/24    100.000     0.000     2.5102    119.03   0.078011                                                13.81          
JPMorgan Chase Financial 48132CPZ0 06/18/19 06/18/26    100.000     0.000     3.1201    150.79   0.099627   0.101181   0.102760   0.104363  0.105991     36.19    37.32 
JPMorgan Chase Financial 48130W5D9 03/18/19 03/18/26    100.000     0.000     3.5710    184.65   0.116322   0.118399   0.120513   0.122665  0.124855     42.68    44.22 
JPMorgan Chase Financial 48133FBM6 05/04/22 05/02/25    100.000     0.000     3.4117     57.74   0.099684   0.101384   0.103114                          36.39    12.48 
JPMorgan Chase Financial 48133FBP9 05/04/22 05/02/25    100.000     0.000     3.4117     57.74   0.099684   0.101384   0.103114                          36.39    12.48 
JPMorgan Chase Financial 48132FHZ2 09/30/19 09/30/24    100.000     0.000     2.1409     94.81   0.064756   0.065449                                     17.54          
JPMorgan Chase Financial 48133FBR5 05/04/22 05/04/26    100.000     0.000     3.5721     60.51   0.104636   0.106504   0.108407   0.110343  0.112314     38.22    39.60 
JPMorgan Chase Financial 48132CPU1 06/28/19 06/30/26    100.000     0.000     2.8100    134.06   0.088511   0.089755   0.091016   0.092295  0.093592     32.09    33.00 
JPMorgan Chase Financial 48132CPT4 06/28/19 06/30/26    100.000     0.000     2.8100    134.06   0.088511   0.089755   0.091016   0.092295  0.093592     32.09    33.00 
JPMorgan Chase Financial 48132CYY3 07/31/19 07/31/26    100.000     0.000     2.8103    131.28   0.087284   0.088510   0.089754   0.091015  0.092294     32.02    32.92 
JPMorgan Chase Financial 48132CYW7 07/31/19 07/31/26    100.000     0.000     2.8103    131.28   0.087284   0.088510   0.089754   0.091015  0.092294     32.02    32.92 
JPMorgan Chase Financial 48132KPF6 04/30/20 10/31/24    100.000     0.000     2.7908    107.07   0.085420   0.086612                                     25.75          
JPMorgan Chase Financial 48132CHR7 06/05/19 05/31/24    100.000     0.000     2.8505    138.17   0.089899                                                13.39          
JPMorgan Chase Financial 48132KPJ8 04/30/20 04/30/27    100.000     0.000     3.0407    117.13   0.093874   0.095302   0.096751   0.098222  0.099715     34.23    35.28 
JPMorgan Chase Financial 48132CHT3 06/05/19 05/31/24    100.000     0.000     2.8505    138.17   0.089899                                                13.39          
JPMorgan Chase Financial 48129MZX7 06/28/18 06/30/25    100.000     0.000     3.9300    239.09   0.135253   0.137910   0.140620                          49.17    25.17 
JPMorgan Chase Financial 48132HXQ0 02/28/20 02/26/27    100.000     0.000     2.6405    106.05   0.080388   0.081449   0.082525   0.083614  0.084718     29.40    30.18 
JPMorgan Chase Financial 48132FSC1 10/31/19 04/30/25    100.000     0.000     2.5307    110.57   0.077738   0.078722   0.079718                          28.28     9.49 
JPMorgan Chase Financial 48132FSB3 10/31/19 04/30/24    100.000     0.000     2.3812    103.75   0.072712                                                 8.65          
JPMorgan Chase Financial 48132CZR7 07/19/19 07/21/26    100.000     0.000     2.9402    138.71   0.091803   0.093153   0.094522   0.095912  0.097322     33.73    34.73 
JPMorgan Chase Financial 48130UJ97 10/25/18 10/27/25    100.000     0.000     4.1113    234.90   0.140007   0.142885   0.145823   0.148820               51.29    43.70 
JPMorgan Chase Financial 48132FSA5 10/31/19 10/30/26    100.000     0.000     2.7505    120.66   0.085225   0.086397   0.087585   0.088789  0.090011     31.04    31.90 
JPMorgan Chase Financial 48132KAB1 03/31/20 06/28/24    100.000     0.000     1.8698     72.35   0.055688                                                 9.86          
JPMorgan Chase Financial 48132KAE5 03/31/20 03/31/27    100.000     0.000     2.2306     86.82   0.066962   0.067709   0.068464   0.069228  0.070000     24.38    24.92 
JPMorgan Chase Financial 48132KAD7 03/31/20 03/31/26    100.000     0.000     2.0908     81.20   0.062464   0.063117   0.063777   0.064444  0.065118     22.72    23.20 
JPMorgan Chase Financial 48132KAF2 03/31/20 12/31/24    100.000     0.000     1.9300     74.76   0.057616   0.058172                                     20.78          
JPMorgan Chase Financial 48132HHV7 12/31/19 12/31/26    100.000     0.000     2.6398    110.68   0.081439   0.082514   0.083603   0.084706  0.085824     29.51    30.30 
JPMorgan Chase Financial 48130WQD6 02/05/19 01/31/24    100.000     0.000     3.4409    182.21   0.111390                                                 3.23          
JPMorgan Chase Financial 48130WQE4 02/05/19 01/31/24    100.000     0.000     3.4409    182.21   0.111390                                                 3.23          
JPMorgan Chase Financial 48132KAV7 03/31/20 03/31/26    100.000     0.000     2.0908     81.20   0.062464   0.063117   0.063777   0.064444  0.065118     22.72    23.20 
JPMorgan Chase Financial 48130WPZ8 02/05/19 01/31/24    100.000     0.000     3.4409    182.21   0.111390                                                 3.23          
JPMorgan Chase Financial 48129M7C4 07/31/18 07/31/25    100.000     0.000     3.8909    232.28   0.131045   0.133594   0.136193   0.138843               48.41    28.94 
JPMorgan Chase Financial 48130WQA2 02/05/19 01/31/24    100.000     0.000     3.4409    182.21   0.111390                                                 3.23          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48130WQB0 02/05/19 01/31/24    100.000     0.000     3.4409    182.21   0.111390                                                 3.23          
JPMorgan Chase Financial 48130WQC8 02/05/19 01/31/24    100.000     0.000     3.4409    182.21   0.111390                                                 3.23          
JPMorgan Chase Financial 48130WR78 04/30/19 04/30/26    100.000     0.000     3.2709    163.61   0.105141   0.106861   0.108609   0.110385  0.112190     38.37    39.64 
JPMorgan Chase Financial 48130WR86 04/30/19 04/30/26    100.000     0.000     3.2709    163.61   0.105141   0.106861   0.108609   0.110385  0.112190     38.37    39.64 
JPMorgan Chase Financial 48132F2T2 10/31/19 11/02/26    100.000     0.000     2.6406    115.61   0.081477   0.082553   0.083643   0.084747  0.085866     29.65    30.44 
JPMorgan Chase Financial 48132FTZ9 11/05/19 10/31/24    100.000     0.000     2.4507    106.54   0.075018   0.075937                                     22.60          
JPMorgan Chase Financial 48132CL43 09/05/19 08/30/24    100.000     0.000     2.1403     96.40   0.064718   0.065406                                     15.59          
JPMorgan Chase Financial 48132CL35 09/05/19 08/30/24    100.000     0.000     2.1403     96.40   0.064718   0.065406                                     15.59          
JPMorgan Chase Financial 48132KBW4 04/03/20 03/31/25    100.000     0.000     1.9606     75.80   0.058300   0.058871   0.059449                          21.20     5.29 
JPMorgan Chase Financial 48132KBX2 04/03/20 03/31/25    100.000     0.000     1.9606     75.80   0.058300   0.058871   0.059449                          21.20     5.29 
JPMorgan Chase Financial 48132FUA2 11/05/19 10/31/24    100.000     0.000     2.4507    106.54   0.075018   0.075937                                     22.60          
JPMorgan Chase Financial 48132CL92 08/30/19 02/29/24    100.000     0.000     2.5405    115.70   0.078063                                                 4.53          
JPMorgan Chase Financial 48132K2C8 05/29/20 08/29/25    100.000     0.000     2.8498    106.94   0.086789   0.088025   0.089280   0.090545               31.77    21.48 
JPMorgan Chase Financial 48132FUW4 10/31/19 05/03/27    100.000     0.000     2.6405    115.60   0.081481   0.082556   0.083646   0.084751  0.085870     29.65    30.44 
JPMorgan Chase Financial 48132CM26 08/30/19 02/28/25    100.000     0.000     2.6709    121.95   0.082485   0.083587   0.084703                          30.17     4.83 
JPMorgan Chase Financial 48132CM34 08/30/19 08/31/26    100.000     0.000     2.8904    132.53   0.090056   0.091350   0.092678   0.094002  0.095376     32.97    33.93 
JPMorgan Chase Financial 48130WS28 04/30/19 04/30/24    100.000     0.000     3.1311    156.16   0.100027                                                11.90          
JPMorgan Chase Financial 48130WS44 04/30/19 04/30/26    100.000     0.000     3.4011    170.59   0.109958   0.111828   0.113730   0.115664  0.117631     40.15    41.53 
JPMorgan Chase Financial 48132K2A2 05/29/20 05/28/27    100.000     0.000     3.0405    114.40   0.093860   0.095287   0.096735   0.098206  0.099699     34.14    35.19 
JPMorgan Chase Financial 48132KCB9 03/31/20 03/31/25    100.000     0.000     1.9604     75.97   0.058305   0.058876   0.059453                          21.20     5.29 
JPMorgan Chase Financial 48132C3R2 08/05/19 07/31/24    100.000     0.000     2.5905    120.09   0.079735   0.080768                                     16.85          
JPMorgan Chase Financial 48132C3S0 08/05/19 07/31/24    100.000     0.000     2.5905    120.09   0.079735   0.080768                                     16.85          
JPMorgan Chase Financial 48132H2M3 02/28/20 05/30/25    100.000     0.000     2.3804     95.20   0.072270   0.073130   0.074000                          26.23    11.03 
JPMorgan Chase Financial 48132H2N1 02/28/20 02/27/26    100.000     0.000     2.5004    100.18   0.075760   0.076707   0.077666   0.078637  0.079621     27.68    28.38 
JPMorgan Chase Financial 48132H2Q4 02/28/20 02/26/27    100.000     0.000     2.6405    106.05   0.080388   0.081449   0.082525   0.083614  0.084718     29.40    30.18 
JPMorgan Chase Financial 48133F7C3 06/03/22 06/05/25    100.000     0.000     3.4100     54.82   0.099669   0.101369   0.103097                          36.28    15.88 
JPMorgan Chase Financial 48132MSE2 07/31/20 08/02/27    100.000     0.000     3.0406    108.72   0.092481   0.093887   0.095314   0.096763  0.098234     33.97    35.01 
JPMorgan Chase Financial 48132HCE0 12/26/19 12/31/26    100.000     0.000     2.6396    111.00   0.081454   0.082529   0.083618   0.084721  0.085839     29.52    30.30 
JPMorgan Chase Financial 48133FYV1 06/03/22 06/04/26    100.000     0.000     3.5700     57.44   0.104583   0.106449   0.108350   0.110284  0.112252     38.09    39.46 
JPMorgan Chase Financial 48132H3B6 03/04/20 02/28/25    100.000     0.000     1.9604     77.49   0.058284   0.058855   0.059432                          21.23     3.39 
JPMorgan Chase Financial 48132H3A8 03/04/20 02/28/25    100.000     0.000     1.9604     77.49   0.058284   0.058855   0.059432                          21.23     3.39 
JPMorgan Chase Financial 48133F7H2 05/31/22 05/30/25    100.000     0.000     3.4100     55.12   0.099650   0.101349   0.103077                          36.29    15.36 
JPMorgan Chase Financial 48133GKN2 06/07/22 06/05/25    100.000     0.000     3.4100     54.42   0.099632   0.101331   0.103058                          36.26    15.87 
JPMorgan Chase Financial 48132MSH5 08/05/20 11/05/24    100.000     0.000     2.7803     98.65   0.084485   0.085659                                     25.89          
JPMorgan Chase Financial 48132MSJ1 07/31/20 08/02/27    100.000     0.000     3.0406    108.72   0.092481   0.093887   0.095314   0.096763  0.098234     33.97    35.01 
JPMorgan Chase Financial 48132H2Z4 03/04/20 02/28/25    100.000     0.000     1.9626     77.58   0.058354   0.058926   0.059505                          21.25     3.39 
JPMorgan Chase Financial 48132CFC2 06/05/19 05/31/24    100.000     0.000     2.8505    138.17   0.089899                                                13.39          
JPMorgan Chase Financial 48132CFG3 05/31/19 05/29/26    100.000     0.000     3.4005    167.26   0.109925   0.111795   0.113695   0.115628  0.117594     40.03    41.40 
JPMorgan Chase Financial 48132CFE8 05/31/19 05/31/24    100.000     0.000     3.1310    153.15   0.100021                                                14.90          
JPMorgan Chase Financial 48132HDH2 12/26/19 12/31/25    100.000     0.000     2.4900    104.43   0.076386   0.077337   0.078300   0.079274               27.67    28.28 
JPMorgan Chase Financial 48132HDG4 12/26/19 12/31/26    100.000     0.000     2.6396    111.00   0.081454   0.082529   0.083618   0.084721  0.085839     29.52    30.30 
JPMorgan Chase Financial 48132HDJ8 12/26/19 09/30/24    100.000     0.000     2.2798     95.30   0.068967   0.069753                                     18.69          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48132H3J9 02/28/20 02/28/25    100.000     0.000     1.9606     77.84   0.058310   0.058882   0.059459                          21.24     3.39 
JPMorgan Chase Financial 48132MCQ2 06/30/20 06/30/27    100.000     0.000     3.0400    111.47   0.093850   0.095277   0.096725   0.098195  0.099688     34.05    35.09 
JPMorgan Chase Financial 48133FZW8 05/25/22 05/24/29    100.000     0.000     3.8000     62.11   0.111676   0.113798   0.115960   0.118163  0.120408     40.74    42.31 
JPMorgan Chase Financial 48132MCS8 06/30/20 06/30/25    100.000     0.000     2.8198    103.05   0.086393   0.087611   0.088846                          31.32    15.90 
JPMorgan Chase Financial 48132MCU3 06/30/20 06/30/25    100.000     0.000     2.8198    103.05   0.086393   0.087611   0.088846                          31.32    15.90 
JPMorgan Chase Financial 48132M2E0 09/03/20 12/05/24    100.000     0.000     2.7805     96.28   0.084503   0.085678                                     28.44          
JPMorgan Chase Financial 48132M2H3 08/31/20 08/31/27    100.000     0.000     3.0406    105.94   0.092465   0.093863   0.095298   0.096730  0.098217     33.88    34.92 
JPMorgan Chase Financial 48130UWQ4 06/29/21 06/29/28    100.000     0.000     1.0202     25.82   0.029069   0.029217   0.029366   0.029516  0.029666     10.49    10.60 
JPMorgan Chase Financial 48132M2F7 09/03/20 03/05/25    100.000     0.000     2.7911     96.65   0.084267   0.085443   0.086635                          30.82     5.54 
JPMorgan Chase Financial 48132MCL3 06/30/20 06/30/27    100.000     0.000     3.0400    111.47   0.093850   0.095277   0.096725   0.098195  0.099688     34.05    35.09 
JPMorgan Chase Financial 48132FQ41 11/29/19 11/29/24    100.000     0.000     2.1904     93.18   0.066385   0.067112                                     21.91          
JPMorgan Chase Financial 48133DD72 03/29/22 03/28/24    100.000     0.000     3.0930     55.39   0.089957                                                 7.83          
JPMorgan Chase Financial 48132H4K5 02/28/20 05/30/25    100.000     0.000     2.3804     95.20   0.072270   0.073130   0.074000                          26.23    11.03 
JPMorgan Chase Financial 48133DUS7 04/05/22 04/06/26    100.000     0.000     2.4607     43.47   0.070913   0.071786   0.072669   0.073563  0.074468     25.84    26.47 
JPMorgan Chase Financial 48129MKK1 04/30/18 04/30/25    100.000     0.000     3.9714    249.81   0.136953   0.139672   0.142446                          50.13    16.95 
JPMorgan Chase Financial 48132FPX8 10/31/19 10/30/26    100.000     0.000     2.7505    120.66   0.085225   0.086397   0.087585   0.088789  0.090011     31.04    31.90 
JPMorgan Chase Financial 48132CGN7 05/16/19 05/18/26    100.000     0.000     3.4010    168.83   0.109975   0.111845   0.113747   0.115681  0.117648     40.09    41.46 
JPMorgan Chase Financial 48132CGQ0 05/31/19 05/29/26    100.000     0.000     3.4005    167.26   0.109925   0.111795   0.113695   0.115628  0.117594     40.03    41.40 
JPMorgan Chase Financial 48129MKH8 04/30/18 04/30/25    100.000     0.000     3.9714    249.81   0.136953   0.139672   0.142446                          50.13    16.95 
JPMorgan Chase Financial 48129MKJ4 04/30/18 04/30/25    100.000     0.000     3.9714    249.81   0.136953   0.139672   0.142446                          50.13    16.95 
JPMorgan Chase Financial 48132CGP2 05/31/19 05/29/26    100.000     0.000     3.4005    167.26   0.109925   0.111795   0.113695   0.115628  0.117594     40.03    41.40 
JPMorgan Chase Financial 48132FR24 11/21/19 11/23/26    100.000     0.000     2.6402    113.88   0.081465   0.082540   0.083630   0.084734  0.085852     29.60    30.39 
JPMorgan Chase Financial 48130WNF4 02/05/19 01/31/24    100.000     0.000     3.4409    182.21   0.111390                                                 3.23          
JPMorgan Chase Financial 48132FQG4 10/31/19 10/31/24    100.000     0.000     2.4504    106.90   0.075031   0.075950                                     22.60          
JPMorgan Chase Financial 48130WNG2 01/31/19 01/30/26    100.000     0.000     3.7407    200.03   0.122766   0.125062   0.127401   0.129784  0.132212     45.31    47.02 
JPMorgan Chase Financial 48130WNH0 01/31/19 01/30/26    100.000     0.000     3.7407    200.03   0.122766   0.125062   0.127401   0.129784  0.132212     45.31    47.02 
JPMorgan Chase Financial 48132CYB3 07/31/19 07/31/24    100.000     0.000     2.5104    116.57   0.077050   0.078017                                     16.28          
JPMorgan Chase Financial 48132FQL3 11/05/19 10/31/24    100.000     0.000     2.3206    100.64   0.070670   0.071490                                     21.28          
JPMorgan Chase Financial 48132CYC1 07/31/19 01/31/24    100.000     0.000     2.4204    112.19   0.074024                                                 2.15          
JPMorgan Chase Financial 48130UHE8 09/28/18 09/30/25    100.000     0.000     4.1116    238.70   0.140016   0.142895   0.145832   0.148830               51.45    39.77 
JPMorgan Chase Financial 48130UHF5 09/28/18 09/30/25    100.000     0.000     4.1116    238.70   0.140016   0.142895   0.145832   0.148830               51.45    39.77 
JPMorgan Chase Financial 48130UHG3 09/28/18 09/30/25    100.000     0.000     4.1116    238.70   0.140016   0.142895   0.145832   0.148830               51.45    39.77 
JPMorgan Chase Financial 48132CYE7 07/31/19 07/31/26    100.000     0.000     2.8103    131.28   0.087284   0.088510   0.089754   0.091015  0.092294     32.02    32.92 
JPMorgan Chase Financial 48130W5N7 04/03/19 03/28/24    100.000     0.000     3.0015    151.86   0.095297                                                 8.29          
JPMorgan Chase Financial 48133F2H7 06/03/22 06/05/25    100.000     0.000     3.4100     54.82   0.099669   0.101369   0.103097                          36.28    15.88 
JPMorgan Chase Financial 48130W5P2 04/03/19 03/28/24    100.000     0.000     3.0015    151.86   0.095297                                                 8.29          
JPMorgan Chase Financial 48133F2K0 06/03/22 06/03/27    100.000     0.000     3.6700     59.08   0.107660   0.109636   0.111647   0.113696  0.115783     39.22    40.68 
JPMorgan Chase Financial 48130W5S6 04/03/19 03/28/24    100.000     0.000     3.0015    151.86   0.095297                                                 8.29          
JPMorgan Chase Financial 48133F2L8 05/31/22 05/30/25    100.000     0.000     3.4100     55.12   0.099650   0.101349   0.103077                          36.29    15.36 
JPMorgan Chase Financial 48133F2C8 05/25/22 05/25/27    100.000     0.000     3.6700     59.94   0.107660   0.109636   0.111647   0.113696  0.115783     39.26    40.71 
JPMorgan Chase Financial 46647MMB6 07/11/17 07/11/24    103.000     0.250     3.1279    227.56   0.106389   0.107945                                     20.49          
JPMorgan Chase Financial 48132HPG1 01/31/20 01/29/27    100.000     0.000     2.6405    108.30   0.080395   0.081456   0.082532   0.083621  0.084725     29.46    30.24 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48130W6A4 04/03/19 03/28/24    100.000     0.000     3.0015    151.86   0.095297                                                 8.29          
JPMorgan Chase Financial 48132FJE7 10/03/19 09/30/24    100.000     0.000     2.4507    108.94   0.075027   0.075946                                     20.35          
JPMorgan Chase Financial 48130WXF3 02/28/19 02/27/26    100.000     0.000     3.5711    186.98   0.116313   0.118390   0.120504   0.122655  0.124846     42.77    44.31 
JPMorgan Chase Financial 48130W6C0 04/03/19 03/28/24    100.000     0.000     3.0015    151.86   0.095297                                                 8.29          
JPMorgan Chase Financial 48132FJD9 10/03/19 09/30/24    100.000     0.000     2.4507    108.94   0.075027   0.075946                                     20.35          
JPMorgan Chase Financial 48133F2M6 05/31/22 05/28/27    100.000     0.000     3.6700     59.41   0.107639   0.109614   0.111625   0.113673  0.115759     39.24    40.69 
JPMorgan Chase Financial 48132CR39 08/30/19 08/31/26    100.000     0.000     2.8904    132.53   0.090056   0.091350   0.092678   0.094002  0.095376     32.97    33.93 
JPMorgan Chase Financial 48130W5W7 04/03/19 03/28/24    100.000     0.000     3.0015    151.86   0.095297                                                 8.29          
JPMorgan Chase Financial 48132CR47 08/30/19 08/31/26    100.000     0.000     2.8904    132.53   0.090056   0.091350   0.092678   0.094002  0.095376     32.97    33.93 
JPMorgan Chase Financial 48132HPE6 01/31/20 10/31/24    100.000     0.000     1.6800     67.79   0.049689   0.050107                                     14.93          
JPMorgan Chase Financial 48130WXR7 03/05/19 02/29/24    100.000     0.000     3.2313    167.20   0.103631                                                 6.01          
JPMorgan Chase Financial 48130WXS5 03/05/19 02/29/24    100.000     0.000     3.2313    167.20   0.103631                                                 6.01          
JPMorgan Chase Financial 48130WXU0 03/05/19 02/29/24    100.000     0.000     3.3109    171.62   0.106559                                                 6.18          
JPMorgan Chase Financial 48130WXV8 03/05/19 02/29/24    100.000     0.000     3.3109    171.62   0.106559                                                 6.18          
JPMorgan Chase Financial 48130UAD7 08/31/18 08/29/25    100.000     0.000     4.0210    236.74   0.136282   0.139022   0.141817   0.144652               50.23    34.27 
JPMorgan Chase Financial 48130UAE5 08/31/18 08/29/25    100.000     0.000     4.0210    236.74   0.136282   0.139022   0.141817   0.144652               50.23    34.27 
JPMorgan Chase Financial 48130UAG0 08/31/18 08/29/25    100.000     0.000     4.0210    236.74   0.136282   0.139022   0.141817   0.144652               50.23    34.27 
JPMorgan Chase Financial 48130WXP1 03/05/19 02/29/24    100.000     0.000     3.2313    167.20   0.103631                                                 6.01          
JPMorgan Chase Financial 48129MQS8 05/31/18 05/30/25    100.000     0.000     3.9611    245.00   0.136522   0.139226   0.141984                          49.80    21.16 
JPMorgan Chase Financial 48130WXQ9 03/05/19 02/29/24    100.000     0.000     3.2313    167.20   0.103631                                                 6.01          
JPMorgan Chase Financial 48133FDZ5 05/04/22 05/04/27    100.000     0.000     3.6712     62.22   0.107698   0.109675   0.111688   0.113738  0.115826     39.35    40.81 
JPMorgan Chase Financial 48132T2K1 05/10/21 05/08/31    100.000     0.000     2.1502     58.14   0.063001   0.063679   0.064363   0.065055  0.065755     22.87    23.37 
JPMorgan Chase Financial 48130WYG0 02/28/19 02/27/26    100.000     0.000     3.7408    196.60   0.122759   0.125055   0.127394   0.129777  0.132204     45.18    46.89 
JPMorgan Chase Financial 48130WYH8 02/28/19 02/27/26    100.000     0.000     3.7408    196.60   0.122759   0.125055   0.127394   0.129777  0.132204     45.18    46.89 
JPMorgan Chase Financial 48130WYK1 02/19/19 02/19/26    100.000     0.000     3.6910    194.85   0.120869   0.123100   0.125372   0.127685  0.130042     44.51    46.17 
JPMorgan Chase Financial 48130WXZ9 03/05/19 02/29/24    100.000     0.000     3.3109    171.62   0.106559                                                 6.18          
JPMorgan Chase Financial 48132CRS4 07/03/19 06/28/24    100.000     0.000     2.3702    111.72   0.073181                                                12.95          
JPMorgan Chase Financial 48132CRT2 07/03/19 06/28/24    100.000     0.000     2.3702    111.72   0.073181                                                12.95          
JPMorgan Chase Financial 48133FEL5 04/29/22 05/01/25    100.000     0.000     3.4121     58.24   0.099734   0.101436   0.103166                          36.42    12.38 
JPMorgan Chase Financial 48133FEN1 04/29/22 05/01/25    100.000     0.000     3.4121     58.24   0.099734   0.101436   0.103166                          36.42    12.38 
JPMorgan Chase Financial 48133FEM3 04/29/22 05/01/25    100.000     0.000     3.4121     58.24   0.099734   0.101436   0.103166                          36.42    12.38 
JPMorgan Chase Financial 48132FKU9 09/30/19 09/30/26    100.000     0.000     2.4202    107.75   0.074020   0.074916   0.075822   0.076740  0.077668     26.97    27.63 
JPMorgan Chase Financial 48133FEP6 04/29/22 04/29/27    100.000     0.000     3.6716     62.77   0.107708   0.109686   0.111699   0.113750  0.115838     39.38    40.84 
JPMorgan Chase Financial 48132CT37 08/21/19 08/20/26    100.000     0.000     2.8906    133.35   0.090056   0.091357   0.092678   0.094017  0.095376     33.00    33.96 
JPMorgan Chase Financial 48130WZJ3 02/21/19 02/21/24    100.000     0.000     3.4413    180.45   0.111457                                                 5.57          
JPMorgan Chase Financial 48129MPK6 05/31/18 05/30/25    100.000     0.000     3.9611    245.00   0.136522   0.139226   0.141984                          49.80    21.16 
JPMorgan Chase Financial 48133FVU6 05/03/22 04/03/24    100.000     0.000     3.0925     52.35   0.089720                                                 8.25          
JPMorgan Chase Financial 48130UTP0 02/28/20 02/26/27    100.000     0.000     2.6405    106.05   0.080388   0.081449   0.082525   0.083614  0.084718     29.40    30.18 
JPMorgan Chase Financial 48130WZZ7 02/25/19 02/25/26    100.000     0.000     3.6909    194.12   0.120865   0.123095   0.125367   0.127680  0.130037     44.48    46.14 
JPMorgan Chase Financial 48130UD44 10/19/18 10/21/25    100.000     0.000     4.1114    235.75   0.140012   0.142890   0.145828   0.148825               51.33    42.83 
JPMorgan Chase Financial 48130U2R5 10/31/18 10/31/25    100.000     0.000     4.1115    234.21   0.139982   0.142859   0.145796   0.148793               51.27    44.13 
JPMorgan Chase Financial 48132HBB7 01/02/20 12/27/24    100.000     0.000     2.3399     97.45   0.071313   0.072147                                     25.54          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48132HBA9 01/02/20 12/27/24    100.000     0.000     2.3200     96.59   0.070652   0.071471                                     25.30          
JPMorgan Chase Financial 48132HB92 01/31/20 10/31/24    100.000     0.000     2.3102     94.24   0.069947   0.070755                                     21.06          
JPMorgan Chase Financial 48132HC34 01/31/20 01/29/27    100.000     0.000     2.6405    108.30   0.080395   0.081456   0.082532   0.083621  0.084725     29.46    30.24 
JPMorgan Chase Financial 48132HC26 01/31/20 01/30/26    100.000     0.000     2.5004    102.31   0.075766   0.076713   0.077672   0.078643  0.079626     27.73    28.43 
JPMorgan Chase Financial 48132HBF8 12/26/19 12/27/24    100.000     0.000     2.3400     97.88   0.071344   0.072179                                     25.55          
JPMorgan Chase Financial 48132CCY7 05/01/19 05/01/24    100.000     0.000     3.1313    156.07   0.100034                                                12.00          
JPMorgan Chase Financial 48133UHN5 02/28/23 05/29/24    100.000     0.000     5.4700     46.62   0.158259                                                23.42          
JPMorgan Chase Financial 48133T7E9 02/28/23 02/26/26    100.000     0.000     5.6400     48.02   0.161036   0.165577   0.170246   0.175047  0.179983     59.94    63.37 
JPMorgan Chase Financial 48133T7D1 02/28/23 02/26/26    100.000     0.000     5.6400     48.02   0.161036   0.165577   0.170246   0.175047  0.179983     59.94    63.37 
JPMorgan Chase Financial 48133T7C3 02/28/23 02/26/26    100.000     0.000     5.6400     48.02   0.161036   0.165577   0.170246   0.175047  0.179983     59.94    63.37 
JPMorgan Chase Financial 48133UKH4 03/01/23 03/28/24    100.000     0.000     5.2700     44.43   0.150840                                                13.12          
JPMorgan Chase Financial 48133UMQ2 04/05/23 04/03/25    100.000     0.000     5.9600     44.47   0.170434   0.175513   0.180744                          63.18    16.63 
JPMorgan Chase Financial 48133UMP4 04/04/23 04/02/26    100.000     0.000     5.8200     43.58   0.166319   0.171159   0.176139   0.181265  0.186540     61.62    65.26 
JPMorgan Chase Financial 48133UMS8 04/05/23 04/06/26    100.000     0.000     5.8200     43.41   0.166397   0.171239   0.176223   0.181351  0.186628     61.61    65.25 
JPMorgan Chase Financial 48133UMF6 04/05/23 04/05/27    100.000     0.000     5.6600     42.20   0.161672   0.166247   0.170952   0.175790  0.180764     59.82    63.26 
JPMorgan Chase Financial 48133TK46 02/28/23 02/26/26    100.000     0.000     5.6400     48.02   0.161036   0.165577   0.170246   0.175047  0.179983     59.94    63.37 
JPMorgan Chase Financial 48133VRH5 04/11/23 10/09/25    100.000     0.000     5.8500     42.64   0.167200   0.172091   0.177125   0.182305               61.89    50.17 
JPMorgan Chase Financial 48133VKG4 04/04/23 04/02/26    100.000     0.000     5.8200     43.58   0.166319   0.171159   0.176139   0.181265  0.186540     61.62    65.26 
JPMorgan Chase Financial 48133TW68 03/02/23 03/02/28    100.000     0.000     5.6900     47.79   0.162552   0.167177   0.171933   0.176825  0.181855     60.47    63.96 
JPMorgan Chase Financial 48133VLP3 04/06/23 04/11/24    100.000     0.000     5.2300     38.83   0.149185                                                14.92          
JPMorgan Chase Financial 48133VMA5 04/05/23 04/05/27    100.000     0.000     5.7600     42.96   0.164608   0.169349   0.174226   0.179244  0.184406     60.94    64.50 
JPMorgan Chase Financial 48133VLU2 04/12/23 10/10/24    100.000     0.000     6.1000     44.30   0.174555   0.179879                                     49.66          
JPMorgan Chase Financial 48133UJ60 02/28/23 02/27/25    100.000     0.000     5.7200     48.70   0.163408   0.168081   0.172888                          60.84     9.68 
JPMorgan Chase Financial 48133UTC6 03/31/23 01/03/25    100.000     0.000     6.0300     45.86   0.170109   0.175238   0.180521                          64.02     0.36 
JPMorgan Chase Financial 48133UT69 04/04/23 04/03/25    100.000     0.000     5.9600     44.64   0.170462   0.175541   0.180773                          63.19    16.63 
JPMorgan Chase Financial 48133UT51 04/05/23 10/03/24    100.000     0.000     6.1000     45.52   0.174555   0.179879                                     48.44          
JPMorgan Chase Financial 48133UT85 04/05/23 04/03/25    100.000     0.000     5.9600     44.47   0.170434   0.175513   0.180744                          63.18    16.63 
JPMorgan Chase Financial 48133UT77 04/04/23 04/03/25    100.000     0.000     5.9600     44.64   0.170462   0.175541   0.180773                          63.19    16.63 
JPMorgan Chase Financial 48133UT93 04/05/23 04/03/25    100.000     0.000     5.9600     44.47   0.170434   0.175513   0.180744                          63.18    16.63 
JPMorgan Chase Financial 48133TQ65 02/28/23 03/01/24    100.000     0.000     5.1700     43.97   0.147385                                                 8.84          
JPMorgan Chase Financial 48133UTD4 03/31/23 04/02/26    100.000     0.000     5.8200     44.24   0.166425   0.171268   0.176252   0.181381  0.186659     61.66    65.30 
JPMorgan Chase Financial 48133VHA1 04/05/23 07/05/24    100.000     0.000     5.7500     42.89   0.162018   0.166676                                     30.65          
JPMorgan Chase Financial 48133UUY6 04/04/23 04/02/26    100.000     0.000     5.9600     44.64   0.170434   0.175513   0.180744   0.186130  0.191676     63.19    67.01 
JPMorgan Chase Financial 48133UW81 03/31/23 04/01/27    100.000     0.000     5.7600     43.78   0.164634   0.169375   0.174253   0.179272  0.184435     60.99    64.55 
JPMorgan Chase Financial 48133VHK9 03/30/23 04/02/24    100.000     0.000     5.2300     39.72   0.149120                                                13.57          
JPMorgan Chase Financial 48133TT96 02/28/23 02/26/26    100.000     0.000     5.6400     48.02   0.161036   0.165577   0.170246   0.175047  0.179983     59.94    63.37 
JPMorgan Chase Financial 48133TU45 02/28/23 02/27/25    100.000     0.000     5.7200     48.70   0.163408   0.168081   0.172888                          60.84     9.68 
JPMorgan Chase Financial 48133UP48 04/05/23 04/03/25    100.000     0.000     5.9600     44.47   0.170434   0.175513   0.180744                          63.18    16.63 
JPMorgan Chase Financial 48133VSH4 04/12/23 01/09/25    100.000     0.000     6.1200     44.46   0.172514   0.177793   0.183234                          64.90     1.47 
JPMorgan Chase Financial 48133UPA4 04/05/23 04/12/24    100.000     0.000     5.2300     38.98   0.149228                                                15.07          
JPMorgan Chase Financial 48133UPC0 04/05/23 01/07/25    100.000     0.000     6.0300     45.00   0.170081   0.175209   0.180492                          63.96     1.08 
JPMorgan Chase Financial 48133UPB2 04/05/23 04/12/24    100.000     0.000     5.2300     38.98   0.149228                                                15.07          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48133UPT3 03/31/23 04/02/26    100.000     0.000     5.6400     42.86   0.161135   0.165679   0.170351   0.175155  0.180095     59.65    63.06 
JPMorgan Chase Financial 48133TN76 02/28/23 11/29/24    100.000     0.000     5.7500     49.04   0.166702   0.171495                                     55.54          
JPMorgan Chase Financial 48133UPX4 04/04/23 04/04/28    100.000     0.000     5.8000     43.42   0.165783   0.170591   0.175538   0.180629  0.185867     61.40    65.01 
JPMorgan Chase Financial 48133UPZ9 03/31/23 04/02/26    100.000     0.000     5.8200     44.24   0.166425   0.171268   0.176252   0.181381  0.186659     61.66    65.30 
JPMorgan Chase Financial 48133TN84 02/28/23 02/26/26    100.000     0.000     5.6400     48.02   0.161036   0.165577   0.170246   0.175047  0.179983     59.94    63.37 
JPMorgan Chase Financial 48133UQA3 03/31/23 03/31/28    100.000     0.000     5.7200     43.47   0.163433   0.168107   0.172915   0.177861  0.182947     60.54    64.05 
JPMorgan Chase Financial 48133UQV7 04/05/23 04/12/24    100.000     0.000     5.3000     39.51   0.151279                                                15.28          
JPMorgan Chase Financial 48133UQY1 04/05/23 04/06/26    100.000     0.000     5.5200     41.15   0.157589   0.161938   0.166408   0.171001  0.175720     58.26    61.53 
JPMorgan Chase Financial 48133UQX3 04/05/23 10/05/26    100.000     0.000     5.8700     43.78   0.167841   0.172767   0.177838   0.183058  0.188430     62.17    65.87 
JPMorgan Chase Financial 48133UR20 04/05/23 04/06/26    100.000     0.000     5.5200     41.15   0.157589   0.161938   0.166408   0.171001  0.175720     58.26    61.53 
JPMorgan Chase Financial 48133UR46 03/31/23 04/02/26    100.000     0.000     5.5200     41.94   0.157614   0.161964   0.166434   0.171028  0.175748     58.31    61.57 
JPMorgan Chase Financial 48133UQS4 04/05/23 04/06/26    100.000     0.000     5.9000     44.01   0.168750   0.173729   0.178854   0.184130  0.189562     62.51    66.25 
JPMorgan Chase Financial 48133UR38 03/31/23 04/02/26    100.000     0.000     5.5200     41.94   0.157614   0.161964   0.166434   0.171028  0.175748     58.31    61.57 
JPMorgan Chase Financial 48133UQR6 04/05/23 04/03/25    100.000     0.000     6.0500     45.15   0.173083   0.178319   0.183713                          64.19    16.90 
JPMorgan Chase Financial 48133UR61 03/31/23 04/02/26    100.000     0.000     5.5200     41.94   0.157614   0.161964   0.166434   0.171028  0.175748     58.31    61.57 
JPMorgan Chase Financial 48133UQT2 04/05/23 10/03/24    100.000     0.000     6.1900     46.20   0.177207   0.182692                                     49.19          
JPMorgan Chase Financial 48133TP82 02/28/23 02/28/29    100.000     0.000     5.7200     48.70   0.163433   0.168107   0.172915   0.177861  0.182947     60.84    64.37 
JPMorgan Chase Financial 48133USA1 04/05/23 04/06/26    100.000     0.000     5.8200     43.41   0.166397   0.171239   0.176223   0.181351  0.186628     61.61    65.25 
JPMorgan Chase Financial 48133UT28 04/05/23 04/11/24    100.000     0.000     5.2300     38.98   0.149207                                                14.92          
JPMorgan Chase Financial 48133USC7 04/05/23 04/06/26    100.000     0.000     5.8200     43.41   0.166397   0.171239   0.176223   0.181351  0.186628     61.61    65.25 
JPMorgan Chase Financial 48133T7G4 03/03/23 03/05/25    100.000     0.000     5.7200     47.89   0.163485   0.168161   0.172970                          60.80    11.07 
JPMorgan Chase Financial 48133X2Q8 08/03/23 08/05/27    100.000     0.000     5.3200     21.88   0.147821   0.151754   0.155790   0.159934  0.164188     55.09    58.06 
JPMorgan Chase Financial 48133YWY6 08/31/23 08/31/28    100.000     0.000     5.3000     17.81   0.147222   0.151102   0.155128   0.159194  0.163459     54.66    57.59 
JPMorgan Chase Financial 48133XD52 08/03/23 05/05/25    100.000     0.000     5.7200     23.65   0.161211   0.165822   0.170565                          59.39    21.15 
JPMorgan Chase Financial 48133X2U9 08/03/23 08/05/25    100.000     0.000     5.5800     22.95   0.155048   0.159374   0.163820   0.168391               57.88    35.88 
JPMorgan Chase Financial 48133WR59 10/02/23 09/22/25    100.000     0.000     5.5800     13.79   0.155000   0.159084   0.163523   0.168085               57.38    43.50 
JPMorgan Chase Financial 48133VNQ9 05/03/23 05/01/25    100.000     0.000     5.9600     39.69   0.170434   0.175513   0.180744                          62.89    21.69 
JPMorgan Chase Financial 48133XD94 07/31/23 07/30/26    100.000     0.000     5.4000     22.65   0.150000   0.154050   0.158209   0.162481  0.166868     55.97    59.03 
JPMorgan Chase Financial 48133X2V7 07/31/23 07/30/26    100.000     0.000     5.4000     22.65   0.150000   0.154050   0.158209   0.162481  0.166868     55.97    59.03 
JPMorgan Chase Financial 48133XCK0 06/01/23 06/11/24    100.000     0.000     5.2300     30.63   0.149293                                                23.89          
JPMorgan Chase Financial 48133XTM8 06/20/23 12/18/24    100.000     0.000     5.8500     31.10   0.167200   0.172091                                     58.90          
JPMorgan Chase Financial 48134BNF6 10/13/23 04/15/25    100.000     0.000     5.8500     12.68   0.162553   0.167307   0.172201                          60.11    17.91 
JPMorgan Chase Financial 48133WQM3 05/22/23 05/22/25    100.000     0.000     5.9600     36.45   0.170489   0.175570   0.180802                          62.69    25.49 
JPMorgan Chase Financial 48133WQL5 05/24/23 06/25/24    100.000     0.000     5.3800     32.58   0.154175                                                26.83          
JPMorgan Chase Financial 48133T7A7 03/03/23 03/05/26    100.000     0.000     4.9800     41.63   0.141817   0.145348   0.148967   0.152677  0.156478     52.52    55.17 
JPMorgan Chase Financial 48130CHK4 02/28/24 02/28/39    100.000    VARIES     5.3400                        0.144228   0.154389   0.141556  0.137889     45.54    50.30 
JPMorgan Chase Financial 48133NX78 11/02/22 10/31/24    100.000     0.000     4.8500     57.43   0.141298   0.144725                                     42.86          
JPMorgan Chase Financial 48130CHL2 02/28/24 02/28/34    100.000    VARIES     5.3300                        0.143821   0.154222   0.144167  0.142056     45.45    51.52 
JPMorgan Chase Financial 48133YWU4 08/31/23 09/02/26    100.000     0.000     5.4000     18.16   0.150045   0.154096   0.158257   0.162530  0.166918     55.72    58.77 
JPMorgan Chase Financial 48133YFS8 07/19/23 07/31/24    100.000     0.000     5.3200     23.98   0.148018   0.151955                                     31.64          
JPMorgan Chase Financial 48133PMP5 11/28/22 11/28/25    100.000     0.000     4.9800     55.22   0.145308   0.148926   0.152635   0.156435               53.20    50.60 
JPMorgan Chase Financial 48133PMT7 11/28/22 11/28/25    100.000     0.000     4.9800     55.22   0.145308   0.148926   0.152635   0.156435               53.20    50.60 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48133WA99 05/24/23 05/22/26    100.000     0.000     5.8200     35.26   0.166319   0.171159   0.176139   0.181265  0.186540     61.13    64.74 
JPMorgan Chase Financial 48133VNV8 05/03/23 05/10/24    100.000     0.000     5.2300     34.80   0.149228                                                19.25          
JPMorgan Chase Financial 48133X2Y1 07/07/23 07/09/25    100.000     0.000     5.5800     26.98   0.155048   0.159374   0.163820   0.168391               58.10    31.62 
JPMorgan Chase Financial 48133WR91 10/04/23 04/03/25    100.000     0.000     5.8500     14.14   0.162500   0.167227   0.172118                          60.20    15.83 
JPMorgan Chase Financial 48133X2X3 07/31/23 07/30/26    100.000     0.000     5.4000     22.65   0.150000   0.154050   0.158209   0.162481  0.166868     55.97    59.03 
JPMorgan Chase Financial 48133VNY2 05/03/23 10/31/24    100.000     0.000     6.1000     40.64   0.174526   0.179849                                     53.14          
JPMorgan Chase Financial 48130CHY4 03/21/24 03/21/39    100.000    VARIES     5.3240                        0.146970   0.143944   0.141889  0.139722     40.46    50.69 
JPMorgan Chase Financial 48133THQ1 01/03/23 01/09/24    100.000     0.000     5.4200     54.65   0.154775                                                 1.24          
JPMorgan Chase Financial 48133YXA7 09/06/23 09/09/24    100.000     0.000     5.3200     17.00   0.147843   0.151776                                     37.37          
JPMorgan Chase Financial 48133THU2 01/05/23 01/05/26    100.000     0.000     4.9800     49.85   0.141778   0.145308   0.148926   0.152635  0.156435     52.93    55.60 
JPMorgan Chase Financial 48133YGC2 07/19/23 01/17/25    100.000     0.000     5.8500     26.33   0.162500   0.167200   0.172091                          60.92     2.75 
JPMorgan Chase Financial 48133VNZ9 05/03/23 05/01/26    100.000     0.000     5.7700     38.42   0.164850   0.169606   0.174499   0.179534  0.184713     60.78    64.34 
JPMorgan Chase Financial 48133YXD1 08/31/23 08/31/28    100.000     0.000     5.3000     17.81   0.147222   0.151102   0.155128   0.159194  0.163459     54.66    57.59 
JPMorgan Chase Financial 48133XUA2 06/30/23 07/25/24    100.000     0.000     5.4300     27.39   0.151402   0.155513                                     31.63          
JPMorgan Chase Financial 48133NXD5 10/31/22 10/29/27    100.000     0.000     5.1900     61.83   0.151725   0.155662   0.159701   0.163846  0.168097     55.82    58.76 
JPMorgan Chase Financial 48133WRA8 06/02/23 06/04/27    100.000     0.000     5.7600     33.58   0.164661   0.169403   0.174282   0.179301  0.184465     60.39    63.92 
JPMorgan Chase Financial 48133MDB3 09/21/22 09/21/27    100.000    VARIES     5.1900     53.97   0.147889   0.149333   0.149667   0.149278  0.148278     53.51    53.80 
JPMorgan Chase Financial 48133YGD0 07/27/23 07/29/26    100.000     0.000     5.4000     23.11   0.150045   0.154096   0.158257   0.162530  0.166918     55.99    59.06 
JPMorgan Chase Financial 48133YGX6 08/02/23 07/31/25    100.000     0.000     5.5800     23.10   0.155000   0.159276   0.163720   0.168288               57.89    35.04 
JPMorgan Chase Financial 48133NXY9 10/06/22 10/05/27    100.000     0.000     5.1900     65.47   0.151725   0.155662   0.159701   0.163846  0.168097     56.02    58.96 
JPMorgan Chase Financial 48133XE51 07/31/23 07/31/28    100.000     0.000     5.3000     22.23   0.147222   0.151124   0.155128   0.159239  0.163459     54.90    57.84 
JPMorgan Chase Financial 48133WS33 10/02/23 04/01/25    100.000     0.000     5.8500     14.46   0.162500   0.167227   0.172118                          60.22    15.49 
JPMorgan Chase Financial 48133XV60 07/31/23 07/30/26    100.000     0.000     4.8900     20.51   0.135833   0.139154   0.142557   0.146042  0.149613     50.51    53.01 
JPMorgan Chase Financial 48133XE85 07/31/23 07/30/26    100.000     0.000     5.4000     22.65   0.150000   0.154050   0.158209   0.162481  0.166868     55.97    59.03 
JPMorgan Chase Financial 48133WS66 10/12/23 10/21/25    100.000     0.000     5.5800     12.26   0.155216   0.159547   0.163998   0.168574               57.27    48.38 
JPMorgan Chase Financial 48133WRT7 05/19/23 05/31/24    100.000     0.000     5.2300     32.42   0.149315                                                22.25          
JPMorgan Chase Financial 48133WB64 05/15/23 05/14/25    100.000     0.000     5.9600     37.65   0.170462   0.175541   0.180773                          62.77    24.04 
JPMorgan Chase Financial 48133WS74 10/12/23 04/10/25    100.000     0.000     5.8500     12.84   0.162500   0.167200   0.172091                          60.12    17.04 
JPMorgan Chase Financial 48133PMV2 11/28/22 11/26/27    100.000     0.000     5.1900     57.59   0.151703   0.155640   0.159679   0.163823  0.168074     55.60    58.52 
JPMorgan Chase Financial 48133YH23 08/16/23 08/28/24    100.000     0.000     5.3200     19.98   0.148040   0.151978                                     35.79          
JPMorgan Chase Financial 48133WAJ7 04/28/23 10/29/24    100.000     0.000     6.1000     41.50   0.174641   0.179968                                     53.00          
JPMorgan Chase Financial 48133XV37 08/03/23 08/05/26    100.000     0.000     5.3600     22.04   0.148933   0.152925   0.157023   0.161231  0.165552     55.52    58.53 
JPMorgan Chase Financial 48133XV29 08/03/23 08/05/26    100.000     0.000     5.3600     22.04   0.148933   0.152925   0.157023   0.161231  0.165552     55.52    58.53 
JPMorgan Chase Financial 48133YGR9 07/17/23 07/16/25    100.000     0.000     5.5200     25.15   0.153333   0.157542   0.161890   0.166358               57.37    32.37 
JPMorgan Chase Financial 48133XE44 08/03/23 08/05/26    100.000     0.000     5.4000     22.21   0.150045   0.154096   0.158257   0.162530  0.166918     55.94    59.01 
JPMorgan Chase Financial 48133XV52 07/31/23 07/30/26    100.000     0.000     5.3600     22.48   0.148889   0.152879   0.156976   0.161183  0.165503     55.54    58.56 
JPMorgan Chase Financial 48133WS25 10/25/23 10/23/26    100.000     0.000     5.4000      9.90   0.150000   0.154005   0.158163   0.162434  0.166819     55.28    58.30 
JPMorgan Chase Financial 48133XV45 07/31/23 07/30/26    100.000     0.000     5.3600     22.48   0.148889   0.152879   0.156976   0.161183  0.165503     55.54    58.56 
JPMorgan Chase Financial 48133VPB0 05/03/23 05/01/26    100.000     0.000     5.7700     38.42   0.164850   0.169606   0.174499   0.179534  0.184713     60.78    64.34 
JPMorgan Chase Financial 4813312T1 01/25/23 02/23/24    100.000     0.000     5.2700     49.87   0.150862                                                 7.84          
JPMorgan Chase Financial 48133VPA2 05/03/23 05/01/25    100.000     0.000     5.9600     39.69   0.170434   0.175513   0.180744                          62.89    21.69 
JPMorgan Chase Financial 48133VPD6 05/03/23 05/01/26    100.000     0.000     5.7700     38.42   0.164850   0.169606   0.174499   0.179534  0.184713     60.78    64.34 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48133VPC8 05/02/23 05/01/25    100.000     0.000     5.9600     39.86   0.170462   0.175541   0.180773                          62.90    21.69 
JPMorgan Chase Financial 48133VPF1 05/03/23 05/01/26    100.000     0.000     5.8200     38.76   0.166319   0.171159   0.176139   0.181265  0.186540     61.34    64.96 
JPMorgan Chase Financial 48133VPE4 05/02/23 05/01/25    100.000     0.000     5.9600     39.86   0.170462   0.175541   0.180773                          62.90    21.69 
JPMorgan Chase Financial 48133DL24 06/28/22 07/15/27    105.000     0.500     5.0100     72.64   0.140111   0.143556   0.147111   0.150778  0.154500     51.18    53.74 
JPMorgan Chase Financial 48133VPG9 04/28/23 04/30/26    100.000     0.000     5.7700     39.24   0.164955   0.169714   0.174610   0.179647  0.184830     60.83    64.39 
JPMorgan Chase Financial 48133WRZ3 05/19/23 11/20/24    100.000     0.000     6.1900     38.39   0.177296   0.182783                                     57.55          
JPMorgan Chase Financial 48134ALX1 08/30/23 09/30/24    100.000     0.000     5.4100     18.25   0.150955   0.155039                                     41.34          
JPMorgan Chase Financial 48133XEW2 07/06/23 04/03/25    100.000     0.000     6.0300     29.53   0.169941   0.175065   0.180343                          63.02    16.59 
JPMorgan Chase Financial 48133XF84 07/06/23 07/03/25    100.000     0.000     5.5800     27.13   0.155000   0.159252   0.163696   0.168263               58.11    30.61 
JPMorgan Chase Financial 48133VPR5 05/03/23 05/09/24    100.000     0.000     5.3000     35.27   0.151257                                                19.36          
JPMorgan Chase Financial 48133XF76 08/03/23 08/05/26    100.000     0.000     5.3600     22.04   0.148933   0.152925   0.157023   0.161231  0.165552     55.52    58.53 
JPMorgan Chase Financial 48133WSW9 05/22/23 11/19/26    100.000     0.000     5.7900     35.41   0.165412   0.170201   0.175128   0.180198  0.185415     60.82    64.39 
JPMorgan Chase Financial 48133WSV1 05/23/23 05/31/24    100.000     0.000     5.2300     31.82   0.149228                                                22.24          
JPMorgan Chase Financial 48133XEZ5 06/30/23 07/02/26    100.000     0.000     5.4000     27.16   0.150045   0.154096   0.158257   0.162530  0.166918     56.22    59.29 
JPMorgan Chase Financial 48133WT99 10/25/23 04/24/25    100.000     0.000     5.8500     10.72   0.162500   0.167227   0.172118                          60.00    19.45 
JPMorgan Chase Financial 48133YZC1 09/06/23 09/05/25    100.000     0.000     5.5800     17.82   0.155000   0.159300   0.163745   0.168313               57.59    40.78 
JPMorgan Chase Financial 48133YZB3 09/06/23 09/05/25    100.000     0.000     5.5800     17.82   0.155000   0.159300   0.163745   0.168313               57.59    40.78 
JPMorgan Chase Financial 48133YZA5 09/06/23 09/03/27    100.000     0.000     5.3200     16.99   0.147778   0.151643   0.155677   0.159818  0.164069     54.83    57.78 
JPMorgan Chase Financial 48133VPJ3 04/28/23 04/30/26    100.000     0.000     5.7700     39.24   0.164955   0.169714   0.174610   0.179647  0.184830     60.83    64.39 
JPMorgan Chase Financial 48133VPK0 05/03/23 05/01/25    100.000     0.000     5.9600     39.69   0.170434   0.175513   0.180744                          62.89    21.69 
JPMorgan Chase Financial 48133WBP2 06/02/23 06/04/26    100.000     0.000     5.8200     33.93   0.166425   0.171268   0.176252   0.181381  0.186659     61.05    64.65 
JPMorgan Chase Financial 48133VPN4 05/02/23 04/30/26    100.000     0.000     5.8200     38.92   0.166319   0.171159   0.176139   0.181265  0.186540     61.35    64.97 
JPMorgan Chase Financial 48133VPM6 04/28/23 04/30/26    100.000     0.000     5.7700     39.24   0.164955   0.169714   0.174610   0.179647  0.184830     60.83    64.39 
JPMorgan Chase Financial 48133XF27 07/31/23 05/01/25    100.000     0.000     5.7200     24.13   0.161186   0.165796   0.170538                          59.42    20.46 
JPMorgan Chase Financial 48133XEU6 07/06/23 07/06/27    100.000     0.000     5.8400     28.39   0.162222   0.166959   0.171834   0.176852  0.182016     60.93    64.55 
JPMorgan Chase Financial 48133WBR8 06/05/23 06/04/26    100.000    VARIES     5.7700     33.38   0.156611   0.156222   0.156667   0.157722  0.159026     56.31    56.58 
JPMorgan Chase Financial 48133VPP9 05/03/23 05/01/25    100.000     0.000     5.9600     39.69   0.170434   0.175513   0.180744                          62.89    21.69 
JPMorgan Chase Financial 48133WC30 06/01/23 12/02/24    100.000     0.000     6.1000     35.73   0.174641   0.179968                                     58.77          
JPMorgan Chase Financial 48133WT40 10/16/23 01/16/25    100.000     0.000     5.5900     11.65   0.155278   0.157448   0.161848                          57.37     2.43 
JPMorgan Chase Financial 48133WC22 05/17/23 05/15/25    100.000     0.000     5.9600     37.31   0.170434   0.175513   0.180744                          62.74    24.22 
JPMorgan Chase Financial 48133WT32 10/18/23 04/17/25    100.000     0.000     5.8500     11.86   0.162500   0.167227   0.172118                          60.06    18.24 
JPMorgan Chase Financial 48133YZM9 08/31/23 09/03/25    100.000     0.000     5.5800     18.76   0.155072   0.159399   0.163846   0.168417               57.64    40.47 
JPMorgan Chase Financial 48133YZL1 09/06/23 09/05/25    100.000     0.000     5.5800     17.82   0.155000   0.159300   0.163745   0.168313               57.59    40.78 
JPMorgan Chase Financial 48133X5H5 08/03/23 08/05/25    100.000     0.000     5.5800     22.95   0.155048   0.159374   0.163820   0.168391               57.88    35.88 
JPMorgan Chase Financial 48133UNB4 03/08/23 04/08/24    100.000     0.000     5.2000     42.80   0.148842                                                14.44          
JPMorgan Chase Financial 48133NZQ4 11/03/22 11/05/25    100.000     0.000     4.9800     58.85   0.145348   0.148967   0.152677   0.156478               53.39    47.10 
JPMorgan Chase Financial 48133X5J1 08/02/23 07/31/25    100.000     0.000     5.5800     23.10   0.155000   0.159276   0.163720   0.168288               57.89    35.04 
JPMorgan Chase Financial 48133YZS6 09/06/23 06/05/25    100.000     0.000     5.7200     18.33   0.161136   0.165744   0.170485                          59.08    26.25 
JPMorgan Chase Financial 48133YZD9 09/06/23 09/03/26    100.000     0.000     5.4000     17.25   0.150000   0.153982   0.158140   0.162410  0.166795     55.68    58.72 
JPMorgan Chase Financial 48133YZG2 08/31/23 06/02/25    100.000     0.000     5.7200     19.29   0.161211   0.165822   0.170565                          59.14    25.76 
JPMorgan Chase Financial 48133UMZ2 03/08/23 06/06/24    100.000     0.000     5.4700     45.04   0.158187                                                24.52          
JPMorgan Chase Financial 48133YZF4 08/31/23 09/02/26    100.000     0.000     5.4000     18.16   0.150045   0.154096   0.158257   0.162530  0.166918     55.72    58.77 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48133YZE7 09/06/23 09/03/26    100.000     0.000     5.4000     17.25   0.150000   0.153982   0.158140   0.162410  0.166795     55.68    58.72 
JPMorgan Chase Financial 48133YZH0 09/06/23 10/03/24    100.000     0.000     5.4100     17.34   0.150888   0.154969                                     41.78          
JPMorgan Chase Financial 48133YZK3 08/31/23 03/05/25    100.000     0.000     5.6100     18.87   0.155955   0.160329   0.164827                          57.96    10.55 
JPMorgan Chase Financial 48133X5D4 08/03/23 08/09/24    100.000     0.000     5.3200     21.89   0.147909   0.151843                                     32.95          
JPMorgan Chase Financial 48133YZJ6 09/06/23 03/05/25    100.000     0.000     5.8500     18.69   0.162500   0.167227   0.172118                          60.47    11.02 
JPMorgan Chase Financial 48133X5W2 07/31/23 07/31/25    100.000     0.000     5.5800     23.41   0.155000   0.159325   0.163770   0.168339               57.90    35.05 
JPMorgan Chase Financial 48133VA83 05/03/23 05/01/25    100.000     0.000     5.9600     39.69   0.170434   0.175513   0.180744                          62.89    21.69 
JPMorgan Chase Financial 48133VQW3 04/28/23 04/30/26    100.000     0.000     5.8200     39.58   0.166425   0.171268   0.176252   0.181381  0.186659     61.38    65.01 
JPMorgan Chase Financial 48133VQY9 04/28/23 04/28/28    100.000     0.000     5.7200     38.90   0.163433   0.168107   0.172915   0.177861  0.182947     60.27    63.77 
JPMorgan Chase Financial 48133XFQ4 07/06/23 07/06/26    100.000     0.000     5.7700     28.05   0.160278   0.164902   0.169659   0.174554  0.179590     60.17    63.70 
JPMorgan Chase Financial 48133TKF1 01/31/23 01/29/26    100.000     0.000     5.6400     52.52   0.161060   0.165602   0.170272   0.175074  0.180011     60.20    63.64 
JPMorgan Chase Financial 48133YZT4 08/31/23 09/02/26    100.000     0.000     5.4000     18.16   0.150045   0.154096   0.158257   0.162530  0.166918     55.72    58.77 
JPMorgan Chase Financial 48133WTQ1 06/05/23 06/04/26    100.000     0.000     5.8200     33.43   0.166345   0.171186   0.176167   0.181294  0.186569     61.02    64.62 
JPMorgan Chase Financial 48133X5Q5 08/03/23 08/05/25    100.000     0.000     5.5800     22.95   0.155048   0.159374   0.163820   0.168391               57.88    35.88 
JPMorgan Chase Financial 48133XFR2 07/06/23 07/06/26    100.000     0.000     5.7700     28.05   0.160278   0.164902   0.169659   0.174554  0.179590     60.17    63.70 
JPMorgan Chase Financial 48133XX43 08/03/23 09/06/24    100.000     0.000     5.4100     22.33   0.151023   0.155108                                     37.74          
JPMorgan Chase Financial 48133X5S1 07/31/23 07/30/26    100.000     0.000     5.4000     22.65   0.150000   0.154050   0.158209   0.162481  0.166868     55.97    59.03 
JPMorgan Chase Financial 48133TKJ3 01/31/23 01/29/26    100.000     0.000     4.9800     46.31   0.141759   0.145288   0.148906   0.152614  0.156414     52.75    55.41 
JPMorgan Chase Financial 48133XFT8 06/30/23 07/02/26    100.000     0.000     4.8900     24.59   0.135870   0.139192   0.142596   0.146082  0.149654     50.72    53.23 
JPMorgan Chase Financial 48133X5R3 08/02/23 07/31/26    100.000     0.000     5.4000     22.35   0.150000   0.154005   0.158163   0.162434  0.166819     55.95    59.01 
JPMorgan Chase Financial 48133XX68 08/03/23 02/05/25    100.000     0.000     5.8500     24.06   0.162553   0.167307   0.172201                          60.78     5.85 
JPMorgan Chase Financial 48133VQR4 05/03/23 05/01/25    100.000     0.000     5.9600     39.69   0.170434   0.175513   0.180744                          62.89    21.69 
JPMorgan Chase Financial 48133XX92 08/03/23 08/05/25    100.000     0.000     5.5800     22.95   0.155048   0.159374   0.163820   0.168391               57.88    35.88 
JPMorgan Chase Financial 48133XFV3 06/30/23 07/02/26    100.000     0.000     4.8900     24.59   0.135870   0.139192   0.142596   0.146082  0.149654     50.72    53.23 
JPMorgan Chase Financial 48133XX84 07/31/23 01/30/25    100.000     0.000     5.6600     23.74   0.157222   0.161672   0.166247                          58.76     4.82 
JPMorgan Chase Financial 48133X5T9 07/31/23 07/30/26    100.000     0.000     5.4000     22.65   0.150000   0.154050   0.158209   0.162481  0.166868     55.97    59.03 
JPMorgan Chase Financial 48134BAD5 11/03/23 11/05/25    100.000     0.000     5.5800      8.99   0.155048   0.159374   0.163820   0.168391               57.09    50.62 
JPMorgan Chase Financial 48133XXL5 06/30/23 07/03/25    100.000     0.000     5.5800     28.07   0.155072   0.159399   0.163846   0.168417               58.17    30.64 
JPMorgan Chase Financial 48133X6H4 08/03/23 08/05/26    100.000     0.000     5.4000     22.21   0.150045   0.154096   0.158257   0.162530  0.166918     55.94    59.01 
JPMorgan Chase Financial 48133YJL9 08/02/23 10/31/24    100.000     0.000     5.5800     23.22   0.157114   0.161498                                     47.77          
JPMorgan Chase Financial 48134BAB9 11/03/23 11/08/24    100.000     0.000     5.3200      8.58   0.147887   0.151821                                     46.11          
JPMorgan Chase Financial 48133XXN1 07/06/23 06/26/25    100.000     0.000     5.5800     27.15   0.159084   0.163523   0.168085                          58.11    29.41 
JPMorgan Chase Financial 48134BAE3 10/31/23 10/31/28    100.000     0.000     5.3000      8.98   0.147222   0.151124   0.155128   0.159239  0.163459     54.18    57.09 
JPMorgan Chase Financial 48133VAE0 03/20/23 03/20/25    100.000     0.000     5.9600     47.02   0.170489   0.175570   0.180802                          63.33    14.28 
JPMorgan Chase Financial 48133TLD5 01/31/23 01/31/29    100.000     0.000     6.0500     56.39   0.173139   0.178377   0.183773   0.189332  0.195059     64.88    68.86 
JPMorgan Chase Financial 48133XY26 07/31/23 07/31/25    100.000     0.000     5.5100     23.11   0.153056   0.157272   0.161605   0.166057               57.15    34.58 
JPMorgan Chase Financial 48133TL78 03/03/23 03/05/25    100.000     0.000     5.7200     47.89   0.163485   0.168161   0.172970                          60.80    11.07 
JPMorgan Chase Financial 48133TL86 03/03/23 03/05/25    100.000     0.000     5.7200     47.89   0.163485   0.168161   0.172970                          60.80    11.07 
JPMorgan Chase Financial 48133X6G6 08/03/23 08/05/26    100.000     0.000     5.4000     22.21   0.150045   0.154096   0.158257   0.162530  0.166918     55.94    59.01 
JPMorgan Chase Financial 48133PHT3 12/05/22 12/05/24    100.000     0.000     4.8500     52.76   0.141335   0.144763                                     47.82          
JPMorgan Chase Financial 48133YSQ8 09/05/23 09/03/26    100.000     0.000     5.4000     17.40   0.150000   0.154005   0.158163   0.162434  0.166819     55.68    58.73 
JPMorgan Chase Financial 48133XPN0 06/21/23 06/21/28    100.000     0.000     5.3000     28.01   0.151124   0.155128   0.159239   0.163459  0.167791     55.21    58.17 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48133XPP5 06/21/23 06/21/27    100.000     0.000     5.3200     28.12   0.151709   0.155744   0.159887   0.164140  0.168506     55.42    58.41 
JPMorgan Chase Financial 48133WMM7 06/05/23 06/05/25    100.000     0.000     5.9600     34.23   0.170489   0.175570   0.180802                          62.56    27.84 
JPMorgan Chase Financial 48133WML9 06/05/23 06/12/24    100.000     0.000     5.2300     30.03   0.149228                                                24.03          
JPMorgan Chase Financial 48134AXJ9 09/27/23 03/27/25    100.000     0.000     5.8500     15.28   0.162500   0.167253   0.172145                          60.26    14.80 
JPMorgan Chase Financial 48133YBT0 07/12/23 01/10/25    100.000     0.000     5.8500     27.46   0.162500   0.167200   0.172091                          60.99     1.55 
JPMorgan Chase Financial 48133YT61 08/21/23 08/19/27    100.000     0.000     5.3200     19.21   0.147778   0.151665   0.155699   0.159841  0.164093     54.95    57.91 
JPMorgan Chase Financial 48133WMN5 06/02/23 06/04/25    100.000     0.000     5.9600     34.75   0.170546   0.175628   0.180862                          62.59    27.67 
JPMorgan Chase Financial 48133YSG0 08/02/23 05/01/25    100.000     0.000     5.6700     23.60   0.159708   0.164235   0.168892                          58.86    20.27 
JPMorgan Chase Financial 48133P7J6 12/30/22 01/02/26    100.000     0.000     4.8900     49.64   0.139192   0.142596   0.146082   0.149654  0.153313     51.96    54.53 
JPMorgan Chase Financial 48133TD69 03/03/23 03/08/24    100.000     0.000     5.1700     43.25   0.147429                                                 9.88          
JPMorgan Chase Financial 48133YSH8 08/02/23 09/03/24    100.000     0.000     5.4300     22.56   0.151539   0.155653                                     37.41          
JPMorgan Chase Financial 48133NSK5 10/31/22 10/29/27    100.000     0.000     5.1900     61.83   0.151725   0.155662   0.159701   0.163846  0.168097     55.82    58.76 
JPMorgan Chase Financial 48133YSL9 08/31/23 08/31/28    100.000     0.000     5.3000     17.81   0.147222   0.151102   0.155128   0.159194  0.163459     54.66    57.59 
JPMorgan Chase Financial 48134BJV6 11/03/23 11/05/26    100.000     0.000     5.4000      8.70   0.150045   0.154096   0.158257   0.162530  0.166918     55.21    58.23 
JPMorgan Chase Financial 48130CDV4 11/30/23 11/30/38    100.000    VARIES     6.2700      5.23   0.172833   0.169500   0.166056   0.162556  0.160611     61.62    59.15 
JPMorgan Chase Financial 48134BJU8 11/02/23 11/04/26    100.000     0.000     5.4000      8.85   0.150045   0.154096   0.158257   0.162530  0.166918     55.21    58.24 
JPMorgan Chase Financial 48133VK74 04/24/23 04/24/25    100.000     0.000     5.9600     41.22   0.170489   0.175570   0.180802                          62.98    20.43 
JPMorgan Chase Financial 48134AY41 09/27/23 09/27/28    100.000     0.000     5.3000     13.84   0.147222   0.151124   0.155128   0.159239  0.163459     54.45    57.37 
JPMorgan Chase Financial 48134BJW4 10/31/23 10/29/26    100.000     0.000     5.4000      9.15   0.150000   0.154028   0.158186   0.162457  0.166844     55.23    58.25 
JPMorgan Chase Financial 48134AH99 09/29/23 03/28/25    100.000     0.000     5.8500     14.95   0.162500   0.167227   0.172118                          60.25    14.97 
JPMorgan Chase Financial 48133TE76 03/02/23 03/04/25    100.000     0.000     5.7200     48.05   0.163485   0.168161   0.172970                          60.81    10.90 
JPMorgan Chase Financial 48133TDV4 12/29/22 12/29/27    100.000     0.000     5.1900     52.88   0.151746   0.155684   0.159724   0.163869  0.168121     55.35    58.26 
JPMorgan Chase Financial 48133NC71 10/31/22 10/30/25    100.000     0.000     4.9800     59.28   0.145308   0.148926   0.152635   0.156435               53.41    46.32 
JPMorgan Chase Financial 48133WMP0 06/02/23 06/04/25    100.000     0.000     5.9600     34.75   0.170546   0.175628   0.180862                          62.59    27.67 
JPMorgan Chase Financial 48133WMS4 06/02/23 06/04/26    100.000     0.000     5.8200     33.93   0.166425   0.171268   0.176252   0.181381  0.186659     61.05    64.65 
JPMorgan Chase Financial 48133WMR6 06/05/23 06/04/27    100.000     0.000     5.7600     33.08   0.164582   0.169322   0.174199   0.179216  0.184377     60.36    63.89 
JPMorgan Chase Financial 48133WMU9 06/05/23 06/05/25    100.000     0.000     5.9600     34.23   0.170489   0.175570   0.180802                          62.56    27.84 
JPMorgan Chase Financial 48133WN61 09/06/23 09/22/25    100.000     0.000     5.5800     17.86   0.155384   0.159720   0.164176   0.168756               57.59    43.67 
JPMorgan Chase Financial 48133WMT2 06/05/23 06/05/25    100.000     0.000     5.9600     34.23   0.170489   0.175570   0.180802                          62.56    27.84 
JPMorgan Chase Financial 48133WMX3 05/31/23 05/31/28    100.000     0.000     5.7200     33.67   0.163433   0.168107   0.172915   0.177861  0.182947     59.97    63.45 
JPMorgan Chase Financial 48134BJT1 11/03/23 08/05/25    100.000     0.000     5.7200      9.22   0.158889   0.161211   0.165822   0.170565               58.63    36.34 
JPMorgan Chase Financial 48133WMW5 05/31/23 05/28/27    100.000     0.000     5.7600     33.91   0.164557   0.169296   0.174172   0.179188  0.184349     60.41    63.94 
JPMorgan Chase Financial 48133UH21 02/27/23 02/25/28    100.000     0.000     5.6900     48.61   0.162502   0.167125   0.171880   0.176770  0.181799     60.51    64.01 
JPMorgan Chase Financial 48134BJS3 11/03/23 11/04/27    100.000     0.000     5.3200      8.57   0.147778   0.151731   0.155767   0.159910  0.164164     54.37    57.30 
JPMorgan Chase Financial 48133WMV7 06/05/23 06/05/25    100.000     0.000     5.9600     34.23   0.170489   0.175570   0.180802                          62.56    27.84 
JPMorgan Chase Financial 48133WNK0 05/31/23 05/29/26    100.000    VARIES     5.7700     33.38   0.156611   0.156167   0.156667   0.157722  0.159128     56.30    56.58 
JPMorgan Chase Financial 48133NTQ1 11/02/22 11/01/29    100.000     0.000     5.2900     62.74   0.154798   0.158893   0.163096   0.167409  0.171837     56.96    60.02 
JPMorgan Chase Financial 48133WNJ3 05/31/23 05/29/26    100.000    VARIES     5.7700     33.38   0.156611   0.156167   0.156667   0.157722  0.159128     56.30    56.58 
JPMorgan Chase Financial 48133WNM6 06/05/23 06/04/26    100.000    VARIES     5.7700     33.38   0.156611   0.156222   0.156667   0.157722  0.159026     56.31    56.58 
JPMorgan Chase Financial 48133WNL8 06/05/23 06/04/26    100.000    VARIES     5.7700     32.60   0.156611   0.156222   0.156667   0.157722  0.159026     56.31    56.58 
JPMorgan Chase Financial 48133UYK2 03/20/23 09/19/24    100.000     0.000     5.7000     44.95   0.162821   0.167461                                     42.84          
JPMorgan Chase Financial 48133Y2R4 08/09/23 08/07/26    100.000     0.000     5.4000     21.30   0.150000   0.154005   0.158163   0.162434  0.166819     55.90    58.95 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48133UYJ5 03/17/23 04/18/24    100.000     0.000     5.2000     41.46   0.148864                                                15.93          
JPMorgan Chase Financial 48133YTT1 09/06/23 09/03/27    100.000     0.000     5.3900     17.22   0.149722   0.153690   0.157832   0.162086  0.166454     55.57    58.60 
JPMorgan Chase Financial 48133NTW8 10/31/22 10/31/28    100.000     0.000     5.2600     62.68   0.153898   0.157945   0.162099   0.166362  0.170738     56.63    59.65 
JPMorgan Chase Financial 48133U7H9 05/31/23 05/30/25    100.000     0.000     5.9600     35.09   0.170489   0.175570   0.180802                          62.61    26.94 
JPMorgan Chase Financial 48133WNC8 06/05/23 07/05/24    100.000     0.000     5.3800     30.90   0.150114   0.154153                                     28.35          
JPMorgan Chase Financial 48133TE92 03/02/23 03/04/25    100.000     0.000     5.7200     48.05   0.163485   0.168161   0.172970                          60.81    10.90 
JPMorgan Chase Financial 48133WNE4 05/31/23 11/29/24    100.000     0.000     6.1000     35.92   0.174584   0.179909                                     58.22          
JPMorgan Chase Financial 48133WND6 06/05/23 12/05/24    100.000     0.000     6.1000     35.04   0.174613   0.179938                                     59.28          
JPMorgan Chase Financial 48133WNG9 05/31/23 05/30/25    100.000     0.000     5.9600     35.09   0.170489   0.175570   0.180802                          62.61    26.94 
JPMorgan Chase Financial 48133PJ38 01/04/23 01/02/26    100.000     0.000     4.9800     49.99   0.141740   0.145269   0.148886   0.152593  0.156393     52.94    55.61 
JPMorgan Chase Financial 48133PJ20 01/04/23 01/02/26    100.000     0.000     4.9800     49.99   0.141740   0.145269   0.148886   0.152593  0.156393     52.94    55.61 
JPMorgan Chase Financial 48133WNF1 06/05/23 06/05/25    100.000     0.000     5.9600     34.23   0.170489   0.175570   0.180802                          62.56    27.84 
JPMorgan Chase Financial 48133NTP3 11/03/22 11/05/25    100.000     0.000     4.9800     58.85   0.145348   0.148967   0.152677   0.156478               53.39    47.10 
JPMorgan Chase Financial 48133WNH7 05/31/23 05/29/26    100.000    VARIES     5.7700     33.38   0.156611   0.156167   0.156667   0.157722  0.159128     56.30    56.58 
JPMorgan Chase Financial 48133PJ46 12/30/22 01/02/26    100.000     0.000     4.9800     50.57   0.141817   0.145348   0.148967   0.152677  0.156478     52.97    55.64 
JPMorgan Chase Financial 48133TF42 03/02/23 03/04/26    100.000     0.000     5.6400     47.37   0.161135   0.165679   0.170351   0.175155  0.180095     59.90    63.33 
JPMorgan Chase Financial 48133YUB8 09/06/23 09/05/25    100.000     0.000     5.5800     17.82   0.155000   0.159300   0.163745   0.168313               57.59    40.78 
JPMorgan Chase Financial 48133TF83 03/03/23 03/04/24    100.000     0.000     5.1700     43.23   0.147344                                                 9.28          
JPMorgan Chase Financial 48133YUF9 09/06/23 09/05/25    100.000     0.000     5.5800     17.82   0.155000   0.159300   0.163745   0.168313               57.59    40.78 
JPMorgan Chase Financial 48133TF75 03/03/23 09/03/24    100.000     0.000     5.7800     48.39   0.165196   0.169970                                     40.84          
JPMorgan Chase Financial 48133TEY7 12/29/22 01/26/24    100.000     0.000     4.1900     42.63   0.119201                                                 2.98          
JPMorgan Chase Financial 48133TF91 03/03/23 09/02/26    100.000     0.000     5.6500     47.29   0.161353   0.165912   0.170599   0.175418  0.180374     60.01    63.45 
JPMorgan Chase Financial 48133U7L0 06/06/23 12/04/25    100.000     0.000     5.8800     33.61   0.168082   0.173024   0.178110   0.183347               61.67    60.25 
JPMorgan Chase Financial 48133TVK8 02/01/23 01/30/25    100.000     0.000     5.7200     53.12   0.163408   0.168081   0.172888                          61.10     5.01 
JPMorgan Chase Financial 48133WNU8 05/19/23 06/21/24    100.000     0.000     5.2800     32.73   0.151245                                                25.71          
JPMorgan Chase Financial 48133TEN1 12/28/22 06/27/24    100.000     0.000     4.7400     48.38   0.137964                                                24.28          
JPMorgan Chase Financial 48133Y3P7 08/07/23 08/05/27    100.000     0.000     5.3200     21.28   0.147778   0.151665   0.155699   0.159841  0.164093     55.06    58.02 
JPMorgan Chase Financial 48130CFL4 01/31/24 01/31/29    100.000    VARIES     6.2700                        0.180728   0.172500   0.170944  0.169333     58.34    61.25 
JPMorgan Chase Financial 48133TFE0 12/28/22 12/26/25    100.000     0.000     4.9800     50.86   0.145269   0.148886   0.152593   0.156393               52.98    54.85 
JPMorgan Chase Financial 48134BLA9 11/02/23 11/04/26    100.000     0.000     5.4000      8.85   0.150045   0.154096   0.158257   0.162530  0.166918     55.21    58.24 
JPMorgan Chase Financial 48133YUJ1 09/05/23 09/05/25    100.000     0.000     5.5800     17.98   0.155000   0.159325   0.163770   0.168339               57.60    40.78 
JPMorgan Chase Financial 48133XRL2 06/22/23 06/20/25    100.000     0.000     5.5800     29.34   0.159276   0.163720   0.168288                          58.24    28.44 
JPMorgan Chase Financial 48134RJT6 11/17/23 05/19/27    100.000     0.000     6.1800      7.56   0.171726   0.177032   0.182502   0.188142  0.193955     63.23    67.20 
JPMorgan Chase Financial 48134RJR0 11/15/23 11/16/27    100.000     0.000     6.1900      7.91   0.171944   0.177296   0.182783   0.188440  0.194272     63.35    67.34 
JPMorgan Chase Financial 48133TG82 03/03/23 03/04/27    100.000     0.000     5.6600     47.38   0.161696   0.166272   0.170978   0.175817  0.180792     60.12    63.57 
JPMorgan Chase Financial 48133PKK8 12/05/22 12/04/25    100.000     0.000     4.9800     54.20   0.145288   0.148906   0.152614   0.156414               53.15    51.50 
JPMorgan Chase Financial 48133TG74 03/03/23 12/04/24    100.000     0.000     5.7500     48.20   0.166702   0.171495                                     56.37          
JPMorgan Chase Financial 48133TG90 03/03/23 03/05/26    100.000     0.000     5.6400     47.21   0.161135   0.165679   0.170351   0.175155  0.180095     59.90    63.32 
JPMorgan Chase Financial 48133YVK7 09/06/23 09/05/25    100.000     0.000     5.5800     17.82   0.155000   0.159300   0.163745   0.168313               57.59    40.78 
JPMorgan Chase Financial 48133YVJ0 09/06/23 09/05/25    100.000     0.000     5.5800     17.82   0.155000   0.159300   0.163745   0.168313               57.59    40.78 
JPMorgan Chase Financial 48133VM56 04/27/23 04/29/27    100.000     0.000     5.7600     39.34   0.164661   0.169403   0.174282   0.179301  0.184465     60.73    64.28 
JPMorgan Chase Financial 48133TFP5 01/04/23 01/03/25    100.000     0.000     4.8500     48.67   0.137971   0.141317   0.144744                          51.48     0.29 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48133YVB7 08/31/23 09/03/25    100.000     0.000     5.5800     18.76   0.155072   0.159399   0.163846   0.168417               57.64    40.47 
JPMorgan Chase Financial 48133TG25 03/03/23 09/03/24    100.000     0.000     5.7800     48.39   0.165196   0.169970                                     40.84          
JPMorgan Chase Financial 48133XBQ8 06/14/23 06/14/26    100.000     0.000     5.7200     31.38   0.163433   0.168107   0.172915   0.177861  0.182947     59.84    63.31 
JPMorgan Chase Financial 48133YVU5 09/06/23 09/05/25    100.000     0.000     5.5800     17.82   0.155000   0.159300   0.163745   0.168313               57.59    40.78 
JPMorgan Chase Financial 48133YVV3 09/06/23 09/03/26    100.000     0.000     5.4000     17.25   0.150000   0.153982   0.158140   0.162410  0.166795     55.68    58.72 
JPMorgan Chase Financial 48133VMP2 05/03/23 05/03/27    100.000     0.000     5.8400     38.88   0.166959   0.171834   0.176852   0.182016  0.187331     61.56    65.20 
JPMorgan Chase Financial 48133TGJ8 12/29/22 01/02/24    100.000     0.000     4.0800     41.45   0.115685                                                 0.12          
JPMorgan Chase Financial 48133XBW5 06/14/23 03/13/25    100.000     0.000     6.0300     33.27   0.169997   0.175122   0.180402                          63.25    12.99 
JPMorgan Chase Financial 48133TGL3 12/29/22 06/26/24    100.000     0.000     4.7400     48.25   0.137928                                                24.14          
JPMorgan Chase Financial 48133VMQ0 05/02/23 05/02/28    100.000     0.000     5.8000     38.78   0.165783   0.170591   0.175538   0.180629  0.185867     61.12    64.72 
JPMorgan Chase Financial 48133PL35 12/30/22 10/02/24    100.000     0.000     4.8000     48.86   0.138208   0.141525                                     38.05          
JPMorgan Chase Financial 48133YVL5 08/31/23 09/02/26    100.000     0.000     5.4000     18.16   0.150045   0.154096   0.158257   0.162530  0.166918     55.72    58.77 
JPMorgan Chase Financial 48133PKQ5 12/05/22 06/04/24    100.000     0.000     4.7400     51.55   0.137964                                                21.11          
JPMorgan Chase Financial 48133YEN0 08/03/23 08/05/26    100.000     0.000     5.4000     22.21   0.150045   0.154096   0.158257   0.162530  0.166918     55.94    59.01 
JPMorgan Chase Financial 48133WPH5 05/16/23 05/28/24    100.000     0.000     5.2300     32.87   0.149337                                                21.95          
JPMorgan Chase Financial 48133PKX0 11/28/22 11/26/27    100.000     0.000     5.1900     57.59   0.151703   0.155640   0.159679   0.163823  0.168074     55.60    58.52 
JPMorgan Chase Financial 48130CGJ8 02/15/24 02/15/39    100.000    VARIES     5.2400                        0.144118   0.149889   0.140722  0.138222     46.58    50.21 
JPMorgan Chase Financial 48133YF25 08/30/23 08/28/25    100.000     0.000     5.5800     18.76   0.155000   0.159276   0.163720   0.168288               57.64    39.62 
JPMorgan Chase Financial 48133XCB0 06/14/23 03/14/25    100.000     0.000     6.0300     33.27   0.170025   0.175151   0.180432                          63.25    13.17 
JPMorgan Chase Financial 48133Y5C4 08/16/23 08/14/26    100.000     0.000     5.4000     20.25   0.150000   0.154005   0.158163   0.162434  0.166819     55.84    58.89 
JPMorgan Chase Financial 48133TXZ3 01/20/23 02/23/24    100.000     0.000     5.2700     50.63   0.150972                                                 7.85          
JPMorgan Chase Financial 48134BNA7 10/31/23 07/31/25    100.000     0.000     5.7200      9.69   0.158889   0.161161   0.165770   0.170511               58.65    35.50 
JPMorgan Chase Financial 48133T6Y6 03/03/23 03/05/25    100.000     0.000     5.7200     47.89   0.163485   0.168161   0.172970                          60.80    11.07 
JPMorgan Chase Financial 48133PM26 12/30/22 01/02/26    100.000     0.000     4.9800     50.57   0.141817   0.145348   0.148967   0.152677  0.156478     52.97    55.64 
JPMorgan Chase Financial 48133T6Z3 03/03/23 03/05/26    100.000     0.000     4.9800     41.63   0.141817   0.145348   0.148967   0.152677  0.156478     52.52    55.17 
JPMorgan Chase Financial 48133XBX3 05/31/23 06/10/24    100.000     0.000     5.2300     30.78   0.149293                                                23.74          
JPMorgan Chase Financial 48133PLE1 12/05/22 12/03/27    100.000     0.000     5.1900     56.53   0.151703   0.155640   0.159679   0.163823  0.168074     55.55    58.47 
JPMorgan Chase Financial 48133WQ92 09/25/23 09/22/25    100.000     0.000     5.5800     14.88   0.155000   0.159252   0.163696   0.168263               57.43    43.55 
JPMorgan Chase Financial 48133T6Q3 03/03/23 03/04/27    100.000     0.000     5.6600     47.38   0.161696   0.166272   0.170978   0.175817  0.180792     60.12    63.57 
JPMorgan Chase Financial 48133TH40 03/03/23 03/05/26    100.000     0.000     5.6400     47.21   0.161135   0.165679   0.170351   0.175155  0.180095     59.90    63.32 
JPMorgan Chase Financial 48133PLJ0 11/28/22 11/28/25    100.000     0.000     4.9800     55.22   0.145308   0.148926   0.152635   0.156435               53.20    50.60 
JPMorgan Chase Financial 48133UJW3 03/09/23 04/11/24    100.000     0.000     6.3300     52.05   0.182419                                                18.24          
JPMorgan Chase Financial 48134BMY6 10/31/23 10/29/26    100.000     0.000     5.4000      9.15   0.150000   0.154028   0.158186   0.162457  0.166844     55.23    58.25 
JPMorgan Chase Financial 48130CPV1 08/13/24 08/14/34    100.000    VARIES     5.3800                                   0.149416   0.152444  0.156556     20.47    55.62 
JPMorgan Chase Financial 48133UBT8 02/15/23 08/15/24    100.000     0.000     5.7800     51.37   0.165196   0.169970                                     37.86          
JPMorgan Chase Financial 48133WYZ5 05/24/23 05/22/25    100.000     0.000     5.9600     36.12   0.170434   0.175513   0.180744                          62.67    25.48 
JPMorgan Chase Financial 48134BF99 10/31/23 10/30/25    100.000     0.000     5.5800      9.46   0.155000   0.159325   0.163770   0.168339               57.11    49.79 
JPMorgan Chase Financial 48134AT70 09/18/23 09/17/26    100.000     0.000     5.4000     15.45   0.150000   0.154028   0.158186   0.162457  0.166844     55.58    58.62 
JPMorgan Chase Financial 48134BF81 11/02/23 11/04/26    100.000     0.000     5.4000      8.85   0.150045   0.154096   0.158257   0.162530  0.166918     55.21    58.24 
JPMorgan Chase Financial 48133XM78 07/06/23 04/03/25    100.000     0.000     5.7200     28.00   0.161085   0.165692   0.170431                          59.64    15.68 
JPMorgan Chase Financial 48134ATM7 09/29/23 09/29/28    100.000     0.000     5.3000     13.54   0.147222   0.151124   0.155128   0.159239  0.163459     54.43    57.35 
JPMorgan Chase Financial 48133XLY0 06/08/23 07/10/24    100.000     0.000     5.3300     30.18   0.148757   0.152721                                     28.83          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48134BWS8 11/02/23 11/02/28    100.000     0.000     5.2400      8.59   0.145556   0.149369   0.153283   0.157299  0.161420     53.54    56.38 
JPMorgan Chase Financial 48133XM86 07/06/23 04/03/25    100.000     0.000     5.7200     28.00   0.161085   0.165692   0.170431                          59.64    15.68 
JPMorgan Chase Financial 48130CQV0 08/16/24 08/16/39    100.000    VARIES     5.3200                                   0.147836   0.150778  0.154833     19.81    55.01 
JPMorgan Chase Financial 48133VX70 04/27/23 05/08/24    100.000     0.000     5.2300     35.70   0.149315                                                18.96          
JPMorgan Chase Financial 48133XLZ7 06/07/23 06/18/24    100.000     0.000     5.3200     30.24   0.151955                                                25.38          
JPMorgan Chase Financial 48134AU29 09/27/23 09/26/30    100.000     0.000     5.3300     13.92   0.148056   0.151979   0.156030   0.160188  0.164457     54.76    57.72 
JPMorgan Chase Financial 48134RDS4 11/15/23 11/14/25    100.000     0.000     5.5800      7.13   0.155000   0.159300   0.163745   0.168313               56.99    52.07 
JPMorgan Chase Financial 48133VWG1 04/06/23 04/08/25    100.000     0.000     5.9600     44.30   0.170546   0.175628   0.180862                          63.17    17.54 
JPMorgan Chase Financial 48134A2C8 09/27/23 12/27/24    100.000     0.000     5.5900     14.60   0.157448   0.161848                                     56.84          
JPMorgan Chase Financial 48130CQK4 08/16/24 08/16/39    100.000    VARIES     5.0900                                   0.141269   0.143944  0.147611     18.93    52.48 
JPMorgan Chase Financial 48134ATJ4 10/04/23 10/04/28    100.000     0.000     5.3000     12.81   0.147222   0.151124   0.155128   0.159239  0.163459     54.39    57.31 
JPMorgan Chase Financial 48133U2Z4 03/08/23 04/08/24    100.000     0.000     6.2100     51.22   0.178777                                                17.34          
JPMorgan Chase Financial 48134B6A6 10/30/23 04/30/25    100.000     0.000     5.8500      9.91   0.162500   0.167253   0.172145                          59.94    20.49 
JPMorgan Chase Financial 48133PF57 01/04/23 01/03/28    100.000     0.000     5.1900     52.13   0.147887   0.151725   0.155662   0.159701  0.163846     55.31    58.22 
JPMorgan Chase Financial 48134ADB8 10/03/23 10/01/26    100.000     0.000     5.4000     13.20   0.150000   0.154005   0.158163   0.162434  0.166819     55.46    58.49 
JPMorgan Chase Financial 48134AUC7 09/29/23 10/01/25    100.000     0.000     5.5800     14.26   0.155048   0.159374   0.163820   0.168391               57.39    45.05 
JPMorgan Chase Financial 48134BG72 11/03/23 11/03/26    100.000     0.000     5.4000      8.70   0.150000   0.154050   0.158209   0.162481  0.166868     55.21    58.23 
JPMorgan Chase Financial 48134ACS2 09/07/23 12/04/26    100.000     0.000     5.3800     17.09   0.151387   0.155460   0.159642   0.163936  0.168346     55.46    58.48 
JPMorgan Chase Financial 48134BWW9 10/20/23 10/22/26    100.000     0.000     5.4000     10.65   0.150045   0.154096   0.158257   0.162530  0.166918     55.31    58.34 
JPMorgan Chase Financial 48133VX96 04/27/23 05/08/24    100.000     0.000     5.2300     35.70   0.149315                                                18.96          
JPMorgan Chase Financial 48133NPD4 11/03/22 11/05/25    100.000     0.000     4.9800     58.85   0.145348   0.148967   0.152677   0.156478               53.39    47.10 
JPMorgan Chase Financial 48134BFX6 10/06/23 10/06/28    100.000     0.000     5.3000     12.51   0.147222   0.151124   0.155128   0.159239  0.163459     54.37    57.29 
JPMorgan Chase Financial 48133TA39 02/03/23 02/05/26    100.000    VARIES     5.6400     49.51   0.149611   0.149833   0.150667   0.151889  0.152571     53.90    54.46 
JPMorgan Chase Financial 48133UD66 02/17/23 02/17/28    100.000     0.000     5.6900     50.23   0.162552   0.167177   0.171933   0.176825  0.181855     60.61    64.11 
JPMorgan Chase Financial 48134B5Y5 10/31/23 10/29/26    100.000     0.000     5.4000      9.15   0.150000   0.154028   0.158186   0.162457  0.166844     55.23    58.25 
JPMorgan Chase Financial 48133NPE4 11/02/22 10/31/25    100.000     0.000     4.9800     59.00   0.145269   0.148886   0.152593   0.156393               53.39    46.31 
JPMorgan Chase Financial 48133UCZ3 02/17/23 08/19/24    100.000     0.000     5.7800     51.04   0.165249   0.170024                                     38.54          
JPMorgan Chase Financial 48134TKN3 02/05/24 02/05/29    100.000    VARIES     6.1500                        0.166027   0.159778   0.156556  0.155444     53.00    56.17 
JPMorgan Chase Financial 48133TAJ4 12/21/22 12/19/25    100.000     0.000     4.9800     51.88   0.145269   0.148886   0.152593   0.156393               53.04    53.79 
JPMorgan Chase Financial 48133U3K6 02/15/23 02/28/24    100.000     0.000     5.1700     45.92   0.147599                                                 8.41          
JPMorgan Chase Financial 48134AUM5 10/04/23 04/03/25    100.000     0.000     5.8500     14.14   0.162500   0.167227   0.172118                          60.20    15.83 
JPMorgan Chase Financial 48134AUP8 10/04/23 10/02/26    100.000     0.000     5.4000     13.05   0.150000   0.154005   0.158163   0.162434  0.166819     55.45    58.48 
JPMorgan Chase Financial 48133UUQ3 03/15/23 09/15/26    100.000     0.000     5.5700     44.71   0.159031   0.163460   0.168013   0.172692  0.177501     59.00    62.33 
JPMorgan Chase Financial 48134B6R9 11/02/23 08/04/25    100.000     0.000     5.5200      9.05   0.153333   0.155496   0.159788   0.164198               56.54    34.83 
JPMorgan Chase Financial 48134AUR4 10/04/23 10/02/26    100.000     0.000     5.4000     13.05   0.150000   0.154005   0.158163   0.162434  0.166819     55.45    58.48 
JPMorgan Chase Financial 48134AUQ6 09/29/23 03/31/25    100.000     0.000     5.8200     14.87   0.161667   0.166397   0.171239                          59.92    15.24 
JPMorgan Chase Financial 48134BGV9 10/25/23 01/24/25    100.000     0.000     5.5800     10.23   0.155000   0.157138   0.161522                          57.21     3.72 
JPMorgan Chase Financial 48133NQA9 10/31/22 10/30/25    100.000     0.000     4.9800     59.28   0.145308   0.148926   0.152635   0.156435               53.41    46.32 
JPMorgan Chase Financial 48134A3Q6 10/12/23 10/12/27    100.000     0.000     5.3900     11.83   0.149722   0.153757   0.157901   0.162156  0.166527     55.27    58.29 
JPMorgan Chase Financial 48133P5C3 12/02/22 12/04/24    100.000     0.000     4.8500     53.19   0.141374   0.144802                                     47.69          
JPMorgan Chase Financial 48134AUS2 10/04/23 10/02/25    100.000     0.000     5.5800     13.49   0.155000   0.159276   0.163720   0.168288               57.35    45.19 
JPMorgan Chase Financial 48134BGH0 10/31/23 10/31/28    100.000     0.000     5.3000      8.98   0.147222   0.151124   0.155128   0.159239  0.163459     54.18    57.09 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48134ADC6 10/03/23 10/01/26    100.000     0.000     5.4000     13.20   0.150000   0.154005   0.158163   0.162434  0.166819     55.46    58.49 
JPMorgan Chase Financial 48133NPT9 11/03/22 11/05/24    100.000     0.000     4.8500     57.29   0.141374   0.144802                                     43.59          
JPMorgan Chase Financial 48133VXL9 04/10/23 04/09/25    100.000     0.000     5.9600     43.61   0.170462   0.175541   0.180773                          63.13    17.72 
JPMorgan Chase Financial 48134AUH6 10/04/23 11/01/24    100.000     0.000     5.4100     13.11   0.150888   0.154969                                     46.00          
JPMorgan Chase Financial 48133UUK6 03/09/23 03/11/26    100.000     0.000     5.6400     46.25   0.161135   0.165679   0.170351   0.175155  0.180095     59.84    63.26 
JPMorgan Chase Financial 48134BXM0 10/26/23 10/26/28    100.000     0.000     5.3000      9.57   0.147222   0.151124   0.155128   0.159239  0.163459     54.22    57.13 
JPMorgan Chase Financial 48133U3G5 02/21/23 02/18/25    100.000     0.000     5.7200     49.85   0.163357   0.168029   0.172835                          60.91     8.12 
JPMorgan Chase Financial 48134REX2 11/15/23 11/14/25    100.000     0.000     6.1600      7.87   0.171111   0.176352   0.181784   0.187383               63.04    57.91 
JPMorgan Chase Financial 48133XMT0 07/05/23 07/02/26    100.000     0.000     5.6100     27.43   0.155833   0.160132   0.164623   0.169241  0.173988     58.45    61.77 
JPMorgan Chase Financial 48133PX32 12/14/22 12/12/24    100.000     0.000     4.8500     51.50   0.141298   0.144725                                     48.80          
JPMorgan Chase Financial 48134AVB8 10/04/23 10/02/25    100.000     0.000     5.5800     13.49   0.155000   0.159276   0.163720   0.168288               57.35    45.19 
JPMorgan Chase Financial 48133PX40 12/14/22 12/12/24    100.000     0.000     4.8500     51.50   0.141298   0.144725                                     48.80          
JPMorgan Chase Financial 48134AVA0 10/04/23 10/02/25    100.000     0.000     5.5800     13.49   0.155000   0.159276   0.163720   0.168288               57.35    45.19 
JPMorgan Chase Financial 48133PX99 12/21/22 01/19/24    100.000     0.000     4.1900     43.59   0.119214                                                 2.15          
JPMorgan Chase Financial 48133U4C3 03/07/23 03/07/25    100.000     0.000     5.6400     46.56   0.161085   0.165627   0.170298                          59.86    11.24 
JPMorgan Chase Financial 48134AUW3 10/04/23 10/11/24    100.000     0.000     5.3200     12.87   0.147931   0.151866                                     42.13          
JPMorgan Chase Financial 48133YQC1 09/06/23 09/06/28    100.000     0.000     5.3000     16.93   0.147222   0.151124   0.155128   0.159239  0.163459     54.61    57.54 
JPMorgan Chase Financial 48134AUV5 09/29/23 10/01/26    100.000     0.000     5.4000     13.80   0.150045   0.154096   0.158257   0.162530  0.166918     55.48    58.52 
JPMorgan Chase Financial 48134WV87 03/26/24 03/26/29    100.000    VARIES     5.0400                        0.136354   0.136944   0.135278  0.134611     37.75    48.58 
JPMorgan Chase Financial 48133NQB7 11/03/22 11/05/26    100.000     0.000     5.1000     60.29   0.149026   0.152826   0.156723   0.160720  0.164818     54.76    57.59 
JPMorgan Chase Financial 48134AUU7 09/29/23 10/01/25    100.000     0.000     5.5800     14.26   0.155048   0.159374   0.163820   0.168391               57.39    45.05 
JPMorgan Chase Financial 48133TRS6 01/11/23 02/09/24    100.000     0.000     5.2700     51.98   0.150862                                                 5.73          
JPMorgan Chase Financial 48133UE99 02/21/23 03/20/24    100.000     0.000     5.2700     45.95   0.150884                                                11.92          
JPMorgan Chase Financial 48133YQD9 08/02/23 08/24/24    100.000     0.000     5.3200     22.08   0.148258   0.152202                                     35.25          
JPMorgan Chase Financial 48134AUZ6 10/04/23 10/02/25    100.000     0.000     5.5800     13.49   0.155000   0.159276   0.163720   0.168288               57.35    45.19 
JPMorgan Chase Financial 48133NQG6 10/31/22 10/31/28    100.000     0.000     5.2600     62.68   0.153898   0.157945   0.162099   0.166362  0.170738     56.63    59.65 
JPMorgan Chase Financial 48133TS89 02/08/23 02/09/24    100.000     0.000     5.1700     46.92   0.147344                                                 5.60          
JPMorgan Chase Financial 48133NQJ0 11/03/22 11/05/25    100.000     0.000     4.9800     58.85   0.145348   0.148967   0.152677   0.156478               53.39    47.10 
JPMorgan Chase Financial 48134BHR7 10/04/23 10/02/26    100.000     0.000     5.4000     13.05   0.150000   0.154005   0.158163   0.162434  0.166819     55.45    58.48 
JPMorgan Chase Financial 48134RGA0 11/09/23 05/09/25    100.000     0.000     5.8500      8.45   0.162500   0.167253   0.172145                          59.86    22.03 
JPMorgan Chase Financial 48133WKW7 06/05/23 06/04/26    100.000     0.000     5.8200     33.43   0.166345   0.171186   0.176167   0.181294  0.186569     61.02    64.62 
JPMorgan Chase Financial 48133UEP3 02/23/23 03/21/24    100.000     0.000     5.2700     45.64   0.150862                                                12.07          
JPMorgan Chase Financial 48134AVT9 09/29/23 10/01/26    100.000     0.000     5.4000     13.80   0.150045   0.154096   0.158257   0.162530  0.166918     55.48    58.52 
JPMorgan Chase Financial 48133UES7 02/24/23 08/26/24    100.000     0.000     5.7800     49.89   0.165249   0.170024                                     39.69          
JPMorgan Chase Financial 48133PGH0 12/05/22 12/05/24    100.000     0.000     4.8500     52.76   0.141335   0.144763                                     47.82          
JPMorgan Chase Financial 48133NQX9 11/03/22 11/05/25    100.000     0.000     4.9800     58.85   0.145348   0.148967   0.152677   0.156478               53.39    47.10 
JPMorgan Chase Financial 48133VYP9 04/19/23 04/25/24    100.000     0.000     5.2300     36.89   0.149207                                                17.01          
JPMorgan Chase Financial 48133NA73 10/03/22 09/30/27    100.000     0.000     5.1900     65.93   0.151682   0.155618   0.159656   0.163800  0.168050     56.04    58.99 
JPMorgan Chase Financial 48133XNS1 06/28/23 06/28/27    100.000     0.000     5.3900     27.41   0.153757   0.157901   0.162156   0.166527  0.171014     56.12    59.19 
JPMorgan Chase Financial 48133WKP2 06/05/23 05/05/25    100.000     0.000     5.9600     34.33   0.169667   0.174723   0.179930                          62.56    22.31 
JPMorgan Chase Financial 48133P5Z2 12/30/22 01/02/25    100.000     0.000     4.9800     50.57   0.141817   0.145348   0.148967                          52.97     0.15 
JPMorgan Chase Financial 48133YA95 08/03/23 10/30/24    100.000     0.000     5.5900     23.11   0.157375   0.161774                                     47.85          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48133WKS6 05/31/23 05/28/27    100.000     0.000     5.7600     33.91   0.164557   0.169296   0.174172   0.179188  0.184349     60.41    63.94 
JPMorgan Chase Financial 48134AWB7 10/04/23 10/04/27    100.000     0.000     5.3200     12.86   0.147778   0.151709   0.155744   0.159887  0.164140     54.60    57.54 
JPMorgan Chase Financial 48133NRN0 10/31/22 10/29/27    100.000     0.000     5.1900     61.83   0.151725   0.155662   0.159701   0.163846  0.168097     55.82    58.76 
JPMorgan Chase Financial 48133PGQ0 12/05/22 12/04/25    100.000     0.000     4.9800     54.20   0.145288   0.148906   0.152614   0.156414               53.15    51.50 
JPMorgan Chase Financial 48134AWF8 09/29/23 07/01/25    100.000     0.000     5.7200     14.62   0.161211   0.165822   0.170565                          58.87    30.70 
JPMorgan Chase Financial 48134AFC4 08/25/23 08/27/24    100.000     0.000     5.3200     18.63   0.147821   0.151754                                     35.59          
JPMorgan Chase Financial 48133PH97 01/04/23 10/03/24    100.000     0.000     4.8000     48.31   0.138154   0.141469                                     38.17          
JPMorgan Chase Financial 48133NRS9 10/31/22 10/29/27    100.000     0.000     5.1900     61.83   0.151725   0.155662   0.159701   0.163846  0.168097     55.82    58.76 
JPMorgan Chase Financial 48133PGJ6 11/28/22 11/28/25    100.000     0.000     4.8900     54.20   0.142557   0.146042   0.149613   0.153271               52.18    49.58 
JPMorgan Chase Financial 48134AEY7 08/22/23 09/20/24    100.000     0.000     5.3300     19.16   0.148669   0.152631                                     39.22          
JPMorgan Chase Financial 48133WLA4 06/05/23 06/05/25    100.000     0.000     5.9600     34.23   0.170489   0.175570   0.180802                          62.56    27.84 
JPMorgan Chase Financial 48133PGL1 11/28/22 11/28/25    100.000     0.000     4.8900     54.20   0.142557   0.146042   0.149613   0.153271               52.18    49.58 
JPMorgan Chase Financial 48133TBV6 12/21/22 12/19/24    100.000     0.000     4.8500     50.51   0.141298   0.144725                                     49.79          
JPMorgan Chase Financial 48133NRF7 11/03/22 11/04/27    100.000     0.000     5.1900     61.37   0.151767   0.155706   0.159746   0.163892  0.168145     55.80    58.73 
JPMorgan Chase Financial 48133PGK3 12/05/22 12/04/25    100.000     0.000     4.9800     54.20   0.145288   0.148906   0.152614   0.156414               53.15    51.50 
JPMorgan Chase Financial 48133PGN7 12/05/22 12/04/25    100.000     0.000     4.9800     54.20   0.145288   0.148906   0.152614   0.156414               53.15    51.50 
JPMorgan Chase Financial 48134RGN2 11/09/23 11/06/25    100.000     0.000     6.1600      8.90   0.171111   0.176293   0.181723   0.187320               63.12    56.43 
JPMorgan Chase Financial 48133PGM9 11/28/22 11/28/25    100.000     0.000     4.8900     54.20   0.142557   0.146042   0.149613   0.153271               52.18    49.58 
JPMorgan Chase Financial 48133WLB2 05/31/23 05/29/26    100.000     0.000     5.8200     34.26   0.166345   0.171186   0.176167   0.181294  0.186569     61.07    64.68 
JPMorgan Chase Financial 48133PGP2 12/05/22 12/05/24    100.000     0.000     4.8500     52.76   0.141335   0.144763                                     47.82          
JPMorgan Chase Financial 48133U5P3 04/21/23 04/24/25    100.000     0.000     5.9600     41.74   0.170574   0.175657   0.180891                          63.01    20.44 
JPMorgan Chase Financial 48133TU37 03/02/23 03/02/28    100.000     0.000     5.6900     47.79   0.162552   0.167177   0.171933   0.176825  0.181855     60.47    63.96 
JPMorgan Chase Financial 48133UWU2 03/09/23 09/11/25    100.000     0.000     5.6000     45.92   0.159961   0.164440   0.169044   0.173777               59.39    43.11 
JPMorgan Chase Financial 48133TU29 03/03/23 03/02/28    100.000     0.000     5.6900     47.63   0.162527   0.167151   0.171907   0.176797  0.181827     60.46    63.95 
JPMorgan Chase Financial 48133TD44 03/03/23 03/08/24    100.000     0.000     5.1700     43.25   0.147429                                                 9.88          
JPMorgan Chase Financial 48133P7G2 12/30/22 01/02/26    100.000     0.000     4.8900     49.64   0.139192   0.142596   0.146082   0.149654  0.153313     51.96    54.53 
JPMorgan Chase Financial 48133NSD1 10/31/22 10/30/25    100.000     0.000     4.9800     59.28   0.145308   0.148926   0.152635   0.156435               53.41    46.32 
JPMorgan Chase Financial 48133P7F4 12/30/22 01/02/26    100.000     0.000     4.8900     49.64   0.139192   0.142596   0.146082   0.149654  0.153313     51.96    54.53 
JPMorgan Chase Financial 48133TU52 03/03/23 03/04/24    100.000     0.000     5.1700     43.23   0.147344                                                 9.28          
JPMorgan Chase Financial 48133TTS4 01/17/23 02/15/24    100.000     0.000     5.2700     51.07   0.150862                                                 6.64          
JPMorgan Chase Financial 48133WLZ9 06/05/23 12/03/26    100.000     0.000     5.7900     33.26   0.165438   0.170227   0.175155   0.180226  0.185444     60.69    64.26 
JPMorgan Chase Financial 48133UWV0 03/09/23 09/11/24    100.000     0.000     5.7000     46.74   0.162897   0.167540                                     41.56          
JPMorgan Chase Financial 48133NSE9 11/03/22 11/05/25    100.000     0.000     4.9800     58.85   0.145348   0.148967   0.152677   0.156478               53.39    47.10 
JPMorgan Chase Financial 48133T2S3 01/30/23 12/02/24    100.000     0.000     5.7300     53.46   0.166906   0.171688                                     56.11          
JPMorgan Chase Financial 48133TU60 03/03/23 03/05/25    100.000     0.000     5.7200     47.89   0.163485   0.168161   0.172970                          60.80    11.07 
JPMorgan Chase Financial 48133NRU4 11/03/22 05/03/24    100.000     0.000     4.7400     55.96   0.137982                                                16.83          
JPMorgan Chase Financial 48133NRX8 10/31/22 10/30/25    100.000     0.000     4.9800     59.28   0.145308   0.148926   0.152635   0.156435               53.41    46.32 
JPMorgan Chase Financial 48134AWL5 09/06/23 09/06/28    100.000     0.000     5.2400     16.74   0.145556   0.149369   0.153283   0.157299  0.161420     53.98    56.84 
JPMorgan Chase Financial 48133TCJ2 12/28/22 01/25/24    100.000     0.000     4.2500     43.37   0.120949                                                 2.90          
JPMorgan Chase Financial 48133WM47 08/25/23 02/28/26    100.000     0.000     5.4900     19.22   0.152570   0.156758   0.161061   0.165482  0.170024     56.72    59.88 
JPMorgan Chase Financial 48134BS95 11/08/23 02/06/25    100.000     0.000     5.5900      8.23   0.155278   0.157400   0.161799                          57.23     5.66 
JPMorgan Chase Financial 48133TM36 03/03/23 03/05/26    100.000     0.000     5.6400     47.21   0.161135   0.165679   0.170351   0.175155  0.180095     59.90    63.32 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48133YK86 08/14/23 08/13/25    100.000     0.000     5.5800     21.23   0.155000   0.159300   0.163745   0.168313               57.78    37.17 
JPMorgan Chase Financial 48134BAP8 11/03/23 11/05/25    100.000     0.000     5.5800      8.99   0.155048   0.159374   0.163820   0.168391               57.09    50.62 
JPMorgan Chase Financial 48130CLR4 05/24/24 05/24/39     45.000    VARIES     5.3200                        0.067222   0.067556   0.069389  0.071222     14.58    25.31 
JPMorgan Chase Financial 48133XXX9 06/27/23 06/26/25    100.000     0.000     5.5800     28.54   0.159300   0.163745   0.168313                          58.19    29.45 
JPMorgan Chase Financial 48133XGV2 07/06/23 07/03/25    100.000     0.000     5.9600     28.97   0.165556   0.170407   0.175485   0.180714               62.24    32.88 
JPMorgan Chase Financial 48134BAR4 11/03/23 11/05/26    100.000     0.000     5.4000      8.70   0.150045   0.154096   0.158257   0.162530  0.166918     55.21    58.23 
JPMorgan Chase Financial 48134BAQ6 11/03/23 11/05/26    100.000     0.000     5.4000      8.70   0.150045   0.154096   0.158257   0.162530  0.166918     55.21    58.23 
JPMorgan Chase Financial 48133X7K6 08/03/23 08/05/25    100.000     0.000     5.5800     22.95   0.155048   0.159374   0.163820   0.168391               57.88    35.88 
JPMorgan Chase Financial 48133X7J9 08/03/23 08/05/25    100.000     0.000     5.5800     22.95   0.155048   0.159374   0.163820   0.168391               57.88    35.88 
JPMorgan Chase Financial 48133WEH7 05/31/23 11/29/24    100.000     0.000     6.1000     35.92   0.174584   0.179909                                     58.22          
JPMorgan Chase Financial 48133YKQ6 07/06/23 08/07/24    100.000     0.000     5.3200     25.96   0.148455   0.152404                                     32.78          
JPMorgan Chase Financial 48133XHQ2 07/06/23 07/06/26    100.000     0.000     5.4000     26.25   0.150000   0.154050   0.158209   0.162481  0.166868     56.17    59.24 
JPMorgan Chase Financial 48133TMF9 01/31/23 10/31/24    100.000     0.000     4.8000     44.72   0.138172   0.141488                                     41.91          
JPMorgan Chase Financial 48133TMG7 01/31/23 01/29/26    100.000     0.000     4.9800     46.31   0.141759   0.145288   0.148906   0.152614  0.156414     52.75    55.41 
JPMorgan Chase Financial 48133XHR0 07/06/23 07/06/26    100.000     0.000     5.4000     26.25   0.150000   0.154050   0.158209   0.162481  0.166868     56.17    59.24 
JPMorgan Chase Financial 48133VSM3 04/28/23 10/30/24    100.000     0.000     6.1900     42.12   0.177327   0.182815                                     54.01          
JPMorgan Chase Financial 48133WEC8 06/05/23 06/04/26    100.000     0.000     5.8200     33.43   0.166345   0.171186   0.176167   0.181294  0.186569     61.02    64.62 
JPMorgan Chase Financial 48133X7E0 08/03/23 08/05/27    100.000     0.000     5.3200     21.88   0.147821   0.151754   0.155790   0.159934  0.164188     55.09    58.06 
JPMorgan Chase Financial 48133XHF6 07/06/23 01/05/27    100.000     0.000     5.7900     28.15   0.160833   0.165464   0.170254   0.175183  0.180254     60.39    63.94 
JPMorgan Chase Financial 48133WEB0 06/05/23 06/04/26    100.000     0.000     5.8200     33.43   0.166345   0.171186   0.176167   0.181294  0.186569     61.02    64.62 
JPMorgan Chase Financial 48133X7G5 08/03/23 08/05/25    100.000     0.000     5.5800     22.95   0.155048   0.159374   0.163820   0.168391               57.88    35.88 
JPMorgan Chase Financial 48134BBD4 10/31/23 10/29/26    100.000     0.000     5.4000      9.15   0.150000   0.154028   0.158186   0.162457  0.166844     55.23    58.25 
JPMorgan Chase Financial 48133PA37 01/04/23 01/03/25    100.000     0.000     4.8500     48.67   0.137971   0.141317   0.144744                          51.48     0.29 
JPMorgan Chase Financial 48134BBC6 11/03/23 11/05/25    100.000     0.000     5.5800      8.99   0.155048   0.159374   0.163820   0.168391               57.09    50.62 
JPMorgan Chase Financial 48134BBV4 11/03/23 12/05/24    100.000     0.000     5.4100      8.73   0.151000   0.155085                                     51.17          
JPMorgan Chase Financial 48133WEY0 05/31/23 05/29/26    100.000     0.000     5.8200     34.26   0.166345   0.171186   0.176167   0.181294  0.186569     61.07    64.68 
JPMorgan Chase Financial 48134BBX0 10/31/23 10/31/28    100.000     0.000     5.3000      8.98   0.147222   0.151124   0.155128   0.159239  0.163459     54.18    57.09 
JPMorgan Chase Financial 48133VC99 05/03/23 05/01/25    100.000     0.000     5.9600     39.69   0.170434   0.175513   0.180744                          62.89    21.69 
JPMorgan Chase Financial 48133WFA1 06/05/23 03/05/25    100.000     0.000     6.0300     34.80   0.170025   0.175151   0.180432                          63.34    11.55 
JPMorgan Chase Financial 48134TGN8 02/05/24 02/03/28    100.000    VARIES     6.2900                        0.173493   0.174722   0.178722  0.179667     56.78    64.51 
JPMorgan Chase Financial 48133WEQ7 06/05/23 06/04/26    100.000     0.000     5.8200     33.43   0.166345   0.171186   0.176167   0.181294  0.186569     61.02    64.62 
JPMorgan Chase Financial 48130CN14 06/21/24 06/21/39    100.000    VARIES     5.3300                        0.147778   0.148167   0.152111  0.156211     28.00    55.49 
JPMorgan Chase Financial 48133XYU4 06/27/23 06/26/25    100.000     0.000     5.5800     28.54   0.159300   0.163745   0.168313                          58.19    29.45 
JPMorgan Chase Financial 48133XHS8 06/30/23 07/02/26    100.000     0.000     5.8200     29.27   0.161719   0.166425   0.171268   0.176252  0.181381     60.78    64.36 
JPMorgan Chase Financial 48130CMQ5 05/31/24 05/31/39    100.000    VARIES     5.6100                        0.194516   0.154944   0.153056  0.151111     33.92    54.75 
JPMorgan Chase Financial 48133WET1 05/31/23 02/28/25    100.000     0.000     6.0300     35.65   0.169969   0.175094   0.180373                          63.39    10.28 
JPMorgan Chase Financial 48133XHW9 07/06/23 07/03/25    100.000     0.000     5.9600     28.97   0.165556   0.170407   0.175485   0.180714               62.24    32.88 
JPMorgan Chase Financial 48134BBP7 10/18/23 04/17/25    100.000     0.000     5.8500     11.86   0.162500   0.167227   0.172118                          60.06    18.24 
JPMorgan Chase Financial 48133XHV1 07/06/23 07/15/24    100.000     0.000     5.2300     25.46   0.145468   0.149272                                     28.91          
JPMorgan Chase Financial 48134BSP9 10/16/23 04/10/25    100.000     0.000     5.8500     12.19   0.162500   0.167095   0.171982                          60.10    17.03 
JPMorgan Chase Financial 48130CMS1 05/31/24 05/31/39    100.000    VARIES     5.5600                        0.154333   0.155389   0.159333  0.163778     32.54    58.16 
JPMorgan Chase Financial 48133VSQ4 04/28/23 01/30/25    100.000     0.000     6.0300     41.09   0.170081   0.175209   0.180492                          63.72     5.23 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48133XHY5 07/06/23 07/06/27    100.000     0.000     5.7600     28.00   0.160000   0.164608   0.169349   0.174226  0.179244     60.07    63.58 
JPMorgan Chase Financial 48133VC40 05/02/23 04/30/26    100.000     0.000     5.8200     38.92   0.166319   0.171159   0.176139   0.181265  0.186540     61.35    64.97 
JPMorgan Chase Financial 48133VST8 04/28/23 04/30/26    100.000     0.000     5.8200     39.58   0.166425   0.171268   0.176252   0.181381  0.186659     61.38    65.01 
JPMorgan Chase Financial 48130CMT9 05/31/24 05/31/39    100.000    VARIES     5.4400                        0.151000   0.151833   0.156000  0.160222     31.86    56.92 
JPMorgan Chase Financial 48133VC65 05/03/23 05/10/24    100.000     0.000     5.2300     34.80   0.149228                                                19.25          
JPMorgan Chase Financial 48133VSV3 05/03/23 05/03/27    100.000     0.000     5.7600     38.35   0.164608   0.169349   0.174226   0.179244  0.184406     60.67    64.21 
JPMorgan Chase Financial 48133VC57 05/02/23 04/30/26    100.000     0.000     5.8200     38.92   0.166319   0.171159   0.176139   0.181265  0.186540     61.35    64.97 
JPMorgan Chase Financial 48133XHZ2 07/05/23 07/07/25    100.000     0.000     5.9600     29.15   0.165610   0.170546   0.175628   0.180862               62.25    33.61 
JPMorgan Chase Financial 48134BBS1 10/18/23 04/17/25    100.000     0.000     5.8500     11.86   0.162500   0.167227   0.172118                          60.06    18.24 
JPMorgan Chase Financial 48134BCH4 11/03/23 11/05/25    100.000     0.000     5.5800      8.99   0.155048   0.159374   0.163820   0.168391               57.09    50.62 
JPMorgan Chase Financial 48133WWL8 05/26/23 06/06/24    100.000     0.000     5.2300     31.37   0.149293                                                23.14          
JPMorgan Chase Financial 48133PB77 01/04/23 01/02/26    100.000     0.000     4.8900     49.08   0.139118   0.142519   0.146004   0.149573  0.153230     51.93    54.50 
JPMorgan Chase Financial 48133TNC5 01/31/23 01/29/26    100.000     0.000     5.6400     52.52   0.161060   0.165602   0.170272   0.175074  0.180011     60.20    63.64 
JPMorgan Chase Financial 48133PB69 01/04/23 01/02/26    100.000     0.000     4.8900     49.08   0.139118   0.142519   0.146004   0.149573  0.153230     51.93    54.50 
JPMorgan Chase Financial 48134BCL5 10/31/23 10/30/25    100.000     0.000     5.5800      9.46   0.155000   0.159325   0.163770   0.168339               57.11    49.79 
JPMorgan Chase Financial 48130CNP6 06/17/24 06/17/39    100.000    VARIES     5.9100                        0.068462   0.068667   0.070722  0.072778     13.25    25.83 
JPMorgan Chase Financial 48133WFB9 05/31/23 05/29/26    100.000     0.000     5.8200     34.26   0.166345   0.171186   0.176167   0.181294  0.186569     61.07    64.68 
JPMorgan Chase Financial 48133TMY8 01/31/23 01/29/26    100.000     0.000     5.6400     52.52   0.161060   0.165602   0.170272   0.175074  0.180011     60.20    63.64 
JPMorgan Chase Financial 48133XZJ8 06/28/23 06/26/25    100.000     0.000     5.5800     28.39   0.159276   0.163720   0.168288                          58.18    29.45 
JPMorgan Chase Financial 48134BCA9 11/03/23 11/03/28    100.000     0.000     5.3000      8.54   0.147222   0.151124   0.155128   0.159239  0.163459     54.16    57.07 
JPMorgan Chase Financial 48134BCD3 10/31/23 05/01/25    100.000     0.000     5.8500      9.91   0.162500   0.167280   0.172172                          59.94    20.66 
JPMorgan Chase Financial 48134BCC5 10/31/23 10/29/26    100.000     0.000     5.4000      9.15   0.150000   0.154028   0.158186   0.162457  0.166844     55.23    58.25 
JPMorgan Chase Financial 48134BCB7 11/03/23 05/05/25    100.000     0.000     5.8500      9.43   0.162553   0.167307   0.172201                          59.92    21.35 
JPMorgan Chase Financial 48133PB51 01/04/23 01/02/26    100.000     0.000     4.8900     49.08   0.139118   0.142519   0.146004   0.149573  0.153230     51.93    54.50 
JPMorgan Chase Financial 48134AR72 09/20/23 12/19/24    100.000     0.000     5.5900     15.71   0.157424   0.161824                                     55.58          
JPMorgan Chase Financial 48133XJB3 07/06/23 07/03/25    100.000     0.000     5.9600     28.97   0.165556   0.170407   0.175485   0.180714               62.24    32.88 
JPMorgan Chase Financial 48134AQX6 09/15/23 09/16/27    100.000     0.000     5.3200     15.66   0.147778   0.151731   0.155767   0.159910  0.164164     54.75    57.70 
JPMorgan Chase Financial 48133XJA5 07/05/23 07/07/25    100.000     0.000     5.9600     29.15   0.165610   0.170546   0.175628   0.180862               62.25    33.61 
JPMorgan Chase Financial 48133XJD9 07/06/23 07/03/25    100.000     0.000     5.9600     28.97   0.165556   0.170407   0.175485   0.180714               62.24    32.88 
JPMorgan Chase Financial 48133XJC1 07/06/23 07/03/25    100.000     0.000     5.9600     28.97   0.165556   0.170407   0.175485   0.180714               62.24    32.88 
JPMorgan Chase Financial 48133TNW1 01/31/23 07/31/24    100.000     0.000     4.7400     44.05   0.134787   0.137982                                     28.75          
JPMorgan Chase Financial 48133WXE3 05/31/23 05/30/25    100.000     0.000     5.9600     35.09   0.170489   0.175570   0.180802                          62.61    26.94 
JPMorgan Chase Financial 48133XJF4 06/30/23 04/01/25    100.000     0.000     6.0300     30.55   0.170053   0.175180   0.180462                          63.08    16.24 
JPMorgan Chase Financial 48133XJE7 06/30/23 07/02/26    100.000     0.000     5.8200     29.27   0.161719   0.166425   0.171268   0.176252  0.181381     60.78    64.36 
JPMorgan Chase Financial 48133VU32 04/26/23 04/24/25    100.000     0.000     5.9600     40.89   0.170434   0.175513   0.180744                          62.96    20.42 
JPMorgan Chase Financial 48133VTR1 05/03/23 01/31/25    100.000     0.000     6.0300     40.23   0.169941   0.175065   0.180343                          63.67     5.23 
JPMorgan Chase Financial 48134B2N2 11/10/23 11/13/25    100.000     0.000     5.5800      7.91   0.155072   0.159399   0.163846   0.168417               57.03    51.94 
JPMorgan Chase Financial 48130CNT8 06/21/24 06/21/39    100.000    VARIES     5.6100                        0.155556   0.154944   0.153000  0.151056     34.57    54.73 
JPMorgan Chase Financial 48133VTS9 04/28/23 04/30/26    100.000     0.000     5.8200     39.58   0.166425   0.171268   0.176252   0.181381  0.186659     61.38    65.01 
JPMorgan Chase Financial 48133WG93 08/03/23 09/03/24    100.000    VARIES     6.0537      1.73   0.011689   0.011667   0.011905                           2.85          
JPMorgan Chase Financial 48134BCS0 10/01/23 10/30/25    100.000     0.000     5.5800     13.99   0.155697   0.160041   0.164506   0.169096               57.37    50.01 
JPMorgan Chase Financial 48134BCV3 11/03/23 11/05/26    100.000     0.000     5.4000      8.70   0.150045   0.154096   0.158257   0.162530  0.166918     55.21    58.23 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48134BD67 10/27/23 10/28/25    100.000     0.000     5.5800      9.92   0.155000   0.159349   0.163794   0.168364               57.14    49.47 
JPMorgan Chase Financial 48130CNY7 06/21/24 06/21/39    100.000    VARIES     5.6100                        0.155561   0.154444   0.151556  0.148556     34.49    54.02 
JPMorgan Chase Financial 48133XJP2 07/06/23 07/06/26    100.000     0.000     5.8200     28.29   0.161667   0.166371   0.171213   0.176195  0.181322     60.72    64.30 
JPMorgan Chase Financial 48133V3H1 05/31/23 04/22/26    100.000     0.000     5.8200     34.37   0.165378   0.170190   0.175143   0.180240  0.185485     61.08    64.68 
JPMorgan Chase Financial 48134ARG2 09/29/23 10/01/26    100.000     0.000     5.4000     13.80   0.150045   0.154096   0.158257   0.162530  0.166918     55.48    58.52 
JPMorgan Chase Financial 48133NMX3 09/30/22 09/30/27    100.000     0.000     5.1900     66.38   0.151746   0.155684   0.159724   0.163869  0.168121     56.06    59.01 
JPMorgan Chase Financial 48133UAJ1 07/20/23 08/20/24    100.000     7.000     6.0700      1.92   0.011925   0.011889   0.012200                           2.75          
JPMorgan Chase Financial 48133W6R4 06/10/24 07/08/25    100.000    VARIES     5.0600                        0.140900   0.140833   0.144389  0.147500     28.16    27.17 
JPMorgan Chase Financial 48134ARM9 10/04/23 07/03/25    100.000     0.000     5.7200     13.82   0.158889   0.161136   0.165744   0.170485               58.82    31.02 
JPMorgan Chase Financial 48133XJH0 07/06/23 01/03/25    100.000     0.000     6.1000     29.65   0.169444   0.174526   0.179849                          63.77     0.36 
JPMorgan Chase Financial 48133XJG2 07/06/23 08/02/24    100.000     0.000     5.3800     26.24   0.150025   0.154061                                     32.38          
JPMorgan Chase Financial 48134BDD2 11/03/23 11/04/27    100.000     0.000     5.3200      8.57   0.147778   0.151731   0.155767   0.159910  0.164164     54.37    57.30 
JPMorgan Chase Financial 48133PC43 12/28/22 12/26/25    100.000     0.000     4.9800     50.86   0.145269   0.148886   0.152593   0.156393               52.98    54.85 
JPMorgan Chase Financial 48134ARB3 10/04/23 10/02/26    100.000     0.000     5.4000     13.05   0.150000   0.154005   0.158163   0.162434  0.166819     55.45    58.48 
JPMorgan Chase Financial 48133XJJ6 06/30/23 01/02/25    100.000     0.000     5.4300     27.31   0.150879   0.154975   0.159183                          56.54     0.16 
JPMorgan Chase Financial 48133PC27 01/04/23 07/05/24    100.000     0.000     4.7400     47.56   0.134805   0.137999                                     25.38          
JPMorgan Chase Financial 48133PBQ5 12/02/22 12/04/24    100.000     0.000     4.8500     53.19   0.141374   0.144802                                     47.69          
JPMorgan Chase Financial 48133PBT9 12/21/22 01/22/24    100.000     0.000     4.2620     44.35   0.121356                                                 2.55          
JPMorgan Chase Financial 48133XJL1 06/30/23 07/02/25    100.000     0.000     5.3200     26.76   0.147821   0.151754   0.155790   0.159934               55.35    28.94 
JPMorgan Chase Financial 48133XJK3 07/06/23 07/03/25    100.000     0.000     5.9600     28.97   0.165556   0.170407   0.175485   0.180714               62.24    32.88 
JPMorgan Chase Financial 48133PC84 12/27/22 12/26/25    100.000     0.000     4.9800     51.00   0.145288   0.148906   0.152614   0.156414               52.99    54.86 
JPMorgan Chase Financial 48133XJN7 06/30/23 07/02/26    100.000     0.000     5.8200     29.27   0.161719   0.166425   0.171268   0.176252  0.181381     60.78    64.36 
JPMorgan Chase Financial 48133XJM9 07/06/23 07/03/25    100.000     0.000     5.9600     28.97   0.165556   0.170407   0.175485   0.180714               62.24    32.88 
JPMorgan Chase Financial 48133PBU6 12/19/22 01/19/24    100.000     0.000     5.3102     55.73   0.152092                                                 2.74          
JPMorgan Chase Financial 48134B3Y7 11/13/23 03/28/25    100.000     0.000     5.7700      7.69   0.160278   0.163746   0.168470                          59.09    14.66 
JPMorgan Chase Financial 48133XKB1 06/14/23 06/14/28    100.000     0.000     5.7200     31.38   0.163433   0.168107   0.172915   0.177861  0.182947     59.84    63.31 
JPMorgan Chase Financial 48134ARZ0 09/29/23 10/01/26    100.000     0.000     5.4000     13.80   0.150045   0.154096   0.158257   0.162530  0.166918     55.48    58.52 
JPMorgan Chase Financial 48133W7A0 06/21/24 07/08/25    100.000    VARIES     5.0600                        0.140000   0.140611   0.144167  0.147500     26.57    27.13 
JPMorgan Chase Financial 48133XJY3 06/30/23 06/30/26    100.000     0.000     5.3000     26.65   0.151124   0.155128   0.159239   0.163459  0.167791     55.13    58.09 
JPMorgan Chase Financial 48133PCB7 12/19/22 01/19/24    100.000     0.000     4.2500     44.47   0.120991                                                 2.18          
JPMorgan Chase Financial 48134ARP2 09/29/23 09/29/28    100.000     0.000     5.3000     13.54   0.147222   0.151124   0.155128   0.159239  0.163459     54.43    57.35 
JPMorgan Chase Financial 48133XJX5 06/30/23 07/02/26    100.000     0.000     5.4000     27.16   0.150045   0.154096   0.158257   0.162530  0.166918     56.22    59.29 
JPMorgan Chase Financial 48133VE55 04/26/23 05/24/24    100.000     0.000     6.5800     45.21   0.189757                                                27.14          
JPMorgan Chase Financial 48133TP33 03/03/23 03/05/26    100.000     0.000     5.6400     47.21   0.161135   0.165679   0.170351   0.175155  0.180095     59.90    63.32 
JPMorgan Chase Financial 48133W6Y9 06/20/24 07/08/25    100.000    VARIES     5.0600                        0.140000   0.140667   0.144222  0.147500     26.72    27.14 
JPMorgan Chase Financial 48133USJ2 03/08/23 03/06/25    100.000     0.000     5.6400     46.41   0.161036   0.165577   0.170246                          59.85    11.07 
JPMorgan Chase Financial 48133NNU8 10/31/22 10/29/26    100.000     0.000     5.1000     60.74   0.148963   0.152762   0.156657   0.160652  0.164749     54.79    57.62 
JPMorgan Chase Financial 48133NNZ7 11/03/22 11/05/25    100.000     0.000     4.9800     58.85   0.145348   0.148967   0.152677   0.156478               53.39    47.10 
JPMorgan Chase Financial 48133PDB6 12/21/22 12/17/25    100.000     0.000     4.9800     51.89   0.145230   0.148846   0.152552   0.156351               53.04    53.47 
JPMorgan Chase Financial 48133WHV3 06/05/23 06/04/27    100.000    VARIES     5.8400     33.26   0.162889   0.167056   0.167778   0.172222  0.173000     59.39    61.20 
JPMorgan Chase Financial 48133XL87 06/30/23 12/27/24    100.000     0.000     5.8500     29.43   0.167174   0.172064                                     60.39          
JPMorgan Chase Financial 48133UBA9 02/17/23 02/20/25    100.000     0.000     5.7200     50.51   0.163511   0.168187   0.172998                          60.95     8.48 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48134BVF7 11/01/23 10/30/25    100.000     0.000     5.5800      9.30   0.155000   0.159300   0.163745   0.168313               57.11    49.78 
JPMorgan Chase Financial 48134BEG4 10/31/23 10/31/28    100.000     0.000     5.3000      8.98   0.147222   0.151124   0.155128   0.159239  0.163459     54.18    57.09 
JPMorgan Chase Financial 48134BEF6 11/03/23 11/03/28    100.000     0.000     5.3000      8.54   0.147222   0.151124   0.155128   0.159239  0.163459     54.16    57.07 
JPMorgan Chase Financial 48133XKP0 06/30/23 07/02/25    100.000     0.000     5.9600     29.98   0.165610   0.170546   0.175628   0.180862               62.30    32.73 
JPMorgan Chase Financial 48133WYN2 05/12/23 05/14/24    100.000     0.000     5.2300     33.46   0.149120                                                19.83          
JPMorgan Chase Financial 48134BVJ9 10/18/23 10/18/28    100.000     0.000     5.3000     10.75   0.147222   0.151124   0.155128   0.159239  0.163459     54.28    57.19 
JPMorgan Chase Financial 48133LR20 08/31/22 08/29/25    100.000     0.000     4.8100     65.63   0.140097   0.143466   0.146916   0.150430               51.87    35.60 
JPMorgan Chase Financial 48133LR53 09/06/22 03/05/24    100.000     0.000     4.4000     59.17   0.127644                                                 8.17          
JPMorgan Chase Financial 48133M2V1 09/30/22 10/01/26    100.000     0.000     5.1000     65.21   0.149004   0.152804   0.156700   0.160696  0.164794     55.02    57.86 
JPMorgan Chase Financial 48133LQN5 07/19/22 07/17/24    100.000     0.000     4.8100     71.38   0.140079   0.143447                                     28.06          
JPMorgan Chase Financial 48133M2P4 10/05/22 10/03/24    100.000     0.000     4.8500     61.25   0.141298   0.144725                                     39.05          
JPMorgan Chase Financial 48133MUF5 09/02/22 01/05/29    100.000     0.000     5.9000     80.55   0.172125   0.177202   0.182430   0.187812  0.193352     64.69    68.57 
JPMorgan Chase Financial 48133M3B4 10/04/22 10/02/25    100.000     0.000     4.8100     60.87   0.140079   0.143447   0.146897   0.150430               51.64    40.45 
JPMorgan Chase Financial 48133LRJ3 07/27/22 07/27/27    100.000     0.000     5.0100     73.25   0.146226   0.149889   0.153644   0.157493  0.161438     54.44    57.20 
JPMorgan Chase Financial 48133M3A6 10/05/22 10/03/25    100.000     0.000     4.8100     60.73   0.140079   0.143447   0.146897   0.150430               51.63    40.59 
JPMorgan Chase Financial 48133M3T5 10/05/22 10/03/25    100.000     0.000     4.9800     62.92   0.145269   0.148886   0.152593   0.156393               53.59    42.19 
JPMorgan Chase Financial 48133M3V0 10/05/22 10/05/26    100.000     0.000     5.1000     64.46   0.148984   0.152783   0.156679   0.160674  0.164771     54.98    57.82 
JPMorgan Chase Financial 48133M3X6 09/30/22 10/02/25    100.000     0.000     4.9800     63.65   0.145348   0.148967   0.152677   0.156478               53.63    42.06 
JPMorgan Chase Financial 48133M3W8 10/05/22 10/05/27    100.000     0.000     5.1900     65.62   0.151746   0.155684   0.159724   0.163869  0.168121     56.02    58.97 
JPMorgan Chase Financial 48133M3Z1 09/30/22 09/30/27    100.000     0.000     5.1900     66.38   0.151746   0.155684   0.159724   0.163869  0.168121     56.06    59.01 
JPMorgan Chase Financial 48133LB92 09/06/22 09/03/26    100.000     0.000     4.9300     66.45   0.143721   0.147264   0.150894   0.154614  0.158425     53.22    55.88 
JPMorgan Chase Financial 48133M3Y4 09/30/22 10/02/25    100.000     0.000     4.9800     63.65   0.145348   0.148967   0.152677   0.156478               53.63    42.06 
JPMorgan Chase Financial 48133M3N8 10/05/22 10/03/25    100.000     0.000     4.9800     62.92   0.145269   0.148886   0.152593   0.156393               53.59    42.19 
JPMorgan Chase Financial 48133PNQ2 11/08/22 11/07/24    100.000     0.000     4.8500     56.58   0.141317   0.144744                                     43.86          
JPMorgan Chase Financial 48133M4P2 10/05/22 04/04/24    100.000     0.000     4.7400     59.83   0.137964                                                12.83          
JPMorgan Chase Financial 48133LCM2 07/29/22 07/31/25    100.000     0.000     4.8100     69.98   0.140134   0.143504   0.146955   0.150490               52.08    31.35 
JPMorgan Chase Financial 48133LCP5 07/29/22 07/31/25    100.000     0.000     4.8100     69.98   0.140134   0.143504   0.146955   0.150490               52.08    31.35 
JPMorgan Chase Financial 48133MG87 09/07/22 09/05/25    100.000     0.000     4.8100     64.65   0.140079   0.143447   0.146897   0.150430               51.83    36.48 
JPMorgan Chase Financial 48133PPW7 11/09/22 11/07/24    100.000     0.000     4.8500     56.44   0.141298   0.144725                                     43.85          
JPMorgan Chase Financial 48133LN32 09/06/22 09/05/25    100.000     0.000     4.8100     64.79   0.140097   0.143466   0.146916   0.150450               51.83    36.48 
JPMorgan Chase Financial 48133LN81 09/06/22 09/03/27    100.000     0.000     5.0100     67.55   0.146167   0.149828   0.153581   0.157429  0.161372     54.15    56.90 
JPMorgan Chase Financial 48133LNU2 07/20/22 07/18/25    100.000     0.000     4.8100     71.24   0.140079   0.143447   0.146897   0.150430               52.15    29.57 
JPMorgan Chase Financial 48133MSU0 10/05/22 10/03/25    100.000     0.000     4.9800     62.92   0.145269   0.148886   0.152593   0.156393               53.59    42.19 
JPMorgan Chase Financial 48133LQ21 08/31/22 08/31/27    100.000     0.000     5.0100     68.42   0.146226   0.149869   0.153644   0.157450  0.161438     54.20    56.95 
JPMorgan Chase Financial 48133LQ70 08/31/22 08/29/25    100.000     0.000     4.8100     65.63   0.140097   0.143466   0.146916   0.150430               51.87    35.60 
JPMorgan Chase Financial 48133M2F6 09/30/22 10/02/25    100.000     0.000     4.9800     63.65   0.145348   0.148967   0.152677   0.156478               53.63    42.06 
JPMorgan Chase Financial 48133MLL2 08/30/22 08/28/26    100.000     0.000     4.9300     67.31   0.143741   0.147284   0.150914   0.154634  0.158446     53.27    55.93 
JPMorgan Chase Financial 48133PET6 11/09/22 11/07/24    100.000     0.000     4.8500     56.44   0.141298   0.144725                                     43.85          
JPMorgan Chase Financial 48133LKB7 07/13/22 07/11/25    100.000     0.000     4.8100     72.22   0.140079   0.143447   0.146897   0.150430               52.19    28.55 
JPMorgan Chase Financial 48133MNW6 09/02/22 09/05/24    100.000     0.000     4.6100     62.59   0.134078   0.137169                                     33.27          
JPMorgan Chase Financial 48133LM90 09/06/22 09/05/25    100.000     0.000     4.8100     64.79   0.140097   0.143466   0.146916   0.150450               51.83    36.48 
JPMorgan Chase Financial 48133LVV1 08/31/22 08/29/25    100.000     0.000     4.8100     65.63   0.140097   0.143466   0.146916   0.150430               51.87    35.60 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMorgan Chase Financial 48133LVU3 09/06/22 09/05/25    100.000     0.000     4.8100     64.79   0.140097   0.143466   0.146916   0.150450               51.83    36.48 
JPMorgan Chase Financial 48133PRX3 11/16/22 05/15/25    100.000     0.000     4.9200     56.26   0.143454   0.146983   0.150599                          52.61    20.18 
JPMorgan Chase Financial 48133PRY1 11/16/22 11/16/27    100.000     0.000     5.1900     59.40   0.151746   0.155684   0.159724   0.163869  0.168121     55.70    58.62 
JPMorgan Chase Financial 48133LFG2 07/29/22 07/31/25    100.000     0.000     4.8100     69.98   0.140134   0.143504   0.146955   0.150490               52.08    31.35 
JPMorgan Chase Financial 48133PSB0 11/21/22 01/06/25    100.000     0.000     4.8500     54.75   0.138826   0.142192   0.145640                          51.78     0.73 
JPMorgan Chase Financial 48133LGG1 07/27/22 07/27/28    100.000     0.000     5.0800     74.29   0.148371   0.152139   0.156004   0.159966  0.164029     55.27    58.11 
JPMorgan Chase Financial 48133LGJ5 07/27/22 07/27/26    100.000     0.000     5.0100     73.25   0.146226   0.149889   0.153644   0.157493  0.161438     54.44    57.20 
JPMorgan Chase Financial 48133PTX1 11/18/22 11/20/24    100.000     0.000     4.8500     55.17   0.141374   0.144802                                     45.72          
JPMorgan Chase Financial 48133PTY9 11/18/22 11/20/24    100.000     0.000     4.8500     55.17   0.141374   0.144802                                     45.72          
JPMorgan Financial Compa 48134RML9 11/22/23 11/20/26    100.000     0.000     6.1000      6.61   0.169444   0.174555   0.179879   0.185365  0.191019     62.35    66.20 
JPMorgan Financial Compa 48134BR21 12/05/23 12/04/25    100.000     0.000     5.5800      4.03   0.155000   0.159300   0.163745   0.168313               56.81    55.35 
JPMorgan Financial Compa 48134RKM9 11/22/23 11/20/26    100.000     0.000     6.1700      6.68   0.171389   0.176617   0.182066   0.187683  0.193473     63.08    67.02 
JPMorgan Financial Compa 48134BN33 12/05/23 12/03/27    100.000     0.000     6.2900      4.54   0.174722   0.180156   0.185822   0.191666  0.197694     64.19    68.28 
JPMorgan Financial Compa 48134RL44 12/05/23 12/03/27    100.000     0.000     6.1900      4.47   0.171944   0.177207   0.182692   0.188346  0.194175     63.15    67.11 
JPMorgan Financial Compa 48134BN58 12/05/23 12/03/26    100.000     0.000     6.1700      4.46   0.171389   0.176617   0.182066   0.187683  0.193473     62.94    66.87 
JPMorgan Financial Compa 48134BN66 12/04/23 12/03/26    100.000     0.000     6.1700      4.63   0.171389   0.176647   0.182096   0.187714  0.193505     62.95    66.89 
JPMorgan Financial Compa 48134RLH9 11/22/23 05/21/26    100.000     0.000     6.1700      6.68   0.171389   0.176647   0.182096   0.187714  0.193505     63.07    67.02 
JPMorgan Financial Compa 48134RVT2 12/07/23 12/09/25    100.000     0.000     6.1600      4.11   0.171170   0.176442   0.181876   0.187478               62.81    62.48 
JPMorgan Financial Compa 48134ACX1 10/04/23 10/04/27    100.000     0.000     5.3900     13.03   0.149722   0.153757   0.157901   0.162156  0.166527     55.34    58.36 
JPMorgan Financial Compa 48134RGQ5 11/20/23 11/02/25    100.000     0.000     6.1600      7.02   0.171111   0.175854   0.181271   0.186854               63.05    55.57 
JPMorgan Financial Compa 48133WV70 11/22/23 05/21/26    100.000     0.000     6.1700      6.68   0.171389   0.176647   0.182096   0.187714  0.193505     63.07    67.02 
JPMorgan Financial Compa 48134BT94 11/30/23 12/02/26    100.000     0.000     5.4000      4.65   0.150045   0.154096   0.158257   0.162530  0.166918     54.98    57.99 
JPMorgan Financial Compa 48134BT86 11/30/23 12/02/26    100.000     0.000     5.4000      4.65   0.150045   0.154096   0.158257   0.162530  0.166918     54.98    57.99 
JPMorgan Financial Compa 48134BT78 12/05/23 12/04/25    100.000     0.000     5.5800      4.03   0.155000   0.159300   0.163745   0.168313               56.81    55.35 
JPMorgan Financial Compa 48133WW61 11/22/23 05/22/25    100.000     0.000     6.2400      6.76   0.173333   0.178741   0.184318                          63.80    25.99 
JPMorgan Financial Compa 48134BT45 12/05/23 12/03/26    100.000     0.000     6.1700      4.46   0.171389   0.176617   0.182066   0.187683  0.193473     62.94    66.87 
JPMorgan Financial Compa 48134BT37 12/05/23 09/05/25    100.000     0.000     6.2400      4.51   0.173333   0.176037   0.181530   0.187193               63.84    45.31 
JPMorgan Financial Compa 48134BT60 12/05/23 12/03/26    100.000     0.000     6.1700      4.46   0.171389   0.176617   0.182066   0.187683  0.193473     62.94    66.87 
JPMorgan Financial Compa 48134RAS7 11/30/23 12/03/25    100.000     0.000     5.5800      4.81   0.155072   0.159399   0.163846   0.168417               56.85    55.22 
JPMorgan Financial Compa 48134RAZ1 12/05/23 06/04/25    100.000     0.000     5.8500      4.23   0.162500   0.167227   0.172118                          59.61    26.33 
JPMorgan Financial Compa 48134RAX6 12/05/23 01/03/25    100.000     0.000     5.4100      3.91   0.150278   0.150910   0.154992                          55.05     0.31 
JPMorgan Financial Compa 48134RBG2 11/30/23 12/03/25    100.000     0.000     5.5800      4.81   0.155072   0.159399   0.163846   0.168417               56.85    55.22 
JPMorgan Financial Compa 48134BU27 11/30/23 12/02/26    100.000     0.000     5.4000      4.65   0.150045   0.154096   0.158257   0.162530  0.166918     54.98    57.99 
JPMorgan Financial Compa 48134BU68 11/30/23 09/02/25    100.000     0.000     5.7200      4.93   0.158889   0.161211   0.165822   0.170565               58.44    40.82 
JPMorgan Financial Compa 48134RBD9 12/05/23 12/04/25    100.000     0.000     5.5800      4.03   0.155000   0.159300   0.163745   0.168313               56.81    55.35 
JPMorgan Financial Compa 48134RBA5 11/30/23 05/30/25    100.000     0.000     5.8500      5.04   0.162500   0.167253   0.172145                          59.65    25.65 
JPMorgan Financial Compa 48134RSR0 11/30/23 11/28/25    100.000     0.000     6.1600      5.30   0.171111   0.176323   0.181754   0.187352               62.89    60.44 
JPMorgan Financial Compa 48134B4B6 11/30/23 12/02/26    100.000     0.000     5.4000      4.65   0.150045   0.154096   0.158257   0.162530  0.166918     54.98    57.99 
JPMorgan Financial Compa 48134B4D2 12/05/23 12/03/26    100.000     0.000     5.4000      3.90   0.150000   0.154005   0.158163   0.162434  0.166819     54.95    57.95 
JPMorgan Financial Compa 48134RD47 12/06/23 03/05/25    100.000     0.000     5.9100      4.10   0.164167   0.166565   0.171487                          60.38    10.98 
JUDSON TEX INDPT SCH DIS 481305KT6 12/17/20 02/01/39     57.665     0.000     3.0607     55.79   0.053092   0.053904   0.054729   0.055567  0.056417     19.50    20.11 
JUDSON TEX INDPT SCH DIS 481305KS8 12/17/20 02/01/38     60.454     0.000     2.9608     56.50   0.053705   0.054500   0.055307   0.056125  0.056956     19.72    20.31 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27     28.707     0.000     6.3500    518.68   0.141726   0.146226   0.150868   0.155659  0.160601     51.98    55.33 
Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26     29.691     0.000     6.3498    536.48   0.146221   0.150864   0.155653   0.160595  0.165694     53.76    57.23 
Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25     31.890     0.000     6.2997    569.07   0.154577   0.159446   0.164468   0.169648               56.82    55.21 
Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24     33.931     0.000     6.2996    605.48   0.164466   0.169647                                     55.21          
Jeferies Group LLC       47233JKK3 10/31/22 05/02/25    100.000     0.000     5.9500     71.08   0.175316   0.180532   0.185902                          64.68    22.49 
Jeferies Group LLC       47233JKJ6 10/31/22 11/02/26    100.000     0.000     6.2900     75.23   0.185950   0.191798   0.197830   0.204052  0.210469     68.70    73.08 
Jeferies Group LLC       47233WBV0 09/27/23 03/27/29    100.000     0.000     6.0500     15.80   0.168056   0.173139   0.178377   0.183773  0.189332     62.39    66.22 
Jeferies Group LLC       47233JKP2 10/28/22 10/29/25    100.000     0.000     6.0700     72.89   0.179030   0.184464   0.190062   0.195831               66.11    57.68 
Jefferies Group LLC      47233JGS1 10/06/21 10/06/41    100.000    VARIES     3.6382     77.63   0.093352   0.093258   0.093354   0.093542  0.093704     33.59    33.67 
Jefferies Group LLC      47233JGU6 10/22/21 10/22/41    100.000    VARIES     3.7907     79.53   0.098226   0.098380   0.098388   0.098421  0.098570     35.40    35.44 
Jefferies Group LLC      47233JFH6 06/28/21 06/28/41    100.000    VARIES     3.7162     91.71   0.098976   0.098446   0.098059   0.097785  0.097553     35.53    35.25 
Jefferies Group LLC      47233JEB0 10/30/20 10/31/40    100.000    VARIES     3.6781    111.55   0.093692   0.093090   0.092587   0.092183  0.091864     33.55    33.21 
Jefferies Group LLC      47233JDF2 05/29/20 05/28/32    100.000    VARIES     3.1824     24.42   0.017414   0.017691   0.017973   0.018259  0.018549      6.34     6.54 
Jefferies Group LLC      47233JDQ8 08/21/20 08/28/35    100.000    VARIES     3.6012    118.64   0.096110   0.095776   0.095583   0.095509  0.095524     34.47    34.39 
Jefferies Group LLC      47233JCR7 11/29/19 11/29/34    100.000    VARIES     4.1288    166.22   0.111747   0.111881   0.112022   0.112163  0.112295     40.26    40.36 
Jefferies Group LLC      47233JCE6 08/30/19 08/31/39    100.000    VARIES     4.1514    170.61   0.105804   0.106247   0.106713   0.107110  0.107535     38.28    38.59 
Jefferies Group LLC      47233JBT4 03/21/19 03/21/31    100.000    VARIES     4.2780     24.10   0.013327   0.013612   0.013903   0.014200  0.014504      4.91     5.12 
Jefferies Group LLC      47233JBW7 05/31/19 05/31/39    100.000    VARIES     5.4586     14.26   0.005242   0.005385   0.005532   0.005683  0.005838      1.92     2.03 
Jefferies Group LLC      47233JBV9 04/30/19 04/30/34    100.000    VARIES     5.1653     21.34   0.009478   0.009723   0.009974   0.010232  0.010496      3.49     3.67 
Jefferies Group LLC      47233JBY3 06/26/19 06/26/39    100.000    VARIES     5.4862     22.71   0.008964   0.007856   0.008072   0.008293  0.008521      3.02     2.95 
Jefferies Group LLC      47233JBC1 10/31/17 10/31/37    100.000    VARIES     5.1265    298.98   0.130904   0.130977   0.131159   0.131441  0.131797     47.15    47.31 
Jefferies Group LLC      47233JBB3 10/31/17 10/31/37    100.000    VARIES     5.1557    296.46   0.128990   0.128908   0.128911   0.129007  0.129170     46.42    46.44 
Jefferies Group LLC      47233JBE7 12/28/17 12/28/37    100.000    VARIES     4.3011     34.66   0.011744   0.011997   0.012255   0.012518  0.012787      4.28     4.46 
Jefferies Group LLC      47233JBG2 01/31/18 01/31/38    100.000    VARIES     5.0271    279.79   0.130347   0.130749   0.131158   0.131588  0.132048     47.12    47.43 
Jefferies Group LLC      47233JBK3 03/29/18 03/29/38    100.000    VARIES     5.3355    296.30   0.141533   0.141814   0.142076   0.142331  0.142589     51.05    51.24 
Jefferies Group LLC      47233JBJ6 02/28/18 02/28/38    100.000    VARIES     4.1737     17.61   0.006956   0.007100   0.007249   0.007399  0.007555      2.57     2.67 
Jefferies Group LLC      47233JAL2 04/28/17 04/28/33    100.000    VARIES     5.1690    315.29   0.128193   0.128545   0.128906   0.129276  0.129945     46.26    46.54 
Jefferies Group LLC      47233JAQ1 06/30/17 06/30/37    100.000    VARIES     5.1829    302.13   0.123617   0.123833   0.124141   0.124549  0.125023     44.54    44.77 
Jefferies Group LLC      47233JAP3 05/31/17 05/31/34    100.000    VARIES     5.0961    312.09   0.128172   0.128236   0.128685   0.129145  0.129617     46.17    46.44 
Jefferies Group LLC      47233JAT5 07/31/17 07/31/37    100.000    VARIES     5.3560    322.72   0.134983   0.134996   0.135135   0.135387  0.135741     48.62    48.79 
Jefferies Group LLC      47233JAV0 08/31/17 08/31/37    100.000    VARIES     5.1572    297.96   0.120338   0.120480   0.120735   0.121008  0.121431     43.40    43.60 
Jefferies Group LLC      47233JAY4 09/29/17 09/30/37    100.000    VARIES     5.0451    293.00   0.125045   0.125071   0.125172   0.125356  0.125605     45.03    45.13 
Jefferies Group LLC      47233JAX6 08/31/17 08/31/37    100.000    VARIES     5.1565    300.22   0.125912   0.125788   0.125791   0.125819  0.126009     45.29    45.32 
Jefferies Group LLC      47233JAK4 02/28/17 02/28/24    100.000    VARIES     2.8488     18.16   0.007799                                                 0.44          
Jefferies Group LLC      47233WCQ0 01/02/24 07/02/27    100.000     0.000     5.1200                        0.142222   0.145863   0.149597  0.153427     51.71    54.54 
Jefferies Group LLC      47233WCC1 11/02/23 08/03/26    100.000     0.000     6.3400     10.39   0.176111   0.178933   0.184606   0.190458  0.196495     65.17    69.27 
Jefferies Group LLC      47233WBH1 07/26/23 01/26/28    100.000     0.000     5.7500     24.76   0.159722   0.164314   0.169038   0.173898  0.178898     59.77    63.26 
Jefferies Group LLC      47233WBJ7 07/26/23 01/26/29    100.000     0.000     5.7700     24.84   0.160278   0.164902   0.169659   0.174554  0.179590     59.99    63.50 
Jefferies Group LLC      47233WBQ1 08/31/23 02/26/27    100.000     0.000     6.0100     20.20   0.166944   0.171850   0.177014   0.182333  0.187812     62.24    66.03 
Jefferies Group LLC      47233WBW8 09/27/23 03/27/28    100.000     0.000     6.1000     15.93   0.169444   0.174613   0.179938   0.185426  0.191082     62.92    66.81 
Jefferies Group LLC      47233WAX7 04/28/23 04/28/27    100.000     0.000     5.1100     34.72   0.145571   0.149290   0.153105   0.157017  0.161028     53.55    56.32 
Jefferies Group LLC      47233WBC2 05/30/23 05/26/27    100.000     0.000     5.2800     31.08   0.150453   0.154425   0.158501   0.162686  0.166981     55.16    58.11 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Jefferies Group LLC      47233WBF5 07/06/23 12/27/28    100.000     0.000     5.5100     26.80   0.157061   0.161388   0.165835   0.170403  0.175098     57.36    60.56 
Jefferies Group LLC      47233WAH2 12/27/22 06/25/27    100.000     0.000     5.3100     54.43   0.155392   0.159517   0.163752   0.168100  0.172563     56.73    59.79 
Jefferies Group LLC      47233WAJ8 12/27/22 06/27/28    100.000     0.000     5.4900     56.30   0.160987   0.165406   0.169947   0.174612  0.179405     58.79    62.06 
Jefferies Group LLC      47233WAK5 01/31/23 01/31/43    100.000    VARIES     5.9130      3.75   0.009372   0.008072   0.006735   0.006735  0.005356      3.22     2.26 
Jefferies Group LLC      47233WAN9 04/04/23 04/05/27    100.000     0.000     5.4000     40.40   0.154073   0.158232   0.162505   0.166892  0.171398     56.94    60.06 
Jefferies Group, LLC     47233JKF4 10/05/22 04/05/27    100.000     0.000     5.6900     72.09   0.167177   0.171933   0.176825   0.181855  0.187029     61.87    65.44 
Jefferies Group, LLC     47233WAB5 11/23/22 05/21/27    100.000     0.000     5.8800     66.25   0.173024   0.178110   0.183347   0.188737  0.194286     63.62    67.41 
Jefferies Group, LLC     47233WAA7 11/23/22 05/21/26    100.000     0.000     5.7300     64.53   0.168365   0.173189   0.178151   0.183255  0.188505     61.87    65.47 
Jefferies Group, LLC     47233WAD1 12/02/22 12/02/27    100.000     0.000     5.6100     61.66   0.164698   0.169318   0.174067   0.178950  0.183969     60.39    63.83 
Jefferies Group, LLC     47233WAC3 11/17/22 11/17/27    100.000     0.000     5.8400     66.81   0.171834   0.176852   0.182016   0.187331  0.192801     63.21    66.96 
K. HOVNANIAN ENTERPRISES 442488CH3 02/01/18 02/01/40     48.820     5.000    11.3861     45.44   0.028537   0.030161   0.031878   0.033693  0.035611     11.07    12.36 
KELLER TEX INDPT SCH DIS 487694TM3 10/14/20 02/15/25     95.895     0.000     0.9690     30.26   0.026528   0.026657   0.026786                           9.61     1.18 
KEMP TEX INDPT SCH DIST  488386KG7 01/20/22 02/15/27     91.578     0.000     1.7429     31.49   0.045562   0.045959   0.046359   0.046763  0.047171     16.58    16.87 
KENEDY TEX INDPT SCH DIS 488836JE8 11/18/20 08/15/29     84.616     0.000     1.9200     51.99   0.047555   0.048012   0.048473   0.048938  0.049408     17.33    17.66 
KENEDY TEX INDPT SCH DIS 488836JD0 11/18/20 08/15/28     86.913     0.000     1.8199     50.55   0.046174   0.046595   0.047019   0.047446  0.047878     16.81    17.12 
KERMIT TEX INDPT SCH DIS 492224EX4 08/31/21 02/15/25     96.611     0.000     0.9994     22.77   0.027349   0.027486   0.027623                           9.91     1.22 
KFW                      500769BR4 04/19/06 04/18/36     19.779     0.000     5.4760    316.87   0.077425   0.079545   0.081723   0.083961  0.086260     28.57    30.15 
KFW                      500769CH5 06/29/07 06/29/37     18.097     0.000     5.7800    282.54   0.074396   0.076546   0.078758   0.081035  0.083376     27.18    28.77 
KINGS LOC SCH DIST OHIO  496026MA0 01/29/20 12/01/31     68.518     0.000     3.2189     91.46   0.069256   0.070371   0.071503   0.072654  0.073823     25.20    26.02 
KINGSVILLE TEX INDPT SCH 496800QV8 08/18/21 02/15/33     76.454     0.000     2.3500     43.53   0.052285   0.052899   0.053521   0.054149  0.054786     19.10    19.55 
KIRBYVILLE TEX CONS INDP 497332KB1 09/29/20 02/15/25     95.643     0.000     1.0201     32.22   0.027908   0.028050   0.028193                          10.11     1.24 
KIRBYVILLE TEX CONS INDP 497332KC9 09/29/20 02/15/26     93.418     0.000     1.2700     39.31   0.034179   0.034396   0.034614   0.034834  0.035055     12.40    12.56 
KIRBYVILLE TEX CONS INDP 497332KD7 09/29/20 02/15/27     91.602     0.000     1.3800     41.95   0.036533   0.036785   0.037038   0.037294  0.037551     13.27    13.45 
Kansas City Southern     U24468AB3 12/09/15 05/15/43     90.810     4.300     4.9136     15.79   0.006614   0.006776   0.006943   0.007114  0.007288      2.43     2.55 
Kansas City Southern     485170AJ3 12/09/15 05/15/43     90.810     4.300     4.9136     15.79   0.006614   0.006776   0.006943   0.007114  0.007288      2.43     2.55 
Kansas City Southern     485170AX2 12/09/15 05/15/43     90.810     4.300     4.9136     15.79   0.006614   0.006776   0.006943   0.007114  0.007288      2.43     2.55 
Kansas City Southern     485170AQ7 12/09/15 05/15/43     90.810     4.300     4.9136     15.79   0.006614   0.006776   0.006943   0.007114  0.007288      2.43     2.55 
LA PORTE TEX INDPT SCH   504102V76 03/09/21 02/15/26     95.563     0.000     0.9221     25.04   0.025030   0.025146   0.025261   0.025378  0.025495      9.06     9.15 
LA PORTE TEX INDPT SCH   504102V84 03/09/21 02/15/27     93.152     0.000     1.1991     31.84   0.031944   0.032135   0.032328   0.032522  0.032717     11.59    11.73 
LA PORTE TEX INDPT SCH   504102V92 03/09/21 02/15/28     91.162     0.000     1.3390     34.86   0.035027   0.035262   0.035498   0.035735  0.035975     12.72    12.89 
LA PORTE TEX INDPT SCH   504102V50 03/09/21 02/15/24     98.439     0.000     0.5371     14.96   0.014878                                                 0.65          
LA PORTE TEX INDPT SCH   504102V68 03/09/21 02/15/25     97.014     0.000     0.7722     21.25   0.021203   0.021285   0.021367                           7.67     0.94 
LA PORTE TEX INDPT SCH   504102W26 03/09/21 02/15/29     87.964     0.000     1.6230     40.90   0.041248   0.041583   0.041921   0.042261  0.042604     15.00    15.25 
LA SALLE BUREAU & LEE CN 504354DK4 06/30/17 12/01/24    104.424     3.875     3.1886    213.89   0.089167   0.088872                                     29.37          
LA SALLE BUREAU & LEE CN 504354DL2 06/30/17 12/01/25    104.194     3.875     3.2895    220.83   0.092402   0.092151   0.091896   0.091637               33.20    30.28 
LAKE TRAVIS TEX INDPT SC 511074VM5 10/28/20 02/15/24     97.139     0.000     0.8822     27.54   0.024399                                                 1.07          
LD HOLDINGS              521088AD6 06/24/24 11/01/27     87.000     8.750    13.7100                        0.086308   0.092611   0.099278  0.106056     16.77    35.26 
LEANDER TEX INDPT SCH DI 521841WW2 09/09/20 08/15/26     93.781     0.000     1.0851     34.22   0.029178   0.029336   0.029495   0.029655  0.029816     10.58    10.69 
LEANDER TEX INDPT SCH DI 521841WV4 09/09/20 08/15/25     95.817     0.000     0.8680     27.88   0.023697   0.023800   0.023903   0.024007                8.58     5.37 
LEANDER TEX INDPT SCH DI 521841WU6 09/09/20 08/15/24     97.068     0.000     0.7580     24.63   0.020896   0.020976                                      4.70          
LEANDER TEX INDPT SCH DI 521841E28 06/23/21 08/15/30     84.104     0.000     1.9020     41.15   0.046277   0.046717   0.047161   0.047610  0.048062     16.86    17.18 
LEANDER TEX INDPT SCH DI 521841E36 06/23/21 08/15/31     81.620     0.000     2.0120     42.29   0.047618   0.048097   0.048581   0.049069  0.049563     17.36    17.71 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

LEANDER TEX INDPT SCH DI 521841D94 06/23/21 08/15/29     86.476     0.000     1.7920     39.81   0.044724   0.045125   0.045529   0.045937  0.046348     16.28    16.58 
LEANDER TEX INDPT SCH DI 521841D86 06/23/21 08/15/28     89.415     0.000     1.5721     36.03   0.040380   0.040697   0.041017   0.041339  0.041664     14.68    14.91 
LEANDER TEX INDPT SCH DI 521841D78 06/23/21 08/15/27     91.773     0.000     1.4020     32.93   0.036829   0.037087   0.037347   0.037609  0.037872     13.38    13.56 
LEANDER TEX INDPT SCH DI 521841D45 06/23/21 08/15/24     98.238     0.000     0.5661     14.11   0.015637   0.015681                                      3.51          
LEANDER TEX INDPT SCH DI 521841D60 06/23/21 08/15/26     94.300     0.000     1.1440     27.53   0.030709   0.030885   0.031061   0.031239  0.031418     11.13    11.26 
LEANDER TEX INDPT SCH DI 521841D52 06/23/21 08/15/25     96.410     0.000     0.8841     21.69   0.024128   0.024234   0.024341   0.024449                8.73     5.47 
LEVELLAND TEX CONS INDPT 527318KY4 09/29/20 02/15/29     86.864     0.000     1.6880     48.87   0.042747   0.043108   0.043472   0.043839  0.044209     15.55    15.82 
LEVELLAND TEX CONS INDPT 527318KZ1 09/29/20 02/15/30     84.625     0.000     1.7880     50.50   0.044241   0.044636   0.045035   0.045438  0.045844     16.11    16.40 
LIBERTY BROADBAND CORPOR 530307AE7 02/28/23 03/31/53    100.000    VARIES     7.2500     61.11   0.207389   0.211778   0.214010   0.217463  0.223556     76.25    79.60 
LIBERTY MEDIA CORPORATIO 531229AR3 09/14/23 09/30/53    100.000     2.375     7.2200     21.46   0.201878   0.207167   0.212333   0.217667  0.223167     74.60    78.38 
LIBERTY TRIPADVISOR HOLD 531465AA0 03/25/21 06/30/51    100.000     0.500     6.0428    178.19   0.195412   0.200897   0.206547   0.212368  0.218365     71.35    75.42 
LITTLE ELM TEX INDPT SCH 5370962X6 12/19/19 08/15/24     89.879     0.000     2.3049     87.06   0.062574   0.063295                                     14.15          
LITTLE ELM TEX INDPT SCH 5370962Z1 12/19/19 08/15/26     83.845     0.000     2.6647     94.51   0.068369   0.069280   0.070203   0.071139  0.072087     25.03    25.70 
LITTLE ELM TEX INDPT SCH 5370962Y4 12/19/19 08/15/25     86.818     0.000     2.5148     92.10   0.066450   0.067286   0.068132   0.068988               24.30    15.42 
LITTLE ELM TEX INDPT SCH 5370963A5 12/19/19 08/15/27     80.942     0.000     2.7808     95.40   0.069165   0.070127   0.071102   0.072091  0.073093     25.34    26.05 
LOCKHART TEX INDPT SCH   539770LC9 10/15/20 08/01/24     97.118     0.000     0.7721     24.34   0.021283   0.021366                                      4.48          
LOCKHART TEX INDPT SCH   539770LD7 10/15/20 08/01/25     95.914     0.000     0.8720     27.18   0.023804   0.023908   0.024012   0.024117                8.62     5.06 
LOCKHART TEX INDPT SCH   539770LE5 10/15/20 08/01/26     93.754     0.000     1.1161     34.12   0.029985   0.030152   0.030320   0.030490  0.030660     10.87    11.00 
LONDON TEX INDPT SCH DIS 542119HV7 11/18/20 08/15/28     86.846     0.000     1.8299     50.80   0.046406   0.046831   0.047259   0.047692  0.048128     16.90    17.21 
LONDON TEX INDPT SCH DIS 542119HW5 11/18/20 08/15/29     84.543     0.000     1.9299     52.22   0.047774   0.048235   0.048700   0.049170  0.049645     17.41    17.75 
LONDON TEX INDPT SCH DIS 542119HX3 11/18/20 08/15/30     82.138     0.000     2.0300     53.44   0.048954   0.049451   0.049953   0.050460  0.050972     17.85    18.21 
LORENA TEX INDPT SCH DIS 544061PG3 11/18/20 08/15/30     81.743     0.000     2.0800     54.52   0.049986   0.050506   0.051031   0.051562  0.052098     18.23    18.61 
LORENA TEX INDPT SCH DIS 544061PD0 11/18/20 08/15/27     89.513     0.000     1.6500     47.09   0.042916   0.043270   0.043627   0.043987  0.044350     15.61    15.87 
LORENA TEX INDPT SCH DIS 544061PC2 11/18/20 08/15/26     92.039     0.000     1.4500     42.44   0.038568   0.038848   0.039129   0.039413  0.039699     14.01    14.21 
LORENA TEX INDPT SCH DIS 544061PF5 11/18/20 08/15/29     84.178     0.000     1.9799     53.38   0.048865   0.049349   0.049838   0.050331  0.050829     17.81    18.17 
LORENA TEX INDPT SCH DIS 544061PE8 11/18/20 08/15/28     86.846     0.000     1.8299     50.80   0.046406   0.046831   0.047259   0.047692  0.048128     16.90    17.21 
LORENA TEX INDPT SCH DIS 544061PB4 11/18/20 08/15/25     94.574     0.000     1.1799     35.36   0.032013   0.032202   0.032392   0.032583               11.61     7.29 
LUBBOCK COOPER TEX INDPT 549108VN5 07/28/20 02/15/24     95.669     0.000     1.2520     41.79   0.034563                                                 1.52          
LUBBOCK COOPER TEX INDPT 549108VT2 07/28/20 02/15/29     84.101     0.000     2.0361     60.44   0.050594   0.051109   0.051630   0.052155  0.052686     18.45    18.83 
LUBBOCK COOPER TEX INDPT 549108VU9 07/28/20 02/15/30     82.026     0.000     2.0861     60.44   0.050634   0.051162   0.051696   0.052235  0.052780     18.47    18.86 
LUBBOCK COOPER TEX INDPT 549108VV7 07/28/20 02/15/31     78.683     0.000     2.2859     63.71   0.053545   0.054157   0.054776   0.055402  0.056035     19.55    20.00 
LUBBOCK COOPER TEX INDPT 549108VP0 07/28/20 02/15/25     94.014     0.000     1.3620     44.75   0.037072   0.037324   0.037578                          13.46     1.65 
LUBBOCK COOPER TEX INDPT 549108VQ8 07/28/20 02/15/26     91.448     0.000     1.6181     51.90   0.043172   0.043521   0.043873   0.044228  0.044586     15.70    15.96 
LUBBOCK COOPER TEX INDPT 549108VR6 07/28/20 02/15/27     89.114     0.000     1.7681     55.39   0.046178   0.046587   0.046998   0.047414  0.047833     16.81    17.11 
LUBBOCK COOPER TEX INDPT 549108VS4 07/28/20 02/15/28     86.466     0.000     1.9360     59.00   0.049313   0.049790   0.050272   0.050759  0.051250     17.97    18.32 
LUBBOCK COOPER TEX INDPT 549108WF1 07/28/20 02/15/32     75.265     0.000     2.4759     66.20   0.055794   0.056485   0.057184   0.057892  0.058609     20.40    20.91 
La Moille Comm Unit Sch  120851AY6 11/21/23 12/01/28    100.000     5.800     5.7801      6.41   0.160833   0.165444   0.160667   0.160661  0.160611     58.72    57.84 
La Moille Comm Unit Sch  120851AZ3 11/21/23 12/01/29    100.000     5.850     5.8326      6.47   0.162278   0.167000   0.162111   0.162056  0.162000     59.27    58.37 
La Moille Comm Unit Sch  120851AW0 11/21/23 12/01/26    100.000     5.750     5.7193      6.34   0.159111   0.163667   0.158944   0.158933  0.158889     58.10    57.22 
La Moille Comm Unit Sch  120851AX8 11/21/23 12/01/27    100.000     5.750     5.7263      6.35   0.159333   0.163889   0.159167   0.159161  0.159111     58.17    57.30 
La Moille Comm Unit Sch  120851AV2 11/21/23 12/01/25    100.000     5.750     5.7055      6.33   0.158722   0.163278   0.158556   0.158500               57.95    52.32 
La Moille Comm Unit Sch  120851BA7 11/21/23 12/01/30    100.000     5.900     5.8844      6.52   0.163722   0.168556   0.163556   0.163500  0.163444     59.80    58.89 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Liberty Interactive Corp 530610AD6 08/23/16 09/30/46    100.000     1.750     5.2776    440.95   0.190480   0.194223   0.198066   0.202009  0.206057     69.94    72.74 
Liberty Media Corp.      530715AL5 02/10/01 02/15/30    100.000     3.750     9.4298   5738.69   1.481389   1.546324   1.614320   1.685523  1.760082    563.07   613.80 
Liberty Media Corp.      530715AK7 02/10/01 02/15/30    100.000     3.750     9.4298   5738.69   1.481389   1.546324   1.614320   1.685523  1.760082    563.07   613.80 
Liberty Media Corp.      530715AF8 11/16/99 11/15/29    100.000     4.000     9.0690   5156.40   1.294092   1.347735   1.403809   1.462427  1.523702    480.58   521.44 
Liberty Media Corp.      530715AG6 11/16/99 11/15/29    100.000     4.000     9.0690   5156.40   1.294092   1.347735   1.403809   1.462427  1.523702    480.58   521.44 
Liberty Media Corp.      531229AG7 03/06/18 03/31/48    100.000     2.125     4.8953    307.69   0.159764   0.162231   0.164757   0.167346  0.169998     58.41    60.26 
Liberty Media Corp.      531229AK8 11/12/20 12/01/50    100.000     0.500     3.8921    127.72   0.119884   0.121947   0.124050   0.126194  0.128379     43.65    45.17 
Liberty Media Corp.      531229AJ1 11/26/19 12/01/49    100.000     2.750     4.4630    188.77   0.133195   0.134463   0.135759   0.137084  0.138438     48.26    49.19 
Lloyds TSB Bank PLC      5394E8AN9 04/26/12 04/26/27    100.000    VARIES     4.6791    501.78   0.124233   0.125239   0.126268   0.127320  0.127961     45.04    45.76 
Lloyds TSB Bank PLC      5394E8CL1 04/25/14 04/25/34    100.000    VARIES     3.7159    297.50   0.083885   0.084784   0.085843   0.086922  0.088020     30.49    31.24 
Lloyds TSB Bank PLC      5394E8CE7 11/27/13 11/27/33    100.000    VARIES     4.4797    387.26   0.104836   0.105635   0.106452   0.107287  0.108141     37.94    38.53 
Lloyds TSB Bank PLC      5394E8CC1 10/25/13 10/25/33    100.000    VARIES     5.0339    439.90   0.116588   0.117440   0.118314   0.119210  0.120128     42.24    42.87 
Lloyds TSB Bank PLC      5394E8BY4 07/29/13 07/29/33    100.000    VARIES     4.1865    331.59   0.081810   0.083523   0.085271   0.087056  0.088878     30.29    31.57 
Lloyds TSB Bank PLC      5394E8BV0 07/26/13 07/26/33    100.000    VARIES     4.0718    350.39   0.094381   0.095755   0.097158   0.098589  0.100049     34.65    35.68 
Lloyds TSB Bank PLC      5394E8BT5 07/05/13 07/05/33    100.000    VARIES     4.1638    363.90   0.102252   0.104190   0.106168   0.107641  0.109145     37.85    39.01 
Lloyds TSB Bank PLC      5394E8BR9 04/26/13 04/26/33    100.000    VARIES     3.6255    305.53   0.082487   0.083982   0.085440   0.086925  0.088437     30.16    31.22 
Lloyds TSB Bank PLC      5394E8BN8 02/22/13 02/22/33    100.000    VARIES     3.6892    346.63   0.085214   0.085635   0.086064   0.086500  0.087074     30.86    31.19 
Lloyds TSB Bank PLC      5394E8BK4 01/31/13 01/31/33    100.000    VARIES     3.6033    347.52   0.086321   0.086698   0.087131   0.087572  0.088020     31.27    31.58 
Lloyds TSB Bank PLC      5394E8BE8 07/23/12 07/23/24     96.000    VARIES     4.6384     37.60   0.011632   0.011902                                      2.40          
MADISON OHIO LOC SCH DIS 558090KE5 12/30/19 12/01/30     70.024     0.000     3.2899     97.73   0.072724   0.073920   0.075136   0.076372  0.077628     26.47    27.35 
MADISON OHIO LOC SCH DIS 558090KF2 12/30/19 12/01/31     66.986     0.000     3.3899     96.51   0.071960   0.073180   0.074420   0.075681  0.076964     26.20    27.09 
MANSFIELD TEX INDPT SCH  564386RT9 10/29/20 02/15/24     97.062     0.000     0.9071     28.28   0.025085                                                 1.10          
MARSHALL TEX INDPT SCH   572682RV6 02/11/21 02/15/25     96.566     0.000     0.8731     24.61   0.023937   0.024041   0.024146                           8.66     1.06 
MARSHALL TEX INDPT SCH   572682RW4 02/11/21 02/15/26     95.015     0.000     1.0230     28.43   0.027702   0.027844   0.027986   0.028129  0.028273     10.04    10.14 
MARSHALL TEX INDPT SCH   572682RU8 02/11/21 02/15/24     98.059     0.000     0.6520     18.62   0.018052                                                 0.79          
MC BRAZIL DOWNSTREAM TRA L626A6AA2 07/21/21 06/30/31    100.000     7.250     0.0000    173.48   0.176554   0.165891   0.154749   0.146164  0.139685     61.64    54.16 
MC BRAZIL DOWNSTREAM TRA 55292WAA8 07/21/21 06/30/31    100.000     7.250     0.0000    173.48   0.176554   0.165891   0.154749   0.146164  0.139685     61.64    54.16 
MC GREGOR TEX INDPT SCH  580730LR8 08/18/20 02/15/33     70.673     0.000     2.7980     69.38   0.059691   0.060526   0.061373   0.062231  0.063102     21.87    22.48 
MC GREGOR TEX INDPT SCH  580730LQ0 08/18/20 02/15/32     73.911     0.000     2.6480     68.52   0.058816   0.059595   0.060384   0.061183  0.061993     21.53    22.10 
MC LENNAN CNTY TEX JR CO 582188LF3 05/26/21 08/15/24     97.606     0.000     0.7540     19.27   0.020788   0.020866                                      4.67          
MELISSA TEX INDPT SCH DI 585488VG1 11/24/20 02/01/24     96.927     0.000     0.9819     29.92   0.027143                                                 0.81          
MELISSA TEX INDPT SCH DI 585488VH9 11/24/20 02/01/25     95.384     0.000     1.1321     34.01   0.030918   0.031093   0.031269                          11.21     0.94 
MELISSA TEX INDPT SCH DI 585488VJ5 11/24/20 02/01/26     93.269     0.000     1.3481     39.71   0.036209   0.036453   0.036699   0.036946  0.037195     13.15    13.33 
MELISSA TEX INDPT SCH DI 585488VK2 11/24/20 02/01/27     91.181     0.000     1.4979     43.22   0.039491   0.039787   0.040085   0.040385  0.040688     14.36    14.57 
MESQUITE TEX INDPT SCH   590760UA0 09/30/21 08/15/28     90.002     0.000     1.5380     31.62   0.039572   0.039876   0.040183   0.040492  0.040803     14.38    14.61 
MESQUITE TEX INDPT SCH   590760UB8 09/30/21 08/15/33     76.847     0.000     2.2299     39.38   0.049621   0.050175   0.050734   0.051300  0.051872     18.11    18.52 
MESQUITE TEX INDPT SCH   590760TX2 09/30/21 08/15/25     96.330     0.000     0.9672     21.17   0.026353   0.026480   0.026608   0.026737                9.54     5.98 
MESQUITE TEX INDPT SCH   590760TW4 09/30/21 08/15/24     98.160     0.000     0.6470     14.39   0.017856   0.017913                                      4.01          
MESQUITE TEX INDPT SCH   590760TZ7 09/30/21 08/15/27     92.195     0.000     1.3879     29.19   0.036479   0.036732   0.036987   0.037244  0.037502     13.25    13.43 
MESQUITE TEX INDPT SCH   590760TY0 09/30/21 08/15/26     94.668     0.000     1.1271     24.28   0.030270   0.030440   0.030612   0.030785  0.030958     10.97    11.10 
MESQUITE TEX INDPT SCH   590760TG9 09/30/21 08/15/30     85.371     0.000     1.7900     34.98   0.043891   0.044284   0.044680   0.045080  0.045484     15.98    16.27 
MESQUITE TEX INDPT SCH   590760TH7 09/30/21 08/15/31     82.561     0.000     1.9499     36.91   0.046377   0.046829   0.047285   0.047746  0.048212     16.90    17.23 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MIAMI TEX INDPT SCH DIST 593745BR2 10/21/20 02/15/31     77.389     0.000     2.4998     63.95   0.057635   0.058356   0.059085   0.059824  0.060571     21.08    21.61 
MIAMI TEX INDPT SCH DIST 593745BQ4 10/21/20 02/15/30     80.069     0.000     2.4000     63.43   0.057089   0.057774   0.058468   0.059169  0.059879     20.86    21.37 
MIAMI TRACE OHIO LOC SCH 593779JR3 12/23/21 12/01/33     71.666     0.000     2.8100     41.62   0.059049   0.059879   0.060720   0.061573  0.062438     21.46    22.06 
MIAMI TRACE OHIO LOC SCH 593779JS1 12/23/21 12/01/34     68.373     0.000     2.9600     41.88   0.059514   0.060394   0.061288   0.062195  0.063116     21.64    22.28 
MIAMI TRACE OHIO LOC SCH 593779JT9 12/23/21 12/01/35     65.488     0.000     3.0599     41.50   0.059040   0.059943   0.060861   0.061792  0.062737     21.47    22.13 
MICHIGAN FIN AUTH REV    59447TJ20 10/15/20 06/01/45     20.693     0.000     6.4997     47.22   0.045640   0.047123   0.048655   0.050236  0.051868     16.79    17.90 
MIDDLETOWN OHIO CITY SCH 597137JR0 12/19/19 12/01/35     57.219     0.000     3.5309     86.78   0.064443   0.065581   0.066739   0.067917  0.069116     23.47    24.31 
MIDDLETOWN OHIO CITY SCH 597137JS8 12/19/19 12/01/36     55.067     0.000     3.5510     84.02   0.062420   0.063528   0.064656   0.065804  0.066972     22.74    23.55 
MIDDLETOWN OHIO CITY SCH 597137JP4 12/19/19 12/01/33     62.215     0.000     3.4310     91.52   0.067822   0.068986   0.070169   0.071373  0.072597     24.70    25.55 
MIDDLETOWN OHIO CITY SCH 597137JQ2 12/19/19 12/01/34     59.694     0.000     3.4810     89.17   0.066150   0.067302   0.068473   0.069665  0.070877     24.09    24.94 
MIDDLETOWN OHIO CITY SCH 597137JN9 12/19/19 12/01/32     65.193     0.000     3.3310     92.94   0.068729   0.069874   0.071038   0.072221  0.073424     25.02    25.86 
MINERAL WELLS TEX INDPT  603109RS0 03/31/21 02/15/29     85.552     0.000     1.9913     47.98   0.049602   0.050096   0.050594   0.051098  0.051607     18.08    18.44 
MINERAL WELLS TEX INDPT  603109RR2 03/31/21 02/15/28     88.981     0.000     1.7053     42.59   0.043884   0.044258   0.044636   0.045016  0.045400     15.97    16.24 
MINERAL WELLS TEX INDPT  603109RQ4 03/31/21 02/15/27     91.300     0.000     1.5552     39.79   0.040920   0.041238   0.041559   0.041882  0.042207     14.88    15.11 
MINERAL WELLS TEX INDPT  603109RP6 03/31/21 02/15/26     94.328     0.000     1.2013     31.63   0.032385   0.032580   0.032776   0.032972  0.033171     11.75    11.89 
MINERAL WELLS TEX INDPT  603109RN1 03/31/21 02/15/25     96.018     0.000     1.0513     28.12   0.028748   0.028899   0.029051                          10.42     1.28 
MINERAL WELLS TEX INDPT  603109RM3 03/31/21 02/15/24     98.203     0.000     0.6317     17.20   0.017492                                                 0.77          
MISSION CONS INDPT SCH   605041HZ8 12/30/20 02/15/25     95.901     0.000     1.0172     29.67   0.027828   0.027969   0.028111                          10.08     1.24 
MORGAN STANLEY           61761J6K0 06/27/24 06/27/34    100.000     0.000     5.3773                        0.149369   0.153385   0.157509  0.161744     27.50    55.99 
MORGAN STANLEY           61771W6L7 03/28/24 03/29/29    100.000     0.000     4.9014                        0.136150   0.139505   0.142924  0.146427     37.48    51.47 
MORGAN STANLEY           61776MMW2 06/26/24 06/26/29    100.000     0.000     5.0009                        0.138914   0.142387   0.145948  0.149597     25.72    51.94 
MORGAN STANLEY           61771W6V5 04/02/24 04/01/27    100.000     0.000     4.8706                        0.135294   0.138571   0.141946  0.145402     36.69    51.11 
MORGAN STANLEY           61771WXY9 02/14/24 02/12/26    100.000     0.000     5.0529                        0.140358   0.143865   0.147500  0.151226     44.98    53.47 
MORGAN STANLEY           61774FCT7 12/22/23 12/22/31    100.000    VARIES     3.3452      0.17   0.018000   0.016100   0.014700   0.014950  0.015200      6.10     5.34 
MORGAN STANLEY           61774FDC3 01/25/24 01/25/34    100.000    VARIES     2.5958                        0.025150   0.024000   0.022800  0.021600      8.27     8.05 
MORGAN STANLEY           61776MMG7 06/20/24 06/20/29    100.000     0.000     4.9315                        0.136986   0.140364   0.143825  0.147371     26.20    51.23 
MORGAN STANLEY           61771WWR5 02/29/24 03/01/29    100.000     0.000     5.3760                        0.149333   0.153392   0.157515  0.161749     45.59    56.97 
MORGAN STANLEY           61771WWQ7 02/29/24 03/01/29    100.000     0.000     5.3760                        0.149333   0.153392   0.157515  0.161749     45.59    56.97 
MORGAN STANLEY           61771WWT1 03/05/24 03/05/29    100.000     0.000     5.3626                        0.148961   0.152955   0.157056  0.161268     44.56    56.77 
MORGAN STANLEY           61771WWN4 02/29/24 03/01/27    100.000     0.000     5.3055                        0.147375   0.151328   0.155342  0.159463     44.98    56.18 
MORGAN STANLEY           61771WWL8 02/29/24 03/01/29    100.000     0.000     5.3760                        0.149333   0.153392   0.157515  0.161749     45.59    56.97 
MORGAN STANLEY           61771WWP9 02/29/24 03/01/29    100.000     0.000     5.3760                        0.149333   0.153392   0.157515  0.161749     45.59    56.97 
MORGAN STANLEY           61775MS31 12/21/23 12/21/28    100.000     0.000     4.7878      1.33   0.132994   0.136178   0.139438   0.142776  0.146194     48.52    50.87 
MORGAN STANLEY           61771WFW3 01/03/24 01/03/29    100.000     0.000     4.7389                        0.131636   0.134755   0.137948  0.141217     47.68    50.24 
MORGAN STANLEY           61775MAW6 10/11/23 10/11/28    100.000     0.000     6.0422     13.43   0.167839   0.172909   0.178133   0.183515  0.189059     62.16    65.97 
MORGAN STANLEY           61776MKW4 06/20/24 06/17/27    100.000     0.000     5.0600                        0.140556   0.144052   0.147697  0.151434     26.90    52.62 
MORGAN STANLEY           61761J6D6 03/08/24 03/08/29    100.000     0.000     6.1791                        0.171642   0.176945   0.182411  0.188047     50.89    65.94 
MORGAN STANLEY           61771W5C8 04/01/24 03/29/29    100.000     0.000     4.9580                        0.137722   0.141098   0.144596  0.148181     37.50    52.08 
MORGAN STANLEY           61776LM38 05/31/24 05/31/29    100.000     0.000     5.1785                        0.143847   0.147572   0.151393  0.155313     30.47    54.05 
MORGAN STANLEY           61776LLR6 05/03/24 05/05/27    100.000     0.000     5.2779             0.146608   0.146651   0.150521   0.154494  0.158571     35.12    55.35 
MORGAN STANLEY           61776LLP0 05/03/24 05/05/27    100.000     0.000     5.2779             0.146608   0.146651   0.150521   0.154494  0.158571     35.12    55.35 
MORGAN STANLEY           61775MV86 12/20/23 12/18/25    100.000     0.000     5.1900      1.59   0.144167   0.147866   0.151703   0.155640               52.66    53.35 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY           61771WJ41 02/20/24 11/30/27    100.000     0.000     5.2839             0.146775   0.148929   0.152864   0.156903  0.161048     46.22    56.01 
MORGAN STANLEY           61776LLX3 05/03/24 05/03/29    100.000     0.000     5.3877                        0.149658   0.153690   0.157830  0.162082     35.85    56.56 
MORGAN STANLEY           61776LKZ9 04/03/24 04/02/31    100.000     0.000     5.0565                        0.140458   0.143990   0.147630  0.151363     37.96    53.15 
MORGAN STANLEY           61771WZP6 02/15/24 02/18/27    110.950     5.500     4.8320                        0.148900   0.151900   0.154800  0.157800     47.29    55.97 
MORGAN STANLEY           61776LLHB 04/30/24 04/30/29    100.000     0.000     5.4356                        0.150989   0.155092   0.159308  0.163637     36.64    57.11 
MORGAN STANLEY           61776LLG0 04/30/24 04/30/29    100.000     0.000     5.4356                        0.150989   0.155092   0.159308  0.163637     36.64    57.11 
MORGAN STANLEY           61771WYR3 03/05/24 03/04/27    100.000     0.000     5.2861                        0.146836   0.150696   0.154678  0.158767     43.92    55.91 
MORGAN STANLEY           61771WZ27 03/28/24 03/29/29    100.000     0.000     4.9014                        0.136150   0.139505   0.142924  0.146427     37.48    51.47 
MORGAN STANLEY           61771WHR2 01/04/24 01/04/29    100.000     0.000     4.7545                        0.132069   0.135209   0.138423  0.141714     47.70    50.41 
MORGAN STANLEY           61776LKV8 04/04/24 04/02/27    100.000     0.000     4.8598                        0.134994   0.138238   0.141597  0.145038     36.33    50.98 
MORGAN STANLEY           61771WHX9 01/24/24 07/24/28    100.000     0.000     5.1010                        0.141694   0.145308   0.149014  0.152815     48.32    54.16 
MORGAN STANLEY           61771WHY7 01/24/24 07/24/29    100.000     0.000     5.0242                        0.139561   0.143067   0.146661  0.150345     47.58    53.29 
MORGAN STANLEY           61774FDZ2 05/15/24 05/13/27    100.000     0.000     5.4780                        0.152167   0.156288   0.160569  0.164967     34.59    57.45 
MORGAN STANLEY           61775M2A3 12/27/23 06/26/29    100.000     0.000     4.9497      0.55   0.137492   0.140875   0.144362   0.147935  0.151596     50.14    52.65 
MORGAN STANLEY           61776LKG1 04/30/24 07/29/27    100.000     0.000     5.2811                        0.146697   0.148613   0.152537  0.156565     35.65    55.42 
MORGAN STANLEY           61771W7K8 03/20/24 03/18/27    100.000     0.000     5.3322                        0.148117   0.152022   0.156075  0.160236     42.02    56.30 
MORGAN STANLEY           61771WHM3 01/04/24 01/04/29    100.000     0.000     4.7545                        0.132069   0.135209   0.138423  0.141714     47.70    50.41 
MORGAN STANLEY           61771WKV9 01/10/24 01/10/29    100.000     0.000     5.0022                        0.138950   0.142425   0.145987  0.149639     49.37    53.15 
MORGAN STANLEY           61775MFL5 10/11/23 10/08/26    100.000     0.000     5.9365     13.19   0.164903   0.169716   0.174754   0.179941  0.185282     61.05    64.72 
MORGAN STANLEY           61776LN94 06/05/24 06/05/29    100.000     0.000     5.2593                        0.146092   0.149933   0.153876  0.157922     30.19    54.89 
MORGAN STANLEY           61776LN86 06/05/24 06/04/27    100.000     0.000     5.2245                        0.145125   0.148895   0.152784  0.156776     30.00    54.52 
MORGAN STANLEY           61776LQ75 06/05/24 12/03/26    100.000     0.000     5.2587                        0.146075   0.149873   0.153814  0.157858     30.20    54.89 
MORGAN STANLEY           61775MHS8 10/12/23 04/10/25    100.000     0.000     5.6103     12.31   0.155842   0.160165   0.164658                          57.60    16.30 
MORGAN STANLEY           61771WN87 03/04/24 03/05/29    100.000     0.000     5.4084                        0.150233   0.154319   0.158492  0.162778     45.09    57.29 
MORGAN STANLEY           61775MZ74 12/26/23 12/26/29    100.000     0.000     4.9925      0.69   0.138681   0.142142   0.145691   0.149327  0.153055     50.58    53.14 
MORGAN STANLEY           61771WN46 03/05/24 03/03/28    100.000     0.000     5.3270                        0.147972   0.151870   0.155915  0.160068     44.26    56.37 
MORGAN STANLEY           61776MS63 08/05/24 08/03/29    100.000     0.000     4.8088                                   0.133578   0.136754  0.140042     19.50    49.62 
MORGAN STANLEY           61776MS55 08/05/24 08/03/29    100.000     0.000     4.8088                                   0.133578   0.136754  0.140042     19.50    49.62 
MORGAN STANLEY           61776MRJ6 08/05/24 02/04/27    100.000     0.000     4.8900                                   0.135833   0.139136  0.142538     19.83    50.48 
MORGAN STANLEY           61775MY75 12/19/23 12/19/28    100.000     0.000     4.9177      1.64   0.136603   0.139962   0.143403   0.146929  0.150542     49.86    52.35 
MORGAN STANLEY           61776LAV9 03/11/24 09/11/25    100.000     0.000     5.1292                        0.142478   0.146132   0.149879               41.72    37.21 
MORGAN STANLEY           617611613 06/05/24 06/05/34    100.000     0.000     5.3773                        0.149369   0.153385   0.157509  0.161744     30.87    56.18 
MORGAN STANLEY           61775ML38 12/11/23 11/06/26    104.090    VARIES     5.2030      2.86   0.150400   0.151800   0.153900   0.156100  0.158400     54.59    56.05 
MORGAN STANLEY           61776LSA6 04/22/24 04/20/29    100.000     0.000     5.5203                        0.153342   0.157527   0.161875  0.166343     38.48    58.12 
MORGAN STANLEY           61776MUX1 08/05/24 08/05/27    100.000     0.000     4.8900                                   0.135833   0.139154  0.142557     19.83    50.48 
MORGAN STANLEY           61776MUV5 08/05/24 08/03/29    100.000     0.000     4.8088                                   0.133578   0.136754  0.140042     19.50    49.62 
MORGAN STANLEY           61776LB22 04/24/24 04/30/25    100.000     0.000     5.4265             0.150736   0.150872   0.154966                          37.51    18.44 
MORGAN STANLEY           61776RBK9 08/07/24 09/05/25    100.000     0.000     4.8900                        0.135833   0.136350   0.139684               19.62    33.87 
MORGAN STANLEY           61776LA98 04/24/24 10/23/25    100.000     0.000     5.4380                        0.151056   0.155140   0.159358               37.59    46.06 
MORGAN STANLEY           61776MCW3 06/28/24 06/28/29    100.000     0.000     4.9679                        0.137997   0.141425   0.144938  0.148538     25.26    51.57 
MORGAN STANLEY           61776MDE2 06/28/24 06/28/29    100.000     0.000     4.9679                        0.137997   0.141425   0.144938  0.148538     25.26    51.57 
MORGAN STANLEY           61771WNX2 01/24/24 01/23/26    100.000     0.000     4.9400                        0.137222   0.140593   0.144065  0.147624     46.78    52.35 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY           61771WNY0 01/24/24 01/23/26    100.000     0.000     4.9400                        0.137222   0.140593   0.144065  0.147624     46.78    52.35 
MORGAN STANLEY           61776LR25 06/05/24 06/05/29    100.000     0.000     5.2593                        0.146092   0.149933   0.153876  0.157922     30.19    54.89 
MORGAN STANLEY           61776MD15 07/03/24 07/03/29    100.000     0.000     5.0060                                   0.139056   0.142536  0.146104     24.75    51.94 
MORGAN STANLEY           61775MN77 12/27/23 12/27/28    100.000     0.000     4.9237      0.55   0.136769   0.140137   0.143586   0.147121  0.150743     49.87    52.36 
MORGAN STANLEY           61776L3H8 05/08/24 06/06/25    100.000     0.000     5.3573             0.148814   0.149434   0.153437                          34.90    23.78 
MORGAN STANLEY           61776MGL3 06/12/24 06/10/27    100.000     0.000     5.0600                        0.140556   0.144072   0.147717  0.151454     28.04    52.68 
MORGAN STANLEY           61775MN51 12/27/23 12/26/25    100.000     0.000     5.1900      0.58   0.144167   0.147887   0.151725   0.155662               52.61    54.57 
MORGAN STANLEY           61776L2L0 05/31/24 06/01/29    100.000     0.000     5.1729                        0.143692   0.147429   0.151242  0.155154     30.43    53.99 
MORGAN STANLEY           61776L2X4 05/31/24 06/02/31    100.000     0.000     5.2787             0.146631   0.146674   0.150545   0.154518  0.158596     31.06    55.14 
MORGAN STANLEY           61776LD79 05/03/24 11/04/25    100.000     0.000     5.3963                        0.149897   0.153964   0.158118               35.91    47.40 
MORGAN STANLEY           61771WA99 02/27/24 02/27/29    100.000     0.000     5.4089                        0.150247   0.154311   0.158484  0.162770     46.18    57.35 
MORGAN STANLEY           61776LD46 05/02/24 05/03/29    100.000     0.000     5.4321                        0.150892   0.155013   0.159223  0.163548     36.30    57.06 
MORGAN STANLEY           61776L2P1 05/31/24 06/03/27    100.000     0.000     5.1777             0.143825   0.143887   0.147612   0.151434  0.155354     30.46    54.04 
MORGAN STANLEY           61776MFA8 06/28/24 06/28/31    100.000     0.000     5.0825                        0.141181   0.144768   0.148447  0.152220     25.85    52.80 
MORGAN STANLEY           61776RDM3 08/09/24 08/09/29    100.000     0.000     4.5986                                   0.127739   0.130676  0.133681     18.14    47.36 
MORGAN STANLEY           61776LBX4 03/13/24 09/11/25    100.000     0.000     5.0039                        0.138997   0.142436   0.146000               40.41    36.25 
MORGAN STANLEY           61771WPR3 01/31/24 01/29/26    100.000     0.000     4.9400                        0.137222   0.140593   0.144065  0.147624     45.93    52.31 
MORGAN STANLEY           61776LBH9 03/19/24 03/19/29    100.000     0.000     5.3153                        0.147647   0.151571   0.155599  0.159735     42.04    56.12 
MORGAN STANLEY           61776MEX9 07/03/24 12/31/26    100.000     0.000     5.0192                        0.139422   0.142863   0.146448  0.150123     24.82    52.08 
MORGAN STANLEY           61775HN29 10/04/23 10/04/28    100.000     0.000     5.7426     13.88   0.159517   0.164097   0.168809   0.173656  0.178642     59.06    62.50 
MORGAN STANLEY           61776LC39 04/22/24 04/21/26    100.000     0.000     5.4665                        0.151847   0.155975   0.160238  0.164617     38.10    57.52 
MORGAN STANLEY           61771WTK4 02/05/24 02/05/26    100.000     0.000     4.9368                        0.137133   0.140518   0.143987  0.147541     45.20    52.24 
MORGAN STANLEY           61775MP91 12/26/23 12/26/25    100.000     0.000     5.1900      0.72   0.144167   0.147908   0.151746   0.155684               52.61    54.58 
MORGAN STANLEY           61771WC89 02/08/24 02/10/26    100.000     0.000     4.9751             0.138197   0.138235   0.141674   0.145198  0.148810     45.13    52.64 
MORGAN STANLEY           61776MZ32 08/05/24 08/03/29    100.000     0.000     4.8088                                   0.133578   0.136754  0.140042     19.50    49.62 
MORGAN STANLEY           61775HQ91 09/29/23 09/29/28    100.000     0.000     5.7418     14.67   0.159494   0.164073   0.168784   0.173629  0.178614     59.10    62.54 
MORGAN STANLEY           61771WC22 03/05/24 03/04/27    100.000     0.000     5.2891                        0.146919   0.150783   0.154771  0.158864     43.94    55.95 
MORGAN STANLEY           61771WT40 02/29/24 03/01/29    100.000     0.000     5.3760                        0.149333   0.153392   0.157515  0.161749     45.59    56.97 
MORGAN STANLEY           61771WB80 02/07/24 02/07/29    100.000     0.000     4.9316                        0.136989   0.140367   0.143828  0.147374     44.87    52.16 
MORGAN STANLEY           61776MH65 07/31/24 07/31/29    100.000     0.000     4.8838                                   0.135661   0.138974  0.142367     20.48    50.45 
MORGAN STANLEY           61771WB98 02/29/24 05/29/26    100.000     0.000     5.2923             0.147008   0.148953   0.152895   0.156941  0.161094     44.93    56.03 
MORGAN STANLEY           61776LE86 05/08/24 05/08/29    100.000     0.000     5.2803                        0.146675   0.150547   0.154522  0.158602     34.38    55.34 
MORGAN STANLEY           61771WEP9 01/31/24 01/29/26    100.000     0.000     4.9400                        0.137222   0.140593   0.144065  0.147624     45.93    52.31 
MORGAN STANLEY           61771WEV6 02/05/24 02/05/26    100.000     0.000     4.9368                        0.137133   0.140518   0.143987  0.147541     45.20    52.24 
MORGAN STANLEY           61771WEU8 01/31/24 01/31/29    100.000     0.000     5.1107                        0.141964   0.145592   0.149312  0.153127     47.54    54.22 
MORGAN STANLEY           61771W4V7 03/28/24 06/30/27    100.000     0.000     4.7745             0.132625   0.134243   0.137448   0.140729  0.144089     36.50    50.08 
MORGAN STANLEY           61771WEX2 02/05/24 02/05/29    100.000     0.000     5.0829                        0.141192   0.144780   0.148459  0.152233     46.55    53.87 
MORGAN STANLEY           61771WEW4 02/05/24 02/04/27    100.000     0.000     4.9591                        0.137753   0.141149   0.144649  0.148236     45.41    52.49 
MORGAN STANLEY           61771WER5 01/31/24 01/31/29    100.000     0.000     5.1107                        0.141964   0.145592   0.149312  0.153127     47.54    54.22 
MORGAN STANLEY           61771WEQ7 01/31/24 01/29/27    100.000     0.000     4.9400                        0.137222   0.140593   0.144065  0.147624     45.93    52.31 
MORGAN STANLEY           61771WET1 01/31/24 01/29/26    100.000     0.000     4.9400                        0.137222   0.140593   0.144065  0.147624     45.93    52.31 
MORGAN STANLEY           61771WES3 01/31/24 01/31/29    100.000     0.000     5.1107                        0.141964   0.145592   0.149312  0.153127     47.54    54.22 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY           61771W3Z9 03/28/24 03/29/29    100.000     0.000     4.9014                        0.136150   0.139505   0.142924  0.146427     37.48    51.47 
MORGAN STANLEY           61771W4D7 04/03/24 04/03/29    100.000     0.000     4.9459                        0.137386   0.140784   0.144265  0.147833     37.12    51.93 
MORGAN STANLEY           61771W4C9 03/28/24 03/29/29    100.000     0.000     4.9014                        0.136150   0.139505   0.142924  0.146427     37.48    51.47 
MORGAN STANLEY           61771W4B1 03/28/24 03/28/31    100.000     0.000     5.0375                        0.139931   0.143455   0.147068  0.150773     38.53    52.97 
MORGAN STANLEY           61771W4A3 04/03/24 04/03/29    100.000     0.000     4.9459                        0.137386   0.140784   0.144265  0.147833     37.12    51.93 
MORGAN STANLEY           61776MJK2 06/28/24 09/30/25    100.000     0.000     5.1063                        0.141842   0.143693   0.147361               26.13    39.31 
MORGAN STANLEY           61775MQ41 12/26/23 12/26/28    100.000     0.000     4.8659      0.68   0.135164   0.138452   0.141821   0.145271  0.148806     49.28    51.71 
MORGAN STANLEY           61775MQ25 12/26/23 12/24/26    100.000     0.000     5.1900      0.72   0.144167   0.147866   0.151703   0.155640  0.159679     52.62    55.38 
MORGAN STANLEY           61775MQ33 12/26/23 12/26/28    100.000     0.000     4.8659      0.68   0.135164   0.138452   0.141821   0.145271  0.148806     49.28    51.71 
MORGAN STANLEY           61771W3Q9 04/03/24 04/03/29    100.000     0.000     4.9459                        0.137386   0.140784   0.144265  0.147833     37.12    51.93 
MORGAN STANLEY           61771W3P1 04/03/24 04/01/27    100.000     0.000     4.8598                        0.134994   0.138238   0.141597  0.145038     36.47    50.98 
MORGAN STANLEY           61775MQ66 12/26/23 12/26/28    100.000     0.000     4.8659      0.68   0.135164   0.138452   0.141821   0.145271  0.148806     49.28    51.71 
MORGAN STANLEY           61776L5N3 05/21/24 06/18/25    100.000     0.000     5.2570             0.146028   0.146604   0.150457                          32.29    25.13 
MORGAN STANLEY           61771WDD7 12/21/23 12/23/30    100.000     0.000     4.8927      1.36   0.135945   0.139271   0.142678   0.146168  0.149744     49.59    52.05 
MORGAN STANLEY           61776L5W3 05/29/24 05/29/29    100.000     0.000     5.1075                        0.141875   0.145498   0.149214  0.153024     30.19    53.29 
MORGAN STANLEY FIANCE    61774FAE2 09/29/22 10/01/24    100.000     0.000     4.9820     63.82   0.145410   0.149032                                     39.91          
MORGAN STANLEY FINANCE   61773QZR3 05/04/22 05/04/27    100.000     0.000     4.1269     70.14   0.121880   0.124395   0.126962   0.129581  0.132255     44.62    46.48 
MORGAN STANLEY FINANCE   61773QJ34 04/27/22 04/26/29    100.000     0.000     4.3151     74.31   0.127776   0.130533   0.133349   0.136226  0.139165     46.86    48.90 
MORGAN STANLEY FINANCE   61774DNM5 06/10/22 06/10/27    100.000     0.000     4.2071     67.06   0.124395   0.127012   0.129683   0.132411  0.135197     45.36    47.29 
MORGAN STANLEY FINANCE   61773QZT9 04/29/22 04/29/27    100.000     0.000     3.9369     67.41   0.115944   0.118227   0.120554   0.122927  0.125347     42.44    44.12 
MORGAN STANLEY FINANCE   61773QZU6 04/29/22 05/01/29    100.000     0.000     4.1304     70.81   0.122018   0.124537   0.127109   0.129734  0.132414     44.69    46.55 
MORGAN STANLEY FINANCE   61761J5V7 08/31/23 08/31/33    100.000    VARIES     6.9573      1.31   0.010800   0.010000   0.009100   0.008250  0.007300      3.54     2.90 
MORGAN STANLEY FINANCE   61773QZD4 04/27/22 04/27/27    100.000     0.000     4.1211     70.89   0.121698   0.124206   0.126765   0.129377  0.132043     44.59    46.44 
MORGAN STANLEY FINANCE   61773Y359 04/22/22 05/05/26    100.000     0.000     3.9175     67.89   0.115503   0.117766   0.120072   0.122424  0.124822     42.24    43.92 
MORGAN STANLEY FINANCE   61773Y474 05/04/22 11/05/25    100.000     0.000     3.8947     66.10   0.114642   0.116875   0.119151   0.121471               41.93    36.64 
MORGAN STANLEY FINANCE   61775MVX1 11/08/23 11/06/26    102.750    VARIES     5.7860      8.59   0.165100   0.167900   0.170700   0.173600  0.176600     60.24    62.30 
MORGAN STANLEY FINANCE   61774TSJ2 01/26/23 01/28/27    102.500     0.625     4.7613     45.99   0.139400   0.142500   0.145800   0.149150  0.152550     51.75    54.14 
MORGAN STANLEY FINANCE   61766YMJ7 11/29/22 11/28/25    100.000    VARIES     5.2840     56.55   0.143250   0.145100   0.146050   0.146500               52.01    47.71 
MORGAN STANLEY FINANCE   61774H2L1 11/23/22 11/23/27    100.000     5.000     5.4240     62.18   0.161400   0.165000   0.168700   0.172500  0.176400     59.03    61.72 
MORGAN STANLEY FINANCE   61774DGB7 06/03/22 06/05/25    100.000     0.000     3.5556     57.20   0.104149   0.106001   0.107885                          37.92    16.61 
MORGAN STANLEY FINANCE   61774DGQ4 06/08/22 06/08/27    100.000     0.000     4.1771     66.81   0.123454   0.126032   0.128664   0.131351  0.134095     45.03    46.93 
MORGAN STANLEY FINANCE   61773QC72 04/29/22 05/01/29    100.000     2.250     4.1304     70.06   0.119400   0.119300   0.121700   0.121700  0.124200     43.10    43.95 
MORGAN STANLEY FINANCE   61760QNL4 07/29/22 07/29/27    100.000    VARIES     4.1020     58.00   0.113700   0.115900   0.118000   0.120200  0.122500     41.98    43.56 
MORGAN STANLEY FINANCE   61773QG29 04/29/22 10/29/27    100.000     0.000     3.9912     68.36   0.117637   0.119985   0.122379   0.124822  0.127313     43.07    44.80 
MORGAN STANLEY FINANCE   61773QX27 04/29/22 05/01/29    100.000     0.000     4.1304     70.81   0.122018   0.124537   0.127109   0.129734  0.132414     44.69    46.55 
MORGAN STANLEY FINANCE   61760QNG5 04/28/22 04/28/32    100.000    VARIES     4.0510     66.34   0.111200   0.112900   0.113400   0.116500  0.117000     40.56    41.60 
MORGAN STANLEY FINANCE   61760QNT7 02/13/23 08/13/24    100.000    VARIES     5.0700      2.32   0.007350                                                 1.63          
MORGAN STANLEY FINANCE   61760QNQ3 02/03/23 03/04/24    100.000    VARIES     5.0632      3.76   0.009700                                                 0.62          
MORGAN STANLEY FINANCE   61760QNX8 03/27/23 03/27/26    100.000    VARIES     5.2407      2.34   0.008200   0.007950   0.008150   0.008350  0.008600      2.89     3.02 
MORGAN STANLEY FINANCE   61760QNW0 03/27/23 03/27/25    100.000    VARIES     4.8369      3.03   0.010700   0.010950   0.011250   0.011250                3.95     0.97 
MORGAN STANLEY FINANCE   61774TYE6 02/07/23 02/07/28    108.000     0.625     4.6094     45.11   0.141400   0.144600   0.147800   0.151100  0.154500     52.39    54.78 
MORGAN STANLEY FINANCE   61773QVD8 05/04/22 08/01/24    100.000     0.000     3.2166     54.39   0.092964   0.094459                                     19.79          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61773QVE6 04/28/22 05/31/24    100.000     0.000     3.3113     56.59   0.096910                                                14.44          
MORGAN STANLEY FINANCE   61773QE47 04/27/22 04/26/29    100.000     0.000     4.3151     74.31   0.127776   0.130533   0.133349   0.136226  0.139165     46.86    48.90 
MORGAN STANLEY FINANCE   61773QE39 04/27/22 04/27/27    100.000     0.000     4.1211     70.89   0.121698   0.124206   0.126765   0.129377  0.132043     44.59    46.44 
MORGAN STANLEY FINANCE   61773QVB2 04/29/22 08/30/24    100.000     0.000     3.5449     60.59   0.103206   0.105025                                     25.00          
MORGAN STANLEY FINANCE   61773QVC0 04/29/22 04/30/25    100.000     0.000     3.8590     66.05   0.113532   0.115722   0.117955                          41.54    14.04 
MORGAN STANLEY FINANCE   61773QVA4 04/29/22 11/29/24    100.000     0.000     3.9696     68.00   0.117350   0.119680                                     38.91          
MORGAN STANLEY FINANCE   61760QPD0 11/30/23 11/30/33    100.000    VARIES     5.5230      4.60   0.152100   0.151800   0.148900   0.149300  0.148100     54.62    53.60 
MORGAN STANLEY FINANCE   61761J4R7 09/19/22 03/19/24    100.000    VARIES     2.1773      6.42   0.013900                                                 1.08          
MORGAN STANLEY FINANCE   61761J4Z9 11/16/22 11/16/29    100.000    VARIES     5.5832      8.35   0.018850   0.017550   0.016600   0.017100  0.017550      6.43     6.10 
MORGAN STANLEY FINANCE   61773QYA1 05/04/22 05/04/27    100.000     0.000     4.1269     70.14   0.121880   0.124395   0.126962   0.129581  0.132255     44.62    46.48 
MORGAN STANLEY FINANCE   61761J4Y2 11/15/22 11/15/29    100.000    VARIES     5.6443      3.39   0.006850   0.007050   0.007250   0.007350  0.007550      2.53     2.68 
MORGAN STANLEY FINANCE   61761J4W6 10/13/22 10/10/25    100.000    VARIES     3.8094      5.44   0.012650   0.012550   0.012400   0.012300                4.51     3.48 
MORGAN STANLEY FINANCE   61761J4V8 10/13/22 04/12/24    100.000    VARIES     3.0116      4.71   0.010850                                                 1.10          
MORGAN STANLEY FINANCE   61761J4U0 09/29/22 09/29/25    100.000    VARIES     3.5478      3.93   0.008850   0.008750   0.008700   0.008600                3.15     2.31 
MORGAN STANLEY FINANCE   61773Q6U8 06/03/22 06/04/27    100.000     0.000     4.0488     65.31   0.119449   0.121867   0.124335   0.126852  0.129420     43.57    45.35 
MORGAN STANLEY FINANCE   61761J4T3 09/29/22 03/28/24    100.000    VARIES     2.7406      2.94   0.006550                                                 0.56          
MORGAN STANLEY FINANCE   61761J5A3 12/06/22 12/06/27    100.000    VARIES     5.1313      3.27   0.007550   0.007750   0.007950   0.008150  0.008350      2.76     2.91 
MORGAN STANLEY FINANCE   61773QYD5 04/29/22 05/01/29    100.000     0.000     4.1304     70.81   0.122018   0.124537   0.127109   0.129734  0.132414     44.69    46.55 
MORGAN STANLEY FINANCE   61773QYB9 05/04/22 05/04/27    100.000     0.000     4.1269     70.14   0.121880   0.124395   0.126962   0.129581  0.132255     44.62    46.48 
MORGAN STANLEY FINANCE   61774HJT6 10/06/22 10/08/24    100.000     0.000     4.9491     62.38   0.144403   0.147976                                     40.64          
MORGAN STANLEY FINANCE   61774DNB9 06/03/22 06/04/27    100.000     0.000     4.0488     65.31   0.119449   0.121867   0.124335   0.126852  0.129420     43.57    45.35 
MORGAN STANLEY FINANCE   61774DNL7 06/10/22 06/10/27    100.000     0.000     4.2071     67.06   0.124395   0.127012   0.129683   0.132411  0.135197     45.36    47.29 
MORGAN STANLEY FINANCE   61774FFY3 09/30/22 10/02/29    100.000     0.000     5.6163     71.96   0.164945   0.169577   0.174339   0.179234  0.184267     61.05    64.53 
MORGAN STANLEY FINANCE   61774FEW8 10/05/22 10/05/27    100.000     0.000     5.5476     70.24   0.162767   0.167282   0.171922   0.176691  0.181592     60.20    63.58 
MORGAN STANLEY FINANCE   61774FEE8 09/30/22 09/30/27    100.000     0.000     5.4789     70.16   0.160644   0.165045   0.169566   0.174212  0.178984     59.44    62.74 
MORGAN STANLEY FINANCE   61774D1A5 06/28/22 07/26/24    100.000     0.000     3.7340     57.43   0.107944   0.109959                                     22.49          
MORGAN STANLEY FINANCE   61774E428 10/05/22 10/03/29    100.000     0.000     5.7054     72.29   0.167603   0.172384   0.177302   0.182359  0.187562     62.05    65.64 
MORGAN STANLEY FINANCE   61774FFZ0 10/05/22 10/05/27    100.000     0.000     5.5476     70.24   0.162767   0.167282   0.171922   0.176691  0.181592     60.20    63.58 
MORGAN STANLEY FINANCE   61773Y789 06/03/22 12/03/25    100.000     0.000     3.7094     59.73   0.108879   0.110898   0.112955   0.115050               39.67    37.88 
MORGAN STANLEY FINANCE   61774DTP2 07/13/22 07/13/26    100.000     0.000     4.3472     65.12   0.126062   0.128802   0.131602   0.134462  0.137385     46.81    48.86 
MORGAN STANLEY FINANCE   61774D5R4 10/05/22 10/05/27    100.000     0.000     5.5476     70.24   0.162767   0.167282   0.171922   0.176691  0.181592     60.20    63.58 
MORGAN STANLEY FINANCE   61774D5S2 10/05/22 10/05/27    100.000     0.000     5.5476     70.24   0.162767   0.167282   0.171922   0.176691  0.181592     60.20    63.58 
MORGAN STANLEY FINANCE   61774D5P8 09/30/22 10/02/29    100.000     0.000     5.6163     71.96   0.164945   0.169577   0.174339   0.179234  0.184267     61.05    64.53 
MORGAN STANLEY FINANCE   61774D5Q6 10/05/22 10/05/27    100.000     0.000     5.5476     70.24   0.162767   0.167282   0.171922   0.176691  0.181592     60.20    63.58 
MORGAN STANLEY FINANCE   61774D5J2 09/30/22 10/02/29    100.000     0.000     5.6163     71.96   0.164945   0.169577   0.174339   0.179234  0.184267     61.05    64.53 
MORGAN STANLEY FINANCE   61774B283 07/06/22 07/05/29    100.000     0.000     4.7119     71.67   0.137108   0.140339   0.143645   0.147029  0.150493     51.09    53.53 
MORGAN STANLEY FINANCE   61774D7N1 10/05/22 10/03/25    100.000     0.000     5.2781     66.76   0.154410   0.158485   0.162668   0.166961               57.05    45.02 
MORGAN STANLEY FINANCE   61774D7M3 09/30/22 09/30/27    100.000     0.000     5.4789     70.16   0.160644   0.165045   0.169566   0.174212  0.178984     59.44    62.74 
MORGAN STANLEY FINANCE   61774D7K7 09/30/22 10/02/25    100.000     0.000     5.2218     66.80   0.152767   0.156756   0.160849   0.165048               56.43    44.35 
MORGAN STANLEY FINANCE   61774DGV3 06/03/22 06/04/27    100.000     0.000     4.0488     65.31   0.119449   0.121867   0.124335   0.126852  0.129420     43.57    45.35 
MORGAN STANLEY FINANCE   61773QWJ4 07/07/22 07/05/24    100.000     0.000     3.5515     53.61   0.102168   0.103982                                     19.13          
MORGAN STANLEY FINANCE   61774HFR4 09/30/22 09/30/27    100.000     0.000     5.4789     70.16   0.160644   0.165045   0.169566   0.174212  0.178984     59.44    62.74 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61773QVY2 06/15/22 01/15/25    100.000     0.000     3.9475     62.28   0.114399   0.116657   0.118960                          42.35     1.67 
MORGAN STANLEY FINANCE   61773QVZ9 06/09/22 12/11/24    100.000     0.000     3.5284     56.14   0.103311   0.105133                                     35.45          
MORGAN STANLEY FINANCE   61773QVW6 06/07/22 10/07/24    100.000     0.000     3.5478     56.72   0.103285   0.105117                                     28.84          
MORGAN STANLEY FINANCE   61774HEU8 09/29/22 10/01/24    100.000     0.000     4.9580     63.50   0.144675   0.148261                                     39.71          
MORGAN STANLEY FINANCE   61773QVX4 06/21/22 06/20/25    100.000     0.000     4.3761     68.39   0.129698   0.132536   0.135436                          47.27    22.89 
MORGAN STANLEY FINANCE   61773QVV8 06/21/22 06/20/25    100.000     0.000     4.3761     68.39   0.129698   0.132536   0.135436                          47.27    22.89 
MORGAN STANLEY FINANCE   61773QVR7 06/03/22 06/05/25    100.000     0.000     3.6428     58.63   0.106841   0.108787   0.110768                          38.92    17.06 
MORGAN STANLEY FINANCE   61774DMB0 06/30/22 07/02/29    100.000     0.000     4.7878     73.70   0.139475   0.142814   0.146233   0.149734  0.153318     52.02    54.54 
MORGAN STANLEY FINANCE   61774DML8 07/06/22 07/06/27    100.000     0.000     4.5507     69.16   0.132226   0.135235   0.138312   0.141459  0.144678     49.21    51.47 
MORGAN STANLEY FINANCE   61774DMJ3 06/06/22 06/04/27    100.000     0.000     4.1122     66.00   0.121392   0.123888   0.126436   0.129035  0.131688     44.29    46.13 
MORGAN STANLEY FINANCE   61774FAF9 10/05/22 08/04/25    100.000     0.000     5.2329     66.22   0.151742   0.155712   0.159786   0.163967               56.52    34.79 
MORGAN STANLEY FINANCE   61774FAC6 09/30/22 10/02/25    100.000     0.000     5.2793     67.55   0.154537   0.158616   0.162803   0.167100               57.10    44.89 
MORGAN STANLEY FINANCE   61774FAD4 09/21/22 09/19/24    100.000     0.000     4.5365     59.06   0.131763   0.134752                                     34.53          
MORGAN STANLEY FINANCE   61774FAB8 09/14/22 09/12/24    100.000     0.000     4.1940     55.38   0.121410   0.123955                                     30.93          
MORGAN STANLEY FINANCE   61774DLG0 06/30/22 07/02/29    100.000     0.000     4.7878     73.70   0.139475   0.142814   0.146233   0.149734  0.153318     52.02    54.54 
MORGAN STANLEY FINANCE   61774DLD7 06/23/22 12/22/25    100.000     0.000     4.3932     68.40   0.130237   0.133098   0.136022   0.139010               47.45    48.28 
MORGAN STANLEY FINANCE   61773Q6B0 06/03/22 06/04/27    100.000     0.000     4.0488     65.31   0.119449   0.121867   0.124335   0.126852  0.129420     43.57    45.35 
Mashantucket Western     574754AM9 07/01/13 07/01/36     14.695    VARIES        N/A    795.09   0.348664   0.354017   0.359897   0.366355  0.373448    127.50   131.96 
Mashantucket Western     574754AL1 07/01/13 07/01/26     53.461     6.350        N/A   1096.59   0.375565   0.387849   0.401084   0.415343  0.430704    139.74   149.65 
Mclean County, IL        582001FH1 06/30/14 12/01/24    109.553    VARIES     4.3801    441.50   0.122989   0.122337                                     40.47          
Miami-Dade County, FL    59333MXE0 12/15/09 12/15/26     73.673     5.760     8.7676    186.45   0.064583   0.067414   0.070369   0.073454  0.076674     23.85    25.99 
Morgan Stanley           61760QAK0 03/30/12 03/30/32    100.000    VARIES     5.8741    595.67   0.141209   0.142253   0.143545   0.144874  0.146243     51.24    52.16 
Morgan Stanley           61761JXP9 03/03/15 03/03/25    100.000     0.000     3.5983    370.07   0.135348   0.137783   0.140262                          49.74     8.70 
Morgan Stanley           61760QAG9 03/15/12 03/15/32    100.000    VARIES     5.5710    575.67   0.135940   0.136711   0.137502   0.138316  0.139216     49.24    49.83 
Morgan Stanley           61761JGH6 05/30/13 05/31/33    100.000    VARIES     4.3438    431.46   0.109869   0.110097   0.110937   0.110568  0.111506     40.29    40.44 
Morgan Stanley           61760QAP9 03/30/12 03/30/27    100.000    VARIES     5.8451    611.51   0.150256   0.151709   0.153364   0.155068  0.156821     54.64    55.83 
Morgan Stanley           61760QAN4 03/30/12 03/30/32    100.000    VARIES     6.0912    647.21   0.150644   0.151362   0.152234   0.153133  0.154058     54.51    55.13 
Morgan Stanley           61761JGS2 05/24/13 05/24/33    100.000    VARIES     4.1821    411.67   0.106480   0.106741   0.107008   0.107280  0.107638     38.40    38.60 
Morgan Stanley           61760QAW4 04/30/12 04/30/32    100.000    VARIES     5.9580    603.92   0.144945   0.145914   0.146914   0.147945  0.149005     52.47    53.20 
Morgan Stanley           61745EN64 05/19/11 05/19/26    100.000    VARIES     5.5224    654.63   0.145342   0.144810   0.148492   0.147366  0.151162     53.23    54.11 
Morgan Stanley           61745EN72 09/30/11 09/30/31    100.000    VARIES     6.1252    642.17   0.148425   0.149696   0.151007   0.152375  0.153784     53.90    54.86 
Morgan Stanley           617482UH5 05/31/11 05/29/26    100.000    VARIES     5.3835    661.62   0.146269   0.146667   0.147358   0.148067  0.148795     52.76    53.22 
Morgan Stanley           61761JHD4 06/28/13 06/28/33    100.000    VARIES     5.2916    516.04   0.134142   0.134471   0.134808   0.135155  0.135636     48.35    48.60 
Morgan Stanley           617482VB7 06/30/11 06/30/31    100.000    VARIES     5.5330    641.92   0.140221   0.140560   0.141157   0.141770  0.142399     50.54    50.93 
Morgan Stanley           617482UY8 06/15/11 06/13/31    100.000    VARIES     5.5345    639.19   0.139339   0.139854   0.140384   0.140929  0.141694     50.27    50.66 
Morgan Stanley           61760QAC8 02/29/12 02/29/32    100.000    VARIES     5.1025    571.98   0.132704   0.131590   0.134213   0.132470  0.135130     48.55    48.78 
Morgan Stanley           61760QAB0 02/29/12 02/29/32    100.000    VARIES     5.1014    528.65   0.124465   0.123861   0.126695   0.125417  0.128302     45.72    46.21 
Morgan Stanley           61761JGF0 05/08/13 05/06/33    100.000    VARIES     3.9967    400.36   0.102770   0.102962   0.103157   0.103356  0.103660     37.05    37.20 
Morgan Stanley           61760QCW2 06/28/13 06/28/28    100.000    VARIES     4.2811    420.58   0.115148   0.115738   0.116181   0.116634  0.117096     41.56    41.91 
Morgan Stanley           61760QCV4 06/28/13 06/28/28    100.000    VARIES     4.3010    422.39   0.115600   0.116195   0.116648   0.117110  0.117583     41.73    42.08 
Morgan Stanley           6174824W1 05/30/13 05/30/28    100.000    VARIES     3.5684    364.64   0.096988   0.097208   0.097431   0.097658  0.097891     34.97    35.13 
Morgan Stanley           61760QCT9 06/28/13 06/28/28    100.000    VARIES     4.5851    428.91   0.117508   0.118510   0.119534   0.120582  0.121654     42.49    43.23 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley           61760QCS1 06/07/13 06/07/28    100.000    VARIES     4.0272    381.27   0.102172   0.103124   0.104095   0.105085  0.106153     37.00    37.70 
Morgan Stanley           61760QCQ5 06/28/13 06/28/28    100.000    VARIES     3.9696    378.47   0.103211   0.103942   0.104687   0.105447  0.106216     37.29    37.83 
Morgan Stanley           61761JJB6 06/18/13 06/18/32    100.000    VARIES     4.7373    472.84   0.123298   0.123557   0.123822   0.124093  0.124463     44.44    44.63 
Morgan Stanley           61760QCZ5 07/31/13 07/31/33    100.000    VARIES     4.4981    418.42   0.112018   0.112591   0.113177   0.113690  0.114215     40.60    40.99 
Morgan Stanley           61760QCY8 07/31/13 07/31/28    100.000    VARIES     4.5084    436.22   0.119463   0.120120   0.120792   0.121358  0.121937     43.33    43.76 
Morgan Stanley           61760QDE1 08/28/13 08/28/33    100.000    VARIES     4.4982    401.97   0.106349   0.107066   0.107799   0.108548  0.109314     38.59    39.13 
Morgan Stanley           61760QDD3 08/19/13 08/19/33    100.000    VARIES     4.5466    412.44   0.110219   0.110934   0.111666   0.112414  0.113179     40.00    40.53 
Morgan Stanley           61760QDB7 08/19/13 08/19/33    100.000    VARIES     4.7352    453.90   0.124188   0.124736   0.125298   0.125872  0.126461     44.95    45.36 
Morgan Stanley           61760QBJ2 05/31/12 05/31/27    100.000    VARIES     6.1478    624.17   0.153393   0.155598   0.157871   0.160213  0.162734     55.76    57.41 
Morgan Stanley           61760QBH6 05/31/12 05/31/27    100.000    VARIES     6.1478    624.17   0.153393   0.155598   0.157871   0.160213  0.162734     55.76    57.41 
Morgan Stanley           61760QBZ6 10/10/12 10/10/24    100.000    VARIES     4.6395    520.12   0.128880   0.128877                                     35.96          
Morgan Stanley           61760QBY9 10/15/12 10/15/24    100.000    VARIES     4.4801    501.61   0.124418   0.124421                                     35.34          
Morgan Stanley           617482H23 03/16/12 03/16/27    100.000    VARIES     6.4024    721.75   0.169930   0.170744   0.171584   0.172685  0.173821     61.49    62.20 
Morgan Stanley           61760QCB8 11/28/12 11/28/27    100.000    VARIES     4.4679    541.66   0.137602   0.136953   0.136289   0.134369  0.132407     49.38    48.59 
Morgan Stanley           617482XG4 08/30/11 08/29/31    100.000    VARIES     6.1189    701.03   0.150894   0.152826   0.152272   0.153647  0.153360     55.75    55.97 
Morgan Stanley           61760QEZ3 09/17/14 09/17/34    100.000    VARIES     2.6675     37.73   0.011031   0.011178   0.011327   0.011478  0.011631      4.03     4.14 
Morgan Stanley           61761JKY4 09/30/13 09/30/33    100.000    VARIES     4.8148    464.26   0.124324   0.124582   0.124846   0.125117  0.125395     44.85    45.04 
Morgan Stanley           61760QFH2 10/30/14 10/30/24    100.000    VARIES     2.1052    187.04   0.058032   0.058253                                     17.39          
Morgan Stanley           61745ER60 05/31/11 05/31/31    100.000    VARIES     5.6682    644.13   0.140955   0.141796   0.142662   0.143552  0.144494     50.95    51.58 
Morgan Stanley           61766F250 11/03/16 05/03/24    100.000     0.000     2.9896    236.80   0.102216                                                12.47          
Morgan Stanley           61767BAA8 02/22/16 02/23/26    100.000    VARIES     3.7844    300.45   0.106876   0.106796   0.106583   0.106366  0.105750     38.42    38.22 
Morgan Stanley           61760QDL5 09/26/13 09/26/33    100.000    VARIES     4.6879    424.37   0.114285   0.114907   0.115543   0.116194  0.116860     41.37    41.84 
Morgan Stanley           61761JJP5 07/31/13 07/29/33    100.000    VARIES     4.8133    469.18   0.122913   0.123142   0.123376   0.123616  0.123862     44.36    44.53 
Morgan Stanley           61761JJY6 07/15/13 07/15/33     99.000    VARIES     4.8838    482.80   0.127150   0.127384   0.127624   0.127869  0.128121     45.89    46.07 
Morgan Stanley           61760QDR2 11/27/13 11/27/33    100.000    VARIES     4.4302    387.61   0.105841   0.106656   0.107490   0.108342  0.109213     38.31    38.91 
Morgan Stanley           61766B564 07/06/16 01/03/24    100.000     0.000     2.7558    227.39   0.092693                                                 0.19          
Morgan Stanley           61760QEC4 03/31/14 03/31/34    100.000    VARIES     4.3149    380.65   0.106939   0.107262   0.107672   0.108090  0.108517     38.62    38.91 
Morgan Stanley           61761JKL2 08/30/13 08/30/33    100.000    VARIES     5.0532    489.78   0.127561   0.127829   0.128808   0.128386  0.129382     46.89    47.01 
Morgan Stanley           61760QGW8 07/31/15 07/31/27    100.000    VARIES     2.7281     32.66   0.011186   0.011339   0.011493   0.011650  0.011809      4.10     4.21 
Morgan Stanley           61760QGV0 07/31/15 07/31/27    100.000    VARIES     2.7160     29.27   0.010024   0.010160   0.010298   0.010438  0.010580      3.67     3.78 
Morgan Stanley           61745ET27 05/31/11 05/31/26    100.000    VARIES     5.5394    680.79   0.151442   0.151795   0.152293   0.152805  0.153332     54.61    54.95 
Morgan Stanley           61745E2F7 11/28/11 11/28/26    100.000    VARIES     6.0157    647.61   0.157380   0.158919   0.160503   0.162081  0.163706     57.04    58.17 
Morgan Stanley           61760QHA5 08/28/15 08/28/25    100.000    VARIES     2.5293     24.23   0.008460   0.008567   0.008675   0.008785                3.09     2.08 
Morgan Stanley           61761JNF2 12/26/13 12/27/33    100.000    VARIES     4.7412    448.90   0.121018   0.121249   0.122153   0.121729  0.122647     44.34    44.51 
Morgan Stanley           61766F466 12/05/16 06/05/24    100.000     0.000     3.5039    278.49   0.124121                                                19.11          
Morgan Stanley           61761JLY3 10/31/13 10/31/33    100.000    VARIES     4.7082    445.64   0.119312   0.119571   0.119836   0.120108  0.120386     43.03    43.22 
Morgan Stanley           61745EU66 06/10/11 06/10/26    100.000    VARIES     5.3579    668.87   0.147351   0.147516   0.147832   0.148156  0.148488     53.09    53.29 
Morgan Stanley           61761JLU1 09/30/13 09/30/33    100.000    VARIES     4.8742    477.70   0.128285   0.128477   0.128672   0.128873  0.129079     46.25    46.40 
Morgan Stanley           61745E2S9 07/13/11 07/13/31    100.000    VARIES     5.5541    628.63   0.137658   0.138258   0.138876   0.139685  0.140517     49.87    50.42 
Morgan Stanley           61745ED65 04/08/11 04/08/26    100.000    VARIES     5.9065    746.79   0.165227   0.165255   0.164972   0.164680  0.164380     59.47    59.29 
Morgan Stanley           61745E2M2 11/30/11 11/30/31    100.000    VARIES     6.5857    717.86   0.164332   0.165201   0.166099   0.167026  0.167983     59.37    60.02 
Morgan Stanley           61745E2K6 01/21/11 01/21/26    100.000    VARIES     5.7295    641.52   0.146275   0.148712   0.151220   0.153799  0.156438     53.89    55.74 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley           61760E341 06/29/11 06/24/26    100.000     1.000     5.3273    880.48   0.259530   0.265703   0.272041   0.278547  0.285227     94.63    99.20 
Morgan Stanley           61745E3D1 02/14/11 02/14/31    100.000    VARIES     6.0719    672.25   0.148139   0.149798   0.151508   0.153269  0.154738     54.09    55.30 
Morgan Stanley           61760QGA6 05/27/15 05/27/30    100.000    VARIES     2.7018     30.37   0.009639   0.009769   0.009901   0.010035  0.010171      3.50     3.60 
Morgan Stanley           61760QGB4 05/20/15 05/20/25    100.000    VARIES     2.6352     25.82   0.008846   0.008963   0.009081                           3.22     1.26 
Morgan Stanley           61745E2Z3 11/30/11 11/30/31    100.000    VARIES     6.7334    708.76   0.163286   0.164463   0.165679   0.166911  0.168184     59.07    59.94 
Morgan Stanley           61745E3Y5 07/29/11 07/29/26    100.000    VARIES     5.4529    585.37   0.138379   0.140312   0.142297   0.144499  0.146760     50.76    52.30 
Morgan Stanley           61745E3T6 12/27/11 12/27/26    100.000    VARIES     6.9292    742.21   0.179815   0.181801   0.183856   0.185903  0.188020     65.11    66.57 
Morgan Stanley           61745EE49 04/15/11 04/15/26    100.000    VARIES     5.7613    703.20   0.158092   0.158697   0.159017   0.159347  0.159686     57.09    57.36 
Morgan Stanley           61745EV65 01/20/09 01/20/24    100.000    VARIES     5.9022    814.26   0.163034                                                 3.10          
Morgan Stanley           61745E3S8 07/29/11 07/29/31    100.000    VARIES     5.6231    630.25   0.140447   0.141293   0.142162   0.143092  0.144048     50.97    51.63 
Morgan Stanley           61760QJA3 11/25/15 11/25/25    100.000    VARIES     2.4581     25.90   0.009315   0.009429   0.009545   0.009663                3.38     3.11 
Morgan Stanley           61760QJK1 02/17/16 02/17/26    100.000    VARIES     2.3885     49.73   0.018180   0.018397   0.018617   0.018839  0.019064      6.64     6.80 
Morgan Stanley           61745E4E8 07/29/11 07/29/26    100.000    VARIES     5.4933    622.75   0.145907   0.147014   0.148152   0.149217  0.150312     53.07    53.85 
Morgan Stanley           61760QJT2 03/20/17 03/20/27    100.000    VARIES     2.5542     17.84   0.007575   0.007672   0.007770   0.007869  0.007970      2.76     2.84 
Morgan Stanley           61760QJS4 02/24/17 02/24/27    100.000    VARIES     2.8869     35.42   0.014621   0.014832   0.015046   0.015263  0.015484      5.36     5.51 
Morgan Stanley           61745EF97 08/31/11 08/31/31    100.000    VARIES     5.6735    628.06   0.143715   0.142974   0.146203   0.144811  0.148247     52.77    53.36 
Morgan Stanley           61760QHT4 10/07/15 10/07/25    100.000    VARIES     2.4403     29.53   0.010434   0.010561   0.010690   0.010820                3.80     2.97 
Morgan Stanley           61745E4T5 01/13/12 01/13/32    100.000    VARIES     6.1787    626.48   0.143987   0.145249   0.146549   0.147890  0.149301     52.49    53.46 
Morgan Stanley           61745EF63 05/18/10 05/18/25    100.000    VARIES     6.0399    806.07   0.166128   0.166660   0.167209                          59.95    22.91 
Morgan Stanley           61745EW49 01/30/09 01/30/24    100.000    VARIES     6.4553    901.97   0.178450                                                 5.18          
Morgan Stanley           61745EW23 06/23/11 06/23/26    100.000    VARIES     5.4880    602.35   0.141936   0.143806   0.145879   0.148009  0.150197     51.47    52.93 
Morgan Stanley           61745EW31 10/27/11 10/27/31    100.000    VARIES     6.4618    774.47   0.178647   0.178944   0.179250   0.179322  0.179396     64.40    64.55 
Morgan Stanley           61745EF22 04/15/11 04/15/26    100.000    VARIES     5.8397    768.82   0.166533   0.165667   0.164841   0.163990  0.163116     59.67    59.06 
Morgan Stanley           61745E4L2 07/29/11 07/29/26    100.000    VARIES     5.5117    596.33   0.140862   0.142690   0.144567   0.146615  0.148719     51.60    53.04 
Morgan Stanley           61760QHZ0 11/10/15 11/10/25    100.000    VARIES     2.5656     26.27   0.009414   0.009535   0.009657   0.009781                3.42     3.01 
Morgan Stanley           61745E5Z0 01/31/12 01/31/32    100.000    VARIES     5.6272    596.19   0.140022   0.140802   0.141603   0.142427  0.143285     50.79    51.38 
Morgan Stanley           61745E5X5 03/22/11 03/22/31    100.000    VARIES     5.8739    737.67   0.162311   0.162398   0.162487   0.162579  0.162828     58.46    58.55 
Morgan Stanley           61760QKZ6 03/22/18 03/22/28    100.000    VARIES     3.8651    223.65   0.106578   0.105430   0.107160   0.105419  0.107126     38.85    38.79 
Morgan Stanley           61745EX63 06/30/11 06/30/31    100.000    VARIES     5.7759    645.03   0.142054   0.142911   0.143792   0.144699  0.145727     51.30    51.93 
Morgan Stanley           61745E5S6 08/22/11 08/22/31    100.000    VARIES     5.6565    626.07   0.145096   0.145812   0.146547   0.147420  0.148317     52.55    53.14 
Morgan Stanley           61760QLC6 05/03/18 05/03/28    100.000    VARIES     3.4370     20.74   0.010366   0.010544   0.010725   0.010909  0.011097      3.78     3.92 
Morgan Stanley           61760QLB8 04/03/18 04/03/28    100.000    VARIES     3.4407     31.53   0.015527   0.015794   0.016066   0.016342  0.016623      5.69     5.88 
Morgan Stanley           61760QLA0 04/03/18 04/03/28    100.000    VARIES     3.1280     14.39   0.007078   0.007188   0.007301   0.007415  0.007531      2.59     2.67 
Morgan Stanley           61760QLX0 09/26/18 09/26/28    100.000    VARIES     3.8192     13.93   0.007361   0.007501   0.007644   0.007790  0.007939      2.70     2.81 
Morgan Stanley           61745E6D8 03/23/11 03/23/26    100.000    VARIES     5.5647    704.99   0.154881   0.154974   0.154879   0.154780  0.154679     55.77    55.72 
Morgan Stanley           61760QJV7 03/31/17 03/31/27    100.000    VARIES     2.8769     28.55   0.011963   0.012135   0.012310   0.012487  0.012666      4.37     4.50 
Morgan Stanley           61745E6V8 04/15/10 04/15/25    100.000    VARIES     5.5533    752.03   0.153624   0.153829   0.154041                          55.37    16.02 
Morgan Stanley           61768CST5 12/08/17 06/10/24    100.000     0.000     3.1083    205.68   0.103911                                                16.52          
Morgan Stanley           61760QKF0 12/30/16 12/30/26    100.000    VARIES     2.8667     32.30   0.013230   0.013420   0.013612   0.013807  0.014005      4.80     4.94 
Morgan Stanley           61760QKE3 12/28/16 12/28/26    100.000    VARIES     2.2900     18.60   0.007569   0.007656   0.007744   0.007832  0.007922      2.74     2.80 
Morgan Stanley           61745EH46 04/26/11 04/26/26    100.000    VARIES     5.7525    638.57   0.146661   0.148635   0.151507   0.152782  0.155797     54.36    55.82 
Morgan Stanley           61745E6R7 03/25/11 03/25/31    100.000    VARIES     5.9463    679.41   0.153971   0.155154   0.156373   0.157628  0.158521     55.87    56.73 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley           61760QKA1 09/30/16 09/30/26    100.000    VARIES     2.5378     47.46   0.018688   0.018925   0.019165   0.019408  0.019655      6.81     6.99 
Morgan Stanley           61745EY47 06/30/11 06/30/26    100.000    VARIES     5.5720    640.41   0.150030   0.151110   0.151990   0.152893  0.153822     54.21    54.88 
Morgan Stanley           61762GBE3 03/11/14 03/04/24    100.000    VARIES     3.8517    385.67   0.107385                                                 6.77          
Morgan Stanley           61762GBF0 03/31/14 03/29/29    100.000    VARIES     4.2966    442.30   0.126971   0.126601   0.126005   0.125396  0.124774     45.55    45.14 
Morgan Stanley           61760QKK9 06/30/17 06/30/27    100.000    VARIES     2.7385     27.60   0.012008   0.012172   0.012339   0.012508  0.012679      4.35     4.47 
Morgan Stanley           61760QKH6 02/21/17 02/21/27    100.000    VARIES     2.7058     18.04   0.007580   0.007682   0.007786   0.007891  0.007998      2.77     2.85 
Morgan Stanley           61760QKU7 09/29/17 09/29/27    100.000    VARIES     2.7477     25.48   0.011374   0.011530   0.011688   0.011849  0.012012      4.15     4.27 
Morgan Stanley           61745E7E5 08/31/11 08/31/26    100.000    VARIES     5.5216    593.49   0.138539   0.139059   0.143481   0.143277  0.147882     51.41    52.87 
Morgan Stanley           61760QKR4 09/15/17 09/15/27    100.000    VARIES     2.6232     25.18   0.011167   0.011313   0.011462   0.011612  0.011764      4.08     4.19 
Morgan Stanley           61760QKQ6 08/02/17 08/02/27    100.000    VARIES     2.7106     28.92   0.012586   0.012757   0.012929   0.013105  0.013282      4.61     4.74 
Morgan Stanley           61766YAN1 09/30/16 09/30/26    100.000    VARIES     2.2435     23.18   0.009243   0.009347   0.009452   0.009558  0.009665      3.37     3.44 
Morgan Stanley           617482PU2 12/22/10 12/22/25    100.000    VARIES     6.2468    773.58   0.168312   0.169442   0.170608   0.172043               60.82    60.14 
Morgan Stanley           61745EZ87 07/07/11 07/07/26    100.000    VARIES     5.7789    664.33   0.154245   0.155197   0.156177   0.157185  0.158222     56.04    56.76 
Morgan Stanley           61745EJ28 04/29/11 04/29/26    100.000    VARIES     5.7372    667.73   0.150587   0.152210   0.153879   0.155597  0.157454     54.71    55.93 
Morgan Stanley           61760QMF8 11/28/18 11/28/28    100.000    VARIES     3.9167     27.51   0.014453   0.014736   0.015025   0.015319  0.015619      5.27     5.48 
Morgan Stanley           61745EJ93 09/09/11 09/09/26    100.000    VARIES     5.8527    651.46   0.153270   0.154730   0.156232   0.157778  0.159369     55.77    56.87 
Morgan Stanley           617482RH9 02/28/11 02/27/26    100.000    VARIES     5.9551    735.94   0.160453   0.161325   0.162224   0.163149  0.164267     58.14    58.82 
Morgan Stanley           61766YAB7 05/25/16 05/25/26    100.000    VARIES     2.2927     25.67   0.009870   0.009983   0.010097   0.010213  0.010330      3.58     3.66 
Morgan Stanley           61760QMM3 02/25/19 02/25/29    100.000    VARIES     3.3395     26.03   0.014691   0.014936   0.015185   0.015439  0.015697      5.39     5.58 
Morgan Stanley           61760QMZ4 06/19/20 06/19/30    100.000    VARIES     1.9060     66.52   0.052593   0.052708   0.052797   0.052875  0.052937     18.96    19.02 
Morgan Stanley           61745EL58 09/16/11 09/16/31    100.000    VARIES     5.8547    629.89   0.145841   0.146993   0.148178   0.149399  0.150655     52.96    53.82 
Morgan Stanley           61764V570 04/01/15 11/07/25    100.000     0.000     3.4095    344.29   0.126667   0.128826   0.131022   0.133256               46.22    40.49 
Morgan Stanley           61761JDB2 02/20/13 02/18/33    100.000    VARIES     4.5201    452.54   0.113794   0.114067   0.114347   0.114634  0.115061     41.09    41.31 
Morgan Stanley           61745EM32 09/22/11 09/22/26    100.000    VARIES     5.5348    610.56   0.144750   0.146117   0.147522   0.149015  0.150548     52.63    53.68 
Morgan Stanley Fiance LL 61775HUH8 08/16/23 08/14/25    100.000     0.000     5.3873     20.20   0.149647   0.153633   0.157772   0.162022               55.70    35.95 
Morgan Stanley Finance   61773E700 10/05/21 10/04/28    100.000     0.000     2.0411     46.53   0.059045   0.059647   0.060256   0.060871  0.061492     21.47    21.91 
Morgan Stanley Finance   61771BJV7 07/06/20 07/03/25    100.000     0.000     1.2523     44.48   0.036110   0.036336   0.036564   0.036793               13.12     6.70 
Morgan Stanley Finance   61768R583 08/15/18 08/14/25    100.000     0.000     3.9076    231.40   0.131704   0.134278   0.136901   0.139576               48.59    31.01 
Morgan Stanley Finance   61771BJQ8 06/30/20 06/30/27    100.000     0.000     1.6297     58.50   0.047916   0.048306   0.048700   0.049096  0.049497     17.32    17.60 
Morgan Stanley Finance   61773Y110 03/21/22 09/21/26    100.000     0.000     3.2764     59.51   0.095559   0.097124   0.098715   0.100333  0.101976     35.00    36.15 
Morgan Stanley Finance   61771V3W8 06/30/21 06/29/28    100.000     0.000     1.9839     50.65   0.057893   0.058467   0.059047   0.059633  0.060225     20.95    21.36 
Morgan Stanley Finance   61771V3Q1 07/06/21 07/06/26    100.000     0.000     1.4969     37.77   0.042841   0.043161   0.043484   0.043810  0.044138     15.59    15.83 
Morgan Stanley Finance   61770FLC8 02/19/20 02/19/25    100.000     0.000     2.1606     86.66   0.064704   0.065403   0.066109                          23.60     3.17 
Morgan Stanley Finance   61773U548 03/03/22 03/04/26    100.000     0.000     2.5450     47.33   0.073433   0.074368   0.075314   0.076272  0.077243     26.82    27.51 
Morgan Stanley Finance   61771BJP0 06/30/20 06/30/27    100.000     0.000     1.6297     58.50   0.047916   0.048306   0.048700   0.049096  0.049497     17.32    17.60 
Morgan Stanley Finance   61768R591 08/15/18 08/15/24    100.000     0.000     3.7617    221.95   0.125896   0.128264                                     28.63          
Morgan Stanley Finance   61768CZF7 02/28/18 02/27/25    100.000     0.000     3.6613    236.13   0.124152   0.126425   0.128739                          45.67     7.21 
Morgan Stanley Finance   61770FKC9 02/28/20 08/29/24    100.000     0.000     1.8417     72.98   0.054551   0.055054                                     13.07          
Morgan Stanley Finance   61769HAR6 06/05/19 06/05/24    100.000     0.000     2.9744    144.55   0.094363                                                14.53          
Morgan Stanley Finance   61769HAP0 05/31/19 05/31/24    100.000     0.000     3.0990    151.48   0.098858                                                14.73          
Morgan Stanley Finance   61768M576 03/05/18 03/05/25    100.000     0.000     3.7266    239.88   0.126827   0.129190   0.131597                          46.64     8.42 
Morgan Stanley Finance   61769HAH8 06/05/19 06/05/24    100.000     0.000     2.9744    144.55   0.094363                                                14.53          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61771VD49 05/26/21 05/25/28    100.000     0.000     1.9994     53.04   0.058368   0.058952   0.059541   0.060136  0.060738     21.16    21.58 
Morgan Stanley Finance   61773QZF9 04/27/22 04/26/29    100.000     0.000     4.3166     74.34   0.127823   0.130582   0.133400   0.136279  0.139221     46.88    48.92 
Morgan Stanley Finance   61770C111 10/03/19 04/03/24    100.000     0.000     2.1674     95.83   0.065628                                                 6.04          
Morgan Stanley Finance   61769HB87 10/30/19 05/02/24    100.000     0.000     2.3725    103.35   0.072431                                                 8.76          
Morgan Stanley Finance   61771VX54 05/28/21 05/31/28    100.000     0.000     1.9431     51.40   0.056654   0.057204   0.057760   0.058321  0.058888     20.53    20.93 
Morgan Stanley Finance   61769HE43 10/25/19 10/25/24    100.000     0.250     2.3773    103.46   0.071895   0.072667                                     21.28          
Morgan Stanley Finance   61766X459 09/06/17 03/05/24    100.000     0.000     3.0212    208.67   0.100456                                                 6.43          
Morgan Stanley Finance   61773FLT8 08/31/21 08/31/28    100.000     0.000     1.9137     45.51   0.055222   0.055747   0.056284   0.056816  0.057366     20.10    20.49 
Morgan Stanley Finance   61768P157 04/05/18 04/03/25    100.000     0.000     3.8093    241.85   0.130191   0.132670   0.135197                          47.76    12.44 
Morgan Stanley Finance   61773HBE8 11/29/21 11/29/28    100.000     0.000     2.4000     51.11   0.069924   0.070764   0.071613   0.072472  0.073342     25.38    25.99 
Morgan Stanley Finance   61773HBC2 11/08/21 11/06/26    100.000     0.000     1.8561     40.48   0.053495   0.053992   0.054493   0.054998  0.055509     19.40    19.76 
Morgan Stanley Finance   61772X691 06/03/21 06/05/28    100.000     0.000     1.9849     52.24   0.057934   0.058509   0.059090   0.059676  0.060268     20.99    21.41 
Morgan Stanley Finance   61771VFW5 03/31/21 03/30/28    100.000     0.000     2.1048     59.35   0.061609   0.062257   0.062912   0.063574  0.064243     22.41    22.89 
Morgan Stanley Finance   61771BMB7 06/26/20 12/29/25    100.000     0.000     1.3458     48.26   0.039185   0.039448   0.039714   0.039981               14.15    14.27 
Morgan Stanley Finance   61771BMA9 06/26/20 06/28/27    100.000     0.000     1.6168     58.22   0.047520   0.047904   0.048291   0.048681  0.049075     17.18    17.46 
Morgan Stanley Finance   61772X659 06/03/21 06/05/28    100.000     0.000     1.9849     52.24   0.057934   0.058509   0.059090   0.059676  0.060268     20.99    21.41 
Morgan Stanley Finance   61773QLH0 03/17/22 03/12/26    100.000     0.000     3.0167     55.05   0.087611   0.088932   0.090273   0.091635  0.093017     32.07    33.04 
Morgan Stanley Finance   61771BLH5 07/06/20 07/03/25    100.000     0.000     1.2523     44.48   0.036110   0.036336   0.036564   0.036793               13.12     6.70 
Morgan Stanley Finance   61773QLL1 03/09/22 03/09/27    100.000     0.000     2.7515     50.76   0.079628   0.080724   0.081835   0.082960  0.084102     29.11    29.92 
Morgan Stanley Finance   61773QLJ6 03/17/22 03/12/27    100.000     0.000     3.2312     59.05   0.094135   0.095656   0.097201   0.098772  0.100367     34.50    35.62 
Morgan Stanley Finance   61771BKY9 06/30/20 06/30/27    100.000     0.000     1.6297     58.50   0.047916   0.048306   0.048700   0.049096  0.049497     17.32    17.60 
Morgan Stanley Finance   61769H2P9 01/02/20 01/02/25    100.000     0.000     2.3600     98.32   0.071167   0.072007   0.072856                          26.07          
Morgan Stanley Finance   61773QKV0 03/16/22 03/16/28    100.000     0.000     3.3682     61.71   0.098367   0.100023   0.101708   0.103421  0.105162     36.06    37.29 
Morgan Stanley Finance   61769H2N4 01/02/20 01/02/25    100.000     0.000     2.3600     98.32   0.071167   0.072007   0.072856                          26.07          
Morgan Stanley Finance   61773HQY8 12/28/21 12/28/26    100.000     0.000     1.9271     39.27   0.055624   0.056160   0.056701   0.057248  0.057799     20.12    20.51 
Morgan Stanley Finance   61773HQZ5 12/28/21 12/28/28    100.000     0.000     2.1941     44.80   0.063667   0.064365   0.065071   0.065785  0.066507     23.05    23.56 
Morgan Stanley Finance   61771BKZ6 06/30/20 12/30/27    100.000     0.000     1.6965     60.96   0.049995   0.050419   0.050847   0.051278  0.051713     18.08    18.38 
Morgan Stanley Finance   61769H2T1 12/18/19 12/17/26    100.000     0.000     2.5573    108.01   0.078632   0.079638   0.080656   0.081687  0.082732     28.52    29.25 
Morgan Stanley Finance   61771V4K3 06/23/21 12/23/26    100.000     0.000     1.5784     40.45   0.045603   0.045963   0.046326   0.046692  0.047060     16.49    16.75 
Morgan Stanley Finance   61771V4J6 06/23/21 06/22/28    100.000     0.000     1.8975     48.79   0.055255   0.055779   0.056309   0.056843  0.057382     20.00    20.38 
Morgan Stanley Finance   61769HTU9 10/03/19 10/03/24    100.000     0.000     2.1901     96.88   0.066374   0.067101                                     18.18          
Morgan Stanley Finance   61769H2F1 12/27/19 12/27/24    100.000     0.000     2.5252    105.89   0.077549   0.078528                                     27.78          
Morgan Stanley Finance   61769H2L8 01/02/20 01/02/24    100.000     0.000     2.2779     94.77   0.068496                                                               
Morgan Stanley Finance   61771VVY3 04/30/21 04/28/28    100.000     0.000     2.0160     55.02   0.058874   0.059467   0.060067   0.060672  0.061284     21.38    21.81 
Morgan Stanley Finance   61772Y863 09/03/21 09/06/28    100.000     0.000     1.8357     43.47   0.052899   0.053384   0.053874   0.054369  0.054868     19.24    19.60 
Morgan Stanley Finance   61769HDG7 06/03/19 06/03/24    100.000     0.000     3.3497    164.27   0.108051                                                16.42          
Morgan Stanley Finance   61773N163 12/20/21 01/04/29    100.000     0.000     2.2783     47.08   0.065530   0.066277   0.067032   0.067795  0.068568     23.99    24.54 
Morgan Stanley Finance   61769H3D5 12/27/19 06/26/24    100.000     0.000     2.4842    104.10   0.076162                                                13.33          
Morgan Stanley Finance   61769H3B9 12/26/19 06/25/24    100.000     0.000     2.4842    104.18   0.076162                                                13.25          
Morgan Stanley Finance   61771BKP8 06/16/20 06/16/27    100.000     0.000     1.6181     58.74   0.047554   0.047939   0.048327   0.048718  0.049112     17.20    17.48 
Morgan Stanley Finance   61773HA33 01/26/22 01/26/27    100.000     0.000     2.3686     46.52   0.068161   0.068969   0.069785   0.070612  0.071448     24.94    25.53 
Morgan Stanley Finance   61773HA25 01/26/22 01/25/29    100.000     0.000     2.6702     52.55   0.077177   0.078208   0.079252   0.080310  0.081382     28.29    29.05 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61770C343 11/05/19 05/03/24    100.000     0.000     2.2919     99.34   0.069730                                                 8.51          
Morgan Stanley Finance   61773QKF5 03/31/22 04/03/29    100.000     0.000     3.7117     66.63   0.108984   0.111006   0.113066   0.115165  0.117302     39.96    41.45 
Morgan Stanley Finance   61773QKG3 03/31/22 04/03/29    100.000     0.000     3.7117     66.63   0.108984   0.111006   0.113066   0.115165  0.117302     39.96    41.45 
Morgan Stanley Finance   61769H2Y0 12/26/19 12/24/26    100.000     0.000     2.7295    114.96   0.084490   0.085643   0.086812   0.087996  0.089197     30.64    31.48 
Morgan Stanley Finance   61773H2Y4 02/24/22 02/23/27    100.000     0.000     2.8221     53.32   0.081751   0.082905   0.084075   0.085261  0.086464     29.94    30.79 
Morgan Stanley Finance   61770G203 03/04/20 09/03/25    100.000     0.000     1.8551     73.19   0.054968   0.055478   0.055993   0.056512               20.00    13.64 
Morgan Stanley Finance   61770G211 03/04/20 03/04/27    100.000     0.000     2.0962     83.04   0.062636   0.063292   0.063956   0.064626  0.065303     22.82    23.30 
Morgan Stanley Finance   61769HFS9 07/03/19 07/03/24    100.000     0.000     2.6772    126.96   0.082712   0.083820                                     15.25          
Morgan Stanley Finance   61773HDE6 11/24/21 05/24/27    100.000     0.000     2.0320     43.44   0.058773   0.059371   0.059974   0.060583  0.061199     21.31    21.75 
Morgan Stanley Finance   61773HDF3 11/24/21 11/24/28    100.000     0.000     2.2835     48.91   0.066377   0.067135   0.067902   0.068677  0.069461     24.09    24.64 
Morgan Stanley Finance   61769HXH3 11/05/19 11/05/24    100.000     0.000     2.3221    100.71   0.070742   0.071564                                     21.65          
Morgan Stanley Finance   61770C640 12/04/19 12/04/24    100.000     0.000     2.3719    100.86   0.072404   0.073262                                     24.27          
Morgan Stanley Finance   61773H2P3 02/24/22 02/23/29    100.000     0.000     3.0802     58.29   0.089568   0.090947   0.092348   0.093770  0.095214     32.85    33.87 
Morgan Stanley Finance   61769H4T9 12/27/19 01/02/24    100.000     0.000     2.4620    103.13   0.074530                                                               
Morgan Stanley Finance   61769HET8 06/28/19 06/28/24    100.000     0.000     2.6301    125.02   0.082175                                                14.54          
Morgan Stanley Finance   61769H4W2 12/27/19 01/02/24    100.000     0.000     2.4620    103.13   0.074530                                                               
Morgan Stanley Finance   61773H2F5 02/28/22 02/28/29    100.000     0.000     3.1853     59.96   0.092777   0.094255   0.095756   0.097281  0.098831     34.03    35.12 
Morgan Stanley Finance   61773H2E8 02/28/22 02/28/29    100.000     0.000     3.1853     59.96   0.092777   0.094255   0.095756   0.097281  0.098831     34.03    35.12 
Morgan Stanley Finance   61773N437 01/05/22 01/04/29    100.000     0.000     2.2590     45.69   0.064897   0.065630   0.066371   0.067121  0.067879     23.76    24.30 
Morgan Stanley Finance   61771VXF2 06/02/21 06/01/26    100.000     0.000     1.4602     38.26   0.042063   0.042370   0.042679   0.042991  0.043305     15.22    15.44 
Morgan Stanley Finance   61773FMJ9 09/03/21 09/03/26    100.000     0.000     1.3944     32.88   0.039826   0.040103   0.040383   0.040664  0.040948     14.45    14.66 
Morgan Stanley Finance   61771VXK1 05/28/21 05/31/28    100.000     0.000     1.9431     51.40   0.056654   0.057204   0.057760   0.058321  0.058888     20.53    20.93 
Morgan Stanley Finance   61773HC23 01/12/22 01/11/29    100.000     0.000     2.5645     51.47   0.074007   0.074956   0.075918   0.076891  0.077877     27.14    27.84 
Morgan Stanley Finance   61768DBW4 08/09/18 08/11/25    100.000     0.000     3.9321    233.79   0.132732   0.135342   0.138003   0.140716               48.99    30.85 
Morgan Stanley Finance   61773N767 02/03/22 02/05/29    100.000     0.000     2.6759     52.13   0.077367   0.078402   0.079451   0.080514  0.081591     28.34    29.11 
Morgan Stanley Finance   61769Q212 08/05/19 02/05/25    100.000     0.000     2.8032    130.49   0.087039   0.088259   0.089496                          31.91     3.04 
Morgan Stanley Finance   61770FAP1 01/23/20 01/22/27    100.000     0.000     2.5533    105.11   0.077507   0.078497   0.079499   0.080514  0.081542     28.40    29.13 
Morgan Stanley Finance   61769H7Q2 02/05/20 02/05/25    100.000     0.000     1.9970     80.71   0.059468   0.060062   0.060661                          21.69     2.06 
Morgan Stanley Finance   61769HHQ1 07/01/19 07/01/25    100.000     0.000     2.7490    130.73   0.086344   0.086344   0.088734   0.088734               31.30    15.97 
Morgan Stanley Finance   61770FB96 04/30/20 02/01/27    100.000     0.000     2.2244     84.58   0.066400   0.067139   0.067885   0.068640  0.069404     24.26    24.80 
Morgan Stanley Finance   61770FAB2 02/05/20 02/05/25    100.000     0.000     1.9970     80.71   0.059468   0.060062   0.060661                          21.69     2.06 
Morgan Stanley Finance   61773H4Y2 02/28/22 02/28/29    100.000     0.000     3.1853     59.96   0.092777   0.094255   0.095756   0.097281  0.098831     34.03    35.12 
Morgan Stanley Finance   61768J458 11/03/17 11/05/24    100.000     0.000     3.0987    208.62   0.103533   0.105137                                     31.76          
Morgan Stanley Finance   61770FAJ5 02/05/20 02/05/24    100.000     0.000     1.9189     77.44   0.056986                                                 1.94          
Morgan Stanley Finance   61773G234 11/03/21 11/03/28    100.000     0.000     2.2272     49.05   0.064670   0.065390   0.066118   0.066854  0.067599     23.49    24.02 
Morgan Stanley Finance   61769H6X8 01/31/20 01/31/25    100.000     0.000     2.1858     88.95   0.065518   0.066234   0.066958                          23.93     1.94 
Morgan Stanley Finance   61769H6W0 01/31/20 01/31/25    100.000     0.000     2.1858     88.95   0.065518   0.066234   0.066958                          23.93     1.94 
Morgan Stanley Finance   61769HH32 11/27/19 08/27/24    100.000     0.000     2.3730    101.44   0.072014   0.072868                                     17.15          
Morgan Stanley Finance   61769HXR1 10/31/19 10/31/25    100.000     0.000     2.5933    113.44   0.079857   0.080893   0.081942   0.083004               29.06    24.69 
Morgan Stanley Finance   61769H6T7 01/23/20 01/22/27    100.000     0.000     2.5533    105.11   0.077507   0.078497   0.079499   0.080514  0.081542     28.40    29.13 
Morgan Stanley Finance   61768DAR6 08/31/18 09/03/25    100.000     0.000     3.9373    231.34   0.132955   0.135572   0.138241   0.140963               48.96    33.94 
Morgan Stanley Finance   61769HH40 11/27/19 02/26/26    100.000     0.000     2.5493    109.33   0.077868   0.078861   0.079866   0.080884  0.081915     28.46    29.19 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61771C136 06/03/20 06/03/26    100.000     0.000     1.6786     61.64   0.049438   0.049853   0.050272   0.050694  0.051119     17.90    18.20 
Morgan Stanley Finance   61769H7N9 01/31/20 02/02/27    100.000     0.000     2.4454     99.96   0.073969   0.074874   0.075789   0.076716  0.077654     27.06    27.73 
Morgan Stanley Finance   61769H7M1 01/31/20 02/02/27    100.000     0.000     2.4454     99.96   0.073969   0.074874   0.075789   0.076716  0.077654     27.06    27.73 
Morgan Stanley Finance   61769H7L3 01/31/20 02/02/27    100.000     0.000     2.4454     99.96   0.073969   0.074874   0.075789   0.076716  0.077654     27.06    27.73 
Morgan Stanley Finance   61769H7K5 01/31/20 02/02/27    100.000     0.000     2.4454     99.96   0.073969   0.074874   0.075789   0.076716  0.077654     27.06    27.73 
Morgan Stanley Finance   61773H3V9 03/03/22 03/04/27    100.000     0.000     2.7394     51.01   0.079272   0.080357   0.081458   0.082574  0.083705     28.99    29.79 
Morgan Stanley Finance   61773H3T4 03/03/22 03/04/27    100.000     0.000     2.7394     51.01   0.079272   0.080357   0.081458   0.082574  0.083705     28.99    29.79 
Morgan Stanley Finance   61768CB89 02/28/18 03/03/26    100.000     0.000     3.7712    243.95   0.128720   0.131147   0.133620   0.136139  0.138706     47.35    49.16 
Morgan Stanley Finance   61769HJV8 08/05/19 08/05/24    100.000     0.000     2.7548    128.12   0.085372   0.086548                                     18.48          
Morgan Stanley Finance   61773HZ28 02/09/22 02/09/26    100.000     0.000     2.3951     46.15   0.068950   0.069776   0.070611   0.071457  0.072312     25.21    25.81 
Morgan Stanley Finance   61769HJU0 07/02/19 07/03/24    100.000     0.000     2.6771    127.05   0.082718   0.083825                                     15.25          
Morgan Stanley Finance   61774DFZ5 06/01/22 05/29/26    100.000     0.000     3.7654     60.87   0.110591   0.112673   0.114795   0.116956  0.119158     40.32    41.85 
Morgan Stanley Finance   61768T381 11/05/18 11/05/25    100.000     0.000     4.2534    242.39   0.145823   0.148924   0.152091   0.155326               53.41    46.82 
Morgan Stanley Finance   61773HY94 02/09/22 02/08/29    100.000     0.000     2.8839     55.76   0.083617   0.084823   0.086046   0.087286  0.088545     30.67    31.56 
Morgan Stanley Finance   61769HKS3 08/05/19 08/05/24    100.000     0.000     2.7548    128.12   0.085372   0.086548                                     18.48          
Morgan Stanley Finance   61770FCR5 01/29/20 01/28/27    100.000     0.000     2.4281     99.30   0.073386   0.074277   0.075179   0.076092  0.077016     26.85    27.51 
Morgan Stanley Finance   61770G641 04/03/20 04/06/26    100.000     0.000     2.6405    103.23   0.080416   0.081478   0.082554   0.083644  0.084748     29.32    30.10 
Morgan Stanley Finance   61770FCS3 01/30/20 02/01/24    100.000     0.000     2.0269     82.26   0.060422                                                 1.81          
Morgan Stanley Finance   61768CSH1 10/30/17 10/28/32    100.000     0.000     3.7753    235.01   0.106057   0.108059   0.106950   0.108969  0.108060     38.60    38.93 
Morgan Stanley Finance   61771BRF3 07/31/20 08/02/27    100.000     0.000     1.3386     46.68   0.038704   0.038963   0.039224   0.039487  0.039751     14.06    14.25 
Morgan Stanley Finance   61771BRE6 07/31/20 08/04/27    100.000     0.000     1.3386     46.68   0.038707   0.038966   0.039227   0.039489  0.039754     14.06    14.25 
Morgan Stanley Finance   61773N858 02/03/22 02/05/29    100.000     0.000     2.6759     52.13   0.077367   0.078402   0.079451   0.080514  0.081591     28.34    29.11 
Morgan Stanley Finance   61770FC38 04/30/20 04/30/27    100.000     0.000     2.2634     86.11   0.068025   0.068795   0.069574   0.070361  0.071157     24.72    25.28 
Morgan Stanley Finance   61770FC46 04/30/20 04/30/27    100.000     0.000     2.2634     86.11   0.068025   0.068795   0.069574   0.070361  0.071157     24.72    25.28 
Morgan Stanley Finance   61770FBU9 01/31/20 08/01/24    100.000     0.000     2.1409     87.05   0.064074   0.064760                                     13.58          
Morgan Stanley Finance   61773FAG8 06/30/21 06/30/28    100.000     0.000     1.9839     50.65   0.057896   0.058471   0.059051   0.059636  0.060228     20.95    21.36 
Morgan Stanley Finance   61771C409 07/06/20 07/06/27    100.000     0.000     1.6108     57.52   0.046949   0.047327   0.047709   0.048093  0.048480     17.10    17.38 
Morgan Stanley Finance   61773HXK0 01/31/22 01/31/29    100.000     0.000     2.7958     54.75   0.080963   0.082095   0.083243   0.084406  0.085586     29.69    30.53 
Morgan Stanley Finance   61773HXL8 02/03/22 02/04/27    100.000     0.000     2.4163     46.98   0.069587   0.070428   0.071279   0.072140  0.073012     25.45    26.07 
Morgan Stanley Finance   61773HX95 02/28/22 02/26/27    100.000     0.000     2.9302     55.06   0.085012   0.086257   0.087521   0.088803  0.090104     31.14    32.06 
Morgan Stanley Finance   61769HK38 12/02/19 12/02/24    100.000     0.000     2.3657    100.73   0.072195   0.073049                                     24.05          
Morgan Stanley Finance   61768DDL6 09/28/18 09/30/25    100.000     0.000     4.1262    239.63   0.140615   0.143516   0.146477   0.149499               51.68    39.95 
Morgan Stanley Finance   61773QA33 06/05/22 06/05/27    100.000     0.000     3.4184     54.76   0.099908   0.101616   0.103353   0.105119  0.106916     36.36    37.62 
Morgan Stanley Finance   61773FDC4 08/04/21 08/04/26    100.000     0.000     1.7696     43.35   0.050920   0.051370   0.051825   0.052283  0.052746     18.55    18.87 
Morgan Stanley Finance   61773QDP1 03/23/22 03/22/29    100.000     0.000     3.3861     61.35   0.098908   0.100583   0.102286   0.104017  0.105778     36.24    37.48 
Morgan Stanley Finance   61773QDM8 03/23/22 03/23/28    100.000     0.000     3.3224     60.17   0.096966   0.098577   0.100215   0.101880  0.103572     35.52    36.71 
Morgan Stanley Finance   61768Y307 06/05/19 03/05/24    100.000     0.000     2.9394    142.78   0.092432                                                 5.92          
Morgan Stanley Finance   61773QDN6 03/23/22 03/23/27    100.000     0.000     3.2206     58.29   0.093852   0.095364   0.096899   0.098460  0.100045     34.36    35.47 
Morgan Stanley Finance   61770FFB7 02/28/20 02/28/25    100.000     0.000     1.9133     75.91   0.056810   0.057353   0.057902                          20.68     3.30 
Morgan Stanley Finance   61773FUK7 09/30/21 10/02/28    100.000     0.000     2.0246     46.44   0.058556   0.059149   0.059748   0.060353  0.060963     21.29    21.73 
Morgan Stanley Finance   61773FU84 11/03/21 11/03/26    100.000     0.000     1.8149     39.83   0.052268   0.052742   0.053221   0.053703  0.054191     18.96    19.30 
Morgan Stanley Finance   61773FCU5 07/30/21 08/01/28    100.000     0.000     1.7934     44.15   0.051629   0.052092   0.052559   0.053030  0.053506     18.81    19.15 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61768DH40 03/05/19 03/04/24    100.000     0.000     3.5292    183.81   0.114737                                                 7.23          
Morgan Stanley Finance   61770FW77 05/21/20 05/21/27    100.000     0.000     2.1231     79.26   0.063498   0.064173   0.064854   0.065542  0.066238     23.03    23.53 
Morgan Stanley Finance   61770FW85 05/20/20 05/20/25    100.000     0.000     1.7889     66.48   0.052887   0.053360   0.053837                          19.16     7.48 
Morgan Stanley Finance   61768J870 12/05/17 12/04/24    100.000     0.000     3.1714    210.56   0.106391   0.108078                                     35.73          
Morgan Stanley Finance   61770FW93 05/21/20 05/21/27    100.000     0.000     2.1231     79.26   0.063498   0.064173   0.064854   0.065542  0.066238     23.03    23.53 
Morgan Stanley Finance   61770E232 01/03/20 01/05/27    100.000     0.000     2.6098    109.13   0.079391   0.080427   0.081477   0.082540  0.083617     29.13    29.90 
Morgan Stanley Finance   61768C3H8 06/29/18 07/01/25    100.000     0.000     4.0272    245.48   0.139328   0.139328   0.144995   0.144995               50.66    26.10 
Morgan Stanley Finance   61770FW28 05/29/20 05/29/26    100.000     0.000     1.7764     65.53   0.052495   0.052961   0.053432   0.053906  0.054385     19.01    19.35 
Morgan Stanley Finance   61770FW36 05/29/20 06/01/27    100.000     0.000     1.9425     71.85   0.057741   0.058302   0.058868   0.059440  0.060017     20.92    21.33 
Morgan Stanley Finance   61768Y299 06/05/19 06/05/24    100.000     0.000     2.9744    144.55   0.094363                                                14.53          
Morgan Stanley Finance   61770FV86 05/29/20 06/01/27    100.000     0.000     1.9425     71.85   0.057741   0.058302   0.058868   0.059440  0.060017     20.92    21.33 
Morgan Stanley Finance   61770FV94 05/29/20 06/01/27    100.000     0.000     1.9425     71.85   0.057741   0.058302   0.058868   0.059440  0.060017     20.92    21.33 
Morgan Stanley Finance   61768CSU2 11/30/17 11/29/24    100.000     0.000     3.1215    207.47   0.104407   0.106037                                     34.54          
Morgan Stanley Finance   61768C2K2 05/30/18 05/29/26    100.000     0.000     4.0544    251.38   0.140428   0.143275   0.146179   0.149142  0.152166     51.25    53.35 
Morgan Stanley Finance   61773FT45 10/29/21 10/31/28    100.000     0.000     2.2359     49.50   0.064936   0.065662   0.066396   0.067139  0.067889     23.60    24.13 
Morgan Stanley Finance   61773QST7 03/30/22 03/31/27    100.000     0.000     3.6190     64.93   0.106085   0.108005   0.109959   0.111949  0.113975     38.89    40.31 
Morgan Stanley Finance   61768CTQ0 11/30/17 12/03/25    100.000     0.000     3.2697    218.24   0.110367   0.112171   0.114005   0.115869               40.16    38.18 
Morgan Stanley Finance   61769HM77 12/02/19 12/02/24    100.000     0.000     2.3657    100.73   0.072195   0.073049                                     24.05          
Morgan Stanley Finance   61774DGA9 06/01/22 06/01/27    100.000     0.000     3.9473     63.87   0.116268   0.118563   0.120903   0.123289  0.125723     42.41    44.10 
Morgan Stanley Finance   61769HM51 12/02/19 12/02/24    100.000     0.000     2.3657    100.73   0.072195   0.073049                                     24.05          
Morgan Stanley Finance   61768DFQ3 10/31/18 10/30/25    100.000     0.000     4.1832    238.70   0.142924   0.145913   0.148965   0.152081               52.36    45.10 
Morgan Stanley Finance   61770FE36 04/30/20 04/30/27    100.000     0.000     2.2634     86.11   0.068025   0.068795   0.069574   0.070361  0.071157     24.72    25.28 
Morgan Stanley Finance   61770FDU7 01/28/20 01/29/30    100.000     0.000     2.6694    109.70   0.081369   0.082455   0.083555   0.084670  0.085800     29.82    30.62 
Morgan Stanley Finance   61770G708 04/03/20 04/07/26    100.000     0.000     2.6405    103.24   0.080424   0.081486   0.082562   0.083652  0.084756     29.32    30.10 
Morgan Stanley Finance   61773QC64 04/29/22 05/01/29    100.000     0.000     4.1317     70.83   0.122059   0.124580   0.127154   0.129781  0.132462     44.70    46.57 
Morgan Stanley Finance   61773QFJ3 03/31/22 04/03/29    100.000     0.000     3.7117     66.63   0.108984   0.111006   0.113066   0.115165  0.117302     39.96    41.45 
Morgan Stanley Finance   61773HLN7 12/23/21 12/26/28    100.000     0.000     2.2328     45.93   0.064852   0.065576   0.066308   0.067048  0.067797     23.48    24.01 
Morgan Stanley Finance   61773QFH7 03/31/22 04/03/29    100.000     0.000     3.7117     66.63   0.108984   0.111006   0.113066   0.115165  0.117302     39.96    41.45 
Morgan Stanley Finance   61768CWE3 12/29/17 12/31/25    100.000     0.000     3.3131    218.16   0.112098   0.113955   0.115842   0.117761               40.69    41.93 
Morgan Stanley Finance   61773Q5Q8 06/03/22 06/04/26    100.000     0.000     3.8630     62.25   0.113656   0.115851   0.118089   0.120370  0.122695     41.43    43.05 
Morgan Stanley Finance   61773Q5R6 06/03/22 06/04/27    100.000     2.500     4.1122     65.65   0.118500   0.118100   0.120500   0.121200  0.122600     42.65    43.38 
Morgan Stanley Finance   61770FYL4 05/05/20 05/05/25    100.000     0.000     1.8350     69.06   0.054336   0.054835   0.055338                          19.71     6.86 
Morgan Stanley Finance   61769Q881 10/03/19 04/03/25    100.000     0.000     2.2103     97.81   0.067039   0.067780   0.068529                          24.40     6.30 
Morgan Stanley Finance   61760QNK6 05/20/22 05/20/32    100.000    VARIES     4.2250     67.89   0.118800   0.120700   0.122600   0.124600  0.126700     43.26    44.66 
Morgan Stanley Finance   61773F5Q2 10/21/21 10/23/28    100.000     0.000     2.2503     50.35   0.065378   0.066114   0.066858   0.067610  0.068370     23.77    24.31 
Morgan Stanley Finance   61769P529 05/05/20 05/05/27    100.000     0.000     2.0902     78.99   0.062444   0.063096   0.063756   0.064422  0.065095     22.67    23.15 
Morgan Stanley Finance   61770FYH3 04/22/20 10/22/25    100.000     0.000     1.9271     73.38   0.057247   0.057799   0.058356   0.058918               20.78    17.08 
Morgan Stanley Finance   61760QNH3 05/27/22 05/27/27    100.000    VARIES     3.9700     63.37   0.112900   0.114900   0.116900   0.119000  0.121200     41.13    42.61 
Morgan Stanley Finance   61770FGP5 02/28/20 03/02/27    100.000     0.000     2.1748     86.66   0.065177   0.065885   0.066602   0.067326  0.068058     23.76    24.28 
Morgan Stanley Finance   61768DZW8 02/28/19 02/29/24    100.000     0.000     3.4964    182.76   0.113526                                                 6.58          
Morgan Stanley Finance   61768CX28 05/30/18 05/30/25    100.000     0.000     3.9488    244.16   0.136007   0.138693   0.141431                          49.61    21.07 
Morgan Stanley Finance   61769HP82 11/29/19 05/30/24    100.000     0.000     2.3629    100.83   0.072108                                                10.74          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61770FGS9 03/04/20 03/04/24    100.000     0.000     1.7557     69.16   0.051848                                                 3.27          
Morgan Stanley Finance   61773QF61 04/11/22 04/10/25    100.000     0.000     3.3450     58.83   0.097648   0.099281   0.100942                          35.71     9.99 
Morgan Stanley Finance   61773FVU4 09/22/21 03/22/27    100.000     0.000     1.5893     36.68   0.045567   0.045929   0.046294   0.046662  0.047033     16.54    16.81 
Morgan Stanley Finance   61768C5S2 07/31/18 07/31/25    100.000     0.000     4.0045    239.74   0.135626   0.138341   0.141111   0.143937               50.14    30.00 
Morgan Stanley Finance   61773FFC2 03/24/22 03/25/27    100.000     0.000     3.3435     60.46   0.097620   0.099251   0.100911   0.102598  0.104313     35.75    36.96 
Morgan Stanley Finance   61774DJV0 05/31/22 06/01/29    100.000     0.000     4.1329     67.07   0.122082   0.124604   0.127179   0.129807  0.132490     44.56    46.42 
Morgan Stanley Finance   61770FXY7 04/01/20 05/28/27    100.000     0.000     2.8687    112.76   0.088438   0.089707   0.090993   0.092298  0.093622     32.15    33.08 
Morgan Stanley Finance   61768CWL7 12/18/17 06/18/25    100.000     0.000     3.2094    211.91   0.107917   0.109649   0.111408                          39.21    18.61 
Morgan Stanley Finance   61773FFB4 03/24/22 03/26/25    100.000     0.000     3.1571     57.03   0.091933   0.093384   0.094858                          33.63     8.06 
Morgan Stanley Finance   61773Q4Z9 06/03/22 06/04/27    100.000     0.000     4.0488     65.31   0.119449   0.121867   0.124335   0.126852  0.129420     43.57    45.35 
Morgan Stanley Finance   61773QVH9 05/05/22 05/02/25    100.000     0.000     3.8097     64.52   0.111953   0.114086   0.116259                          40.94    14.07 
Morgan Stanley Finance   61769P495 05/05/20 05/05/26    100.000     0.000     1.9401     73.14   0.057658   0.058218   0.058782   0.059353  0.059928     20.92    21.33 
Morgan Stanley Finance   61773F4D2 10/27/21 04/27/27    100.000     0.000     1.9805     43.86   0.057226   0.057792   0.058365   0.058943  0.059526     20.78    21.19 
Morgan Stanley Finance   61773F4E0 10/27/21 10/26/28    100.000     0.000     2.2698     50.40   0.065958   0.066706   0.067463   0.068229  0.069003     23.98    24.52 
Morgan Stanley Finance   61773QVQ9 05/31/22 05/29/25    100.000     0.000     3.5672     57.71   0.104476   0.106339   0.108236                          38.07    16.02 
Morgan Stanley Finance   61768CUZ8 12/27/17 12/27/24    100.000     0.000     3.2580    214.42   0.109864   0.111653                                     39.43          
Morgan Stanley Finance   61769HNV3 09/05/19 09/05/24    100.000     0.000     2.3651    106.99   0.072177   0.073031                                     17.76          
Morgan Stanley Finance   61768CVR5 12/08/17 06/10/24    100.000     0.000     3.1083    205.68   0.103911                                                16.52          
Morgan Stanley Finance   61769HNU5 09/05/19 09/05/24    100.000     0.000     2.3651    106.99   0.072177   0.073031                                     17.76          
Morgan Stanley Finance   61773QUW7 04/14/22 10/11/24    100.000     0.000     2.9922     52.25   0.086883   0.088183                                     24.56          
Morgan Stanley Finance   61770FX27 05/21/20 05/21/26    100.000     0.000     1.9379     72.13   0.057589   0.058147   0.058710   0.059279  0.059853     20.88    21.28 
Morgan Stanley Finance   61773FDV2 07/28/21 01/28/27    100.000     0.000     1.4801     36.41   0.042345   0.042659   0.042974   0.043292  0.043613     15.40    15.63 
Morgan Stanley Finance   61772Y145 07/06/21 07/06/28    100.000     0.000     1.9323     48.97   0.055779   0.056318   0.056862   0.057411  0.057966     20.37    20.76 
Morgan Stanley Finance   61770FX35 05/21/20 05/21/27    100.000     0.000     2.1231     79.26   0.063498   0.064173   0.064854   0.065542  0.066238     23.03    23.53 
Morgan Stanley Finance   61770FFJ0 02/04/20 02/04/25    100.000     0.000     2.0787     84.19   0.062077   0.062722   0.063374                          22.65     2.09 
Morgan Stanley Finance   61773FDU4 07/28/21 07/27/28    100.000     0.000     1.8084     44.63   0.052074   0.052545   0.053020   0.053499  0.053983     18.98    19.32 
Morgan Stanley Finance   61773QDQ9 03/23/22 03/23/27    100.000     0.000     3.2206     58.29   0.093852   0.095364   0.096899   0.098460  0.100045     34.36    35.47 
Morgan Stanley Finance   61773FUT8 10/05/21 10/05/26    100.000     0.000     1.5992     36.31   0.045861   0.046227   0.046597   0.046970  0.047345     16.64    16.91 
Morgan Stanley Finance   61770E307 01/03/20 01/03/25    100.000     0.000     2.3534     97.96   0.070950   0.071785   0.072630                          25.99     0.15 
Morgan Stanley Finance   61770FX68 06/03/20 06/03/25    100.000     0.000     1.5338     56.19   0.044945   0.045289   0.045637                          16.26     6.94 
Morgan Stanley Finance   61773Q3X5 06/03/22 06/04/27    100.000     0.000     4.0488     65.31   0.119449   0.121867   0.124335   0.126852  0.129420     43.57    45.35 
Morgan Stanley Finance   61773F7L1 11/09/21 11/09/26    100.000     0.000     1.7857     38.87   0.051399   0.051858   0.052321   0.052788  0.053259     18.63    18.97 
Morgan Stanley Finance   61768DKG9 11/30/18 12/03/25    100.000     0.000     4.2632    239.35   0.146282   0.149400   0.152584   0.155837               53.40    51.24 
Morgan Stanley Finance   61773Q7G8 05/25/22 05/23/24    100.000     0.000     3.3425     54.50   0.097563                                                13.85          
Morgan Stanley Finance   61771VSK7 04/28/21 10/28/26    100.000     0.000     1.6286     44.35   0.047110   0.047494   0.047881   0.048270  0.048663     17.08    17.36 
Morgan Stanley Finance   61773Q7H6 05/25/22 05/23/25    100.000     0.000     3.7175     60.74   0.109108   0.111136   0.113201                          39.80    16.07 
Morgan Stanley Finance   61771VSJ0 04/28/21 04/27/28    100.000     0.000     1.9961     54.58   0.058267   0.058849   0.059436   0.060029  0.060629     21.16    21.58 
Morgan Stanley Finance   61772X220 05/05/21 05/03/28    100.000     0.000     2.0240     54.95   0.059119   0.059717   0.060321   0.060932  0.061549     21.46    21.90 
Morgan Stanley Finance   61773E528 10/05/21 10/04/28    100.000     0.000     2.0411     46.53   0.059045   0.059647   0.060256   0.060871  0.061492     21.47    21.91 
Morgan Stanley Finance   61773QZ93 05/31/22 05/31/29    100.000     0.000     4.2085     68.32   0.124439   0.127057   0.129731   0.132461  0.135248     45.43    47.37 
Morgan Stanley Finance   61771BHX5 06/17/20 06/17/25    100.000     0.000     1.3734     49.63   0.040021   0.040296   0.040572                          14.46     6.73 
Morgan Stanley Finance   61770FZV1 04/30/20 04/30/27    100.000     0.000     2.2634     86.11   0.068025   0.068795   0.069574   0.070361  0.071157     24.72    25.28 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61772Y475 08/04/21 08/03/28    100.000     0.000     1.7696     43.35   0.050916   0.051367   0.051821   0.052280  0.052742     18.55    18.87 
Morgan Stanley Finance   61769HRA5 08/30/19 09/01/26    100.000     0.000     2.4648    112.09   0.075520   0.076450   0.077393   0.078346  0.079312     27.58    28.26 
Morgan Stanley Finance   61773QGX1 04/05/22 04/05/27    100.000     0.000     3.4199     60.78   0.099953   0.101662   0.103400   0.105168  0.106967     36.59    37.85 
Morgan Stanley Finance   61773QHB8 04/05/22 04/05/27    100.000     1.750     3.4182     60.30   0.098211   0.098228   0.099907   0.099953  0.101661     35.51    36.13 
Morgan Stanley Finance   61770FZZ2 05/05/20 05/05/25    100.000     0.000     1.8350     69.06   0.054336   0.054835   0.055338                          19.71     6.86 
Morgan Stanley Finance   61773QHA0 04/05/22 04/05/27    100.000     0.000     3.4199     60.78   0.099953   0.101662   0.103400   0.105168  0.106967     36.59    37.85 
Morgan Stanley Finance   61773U266 02/16/22 03/05/29    100.000     0.000     3.0399     58.24   0.088492   0.089837   0.091203   0.092589  0.093996     32.41    33.41 
Morgan Stanley Finance   61768CXC6 01/31/18 01/30/25    100.000     0.000     3.4110    221.68   0.114121   0.116067   0.118047                          42.03     3.42 
Morgan Stanley Finance   61773Q6G9 05/25/22 11/25/26    100.000     0.000     4.1277     67.59   0.121905   0.124421   0.126989   0.129610  0.132285     44.52    46.38 
Morgan Stanley Finance   61773Q6H7 05/25/22 11/25/25    100.000     0.000     3.8756     63.37   0.114036   0.116246   0.118498   0.120795               41.61    38.81 
Morgan Stanley Finance   61773F6S7 11/01/21 11/01/28    100.000     0.000     2.1922     48.39   0.063608   0.064305   0.065010   0.065722  0.066443     23.11    23.62 
Morgan Stanley Finance   61768CH42 03/29/18 03/31/25    100.000     0.000     3.8850    247.96   0.133367   0.135957   0.138598                          48.95    12.34 
Morgan Stanley Finance   61770FYU4 04/30/20 10/30/25    100.000     0.000     1.9442     73.59   0.057789   0.058351   0.058918   0.059491               20.97    17.72 
Morgan Stanley Finance   61773Q5X3 05/31/22 05/31/29    100.000     0.000     4.2085     68.32   0.124439   0.127057   0.129731   0.132461  0.135248     45.43    47.37 
Morgan Stanley Finance   61773Q5Y1 05/31/22 05/31/29    100.000     0.000     4.2085     68.32   0.124439   0.127057   0.129731   0.132461  0.135248     45.43    47.37 
Morgan Stanley Finance   61768CXY8 01/31/18 02/01/24    100.000     0.000     3.3672    218.57   0.112398                                                 3.37          
Morgan Stanley Finance   61773Q5U9 05/31/22 05/28/27    100.000     0.000     4.0281     65.33   0.118763   0.121155   0.123595   0.126085  0.128624     43.34    45.11 
Morgan Stanley Finance   61773Q5W5 05/31/22 05/31/29    100.000     2.750     4.2085     67.52   0.121200   0.120500   0.123000   0.122400  0.125000     43.55    44.24 
Morgan Stanley Finance   61770FHN9 03/04/20 03/05/25    100.000     0.000     1.7527     69.04   0.051756   0.052210   0.052668                          18.82     3.37 
Morgan Stanley Finance   61770FHP4 03/04/20 03/05/25    100.000     0.000     1.7527     69.04   0.051756   0.052210   0.052668                          18.82     3.37 
Morgan Stanley Finance   61768CXW2 01/31/18 07/31/25    100.000     0.000     3.4534    224.70   0.115803   0.117803   0.119837   0.121906               42.66    25.42 
Morgan Stanley Finance   61773Q5T2 05/31/22 05/31/29    100.000     0.000     4.2085     68.32   0.124439   0.127057   0.129731   0.132461  0.135248     45.43    47.37 
Morgan Stanley Finance   61771VQW3 04/30/21 05/02/28    100.000     0.000     2.0160     55.02   0.058887   0.059480   0.060080   0.060686  0.061297     21.38    21.81 
Morgan Stanley Finance   61770E588 02/05/20 02/05/25    100.000     0.000     1.9970     80.71   0.059469   0.060062   0.060662                          21.69     2.06 
Morgan Stanley Finance   61770FYX8 04/30/20 04/30/27    100.000     0.000     2.2634     86.11   0.068025   0.068795   0.069574   0.070361  0.071157     24.72    25.28 
Morgan Stanley Finance   61774HK31 11/16/22 11/14/24    100.000     0.000     5.2055     59.59   0.152179   0.156140                                     48.35          
Morgan Stanley Finance   61775MC95 12/13/23 12/13/28    100.000     0.000     5.1687      2.58   0.143575   0.147285   0.151092   0.154997  0.159002     52.49    55.24 
Morgan Stanley Finance   61775HUJ4 08/16/23 08/14/25    100.000     0.000     5.3873     20.20   0.149647   0.153633   0.157772   0.162022               55.70    35.95 
Morgan Stanley Finance   61774XHZ9 05/03/23 05/01/25    100.000     0.000     4.7834     31.81   0.136015   0.139268   0.142599                          49.95    17.11 
Morgan Stanley Finance   61775MBY1 10/31/23 10/29/26    100.000     0.000     6.0614     10.27   0.168372   0.173447   0.178703   0.184119  0.189699     62.17    65.99 
Morgan Stanley Finance   61774XHN6 04/28/23 04/28/28    100.000     0.000     4.7155     32.02   0.134074   0.137236   0.140471   0.143783  0.147173     49.24    51.59 
Morgan Stanley Finance   61774XHM8 04/28/23 04/30/25    100.000     0.000     4.8000     32.60   0.136570   0.139847   0.143204                          50.16    17.04 
Morgan Stanley Finance   61774XHL0 04/28/23 04/30/26    100.000     0.000     4.6584     31.64   0.132448   0.135533   0.138690   0.141920  0.145226     48.62    50.91 
Morgan Stanley Finance   61775MRS7 12/05/23 12/05/28    100.000     0.000     5.2983      3.83   0.147175   0.151074   0.155076   0.159184  0.163401     53.89    56.78 
Morgan Stanley Finance   61774XGW7 05/03/23 05/01/26    100.000     0.000     4.6612     30.99   0.132462   0.135549   0.138708   0.141941  0.145249     48.62    50.91 
Morgan Stanley Finance   61775HTD9 09/06/23 09/05/25    100.000     0.000     5.4965     17.56   0.152681   0.156853   0.161164   0.165593               56.70    40.12 
Morgan Stanley Finance   61775MRP3 12/05/23 12/03/26    100.000     0.000     5.1900      3.75   0.144167   0.147866   0.151703   0.155640  0.159679     52.78    55.55 
Morgan Stanley Finance   61775HTC1 09/06/23 09/06/28    100.000     0.000     5.4020     17.26   0.150056   0.154109   0.158271   0.162546  0.166936     55.69    58.74 
Morgan Stanley Finance   61774HZY7 11/15/22 11/15/27    100.000     0.000     5.6531     64.97   0.166033   0.170726   0.175552   0.180514  0.185616     61.05    64.55 
Morgan Stanley Finance   61774HZZ4 11/16/22 11/14/25    100.000     0.000     5.2838     60.50   0.154586   0.158670   0.162861   0.167164               56.77    51.75 
Morgan Stanley Finance   61775HTP2 08/31/23 09/02/26    100.000     0.000     5.5965     18.82   0.155507   0.159858   0.164331   0.168930  0.173657     57.82    61.10 
Morgan Stanley Finance   61774XYE7 05/17/23 05/15/25    100.000     0.000     4.5292     28.31   0.128629   0.131541   0.134520                          47.10    18.03 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61775HTM9 08/31/23 09/03/30    100.000     0.000     5.5769     18.75   0.154986   0.159308   0.163750   0.168316  0.173009     57.61    60.86 
Morgan Stanley Finance   61774HJ33 11/29/22 11/29/27    100.000     0.000     5.2152     57.71   0.152520   0.156497   0.160578   0.164765  0.169062     55.88    58.83 
Morgan Stanley Finance   61775HTL1 08/31/23 09/03/25    100.000     0.000     5.6361     18.95   0.156632   0.161046   0.165584   0.170250               58.24    40.91 
Morgan Stanley Finance   61774FCK6 06/05/23 08/02/28    100.000     0.000     5.2550     30.25   0.147187   0.151054   0.155023   0.159096  0.163277     54.85    57.77 
Morgan Stanley Finance   61774HJ41 11/22/22 11/22/27    100.000     0.000     5.3302     60.10   0.156058   0.160217   0.164487   0.168871  0.173372     57.26    60.35 
Morgan Stanley Finance   61775HTK3 08/31/23 09/02/26    100.000     0.000     5.5965     18.82   0.155507   0.159858   0.164331   0.168930  0.173657     57.82    61.10 
Morgan Stanley Finance   61774XGM9 04/28/23 04/28/28    100.000     0.000     4.7155     32.02   0.134074   0.137236   0.140471   0.143783  0.147173     49.24    51.59 
Morgan Stanley Finance   61775MAD8 10/02/23 10/02/28    100.000     0.000     5.7284     14.16   0.159122   0.163680   0.168368   0.173190  0.178151     58.93    62.35 
Morgan Stanley Finance   61774FBU5 05/03/23 05/03/28    100.000     0.000     4.8346     32.15   0.137541   0.140866   0.144271   0.147758  0.151330     50.50    52.97 
Morgan Stanley Finance   61774DMM6 07/06/22 07/06/27    100.000     0.000     4.5507     69.16   0.132226   0.135235   0.138312   0.141459  0.144678     49.21    51.47 
Morgan Stanley Finance   61774HYZ5 11/28/22 11/28/29    100.000     0.000     5.3723     59.64   0.157355   0.161582   0.165922   0.170379  0.174956     57.69    60.83 
Morgan Stanley Finance   61775MRN8 12/05/23 12/04/25    100.000     0.000     5.2471      3.79   0.145753   0.149555   0.153479   0.157506               53.36    51.83 
Morgan Stanley Finance   61774XY64 05/31/23 11/29/24    100.000     0.000     5.0206     29.54   0.142943   0.146531                                     47.53          
Morgan Stanley Finance   61774FBZ4 06/05/23 06/03/26    100.000     0.000     4.8131     27.63   0.136879   0.140173   0.143546   0.147001  0.150539     50.06    52.49 
Morgan Stanley Finance   61774XGN7 04/28/23 04/30/30    100.000     0.000     4.8297     32.81   0.137435   0.140754   0.144153   0.147634  0.151199     50.48    52.95 
Morgan Stanley Finance   617741ZU5 12/05/22 12/04/25    100.000     0.000     4.9291     53.64   0.143732   0.147275   0.150904   0.154623               52.57    50.92 
Morgan Stanley Finance   61774XKD4 04/03/23 04/02/26    100.000     0.000     4.9228     36.95   0.140092   0.143540   0.147073   0.150693  0.154402     51.67    54.25 
Morgan Stanley Finance   61775HFL6 07/31/23 07/31/28    100.000     0.000     5.2152     21.87   0.144867   0.148644   0.152520   0.156497  0.160578     53.99    56.84 
Morgan Stanley Finance   61775HFM4 07/31/23 07/31/28    100.000     0.000     5.2152     21.87   0.144867   0.148644   0.152520   0.156497  0.160578     53.99    56.84 
Morgan Stanley Finance   61775H5G3 08/31/23 08/31/28    100.000     0.000     5.5578     18.68   0.154383   0.158650   0.163083   0.167564  0.172273     57.40    60.64 
Morgan Stanley Finance   61775HWX1 09/05/23 09/05/28    100.000     0.000     5.4126     17.44   0.150350   0.154419   0.158598   0.162890  0.167298     55.82    58.88 
Morgan Stanley Finance   61774DA23 07/29/22 07/29/27    100.000     0.000     4.3358     62.94   0.125717   0.128443   0.131227   0.134072  0.136979     46.59    48.63 
Morgan Stanley Finance   61774DPZ4 06/17/22 06/17/27    100.000     0.000     4.9268     77.80   0.147221   0.150847   0.154563   0.158371  0.162272     53.76    56.44 
Morgan Stanley Finance   61774XJP9 05/03/23 05/01/25    100.000     0.000     4.7834     31.81   0.136015   0.139268   0.142599                          49.95    17.11 
Morgan Stanley Finance   61775HEY9 07/31/23 07/31/30    100.000     0.000     5.2225     21.91   0.145069   0.148858   0.152745   0.156733  0.160826     54.07    56.93 
Morgan Stanley Finance   61774XJN4 05/03/23 05/03/28    100.000     0.000     4.7380     31.50   0.134729   0.137921   0.141188   0.144533  0.147957     49.45    51.82 
Morgan Stanley Finance   61774HLB2 11/03/22 11/04/27    100.000     0.000     5.8023     68.76   0.170689   0.175641   0.180737   0.185980  0.191376     62.91    66.62 
Morgan Stanley Finance   61775MDD5 11/03/23 11/05/26    100.000     0.000     5.9906      9.65   0.166461   0.171447   0.176582   0.181871  0.187319     61.39    65.12 
Morgan Stanley Finance   61775MDE3 11/03/23 11/03/28    100.000     0.000     6.1559      9.92   0.170997   0.176260   0.181686   0.187278  0.193042     63.13    67.07 
Morgan Stanley Finance   61775MDR4 10/31/23 10/31/28    100.000     0.000     6.2111     10.52   0.172531   0.177889   0.183413   0.189109  0.194982     63.74    67.76 
Morgan Stanley Finance   61775ME28 12/13/23 12/11/26    100.000     0.000     5.1900      2.59   0.144167   0.147866   0.151703   0.155640  0.159679     52.72    55.48 
Morgan Stanley Finance   61775MDN3 10/31/23 10/31/30    100.000     0.000     6.3642     10.78   0.176783   0.182409   0.188213   0.194202  0.200382     65.35    69.58 
Morgan Stanley Finance   61775MDM5 10/31/23 10/31/28    100.000     0.000     6.2111     10.52   0.172531   0.177889   0.183413   0.189109  0.194982     63.74    67.76 
Morgan Stanley Finance   61774XJB0 05/03/23 05/03/28    100.000     0.000     4.7380     31.50   0.134729   0.137921   0.141188   0.144533  0.147957     49.45    51.82 
Morgan Stanley Finance   61775MTX4 11/15/23 02/13/25    100.000     0.000     5.4711      6.99   0.151975   0.154007   0.158220                          55.94     6.65 
Morgan Stanley Finance   61774DPD3 06/23/22 06/23/27    100.000     0.000     4.6901     73.13   0.139663   0.142938   0.146290   0.149720  0.153231     50.92    53.34 
Morgan Stanley Finance   61775MU53 12/14/23 12/14/28    100.000     0.000     5.2740      2.49   0.146500   0.150363   0.154328   0.158398  0.162575     53.57    56.43 
Morgan Stanley Finance   61775M2Q8 12/12/23 12/12/28    100.000     0.000     5.1679      2.73   0.143553   0.147262   0.151067   0.154971  0.158975     52.49    55.24 
Morgan Stanley Finance   61775HVG9 08/28/23 08/28/28    100.000     0.000     5.6551     19.32   0.157086   0.161528   0.166095   0.170792  0.175621     58.46    61.81 
Morgan Stanley Finance   61775MUE4 12/04/23 06/04/27    100.000     0.000     5.2938      3.97   0.147050   0.150942   0.154938   0.159039  0.163248     53.85    56.74 
Morgan Stanley Finance   61775MUD6 12/04/23 09/03/26    100.000     0.000     5.3531      4.01   0.148697   0.150665   0.154698   0.158838  0.163090     54.59    57.43 
Morgan Stanley Finance   61774HKX5 11/03/22 11/04/27    100.000     0.000     5.8023     68.76   0.170689   0.175641   0.180737   0.185980  0.191376     62.91    66.62 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61774DPN1 06/21/22 06/21/27    100.000     0.000     4.6797     73.24   0.139332   0.142592   0.145928   0.149343  0.152837     50.81    53.22 
Morgan Stanley Finance   61774HKW7 11/03/22 11/04/27    100.000     0.000     5.8023     68.76   0.170689   0.175641   0.180737   0.185980  0.191376     62.91    66.62 
Morgan Stanley Finance   61774HKC1 10/31/22 10/29/27    100.000     0.000     5.7935     69.17   0.170362   0.175297   0.180375   0.185600  0.190977     62.84    66.53 
Morgan Stanley Finance   61774HKA5 10/31/22 10/30/25    100.000     0.000     5.5515     66.22   0.162888   0.167409   0.172056   0.176832               60.01    52.30 
Morgan Stanley Finance   61774HKB3 10/31/22 10/29/27    100.000     0.000     5.7935     69.17   0.170362   0.175297   0.180375   0.185600  0.190977     62.84    66.53 
Morgan Stanley Finance   61775MCD6 10/31/23 10/31/28    100.000     0.000     6.2111     10.52   0.172531   0.177889   0.183413   0.189109  0.194982     63.74    67.76 
Morgan Stanley Finance   61774HKL1 11/03/22 11/05/25    100.000     0.000     5.5897     66.20   0.164121   0.168708   0.173423   0.178270               60.43    53.59 
Morgan Stanley Finance   61775MTQ9 11/22/23 05/22/29    100.000     0.000     5.5145      5.97   0.153181   0.157404   0.161744   0.166204  0.170786     56.24    59.38 
Morgan Stanley Finance   61775MCP9 10/31/23 10/30/25    100.000     0.000     5.9649     10.11   0.165692   0.170633   0.175722   0.180963               61.15    53.48 
Morgan Stanley Finance   61775MTP1 11/22/23 05/22/28    100.000     0.000     5.4591      5.91   0.151642   0.155781   0.160033   0.164401  0.168889     55.66    58.74 
Morgan Stanley Finance   61775MCN4 11/03/23 11/05/25    100.000     0.000     5.8960      9.50   0.163831   0.168661   0.173633   0.178752               60.40    53.71 
Morgan Stanley Finance   61775MCM6 11/03/23 11/05/25    100.000     0.000     5.8960      9.50   0.163831   0.168661   0.173633   0.178752               60.40    53.71 
Morgan Stanley Finance   61774HKH0 11/03/22 11/04/27    100.000     0.000     5.8023     68.76   0.170689   0.175641   0.180737   0.185980  0.191376     62.91    66.62 
Morgan Stanley Finance   61775MCL8 10/31/23 10/29/26    100.000     0.000     6.0614     10.27   0.168372   0.173447   0.178703   0.184119  0.189699     62.17    65.99 
Morgan Stanley Finance   61775MCK0 10/31/23 10/30/25    100.000     0.000     5.9649     10.11   0.165692   0.170633   0.175722   0.180963               61.15    53.48 
Morgan Stanley Finance   61775HHR1 08/03/23 08/05/25    100.000     0.000     5.5058     22.64   0.152986   0.157197   0.161525   0.165971               57.08    35.37 
Morgan Stanley Finance   61775HHQ3 08/03/23 08/03/28    100.000     0.000     5.1806     21.30   0.143906   0.147633   0.151457   0.155380  0.159405     53.59    56.41 
Morgan Stanley Finance   61775HHP5 08/03/23 08/03/28    100.000     0.000     5.1806     21.30   0.143906   0.147633   0.151457   0.155380  0.159405     53.59    56.41 
Morgan Stanley Finance   617741LA4 10/31/22 10/31/29    100.000     0.000     5.9019     70.49   0.173760   0.178888   0.184167   0.189601  0.195196     64.11    67.95 
Morgan Stanley Finance   61774TAC6 12/29/22 12/28/27    100.000     0.000     5.1425     52.39   0.150267   0.154130   0.158093   0.162158  0.166328     54.81    57.67 
Morgan Stanley Finance   61774TRD6 01/30/23 01/28/28    100.000     0.000     4.7213     43.88   0.134209   0.137377   0.140620   0.143939  0.147337     49.87    52.25 
Morgan Stanley Finance   61774Q876 02/03/23 07/03/26    100.000     0.000     4.6651     42.95   0.132105   0.135186   0.138340   0.141567  0.144869     49.22    51.55 
Morgan Stanley Finance   61774XMM2 04/19/23 04/20/28    100.000     0.000     4.8000     33.83   0.136551   0.139828   0.143184   0.146621  0.150140     50.22    52.66 
Morgan Stanley Finance   61774XML4 04/19/23 04/20/28    100.000     0.000     4.8000     33.83   0.136551   0.139828   0.143184   0.146621  0.150140     50.22    52.66 
Morgan Stanley Finance   617741KZ0 10/31/22 10/31/29    100.000     0.000     5.9019     70.49   0.173760   0.178888   0.184167   0.189601  0.195196     64.11    67.95 
Morgan Stanley Finance   61175MQX7 11/30/23 12/03/25    100.000     0.000     5.5144      4.75   0.153248   0.157474   0.161815   0.166277               56.17    54.53 
Morgan Stanley Finance   61775HHA8 07/31/23 07/30/26    100.000     0.000     5.3689     22.52   0.149136   0.153140   0.157251   0.161472  0.165806     55.63    58.66 
Morgan Stanley Finance   61774HNH7 10/31/22 10/31/29    100.000     0.000     5.9019     70.49   0.173760   0.178888   0.184167   0.189601  0.195196     64.11    67.95 
Morgan Stanley Finance   61775MWK8 12/05/23 12/03/26    100.000     0.000     5.1900      3.75   0.144167   0.147866   0.151703   0.155640  0.159679     52.78    55.55 
Morgan Stanley Finance   61775HGZ4 07/31/23 07/30/26    100.000     0.000     5.3689     22.52   0.149136   0.153140   0.157251   0.161472  0.165806     55.63    58.66 
Morgan Stanley Finance   61775MFT8 10/12/23 11/12/24    100.000     0.000     5.4382     11.97   0.151746   0.155872                                     47.94          
Morgan Stanley Finance   61774DB48 08/03/22 08/03/27    100.000     0.000     4.0342     58.01   0.116627   0.118980   0.121380   0.123828  0.126326     43.11    44.87 
Morgan Stanley Finance   61775H5Z6 09/27/23 09/27/28    100.000     0.000     5.7476     15.01   0.159656   0.164244   0.168964   0.173819  0.178815     59.18    62.63 
Morgan Stanley Finance   61774DA64 08/03/22 08/03/27    100.000     0.000     4.0342     58.01   0.116627   0.118980   0.121380   0.123828  0.126326     43.11    44.87 
Morgan Stanley Finance   61774TPR7 01/23/23 01/21/28    100.000     0.000     4.9008     46.54   0.139432   0.142849   0.146349   0.149935  0.153609     51.92    54.49 
Morgan Stanley Finance   61775H6C6 09/27/23 09/25/26    100.000     0.000     5.7296     14.96   0.159156   0.163664   0.168353   0.173176  0.178137     58.99    62.41 
Morgan Stanley Finance   61775H6B8 09/27/23 09/27/28    100.000     0.000     5.7476     15.01   0.159656   0.164244   0.168964   0.173819  0.178815     59.18    62.63 
Morgan Stanley Finance   61774DUS4 07/29/22 07/31/29    100.000     0.000     4.4850     65.15   0.130250   0.133171   0.136157   0.139210  0.142332     48.31    50.50 
Morgan Stanley Finance   61774TCA8 12/09/22 12/09/27    100.000     0.000     4.9607     53.41   0.144718   0.148307   0.151986   0.155756  0.159619     52.90    55.56 
Morgan Stanley Finance   61775MZE9 11/24/23 05/23/25    100.000     0.000     5.4815      5.63   0.152264   0.156414   0.160701                          55.88    22.82 
Morgan Stanley Finance   61775HJS7 08/03/23 08/05/26    100.000     0.000     5.3069     21.82   0.147457   0.151370   0.155387   0.159510  0.163742     54.95    57.90 
Morgan Stanley Finance   61774DUP0 08/03/22 08/03/27    100.000     0.000     4.0342     58.01   0.116627   0.118980   0.121380   0.123828  0.126326     43.11    44.87 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61774HQG6 10/31/22 10/29/27    100.000     0.000     5.7935     69.17   0.170362   0.175297   0.180375   0.185600  0.190977     62.84    66.53 
Morgan Stanley Finance   61774HQF8 10/31/22 10/29/27    100.000     0.000     5.7935     69.17   0.170362   0.175297   0.180375   0.185600  0.190977     62.84    66.53 
Morgan Stanley Finance   61774T2E1 03/10/23 03/10/28    100.000     0.000     5.2553     42.91   0.149816   0.153753   0.157793   0.161939  0.166195     55.53    58.48 
Morgan Stanley Finance   61774TTD4 02/28/23 02/26/26    100.000     0.000     5.1119     43.47   0.145586   0.149307   0.153124   0.157037  0.161051     54.02    56.82 
Morgan Stanley Finance   61775HJC2 07/31/23 07/31/28    100.000     0.000     5.5514     23.29   0.154206   0.158486   0.162885   0.167406  0.172053     57.60    60.84 
Morgan Stanley Finance   61775MYY6 11/22/23 11/20/25    100.000     0.000     5.5163      5.98   0.153231   0.157410   0.161752   0.166213               56.26    52.40 
Morgan Stanley Finance   61774HQ27 11/10/22 05/07/26    100.000     0.000     5.6730     66.04   0.166573   0.171298   0.176157   0.181154  0.186292     61.33    64.86 
Morgan Stanley Finance   61775HJ40 08/31/23 03/05/25    100.000     0.000     5.6708     19.07   0.157646   0.162116   0.166713                          58.61    10.67 
Morgan Stanley Finance   61774TB84 02/28/23 02/28/28    100.000     0.000     5.2014     44.24   0.148241   0.152096   0.156052   0.160110  0.164274     55.02    57.92 
Morgan Stanley Finance   61775MYJ9 11/30/23 11/30/28    100.000     0.000     5.5480      4.78   0.154111   0.158386   0.162780   0.167295  0.171936     56.52    59.70 
Morgan Stanley Finance   61175MP83 12/05/23 12/04/25    100.000     0.000     5.2471      3.79   0.145753   0.149555   0.153479   0.157506               53.36    51.83 
Morgan Stanley Finance   61774DD38 07/25/22 04/24/25    100.000     0.000     4.1367     60.55   0.120935   0.123437   0.125990                          44.33    14.24 
Morgan Stanley Finance   61775MXR2 11/24/23 11/24/28    100.000     0.000     5.5313      5.68   0.153647   0.157897   0.162263   0.166751  0.171363     56.40    59.56 
Morgan Stanley Finance   61775MXN1 11/24/23 11/24/28    100.000     0.000     5.5313      5.68   0.153647   0.157897   0.162263   0.166751  0.171363     56.40    59.56 
Morgan Stanley Finance   61774TEB4 12/23/22 12/23/27    100.000     0.000     4.9576     51.35   0.144623   0.148208   0.151882   0.155646  0.159505     52.77    55.42 
Morgan Stanley Finance   61774TVC3 03/03/23 03/02/28    100.000     0.000     5.2313     43.75   0.149094   0.152993   0.156995   0.161102  0.165316     55.32    58.25 
Morgan Stanley Finance   61774DWU7 07/29/22 07/29/27    100.000     0.000     4.3358     62.94   0.125717   0.128443   0.131227   0.134072  0.136979     46.59    48.63 
Morgan Stanley Finance   61775HM95 09/29/23 10/01/30    100.000     0.000     5.8417     14.93   0.162322   0.167063   0.171943   0.176965  0.182134     60.16    63.72 
Morgan Stanley Finance   61775HM79 09/29/23 09/29/28    100.000     0.000     5.7418     14.67   0.159494   0.164073   0.168784   0.173629  0.178614     59.10    62.54 
Morgan Stanley Finance   61774TVA7 03/03/23 03/05/25    100.000     0.000     5.2748     44.12   0.150431   0.154398   0.158470                          55.80    10.14 
Morgan Stanley Finance   61774TVB5 03/03/23 05/31/24    100.000     0.000     5.3874     45.13   0.155682                                                23.20          
Morgan Stanley Finance   61774DWT0 07/29/22 07/31/25    100.000     0.000     4.0373     58.52   0.116734   0.119090   0.121494   0.123947               43.17    25.83 
Morgan Stanley Finance   61774XA78 06/05/23 06/05/28    100.000     0.000     4.9888     28.64   0.142034   0.145577   0.149209   0.152931  0.156745     51.96    54.58 
Morgan Stanley Finance   61774TVK5 02/23/23 08/22/28    100.000     0.000     5.0992     44.09   0.145236   0.148939   0.152736   0.156630  0.160624     53.92    56.70 
Morgan Stanley Finance   61774TVM1 02/28/23 02/27/25    100.000     0.000     5.2048     44.27   0.148319   0.152179   0.156140                          55.06     8.74 
Morgan Stanley Finance   61774HB23 11/23/22 05/21/27    100.000     0.000     5.3341     59.99   0.156133   0.160297   0.164573   0.168962  0.173468     57.30    60.39 
Morgan Stanley Finance   61774DWH6 08/03/22 08/03/27    100.000     0.000     4.0342     58.01   0.116627   0.118980   0.121380   0.123828  0.126326     43.11    44.87 
Morgan Stanley Finance   61774DWE3 07/29/22 07/31/29    100.000     0.000     4.4850     65.15   0.130250   0.133171   0.136157   0.139210  0.142332     48.31    50.50 
Morgan Stanley Finance   61774DWF0 07/29/22 07/31/29    100.000     0.000     4.4850     65.15   0.130250   0.133171   0.136157   0.139210  0.142332     48.31    50.50 
Morgan Stanley Finance   61774T3Y6 04/05/23 04/03/25    100.000     0.000     4.8570     36.17   0.138157   0.141512   0.144948                          50.94    13.34 
Morgan Stanley Finance   61774TUZ3 02/28/23 02/27/25    100.000     0.000     5.2048     44.27   0.148319   0.152179   0.156140                          55.06     8.74 
Morgan Stanley Finance   61775HM20 10/04/23 10/02/25    100.000     0.000     5.6986     13.77   0.158294   0.162755   0.167392   0.172161               58.60    46.22 
Morgan Stanley Finance   61774T3X8 04/05/23 04/03/25    100.000     0.000     4.8570     36.17   0.138157   0.141512   0.144948                          50.94    13.34 
Morgan Stanley Finance   61774T3U4 04/05/23 04/09/24    100.000     0.000     4.8000     35.75   0.136606                                                13.39          
Morgan Stanley Finance   61774HB31 11/23/22 05/23/28    100.000     0.000     5.4757     61.61   0.160545   0.164941   0.169457   0.174096  0.178863     58.93    62.20 
Morgan Stanley Finance   61774DWJ2 07/06/22 07/06/26    100.000     0.000     4.3555     66.13   0.126313   0.129064   0.131875   0.134746  0.137681     46.94    49.01 
Morgan Stanley Finance   61774T3A8 03/31/23 03/31/28    100.000     0.000     4.8853     37.08   0.139018   0.142413   0.145892   0.149456  0.153106     51.28    53.82 
Morgan Stanley Finance   61775HL96 10/04/23 10/02/26    100.000     0.000     5.6780     13.72   0.157722   0.162150   0.166754   0.171488  0.176356     58.38    61.74 
Morgan Stanley Finance   61775HL88 09/29/23 10/01/25    100.000     0.000     5.7304     14.65   0.159228   0.163791   0.168484   0.173311               58.98    46.36 
Morgan Stanley Finance   61775HL70 09/29/23 10/01/26    100.000     0.000     5.7042     14.58   0.158500   0.163021   0.167670   0.172452  0.177371     58.70    62.10 
Morgan Stanley Finance   61774TUK6 03/03/23 03/02/28    100.000     0.000     5.2313     43.75   0.149094   0.152993   0.156995   0.161102  0.165316     55.32    58.25 
Morgan Stanley Finance   61774TUL4 02/28/23 02/28/28    100.000     0.000     5.2014     44.24   0.148241   0.152096   0.156052   0.160110  0.164274     55.02    57.92 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61774XQ48 06/05/23 06/05/28    100.000     0.000     4.9888     28.64   0.142034   0.145577   0.149209   0.152931  0.156745     51.96    54.58 
Morgan Stanley Finance   61774T3B6 03/31/23 04/02/30    100.000     0.000     4.9651     37.69   0.141382   0.144892   0.148489   0.152176  0.155953     52.16    54.78 
Morgan Stanley Finance   61774DF85 07/29/22 07/30/27    100.000     0.000     4.3358     62.94   0.125732   0.128458   0.131243   0.134088  0.136995     46.59    48.63 
Morgan Stanley Finance   61774TTR3 03/03/23 03/05/26    100.000     0.000     5.2084     43.56   0.148488   0.152355   0.156323   0.160394  0.164571     55.06    57.97 
Morgan Stanley Finance   61774T2P6 03/31/23 04/02/26    100.000     0.000     4.8250     36.62   0.137298   0.140610   0.144003   0.147477  0.151034     50.62    53.09 
Morgan Stanley Finance   61774T2W1 04/05/23 04/05/28    100.000     0.000     4.8824     36.36   0.138933   0.142325   0.145799   0.149358  0.153004     51.22    53.75 
Morgan Stanley Finance   61774HA73 12/05/22 12/03/27    100.000     0.000     5.0920     55.44   0.148697   0.152483   0.156366   0.160347  0.164429     54.43    57.23 
Morgan Stanley Finance   61774T2X9 04/05/23 04/05/27    100.000     0.000     4.8493     36.11   0.137969   0.141314   0.144740   0.148250  0.151844     50.85    53.35 
Morgan Stanley Finance   61774T2U5 03/31/23 04/02/25    100.000     0.000     4.7828     36.30   0.136069   0.139323   0.142655                          50.16    12.98 
Morgan Stanley Finance   61774TD74 02/23/23 02/23/28    100.000     0.000     5.0532     43.69   0.143913   0.147549   0.151277   0.155099  0.159018     53.41    56.14 
Morgan Stanley Finance   61774T2S0 04/05/23 04/05/28    100.000     0.000     4.8824     36.36   0.138933   0.142325   0.145799   0.149358  0.153004     51.22    53.75 
Morgan Stanley Finance   61774T2T8 03/31/23 04/02/25    100.000     0.000     4.7828     36.30   0.136069   0.139323   0.142655                          50.16    12.98 
Morgan Stanley Finance   61774TCU4 12/13/22 12/11/25    100.000     0.000     4.8790     51.95   0.142183   0.145652   0.149205   0.152845               51.95    51.38 
Morgan Stanley Finance   61774T2Q4 03/31/23 03/31/28    100.000     0.000     4.8853     37.08   0.139018   0.142413   0.145892   0.149456  0.153106     51.28    53.82 
Morgan Stanley Finance   61774T2R2 04/05/23 04/06/26    100.000     0.000     4.8649     36.23   0.138441   0.141809   0.145258   0.148792  0.152411     51.02    53.54 
Morgan Stanley Finance   61774DYU5 07/20/22 07/20/27    100.000     0.000     4.4916     66.42   0.130434   0.133363   0.136358   0.139420  0.142551     48.44    50.64 
Morgan Stanley Finance   61774H3J5 12/28/22 12/27/24    100.000     0.000     4.9366     50.41   0.143962   0.147515                                     51.89          
Morgan Stanley Finance   61775MMT0 10/31/23 10/30/25    100.000     0.000     5.8446      9.90   0.162350   0.167094   0.171977   0.177003               59.89    52.33 
Morgan Stanley Finance   61774B275 07/06/22 01/06/26    100.000     0.000     4.2080     63.85   0.121859   0.124423   0.127041   0.129714  0.132443     45.24    47.16 
Morgan Stanley Finance   61774TGM8 02/03/23 02/05/26    100.000     0.000     4.6549     42.86   0.132346   0.135427   0.138579   0.141804  0.145105     49.11    51.42 
Morgan Stanley Finance   61774XT78 06/06/23 06/06/28    100.000     0.000     4.8739     27.84   0.138685   0.142065   0.145527   0.149074  0.152706     50.71    53.21 
Morgan Stanley Finance   61774HD54 11/04/22 11/04/27    100.000     0.000     5.8518     69.19   0.172201   0.177240   0.182426   0.187763  0.193257     63.48    67.25 
Morgan Stanley Finance   61774TXA5 02/15/23 02/15/28    100.000     0.000     4.8043     42.61   0.136659   0.139941   0.143303   0.146745  0.150270     50.69    53.16 
Morgan Stanley Finance   61774T5Z1 03/13/23 03/13/28    100.000     0.000     5.3048     42.86   0.151264   0.155276   0.159395   0.163622  0.167962     56.06    59.07 
Morgan Stanley Finance   61774H2U1 12/01/22 12/03/25    100.000     0.000     5.0815     55.91   0.148458   0.152230   0.156098   0.160064               54.34    52.54 
Morgan Stanley Finance   61774TWG3 02/28/23 02/28/30    100.000     0.000     5.3239     45.29   0.151823   0.155864   0.160013   0.164273  0.168646     56.39    59.43 
Morgan Stanley Finance   61774T5E8 03/29/23 09/29/27    100.000     0.000     4.6237     35.21   0.131405   0.134443   0.137551   0.140731  0.143985     48.42    50.68 
Morgan Stanley Finance   61774TWF5 02/28/23 02/28/28    100.000     0.000     5.2014     44.24   0.148241   0.152096   0.156052   0.160110  0.164274     55.02    57.92 
Morgan Stanley Finance   61774TWD0 03/03/23 03/05/25    100.000     0.000     5.2748     44.12   0.150431   0.154398   0.158470                          55.80    10.14 
Morgan Stanley Finance   61774TWB4 03/03/23 03/02/28    100.000     0.000     5.2313     43.75   0.149094   0.152993   0.156995   0.161102  0.165316     55.32    58.25 
Morgan Stanley Finance   61774H2K3 11/30/22 11/30/27    100.000     0.000     5.1973     57.36   0.151970   0.155919   0.159971   0.164128  0.168393     55.67    58.60 
Morgan Stanley Finance   61774T5G3 03/29/23 09/28/28    100.000     0.000     4.7157     35.92   0.134063   0.137224   0.140460   0.143771  0.147161     49.43    51.78 
Morgan Stanley Finance   61774TVQ2 02/23/23 08/20/27    100.000     0.000     4.9833     43.08   0.141817   0.145350   0.148972   0.152684  0.156488     52.63    55.28 
Morgan Stanley Finance   61175M2R6 12/12/23 12/10/26    100.000     0.000     5.1900      2.74   0.144167   0.147866   0.151703   0.155640  0.159679     52.72    55.49 
Morgan Stanley Finance   61775HMN4 07/31/23 07/31/25    100.000     0.000     5.5765     23.39   0.154903   0.159222   0.163661   0.168225               57.86    35.03 
Morgan Stanley Finance   61773QWL9 07/13/22 01/11/24    100.000     0.000     3.7773     56.43   0.108903                                                 1.09          
Morgan Stanley Finance   61773QWM7 07/20/22 07/18/25    100.000     0.000     4.0774     60.18   0.117900   0.120304   0.122756   0.125259               43.67    24.63 
Morgan Stanley Finance   61774TZK1 02/15/23 02/15/28    100.000     0.000     4.8043     42.61   0.136659   0.139941   0.143303   0.146745  0.150270     50.69    53.16 
Morgan Stanley Finance   61773QWK1 07/20/22 07/18/25    100.000     0.000     4.1950     61.95   0.121440   0.123987   0.126587   0.129243               45.02    25.42 
Morgan Stanley Finance   61774H5D6 01/04/23 01/02/26    100.000     0.000     4.9743     49.94   0.141573   0.145095   0.148703   0.152402  0.156192     52.88    55.54 
Morgan Stanley Finance   61773QWH8 07/05/22 07/03/25    100.000     0.000     4.1999     63.84   0.121587   0.124141   0.126747   0.129409               45.15    23.55 
Morgan Stanley Finance   61774H5E4 01/04/23 01/03/28    100.000     0.000     5.2040     52.27   0.148296   0.152155   0.156114   0.160176  0.164344     55.47    58.40 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61773QWF2 07/06/22 07/03/25    100.000     0.000     4.0520     61.43   0.117124   0.119497   0.121918   0.124388               43.44    22.63 
Morgan Stanley Finance   61773QWG0 06/29/22 06/27/24    100.000     0.000     3.6988     56.74   0.108529                                                19.10          
Morgan Stanley Finance   61774H5P9 01/04/23 01/03/28    100.000     0.000     5.2040     52.27   0.148296   0.152155   0.156114   0.160176  0.164344     55.47    58.40 
Morgan Stanley Finance   61774H5Q7 12/30/22 01/02/30    100.000     0.000     5.3707     54.59   0.153238   0.157353   0.161578   0.165917  0.170373     57.40    60.52 
Morgan Stanley Finance   61773QWQ8 07/29/22 07/29/25    100.000     0.000     3.8215     55.34   0.110248   0.112355   0.114502   0.116689               40.72    24.21 
Morgan Stanley Finance   61773QWN5 07/29/22 03/14/25    100.000     0.000     3.8193     55.36   0.110708   0.112822   0.114977                          40.69     8.39 
Morgan Stanley Finance   61774THV7 01/31/23 01/31/30    100.000     0.000     4.8416     45.01   0.137745   0.141079   0.144494   0.147992  0.151575     51.21    53.72 
Morgan Stanley Finance   61774XUA9 04/27/23 04/30/25    100.000     0.000     4.8000     32.74   0.136588   0.139866   0.143223                          50.17    17.04 
Morgan Stanley Finance   61773QWD7 06/25/22 12/27/24    100.000     0.000     4.2371     65.66   0.125367   0.128023                                     45.11          
Morgan Stanley Finance   61773QWE5 06/30/22 07/02/25    100.000     0.000     4.0382     61.93   0.116774   0.119132   0.121537   0.123991               43.32    22.44 
Morgan Stanley Finance   61774H5A2 12/30/22 12/30/27    100.000     0.000     5.2002     52.83   0.152059   0.156013   0.160070   0.164232  0.168502     55.46    58.38 
Morgan Stanley Finance   61774TZA9 03/08/23 01/20/28    100.000     0.000     5.3389     43.92   0.151206   0.155242   0.159386   0.163641  0.168009     56.48    59.53 
Morgan Stanley Finance   61775HQ83 09/29/23 10/01/25    100.000     0.000     5.7304     14.65   0.159228   0.163791   0.168484   0.173311               58.98    46.36 
Morgan Stanley Finance   61774H4Z8 12/30/22 01/02/26    100.000     0.000     4.9727     50.49   0.141604   0.145125   0.148733   0.152431  0.156221     52.89    55.55 
Morgan Stanley Finance   61774XUM3 06/02/23 12/02/26    100.000     0.000     5.1187     29.82   0.145825   0.149557   0.153385   0.157311  0.161337     53.39    56.16 
Morgan Stanley Finance   61774XUL5 06/02/23 06/02/27    100.000     0.000     5.1130     29.79   0.145659   0.149382   0.153201   0.157118  0.161135     53.33    56.09 
Morgan Stanley Finance   61774THK1 01/31/23 01/31/28    100.000     0.000     4.7642     44.28   0.135491   0.138719   0.142023   0.145406  0.148870     50.34    52.77 
Morgan Stanley Finance   61774XCR2 04/04/23 07/03/25    100.000     0.000     4.8815     36.50   0.137234   0.140583   0.144014   0.147529               51.21    26.84 
Morgan Stanley Finance   61774TYG1 03/03/23 03/02/28    100.000     0.000     5.2313     43.75   0.149094   0.152993   0.156995   0.161102  0.165316     55.32    58.25 
Morgan Stanley Finance   61774TYH9 02/28/23 02/28/28    100.000     0.000     5.2014     44.24   0.148241   0.152096   0.156052   0.160110  0.164274     55.02    57.92 
Morgan Stanley Finance   61774TYT3 02/21/23 02/18/28    100.000     0.000     4.9851     43.38   0.141869   0.145405   0.149029   0.152744  0.156551     52.66    55.32 
Morgan Stanley Finance   61774THN5 02/03/23 02/03/28    100.000     0.000     4.7914     44.13   0.136283   0.139548   0.142891   0.146314  0.149820     50.63    53.08 
Morgan Stanley Finance   61774HUW6 11/03/22 11/04/27    100.000     0.000     5.8023     68.76   0.170689   0.175641   0.180737   0.185980  0.191376     62.91    66.62 
Morgan Stanley Finance   61774TGY2 02/03/23 02/03/28    100.000     0.000     4.7914     44.13   0.136283   0.139548   0.142891   0.146314  0.149820     50.63    53.08 
Morgan Stanley Finance   61774HUS5 11/09/22 11/09/27    100.000     0.000     5.8138     67.88   0.171020   0.175991   0.181107   0.186372  0.191789     62.99    66.70 
Morgan Stanley Finance   61774TGT3 01/31/23 01/29/26    100.000     0.000     4.6214     42.94   0.131322   0.134356   0.137461   0.140637  0.143887     48.76    51.03 
Morgan Stanley Finance   61774TGU0 01/31/23 01/31/28    100.000     0.000     4.7642     44.28   0.135491   0.138719   0.142023   0.145406  0.148870     50.34    52.77 
Morgan Stanley Finance   61775HP84 09/29/23 09/29/28    100.000     0.000     5.7418     14.67   0.159494   0.164073   0.168784   0.173629  0.178614     59.10    62.54 
Morgan Stanley Finance   61774THA3 12/27/22 12/26/25    100.000     0.000     4.8571     49.73   0.141534   0.144971   0.148491   0.152098               51.61    53.36 
Morgan Stanley Finance   61774TGZ9 02/03/23 02/03/28    100.000     0.000     4.7914     44.13   0.136283   0.139548   0.142891   0.146314  0.149820     50.63    53.08 
Morgan Stanley Finance   61774X2E2 05/22/23 05/22/25    100.000     0.000     4.7330     28.91   0.134584   0.137768   0.141029                          49.27    19.89 
Morgan Stanley Finance   61775HSH1 08/31/23 08/31/28    100.000     0.000     5.5578     18.68   0.154383   0.158650   0.163083   0.167564  0.172273     57.40    60.64 
Morgan Stanley Finance   61775MQV1 11/30/23 12/02/26    100.000     0.000     5.5782      4.80   0.154998   0.159321   0.163765   0.168332  0.173027     56.83    60.05 
Morgan Stanley Finance   61775MQT6 11/30/23 11/30/28    100.000     0.000     5.5480      4.78   0.154111   0.158386   0.162780   0.167295  0.171936     56.52    59.70 
Morgan Stanley Finance   61775MQU3 11/30/23 12/03/25    100.000     0.000     5.5144      4.75   0.153248   0.157474   0.161815   0.166277               56.17    54.53 
Morgan Stanley Finance   61775MQS8 11/30/23 11/30/28    100.000     0.000     5.5480      4.78   0.154111   0.158386   0.162780   0.167295  0.171936     56.52    59.70 
Morgan Stanley Finance   61175MWU6 12/01/23 12/01/28    100.000     0.000     5.4652      4.55   0.151811   0.155960   0.160221   0.164599  0.169097     55.65    58.73 
Morgan Stanley Finance   61775MQR0 11/30/23 11/30/28    100.000     0.000     5.5480      4.78   0.154111   0.158386   0.162780   0.167295  0.171936     56.52    59.70 
Morgan Stanley Finance   61775MQQ2 11/30/23 12/03/30    100.000     0.000     5.6508      4.87   0.157041   0.161478   0.166040   0.170731  0.175555     57.59    60.89 
Morgan Stanley Finance   61774XWW9 06/05/23 06/05/28    100.000     0.000     4.9888     28.64   0.142034   0.145577   0.149209   0.152931  0.156745     51.96    54.58 
Morgan Stanley Finance   61774XWV1 06/05/23 06/05/25    100.000     0.000     4.9410     28.36   0.140641   0.144115   0.147676                          51.44    22.74 
Morgan Stanley Finance   61774DMK0 07/06/22 07/06/27    100.000     0.000     4.5507     69.16   0.132226   0.135235   0.138312   0.141459  0.144678     49.21    51.47 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61774HYW2 11/28/22 11/28/29    100.000     0.000     5.3723     59.64   0.157355   0.161582   0.165922   0.170379  0.174956     57.69    60.83 
Morgan Stanley Finance   61774XGB3 04/12/23 04/11/28    100.000     0.000     4.5163     32.72   0.128270   0.131166   0.134128   0.137157  0.140254     47.17    49.32 
Morgan Stanley Finance   61774DME4 06/30/22 07/02/29    100.000     0.000     4.7878     73.70   0.139475   0.142814   0.146233   0.149734  0.153318     52.02    54.54 
Morgan Stanley Finance   61775MQW9 11/30/23 12/02/26    100.000     0.000     5.5782      4.80   0.154998   0.159321   0.163765   0.168332  0.173027     56.83    60.05 
Morgan Stanley Finance   61774HZ27 12/30/22 12/30/27    100.000     0.000     5.2002     52.83   0.152059   0.156013   0.160070   0.164232  0.168502     55.46    58.38 
Morgan Stanley Finance   61774XWK5 06/05/23 06/05/25    100.000     0.000     4.9410     28.36   0.140641   0.144115   0.147676                          51.44    22.74 
Morgan Stanley Finance   61774HH84 11/29/22 11/29/27    100.000     0.000     5.2152     57.71   0.152520   0.156497   0.160578   0.164765  0.169062     55.88    58.83 
Morgan Stanley Finance   61774TJY9 01/31/23 01/31/28    100.000     0.000     4.7642     44.28   0.135491   0.138719   0.142023   0.145406  0.148870     50.34    52.77 
Morgan Stanley Finance   61774H6U7 01/04/23 01/03/28    100.000     0.000     5.2040     52.27   0.148296   0.152155   0.156114   0.160176  0.164344     55.47    58.40 
Morgan Stanley Finance   61774TKE1 01/31/23 01/31/30    100.000     0.000     4.8416     45.01   0.137745   0.141079   0.144494   0.147992  0.151575     51.21    53.72 
Morgan Stanley Finance   61774TKA9 01/04/23 07/03/25    100.000     0.000     5.0198     50.40   0.142919   0.146506   0.150184   0.153953               53.39    28.01 
Morgan Stanley Finance   61774H6K9 12/28/22 12/26/25    100.000     0.000     4.8560     49.58   0.141481   0.144917   0.148435   0.152039               51.59    53.34 
Morgan Stanley Finance   61774XVY6 05/31/23 05/29/26    100.000     0.000     4.9361     29.04   0.140479   0.143946   0.147499   0.151139  0.154869     51.42    53.99 
Morgan Stanley Finance   61774XVX8 05/31/23 05/29/26    100.000     0.000     4.9361     29.04   0.140479   0.143946   0.147499   0.151139  0.154869     51.42    53.99 
Morgan Stanley Finance   61774XW82 06/06/23 06/06/28    100.000     0.000     4.8739     27.84   0.138685   0.142065   0.145527   0.149074  0.152706     50.71    53.21 
Morgan Stanley Finance   61774XVV2 05/31/23 05/31/28    100.000     0.000     5.0254     29.56   0.143102   0.146698   0.150384   0.154163  0.158036     52.39    55.06 
Morgan Stanley Finance   61774XVU4 05/31/23 05/31/28    100.000     0.000     5.0254     29.56   0.143102   0.146698   0.150384   0.154163  0.158036     52.39    55.06 
Morgan Stanley Finance   61175MXS0 11/28/23 11/27/26    100.000     0.000     5.4373      4.98   0.151036   0.155119   0.159337   0.163668  0.168118     55.39    58.44 
Morgan Stanley Finance   61774HXH6 12/05/22 12/03/27    100.000     0.000     5.0920     55.44   0.148697   0.152483   0.156366   0.160347  0.164429     54.43    57.23 
Morgan Stanley Finance   61774TJW3 02/03/23 02/03/28    100.000     0.000     4.7914     44.13   0.136283   0.139548   0.142891   0.146314  0.149820     50.63    53.08 
Morgan Stanley Finance   61774H6S2 12/30/22 01/02/30    100.000     0.000     5.3707     54.59   0.153238   0.157353   0.161578   0.165917  0.170373     57.40    60.52 
Morgan Stanley Finance   61774FAL6 11/03/22 11/05/25    100.000     0.000     5.6239     66.61   0.165180   0.169825   0.174600   0.179510               60.83    53.96 
Morgan Stanley Finance   61774DLE5 06/23/22 12/22/26    100.000     0.000     4.6126     71.90   0.137182   0.140345   0.143582   0.146894  0.150282     50.01    52.35 
Morgan Stanley Finance   61774H6L7 01/04/23 07/05/24    100.000     0.000     4.9377     49.56   0.140563   0.144034                                     26.49          
Morgan Stanley Finance   61774HXP8 12/28/22 11/26/27    100.000     0.000     5.2889     54.16   0.154078   0.158152   0.162335   0.166627  0.171034     56.49    59.52 
Morgan Stanley Finance   61774FAH5 10/31/22 10/29/25    100.000     0.000     5.5763     66.53   0.163631   0.168193   0.172882   0.177702               60.30    52.39 
Morgan Stanley Finance   61774H5V6 12/30/23 01/02/30    100.000     0.000     5.3707      0.15   0.149186   0.149231   0.153238   0.157353  0.161578     54.44    57.40 
Morgan Stanley Finance   61774H5W4 01/04/23 01/03/28    100.000     0.000     5.2040     52.27   0.148296   0.152155   0.156114   0.160176  0.164344     55.47    58.40 
Morgan Stanley Finance   61774HX94 01/04/23 01/03/28    100.000     0.000     5.2040     52.27   0.148296   0.152155   0.156114   0.160176  0.164344     55.47    58.40 
Morgan Stanley Finance   61774HG51 11/16/22 11/16/27    100.000     0.000     5.4032     61.89   0.158308   0.162585   0.166977   0.171488  0.176121     58.15    61.34 
Morgan Stanley Finance   61774H5R5 12/30/22 12/30/27    100.000     0.000     5.2002     52.83   0.152059   0.156013   0.160070   0.164232  0.168502     55.46    58.38 
Morgan Stanley Finance   61774H5S3 12/30/22 01/02/25    100.000     0.000     5.0346     51.13   0.143411   0.147021   0.150722                          53.59     0.15 
Morgan Stanley Finance   61774TJF0 02/03/23 02/05/25    100.000     0.000     4.8150     44.35   0.137007   0.140305   0.143683                          50.89     4.89 
Morgan Stanley Finance   61774HXB9 12/05/22 12/03/27    100.000     0.000     5.0920     55.44   0.148697   0.152483   0.156366   0.160347  0.164429     54.43    57.23 
Morgan Stanley Finance   61774TJE3 02/03/23 08/05/24    100.000     0.000     4.8086     44.29   0.136820   0.140110                                     29.87          
Morgan Stanley Finance   61774HXD5 11/28/22 11/26/27    100.000     0.000     5.2889     58.70   0.154742   0.158835   0.163035   0.167346  0.171772     56.73    59.77 
Morgan Stanley Finance   61775HR74 09/29/23 10/01/26    100.000     0.000     5.7042     14.58   0.158500   0.163021   0.167670   0.172452  0.177371     58.70    62.10 
Morgan Stanley Finance   61774XVK6 05/31/23 05/31/30    100.000     0.000     5.1658     30.39   0.147201   0.151003   0.154903   0.158904  0.163008     53.92    56.74 
Morgan Stanley Finance   61774XZ63 06/22/23 07/06/28    100.000     0.000     5.0758     26.70   0.141273   0.144858   0.148534   0.152304  0.156169     52.77    55.49 
Morgan Stanley Finance   61774B788 08/17/22 09/06/29    100.000     0.000     4.2693     59.76   0.123987   0.126634   0.129337   0.132098  0.134918     45.73    47.70 
Morgan Stanley Finance   61774FFW7 09/06/22 09/03/27    100.000     0.000     4.5585     61.34   0.132414   0.135432   0.138519   0.141676  0.144905     48.93    51.19 
Morgan Stanley Finance   61774DR33 09/06/22 09/03/27    100.000     0.000     4.5585     61.34   0.132414   0.135432   0.138519   0.141676  0.144905     48.93    51.19 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61774DQ91 08/31/22 08/30/29    100.000     0.000     3.8529     52.35   0.111188   0.113318   0.115514   0.117714  0.120007     40.94    42.53 
Morgan Stanley Finance   61774DQ83 08/31/22 08/30/29    100.000     0.000     3.8529     52.35   0.111188   0.113318   0.115514   0.117714  0.120007     40.94    42.53 
Morgan Stanley Finance   61774HL71 11/28/22 11/28/25    100.000     0.000     5.1721     57.38   0.151196   0.155106   0.159117   0.163232               55.40    52.77 
Morgan Stanley Finance   61775HDZ7 07/14/23 07/14/28    100.000     0.000     5.3592     24.86   0.148867   0.152856   0.156952   0.161157  0.165476     55.66    58.68 
Morgan Stanley Finance   61774DP76 09/06/22 09/05/25    100.000     0.000     4.2264     56.79   0.122400   0.124987   0.127628   0.130325               45.14    31.63 
Morgan Stanley Finance   61774DP27 09/06/22 09/03/27    100.000     0.000     4.5585     61.34   0.132414   0.135432   0.138519   0.141676  0.144905     48.93    51.19 
Morgan Stanley Finance   61774DP35 08/31/22 08/31/27    100.000     0.000     3.6468     49.51   0.105028   0.106932   0.108893   0.110856  0.112900     38.62    40.04 
Morgan Stanley Finance   61774DT23 09/06/22 09/03/27    100.000     0.000     4.5585     61.34   0.132414   0.135432   0.138519   0.141676  0.144905     48.93    51.19 
Morgan Stanley Finance   61774DS57 08/31/22 08/30/29    100.000     0.000     3.8529     52.35   0.111188   0.113318   0.115514   0.117714  0.120007     40.94    42.53 
Morgan Stanley Finance   61774FGV8 09/16/22 09/18/24    100.000     0.000     4.3614     57.37   0.126522   0.129281                                     33.01          
Morgan Stanley Finance   61774DA98 08/03/22 08/01/25    100.000     0.000     3.6630     52.58   0.105490   0.107422   0.109390   0.111393               38.91    23.33 
Morgan Stanley Finance   61774DR90 09/06/22 09/03/27    100.000     0.000     4.5585     61.34   0.132414   0.135432   0.138519   0.141676  0.144905     48.93    51.19 
Morgan Stanley Finance   61774DR82 09/06/22 09/03/27    100.000     0.000     4.5585     61.34   0.132414   0.135432   0.138519   0.141676  0.144905     48.93    51.19 
Morgan Stanley Finance   61774DG35 08/03/22 08/03/27    100.000     0.000     4.0342     58.01   0.116627   0.118980   0.121380   0.123828  0.126326     43.11    44.87 
Morgan Stanley Finance   61774HSE9 10/27/22 10/29/25    100.000     0.000     5.7140     68.71   0.167974   0.172774   0.177710   0.182787               61.94    53.87 
Morgan Stanley Finance   61774TV90 03/01/23 02/27/26    100.000     0.000     5.0761     42.73   0.144502   0.148170   0.151930   0.155786  0.159740     53.60    56.36 
Morgan Stanley Finance   61774HB56 09/23/22 09/25/29    100.000     0.000     5.1656     67.12   0.151040   0.154941   0.158943   0.163048  0.167259     55.84    58.76 
Morgan Stanley Finance   61774HRA8 10/26/22 01/26/26    100.000     0.000     5.7002     68.76   0.165172   0.169880   0.174722   0.179701  0.184823     61.79    65.36 
Morgan Stanley Finance   61774HAG3 09/13/22 09/13/27    100.000     0.000     4.6526     61.68   0.135322   0.138470   0.141691   0.144987  0.148360     49.97    52.32 
Morgan Stanley Finance   61774HQK7 10/13/22 10/13/27    100.000     0.000     5.4140     67.25   0.158641   0.162936   0.167346   0.171876  0.176529     58.56    61.78 
Morgan Stanley Finance   61774HA32 11/28/22 11/28/29    100.000     0.000     5.3723     59.64   0.157355   0.161582   0.165922   0.170379  0.174956     57.69    60.83 
Morgan Stanley Finance   61774D4E4 09/02/22 09/03/26    100.000     0.000     4.3303     58.71   0.125566   0.128285   0.131062   0.133900  0.136799     46.34    48.37 
Morgan Stanley Finance   61774HUB2 11/02/22 11/02/27    100.000     0.000     5.7872     68.75   0.170193   0.175118   0.180185   0.185399  0.190764     62.75    66.43 
Morgan Stanley Finance   61774HDH8 09/23/22 09/25/24    100.000     0.000     4.6094     59.76   0.134043   0.137132                                     35.94          
Morgan Stanley Finance   61774D7D3 09/02/22 07/06/28    100.000     0.000     4.5332     61.52   0.130787   0.133752   0.136783   0.139883  0.143054     48.67    50.90 
Morgan Stanley Finance   61774HSY5 10/28/22 10/28/27    100.000     0.000     5.8614     70.34   0.172500   0.177555   0.182759   0.188115  0.193628     63.66    67.44 
Morgan Stanley Finance   61774H256 12/01/22 12/04/24    100.000     0.000     5.1428     56.60   0.150361   0.154228                                     50.77          
Morgan Stanley Finance   61774HWJ3 10/14/22 10/16/24    100.000     0.000     5.1050     63.19   0.149179   0.152987                                     43.20          
Morgan Stanley Finance   61773QWU9 08/24/22 02/23/24    100.000     0.000     3.6443     50.10   0.104943                                                 5.46          
Morgan Stanley Finance   61774X3X9 06/30/23 07/02/26    100.000     0.000     5.1523     25.91   0.143160   0.146848   0.150631   0.154512  0.158492     53.54    56.33 
Morgan Stanley Finance   61771WBW7 06/30/23 06/30/28    100.000     0.000     5.1175     25.73   0.145790   0.149521   0.153346   0.157270  0.161294     53.16    55.92 
Morgan Stanley Finance   61774HVS4 10/26/22 10/26/27    100.000     0.000     5.9864     72.23   0.176393   0.181672   0.187110   0.192711  0.198479     65.15    69.11 
Morgan Stanley Finance   61774X3M3 07/06/23 07/06/28    100.000     0.000     5.2087     25.32   0.144686   0.148454   0.152321   0.156287  0.160358     54.10    56.96 
Morgan Stanley Finance   61774HGY8 09/28/22 09/26/25    100.000     0.000     5.0419     64.75   0.147163   0.150873   0.154676   0.158576               54.36    41.69 
Morgan Stanley Finance   61774X5P4 06/22/23 06/22/28    100.000     0.000     5.0736     26.67   0.144509   0.148174   0.151933   0.155788  0.159740     52.75    55.46 
Morgan Stanley Finance   61774DM61 08/31/22 08/29/25    100.000     0.000     3.0960     41.93   0.088676   0.090048   0.091442   0.092850               32.51    22.02 
Morgan Stanley Finance   61774H6P8 12/02/22 12/02/27    100.000     0.000     5.0920     55.88   0.148738   0.152525   0.156409   0.160391  0.164474     54.45    57.26 
Morgan Stanley Finance   61774X4F7 07/06/23 07/03/25    100.000     0.000     5.3617     26.06   0.148936   0.152862   0.156960   0.161168               55.75    29.32 
Morgan Stanley Finance   61774X4G5 07/06/23 07/06/28    100.000     0.000     5.2087     25.32   0.144686   0.148454   0.152321   0.156287  0.160358     54.10    56.96 
Morgan Stanley Finance   61774X4D2 06/30/23 06/30/28    100.000     0.000     5.1175     25.73   0.145790   0.149521   0.153346   0.157270  0.161294     53.16    55.92 
Morgan Stanley Finance   61774X4E0 06/30/23 07/02/30    100.000     0.000     5.1776     26.04   0.143864   0.147588   0.151409   0.155328  0.159349     53.81    56.63 
Morgan Stanley Finance   61774HWU8 10/26/22 10/24/24    100.000     0.000     5.4629     65.79   0.160103   0.164476                                     47.70          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61773QWX3 08/31/22 02/28/25    100.000     0.000     4.1979     57.13   0.121527   0.124078   0.126682                          44.84     7.22 
Morgan Stanley Finance   61774HXA1 12/05/22 12/03/27    100.000     0.000     5.0920     55.44   0.148697   0.152483   0.156366   0.160347  0.164429     54.43    57.23 
Morgan Stanley Finance   61774X4J9 06/30/23 07/02/26    100.000     0.000     5.1523     25.91   0.143160   0.146848   0.150631   0.154512  0.158492     53.54    56.33 
Morgan Stanley.Finance   61774DM79 08/31/22 08/31/27    100.000     0.000     3.6468     49.51   0.105028   0.106932   0.108893   0.110856  0.112900     38.62    40.04 
Multnomah County, OR     625506HS2 12/08/99 06/01/24     15.582     0.000     7.7399    813.13   0.206987                                                31.05          
Multnomah County, OR     625506HV5 12/08/99 06/01/27     12.407     0.000     7.7400    647.47   0.164820   0.171198   0.177824   0.184706  0.191854     60.87    65.68 
Multnomah County, OR     625506HW3 12/08/99 06/01/28     11.500     0.000     7.7400    600.12   0.152766   0.158678   0.164818   0.171197  0.177822     56.42    60.87 
Multnomah County, OR     625506HX1 12/08/99 06/01/29     10.659     0.000     7.7400    556.24   0.141594   0.147074   0.152766   0.158678  0.164819     52.30    56.42 
Multnomah County, OR     625506HT0 12/08/99 06/01/25     14.442     0.000     7.7401    753.67   0.191854   0.199279   0.206991                          70.86    31.05 
Multnomah County, OR     625506HU7 12/08/99 06/01/26     13.386     0.000     7.7400    698.56   0.177823   0.184705   0.191853   0.199278  0.206990     65.68    70.86 
Multnomah County, OR     625506HY9 12/08/99 06/01/30      9.879     0.000     7.7401    515.56   0.131241   0.136321   0.141596   0.147076  0.152768     48.47    52.30 
NATIONAL BANK            63305LVX8 01/11/24 01/11/26    100.000    VARIES     6.4100                        0.011364   0.011609   0.011491  0.011369      4.02     4.12 
NATIONAL BANK OF CANADA  63305LLR2 05/20/22 05/31/24    100.000     0.000     3.4031     56.00   0.099532                                                14.83          
NATIONAL BANK OF CANADA  63305LK28 07/26/24 07/26/27    100.000    VARIES     6.0600                                   0.011170   0.011508  0.011445      1.73     4.12 
NATIONAL BANK OF CANADA  63305LE33 06/11/24 06/11/26    100.000    VARIES     5.8730                        0.008417   1.559500   0.008584  0.008502      1.69     3.10 
NCR Atleos Escrow Corpor 638962AA8 09/27/23 04/01/29     98.750     9.500     9.8000      0.47   0.005029   0.005137   0.005368   0.005662  0.005929      1.87     2.04 
NEW CANEY TEX INDPT SCH  643154GS0 09/24/20 02/15/26     93.251     0.000     1.3001     40.37   0.034963   0.035191   0.035419   0.035650  0.035881     12.69    12.86 
NEW CANEY TEX INDPT SCH  643154GR2 09/24/20 02/15/25     95.484     0.000     1.0550     33.42   0.028846   0.028998   0.029151                          10.45     1.28 
NEW CANEY TEX INDPT SCH  643154GT8 09/24/20 02/15/27     91.352     0.000     1.4201     43.26   0.037540   0.037807   0.038075   0.038346  0.038618     13.64    13.83 
NEW CANEY TEX INDPT SCH  643154GQ4 09/24/20 02/15/24     96.820     0.000     0.9550     30.64   0.026403                                                 1.16          
NEW SUMMERFIELD TEX INDP 648839DF2 12/10/21 08/15/24     97.361     0.000     1.0001     20.20   0.027505   0.027642                                      6.19          
NEW SUMMERFIELD TEX INDP 648839DG0 12/10/21 08/15/25     95.168     0.000     1.3500     26.73   0.036505   0.036751   0.036999   0.037249               13.25     8.33 
NEW SUMMERFIELD TEX INDP 648839DH8 12/10/21 08/15/26     93.331     0.000     1.4799     28.77   0.039329   0.039620   0.039913   0.040209  0.040506     14.29    14.50 
NEW SUMMERFIELD TEX INDP 648839DJ4 12/10/21 08/15/27     90.678     0.000     1.7299     32.74   0.044854   0.045242   0.045633   0.046028  0.046426     16.32    16.61 
NINE ENERGY SERVICE, INC 65441VAE1 01/30/23 02/01/28     88.490    13.000    16.4672     14.99   0.047252   0.051142   0.055353   0.059910  0.064843     18.93    22.17 
NORTHMONT OHIO CITY SCH  666586LX8 07/22/20 11/01/27     86.846     0.000     1.9479     59.94   0.050071   0.050558   0.051051   0.051548  0.052050     18.17    18.53 
NORTHMONT OHIO CITY SCH  666586LY6 07/22/20 11/01/28     83.705     0.000     2.1609     64.29   0.053909   0.054492   0.055081   0.055676  0.056277     19.58    20.01 
NORTHMONT OHIO CITY SCH  666586LZ3 07/22/20 11/01/29     81.177     0.000     2.2609     65.33   0.054878   0.055498   0.056126   0.056760  0.057402     19.94    20.40 
NORTHMONT OHIO CITY SCH  666586MA7 07/22/20 11/01/30     78.570     0.000     2.3609     66.13   0.055645   0.056302   0.056966   0.057639  0.058319     20.23    20.71 
NORTHMONT OHIO CITY SCH  666586MB5 07/22/20 11/01/31     75.897     0.000     2.4609     66.69   0.056210   0.056902   0.057602   0.058311  0.059028     20.44    20.95 
NORTHRIDGE OHIO LOC SCH  666705GM4 02/10/21 12/01/35     64.917     0.000     2.9389     57.17   0.057522   0.058367   0.059225   0.060095  0.060978     20.91    21.53 
NORTHRIDGE OHIO LOC SCH  666705GN2 02/10/21 12/01/36     62.076     0.000     3.0389     56.60   0.057034   0.057900   0.058780   0.059673  0.060580     20.74    21.38 
NORTHRIDGE OHIO LOC SCH  666705GP7 02/10/21 12/01/37     59.656     0.000     3.0969     55.47   0.055946   0.056813   0.057692   0.058586  0.059493     20.35    20.98 
NORTHRIDGE OHIO LOC SCH  666705GQ5 02/10/21 12/01/38     57.346     0.000     3.1468     54.21   0.054723   0.055584   0.056459   0.057347  0.058249     19.91    20.54 
NORTHWEST OHIO LOC SCH   667712CP6 11/15/19 12/01/39     47.272     0.000     3.7730     78.89   0.057631   0.058718   0.059826   0.060954  0.062104     21.01    21.81 
NORTHWEST OHIO LOC SCH   667712CQ4 11/15/19 12/01/40     45.070     0.000     3.8230     76.28   0.055785   0.056851   0.057938   0.059045  0.060174     20.34    21.12 
NORTHWEST OHIO LOC SCH   667712CN1 11/15/19 12/01/38     49.534     0.000     3.7230     81.49   0.059468   0.060575   0.061703   0.062852  0.064021     21.67    22.49 
NORTHWEST TEX INDPT SCH  667826BS9 04/07/22 02/15/24     96.351     0.000     2.0128     34.05   0.055354                                                 2.44          
NORWOOD OHIO CITY SCH DI 669674DL4 11/16/21 11/01/25     94.686     0.000     1.3842     28.17   0.037404   0.037662   0.037923   0.038186               13.54    11.42 
NORWOOD OHIO CITY SCH DI 669674DK6 11/16/21 11/01/24     96.929     0.000     1.0571     21.97   0.029056   0.029210                                      8.74          
NORWOOD OHIO CITY SCH DI 669674DP5 11/16/21 11/01/28     86.798     0.000     2.0451     38.37   0.051313   0.051838   0.052368   0.052904  0.053445     18.63    19.01 
NORWOOD OHIO CITY SCH DI 669674DN0 11/16/21 11/01/27     89.476     0.000     1.8750     36.21   0.048336   0.048789   0.049247   0.049708  0.050174     17.54    17.87 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

NORWOOD OHIO CITY SCH DI 669674DM2 11/16/21 11/01/26     92.475     0.000     1.5840     31.54   0.041965   0.042298   0.042633   0.042970  0.043311     15.21    15.45 
NORWOOD OHIO CITY SCH DI 669674DT7 11/16/21 11/01/32     74.157     0.000     2.7470     44.29   0.059692   0.060512   0.061343   0.062186  0.063040     21.74    22.34 
NORWOOD OHIO CITY SCH DI 669674DS9 11/16/21 11/01/31     77.340     0.000     2.5970     43.61   0.058684   0.059446   0.060218   0.061000  0.061792     21.36    21.91 
NORWOOD OHIO CITY SCH DI 669674DR1 11/16/21 11/01/30     80.778     0.000     2.3971     41.97   0.056356   0.057031   0.057715   0.058406  0.059106     20.49    20.99 
NORWOOD OHIO CITY SCH DI 669674DQ3 11/16/21 11/01/29     83.708     0.000     2.2471     40.72   0.054586   0.055200   0.055820   0.056447  0.057081     19.84    20.28 
NUTRIEN LTD              67077MAD0 04/10/18 04/01/25     94.730     3.000     3.8693     42.20   0.022799   0.023240   0.023689                           8.37     2.13 
NUTRIEN LTD              67077MAE8 04/10/18 12/15/26     97.410     4.000     4.3616     15.98   0.008824   0.009017   0.009213   0.009414  0.009619      3.22     3.36 
NY State Dorm Auth       649902ZR7 10/20/09 09/15/25     86.380     5.800     7.2575    113.24   0.035107   0.036381   0.037701   0.039069               13.14     9.82 
National Bank of Canada  63305LRE5 03/06/23 03/04/27    100.000     0.000     4.9260     40.76   0.140166   0.143618   0.147156   0.150780  0.154494     51.90    54.49 
National Bank of Canada  63305LRD7 03/06/23 03/06/28    100.000     0.000     4.3735     36.14   0.124143   0.126857   0.129631   0.132466  0.135363     45.81    47.84 
National Bank of Canada  63305LQP1 02/02/23 02/28/24    100.000     0.000     5.3425     49.49   0.152955                                                 8.72          
Natixis US MTN LLC       63873HME1 10/31/13 10/31/33    100.000    VARIES     4.5708    405.27   0.110034   0.110823   0.111630   0.112419  0.113225     39.85    40.43 
Natixis US MTN LLC       63873HKC7 04/30/14 04/30/34    100.000    VARIES     4.2409    366.28   0.104409   0.104754   0.105107   0.105467  0.105944     37.69    37.95 
Natixis US MTN LLC       63873HKA1 07/31/13 07/31/28    100.000    VARIES     4.2606    402.40   0.110854   0.111599   0.112360   0.113138  0.113932     40.27    40.83 
Natixis US MTN LLC       63873HJU9 04/30/14 04/30/34    100.000    VARIES     4.2419    364.62   0.103988   0.104449   0.104920   0.105400  0.105938     37.58    37.92 
Natixis US MTN LLC       63873HJT2 12/27/13 12/27/33    100.000    VARIES     4.8026    430.03   0.122180   0.122937   0.123711   0.124340  0.124984     44.13    44.65 
Natixis US MTN LLC       63873HMW1 11/27/13 11/27/33    100.000    VARIES     4.5649    416.01   0.116168   0.116878   0.117604   0.118212  0.118834     42.00    42.49 
Natixis US Medium        63873HLU6 07/31/14 07/31/34    100.000    VARIES     3.9932    355.07   0.105743   0.105900   0.106060   0.106224  0.106391     38.14    38.26 
Natixis US Medium Term   63873HLN2 08/29/13 08/29/33    100.000    VARIES     4.5781    436.36   0.118531   0.120552   0.120625   0.121814  0.121683     44.01    44.38 
New Jersey Economic      645913BE3 06/30/97 02/15/26     11.676     0.000     7.6447    736.16   0.176036   0.182765   0.189751   0.197004  0.204534     66.45    71.63 
New Jersey Economic      645913BD5 06/30/97 02/15/25     12.602     0.000     7.6398    793.40   0.189643   0.196887   0.204408                          71.58     8.99 
New Jersey Economic      645913BC7 06/30/97 02/15/24     13.601     0.000     7.6347    855.00   0.204276                                                 8.99          
Newark, NJ               6503668C4 04/10/03 04/01/32     15.279     0.000     6.5900    433.01   0.105496   0.108972   0.112562   0.116271  0.120102     39.24    41.87 
Newark, NJ               6503668D2 04/10/03 04/01/33     14.320     0.000     6.5899    405.83   0.098872   0.102130   0.105495   0.108971  0.112562     36.78    39.24 
Newark, NJ               6503667Z4 04/10/03 04/01/29     18.653     0.000     6.5700    525.77   0.127895   0.132097   0.136436   0.140918  0.145547     47.57    50.74 
Newark, NJ               6503668A8 04/10/03 04/01/30     17.440     0.000     6.5800    492.91   0.119996   0.123943   0.128021   0.132233  0.136584     44.63    47.62 
Newark, NJ               6503668B6 04/10/03 04/01/31     16.302     0.000     6.5901    462.01   0.112563   0.116272   0.120104   0.124061  0.128149     41.87    44.67 
Newark, NJ               6503667U5 04/10/03 04/01/24     26.193     0.000     6.4900    722.35   0.174611                                                15.72          
Newark, NJ               6503667X9 04/10/03 04/01/27     21.327     0.000     6.5499    597.86   0.145200   0.149955   0.154866   0.159938  0.165176     54.00    57.59 
Newark, NJ               6503667Y7 04/10/03 04/01/28     19.947     0.000     6.5600    560.71   0.136287   0.140758   0.145375   0.150143  0.155068     50.69    54.07 
Newark, NJ               6503667V3 04/10/03 04/01/25     24.468     0.000     6.5100    678.48   0.164265   0.169612   0.175132                          61.08    15.76 
Newark, NJ               6503667W1 04/10/03 04/01/26     22.848     0.000     6.5299    637.02   0.154469   0.159512   0.164720   0.170099  0.175652     57.44    61.25 
Nikola Corporation       654110105 12/12/23 12/15/26    100.000     8.250    14.3300      7.86   0.398556   0.410389   0.423389   0.437278  0.452222    146.06   155.41 
Nomura America Finance   65539AAG5 11/24/10 11/24/25    100.000    VARIES     5.5492    616.41   0.141144   0.143841   0.146614   0.150327               51.50    48.02 
Nomura America Finance   655365AA2 12/31/13 12/31/33    100.000    VARIES     4.5379    378.31   0.105211   0.106521   0.107860   0.109230  0.110631     38.11    39.08 
Nomura America Finance   65539ABB5 02/28/14 02/28/34    100.000    VARIES     4.5092    369.61   0.101383   0.101542   0.104535   0.104148  0.107244     37.52    38.42 
Nomura America Finance   65539ABC3 05/30/14 05/30/34    100.000    VARIES     3.7543    320.97   0.091720   0.092001   0.092392   0.092790  0.093196     33.09    33.36 
Nomura America Finance   65539ABE9 07/29/14 07/29/34    100.000    VARIES     4.2954    308.55   0.085437   0.086592   0.087771   0.089145  0.090548     31.32    32.27 
Nomura America Finance   65539ABL3 12/24/14 12/24/34    100.000    VARIES     2.8015    236.74   0.075078   0.075434   0.075795   0.076050  0.076308     27.10    27.34 
OCCIDENTAL PETROLEUM COR 674599DG7 09/18/19 10/10/36     49.134     0.000     4.2087     96.07   0.068029   0.069461   0.070922   0.072415  0.073938     24.98    26.04 
PALMER TEX INDPT SCH DIS 696888HK5 11/19/20 08/01/25     95.500     0.000     0.9820     29.61   0.026749   0.026880   0.027012   0.027144                9.69     5.70 
PALMER TEX INDPT SCH DIS 696888HJ8 11/19/20 08/01/24     96.974     0.000     0.8321     25.43   0.022924   0.023019                                      4.83          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

PALMER TEX INDPT SCH DIS 696888HM1 11/19/20 08/01/27     91.653     0.000     1.3051     37.93   0.034414   0.034638   0.034864   0.035092  0.035321     12.50    12.66 
PALMER TEX INDPT SCH DIS 696888HL3 11/19/20 08/01/26     93.646     0.000     1.1550     34.23   0.030993   0.031172   0.031352   0.031533  0.031715     11.24    11.37 
PAMPA TEX INDPT SCH DIST 697685FC4 02/16/21 08/15/29     87.041     0.000     1.6401     41.85   0.041304   0.041643   0.041984   0.042329  0.042676     15.02    15.27 
PAMPA TEX INDPT SCH DIST 697685FD2 02/16/21 08/15/30     84.430     0.000     1.7900     44.39   0.043892   0.044285   0.044681   0.045081  0.045484     15.98    16.27 
PAMPA TEX INDPT SCH DIST 697685FE0 02/16/21 08/15/31     81.485     0.000     1.9600     47.01   0.046579   0.047035   0.047496   0.047962  0.048432     16.98    17.31 
PARAMOUNT CALIF UNI SCH  699211PV4 12/10/20 08/01/47     36.281     0.000     3.8417     44.80   0.042812   0.043635   0.044473   0.045327  0.046198     15.81    16.42 
PARAMOUNT CALIF UNI SCH  699211PU6 12/10/20 08/01/41     46.709     0.000     3.7216     55.79   0.053229   0.054220   0.055229   0.056256  0.057303     19.64    20.38 
PARKER CNTY TEX          701060KM6 12/01/20 02/15/24     96.649     0.000     1.0660     32.21   0.029454                                                 1.30          
PDL BIOPHARMA INC        69329YAJ3 09/17/19 12/01/24     97.190     2.750     5.5780    121.10   0.088514   0.090905                                     29.68          
PETROLEOS MEXICANOS      71654QDL3 06/02/22 06/02/29     97.602     8.750     9.2500      4.37   0.008833   0.009278   0.009667   0.010111  0.010611      3.26     3.56 
PHARR SAN JUAN ALAMO TEX 717146WY6 10/26/21 02/01/26     94.769     0.000     1.2639     26.41   0.034020   0.034235   0.034452   0.034670  0.034889     12.35    12.51 
PHOENIX INDUSTRIAL DEVEL 71885JAE9 01/31/22 12/15/57      1.025     0.000    13.1843      2.85   0.004769   0.005084   0.005419   0.005776  0.006157      1.78     2.03 
PIC AU HOLDINGS LLC      69291BAA6 01/29/21 12/31/24     91.510    10.000    12.8220     59.25   0.069228   0.073666                                     25.65          
PIC AU HOLDINGS LLC      U7190BAA5 01/29/21 12/31/24     91.510    10.000    12.8220     59.25   0.069228   0.073666                                     25.65          
PIQUA OHIO CITY SCH DIST 724190EX7 02/13/20 12/01/25     87.728     0.000     2.2699     80.39   0.060270   0.060954   0.061646   0.062346               21.86    20.47 
PORT ARTHUR TEX INDPT SC 733505UA7 10/29/20 02/15/30     83.881     0.000     1.9000     51.88   0.046673   0.047117   0.047564   0.048016  0.048472     17.00    17.33 
PORT ARTHUR TEX INDPT SC 733505TX9 10/29/20 02/15/27     91.730     0.000     1.3760     40.79   0.036431   0.036682   0.036934   0.037188  0.037444     13.23    13.41 
PORT ARTHUR TEX INDPT SC 733505TY7 10/29/20 02/15/28     88.383     0.000     1.7000     48.77   0.043759   0.044131   0.044506   0.044884  0.045266     15.92    16.19 
PORT ARTHUR TEX INDPT SC 733505TZ4 10/29/20 02/15/29     86.188     0.000     1.8000     50.43   0.045306   0.045714   0.046126   0.046541  0.046960     16.50    16.79 
PORT ARTHUR TEX INDPT SC 733505TV3 10/29/20 02/15/25     95.741     0.000     1.0160     31.28   0.027796   0.027937   0.028079                          10.07     1.24 
PORT ARTHUR TEX INDPT SC 733505TW1 10/29/20 02/15/26     93.487     0.000     1.2760     38.50   0.034335   0.034554   0.034775   0.034997  0.035220     12.46    12.62 
PORT ARTHUR TEX INDPT SC 733505UM1 10/29/20 02/15/31     81.475     0.000     2.0000     53.11   0.047852   0.048330   0.048814   0.049302  0.049795     17.44    17.79 
PRINCETON OHIO CITY SCH  742327FW4 11/16/21 12/01/31     76.907     0.000     2.6319     43.96   0.059310   0.060090   0.060881   0.061682  0.062494     21.54    22.11 
PRINCETON OHIO CITY SCH  742327FJ3 12/18/19 12/01/35     57.808     0.000     3.4650     86.00   0.063733   0.064838   0.065961   0.067104  0.068266     23.21    24.02 
PRINCETON OHIO CITY SCH  742327FK0 12/18/19 12/01/36     55.393     0.000     3.5149     83.67   0.062071   0.063162   0.064272   0.065402  0.066551     22.61    23.41 
PRINCETON TEX INDPT SCH  742395VV5 05/06/21 02/15/30     82.373     0.000     2.2219     49.75   0.053462   0.054056   0.054657   0.055264  0.055878     19.52    19.95 
PRINCETON TEX INDPT SCH  742395VU7 05/06/21 02/15/29     84.864     0.000     2.1219     48.89   0.052481   0.053038   0.053600   0.054169  0.054744     19.15    19.55 
PRINCETON TEX INDPT SCH  742395VW3 05/06/21 02/15/31     79.798     0.000     2.3219     50.42   0.054243   0.054873   0.055510   0.056154  0.056806     19.81    20.28 
PRINCETON TEX INDPT SCH  742395VQ6 05/06/21 02/15/25     95.336     0.000     1.2691     32.55   0.034591   0.034810   0.035031                          12.55     1.54 
PRINCETON TEX INDPT SCH  742395VR4 05/06/21 02/15/26     93.692     0.000     1.3691     34.54   0.036755   0.037007   0.037260   0.037515  0.037772     13.35    13.53 
PRINCETON TEX INDPT SCH  742395VP8 05/06/21 02/15/24     97.733     0.000     0.8280     21.66   0.022904                                                 1.01          
PRINCETON TEX INDPT SCH  742395VT0 05/06/21 02/15/28     87.768     0.000     1.9349     46.02   0.049287   0.049764   0.050245   0.050731  0.051222     17.96    18.31 
PRINCETON TEX INDPT SCH  742395VS2 05/06/21 02/15/27     90.505     0.000     1.7349     42.45   0.045363   0.045757   0.046154   0.046554  0.046958     16.51    16.80 
PUBLIC FIN AUTH WIS ED   74442EHY9 02/24/22 06/15/29     98.000     8.375     8.7511      3.96   0.006522   0.006808   0.007106   0.007417  0.007741      2.41     2.62 
PUBLIC FIN AUTH WIS EDL  74443DGR6 09/24/21 09/01/31     94.000    10.000    11.0080      8.71   0.011985   0.012644   0.013340   0.014075  0.014849      4.56     5.07 
PUBLIC FIN AUTH WIS HEAL 74444KAM6 12/23/19 11/01/24     98.973     6.750     7.0031      8.26   0.006562   0.006792                                      2.01          
Party City Holdings Inc. 03254TAC7 07/30/20 08/15/26     76.000    10.000    15.1200    491.37   0.486392   0.528914   0.562717   0.610221  0.610217    196.37   220.82 
Party City Holdings, Inc 03254TAA1 08/18/22 08/15/25    102.400    15.000    14.9400     74.27   0.152058   0.158002   0.160648   0.167892               57.92    37.78 
Philadelphia Authority   71781LBD0 02/03/99 04/15/26     16.697     0.000     6.6896    693.32   0.157636   0.162909   0.168358   0.173989  0.179809     58.51    62.49 
Philadelphia Authority   71781LBC2 02/03/99 04/15/25     17.878     0.000     6.6796    740.14   0.168130   0.173746   0.179548                          62.41    18.67 
Philadelphia Authority   71781LAP4 02/03/99 04/15/24     19.046     0.000     6.6895    790.84   0.179806                                                18.70          
Playboy Enterprises, Inc 728117AB8 03/15/05 03/15/25    100.000    VARIES     7.7501   2482.31   0.604725   0.624180   0.644363                         225.40    47.68 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Playboy Enterprises, Inc 728117AA0 03/15/05 03/15/25    100.000    VARIES     7.7501   2482.31   0.604725   0.624180   0.644363                         225.40    47.68 
Puerto Rico Sales Tax FI 74529JPZ2 02/12/19 07/01/53     81.968     4.750     5.9941      9.11   0.006052   0.006052   0.006420   0.006420  0.006811      2.21     2.35 
Puerto Rico Sales Tax FI 74529JPY5 02/12/19 07/01/40     82.961     4.550     5.9712     22.53   0.014953   0.014953   0.015859   0.015859  0.016820      5.46     5.79 
Puerto Rico Sales Tax FI 74529JQA6 02/12/19 07/01/58     83.618     5.000     6.1032      5.78   0.003851   0.003851   0.004090   0.004090  0.004343      1.41     1.49 
Puerto Rico Sales Tax FI 74529JQY4 02/12/19 07/01/40     82.961     4.550     5.9712     22.53   0.014953   0.014953   0.015859   0.015859  0.016820      5.46     5.79 
Quicksilver Resources In 74837RAA2 11/01/04 11/01/24     98.500    VARIES     6.7503   2156.89   0.507196   0.521931                                    154.81          
Quicksilver Resources In 74837RAB0 11/01/04 11/01/24     98.500    VARIES     6.7503   2156.89   0.507196   0.521931                                    154.81          
RENO NEV 1999 SPL ASSMT  759830AT9 09/22/16 06/01/25     97.746     3.000     3.3004     18.42   0.007944   0.008075   0.008209                           2.89     1.23 
RICE TEX CONS INDPT SCH  762825MH7 10/14/21 02/15/26     94.740     0.000     1.2499     26.51   0.033655   0.033866   0.034077   0.034290  0.034505     12.21    12.36 
RICE TEX CONS INDPT SCH  762825MJ3 10/14/21 02/15/27     92.580     0.000     1.4499     30.10   0.038290   0.038568   0.038847   0.039129  0.039413     13.91    14.11 
RICE TEX CONS INDPT SCH  762825MK0 10/14/21 02/15/28     90.395     0.000     1.6000     32.47   0.041369   0.041700   0.042033   0.042370  0.042708     15.04    15.28 
RICE TEX CONS INDPT SCH  762825MG9 10/14/21 02/15/25     96.406     0.000     1.1001     23.71   0.030058   0.030224   0.030390                          10.90     1.34 
RIVERSIDE OHIO LOC SCH   769229CY9 12/30/19 10/01/39     46.260     0.000     3.9408     78.26   0.058629   0.059784   0.060962   0.062163  0.063388     21.52    22.38 
RIVERSIDE OHIO LOC SCH   769229CZ6 12/30/19 10/01/40     44.039     0.000     3.9908     75.52   0.056626   0.057756   0.058909   0.060084  0.061283     20.79    21.63 
RIVERSIDE OHIO LOC SCH   769229DB8 12/30/19 10/01/42     39.795     0.000     4.0908     70.08   0.052645   0.053722   0.054820   0.055942  0.057086     19.34    20.14 
RIVERSIDE OHIO LOC SCH   769229DA0 12/30/19 10/01/41     41.883     0.000     4.0409     72.79   0.054630   0.055734   0.056860   0.058009  0.059181     20.07    20.89 
ROBINSON TEX INDPT SCH   770842QF2 10/01/20 08/15/25     95.473     0.000     0.9531     29.97   0.025975   0.026099   0.026223   0.026348                9.41     5.90 
ROBINSON TEX INDPT SCH   770842QG0 10/01/20 08/15/26     93.215     0.000     1.2000     36.97   0.032159   0.032352   0.032546   0.032741  0.032938     11.66    11.81 
ROBSTOWN TEX INDPT SCH   771146YW1 05/12/21 02/15/27     90.041     0.000     1.8299     44.31   0.047692   0.048128   0.048569   0.049013  0.049461     17.37    17.69 
ROBSTOWN TEX INDPT SCH   771146YV3 05/12/21 02/15/26     93.224     0.000     1.4799     36.96   0.039620   0.039913   0.040208   0.040506  0.040806     14.40    14.61 
ROBSTOWN TEX INDPT SCH   771146ZX8 12/22/21 02/15/37     64.173     0.000     2.9499     39.23   0.055184   0.055998   0.056824   0.057662  0.058513     20.24    20.84 
ROBSTOWN TEX INDPT SCH   771146ZW0 12/22/21 02/15/36     67.008     0.000     2.8499     39.55   0.055579   0.056371   0.057174   0.057989  0.058815     20.37    20.95 
ROCKWALL TEX INDPT SCH   774286AR9 09/17/20 02/15/24     97.085     0.000     0.8691     28.09   0.024037                                                 1.06          
ROCKWALL TEX INDPT SCH   774286AS7 09/17/20 02/15/25     95.825     0.000     0.9691     30.96   0.026532   0.026660   0.026790                           9.61     1.18 
ROCKWALL TEX INDPT SCH   774286AW8 09/17/20 02/15/32     78.736     0.000     2.1059     56.18   0.048956   0.049471   0.049992   0.050518  0.051050     17.86    18.24 
ROCKWALL TEX INDPT SCH   774286AT5 09/17/20 02/15/26     93.705     0.000     1.2051     37.78   0.032486   0.032681   0.032878   0.033076  0.033276     11.78    11.93 
ROCKWALL TEX INDPT SCH   774286AV0 09/17/20 02/15/31     81.236     0.000     2.0059     55.13   0.047972   0.048453   0.048939   0.049430  0.049926     17.49    17.84 
ROCKWALL TEX INDPT SCH   774286AU2 09/17/20 02/15/27     91.998     0.000     1.3051     40.22   0.034639   0.034866   0.035093   0.035322  0.035553     12.57    12.74 
ROYAL BANK OF CANADA     78017FQS5 04/24/24 05/22/25    100.000     0.000     5.5700             0.154722   0.155393   0.159720                          38.53    22.52 
ROYAL BANK OF CANADA     78017FQT3 04/24/24 05/22/25    100.000     0.000     5.5700             0.154722   0.155393   0.159720                          38.53    22.52 
ROYAL BANK OF CANADA     78017FR21 05/03/24 02/03/28    100.000     0.000     5.4900                        0.152500   0.154593   0.158837  0.163197     36.60    57.69 
ROYAL BANK OF CANADA     78017GCQ2 07/23/24 10/23/25    100.000     0.000     5.1200                        0.142222   0.144043   0.147730               22.59    42.72 
ROYAL BANK OF CANADA     78017FAD5 01/31/24 10/29/27    100.000     0.000     4.9100             0.136389   0.138044   0.141433   0.144906  0.148463     45.76    51.98 
ROYAL BANK OF CANADA     78017FAE3 02/05/24 11/03/27    100.000     0.000     4.6800             0.130000   0.131487   0.134564   0.137713  0.140935     42.91    49.38 
ROYAL BANK OF CANADA     78017FAC7 02/05/24 02/05/29    100.000     0.000     4.7500                        0.131944   0.135078   0.138286  0.141571     43.47    50.15 
ROYAL BANK OF CANADA     78017FAB9 02/05/24 08/05/25    100.000     0.000     4.9300                        0.136944   0.140320   0.143779               45.14    30.65 
ROYAL BANK OF CANADA     78017FAA1 01/31/24 01/31/29    100.000     0.000     5.0000                        0.138889   0.142361   0.145920  0.149568     46.50    52.98 
ROYAL BANK OF CANADA     78017GDB4 07/11/24 08/13/25    100.000     0.000     5.3000                        0.147222   0.147916   0.151836               25.12    33.54 
ROYAL BANK OF CANADA     78017FRA3 05/03/24 11/04/25    100.000     0.000     5.6000                        0.155556   0.159935   0.164413               37.27    49.27 
ROYAL BANK OF CANADA     78017FA94 01/31/24 01/29/26    100.000     0.000     5.0000                        0.138889   0.142342   0.145900  0.149548     46.50    52.98 
ROYAL BANK OF CANADA     78017FQZ9 04/30/24 01/28/28    100.000     0.000     5.4800                        0.152222   0.154261   0.158488  0.162831     37.00    57.61 
ROYAL BANK OF CANADA     78017FR96 04/30/24 10/30/25    100.000     0.000     5.5600                        0.154444   0.158738   0.163151               37.48    48.26 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

ROYAL BANK OF CANADA     78017GC66 07/31/24 01/29/26    100.000     0.000     5.0000                                   0.138889   0.142342  0.145900     20.97    51.69 
ROYAL BANK OF CANADA     78017GC58 08/05/24 02/04/26    100.000     0.000     4.8941                                   0.135947   0.139255  0.142663     19.85    50.52 
ROYAL BANK OF CANADA     78017GC25 07/31/24 07/31/29    100.000     0.000     4.7500                                   0.131944   0.135078  0.138286     19.92    49.02 
ROYAL BANK OF CANADA     78017GBF7 08/05/24 05/03/28    100.000     0.000     4.5895                        0.127486   0.128916   0.131875  0.134901     18.70    47.29 
ROYAL BANK OF CANADA     78017GBG5 07/12/24 07/12/29    100.000     0.000     4.9300                                   0.136944   0.140320  0.143779     23.14    51.06 
ROYAL BANK OF CANADA     78015QLM1 07/17/24 07/15/27    100.000     0.000     4.8400                                   0.134444   0.137662  0.140993     22.05    50.07 
ROYAL BANK OF CANADA     78017FPY3 04/04/24 10/02/25    100.000     0.000     5.3100                        0.147500   0.151373   0.155392               39.73    41.75 
ROYAL BANK OF CANADA     78017FPX5 04/01/24 03/31/26    100.000     0.000     5.1100                        0.141944   0.145551   0.149270  0.153084     38.65    53.75 
ROYAL BANK OF CANADA     78017GBW0 08/05/24 02/04/27    100.000     0.000     4.6865                                   0.130181   0.133214  0.136336     19.01    48.32 
ROYAL BANK OF CANADA     78017GC74 07/31/24 07/31/29    100.000     0.000     4.7500                                   0.131944   0.135078  0.138286     19.92    49.02 
ROYAL BANK OF CANADA     78017G4Z1 06/28/24 06/28/29    100.000     0.000     5.0468                        0.140189   0.143726   0.147353  0.151072     25.67    52.42 
ROYAL BANK OF CANADA     78017FT29 04/10/24 04/09/26    100.000     0.000     5.2400                        0.145556   0.149348   0.153261  0.157276     38.30    55.12 
ROYAL BANK OF CANADA     78017FBP7 02/02/24 03/05/25    100.000     0.000     5.1500             0.143056   0.143731   0.147432                          47.69     9.44 
ROYAL BANK OF CANADA     78017FBN2 02/02/24 02/04/26    100.000     0.000     4.9900             0.138611   0.138650   0.142109   0.145654  0.149289     46.12    52.85 
ROYAL BANK OF CANADA     78017G4N8 06/07/24 06/10/25    100.000     0.000     5.4400             0.151111   0.151180   0.155292                          30.93    24.69 
ROYAL BANK OF CANADA     78017G5H0 07/03/24 07/02/26    100.000     0.000     5.2989                                   0.147192   0.151070  0.155072     26.20    55.10 
ROYAL BANK OF CANADA     78017G5B3 07/03/24 03/31/28    100.000     0.000     5.1603                        0.143342   0.145129   0.148874  0.152715     25.68    53.61 
ROYAL BANK OF CANADA     78017G5A5 06/28/24 03/30/28    100.000     0.000     5.0750                        0.140972   0.142801   0.146424  0.150140     25.96    52.73 
ROYAL BANK OF CANADA     78014RXX3 04/15/24 04/15/39    100.000    VARIES     5.5300                        0.153069   0.150757   0.148380  0.145937     39.05    53.48 
ROYAL BANK OF CANADA     78017FS46 04/10/24 04/10/29    100.000     0.000     5.1700                        0.143611   0.147323   0.151132  0.155039     37.78    54.35 
ROYAL BANK OF CANADA     78017FB36 01/31/24 01/31/29    100.000     0.000     5.0000                        0.138889   0.142361   0.145920  0.149568     46.50    52.98 
ROYAL BANK OF CANADA     78017FRT2 05/03/24 05/03/29    100.000     0.000     5.5000                        0.152778   0.156979   0.161296  0.165732     36.60    57.80 
ROYAL BANK OF CANADA     78017G3N9 06/26/24 12/27/28    100.000     0.000     5.0552                        0.140422   0.143991   0.147631  0.151362     25.99    52.52 
ROYAL BANK OF CANADA     78017G3M1 06/26/24 12/27/29    100.000     0.000     5.0621                        0.140614   0.144193   0.147842  0.151584     26.03    52.60 
ROYAL BANK OF CANADA     78017FAG8 01/31/24 07/31/25    100.000     0.000     5.0800                        0.141111   0.144695   0.148371               47.25    30.90 
ROYAL BANK OF CANADA     78016U283 08/01/24 07/26/28    100.000     0.000     4.7500                                   0.131944   0.134991  0.138197     19.79    49.02 
ROYAL BANK OF CANADA     78017FAH6 02/05/24 08/05/25    100.000     0.000     4.9300                        0.136944   0.140320   0.143779               45.14    30.65 
ROYAL BANK OF CANADA     78017GDK4 08/05/24 08/03/29    100.000     0.000     4.6000                                   0.127778   0.130684  0.133690     18.66    47.40 
ROYAL BANK OF CANADA     78017FRH8 05/03/24 05/03/29    100.000     0.000     5.5000                        0.152778   0.156979   0.161296  0.165732     36.60    57.80 
ROYAL BANK OF CANADA     78017G4G3 07/03/24 01/02/26    100.000     0.000     5.3546                                   0.148739   0.152699  0.156787     26.48    55.70 
ROYAL BANK OF CANADA     78017G4F5 06/28/24 12/31/25    100.000     0.000     5.3561             0.148781   0.148825   0.152810   0.156903               27.24    55.60 
ROYAL BANK OF CANADA     78017GEB3 08/05/24 08/05/26    100.000     0.000     4.7621                                   0.132281   0.135430  0.138655     19.31    49.12 
ROYAL BANK OF CANADA     78017FME0 03/12/24 03/11/27    100.000     0.000     4.8600                        0.135000   0.138262   0.141622  0.145063     39.37    51.13 
ROYAL BANK OF CANADA     78017FLM3 04/02/24 05/01/25    100.000     0.000     5.3000             0.147222   0.147851   0.151769                          39.99    18.21 
ROYAL BANK OF CANADA     78017FLN1 04/02/24 04/01/26    100.000     0.000     5.0900                        0.141389   0.144967   0.148657  0.152440     38.36    53.52 
ROYAL BANK OF CANADA     78017FP23 03/25/24 09/25/25    100.000     0.000     5.2200                        0.145000   0.148784   0.152668               40.38    39.98 
ROYAL BANK OF CANADA     78014RTB6 02/28/24 02/28/39    100.000    VARIES     5.3400                        0.147776   0.145400   0.142962  0.140458     44.52    51.30 
ROYAL BANK OF CANADA     78017GBE0 07/31/24 05/01/28    100.000     0.000     4.7300                        0.131389   0.132960   0.136104  0.139323     19.93    48.81 
ROYAL BANK OF CANADA     78014RTP5 03/11/24 03/11/31    100.000    VARIES     6.2800                        0.021056   0.021000   0.020972  0.020944      6.10     7.55 
ROYAL BANK OF CANADA     78014RSF8 02/16/24 02/16/39    100.000    VARIES     5.2900                        0.146326   0.143936   0.141483  0.138964     45.80    50.71 
ROYAL BANK OF CANADA     78014RSB7 02/14/24 02/15/27    100.000     5.750     5.3400                        0.010191   0.010138   0.009794  0.010057      3.22     3.57 
ROYAL BANK OF CANADA     78017FZD8 06/05/24 06/03/26    100.000     0.000     5.2900                        0.146944   0.150788   0.154776  0.158870     30.38    55.23 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

ROYAL BANK OF CANADA     78017FZ97 05/20/24 05/20/27    100.000     0.000     5.0100                        0.139167   0.142653   0.146226  0.149889     30.90    52.29 
ROYAL BANK OF CANADA     78017FJ79 03/06/24 09/05/25    100.000     0.000     5.2000                        0.144444   0.148179   0.152032               43.04    36.85 
ROYAL BANK OF CANADA     78016N5M5 12/18/23 06/18/25    100.000     0.000     5.2300      1.89   0.145278   0.149077   0.152975                          53.08    25.55 
ROYAL BANK OF CANADA     78016N5H6 12/05/23 12/03/25    100.000     0.000     5.4500      3.94   0.151389   0.155468   0.159705   0.164057               55.47    53.81 
ROYAL BANK OF CANADA     78017FYA5 06/10/24 06/12/25    100.000     0.000     5.4100             0.150278   0.150323   0.154389                          30.29    24.86 
ROYAL BANK OF CANADA     78016NEL7 06/20/23 07/18/24    100.000     0.000     5.8700     31.26   0.163800   0.168608                                     33.13          
ROYAL BANK OF CANADA     78017F7C1 12/27/23 01/23/25    100.000     0.000     5.2800      0.59   0.146667   0.147226   0.151113                          53.60     3.32 
ROYAL BANK OF CANADA     78017FKH5 04/02/24 04/01/27    100.000     0.000     4.9400                        0.137222   0.140593   0.144065  0.147624     37.22    51.87 
ROYAL BANK OF CANADA     78017FJZ7 04/02/24 10/02/25    100.000     0.000     5.2000                        0.144444   0.148200   0.152053               39.19    40.86 
ROYAL BANK OF CANADA     78017FJY0 03/28/24 09/30/25    100.000     0.000     5.2400             0.145556   0.145598   0.149413   0.153327               40.10    40.90 
ROYAL BANK OF CANADA     78017FKM4 03/27/24 04/25/25    100.000     0.000     5.2800             0.146667   0.147269   0.151157                          40.59    17.23 
ROYAL BANK OF CANADA     78017FKL6 03/27/24 04/25/25    100.000     0.000     5.2800             0.146667   0.147269   0.151157                          40.59    17.23 
ROYAL BANK OF CANADA     78017FK69 03/28/24 03/29/29    100.000     0.000     5.0700                        0.140833   0.144423   0.148084  0.151838     38.78    53.33 
ROYAL BANK OF CANADA     78017FK28 04/02/24 04/02/29    100.000     0.000     4.9700                        0.138056   0.141486   0.145002  0.148605     37.44    52.20 
ROYAL BANK OF CANADA     78017FJR5 03/28/24 03/29/29    100.000     0.000     5.0700                        0.140833   0.144423   0.148084  0.151838     38.78    53.33 
ROYAL BANK OF CANADA     78017FJP9 03/28/24 12/30/27    100.000     0.000     5.0300             0.139722   0.141518   0.145077   0.148726  0.152467     38.47    52.89 
ROYAL BANK OF CANADA     78017FJQ7 04/02/24 12/30/27    100.000     0.000     4.9400             0.137222   0.138879   0.142310   0.145825  0.149426     37.22    51.87 
ROYAL BANK OF CANADA     78017FJL8 03/05/24 03/03/27    100.000     0.000     5.0200                        0.139444   0.142906   0.146493  0.150170     41.68    52.95 
ROYAL BANK OF CANADA     78017F3W1 01/03/24 07/03/25    100.000     0.000     5.0500                        0.140278   0.143820   0.147451               50.85    26.83 
ROYAL BANK OF CANADA     78017GH95 08/29/24 08/30/29    100.000     0.000     4.3853                                   0.121814   0.124470  0.127230     14.86    44.99 
ROYAL BANK OF CANADA     78017F3R2 12/27/23 09/24/27    100.000     0.000     4.8300      0.54   0.134167   0.135733   0.139011   0.142368  0.145806     49.05    51.31 
ROYAL BANK OF CANADA     78017F3S0 12/27/23 06/26/25    100.000     0.000     5.2100      0.58   0.144722   0.148471   0.152339                          52.81    26.66 
ROYAL BANK OF CANADA     78017F3Q4 12/27/23 12/27/28    100.000     0.000     4.8400      0.54   0.134444   0.137698   0.141030   0.144443  0.147939     49.01    51.41 
ROYAL BANK OF CANADA     78017FUT8 05/08/24 06/06/25    100.000     0.000     5.4900             0.152500   0.153151   0.157355                          35.77    24.39 
ROYAL BANK OF CANADA     78017FUS0 05/08/24 06/06/25    100.000     0.000     5.4900             0.152500   0.153151   0.157355                          35.77    24.39 
ROYAL BANK OF CANADA     78017F3M3 01/03/24 07/03/25    100.000     0.000     5.0500                        0.140278   0.143820   0.147451               50.85    26.83 
ROYAL BANK OF CANADA     78017F3L5 12/27/23 12/26/25    100.000     0.000     5.0800      0.56   0.141111   0.144675   0.148350   0.152118               51.48    53.34 
ROYAL BANK OF CANADA     78017F3K7 01/03/24 01/03/29    100.000     0.000     4.8000                        0.133333   0.136533   0.139810  0.143166     48.30    50.92 
ROYAL BANK OF CANADA     78017F4L4 01/03/24 01/31/25    100.000     0.000     5.1700             0.143611   0.144168   0.147895                          52.16     4.29 
ROYAL BANK OF CANADA     78017G5T4 06/28/24 06/28/29    100.000     0.000     5.0468                        0.140189   0.143726   0.147353  0.151072     25.67    52.42 
ROYAL BANK OF CANADA     78017GFQ9 08/07/24 08/06/26    100.000     0.000     4.3477                                   0.120769   0.123380  0.126062     17.39    44.71 
ROYAL BANK OF CANADA     78017G5M9 06/28/24 06/28/29    100.000     0.000     5.0468                        0.140189   0.143726   0.147353  0.151072     25.67    52.42 
ROYAL BANK OF CANADA     78017F3J0 12/27/23 12/27/28    100.000     0.000     4.9900      0.55   0.138611   0.142069   0.145614   0.149247  0.152971     50.55    53.10 
ROYAL BANK OF CANADA     78017FUK7 04/29/24 10/29/25    100.000     0.000     5.5000                        0.152778   0.156979   0.161296               37.23    47.56 
ROYAL BANK OF CANADA     78017GGD7 08/29/24 03/03/26    100.000     0.000     4.5104                        0.125289   0.125352   0.128179  0.131069     15.29    46.31 
ROYAL BANK OF CANADA     78016N2U0 12/05/23 12/05/28    100.000     0.000     5.4000      3.90   0.150000   0.154050   0.158209   0.162481  0.166868     54.94    57.95 
ROYAL BANK OF CANADA     78017FG49 03/05/24 03/03/27    100.000     0.000     5.0200                        0.139444   0.142906   0.146493  0.150170     41.68    52.95 
ROYAL BANK OF CANADA     78017GJ77 08/29/24 08/31/29    100.000     0.000     4.3803                        0.121675   0.121690   0.124325  0.127079     14.85    44.94 
ROYAL BANK OF CANADA     78017FFS7 02/22/24 03/20/25    100.000     0.000     5.3200             0.147778   0.148389   0.152336                          46.23    12.03 
ROYAL BANK OF CANADA     78017FFR9 02/22/24 03/20/25    100.000     0.000     5.3200             0.147778   0.148389   0.152336                          46.23    12.03 
ROYAL BANK OF CANADA     78016N3N5 12/05/23 06/04/25    100.000     0.000     5.5400      4.00   0.153889   0.158128   0.162508                          56.40    24.86 
ROYAL BANK OF CANADA     78016N3C9 11/30/23 09/01/27    100.000     0.000     5.4700      4.71   0.151944   0.154045   0.158259   0.162587  0.167034     55.84    58.81 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

ROYAL BANK OF CANADA     78017GJH5 09/04/24 09/04/29    100.000     0.000     4.3911                                   0.121975   0.124653  0.127390     14.27    45.03 
ROYAL BANK OF CANADA     78016N3A3 12/05/23 03/05/25    100.000     0.000     5.5800      4.03   0.155000   0.157162   0.161547                          56.95    10.34 
ROYAL BANK OF CANADA     78017FEZ2 03/05/24 03/05/29    100.000     0.000     5.0600                        0.140556   0.144112   0.147758  0.151496     42.02    53.39 
ROYAL BANK OF CANADA     78017FEX7 02/29/24 03/01/29    100.000     0.000     5.2000                        0.144444   0.148242   0.152096  0.156051     44.08    55.00 
ROYAL BANK OF CANADA     78017FEW9 03/05/24 12/02/27    100.000     0.000     5.0200             0.139444   0.141136   0.144679   0.148310  0.152033     41.73    52.95 
ROYAL BANK OF CANADA     78017FEV1 02/29/24 12/01/27    100.000     0.000     5.1700             0.143611   0.145509   0.149270   0.153129  0.157087     43.88    54.67 
ROYAL BANK OF CANADA     78017FEU3 02/29/24 03/01/29    100.000     0.000     5.2000                        0.144444   0.148242   0.152096  0.156051     44.08    55.00 
ROYAL BANK OF CANADA     78017GHV6 09/03/24 09/02/27    100.000     0.000     4.3028                                   0.119522   0.122079  0.124706     14.10    44.11 
ROYAL BANK OF CANADA     78017FF32 03/05/24 09/04/25    100.000     0.000     5.2600                        0.146111   0.149932   0.153876               43.70    37.14 
ROYAL BANK OF CANADA     78017FF24 02/29/24 08/29/25    100.000     0.000     5.3800                        0.149444   0.153465   0.157570               45.62    37.27 
ROYAL BANK OF CANADA     78017F4M2 01/03/24 01/02/26    100.000     0.000     4.8900                        0.135833   0.139136   0.142538  0.146023     49.22    51.93 
ROYAL BANK OF CANADA     78017GJ44 08/29/24 08/30/29    100.000     0.000     4.3803                                   0.121675   0.124325  0.127078     14.84    44.94 
ROYAL BANK OF CANADA     78017FFJ7 03/04/24 04/02/25    100.000     0.000     5.3500             0.148611   0.149229   0.153221                          44.66    13.94 
ROYAL BANK OF CANADA     78017FFK4 03/04/24 03/04/26    100.000     0.000     5.1800                        0.143889   0.147616   0.151439  0.155361     43.17    54.74 
ROYAL BANK OF CANADA     78016FM35 06/30/22 07/01/27    100.000     0.000     4.6500     71.52   0.138405   0.138405   0.144915   0.144915  0.151732     50.40    52.78 
Regal Beloit Corporation 758750AB9 04/05/04 03/15/24    100.000    VARIES     8.7500   3518.71   0.925465                                                68.48          
Regal Beloit Corporation 758750AA1 04/05/04 03/15/24    100.000    VARIES     8.7500   3518.71   0.925465                                                68.48          
Reliant Energy, Inc.     75952J207 09/21/99 09/15/29    100.000     2.000     9.8184   7851.76   2.219184   2.325401   2.436832   2.553733  2.676373    841.10   923.69 
Republic of Argentina    040114BD1 03/01/99 03/01/29     75.576     8.875        N/A    212.70   0.025076   0.025068   0.023496   0.021826  0.020054      8.84     7.74 
Republic of Argentina    040114GH7 06/19/01 06/19/31     75.250     0.000        N/A   4616.84   0.628003   0.630936   0.637563   0.637448  0.644582    230.51   232.78 
Royal Bank Of Canada     78016NFE2 06/30/23 06/30/28    100.000     0.000     5.3700     27.00   0.153172   0.157284   0.161508   0.165844  0.170297     55.89    58.93 
Royal Bank Of Canada     78014RNV8 06/29/23 06/29/33    100.000    VARIES     5.3200     26.81   0.145333   0.143273   0.141158   0.139642  0.140066     51.94    50.54 
Royal Bank Of Canada     78014RNQ9 06/28/23 06/28/28    100.000    VARIES     6.2400      1.96   0.010692   0.010658   0.010624   0.010611  0.010556      3.84     3.82 
Royal Bank of Canada     78016FG40 03/31/22 04/01/27    100.000     0.000     3.4090     61.08   0.099630   0.101328   0.103055   0.104812  0.106598     36.48    37.73 
Royal Bank of Canada     78016HN48 01/12/23 02/08/24    100.000     0.000     5.4570     53.69   0.156333                                                 5.78          
Royal Bank of Canada     78010UVX2 06/30/14 06/30/29    100.000    VARIES     3.5597    330.02   0.097327   0.097456   0.097587   0.097721  0.097857     35.06    35.16 
Royal Bank of Canada     78014RDL1 04/30/21 04/30/41    100.000    VARIES     2.5777     66.96   0.067152   0.066228   0.066355   0.066483  0.066613     23.96    23.93 
Royal Bank of Canada     78016NMR5 07/31/23 07/31/28    100.000     0.000     5.3900     22.61   0.149722   0.153757   0.157901   0.162156  0.166527     55.86    58.91 
Royal Bank of Canada     78016NMM6 08/03/23 08/05/25    100.000     0.000     5.5900     22.99   0.155326   0.159667   0.164130   0.168717               57.98    35.95 
Royal Bank of Canada     78014RDG2 03/15/21 03/15/41    100.000    VARIES     2.5737     69.12   0.067833   0.067916   0.068001   0.068086  0.068173     24.45    24.51 
Royal Bank of Canada     78016NML8 08/03/23 09/05/24    100.000     0.000     5.9400     24.52   0.165871   0.170798                                     41.36          
Royal Bank of Canada     78016HL24 01/31/23 07/30/26    100.000     0.000     4.9454     45.98   0.140769   0.144250   0.147817   0.151472  0.155217     52.37    54.99 
Royal Bank of Canada     78010UDU8 02/28/14 02/28/34    100.000    VARIES     4.0700    363.75   0.102670   0.101903   0.103955   0.102624  0.104702     37.59    37.79 
Royal Bank of Canada     78016NMS3 08/03/23 08/03/28    100.000     0.000     5.3400     21.95   0.148333   0.152294   0.156360   0.160535  0.164821     55.30    58.29 
Royal Bank of Canada     78015B260 12/30/22 12/29/28    100.000     0.000     5.1587     52.41   0.150764   0.154652   0.158642   0.162733  0.166931     54.99    57.86 
Royal Bank of Canada     78016FHT4 04/29/22 04/29/27    100.000     0.000     3.8373     65.67   0.112847   0.115012   0.117219   0.119468  0.121760     41.29    42.88 
Royal Bank of Canada     78008TLZ5 08/18/11 08/18/31    100.000    VARIES     4.0300    483.81   0.109636   0.109760   0.109886   0.110014  0.110146     39.52    39.62 
Royal Bank of Canada     78010UWR4 11/28/14 11/28/34    100.000    VARIES     3.3500    291.07   0.089587   0.089719   0.089853   0.089989  0.090127     32.28    32.38 
Royal Bank of Canada     78010UWU7 12/23/14 12/23/24    100.000    VARIES     2.8500    255.45   0.079053   0.079110                                     27.84          
Royal Bank of Canada     78010UWN3 09/29/14 09/29/34    100.000    VARIES     3.6300    321.81   0.097228   0.097363   0.097500   0.097640  0.097783     35.05    35.15 
Royal Bank of Canada     78016FXU3 11/03/22 11/05/24    100.000     0.000     5.5183     65.34   0.161911   0.166379                                     50.03          
Royal Bank of Canada     78016NPC5 08/23/23 02/21/25    100.000     0.000     6.3200     22.47   0.175556   0.181041   0.186762                          65.64     9.34 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Royal Bank of Canada     78014RRB8 10/18/23 10/18/28    100.000    VARIES     5.9960     12.10   0.165094   0.162543   0.160724   0.161306  0.161907     58.60    58.05 
Royal Bank of Canada     78016HYV6 04/28/23 04/30/26    100.000     0.000     4.8027     32.62   0.136648   0.139930   0.143290   0.146731  0.150254     50.19    52.63 
Royal Bank of Canada     78016HYW4 04/28/23 04/30/26    100.000     0.000     4.8027     32.62   0.136648   0.139930   0.143290   0.146731  0.150254     50.19    52.63 
Royal Bank of Canada     78014RQZ6 10/20/23 10/20/26    100.000    VARIES     6.4400      0.85   0.012619   0.012522   0.012006   0.012396  0.012798      4.51     4.45 
Royal Bank of Canada     78016FC69 01/31/22 01/29/27    100.000     0.000     2.1539     41.99   0.061780   0.062446   0.063118   0.063798  0.064485     22.56    23.05 
Royal Bank of Canada     78016NZK6 09/29/23 03/31/25    100.000     0.000     5.9526     15.21   0.165350   0.170299   0.175367                          61.33    15.61 
Royal Bank of Canada     78016H6T2 12/05/22 12/04/24    100.000     0.000     5.1726     56.33   0.151190   0.155101                                     51.05          
Royal Bank of Canada     78016H6R6 12/05/22 01/04/24    100.000     0.000     5.6419     61.53   0.161873                                                 0.49          
Royal Bank of Canada     78016FAH7 12/28/21 12/28/26    100.000     0.000     1.7360     35.32   0.049918   0.050352   0.050789   0.051230  0.051674     18.05    18.37 
Royal Bank of Canada     78014RPZ7 09/15/23 09/15/30    100.000    VARIES     6.5800      1.10   0.010391   0.010369   0.013479   0.010325  0.010278      3.73     3.72 
Royal Bank of Canada     78016NHY6 07/25/23 01/24/25    100.000     0.000     5.8000     25.13   0.161111   0.165757   0.170564                          60.32     3.92 
Royal Bank of Canada     78014RQU7 10/17/23 10/17/26    100.000    VARIES     6.5000      0.48   0.007172   0.007413   0.007108   0.007341  0.007581      2.66     2.64 
Royal Bank of Canada     78014RQR4 09/29/23 09/29/28    100.000    VARIES     6.3300      0.68   0.007404   0.007382   0.007358   0.007334  0.007310      2.66     2.64 
Royal Bank of Canada     78016NZU4 10/04/23 10/02/25    100.000     0.000     5.9062     14.27   0.164061   0.168852   0.173839   0.178972               60.79    48.03 
Royal Bank of Canada     78016NZT7 10/04/23 11/01/24    100.000     0.000     5.9755     14.49   0.166730   0.171711                                     50.92          
Royal Bank of Canada     78013XYA0 02/28/19 02/28/25    100.000     0.000     3.2010    166.23   0.102575   0.104217   0.105885                          37.63     6.04 
Royal Bank of Canada     78016H6X3 11/29/22 11/28/25    100.000     0.000     5.4830     60.73   0.160747   0.165154   0.169682   0.174334               58.96    56.32 
Royal Bank of Canada     78016NZL4 10/04/23 04/03/25    100.000     0.000     5.9415     14.36   0.165042   0.169917   0.174965                          61.17    16.10 
Royal Bank of Canada     78016FDV3 02/25/22 02/25/27    100.000     0.000     2.4504     46.10   0.070599   0.071464   0.072340   0.073226  0.074123     25.79    26.43 
Royal Bank of Canada     78014RTE0 11/27/23 11/27/28    100.000    VARIES     6.5100      0.50   0.014611   0.146111   0.014556   0.014500  0.014444      5.26     5.22 
Royal Bank of Canada     78016F3P7 11/26/21 11/27/26    100.000     0.000     1.7899     38.08   0.051525   0.051987   0.052452   0.052921  0.053395     18.66    19.00 
Royal Bank of Canada     78016FUQ5 09/21/22 09/18/24    100.000     0.000     4.6149     60.10   0.134125   0.137220                                     35.03          
Royal Bank of Canada     78016HKN9 02/03/23 02/05/25    100.000     0.000     4.9079     45.22   0.139714   0.143143   0.146655                          51.93     4.99 
Royal Bank of Canada     78016HKL3 02/03/23 03/05/24    100.000     0.000     5.2728     48.69   0.151033                                                 9.67          
Royal Bank of Canada     78016NM61 11/03/23 02/05/25    100.000     0.000     5.9722      9.62   0.165894   0.168426   0.173456                          61.28     5.90 
Royal Bank of Canada     78016NLS4 08/03/23 02/05/25    100.000     0.000     5.7800     23.77   0.160607   0.165249   0.170024                          60.03     5.78 
Royal Bank of Canada     78016NLT2 07/31/23 01/30/25    100.000     0.000     5.8400     24.50   0.162222   0.166959   0.171834                          60.70     4.98 
Royal Bank of Canada     78016FTS3 10/05/22 10/03/24    100.000     0.000     5.1064     64.55   0.149139   0.152947                                     41.25          
Royal Bank of Canada     78014RBV1 12/27/19 12/27/34    100.000    VARIES     2.5623    100.78   0.069365   0.069437   0.069510   0.069583  0.069658     24.99    25.04 
Royal Bank of Canada     78014RBT6 11/27/19 11/27/34    100.000    VARIES     2.3582     94.74   0.063900   0.063964   0.064029   0.064095  0.064162     23.02    23.07 
Royal Bank of Canada     78016NKU0 07/26/23 01/25/29    100.000     0.000     5.3500     23.03   0.148611   0.152564   0.156645   0.160836  0.165138     55.46    58.47 
Royal Bank of Canada     78016NKV8 07/26/23 01/26/28    100.000     0.000     5.3400     22.99   0.148333   0.152294   0.156360   0.160535  0.164821     55.36    58.35 
Royal Bank of Canada     78016NFC6 06/30/23 01/02/25    100.000     0.000     5.7900     29.12   0.160885   0.165543   0.170335                          60.45     0.17 
Royal Bank of Canada     78016NFD4 07/06/23 01/03/25    100.000     0.000     5.8900     28.63   0.163611   0.168349   0.173307                          61.48     0.35 
Royal Bank of Canada     78016HUP3 03/29/23 03/29/28    100.000     0.000     4.8600     37.02   0.138281   0.141641   0.145083   0.148608  0.152219     51.01    53.52 
Royal Bank of Canada     78016HUQ1 03/29/23 03/30/27    100.000     0.000     4.8300     36.79   0.137425   0.140744   0.144143   0.147624  0.151189     50.68    53.16 
Royal Bank of Canada     78016HV23 04/06/23 04/08/24    100.000     0.000     5.4100     40.17   0.154389                                                14.98          
Royal Bank of Canada     78016NEU7 06/30/23 06/30/28    100.000     0.000     5.3200     26.75   0.151709   0.155744   0.159887   0.164140  0.168506     55.35    58.33 
Royal Bank of Canada     78014RNM8 06/09/23 06/09/26    100.000     6.500     5.9000      2.72   0.013341   0.012837   0.013219   0.013612  0.014016      4.70     4.85 
Royal Bank of Canada     78016HVC1 03/17/23 09/19/24    100.000     0.000     5.1400     40.93   0.146489   0.150254                                     38.47          
Royal Bank of Canada     78016HEA4 12/07/22 12/04/26    100.000     0.000     4.9771     53.88   0.145161   0.148773   0.152475   0.156270  0.160159     53.11    55.78 
Royal Bank of Canada     78016N5G8 12/05/23 01/03/25    100.000     0.000     5.6100      4.05   0.155833   0.156513   0.160903                          57.12     0.32 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Royal Bank of Canada     78016HUZ1 03/15/23 09/13/24    100.000     0.000     5.3308     42.77   0.151981   0.156032                                     39.03          
Royal Bank of Canada     78016NFG7 07/07/23 07/06/28    100.000     0.000     5.5000     26.58   0.152778   0.156956   0.161272   0.165707  0.170264     57.24    60.43 
Royal Bank of Canada     78016HE48 12/29/22 06/26/26    100.000     0.000     5.1520     52.50   0.150516   0.154393   0.158371   0.162450  0.166635     54.92    57.79 
Royal Bank of Canada     78016NFF9 07/06/23 07/06/28    100.000     0.000     5.5000     26.74   0.152778   0.156979   0.161296   0.165732  0.170289     57.25    60.44 
Royal Bank of Canada     78016HTP5 03/20/23 03/19/26    100.000     0.000     5.1180     40.32   0.145785   0.149515   0.153341   0.157265  0.161290     53.92    56.72 
Royal Bank of Canada     78016HTR1 03/31/23 04/01/27    100.000     0.000     5.0459     38.30   0.143720   0.147346   0.151063   0.154874  0.158782     53.05    55.76 
Royal Bank of Canada     78016HTQ3 03/20/23 03/19/26    100.000     0.000     5.1180     40.32   0.145785   0.149515   0.153341   0.157265  0.161290     53.92    56.72 
Royal Bank of Canada     78016HTN0 04/05/23 04/03/25    100.000     0.000     5.1600     38.45   0.146990   0.150783   0.154673                          54.28    14.23 
Royal Bank of Canada     78016NVA2 08/22/23 09/20/24    100.000     0.000     6.0100     21.61   0.167725   0.172765                                     44.35          
Royal Bank of Canada     78014RLW8 03/28/23 03/28/25    100.000    VARIES     5.2200      2.03   0.007506   0.007703   0.007905                           2.77     0.70 
Royal Bank of Canada     78014RLS7 03/17/23 03/17/25    100.000    VARIES     5.0000      2.80   0.009862   0.010111   0.010365                           3.65     0.80 
Royal Bank of Canada     78016NUZ8 08/22/23 09/02/28    100.000     0.000     5.6094     20.13   0.156059   0.160436   0.164936   0.169562  0.174318     58.03    61.33 
Royal Bank of Canada     78014RLR9 03/17/23 03/17/33    100.000    VARIES     5.8620     45.97   0.160632   0.158813   0.156941   0.155593  0.155961     57.12    56.11 
Royal Bank of Canada     78016NDR5 07/06/23 01/05/27    100.000     0.000     5.5000     26.74   0.152778   0.156956   0.161272   0.165707  0.170264     57.25    60.44 
Royal Bank of Canada     78014RMK3 05/05/23 05/05/28    100.000    VARIES     5.9200      5.60   0.023823   0.023790   0.023755   0.023722  0.023667      8.57     8.54 
Royal Bank of Canada     78012KDH7 06/29/15 06/29/35    100.000    VARIES     3.4100    271.73   0.089104   0.089306   0.089511   0.089719  0.089931     32.11    32.26 
Royal Bank of Canada     78016NVE4 09/20/23 03/20/25    100.000     0.000     5.9146     16.59   0.164294   0.169153   0.174155                          61.02    13.76 
Royal Bank of Canada     78016HX88 04/28/23 04/29/27    100.000     0.000     4.7000     31.92   0.133641   0.136781   0.139996   0.143285  0.146653     49.07    51.40 
Royal Bank of Canada     78016HWR7 05/03/23 05/01/25    100.000     0.000     4.9107     32.66   0.139720   0.143151   0.146666                          51.33    17.60 
Royal Bank of Canada     78016NHB6 06/21/23 06/21/28    100.000     0.000     5.2600     27.80   0.149954   0.153898   0.157945   0.162099  0.166362     54.77    57.69 
Royal Bank of Canada     78015QFM8 08/10/23 08/21/24    100.000     6.100     5.8300     22.86   0.152800   0.080957                                     38.14          
Royal Bank of Canada     78016HWJ5 05/02/23 11/02/26    100.000     0.000     4.8574     32.44   0.138205   0.141561   0.144999   0.148521  0.152128     50.76    53.25 
Royal Bank of Canada     78016HFG0 01/04/23 01/03/25    100.000     0.000     5.2018     52.25   0.148232   0.152087   0.156043                          55.45     0.31 
Royal Bank of Canada     78016NXY8 09/29/23 09/29/28    100.000     0.000     5.7430     14.68   0.159528   0.164109   0.168821   0.173669  0.178656     59.11    62.55 
Royal Bank of Canada     78016NXZ5 10/04/23 10/04/28    100.000     0.000     5.7909     13.99   0.160858   0.165516   0.170308   0.175240  0.180314     59.57    63.07 
Royal Bank of Canada     78016HXD7 04/28/23 04/28/28    100.000     0.000     4.4400     30.14   0.126071   0.128870   0.131731   0.134655  0.137645     46.25    48.32 
Royal Bank of Canada     78016HXB1 05/03/23 05/01/25    100.000     0.000     4.9107     32.66   0.139720   0.143151   0.146666                          51.33    17.60 
Royal Bank of Canada     78016HWZ9 04/05/23 04/08/24    100.000     0.000     5.3968     40.23   0.154026                                                14.94          
Royal Bank of Canada     78016NXF9 09/05/23 12/04/24    100.000     0.000     5.8694     18.98   0.165405   0.170259                                     55.95          
Royal Bank of Canada     78016NGB7 07/06/23 07/03/25    100.000     0.000     5.7500     27.95   0.159722   0.164238   0.168960   0.173817               59.96    31.63 
Royal Bank of Canada     78015KDC5 11/29/19 12/01/25    100.000     0.000     2.1621     91.92   0.065461   0.066168   0.066884   0.067607               23.74    22.20 
Royal Bank of Canada     78016NXC6 09/07/23 09/05/25    100.000     0.000     5.6630     17.93   0.157306   0.161710   0.166289   0.170997               58.46    41.42 
Royal Bank of Canada     78016NGA9 07/06/23 08/02/24    100.000     0.000     6.0000     29.27   0.167389   0.172411                                     36.22          
Royal Bank of Canada     78016HVH0 03/31/23 03/31/26    100.000     0.000     4.9955     37.92   0.142230   0.145782   0.149424   0.153156  0.156981     52.50    55.15 
Royal Bank of Canada     78016NFW2 06/28/23 12/29/28    100.000     0.000     5.3600     27.25   0.152901   0.156999   0.161207   0.165527  0.169963     55.80    58.83 
Royal Bank of Canada     78016NFX0 06/28/23 12/29/27    100.000     0.000     5.3400     27.15   0.152316   0.156383   0.160558   0.164845  0.169246     55.58    58.59 
Royal Bank of Canada     78016NWW3 08/31/23 09/03/24    100.000     0.000     6.0551     20.36   0.168282   0.173377                                     41.64          
Royal Bank of Canada     78016HVG2 03/31/23 04/30/26    100.000     0.000     4.9956     37.96   0.142825   0.146392   0.150049   0.153797  0.157638     52.50    55.16 
Royal Bank of Canada     78016HFE5 01/04/23 02/01/24    100.000     0.000     5.5035     55.42   0.157730                                                 4.73          
Royal Bank of Canada     78016NXU6 10/04/23 01/03/25    100.000     0.000     5.6136     13.57   0.155933   0.158097   0.162535                          57.70     0.33 
Royal Bank of Canada     78016NXT9 09/29/23 10/01/25    100.000     0.000     5.8918     15.06   0.163715   0.168538   0.173502   0.178614               60.69    47.77 
Royal Bank of Canada     78016NXS1 10/04/23 07/02/27    100.000     0.000     5.7538     13.91   0.159828   0.162076   0.166738   0.171535  0.176470     59.18    62.63 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Royal Bank of Canada     78013XWE4 01/31/19 02/01/24    100.000     0.000     3.6269    193.45   0.118445                                                 3.55          
Royal Bank of Canada     78016NXR3 09/29/23 07/01/27    100.000     0.000     5.7212     14.62   0.161246   0.165858   0.170603   0.175483  0.180503     58.88    62.30 
Royal Bank of Canada     78015QEX5 06/06/23 06/18/24    100.000     5.900     5.6200     32.13   0.146703   0.077846                                     26.87          
Royal Bank of Canada     78016N6H5 11/28/23 05/28/25    100.000     0.000     5.7400      5.26   0.159444   0.164021   0.168728                          58.53    24.80 
Royal Bank of Canada     78016NAY3 05/31/23 05/31/28    100.000     0.000     5.2000     30.59   0.148200   0.152053   0.156007   0.160063  0.164224     54.29    57.15 
Royal Bank of Canada     78016FKA1 05/27/22 05/27/27    100.000     0.000     4.0397     65.88   0.119152   0.121559   0.124014   0.126519  0.129074     43.49    45.27 
Royal Bank of Canada     78016NRU3 08/31/23 06/03/27    100.000     0.000     5.6151     18.94   0.158238   0.162680   0.167247   0.171943  0.176770     58.02    61.32 
Royal Bank of Canada     78016NRV1 09/06/23 06/03/27    100.000     0.000     5.7524     18.44   0.162010   0.166670   0.171464   0.176395  0.181469     59.43    62.89 
Royal Bank of Canada     78016NB55 05/10/23 05/08/25    100.000     0.000     4.7300     30.51   0.134462   0.137642   0.140897                          49.32    17.89 
Royal Bank of Canada     78016NAR8 06/05/23 07/03/24    100.000     0.000     5.6800     32.63   0.158475   0.162975                                     29.65          
Royal Bank of Canada     78016NAM9 05/24/23 11/24/28    100.000     0.000     5.1000     30.88   0.145279   0.148984   0.152783   0.156679  0.160674     53.24    56.00 
Royal Bank of Canada     78015B435 10/06/22 09/28/28    100.000     0.000     5.5234     69.79   0.161826   0.166295   0.170887   0.175607  0.180457     59.90    63.26 
Royal Bank of Canada     78016NAN7 05/24/23 11/24/27    100.000     0.000     4.9300     29.84   0.140320   0.143779   0.147323   0.150955  0.154676     51.40    53.96 
Royal Bank of Canada     78016NSJ7 09/06/23 09/06/28    100.000     0.000     5.4487     17.41   0.151353   0.155476   0.159712   0.164063  0.168533     56.19    59.29 
Royal Bank of Canada     78016NSH1 08/31/23 08/31/28    100.000     0.000     5.5570     18.68   0.154361   0.158626   0.163058   0.167538  0.172245     57.39    60.63 
Royal Bank of Canada     78016HR36 03/02/23 03/04/25    100.000     0.000     5.5725     46.80   0.159154   0.163588   0.168146                          59.15    10.59 
Royal Bank of Canada     78016NBD8 05/11/23 06/13/24    100.000     0.000     5.2700     33.87   0.150950                                                24.45          
Royal Bank of Canada     78016NSB4 08/31/23 09/03/24    100.000     0.000     6.0551     20.36   0.168282   0.173377                                     41.64          
Royal Bank of Canada     78016HQP8 02/23/23 02/22/27    100.000     0.000     5.3734     46.49   0.153249   0.157366   0.161594   0.165936  0.170394     56.99    60.09 
Royal Bank of Canada     78016HR28 03/02/23 04/02/24    100.000     0.000     5.7359     48.25   0.164684                                                14.99          
Royal Bank of Canada     78016HQN3 02/23/23 02/23/28    100.000     0.000     5.2888     45.75   0.150796   0.154784   0.158877   0.163078  0.167391     56.04    59.04 
Royal Bank of Canada     78016NA23 09/29/23 09/29/28    100.000     0.000     5.7430     14.68   0.159528   0.164109   0.168821   0.173669  0.178656     59.11    62.55 
Royal Bank of Canada     78016NA31 09/29/23 10/01/24    100.000     0.000     6.0118     15.37   0.167050   0.172072                                     46.01          
Royal Bank of Canada     78016NAA5 05/31/23 11/29/24    100.000     0.000     5.6500     33.26   0.161353   0.165912                                     53.74          
Royal Bank of Canada     78016N2Z9 11/30/23 12/03/25    100.000     0.000     5.6900      4.90   0.158131   0.162629   0.167256   0.172015               57.99    56.39 
Royal Bank of Canada     78016ND79 09/26/23 12/27/24    100.000     0.000     6.2198     16.42   0.175489   0.180946                                     63.46          
Royal Bank of Canada     78016N3M7 11/30/23 05/30/25    100.000     0.000     5.6300      4.85   0.156389   0.160791   0.165318                          57.37    24.63 
Royal Bank of Canada     78014RLC2 02/24/23 02/24/33    100.000    VARIES     5.2450     44.31   0.142929   0.140653   0.138316   0.136641  0.137112     50.46    49.30 
Royal Bank of Canada     78016NDH7 06/23/23 12/26/24    100.000     0.000     5.7400     30.01   0.164099   0.168809                                     59.10          
Royal Bank of Canada     78016N3D7 12/05/23 09/02/27    100.000     0.000     5.3100      3.83   0.147500   0.149393   0.153359   0.157431  0.161611     54.14    56.92 
Royal Bank of Canada     78016N3B1 11/30/23 11/30/28    100.000     0.000     5.5800      4.81   0.155000   0.159325   0.163770   0.168339  0.173035     56.85    60.07 
Royal Bank of Canada     78016NDA2 05/31/23 05/28/25    100.000     0.000     5.3000     31.19   0.151080   0.155084   0.159194                          55.38    23.40 
Royal Bank of Canada     78016HSP6 02/23/23 03/21/24    100.000     0.000     5.5994     48.53   0.160590                                                12.85          
Royal Bank of Canada     78016HSQ4 02/23/23 03/21/24    100.000     0.000     5.5994     48.53   0.160590                                                12.85          
Royal Bank of Canada     78016NSU2 08/31/23 09/03/25    100.000     0.000     5.8616     19.71   0.162902   0.167676   0.172590   0.177649               60.65    42.68 
Royal Bank of Canada     78016HRD4 02/28/23 02/26/27    100.000     0.000     5.2962     45.06   0.150969   0.154967   0.159071   0.163283  0.167607     56.08    59.09 
Royal Bank of Canada     78016NSV0 09/06/23 09/04/25    100.000     0.000     5.6561     18.07   0.157114   0.161508   0.166075   0.170772               58.40    41.20 
Royal Bank of Canada     78016NSR9 09/06/23 09/04/25    100.000     0.000     5.6559     18.07   0.157108   0.161502   0.166069   0.170765               58.40    41.20 
Royal Bank of Canada     78016NSQ1 09/06/23 10/03/24    100.000     0.000     5.9617     19.11   0.166343   0.171302                                     46.14          
Royal Bank of Canada     78016NBMB 05/31/23 05/28/27    100.000     0.000     5.2300     30.78   0.149035   0.152932   0.156931   0.161035  0.165246     54.61    57.51 
Royal Bank of Canada     78016NCK1 05/24/23 11/22/24    100.000     0.000     5.3200     32.22   0.151665   0.155699                                     49.41          
Royal Bank of Canada     78016HRZ5 03/14/23 03/15/24    100.000     0.000     5.7068     45.98   0.163071                                                12.07          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Royal Bank of Canada     78016NCJ4 05/26/23 05/29/26    100.000     0.000     5.1100     30.65   0.145633   0.149354   0.153170   0.157084  0.161097     53.34    56.10 
Royal Bank of Cananda    78016NQ42 11/03/23 11/05/25    100.000     0.000     6.0060      9.68   0.166889   0.171901   0.177063   0.182380               61.55    54.78 
Royal Bank of Cananda    78016NQ34 11/03/23 12/04/24    100.000     0.000     5.9654      9.63   0.166557   0.171525                                     56.36          
Royal Bank of Cananda    78016NP68 11/03/23 08/04/27    100.000     0.000     6.0023      9.67   0.166731   0.169260   0.174340   0.179572  0.184961     61.60    65.27 
Royal Bank of Cananda    78016NP76 11/03/23 05/05/25    100.000     0.000     5.9835      9.64   0.166264   0.171238   0.176361                          61.32    21.87 
Royal Bank of Cananda    78016NP35 10/31/23 07/29/27    100.000     0.000     6.0163     10.19   0.167119   0.169605   0.174707   0.179963  0.185376     61.76    65.46 
Royal Bank of Cananda    78016NP84 10/31/23 05/01/25    100.000     0.000     5.9890     10.15   0.166361   0.171370   0.176502                          61.40    21.18 
Royal Bank of Cananda    78016NM87 10/31/23 10/31/28    100.000     0.000     6.1424     10.41   0.170622   0.175862   0.181263   0.186830  0.192568     63.02    66.95 
Royal Bank of Cananda    78016NM95 11/03/23 11/03/28    100.000     0.000     6.1320      9.88   0.170333   0.175556   0.180938   0.186486  0.192204     62.88    66.79 
Royal Bank of Cananda    78016NM53 10/31/23 10/30/25    100.000     0.000     6.0675     10.28   0.168542   0.173655   0.178923   0.184351               62.23    54.48 
Royal Bank of Cananda    78016NW60 10/25/23 01/24/25    100.000     0.000     5.9323     10.88   0.164786   0.167203   0.172162                          60.92     3.96 
Royal Bank of Cananda    78016NX28 11/01/23 05/01/25    100.000     0.000     5.9616      9.94   0.165600   0.170536   0.175620                          61.11    21.07 
Royal Bank of Cananda    78016NZ42 11/03/23 02/05/25    100.000     0.000     5.9722      9.62   0.165894   0.168426   0.173456                          61.28     5.90 
Royal Bank of Cananda    78016NS81 10/16/23 10/16/28    100.000     0.000     5.9064     12.30   0.164067   0.168912   0.173900   0.179036  0.184323     60.67    64.31 
Royal Bank of Cananda    78016N2X4 11/03/23 02/05/25    100.000     0.000     5.9734      9.62   0.165928   0.168461   0.173492                          61.29     5.90 
Royal Bank of Cananda    78016N2R7 11/03/23 02/05/25    100.000     0.000     5.9734      9.62   0.165928   0.168461   0.173492                          61.29     5.90 
Royal Bank of Scotland   78009KQW5 02/25/11 02/25/31    100.000    VARIES     5.4494    665.65   0.146160   0.146446   0.146740   0.147042  0.147352     52.74    52.96 
Royal Bank of Scotland   78009PBK6 08/26/11 08/26/31    100.000    VARIES     4.7435    563.63   0.140379   0.141448   0.142543   0.142855  0.143175     51.00    51.45 
Royal Bank of Scotland   78009KNQ1 11/16/10 11/16/30    100.000    VARIES     5.5209    700.26   0.149934   0.150137   0.150347   0.150562  0.150783     54.03    54.18 
Royal Bank of Scotland   78009KPH9 12/13/10 12/13/28    100.000    VARIES     5.3208    657.91   0.143203   0.143610   0.144028   0.144458  0.144898     51.64    51.94 
Royal Bank of Scotland   78009KPR7 12/30/10 12/30/30    100.000    VARIES     5.7104    712.83   0.154402   0.154651   0.154908   0.155172  0.155443     55.63    55.81 
SABINE TEX INDPT SCH DIS 785700EG6 10/27/20 02/15/29     87.035     0.000     1.6799     47.53   0.042563   0.042920   0.043281   0.043644  0.044011     15.48    15.75 
SABINE TEX INDPT SCH DIS 785700EF8 10/27/20 02/15/28     89.146     0.000     1.5800     45.73   0.040888   0.041211   0.041537   0.041865  0.042196     14.87    15.10 
SABINE TEX INDPT SCH DIS 785700EH4 10/27/20 02/15/30     84.805     0.000     1.7800     49.14   0.044064   0.044457   0.044852   0.045251  0.045654     16.04    16.33 
SAM RAYBURN TEX INDPT SC 795868EK0 05/06/21 02/15/24     97.404     0.000     0.9500     24.80   0.026264                                                 1.16          
SAM RAYBURN TEX INDPT SC 795868EM6 05/06/21 02/15/26     93.333     0.000     1.4500     36.48   0.038850   0.039132   0.039416   0.039701  0.039989     14.11    14.32 
SAM RAYBURN TEX INDPT SC 795868EL8 05/06/21 02/15/25     95.047     0.000     1.3500     34.55   0.036752   0.037000   0.037250                          13.34     1.64 
SAM RAYBURN TEX INDPT SC 795868EN4 05/06/21 02/15/27     89.911     0.000     1.8499     45.03   0.048178   0.048624   0.049074   0.049528  0.049986     17.55    17.87 
SAM RAYBURN TEX INDPT SC 795868EP9 05/06/21 02/15/28     87.094     0.000     2.0498     48.44   0.051947   0.052479   0.053017   0.053561  0.054109     18.94    19.33 
SAN ANGELO TEX INDPT SCH 796116SZ5 09/08/20 02/15/26     93.647     0.000     1.2111     38.24   0.032640   0.032838   0.033037   0.033237  0.033438     11.84    11.98 
SAN ELIZARIO TEX INDPT   797547FD3 12/21/21 05/01/28     89.114     0.000     1.8200     33.36   0.046596   0.047020   0.047448   0.047880  0.048316     16.90    17.21 
SAN MARCOS TEX CONS INDP 798781B25 12/18/19 08/01/24     89.978     0.000     2.2990     86.98   0.062417   0.063134                                     13.24          
SAN MARCOS TEX CONS INDP 798781B41 12/18/19 08/01/26     84.619     0.000     2.5388     90.73   0.065382   0.066212   0.067052   0.067903  0.068765     23.94    24.55 
SAN MARCOS TEX CONS INDP 798781B33 12/18/19 08/01/25     87.215     0.000     2.4489     90.05   0.064793   0.065587   0.066390   0.067203               23.71    14.09 
SCHERTZ-CIBOLO-UNVL CITY 806640G28 08/27/20 02/01/37     63.888     0.000     2.7458     61.03   0.052780   0.053504   0.054239   0.054984  0.055739     19.35    19.88 
SCHERTZ-CIBOLO-UNVL CITY 806640G36 08/27/20 02/01/38     61.743     0.000     2.7858     59.87   0.051811   0.052533   0.053265   0.054007  0.054759     19.00    19.53 
SEGUIN TEX INDPT SCH DIS 815853TB2 10/28/20 08/15/26     93.995     0.000     1.0710     32.43   0.028813   0.028967   0.029122   0.029278  0.029435     10.44    10.55 
SEGUIN TEX INDPT SCH DIS 815853TC0 10/28/20 08/15/27     91.934     0.000     1.2410     36.84   0.032808   0.033012   0.033217   0.033423  0.033630     11.90    12.05 
SEGUIN TEX INDPT SCH DIS 815853TD8 10/28/20 08/15/28     88.829     0.000     1.5249     43.91   0.039260   0.039560   0.039861   0.040165  0.040472     14.27    14.49 
SEGUIN TEX INDPT SCH DIS 815853TE6 10/28/20 08/15/29     86.729     0.000     1.6250     45.74   0.040961   0.041294   0.041629   0.041967  0.042308     14.90    15.14 
SG Structured Prods, Inc 83368WKA8 02/21/14 02/21/24    100.000     0.000     3.6893    434.08   0.145032                                                 7.25          
SG Structured Prods, Inc 83368WKB6 02/28/14 02/28/34     91.000    VARIES     4.0373    352.15   0.107856   0.107953   0.110446   0.109351  0.111895     39.81    40.29 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

SG Structured Prods, Inc 83368WLG4 03/31/14 03/31/34     91.000    VARIES     4.4572    363.84   0.112005   0.113227   0.114151   0.115096  0.116062     40.74    41.44 
SG Structured Prods, Inc 83368WLH2 03/31/14 03/31/34    100.000    VARIES     4.4742    393.17   0.110936   0.111348   0.111824   0.112312  0.112810     40.09    40.43 
SG Structured Prods, Inc 78423AP48 04/29/11 04/29/31    100.000    VARIES     4.1591    429.08   0.086278   0.086608   0.088409   0.090248  0.092124     31.25    32.39 
SG Structured Prods, Inc 83368WL58 04/17/15 04/17/25    100.000    VARIES     2.7151    236.35   0.075324   0.075343   0.075380                          27.12     7.99 
SG Structured Prods, Inc 83368WKZ3 03/31/14 03/31/34    100.000    VARIES     4.4731    404.14   0.116924   0.117518   0.118020   0.118532  0.119057     42.30    42.67 
SG Structured Prods, Inc 83368WZJ3 12/31/14 12/31/34    100.000    VARIES     3.0162    268.37   0.086079   0.086346   0.086617   0.086709  0.086802     31.04    31.20 
SG Structured Prods, Inc 83368WHS3 01/31/14 01/31/34    100.000    VARIES     4.0888    383.59   0.112248   0.112970   0.113448   0.113937  0.114435     40.72    41.08 
SG Structured Prods, Inc 78423AL75 03/31/11 03/31/31    100.000    VARIES     4.2878    452.29   0.089022   0.088503   0.090401   0.092339  0.094318     32.08    33.25 
SG Structured Prods, Inc 83368WJB8 01/31/14 01/31/33     91.000    VARIES     4.0761    354.19   0.106514   0.107513   0.108243   0.108988  0.109748     38.79    39.33 
SG Structured Prods, Inc 83368WPM7 06/26/14 06/26/34    100.000    VARIES     3.6333    327.25   0.098376   0.098846   0.099164   0.099489  0.099819     35.50    35.76 
SG Structured Prods, Inc 78423AT93 05/31/11 05/30/31    100.000    VARIES     4.0970    427.44   0.084577   0.083816   0.086951   0.087285  0.090550     30.89    31.91 
SG Structured Prods, Inc 83368WNR8 05/22/14 05/22/34     91.000    VARIES     3.6947    304.16   0.091622   0.092187   0.092647   0.093115  0.093593     33.13    33.47 
SG Structured Prods, Inc 78423AR20 04/29/11 04/30/26    100.000    VARIES     4.1342    470.59   0.108271   0.109457   0.110761   0.112093  0.113453     39.34    40.28 
SG Structured Prods, Inc 78423AF80 02/28/11 02/28/31    100.000    VARIES     4.1578    438.92   0.085665   0.084706   0.087900   0.088265  0.091593     31.45    32.60 
SG Structured Prods, Inc 78423AW99 06/30/11 06/30/26    100.000    VARIES     3.9854    447.63   0.102820   0.102880   0.105922   0.105535  0.108675     37.65    38.59 
SG Structured Prods, Inc 78423AW73 06/30/11 06/30/31    100.000    VARIES     4.0073    402.20   0.082405   0.083093   0.086112   0.086355  0.089494     30.29    31.48 
SG Structured Prods, Inc 78423AW65 06/30/11 06/30/31    100.000    VARIES     4.0040    396.73   0.082988   0.084620   0.086285   0.087984  0.089716     30.17    31.37 
SG Structured Prods, Inc 83368WBT7 02/28/13 02/28/33    100.000    VARIES     3.4646    347.94   0.092874   0.092498   0.094686   0.093798  0.095881     34.15    34.54 
SG Structured Prods, Inc 83368WSX0 08/29/14 08/29/34    100.000    VARIES     3.4025    301.90   0.088827   0.090078   0.089863   0.090610  0.090371     32.87    33.00 
SG Structured Prods, Inc 83368WBX8 03/28/13 03/31/33    100.000    VARIES     2.9028    289.25   0.077639   0.078111   0.078475   0.078844  0.079219     28.11    28.39 
SG Structured Prods, Inc 83368WBD2 01/31/13 01/31/33    100.000    VARIES     3.8966    415.29   0.112645   0.113458   0.113903   0.114357  0.114819     40.89    41.23 
SG Structured Prods, Inc 83368WBG5 01/31/13 01/31/33    100.000    VARIES     3.8943    394.59   0.102161   0.102743   0.103277   0.103821  0.104376     37.05    37.44 
SG Structured Prods, Inc 83368WU58 06/30/15 06/30/35    100.000    VARIES     3.7086    295.85   0.099812   0.100480   0.100994   0.101518  0.102051     36.05    36.45 
SG Structured Prods, Inc 83368WCB5 04/12/13 04/12/33    100.000    VARIES     3.9684    393.36   0.105662   0.106293   0.106794   0.107304  0.107824     38.24    38.62 
SG Structured Prods, Inc 83368WTC5 09/30/14 09/30/29    100.000    VARIES     3.5292    323.44   0.097903   0.097966   0.098030   0.098096  0.098162     35.27    35.31 
SG Structured Prods, Inc 83368WCG4 04/30/13 04/29/33    100.000    VARIES     3.9499    392.95   0.106964   0.107614   0.108079   0.108554  0.109038     38.69    39.05 
SG Structured Prods, Inc 78423A2P6 07/29/11 07/29/31    100.000    VARIES     3.8133    369.14   0.078300   0.079793   0.081314   0.082864  0.084444     28.91    30.03 
SG Structured Prods, Inc 78423AD90 01/31/11 01/31/31    100.000    VARIES     4.1899    429.17   0.086262   0.088069   0.089914   0.091798  0.093721     31.93    33.28 
SG Structured Prods, Inc 78423AU83 05/31/11 05/29/26    100.000    VARIES     4.1202    464.89   0.106721   0.106746   0.109746   0.109265  0.112433     39.16    40.06 
SG Structured Prods, Inc 78423A2E1 07/29/11 07/29/31    100.000    VARIES     3.8227    367.39   0.078435   0.079934   0.081462   0.083019  0.084606     28.97    30.08 
SG Structured Prods, Inc 78423A2D3 07/29/11 07/29/31    100.000    VARIES     3.8136    362.33   0.078303   0.079796   0.081318   0.082868  0.084449     28.92    30.03 
SG Structured Prods, Inc 83369EGU8 03/23/16 03/23/26    100.000    VARIES     1.6326     72.96   0.026737   0.026956   0.027176   0.027397  0.027621      9.71     9.87 
SG Structured Prods, Inc 83368WRU7 08/29/14 08/29/34    100.000    VARIES     3.4030    305.88   0.091422   0.092783   0.092637   0.093387  0.093120     33.86    34.01 
SG Structured Prods, Inc 78423AE99 02/25/11 02/25/26    100.000    VARIES     4.0468    459.00   0.104908   0.106268   0.107757   0.109277  0.110828     38.37    39.45 
SG Structured Prods, Inc 78423A3B6 08/31/11 08/29/31    100.000    VARIES     3.8090    368.17   0.076537   0.078852   0.079914   0.081884  0.082987     28.86    29.91 
SG Structured Prods, Inc 78423EEJ9 10/31/12 10/29/32    100.000    VARIES     2.3463    237.57   0.059997   0.060007   0.060016   0.060025  0.060035     21.60    21.61 
SG Structured Prods, Inc 78423EES9 11/30/12 11/30/32    100.000    VARIES     2.3877    238.22   0.059074   0.058881   0.058686   0.058489  0.058289     21.22    21.08 
SG Structured Prods, Inc 83368WGF2 11/29/13 11/30/33    100.000    VARIES     4.4027    417.77   0.118919   0.119387   0.119866   0.120356  0.120856     42.92    43.27 
SG Structured Prods, Inc 83368WFL0 10/31/13 10/31/33    100.000    VARIES     4.2911    415.22   0.118548   0.119003   0.119469   0.119944  0.120430     42.82    43.15 
SG Structured Prods, Inc 78423EEA8 12/31/12 12/31/32    100.000    VARIES     2.3864    231.72   0.057556   0.057576   0.057597   0.057618  0.057639     20.72    20.74 
SG Structured Prods, Inc 78423AJ45 03/31/11 03/31/26    100.000    VARIES     3.9820    440.55   0.102624   0.104138   0.105681   0.107256  0.108917     37.50    38.62 
SG Structured Prods, Inc 83368WHA2 12/30/13 12/30/32     93.000    VARIES     4.4186    393.77   0.118066   0.118821   0.119593   0.120381  0.121188     42.64    43.20 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

SG Structured Prods, Inc 83368WHD6 12/30/13 12/30/33    100.000    VARIES     4.4457    411.37   0.118041   0.118758   0.119491   0.120053  0.120626     42.63    43.12 
SG Structured Prods, Inc 83368WGM7 11/29/13 11/29/32     90.000    VARIES     4.3778    371.24   0.110325   0.111268   0.112230   0.113214  0.114220     39.95    40.64 
SG Structured Prods, Inc 83368WXN6 11/26/14 11/26/34    100.000    VARIES     3.3123    287.69   0.090413   0.090782   0.091157   0.091402  0.091651     32.64    32.88 
SG Structured Prods, Inc 83368WGR6 11/29/13 11/29/32     90.000    VARIES     4.3778    371.23   0.110323   0.111265   0.112228   0.113212  0.114217     39.95    40.64 
SG Structured Prods, Inc 83368WDR9 07/31/13 07/31/33    100.000    VARIES     4.5906    446.86   0.123924   0.124726   0.125548   0.126388  0.127247     45.00    45.60 
SG Structured Prods, Inc 78423ECF9 08/31/12 08/31/27Y   100.000    VARIES     2.2060    231.36   0.056132   0.055824   0.057059   0.056747  0.058324     20.60    20.92 
SG Structured Prods, Inc 83368WDT5 07/31/13 07/31/33    100.000    VARIES     4.5832    451.75   0.128572   0.129372   0.130189   0.131026  0.131881     46.67    47.27 
SG Structured Prods, Inc 78423ECE2 08/31/12 08/31/32    100.000    VARIES     2.2189    218.25   0.052518   0.051878   0.052667   0.051738  0.052523     19.12    19.03 
SG Structured Prods, Inc 83368WDV0 07/31/13 07/31/33    100.000    VARIES     4.5941    430.08   0.117316   0.118370   0.119448   0.120551  0.121679     42.75    43.54 
SG Structured Prods, Inc 83368WDW8 08/30/13 08/31/33    100.000    VARIES     4.6389    445.65   0.124508   0.124142   0.127226   0.125904  0.128774     45.84    46.38 
SG Structured Prods, Inc 83368WDX6 08/30/13 08/31/33    100.000    VARIES     4.6414    460.39   0.129873   0.129328   0.132373   0.130719  0.133409     47.74    48.14 
SG Structured Prods, Inc 83368WUJ8 09/30/14 09/30/34    100.000    VARIES     3.5842    315.33   0.096802   0.097120   0.097442   0.097771  0.098105     34.96    35.20 
SG Structured Prods, Inc 83368WUL3 09/30/14 09/30/34    100.000    VARIES     3.5616    314.13   0.096635   0.097003   0.097377   0.097657  0.097942     34.92    35.16 
SG Structured Prods, Inc 83368WDM0 06/28/13 06/28/33    100.000    VARIES     4.7593    468.62   0.131490   0.132411   0.133028   0.133659  0.134305     47.51    48.01 
SG Structured Prods, Inc 83367TAN9 09/28/12 09/28/27    100.000    VARIES     4.2451    443.93   0.111512   0.112307   0.113120   0.113949  0.114797     40.44    41.03 
SG Structured Prods, Inc 78423EDJ0 09/28/12 09/30/32    100.000    VARIES     2.1721    212.14   0.052248   0.052155   0.052060   0.051965  0.051869     18.78    18.71 
SG Structured Prods, Inc 83368WFA4 10/31/13 10/31/33    100.000    VARIES     4.2945    403.95   0.113704   0.114351   0.115012   0.115687  0.116376     41.13    41.61 
SG Structured Prods, Inc 78423EDN1 10/31/12 10/29/27    100.000    VARIES     2.3465    240.29   0.062294   0.062683   0.063077   0.063476  0.063879     22.54    22.83 
SG Structured Prods, Inc 83368WVM0 10/31/14 10/31/34    100.000    VARIES     3.4502    302.97   0.095010   0.095315   0.095624   0.095940  0.096260     34.30    34.52 
SG Structured Prods, Inc 83368WEL1 09/30/13 09/30/33    100.000    VARIES     4.5116    438.09   0.124879   0.125642   0.126422   0.127220  0.128035     45.23    45.80 
SG Structured Products   78423AYJ5 08/31/10 08/29/25    100.000     0.000     3.6972    420.32   0.093368   0.096139   0.097382   0.099727               35.18    23.80 
SOCIETE GENERALE         83370BXX6 04/26/24 04/28/27    100.000    VARIES     5.3800                        0.148033   0.145867   0.145183  0.146083     36.17    52.35 
SOCIETE GENERALE         83370FR48 01/16/24 01/14/27    100.000     0.000     4.8200                        0.133889   0.137080   0.140383  0.143767     46.72    51.06 
SOCIETE GENERALE         83369NP38 07/14/22 07/14/37    100.000    VARIES     4.8000     66.70   0.120750   0.114950   0.110600   0.111000  0.111400     40.72    40.01 
SOCIETE GENERALE         83371H6N4 06/20/24 06/20/25    100.000     0.000     5.3400                        0.148333   0.152294                          28.38    25.74 
SOCIETE GENERALE         83370FU36 02/13/24 02/11/27    100.000     0.000     5.1700                        0.143611   0.147282   0.151089  0.154995     46.18    54.79 
SOCIETE GENERALE         83369NNM8 06/23/22 06/20/25    100.000     0.000     4.3300     67.40   0.128215   0.130991   0.133827                          46.72    22.62 
SOCIETE GENERALE         83370BZS5 02/27/24 02/28/34    100.000     5.000     5.2300                        0.145800   0.148200   0.150650  0.153100     44.58    54.39 
SOCIETE GENERALE         83371HDN6 08/14/24 08/12/27    100.000    VARIES     4.3950                                   0.121283   0.120267  0.120283     16.64    43.31 
SOCIETE GENERALE         83370BPR8 01/24/24 01/27/26    100.000    VARIES     4.8800                        0.135600   0.138400   0.141800  0.155300     46.06    51.67 
SOCIETE GENERALE         83370BLJO 12/20/23 03/20/25    100.000     0.000     5.1200      1.56   0.142222   0.144043   0.147730                          52.08    11.67 
SOCIETE GENERALE         83370BLK7 12/20/23 03/20/25    100.000     0.000     5.1200      1.56   0.142222   0.144043   0.147730                          52.08    11.67 
SOCIETE GENERALE         83370BN41 12/29/23 12/29/38    100.000    VARIES     4.9300      0.27   0.134900   0.127250   0.121550   0.122100  0.122500     47.16    43.87 
SOCIETE GENERALE         83370BSU8 02/29/24 03/03/25    100.000     0.000     5.3400             0.148333   0.148421   0.152384                          45.29     9.45 
SOCIETE GENERALE         83369NUQ1 06/21/22 12/18/24    100.000     0.000     4.8300     75.66   0.144067   0.147546                                     50.62          
SOCIETE GENERALE         83370BRD7 02/12/24 02/12/27    100.000     0.000     5.0200                        0.139444   0.142944   0.146532  0.150210     44.97    53.12 
SOCIETE GENERALLE        83369NUJ7 04/26/22 04/24/37     97.000    VARIES     3.9100     61.21   0.095850   0.093800   0.094450   0.095050  0.095600     33.99    34.19 
SOCORRO TEX INDPT SCH DI 833715HG3 06/11/20 08/15/27     86.381     0.000     2.0499     64.99   0.052482   0.053020   0.053563   0.054112  0.054667     19.14    19.53 
SOCORRO TEX INDPT SCH DI 833715HD0 06/11/20 08/15/24     93.056     0.000     1.7299     58.79   0.047232   0.047640                                     10.65          
SOCORRO TEX INDPT SCH DI 833715HE8 06/11/20 08/15/25     90.905     0.000     1.8499     61.53   0.049529   0.049987   0.050450   0.050916               18.04    11.38 
SOUTH TEXAS CMNTY COLLEG 84055QGN4 07/23/20 08/15/25     90.800     0.000     1.9159     61.55   0.051229   0.051720   0.052215   0.052715               18.66    11.79 
STEPHENVILLE TEX INDPT   859128HX1 06/25/20 02/15/24     94.854     0.000     1.4570     49.69   0.040179                                                 1.77          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

San Luis Obispo County   798703BB9 07/02/03 09/01/29     22.806     0.000     5.7298    498.06   0.113404   0.116653   0.119995   0.123433  0.126969     42.20    44.65 
San Luis Obispo County   798703BC7 07/02/03 09/01/30     21.553     0.000     5.7298    470.71   0.107176   0.110247   0.113405   0.116654  0.119996     39.88    42.20 
San Luis Obispo County   798703BA1 07/02/03 09/01/28     24.132     0.000     5.7297    527.01   0.119994   0.123431   0.126967   0.130605  0.134346     44.65    47.25 
San Luis Obispo County   798703AY0 07/02/03 09/01/26     27.018     0.000     5.7298    590.05   0.134348   0.138197   0.142156   0.146229  0.150418     50.00    52.90 
San Luis Obispo County   798703AZ7 07/02/03 09/01/27     25.534     0.000     5.7298    557.64   0.126969   0.130606   0.134348   0.138197  0.142156     47.25    50.00 
San Luis Obispo County   798703AW4 07/02/03 09/01/24     30.563     0.000     5.6797    657.81   0.149176   0.153413                                     36.56          
San Luis Obispo County   798703AX2 07/02/03 09/01/25     28.774     0.000     5.6997    622.93   0.141493   0.145525   0.149673   0.153938               52.64    36.69 
Santa Monica School, CA  802498PT6 10/11/16 07/01/32     95.746     3.000     3.3503     16.82   0.007335   0.007458   0.007583   0.007710  0.007839      2.66     2.75 
Seacor Holdings, Inc.    811904AN1 05/15/18 05/15/30    100.000     3.250     7.6251    483.51   0.273695   0.280688   0.287947   0.295483  0.302731    100.44   105.70 
Societe General          83369NMB3 05/17/22 05/17/29    100.000     0.000     4.0200     66.74   0.118536   0.120919   0.123349   0.125829  0.128358     43.31    45.07 
Societe Generale         83370BFL2 08/31/23 08/31/38    100.000     0.000     5.5100     18.52   0.153056   0.157249   0.161605   0.166008  0.170632     56.89    60.07 
Societe Generale         83370B7A5 06/09/23 06/02/26    100.000     0.000     5.3300     30.02   0.151848   0.155895   0.160049   0.164314  0.168693     55.63    58.64 
Societe Generale         83370B6P3 05/25/23 06/21/24    100.000     0.000     5.5700     33.58   0.159671                                                27.14          
Societe Generale         83370BGW7 09/22/23 09/22/38    100.000    VARIES     5.5000     15.11   0.151950   0.148450   0.144900   0.141250  0.137450     53.39    50.74 
Societe Generale         83370BGM9 09/22/23 09/24/26    100.000     0.000     5.6600     15.57   0.157272   0.161722   0.166299   0.171005  0.175845     58.29    61.64 
Societe Generale         83370B6G3 05/09/23 05/07/24    100.000     0.000     5.0900     32.99   0.144947                                                18.26          
Societe Generale         83370B6E8 05/09/23 05/09/24    100.000     0.000     5.0900     32.99   0.144987                                                18.56          
Societe Generale         83370B3S0 03/31/23 03/31/29    100.000    VARIES     5.2570     39.19   0.142600   0.140950   0.142500   0.143650  0.144500     50.94    51.70 
Societe Generale         83370B3D3 03/30/23 03/30/28    100.000    VARIES     4.5900     33.93   0.122983   0.121450   0.121950   0.122400  0.123133     43.82    44.07 
Societe Generale         83370B3E1 03/16/23 03/27/24    100.000     0.000     4.7800     38.19   0.136150                                                11.71          
Societe Generale         83370BEP4 08/25/23 02/20/25    100.000     0.000     5.1750     18.11   0.143750   0.147366   0.151179                          53.37     7.41 
Societe Generale         83370BF65 08/31/23 08/31/28    100.000     0.000     5.4300     18.25   0.150833   0.154906   0.159135   0.163407  0.167893     56.04    59.13 
Societe Generale         83370BER0 08/25/23 02/20/25    100.000     0.000     5.1750     18.11   0.143750   0.147366   0.151179                          53.37     7.41 
Societe Generale         83369NZL7 02/17/23 02/17/35    100.000    VARIES     4.8800     41.66   0.130483   0.126883   0.123167   0.121283  0.121933     45.34    43.76 
Societe Generale         83369NZS2 02/23/23 03/21/24    100.000     0.000     5.5800     48.36   0.160016                                                12.80          
Societe Generale         83370BJW4 10/31/23 10/31/33    100.000    VARIES     6.3300     10.72   0.174900   0.171600   0.168250   0.164700  0.162250     61.97    59.50 
Societe Generale         83370BL92 11/22/23 05/20/27    100.000    VARIES     5.5600      6.02   0.153083   0.151767   0.151733   0.152033  0.152583     54.76    54.70 
Societe Generale         83370B7F4 06/13/23 06/08/26    100.000     0.000     5.3800     29.68   0.153353   0.157478   0.161714   0.166064  0.170531     56.14    59.20 
Societe Generale         83369NMA5 05/18/22 05/20/24    100.000    VARIES     3.4900     57.48   0.099500   0.098500                                     13.67          
Societe Generale         83370BJD6 11/01/23 01/30/25    100.000     0.000     5.7700      9.62   0.160278   0.162564   0.167254                          59.16     4.85 
Societe Generale         83370BJ87 11/02/23 11/02/28    100.000    VARIES     5.8900      6.05   0.161933   0.158267   0.156377   0.156750  0.157533     57.07    56.54 
Societe Generale         83370BJ61 10/23/23 10/22/26    100.000    VARIES     6.1000     11.47   0.167183   0.165517   0.165700   0.166483  0.167517     59.68    59.90 
Societe Generale         83370BJ38 10/20/23 02/13/25    100.000     0.000     6.6300     13.08   0.184167   0.187999   0.194232                          68.38     8.16 
Societe Generale         83369NT59 11/25/22 11/28/25    100.000     0.000     5.3450     59.80   0.156584   0.160769   0.165065   0.169476               57.40    54.77 
Societe Generale         83369NQA1 08/31/22 08/29/25    100.000     0.000     4.3230     58.86   0.125316   0.128025   0.130792   0.133603               46.27    31.64 
Societe Generale         83370FZY3 10/18/23 10/25/24    100.000     0.000     8.1300     16.51   0.226190   0.235385                                     68.15          
Societe Generale         83370BAW3 06/30/23 06/30/33    100.000     0.000     5.2000     26.15   0.148200   0.152053   0.156007   0.160063  0.164224     54.05    56.90 
Societe Generale         83370B2U6 03/10/23 03/10/35    100.000    VARIES     5.1080     40.83   0.138400   0.135550   0.132550   0.130650  0.131850     46.67    47.24 
Societe Generale         83370BCM3 07/19/23 07/18/25    100.000     0.000     5.5000     24.75   0.152778   0.156956   0.161272   0.165707               57.14    32.57 
Societe Generale         83370BCJ0 08/03/23 08/05/24    100.000     0.000     5.9500     24.47   0.165332   0.170251                                     36.27          
Societe Generale         83370BCN1 07/26/23 10/24/24    100.000     0.000     5.8500     25.34   0.164824   0.169645                                     49.16          
Societe Generale         83370BCE1 07/14/23 07/16/24    100.000     0.000     5.9200     27.47   0.164499   0.169368                                     32.95          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Societe Generale         83370BCF8 07/14/23 07/16/24    100.000     0.000     5.9200     27.47   0.164499   0.169368                                     32.95          
Societe Generale         83369NXU9 12/28/22 12/27/24    100.000     0.000     5.2000     53.14   0.152032   0.155985                                     54.83          
Societe Generale         83369NUW8 09/30/22 09/30/25    100.000    VARIES     3.0200      8.33   0.018750   0.018650   0.018500   0.018350                6.71     4.96 
Societe Generale         83369NUY4 10/17/22 10/15/27    100.000     0.000     3.0001     36.58   0.085841   0.087129   0.088436   0.089762  0.091109     31.33    32.28 
Societe Generale         83369NUZ1 02/23/23 02/21/25    100.000     0.000     5.2200     45.15   0.148742   0.152625   0.156608                          55.27     7.83 
Societe Generale         83369NV23 04/04/23 04/02/25    100.000     0.000     5.0000     37.39   0.142323   0.145881   0.149528                          52.52    13.61 
Societe Generale         83370BB44 07/07/23 07/31/24    100.000     0.000     5.5920     27.11   0.155888   0.160247                                     33.37          
Societe Generale         83370BAA1 06/15/23 06/17/24    100.000     0.000     5.8100     31.71   0.166131                                                27.58          
Societe Generale SA      83369NKA7 03/14/22 03/14/34    100.000    VARIES     3.6098     63.68   0.097682   0.098195   0.098467   0.098584  0.098612     35.34    35.48 
Societe Generale SA      83369F3S4 02/28/18 02/27/25    100.000     0.000     3.2782    209.22   0.108884   0.110669   0.112483                          39.97     6.30 
Societe Generale SA      83369F3F2 01/31/18 01/30/25    100.000     0.000     3.2105    207.50   0.106255   0.107961   0.109694                          39.08     3.18 
Societe Generale SA      83369M5J7 04/06/21 04/06/36    100.000    VARIES     2.6792     70.07   0.068631   0.068345   0.068234   0.068225  0.068305     24.62    24.57 
Societe Generale SA      83369M5M0 04/16/21 04/19/36    100.000    VARIES     2.6494     69.00   0.068568   0.068348   0.068250   0.068247  0.068310     24.62    24.57 
Societe Generale SA      83369M5T5 04/30/21 04/30/31    100.000    VARIES     2.3695     61.43   0.062484   0.062406   0.062431   0.062530  0.062695     22.48    22.51 
Societe Generale SA      83369FXR3 08/05/19 08/05/25    100.000     0.000     2.3103    106.51   0.070353   0.071165   0.071987   0.072819               25.71    15.56 
Societe Generale SA      83369F4R5 03/02/18 03/04/25    100.000     0.000     3.3609    214.54   0.112162   0.114047   0.115963                          41.16     7.31 
Societe Generale SA      83369MJQ6 12/20/19 12/21/26    100.000     0.100     2.4730    103.96   0.075504   0.076403   0.077314   0.078235  0.079168     27.36    28.02 
Societe Generale SA      83369N2F6 05/28/21 05/28/31    100.000    VARIES     2.3296     58.92   0.061895   0.061818   0.061825   0.061903  0.062034     22.27    22.28 
Societe Generale SA      83369NAX8 08/25/21 08/25/26    100.000    VARIES     1.2819     30.15   0.035508   0.035735   0.035534   0.035761  0.035567     12.83    12.84 
Societe Generale SA      83369M3N0 02/26/21 02/26/41    100.000    VARIES     2.4596     68.37   0.064569   0.064003   0.063593   0.063316  0.063151     23.02    22.79 
Societe Generale SA      83369N3U2 06/22/21 06/22/26    100.000     0.000     1.3580     34.77   0.039020   0.039285   0.039552   0.039821  0.040091     14.10    14.29 
Societe Generale SA      83369NUE8 03/28/22 03/29/32    100.000    VARIES     3.7300     65.16   0.102812   0.103162   0.103364   0.103528  0.103592     37.13    37.26 
Societe Generale SA      83369NDP2 10/20/21 10/20/31    100.000    VARIES     2.1499     46.65   0.058547   0.058572   0.058634   0.058696  0.058771     21.09    21.13 
Societe Generale SA      83369NEQ9 11/17/21 11/17/31    100.000    VARIES     2.2499     47.19   0.061325   0.061382   0.061453   0.061531  0.061622     22.09    22.14 
Societe Generalle        83369NNV8 07/06/22 07/05/24    100.000     0.000     4.1100     62.33   0.118894   0.121337                                     22.32          
Societe Generalle        83369NNW6 07/06/22 07/03/25    100.000     0.000     4.1200     62.49   0.119168   0.121623   0.124128   0.126685               44.23    23.05 
Societe Generalle        83369NPJ3 07/29/22 07/29/37    100.000    VARIES     4.5700     62.48   0.117550   0.113200   0.109950   0.110100  0.110250     40.36    39.66 
Societe Generalle        83369NPB0 07/14/22 07/14/25    100.000     0.000     4.2500     63.51   0.123126   0.125743   0.128415   0.131144               45.68    25.28 
Somerset Hills Road Dist 83473PDB1 09/13/22 08/15/30     97.345     4.000     4.4000     21.50   0.046100   0.462000   0.463000   0.046400  0.046500     16.63    16.68 
Somerset Hills Road Dist 83473PDA3 09/13/22 08/15/29     98.217     4.000     4.3000     16.59   0.035600   0.035600   0.035700   0.035750  0.035800     12.82    12.86 
Somerset Hills Road Dist 83473PEE4 09/12/23 08/15/34     96.946     5.125     5.5000      4.13   0.038235   0.038333   0.038389   0.038400  0.038500     13.79    13.83 
Somerset Hills Road Dist 83473PEL8 09/12/23 08/15/40     95.150     5.700     5.7000      4.23   0.039150   0.038889   0.039000   0.039100  0.039152     14.02    14.05 
South Carolina Jobs-Econ 83704MDQ6 09/29/23 06/15/30     93.000     9.750    11.2600      2.55   0.028056   0.028222   0.028389   0.028500  0.028722     10.14    10.25 
Sprint Capital Corporati 852060AD4 05/18/18 11/15/28     96.500     6.875     7.3596     15.46   0.009379   0.009724   0.010082   0.010453  0.010837      3.47     3.73 
St. Clair County, IL     788553GU3 04/13/17 12/01/27    101.642     4.000     3.8108    259.07   0.106591   0.106505   0.106417   0.106328  0.106237     38.35    38.29 
St. Clair County, IL     788553GT6 04/13/17 12/01/26    102.645     4.000     3.6716    251.22   0.102931   0.102781   0.102628   0.102472  0.102314     37.02    36.91 
Sunsource, Inc.          867948AA9 09/30/97 09/30/27    110.000    11.600    10.4990   2978.70   0.301911   0.300845   0.299723   0.298542  0.297299    108.30   107.47 
TAYLOR TEX INDPT SCH DIS 877299QX8 06/30/21 02/15/39     58.349     0.000     3.0800     46.41   0.053271   0.054092   0.054925   0.055771  0.056629     19.55    20.16 
TAYLOR TEX INDPT SCH DIS 877299QW0 06/30/21 02/15/38     60.655     0.000     3.0299     47.44   0.054420   0.055244   0.056081   0.056931  0.057793     19.97    20.58 
THE GOLDMAN SACHS GROUP  38150AX26 12/26/23 12/26/30    100.000     0.000     5.4300      0.75   0.150833   0.154928   0.159135   0.163455  0.167893     55.08    58.11 
THE GOLDMAN SACHS GROUP  38150AXL4 02/09/24 02/09/39    100.000     0.000     5.9100                        0.164167   0.169018   0.174012  0.179154     53.55    63.18 
THE GOLDMAN SACHS GROUP  38150AZ40 03/22/24 03/22/31    100.000     0.000     5.2900                        0.146944   0.150831   0.154821  0.158916     41.38    55.82 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

THE GOLDMAN SACHS GROUP  38150AZB4 03/22/24 03/22/34    100.000     0.000     5.4700                        0.151944   0.156100   0.160369  0.164756     42.80    57.82 
THE GOLDMAN SACHS GROUP  38150AZA6 03/22/24 03/22/34    100.000     0.000     5.5900                        0.155278   0.159618   0.164079  0.168665     43.75    59.16 
TITUS CNTY TEX           888514JY3 11/27/19 03/01/24     88.968     0.000     2.7616    105.78   0.075666                                                 4.54          
TOLAR TEX INDPT SCH DIST 889154FR6 05/05/21 02/15/24     98.186     0.000     0.6601     17.34   0.018275                                                 0.80          
TOLAR TEX INDPT SCH DIST 889154FS4 05/05/21 02/15/25     96.120     0.000     1.0502     27.12   0.028717   0.028868   0.029019                          10.41     1.28 
TOLAR TEX INDPT SCH DIST 889154FT2 05/05/21 02/15/26     93.773     0.000     1.3501     34.12   0.036262   0.036507   0.036753   0.037001  0.037251     13.17    13.34 
TOLAR TEX INDPT SCH DIST 889154FU9 05/05/21 02/15/27     90.734     0.000     1.6899     41.48   0.044257   0.044631   0.045008   0.045388  0.045772     16.10    16.38 
TOM BEAN TEX INDPT SCH   889608DJ1 11/06/20 02/15/26     93.785     0.000     1.2200     36.67   0.032875   0.033075   0.033277   0.033480  0.033684     11.93    12.07 
TOM BEAN TEX INDPT SCH   889608DH5 11/06/20 02/15/25     96.111     0.000     0.9300     28.53   0.025475   0.025594   0.025713                           9.22     1.13 
TOM BEAN TEX INDPT SCH   889608DG7 11/06/20 02/15/24     97.323     0.000     0.8302     25.76   0.022966                                                 1.01          
TOM BEAN TEX INDPT SCH   889608DK8 11/06/20 02/15/27     92.075     0.000     1.3201     39.01   0.035018   0.035249   0.035482   0.035716  0.035952     12.71    12.88 
TORONTO-DOMINION BANK    89114XC84 11/17/23 11/17/26    100.000    VARIES     5.8900      0.35   0.007843   0.007854   0.007865   0.007876  0.007887      2.83     2.83 
TORONTO-DOMINION BANK    89114XF24 05/28/24 05/27/27    100.000    VARIES     5.4400                        0.010320   0.010397   0.010417  0.010436      2.21     3.75 
TORONTO-DOMINION BANK    89114XFF5 07/22/24 07/22/27    100.000    VARIES     5.7400                                   0.013117   0.013144  0.013179      2.09     4.74 
TORONTO-DOMINION BANK    89115GBB4 06/25/24 06/25/26    100.000     0.000     5.4300                        0.150833   0.154928   0.159135  0.163455     28.08    56.58 
TORONTO-DOMINION BANK    89115GB32 06/20/24 06/18/26    100.000     0.000     5.3700                        0.149167   0.153127   0.157239  0.161461     28.54    55.97 
TORONTO-DOMINION BANK    89115GCE7 07/10/24 07/09/26    100.000     0.000     5.3000                                   0.147222   0.151102  0.155106     25.18    55.05 
The Bank of Nova Scotia  06417YSW0 08/25/23 02/20/25    100.000     0.000     6.1400     21.49   0.170556   0.175646   0.181039                          63.69     8.87 
The Bank of Nova Scotia  06418G818 05/04/23 04/27/29    100.000     0.000     4.9900     33.06   0.141935   0.145476   0.149106   0.152826  0.156639     52.19    54.83 
The Bank of Nova Scotia  06418A415 03/03/23 02/02/26    100.000     0.000     5.4858     45.93   0.155842   0.160117   0.164508   0.169021  0.173657     58.16    61.40 
The Bank of Nova Scotia  06417YXJ3 12/20/23 01/06/26    100.000     0.000     5.2000      1.59   0.144444   0.144778   0.148543   0.152405  0.156367     52.78    55.54 
The Bank of Nova Scotia  06417YDC0 01/19/23 02/14/24    100.000     0.000     4.8650     46.81   0.138894                                                 5.97          
The Bank of Nova Scotia  06417YFE4 03/17/23 03/17/25    100.000    VARIES     5.1700      2.50   0.008812   0.008827   0.008841                           3.18     0.67 
The Bank of Nova Scotia  06417YEJ4 02/23/23 02/27/26    100.000     0.000     5.3800     46.55   0.153556   0.157687   0.161929   0.166285  0.170758     57.06    60.17 
The Bank of Nova Scotia  06417YMJ5 08/03/23 10/30/24    100.000     0.000     5.7300     23.69   0.161371   0.165994                                     49.08          
The Bank of Nova Scotia  06418B397 04/08/23 03/29/29    100.000     0.000     5.2100     38.39   0.148304   0.152167   0.156131   0.160198  0.164371     54.80    57.70 
The GEO Group, Inc. and  36162JAC0 08/19/22 06/30/28     96.220    10.500    11.4000      6.75   0.014367   0.015186   0.016052   0.016967  0.017934      5.62     6.28 
The Goldman Sachs Group  38150ARJ6 03/29/23 04/29/24    100.000    VARIES     0.4500      5.77   0.021868   0.019032                                      2.56          
The Toronto Dominion Ban 89114YDW8 10/05/22 10/02/25    100.000     0.000     5.4200     68.60   0.158756   0.163059   0.167478   0.172016               58.70    46.20 
The Toronto Dominion Ban 89114YDS7 10/04/22 10/01/27    100.000     0.000     5.5900     70.96   0.164005   0.168589   0.173301   0.178144  0.183124     60.70    64.14 
The Toronto Dominion Ban 89114YDX6 10/05/22 10/04/27    100.000     0.000     5.5900     70.79   0.164054   0.168640   0.173353   0.178198  0.183179     60.69    64.13 
The Toronto-Dominion Ban 89114YPJ4 03/03/23 03/05/26    100.000     0.000     5.4700     45.78   0.156148   0.160418   0.164806   0.169313  0.173944     57.99    61.20 
The Toronto-Dominion Ban 89115FBU4 09/15/23 09/15/28    100.000    VARIES     6.3200      1.01   0.009502   0.009518   0.009534   0.009551  0.009567      3.43     3.44 
The Toronto-Dominion Ban 89114YP88 02/15/23 03/14/24    100.000     0.000     5.5400     49.28   0.158857                                                11.60          
The Toronto-Dominion Ban 89114YP70 02/15/23 05/15/24    100.000     0.000     5.5400     49.31   0.160342                                                21.49          
The Toronto-Dominion Ban 89115F2Z3 07/07/23 07/07/26    100.000    VARIES     5.6800      1.30   0.007475   0.007485   0.007495   0.007505  0.007515      2.70     2.70 
The Toronto-Dominion Ban 89115F3C3 07/12/23 08/12/24    100.000     0.000     6.0400     28.47   0.168622   0.173715                                     38.18          
The Toronto-Dominion Ban 89115FCJ8 09/22/23 09/24/25    100.000     0.000     6.0000     16.51   0.166722   0.171724   0.176876   0.182182               61.91    47.47 
The Toronto-Dominion Ban 89115FCR0 09/27/23 09/27/28    100.000    VARIES     6.3400      0.71   0.007504   0.007514   0.007524   0.007534  0.007545      2.71     2.71 
The Toronto-Dominion Ban 89114YCX7 09/27/22 09/27/27    100.000     0.000     4.3000     55.18   0.124636   0.127315   0.130053   0.132849  0.135705     45.86    47.85 
The Toronto-Dominion Ban 89115FF22 10/19/23 03/20/25    100.000     0.000     6.0600     12.12   0.168333   0.172612   0.177842                          62.33    14.05 
The Toronto-Dominion Ban 89114YSX0 04/05/23 04/06/26    100.000     0.000     5.1800     38.59   0.147636   0.151460   0.155383   0.159407  0.163536     54.50    57.36 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

The Toronto-Dominion Ban 89114XCG6 11/30/23 05/31/27    100.000    VARIES     5.0900      0.19   0.006406   0.006414   0.006421   0.006428  0.006436      2.31     2.31 
The Toronto-Dominion Ban 89114YW49 04/28/23 07/30/24    100.000     0.000     5.2500     35.73   0.147790   0.151669                                     31.59          
The Toronto-Dominion Ban 89114YVH1 04/17/23 04/17/26    100.000    VARIES     5.5500      2.25   0.008868   0.008882   0.008896   0.008910  0.008924      3.20     3.21 
The Toronto-Dominion Ban 89114YVE8 05/03/23 05/01/26    100.000     0.000     5.0300     33.46   0.143197   0.146799   0.150491   0.154275  0.158155     52.64    55.32 
The Toronto-Dominion Ban 89114YYS4 06/08/23 06/10/24    100.000     0.000     5.7700     32.64   0.164955                                                26.23          
The Toronto-Dominion Ban 89114YXW6 05/18/23 06/17/24    100.000     0.000     5.2000     32.38   0.148821                                                24.70          
The Toronto-Dominion Ban 89114YY70 06/05/23 07/05/24    100.000     0.000     5.7200     32.86   0.159646   0.164212                                     30.20          
The Toronto-Dominion Ban 89114YY54 05/25/23 05/28/24    100.000     0.000     5.5700     33.58   0.159105                                                23.39          
The Toronto-Dominion Ban 89114YX97 05/17/23 08/15/24    100.000     0.000     5.2700     33.05   0.148275   0.152182                                     33.92          
The Toronto-Dominion Ban 89114X6H1 02/24/23 02/24/26    100.000    VARIES     5.3300      6.41   0.021170   0.021787   0.022406   0.023028  0.023653      7.93     8.36 
The Toronto-Dominion Ban 89117GDN4 01/18/23 01/26/24    100.000     0.000     5.3400     51.55   0.152475                                                 3.81          
The Toronto-Dominion Ban 89114X5Y5 01/27/23 01/27/25    100.000    VARIES     5.1100      7.66   0.022730   0.022982   0.023347   0.023973                8.43     0.62 
The Toronto-Dominion Ban 89114YZC8 06/22/23 09/19/24    100.000     0.000     5.9150     31.29   0.166654   0.171583                                     43.88          
The Toronto-Dominion Ban 89114YM99 01/19/23 02/16/24    100.000     0.000     5.3200     51.26   0.152314                                                 6.85          
The Toronto-Dominion Ban 89114X7B3 04/17/23 04/17/26    100.000    VARIES     5.7900      6.15   0.024285   0.024391   0.024497   0.024603  0.024711      8.78     8.86 
The Toronto-Dominion Ban 89114YND9 02/01/23 03/01/24    100.000     0.000     5.3100     49.34   0.152086                                                 9.13          
The Toronto-Dominion Ban 89114YN72 02/08/23 05/08/24    100.000     0.000     5.3500     48.68   0.154627                                                19.64          
The Toronto-Dominion Ban 89114YMQ1 01/24/23 02/23/24    100.000     0.000     5.2600     49.92   0.150589                                                 7.83          
Time Warner Inc.         887315AZ2 01/17/96 01/15/36     17.038    VARIES     8.8001   1453.72   0.235289   0.235498   0.235715   0.235942  0.236179     84.81    84.98 
Toronto-Dominion Bank    89114V6L6 03/17/22 03/12/27    100.000     0.000     2.7306     49.74   0.078968   0.080047   0.081139   0.082247  0.083370     28.86    29.65 
Toronto-Dominion Bank    89114TRA2 09/09/21 09/09/24    100.000    VARIES     0.6023     13.94   0.016780   0.016756                                      4.16          
Toronto-Dominion Bank    89114Y3Z2 06/03/22 06/04/26    100.000     0.000     4.0000     64.51   0.117925   0.120283   0.122689   0.125143  0.127646     43.01    44.74 
Toronto-Dominion Bank    89114TKW1 06/10/21 06/10/24    100.000    VARIES     0.5100     13.06   0.014180                                                 2.25          
Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38     24.099     0.000     4.8000    267.93   0.067026   0.068634   0.070281   0.071968  0.073695     24.72    25.92 
UBS                      90307D5U2 07/23/24 01/23/26    100.000     0.000     5.3000                                   0.147222   0.151124  0.155128     23.26    54.95 
UBS                      90279WPA6 11/13/23 11/13/25    100.000     0.000     6.2700      8.36   0.174167   0.179627   0.185258   0.191066               64.22    58.85 
UBS                      90307DGG1 04/23/24 04/23/26    100.000     0.000     5.3000                        0.147222   0.151124   0.155128  0.159239     36.78    55.68 
UBS                      90307DGP1 04/23/24 04/23/26    100.000     0.000     5.1000                        0.141667   0.145279   0.148984  0.152783     35.38    53.48 
UBS                      902674M80 03/05/24 03/12/25    100.000     0.000     5.4500             0.151389   0.151549   0.155679                          45.31    11.05 
UBS                      90307D4L3 07/17/24 07/15/27    100.000     0.000     5.0000                                   0.138889   0.142323  0.145881     22.78    51.78 
UBS                      90307DTX0 06/26/24 07/24/25    100.000     0.000     5.1700                        0.143611   0.144189   0.147916               26.66    29.94 
UBS                      90307DTW2 06/26/24 07/24/25    100.000     0.000     5.1700                        0.143611   0.144189   0.147916               26.66    29.94 
UBS                      9026745X4 04/03/24 04/03/29    100.000     0.000     4.9900                        0.138611   0.142069   0.145614  0.149247     37.45    52.41 
UBS                      90307D2G6 07/09/24 01/07/26    100.000     0.000     5.2100                                   0.144722   0.148450  0.152317     24.89    54.09 
UBS                      90307DCL4 04/11/24 07/10/25    100.000     0.000     5.3300                        0.148056   0.150006   0.154004               38.83    29.07 
UBS                      9026747D6 04/03/24 04/02/26    100.000     0.000     5.2500                        0.145833   0.149640   0.153568  0.157599     39.42    55.29 
UBS                      90279W4Q4 02/28/24 11/30/27    100.000     0.000     4.8300             0.134167   0.135823   0.139103   0.142462  0.145903     41.10    50.89 
UBS                      90279WVK7 12/20/23 12/18/25    100.000     0.000     5.1000      1.56   0.141667   0.145239   0.148943   0.152741               51.74    52.37 
UBS                      90279WVL5 12/20/23 12/18/25    100.000     0.000     5.1000      1.56   0.141667   0.145239   0.148943   0.152741               51.74    52.37 
UBS                      90279WVJ0 12/20/23 12/18/25    100.000     0.000     5.1000      1.56   0.141667   0.145239   0.148943   0.152741               51.74    52.37 
UBS                      90279W7K4 02/28/24 02/26/27    100.000     0.000     5.1900                        0.144167   0.147866   0.151703  0.155640     44.14    54.89 
UBS                      9026743V0 03/27/24 06/26/25    100.000     0.000     5.3000             0.147222   0.149151   0.153104                          40.72    26.79 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

UBS                      90307DK92 07/24/24 08/22/25    100.000     0.000     5.0600                        0.140556   0.141109   0.144679               22.14    33.24 
UBS                      90307DK84 07/24/24 08/22/25    100.000     0.000     5.0600                        0.140556   0.141109   0.144679               22.14    33.24 
UBS AG                   90279GP29 08/09/23 09/09/24    100.000    VARIES     5.1600     20.35   0.146278   0.150000                                     36.53          
UBS AG                   90279FY96 02/15/23 08/15/24    100.000    VARIES     5.0707      2.69   0.008389   0.008611                                      1.91          
UBS AG                   90279WJH8 11/03/23 11/05/26    100.000     0.000     5.8500      9.43   0.162553   0.167307   0.172201   0.177238  0.182422     59.92    63.47 
UBS AG                   90279WKZ6 10/23/23 10/23/25    100.000     0.000     5.5100     10.41   0.153056   0.157272   0.161605   0.166057               56.44    47.99 
UBS AG                   90279WKY9 10/24/23 02/24/25    100.000     0.000     5.9800     11.13   0.166111   0.169422   0.174488                          61.46     9.25 
UBS AG                   90261XDU3 07/20/07 07/20/27    100.000    VARIES     5.7801    741.96   0.127835   0.131529   0.135330   0.139242  0.143266     47.89    50.70 
UBS AG                   90279GGB9 04/28/23 04/28/26    100.000    VARIES     3.1300     35.44   0.145833   0.012944   0.049056   0.078222  0.086556     21.91    25.70 
UBS AG                   90279WFN9 09/27/23 09/25/26    100.000     0.000     5.9300     15.48   0.164722   0.169552   0.174579   0.179755  0.185085     61.12    64.79 
UBS AG                   90279F4K4 02/28/23 03/05/24    100.000     0.000     5.7400     48.90   0.164204                                                10.51          
UBS AG                   90279GJA8 05/22/23 06/21/24    100.000     0.000     3.8300     23.38   0.108761                                                18.49          
UBS AG                   90279WAQ7 09/07/23 09/07/28    105.450     0.000     5.3200     17.76   0.155832   0.159977   0.164232   0.168601  0.173086     57.80    60.92 
UBS AG                   90279WQS6 11/30/23 12/02/25    100.000     0.000     6.8000      5.86   0.188960   0.195385   0.202028   0.208897               69.56    68.11 
UBS AG                   90279WQT4 11/30/23 12/02/25    100.000     0.000     6.8000      5.86   0.188960   0.195385   0.202028   0.208897               69.56    68.11 
UBS AG                   90279WQU1 11/30/23 12/02/25    100.000     0.000     6.8000      5.86   0.188960   0.195385   0.202028   0.208897               69.56    68.11 
UBS AG                   90279GEG0 04/26/23 10/24/24    100.000     0.000     5.1600     35.36   0.146990   0.150783                                     43.75          
UBS AG                   90279WUF9 12/07/23 06/05/25    100.000     0.000     5.4800      3.65   0.152222   0.156347   0.160631                          55.76    24.74 
UBS AG                   90279FBV2 05/18/22 05/16/24    100.000     0.000     2.6700     43.91   0.077166                                                10.42          
UBS AG London Branch     90279DZA7 02/24/22 02/22/24    100.000     0.000     1.4007     26.20   0.039728                                                 2.03          
UBS AG London Branch     90279DE77 02/28/22 09/04/24    100.000     0.000     1.1977     22.24   0.033879   0.034082                                      8.27          
UBS AG London Branch     90290V846 03/25/22 09/26/24    100.000     0.000     2.1890     39.23   0.062827   0.063515                                     16.77          
UBS AG London Branch     90279FAR2 05/12/22 05/14/24    100.000     0.000     2.7119     45.08   0.078448                                                10.43          
UBS AG London Branch     90276BZH9 05/26/21 05/25/28    100.000     0.000     1.7723     46.90   0.051449   0.051905   0.052365   0.052829  0.053297     18.64    18.97 
ULTRA RESOURCES INC      90400GAE1 12/21/18 07/12/24    100.000     9.000     9.0000    334.15   0.255944   0.277062                                     52.88          
USB AG                   90279GJ91 07/27/23 07/29/25    100.000     0.000     5.6200     24.05   0.156160   0.160548   0.165059   0.169698               58.36    35.17 
USB AG                   90279GE54 07/20/23 07/20/28    108.580     0.000     5.4600     26.51   0.164680   0.169175   0.173794   0.178538  0.183413     61.56    64.97 
USB AG                   90279GE47 07/25/23 07/24/25    100.000     0.000     4.6000     19.93   0.127778   0.130700   0.133706   0.136782               47.46    27.70 
Union CNTY NJ IMPT Auth  906347UT4 11/25/15 12/01/47     18.159     0.000     5.4001     98.03   0.041755   0.042882   0.044040   0.045229  0.046451     15.30    16.14 
Uruguay, Republic        917288BA9 05/29/03 01/15/33     61.000     3.875        N/A   1023.79   0.168237   0.171039   0.174015   0.177177  0.180536     62.03    64.30 
VAN TEX INDPT SCH DIST   921254LS5 02/24/22 02/15/36     63.291     0.000     3.3000     39.59   0.060887   0.061892   0.062913   0.063951  0.065007     22.38    23.12 
VAN TEX INDPT SCH DIST   921254LU0 02/24/22 02/15/37     60.358     0.000     3.3999     38.93   0.059911   0.060929   0.061965   0.063018  0.064090     22.03    22.79 
Veritas Capital Trust    92343W300 12/22/97 01/01/28    100.000    10.000    10.0000   2602.50   0.277778   0.277778   0.277778   0.277778  0.277778    100.00   100.00 
Virginia Pub School Auth 92817SPA0 11/13/09 09/15/26     90.643     6.050     7.0050     70.42   0.021577   0.022332   0.023115   0.023924  0.024762      8.07     8.64 
WACO TEX INDPT SCH DIST  929845UN3 03/02/21 08/15/24     98.121     0.000     0.5501     15.38   0.015197   0.015239                                      3.41          
WACO TEX INDPT SCH DIST  929845UP8 03/02/21 08/15/25     96.816     0.000     0.7280     20.12   0.019930   0.020003   0.020076   0.020149                7.21     4.51 
WASHINGTON COURT HOUSE   938769FN1 10/21/21 12/01/30     81.926     0.000     2.1999     40.31   0.052431   0.053008   0.053591   0.054181  0.054777     19.01    19.43 
WELLMAN-UNION TEX CONS   94990ABC5 08/26/20 08/15/25     94.037     0.000     1.2410     39.76   0.033630   0.033839   0.034049   0.034260               12.20     7.66 
WELLMAN-UNION TEX CONS   94990ABD3 08/26/20 08/15/26     91.400     0.000     1.5121     47.27   0.040146   0.040450   0.040756   0.041064  0.041374     14.59    14.81 
WELLMAN-UNION TEX CONS   94990ABB7 08/26/20 08/15/24     95.697     0.000     1.1111     36.16   0.030524   0.030693                                      6.87          
WELLMAN-UNION TEX CONS   94990ABG6 08/26/20 08/15/29     83.556     0.000     2.0130     57.95   0.049584   0.050083   0.050588   0.051097  0.051611     18.08    18.44 
WELLMAN-UNION TEX CONS   94990ABE1 08/26/20 08/15/27     88.797     0.000     1.7121     52.15   0.044423   0.044803   0.045187   0.045574  0.045964     16.16    16.44 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

WELLMAN-UNION TEX CONS   94990ABF8 08/26/20 08/15/28     85.921     0.000     1.9131     56.55   0.048316   0.048778   0.049245   0.049716  0.050191     17.60    17.94 
WELLS FARGO              95001DFH8 02/29/24 02/28/39     41.491     0.000     5.9515                        0.068592   0.070622   0.072724  0.074888     20.96    26.33 
WELLS FARGO FIN LLC MEDI 95001HA92 10/03/19 04/06/26    100.000     0.000     1.5302     66.85   0.045184   0.045530   0.045878   0.046229  0.046583     16.39    16.64 
WESTMONT ILL PK DIST     96081RBB5 03/17/21 12/01/29     81.532     0.000     2.3589     55.13   0.056925   0.057596   0.058275   0.058963  0.059658     20.65    21.14 
WESTMONT ILL PK DIST     96081RBC3 03/17/21 12/01/30     78.883     0.000     2.4587     55.66   0.057558   0.058266   0.058982   0.059707  0.060441     20.89    21.41 
WESTMONT ILL PK DIST     96081RBA7 03/17/21 12/01/28     84.924     0.000     2.1318     51.76   0.053260   0.053828   0.054402   0.054982  0.055568     19.31    19.72 
WESTMONT ILL PK DIST     96081RBF6 03/17/21 12/01/33     70.158     0.000     2.8086     56.78   0.059027   0.059856   0.060697   0.061549  0.062414     21.45    22.06 
WESTMONT ILL PK DIST     96081RBG4 03/17/21 12/01/34     67.312     0.000     2.9086     56.48   0.058806   0.059661   0.060529   0.061409  0.062302     21.38    22.00 
WESTMONT ILL PK DIST     96081RBD1 03/17/21 12/01/31     76.168     0.000     2.5588     56.00   0.057994   0.058736   0.059488   0.060249  0.061020     21.06    21.60 
WESTMONT ILL PK DIST     96081RBE9 03/17/21 12/01/32     72.980     0.000     2.7087     56.90   0.059060   0.059860   0.060670   0.061492  0.062325     21.45    22.04 
WESTMONT ILL PK DIST     96081RBJ8 03/17/21 12/01/36     61.598     0.000     3.1087     55.37   0.057823   0.058721   0.059634   0.060561  0.061502     21.03    21.69 
WESTMONT ILL PK DIST     96081RBK5 03/17/21 12/01/37     58.753     0.000     3.2086     54.57   0.057076   0.057991   0.058922   0.059867  0.060827     20.77    21.44 
WESTMONT ILL PK DIST     96081RBH2 03/17/21 12/01/35     64.455     0.000     3.0087     56.01   0.058402   0.059281   0.060172   0.061078  0.061996     21.24    21.88 
WEX INC                  96208TAB0 07/01/20 07/15/27     96.500     6.500     7.0234    263.71   0.232194   0.240348   0.248788   0.257524  0.266568     87.81    94.09 
WHITE GALLATIN ETC CNTYS 963806EF7 08/03/17 12/01/25    104.477     4.250     3.5381    234.06   0.098963   0.098625   0.118056   0.118056               36.14    38.96 
WHITE GALLATIN ETC CNTYS 963806EE0 08/03/17 12/01/24    103.054     3.875     3.3896    222.23   0.094600   0.094379                                     31.18          
WHITE GALLATIN ETC CNTYS 963806EG5 08/03/17 12/01/26    103.497     4.250     3.6875    242.52   0.102991   0.102713   0.118056   0.118056  0.118056     37.48    42.50 
WHITE SETTLEMENT TEX IND 964559X94 11/25/20 08/15/32     75.028     0.000     2.4658     59.25   0.054936   0.055614   0.056299   0.056994  0.057696     20.08    20.58 
WHITE SETTLEMENT TEX IND 964559X86 11/25/20 08/15/31     77.791     0.000     2.3558     58.60   0.054258   0.054897   0.055544   0.056198  0.056860     19.82    20.29 
WHITE SETTLEMENT TEX IND 964559X78 11/25/20 08/15/30     80.636     0.000     2.2259     57.30   0.052955   0.053544   0.054140   0.054743  0.055352     19.33    19.76 
WHITE SETTLEMENT TEX IND 964559X60 11/25/20 08/15/29     83.371     0.000     2.0959     55.69   0.051373   0.051911   0.052455   0.053005  0.053560     18.74    19.13 
WHITE SETTLEMENT TEX IND 964559X52 11/25/20 08/15/28     85.781     0.000     1.9959     54.49   0.050200   0.050701   0.051207   0.051718  0.052234     18.30    18.67 
WHITE SETTLEMENT TEX IND 964559X45 11/25/20 08/15/27     89.949     0.000     1.5819     45.04   0.041257   0.041584   0.041913   0.042244  0.042578     15.00    15.24 
WHITE SETTLEMENT TEX IND 964559Y44 11/25/20 08/15/35     66.639     0.000     2.7757     59.48   0.055386   0.056155   0.056934   0.057724  0.058526     20.29    20.85 
WHITE SETTLEMENT TEX IND 964559Y36 11/25/20 08/15/34     69.435     0.000     2.6758     59.67   0.055483   0.056225   0.056977   0.057739  0.058512     20.31    20.86 
WHITE SETTLEMENT TEX IND 964559Y28 11/25/20 08/15/33     72.207     0.000     2.5757     59.65   0.055391   0.056105   0.056827   0.057559  0.058300     20.26    20.79 
WHITE SETTLEMENT TEX IND 964559W95 11/25/20 08/15/24     96.169     0.000     1.0521     31.80   0.028921   0.029073                                      6.51          
WHITE SETTLEMENT TEX IND 964559X37 11/25/20 08/15/26     91.950     0.000     1.4719     42.78   0.039127   0.039415   0.039705   0.039997  0.040292     14.22    14.43 
WHITE SETTLEMENT TEX IND 964559X29 11/25/20 08/15/25     94.498     0.000     1.2019     35.77   0.032596   0.032792   0.032989   0.033187               11.82     7.43 
WIMBERLEY TEX INDPT SCH  972631ML6 07/21/20 08/15/40     54.518     0.000     3.0460     59.85   0.050610   0.051381   0.052163   0.052958  0.053764     18.57    19.14 
WIMBERLEY TEX INDPT SCH  972631MK8 07/21/20 08/15/39     57.268     0.000     2.9450     60.69   0.051243   0.051997   0.052763   0.053540  0.054328     18.79    19.35 
WIMBERLEY TEX INDPT SCH  972631MJ1 07/21/20 08/15/38     59.494     0.000     2.8950     61.94   0.052252   0.053009   0.053776   0.054555  0.055344     19.15    19.71 
WINDTHORST TEX INDPT SCH 973814BZ8 11/24/20 08/01/24     95.931     0.000     1.1300     34.14   0.031038   0.031214                                      6.55          
WOODFORD & MARSHALL CNTY 979293BN6 08/07/18 12/01/24    110.347     5.500     3.6329    210.20   0.102749   0.101840                                     33.74          
Wells Fargo & Company    94986RK67 04/21/16 04/21/26    100.000    VARIES     2.1558     28.63   0.010683   0.010799   0.010915   0.011033  0.011152      3.88     3.97 
Wells Fargo & Company    95001B2K9 02/14/18 02/14/25    105.000     0.125     3.5350    239.56   0.124281   0.126416   0.128590                          45.72     5.53 
Wells Fargo & Company    94986RZU8 11/13/15 11/13/30    100.000    VARIES     2.4455     26.42   0.009175   0.009287   0.009400   0.009515  0.009632      3.33     3.42 
Wells Fargo & Company    95000E3U1 10/20/17 10/22/24    100.000     0.250     1.8358    119.08   0.056103   0.056554                                     16.41          
Wells Fargo & Company    94986RNX5 03/27/13 03/27/25    100.000    VARIES     1.3587     42.42   0.011543   0.011621   0.011700                           4.18     1.01 
Wells Fargo & Company    94986RMV0 01/25/13 01/27/25    100.000    VARIES     1.1863     39.44   0.010487   0.010549   0.010611                           3.81     0.28 
Wells Fargo & Company    95000N2D0 02/24/17 02/24/27    100.000    VARIES     2.7668    189.03   0.076685   0.076708   0.076732   0.076756  0.076780     27.62    27.63 
Wells Fargo & Company    94986RA35 11/30/15 11/30/27    100.000    VARIES     2.3691     28.42   0.010105   0.010225   0.010346   0.010469  0.010593      3.67     3.75 






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Wells Fargo & Company    95000N2K4 06/23/17 06/23/27    100.000    VARIES     2.5340     23.83   0.010529   0.010662   0.010797   0.010934  0.011072      3.82     3.91 
Wells Fargo & Company    95000N2J7 05/19/17 05/19/27    100.000    VARIES     2.6993     30.42   0.012982   0.013157   0.013335   0.013515  0.013697      4.72     4.85 
Wells Fargo & Company    95000N2T5 08/16/17 08/16/27    100.000    VARIES     2.5861     20.98   0.009376   0.009498   0.009620   0.009745  0.009871      3.43     3.52 
Wells Fargo & Company    95000N2V0 08/31/17 08/31/29    100.000    VARIES     2.4309     18.98   0.008431   0.008533   0.008637   0.008741  0.008848      3.08     3.15 
Wells Fargo & Company    95000N2P3 07/25/17 07/25/29    100.000    VARIES     2.6059     18.09   0.007916   0.008019   0.008124   0.008230  0.008337      2.90     2.98 
Wells Fargo & Company    95000N2Y4 09/15/17 09/15/27    100.000    VARIES     2.8997     32.88   0.014255   0.014462   0.014672   0.014885  0.015100      5.21     5.37 
Wells Fargo & Company    95000N2Z1 09/20/17 09/20/27    100.000    VARIES     2.5328     18.79   0.008609   0.008718   0.008829   0.008941  0.009054      3.14     3.22 
Wells Fargo & Company    95000N3F4 10/25/17 10/25/27    100.000    VARIES     2.7552     17.75   0.008197   0.008310   0.008424   0.008541  0.008658      2.99     3.07 
Wells Fargo & Company    94986RB59 12/24/15 12/24/25    100.000    VARIES     2.3798     26.67   0.009821   0.009938   0.010056   0.010176                3.56     3.57 
Wells Fargo & Company    95000N3G2 10/20/17 10/20/27    100.000    VARIES     2.7158     19.48   0.008973   0.009095   0.009218   0.009343  0.009470      3.27     3.36 
Wells Fargo & Company    95000N3B3 09/21/17 09/21/27    100.000    VARIES     2.5668     18.83   0.008548   0.008657   0.008769   0.008881  0.008995      3.12     3.20 
Wells Fargo & Company    95000N3N7 01/31/18 01/31/38    100.000    VARIES     3.2610     16.28   0.007091   0.007206   0.007324   0.007443  0.007565      2.61     2.69 
Wells Fargo & Company    95000N3M9 01/31/18 01/31/28    100.000    VARIES     3.2008     14.72   0.007025   0.007138   0.007252   0.007368  0.007486      2.58     2.67 
Wells Fargo & Company    94986RB91 12/23/15 12/23/30    100.000    VARIES     2.5508     29.80   0.010499   0.010633   0.010768   0.010906  0.011045      3.81     3.90 
Wells Fargo & Company    94986RB75 12/23/15 12/23/27    100.000    VARIES     2.4986     27.95   0.010037   0.010163   0.010290   0.010418  0.010548      3.64     3.73 
Wells Fargo & Company    94986RE72 02/24/16 02/24/28    100.000    VARIES     1.9880     32.81   0.011842   0.011960   0.012079   0.012199  0.012320      4.31     4.40 
Wells Fargo & Company    94986RUW9 09/23/14 09/23/24    100.000    VARIES     2.5651     23.92   0.007874   0.007975                                      2.08          
Wells Fargo & Company    94986RVA6 09/30/14 09/30/24    100.000    VARIES     2.5155     23.93   0.007882   0.007981                                      2.14          
Wells Fargo & Company    95001D2G4 04/20/18 04/20/28    100.000    VARIES     3.4399     22.45   0.011148   0.011340   0.011535   0.011733  0.011935      4.08     4.22 
Wells Fargo & Company    95001D2D1 03/21/18 03/21/30    100.000    VARIES     3.3176     17.43   0.008380   0.008519   0.008660   0.008804  0.008950      3.07     3.17 
Wells Fargo & Company    94986RD40 01/26/16 01/26/26    100.000    VARIES     2.1764     27.94   0.010248   0.010359   0.010472   0.010586  0.010701      3.74     3.83 
Wells Fargo & Company    95001D2N9 07/03/18 07/03/28    100.000    VARIES     3.5475     29.97   0.014689   0.014950   0.015215   0.015485  0.015759      5.43     5.62 
Wells Fargo & Company    95001D2X7 09/26/18 09/26/28    100.000    VARIES     3.7928     15.15   0.008006   0.008158   0.008313   0.008471  0.008631      2.94     3.05 
Wells Fargo & Company    95001D2R0 08/24/18 08/24/28    100.000    VARIES     3.6466     34.47   0.017312   0.017627   0.017949   0.018276  0.018609      6.37     6.60 
Wells Fargo & Company    94986RWZ0 05/21/15 05/21/27    100.000    VARIES     2.2895     32.32   0.010877   0.011002   0.011127   0.011255  0.011384      3.95     4.04 
Wells Fargo & Company    94986RWJ6 03/31/15 03/31/25    100.000    VARIES     2.0659    178.33   0.057066   0.057171   0.057278                          20.58     5.10 
Wells Fargo & Company    94986RG21 03/23/16 03/23/26    100.000    VARIES     2.2005     30.42   0.011400   0.011526   0.011653   0.011781  0.011910      4.15     4.24 
Wells Fargo & Company    94986RWQ0 04/22/15 04/22/30    100.000    VARIES     2.2225    186.71   0.059748   0.059891   0.060035   0.060182  0.060330     21.55    21.66 
Wells Fargo & Company    94986RX30 10/18/16 10/18/26    100.000    VARIES     2.2447     23.88   0.009444   0.009550   0.009657   0.009765  0.009875      3.43     3.51 
Wells Fargo & Company    94986RVZ1 02/27/15 02/27/25    100.000    VARIES     2.1821     33.22   0.010959   0.011079   0.011200                           4.00     0.63 
Wells Fargo & Company    94986RZB0 10/05/15 10/05/27    100.000    VARIES     2.2452     31.96   0.011126   0.011251   0.011377   0.011505  0.011634      4.05     4.14 
Wells Fargo & Company    94986RZN4 10/26/15 10/26/27    100.000    VARIES     2.3226    186.16   0.063500   0.063622   0.063745   0.063870  0.063997     22.90    22.99 
Wells Fargo & Company    94986RZL8 10/09/15 10/09/27    100.000    VARIES     2.3811     36.57   0.012773   0.012925   0.013079   0.013235  0.013392      4.65     4.76 
Wells Fargo & Company    94986RZJ3 10/09/15 10/09/25    100.000    VARIES     2.2547     28.57   0.010068   0.010181   0.010296   0.010412                3.66     2.88 
Wells Fargo & Company    94986RZ46 10/20/16 10/20/26    100.000    VARIES     2.2262     32.86   0.013003   0.013147   0.013294   0.013442  0.013591      4.73     4.83 
Wells Fargo & Company    94986RYP0 09/03/15 09/03/27    100.000    VARIES     2.4323     26.81   0.009252   0.009364   0.009478   0.009594  0.009710      3.38     3.46 
Wells Fargo & Company    94986RXQ9 06/30/15 06/30/27    100.000    VARIES     2.5017     31.22   0.010500   0.010631   0.010764   0.010899  0.011035      3.80     3.90 
Wells Fargo & Company    94986RXZ9 07/29/15 07/29/27    100.000    VARIES     2.4666     28.11   0.009595   0.009713   0.009833   0.009954  0.010077      3.51     3.60 
Wells Fargo Finance LLC  95001H4M0 05/02/19 05/02/24    100.000     0.000     2.9409    145.90   0.093162                                                11.27          
Wells Fargo Finance LLC  95001H6T3 08/07/19 02/06/25    100.000     0.000     1.8602     84.89   0.055643   0.056161   0.056683                          20.28     1.98 
Wells Fargo Finance LLC  95001HC41 10/31/19 11/01/24    100.000     0.250     2.3100    100.06   0.069677   0.070402                                     21.03          
Wells Fargo Finance LLC  95001HB26 11/07/19 05/07/24    100.000     0.000     1.5803     67.51   0.046750                                                 5.89          






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   Yield    OID to     2024 1st   2024 2nd   2024 3rd   2025 2nd  2025 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/24      Period     Period    2025 1st    Period    Period      2024     2025 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Will CNTY SD #365, IL    969078QM9 03/17/09 11/01/27     23.731     0.000     7.8744    506.56   0.160600   0.166923   0.173495   0.180326  0.187426     59.73    64.52 
Will CNTY SD #365, IL    969078QN7 03/17/09 11/01/28     21.864     0.000     7.8993    469.14   0.148955   0.154838   0.160954   0.167311  0.173919     55.40    59.87 
Will County SD #122, IL  968852WM1 04/02/09 10/01/28     24.364     0.000     7.3751    465.40   0.142626   0.147885   0.153339   0.158993  0.164856     53.26    57.26 
Will County, IL          968852TP8 03/15/07 10/01/26     32.402     0.000     5.8498    529.44   0.136684   0.140682   0.144797   0.149032  0.153391     50.66    53.66 
Will County, IL          968852TN3 03/15/07 10/01/25     34.635     0.000     5.8000    558.53   0.143702   0.147869   0.152157   0.156570               53.24    41.88 
XENIA OHIO CMNTY CITY SC 984071CD0 11/02/20 12/01/31     76.938     0.000     2.3800     59.82   0.054711   0.055362   0.056021   0.056687  0.057362     19.85    20.33 
XENIA OHIO CMNTY CITY SC 984071CA6 11/02/20 12/01/28     84.602     0.000     2.0800     57.25   0.052098   0.052640   0.053187   0.053740  0.054299     18.89    19.28 
XENIA OHIO CMNTY CITY SC 984071CB4 11/02/20 12/01/29     82.128     0.000     2.1800     58.33   0.053168   0.053748   0.054334   0.054926  0.055525     19.28    19.70 
XENIA OHIO CMNTY CITY SC 984071CC2 11/02/20 12/01/30     79.569     0.000     2.2800     59.19   0.054040   0.054656   0.055279   0.055909  0.056546     19.60    20.05 
YPF SA                   984245AU4 02/12/21 02/12/26     84.050    VARIES    11.5342    178.09   0.152748   0.123198   0.093176   0.062656  0.031607     41.39    19.49 
YPF SA                   984245AV2 02/12/21 06/30/29     62.500    VARIES    15.6363    250.92   0.282650   0.290631   0.299237   0.308516  0.318520    103.21   109.41 
YPF SA                   984245AW0 02/12/21 09/30/33     51.824    VARIES    14.1442    197.47   0.215614   0.220058   0.224816   0.229910  0.235365     79.26    82.81 
YPF SA                   P989MJBR1 02/12/21 02/12/26     84.050    VARIES    11.5342    178.09   0.152748   0.123198   0.093176   0.062656  0.031607     41.39    19.49 
YPF SA                   P989MJBS9 02/12/21 06/30/29     62.500    VARIES    15.6363    250.92   0.282650   0.290631   0.299237   0.308516  0.318520    103.21   109.41 
YPF SA                   P989MJBT7 02/12/21 09/30/33     51.824    VARIES    14.1442    197.47   0.215614   0.220058   0.224816   0.229910  0.235365     79.26    82.81 
YSLETA TEX INDPT SCH DIS 98816PDW9 07/22/20 08/15/32     74.040     0.000     2.5069     66.30   0.055649   0.056347   0.057053   0.057768  0.058492     20.35    20.86 
YSLETA TEX INDPT SCH DIS 98816PDX7 07/22/20 08/15/33     70.834     0.000     2.6570     67.38   0.056683   0.057436   0.058199   0.058972  0.059755     20.75    21.30 
YSLETA TEX INDPT SCH DIS 98816PDS8 07/22/20 08/15/28     85.466     0.000     1.9570     59.26   0.049318   0.049801   0.050288   0.050780  0.051277     17.97    18.33 
YSLETA TEX INDPT SCH DIS 98816PDT6 07/22/20 08/15/29     83.069     0.000     2.0570     60.63   0.050537   0.051056   0.051582   0.052112  0.052648     18.43    18.81 
YSLETA TEX INDPT SCH DIS 98816PDU3 07/22/20 08/15/30     80.420     0.000     2.1769     62.23   0.051966   0.052532   0.053104   0.053682  0.054266     18.96    19.38 
YSLETA TEX INDPT SCH DIS 98816PDV1 07/22/20 08/15/31     76.994     0.000     2.3769     65.25   0.054653   0.055303   0.055960   0.056625  0.057298     19.97    20.45 
YSLETA TEX INDPT SCH DIS 98816PDP4 07/22/20 08/15/25     93.296     0.000     1.3750     45.06   0.037162   0.037417   0.037675   0.037934               13.49     8.49 
YSLETA TEX INDPT SCH DIS 98816PDQ2 07/22/20 08/15/26     90.614     0.000     1.6319     52.14   0.043174   0.043527   0.043882   0.044240  0.044601     15.70    15.96 
YSLETA TEX INDPT SCH DIS 98816PDR0 07/22/20 08/15/27     88.221     0.000     1.7820     55.56   0.046109   0.046520   0.046934   0.047352  0.047774     16.79    17.09 
YSLETA TEX INDPT SCH DIS 98816PDN9 07/22/20 08/15/24     95.004     0.000     1.2651     42.15   0.034700   0.034920                                      7.81          
York County, PA          986812MK8 12/28/95 02/01/24     13.562     0.000     7.2397    858.56   0.194077                                                 5.82          






SECTION I-C Inflation Indexed Debt Instruments


                                                       Inflation-Adj   Stated
                                  Issue     Maturity    Principal on  Interest  Total OID    2024 1st   2024 2nd   2024 3rd    Calendar Year
Name of Issuer       CUSIP No.     Date      Date       Issue Date      Rate    to 1/1/24     Period     Period     Period         2024     
______________       _________   ________   ________   ____________   ________  _________    ________   ________   ________    _____________
U.S. Treasury        912810FD5   04/15/98   04/15/28     100.000       3.625      902.26     0.097308   0.180656   0.080000       49.42 
U.S. Treasury        912810FH6   04/15/99   04/15/29     100.000       3.875      871.55     0.095769   0.177760   0.078718       48.63 
U.S. Treasury        912810FQ6   10/15/01   04/15/32     100.000       3.375      733.36     0.088654   0.164645   0.072821       45.03 
U.S. Treasury        912810FR4   07/15/04   01/15/25     100.000       2.375      632.23    -0.105714   0.187348   0.058706       42.41 
U.S. Treasury        912810FS2   01/15/06   01/15/26     100.000       2.000      550.16    -0.100714   0.177901   0.055765       40.27 
U.S. Treasury        912810PS1   01/15/07   01/15/27     100.000       2.375      525.66    -0.099286   0.175138   0.054824       39.63 
U.S. Treasury        912810PV4   01/15/08   01/15/28     100.000       1.750      468.62    -0.095000   0.168564   0.052765       38.15 
U.S. Treasury        912810PZ5   01/15/09   01/15/29     100.000       2.500      433.03    -0.092857   0.164475   0.051529       37.23 
U.S. Treasury        912810QF8   02/15/10   02/15/40     100.000       2.125      423.48    -0.078889   0.184420   0.051439       36.98 
U.S. Treasury        912810QP6   02/15/11   02/15/41     100.000       2.125      404.95    -0.078000   0.181989   0.050863       36.50 
U.S. Treasury        912810QV3   02/15/12   02/15/42     100.000       0.750      361.61    -0.075333   0.176354   0.049281       35.38 
U.S. Treasury        912810RA8   02/15/13   02/15/43     100.000       0.625      338.22    -0.074222   0.173315   0.048417       34.76 
U.S. Treasury        912828B25   01/15/14   01/15/24     100.000       0.625      318.61    -0.085714                             -1.20 
U.S. Treasury        912810RF7   02/15/14   02/15/44     100.000       1.375      320.14    -0.073111   0.170994   0.047770       34.30 
U.S. Treasury        912828WU0   07/15/14   07/15/24     100.000       0.125      295.75    -0.084286   0.148729                  25.74 
U.S. Treasury        912828H45   01/15/15   01/15/25     100.000       0.250      298.99    -0.084286   0.149116   0.046706       33.75 
U.S. Treasury        912810RL4   02/15/15   02/15/45     100.000       0.750      306.56    -0.072444   0.169227   0.047266       33.94 
U.S. Treasury        912828XL9   07/15/15   07/15/25     100.000       0.375      297.40    -0.084286   0.148950   0.046647       33.71 
U.S. Treasury        912828N71   01/15/16   01/15/26     100.000       0.625      294.85    -0.084286   0.148619   0.046588       33.64 
U.S. Treasury        912810RR1   02/15/16   02/15/46     100.000       1.000      298.49    -0.071778   0.168177   0.046978       33.74 
U.S. Treasury        912828S50   07/15/16   07/15/26     100.000       0.125      283.56    -0.083571   0.147348   0.046176       33.35 
U.S. Treasury        912828V49   01/15/17   01/15/27     100.000       0.375      273.69    -0.082857   0.146188   0.045824       33.09 
U.S. Treasury        912810RW0   02/15/17   02/15/47     100.000       0.875      274.57    -0.070667   0.165083   0.046115       33.11 
U.S. Treasury        9128282L3   07/15/17   07/15/27     100.000       0.375      257.76    -0.082143   0.144420   0.045176       32.67 
U.S. Treasury        9128283R9   01/15/18   01/15/28     100.000       0.500      247.32    -0.081429   0.143204   0.044824       32.40 
U.S. Treasury        912810SB5   02/15/18   02/15/48     100.000       1.000      247.67    -0.069111   0.161602   0.045108       32.41 
U.S. Treasury        912828Y38   07/15/18   07/15/28     100.000       0.750      225.70    -0.080000   0.140718   0.044059       31.84 
U.S. Treasury        9128285W6   01/15/19   01/15/29     100.000       0.875      218.49    -0.079286   0.139834   0.043824       31.65 
U.S. Treasury        912810SG4   02/15/19   02/15/49     100.000       1.000      222.69    -0.067778   0.158343   0.044245       31.76 
U.S. Treasury        9128286N5   04/15/19   04/15/24     100.000       0.500      219.91     0.062404                              6.49 
U.S. Treasury        9128287D6   07/15/19   07/15/29     100.000       0.250      202.81    -0.078571   0.138066   0.043294       31.25 
U.S. Treasury        912828YL8   10/15/19   10/15/24     100.000       0.125      199.19     0.061346   0.113934                  27.23 
U.S. Treasury        912828Z37   01/15/20   01/15/30     100.000       0.125      195.84    -0.077143   0.137238   0.043000       31.07 
U.S. Treasury        912810SM1   02/15/20   02/15/50     100.000       0.250      196.72    -0.066222   0.154972   0.043309       31.09 
U.S. Treasury        912828ZJ2   04/15/20   04/15/25     100.000       0.125      191.13     0.060962   0.113115   0.050128       30.95 
U.S. Treasury        912828ZZ6   07/15/20   07/15/30     100.000       0.125      200.01    -0.078571   0.137790   0.043118       31.17 






SECTION I-C Inflation Indexed Debt Instruments


                                                       Inflation-Adj   Stated
                                  Issue     Maturity    Principal on  Interest  Total OID    2024 1st   2024 2nd   2024 3rd    Calendar Year
Name of Issuer       CUSIP No.     Date      Date       Issue Date      Rate    to 1/1/24     Period     Period     Period         2024     
______________       _________   ________   ________   ____________   ________  _________    ________   ________   ________    _____________
U.S. Treasury        91282CAQ4   10/15/20   10/15/25     100.000       0.125      185.77     0.060673   0.112623   0.049744       30.80 
U.S. Treasury        91282CBF7   01/15/21   01/15/31     100.000       0.125      181.91    -0.076429   0.135635   0.042529       30.71 
U.S. Treasury        912810SV1   02/15/21   02/15/51     100.000       0.125      181.75    -0.065333   0.153039   0.042734       30.70 
U.S. Treasury        91282CCA7   04/15/21   04/15/26     100.000       0.125      173.20     0.060000   0.111421   0.049231       30.47 
U.S. Treasury        91282CCM1   07/15/21   07/15/31     100.000       0.125      147.94    -0.075000   0.131768   0.041294       29.82 
U.S. Treasury        91282CDC2   10/15/21   10/15/26     100.000       0.125      125.94     0.057596   0.106940   0.047308       29.25 
U.S. Treasury        91282CDX6   01/15/22   01/15/32     100.000       0.125      109.91    -0.072143   0.127403   0.039941       28.84 
U.S. Treasury        912810TE8   02/15/22   02/15/52     100.000       0.125      105.24    -0.061333   0.143149   0.040000       28.71 
U.S. Treasury        91282CEJ6   04/15/22   04/15/27     100.000       0.125       89.69     0.055769   0.103497   0.045769       28.31 
U.S. Treasury        91282CEZ0   07/15/22   07/15/32     100.000       0.625       58.93    -0.068571   0.121547   0.038059       27.51 
U.S. Treasury        91282CFR7   10/15/22   10/15/27     100.000       1.625       38.63     0.053077   0.098689   0.043590       26.98 
U.S. Treasury        91282CGK1   01/15/23   01/15/33     100.000       1.125       32.88    -0.067143   0.118564   0.037176       26.84 
U.S. Treasury        912810TP3   02/15/23   02/15/53     100.000       1.500       35.04    -0.057333   0.134088   0.037410       26.89 
U.S. Treasury        91282CGW5   04/15/23   04/15/28     100.000       1.250       25.74     0.052500   0.097432   0.043077       26.65 
U.S. Treasury        91282CHP9   07/15/23   07/15/33     100.000       1.375       13.05    -0.065714   0.116243   0.036471       26.32 
U.S. Treasury        91282CJH5   10/15/23   10/15/28     100.000       2.375        4.50     0.051346   0.095410   0.042179       26.09 
U.S. Treasury        91282CJY8   01/15/24   01/15/34     100.000       1.750                            0.114917   0.035941       27.95 
U.S. Treasury        912810TY4   02/15/24   02/15/54     100.000       2.125                            0.129834   0.036259       29.02 
U.S. Treasury        91282CKL4   04/15/24   04/15/29     100.000       2.125                            0.095525   0.035765       17.46 
U.S. Treasury        91282CLE9   07/15/24   07/15/34     100.000       1.875                                       0.035235        5.13 
U.S. Treasury        91282CLV1   10/15/24   10/15/29     100.000       1.625                                       0.041026        2.78 






                                       Section II

                          STRIPPED COMPONENTS OF U.S. TREASURY AND
                              GOVERNMENT-SPONSORED ENTERPRISES


   FOR BROKERS & MIDDLEMEN ONLY: Original Issue Discount (OID) to be reported for stripped
   interest & principal components per $1000 Maturity Value (for calendar year 2024).

          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     01/01/24    03/31/24      13.25          07/01/32    09/30/32      27.95 
     04/01/24    06/30/24      25.63          10/01/32    12/31/32      27.68 
     07/01/24    09/30/24      36.43          01/01/33    03/31/33      27.42 
     10/01/24    12/31/24      46.09          04/01/33    06/30/33      27.16 
     01/01/25    03/31/25      43.89          07/01/33    09/30/33      26.90 
     04/01/25    06/30/25      41.84          10/01/33    12/31/33      26.65 
     07/01/25    09/30/25      40.41          01/01/34    03/31/34      26.44 
     10/01/25    12/31/25      39.19          04/01/34    06/30/34      26.19 
     01/01/26    03/31/26      38.19          07/01/34    09/30/34      25.99 
     04/01/26    06/30/26      37.20          10/01/34    12/31/34      25.79 
     07/01/26    09/30/26      36.50          01/01/35    03/31/35      25.59 
     10/01/26    12/31/26      35.73          04/01/35    06/30/35      25.39 
     01/01/27    03/31/27      35.14          07/01/35    09/30/35      25.18 
     04/01/27    06/30/27      34.56          10/01/35    12/31/35      24.98 
     07/01/27    09/30/27      34.08          01/01/36    03/31/36      24.82 
     10/01/27    12/31/27      33.60          04/01/36    06/30/36      24.62 
     01/01/28    03/31/28      33.13          07/01/36    09/30/36      24.42 
     04/01/28    06/30/28      32.67          10/01/36    12/31/36      24.21 
     07/01/28    09/30/28      32.29          01/01/37    03/31/37      24.05 
     10/01/28    12/31/28      31.92          04/01/37    06/30/37      23.84 
     01/01/29    03/31/29      31.62          07/01/37    09/30/37      23.64 
     04/01/29    06/30/29      31.40          10/01/37    12/31/37      23.44 
     07/01/29    09/30/29      31.18          01/01/38    03/31/38      23.23 
     10/01/29    12/31/29      30.89          04/01/38    06/30/38      23.03 
     01/01/30    03/31/30      30.67          07/01/38    09/30/38      22.86 
     04/01/30    06/30/30      30.38          10/01/38    12/31/38      22.65 
     07/01/30    09/30/30      30.16          01/01/39    03/31/39      22.45 
     10/01/30    12/31/30      29.88          04/01/39    06/30/39      22.25 
     01/01/31    03/31/31      29.59          07/01/39    09/30/39      22.04 
     04/01/31    06/30/31      29.31          10/01/39    12/31/39      21.84 
     07/01/31    09/30/31      29.04          01/01/40    03/31/40      21.63 
     10/01/31    12/31/31      28.76          04/01/40    06/30/40      21.41 
     01/01/32    03/31/32      28.49          07/01/40    09/30/40      21.21 
     04/01/32    06/30/32      28.22          10/01/40    12/31/40      21.01 
     01/01/41    03/31/41      20.79          04/01/49    06/30/49      14.71 
     04/01/41    06/30/41      20.59          07/01/49    09/30/49      14.56 






                                       Section II
                                      (continued)

          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     07/01/41    09/30/41      20.39          10/01/49    12/31/49      14.42 
     10/01/41    12/31/41      20.18          01/01/50    03/31/50      14.27 
     01/01/42    03/31/42      19.96          04/01/50    06/30/50      14.13 
     04/01/42    06/30/42      19.77          07/01/50    09/30/50      13.99 
     07/01/42    09/30/42      19.56          10/01/50    12/31/50      13.85 
     10/01/42    12/31/42      19.35          01/01/51    03/31/51      13.72 
     01/01/43    03/31/43      19.15          04/01/51    06/30/51      13.58 
     04/01/43    06/30/43      18.94          07/01/51    09/30/51      13.45 
     07/01/43    09/30/43      18.74          10/01/51    12/31/51      13.32 
     10/01/43    12/31/43      18.54          01/01/52    03/31/52      13.19 
     01/01/44    03/31/44      18.35          04/01/52    06/30/52      13.06 
     04/01/44    06/30/44      18.14          07/01/52    09/30/52      12.94 
     07/01/44    09/30/44      17.95          10/01/52    12/31/52      12.81 
     10/01/44    12/31/44      17.76          01/01/53    03/31/53      12.69 
     01/01/45    03/31/45      17.58          04/01/53    06/30/53      12.57 
     04/01/45    06/30/45      17.39          07/01/53    09/30/53      12.45 
     07/01/45    09/30/45      17.20          10/01/53    12/31/53      12.33 
     10/01/45    12/31/45      17.02          01/01/54    03/31/54      12.21 
     01/01/46    03/31/46      16.84          04/01/54    06/30/54      12.09 
     04/01/46    06/30/46      16.67          07/01/54    09/30/54      11.97 
     07/01/46    09/30/46      16.49          10/01/54    12/31/54      11.85 
     10/01/46    12/31/46      16.32          01/01/55    03/31/55      11.73 
     01/01/47    03/31/47      16.15          04/01/55    06/30/55      11.62 
     04/01/47    06/30/47      15.98          07/01/55    09/30/55      11.50 
     07/01/47    09/30/47      15.81          10/01/55    12/31/55      11.39 
     10/01/47    12/31/47      15.65          01/01/56    03/31/56      11.28 
     01/01/48    03/31/48      15.49          04/01/56    06/30/56      11.17 
     04/01/48    06/30/48      15.33          07/01/56    09/30/56      11.06 
     07/01/48    09/30/48      15.17          10/01/56    12/31/56      10.95 
     10/01/48    12/31/48      15.02          01/01/57    03/31/57      10.84 
     01/01/49    03/31/49      14.86          04/01/57    06/30/57      10.73 
     07/01/57    09/30/57      10.63          04/01/61    06/30/61       9.16 
     10/01/57    12/31/57      10.52          07/01/61    09/30/61       9.08 
     01/01/58    03/31/58      10.42          10/01/61    12/31/61       8.98 
     04/01/58    06/30/58      10.32          01/01/62    03/31/62       8.90 
     07/01/58    09/30/58      10.22          04/01/62    06/30/62       8.81 
     10/01/58    12/31/58      10.12          07/01/62    09/30/62       8.72 
     01/01/59    03/31/59      10.02          10/01/62    12/31/62       8.64 
     04/01/59    06/30/59       9.92          01/01/63    03/31/63       8.55 
     07/01/59    09/30/59       9.82          04/01/63    06/30/63       8.47 
     10/01/59    12/31/59       9.72          07/01/63    09/30/63       8.38 
     01/01/60    03/31/60       9.63          10/01/63    12/31/63       8.30 






                                       Section II
                                      (continued)

          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     04/01/60    06/30/60       9.53          01/01/64    03/31/64       8.22 
     07/01/60    09/30/60       9.44          04/01/64    06/30/64       8.14 
     10/01/60    12/31/60       9.35          07/01/64    09/30/64       8.06 
     01/01/61    03/31/61       9.26          10/01/64    12/31/64       7.98 






       Note:  This section lists OID for use SOLELY by brokers and other middlemen
    in preparing information returns for zero coupon instruments issued under the
    Department of the Treasury's STRIPS program, by government-sponsored enterprises
    such as the Resolution Funding Corporation and the Financing Corporation, or as
    instruments backed by U.S. Treasury securities that represent ownership
    interests in such securities.  If you owned or held such debt instruments in 2021,
    do not rely on the amounts listed in this section.  Instead, follow the OID
    computation rules and methods described earlier in this publication under
    "Figuring OID on Stripped Bonds and Coupons.
                               Section III-A

                      Short Term U.S. Treasury Bills
                    Issued at a Discount and Maturing
                      January 2024 - December 2025

                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912797HX8  01/02/24  09/05/23      98.238                17.62 
912797FW2  01/04/24  07/06/23      97.341                26.59 
912797HY6  01/09/24  09/12/23      98.236                17.64 
912797GC5  01/11/24  07/13/23      97.336                26.64 
912797HZ3  01/16/24  09/19/23      98.238                17.62 
912797GD3  01/18/24  07/20/23      97.346                26.54 
912797JA6  01/23/24  09/26/23      98.235                17.65 
912796ZY8  01/25/24  01/26/23      95.480                45.20 
912797JB4  01/30/24  10/03/23      98.233                17.67 
912797GE1  02/01/24  08/03/23      97.336                26.64 
912797JC2  02/06/24  10/10/23      98.232                17.68 
912797GM3  02/08/24  08/10/23      97.338                26.62 
912797JD0  02/13/24  10/17/23      98.230                17.70 
912797GN1  02/15/24  08/17/23      97.326                26.74 
912797JE8  02/20/24  10/24/23      98.230                17.70 
912796Z28  02/22/24  02/23/23      95.152                48.48 
912797JF5  02/27/24  10/31/23      98.236                17.64 
912797GP6  02/29/24  08/31/23      97.295                27.05 
912797JG3  03/05/24  11/07/23      98.235                17.65 
912797GQ4  03/07/24  09/07/23      97.321                26.79 
912797JH1  03/12/24  11/14/23      98.253                17.47 
912797GX9  03/14/24  09/14/23      97.321                26.79 
912797JJ7  03/19/24  11/21/23      98.263                17.37 
912797LL9  03/21/24  03/23/23      95.561                44.39 
912797JK4  03/26/24  11/28/23      98.261                17.39 
912797GY7  03/28/24  09/28/23      97.313                26.87 
912797JL2  04/02/24  12/05/23      98.268                17.32 
912797GZ4  04/04/24  10/05/23      97.300                27.00 
912797JM0  04/09/24  12/12/23      98.268                17.32 
912797HF7  04/11/24  10/12/23      97.310                26.90 
912797JN8  04/16/24  12/19/23      98.265                17.35 
912796CX5  04/18/24  04/20/23      95.420                45.80 
912797JP3  04/23/24  12/26/23      98.275                17.25 
912797HG5  04/25/24  10/26/23      97.308                26.92 
912797JQ1  04/30/24  01/02/24      98.278                17.22 
912797HH3  05/02/24  11/02/23      97.310                26.90 






                               Section III-A
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912797JV0  05/07/24  01/09/24      98.281                17.19 
912797HQ3  05/09/24  11/09/23      97.341                26.59 
912797JW8  05/14/24  01/16/24      98.288                17.12 
912797FH5  05/16/24  05/18/23      95.303                46.97 
912797JX6  05/21/24  01/23/24      98.286                17.14 
912797HR1  05/23/24  11/24/23      97.370                26.30 
912797JY4  05/28/24  01/30/24      98.286                17.14 
912797HS9  05/30/24  11/30/23      97.351                26.49 
912797JZ1  06/04/24  02/06/24      98.298                17.02 
912797HT7  06/06/24  12/07/23      97.376                26.24 
912797KE6  06/11/24  02/13/24      98.288                17.12 
912797FS1  06/13/24  06/15/23      95.015                49.85 
912797KF3  06/18/24  02/20/24      98.276                17.24 
912796ZW2  06/20/24  12/21/23      97.407                25.93 
912797KG1  06/25/24  02/27/24      98.276                17.24 
912796Y45  06/27/24  12/28/23      97.432                25.68 
912797KH9  07/02/24  03/05/24      98.273                17.27 
912796Y52  07/05/24  01/04/24      97.435                25.65 
912797KN6  07/09/24  03/12/24      98.279                17.21 
912797GB7  07/11/24  07/13/23      94.813                51.87 
912797KP1  07/16/24  03/19/24      98.278                17.22 
912797JS7  07/18/24  01/18/24      97.485                25.15 
912797KQ9  07/23/24  03/26/24      98.276                17.24 
912797JT5  07/25/24  01/25/24      97.462                25.38 
912797KR7  07/30/24  04/02/24      98.279                17.21 
912797JU2  08/01/24  02/01/24      97.480                25.20 
912797KW6  08/06/24  04/09/24      98.281                17.19 
912797GK7  08/08/24  08/10/23      94.884                51.16 
912797KX4  08/13/24  04/16/24      98.271                17.29 
912797KB2  08/15/24  02/15/24      97.439                25.61 
912797KY2  08/20/24  04/23/24      98.268                17.32 
912797KC0  08/22/24  02/22/24      97.422                25.78 
912797KZ9  08/27/24  04/30/24      98.268                17.32 
912797KD8  08/29/24  02/29/24      97.407                25.93 
912797LA3  09/03/24  05/07/24      98.266                17.34 
912797GL5  09/05/24  09/07/23      94.823                51.77 
912797LG0  09/10/24  05/14/24      98.268                17.32 
912797KK2  09/12/24  03/14/24      97.422                25.78 
912797LH8  09/17/24  05/21/24      98.270                17.30 
912797KL0  09/19/24  03/21/24      97.407                25.93 
912797LJ4  09/24/24  05/28/24      98.270                17.30 
912797KM8  09/26/24  03/28/24      97.419                25.81 






                               Section III-A
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912797LK1  10/01/24  06/04/24      98.268                17.32 
912797GW1  10/03/24  10/05/23      94.757                52.43 
912797LS4  10/08/24  06/11/24      98.273                17.27 
912797KT3  10/10/24  04/11/24      97.412                25.88 
912797LT2  10/15/24  06/18/24      98.275                17.25 
912797KU0  10/17/24  04/18/24      97.394                26.06 
912797LU9  10/22/24  06/25/24      98.275                17.25 
912797KV8  10/24/24  04/25/24      97.391                26.09 
912797LV7  10/29/24  07/02/24      98.275                17.25 
912797HE0  10/31/24  11/02/23      94.808                51.92 
912797MA2  11/05/24  07/09/24      98.279                17.21 
912797LC9  11/07/24  05/09/24      97.394                26.06 
912797MB0  11/12/24  07/16/24      98.283                17.17 
912797LD7  11/14/24  05/16/24      97.389                26.11 
912797MC8  11/19/24  07/23/24      98.303                16.97 
912797LE5  11/21/24  05/23/24      97.391                26.09 
912797MD6  11/26/24  07/30/24      98.309                16.91 
912797HP5  11/29/24  11/30/23      94.996                50.04 
912797ME4  12/03/24  08/06/24      98.317                16.83 
912797LF2  12/05/24  06/06/24      97.394                26.06 
912797MN4  12/10/24  08/13/24      98.351                16.49 
912797LP0  12/12/24  06/13/24      97.389                26.11 
912797MP9  12/17/24  08/20/24      98.354                16.46 
912797LQ8  12/19/24  06/20/24      97.396                26.04 
912797MQ7  12/24/24  08/27/24      98.374                16.26 
912796ZV4  12/26/24  12/28/23      95.354                46.46 
912797MR5  12/31/24  09/03/24      98.390                16.10 
912797LR6  01/02/25  07/05/24      97.428                25.72 
912797MW4  01/07/25  09/10/24      98.410                15.90 
912797LX3  01/09/25  07/11/24      97.432                25.68 
912797MX2  01/14/25  09/17/24      98.433                15.67 
912797LY1  01/16/25  07/18/24      97.480                25.20 
912797MY0  01/21/25  09/24/24      98.460                15.40 
912797JR9  01/23/25  01/25/24      95.379                46.21 
912797MZ7  01/28/25  10/01/24      98.536                14.64 
912797LZ8  01/30/25  08/01/24      97.508                24.92 
912797NF0  02/04/25  10/08/24      98.542                14.58 
912797MJ3  02/06/25  08/08/24      97.624                23.76 
912797NG8  02/11/25  10/15/24      98.536                14.64 
912797MK0  02/13/25  08/15/24      97.576                24.24 
912797NH6  02/18/25  10/22/24      98.539                14.61 
912797KA4  02/20/25  02/22/24      95.253                47.47 






                               Section III-A
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912797NJ2  02/25/25  10/29/24      98.531                14.69 
912797ML8  02/27/25  08/29/24      97.631                23.69 
912797NK9  03/04/25  11/05/24      98.536                14.64 
912797MM6  03/06/25  09/05/24      97.652                23.48 
912797NQ6  03/11/25  11/12/24      98.542                14.58 
912797MT1  03/13/25  09/12/24      97.710                22.90 
912797NR4  03/18/25  11/19/24      98.555                14.45 
912797KJ5  03/20/25  03/21/24      95.137                48.63 
912797NS2  03/25/25  11/26/24      98.552                14.48 
912797MU8  03/27/25  09/26/24      97.841                21.59 
912797NT0  04/01/25  12/03/24      98.549                14.51 
912797MV6  04/03/25  10/03/24      97.869                21.31 
912797NY9  04/08/25  12/10/24      98.574                14.26 
912797NB9  04/10/25  10/10/24      97.824                21.76 
912797NZ6  04/15/25  12/17/24      98.598                14.02 
912797KS5  04/17/25  04/18/24      95.030                49.70 
912797PA9  04/22/25  12/24/24      98.605                13.95 
912797NC7  04/24/25  10/24/24      97.821                21.79 
912797PB7  04/29/25  12/31/24      98.602                13.98 
912797ND5  05/01/25  10/31/24      97.813                21.87 
912797PC5  05/06/25  01/07/25      98.613                13.87 
912797NE3  05/08/25  11/07/24      97.846                21.54 
912797PH4  05/13/25  01/14/25      98.615                13.85 
912797LB1  05/15/25  05/16/24      95.051                49.49 
912797NM5  05/22/25  11/21/24      97.821                21.79 
912797NN3  05/29/25  11/29/24      97.818                21.82 
912797NP8  06/05/25  12/05/24      97.824                21.76 
912797LN5  06/12/25  06/13/24      95.030                49.70 
912797NV5  06/20/25  12/19/24      97.885                21.15 
912797NW3  06/26/25  12/26/24      97.892                21.08 
912797NX1  07/03/25  01/02/25      97.910                20.90 
912797LW5  07/10/25  07/11/24      95.172                48.28 
912797PE1  07/17/25  01/16/25       0.000                10.00 
912797MG9  08/07/25  08/08/24      95.698                43.02 
912797MH7  09/04/25  09/05/24      95.804                41.96 
912797MS3  10/02/25  10/03/24      96.178                38.22 
912797NA1  10/30/25  10/31/24      95.854                41.46 
912797NL7  11/28/25  11/29/24      95.763                42.37 
912797NU7  12/26/25  12/26/24      95.873                41.27 






                               Section III-B

                            FEDERAL HOME LOAN BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2024

                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313384RG6  01/02/24  01/03/23      95.298                47.02 
313384RH4  01/03/24  01/03/23      95.285                47.15 
313384RJ0  01/04/24  01/05/23      95.258                47.42 
313384RK7  01/05/24  01/05/23      95.245                47.55 
313384RN1  01/08/24  01/11/23      95.344                46.56 
313384RP6  01/09/24  01/11/23      95.331                46.69 
313384RQ4  01/10/24  01/11/23      95.319                46.81 
313384RR2  01/11/24  01/11/23      95.306                46.94 
313384RS0  01/12/24  01/13/23      95.405                45.95 
313384RW1  01/16/24  01/17/23      95.298                47.02 
313384RX9  01/17/24  01/17/23      95.285                47.15 
313384RY7  01/18/24  02/06/23      95.435                45.65 
313384RZ4  01/19/24  01/19/23      95.407                45.93 
313384SC4  01/22/24  01/24/23      95.342                46.58 
313384SD2  01/23/24  01/24/23      95.329                46.71 
313384SE0  01/24/24  01/24/23      95.330                46.70 
313384SF7  01/25/24  01/25/23      95.331                46.69 
313384SG5  01/26/24  01/30/23      95.377                46.23 
313384SK6  01/29/24  01/30/23      95.334                46.66 
313384SL4  01/30/24  01/30/23      95.321                46.79 
313384SM2  01/31/24  01/31/23      95.322                46.78 
313384SN0  02/01/24  02/03/23      95.311                46.89 
313384SP5  02/02/24  02/02/23      95.346                46.54 
313384SS9  02/05/24  02/07/23      95.200                48.00 
313384ST7  02/06/24  02/06/23      95.184                48.16 
313384SU4  02/07/24  02/07/23      95.180                48.20 
313384SV2  02/08/24  02/10/23      95.180                48.20 
313384SW0  02/09/24  02/10/23      95.167                48.33 
313384SZ3  02/12/24  02/13/23      95.167                48.33 
313384TA7  02/13/24  09/20/23      97.855                21.45 
313384TB5  02/14/24  02/14/23      95.133                48.67 
313384TC3  02/15/24  02/16/23      95.157                48.43 
313384TD1  02/16/24  02/24/23      95.101                48.99 
313384TH2  02/20/24  02/24/23      95.021                49.79 
313384TJ8  02/21/24  02/22/23      95.041                49.59 
313384TK5  02/22/24  02/23/23      95.025                49.75 






                               Section III-B
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313384TL3  02/23/24  02/23/23      94.996                50.04 
313384TP4  02/26/24  02/27/23      94.934                50.66 
313384TQ2  02/27/24  02/27/23      94.920                50.80 
313384TR0  02/28/24  02/28/23      94.910                50.90 
313384TS8  02/29/24  03/01/23      94.925                50.75 
313384TT6  03/01/24  03/01/23      94.891                51.09 
313384TW9  03/04/24  03/07/23      94.918                50.82 
313384TX7  03/05/24  03/09/23      94.811                51.89 
313384TY5  03/06/24  03/06/23      94.846                51.54 
313384TZ2  03/07/24  03/07/23      94.866                51.34 
313384UA5  03/08/24  03/09/23      94.879                51.21 
313384UD9  03/11/24  03/15/23      95.224                47.76 
313384UE7  03/12/24  03/13/23      94.931                50.69 
313384UF4  03/13/24  04/13/23      95.915                40.85 
313384UG2  03/14/24  03/14/23      95.171                48.29 
313384UH0  03/15/24  03/29/23      95.717                42.83 
313384UL1  03/18/24  04/13/23      95.868                41.32 
313384UM9  03/19/24  06/26/23      96.225                37.75 
313384UN7  03/20/24  04/20/23      95.715                42.85 
313384UP2  03/21/24  05/10/23      95.967                40.33 
313384UQ0  03/22/24  04/24/23      95.708                42.92 
313384UT4  03/25/24  03/30/23      95.508                44.92 
313384UU1  03/26/24  08/03/23      96.578                34.22 
313384UV9  03/27/24  04/19/23      95.603                43.97 
313384UW7  03/28/24  04/03/23      95.523                44.77 
313384VA4  04/01/24  04/03/23      95.501                44.99 
313384VB2  04/02/24  04/18/23      95.620                43.80 
313384VC0  04/03/24  04/04/23      95.468                45.32 
313384VD8  04/04/24  07/14/23      96.224                37.76 
313384VE6  04/05/24  05/03/23      95.728                42.72 
313384VH9  04/08/24  06/09/23      95.774                42.26 
313384VJ5  04/09/24  04/11/23      95.501                44.99 
313384VK2  04/10/24  04/11/23      95.458                45.42 
313384VL0  04/11/24  04/11/23      95.445                45.55 
313384VM8  04/12/24  04/12/23      95.476                45.24 
313384VQ9  04/15/24  04/17/23      95.298                47.02 
313384VR7  04/16/24  04/17/23      95.478                45.22 
313384VS5  04/17/24  04/26/23      95.547                44.53 
313384VT3  04/18/24  04/19/23      95.356                46.44 
313384VU0  04/19/24  04/21/23      95.410                45.90 
313384VX4  04/22/24  04/26/23      95.505                44.95 
313384VY2  04/23/24  04/27/23      95.450                45.50 






                               Section III-B
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313384VZ9  04/24/24  04/25/23      95.407                45.93 
313384WA3  04/25/24  06/21/23      95.661                43.39 
313384WB1  04/26/24  05/01/23      95.377                46.23 
313384WE5  04/29/24  05/01/23      95.354                46.46 
313384WF2  04/30/24  05/01/23      95.341                46.59 
313384WG0  05/01/24  05/26/23      95.273                47.27 
313384WH8  05/02/24  05/04/23      95.324                46.76 
313384WJ4  05/03/24  05/05/23      95.450                45.50 
313384WM7  05/06/24  05/11/23      95.523                44.77 
313384WN5  05/07/24  05/10/23      95.362                46.38 
313384WP0  05/08/24  05/26/23      95.191                48.09 
313384WQ8  05/09/24  05/10/23      95.336                46.64 
313384WR6  05/10/24  05/11/23      95.336                46.64 
313384WU9  05/13/24  05/23/23      95.298                47.02 
313384WV7  05/14/24  06/01/23      95.273                47.27 
313384WW5  05/15/24  06/01/23      95.259                47.41 
313384WX3  05/16/24  06/21/23      95.385                46.15 
313384WY1  05/17/24  05/23/23      95.245                47.55 
313384XB0  05/20/24  05/22/23      95.263                47.37 
313384XC8  05/21/24  06/02/23      95.251                47.49 
313384XD6  05/22/24  06/02/23      95.237                47.63 
313384XE4  05/23/24  05/24/23      95.174                48.26 
313384XF1  05/24/24  05/30/23      95.080                49.20 
313384XK0  05/28/24  08/07/23      95.776                42.24 
313384XL8  05/29/24  06/01/23      95.145                48.55 
313384XM6  05/30/24  05/31/23      94.931                50.69 
313384XN4  05/31/24  06/01/23      95.118                48.82 
313384XR5  06/03/24  06/05/23      95.051                49.49 
313384XS3  06/04/24  06/06/23      95.051                49.49 
313384XT1  06/05/24  06/06/23      95.037                49.63 
313384XU8  06/06/24  06/07/23      95.032                49.68 
313384XV6  06/07/24  06/08/23      95.007                49.93 
313384XY0  06/10/24  06/12/23      95.056                49.44 
313384XZ7  06/11/24  06/12/23      95.042                49.58 
313384YA1  06/12/24  06/16/23      95.002                49.98 
313384YB9  06/13/24  08/16/23      95.642                43.58 
313384YC7  06/14/24  06/15/23      94.966                50.34 
313384YF0  06/17/24  06/21/23      94.972                50.28 
313384YG8  06/18/24  06/20/23      94.970                50.30 
313384YJ2  06/20/24  06/23/23      94.968                50.32 
313384YK9  06/21/24  06/23/23      94.955                50.45 
313384YN3  06/24/24  06/27/23      94.963                50.37 






                               Section III-B
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313384YP8  06/25/24  06/30/23      94.916                50.84 
313384YQ6  06/26/24  06/27/23      94.936                50.64 
313384YR4  06/27/24  06/28/23      94.880                51.20 
313384YS2  06/28/24  06/29/23      94.834                51.66 
313384YV5  07/01/24  07/03/23      94.864                51.36 
313384YW3  07/02/24  07/03/23      94.849                51.51 
313384YX1  07/03/24  07/17/23      95.082                49.18 
313384YZ6  07/05/24  07/20/23      95.057                49.43 
313384ZC6  07/08/24  07/18/23      95.061                49.39 
313384ZD4  07/09/24  07/19/23      95.046                49.54 
313384ZE2  07/10/24  07/11/23      94.768                52.32 
313384ZF9  07/11/24  07/12/23      94.768                52.32 
313384ZG7  07/12/24  07/17/23      94.956                50.44 
313384ZK8  07/15/24  07/19/23      94.942                50.58 
313384ZL6  07/16/24  08/16/23      95.240                47.60 
313384ZM4  07/17/24  07/20/23      94.928                50.72 
313384ZN2  07/18/24  08/21/23      95.264                47.36 
313384ZP7  07/19/24  08/08/23      95.146                48.54 
313384ZS1  07/22/24  07/26/23      94.902                50.98 
313384ZT9  07/23/24  08/24/23      95.222                47.78 
313384ZU6  07/24/24  09/07/23      95.395                46.05 
313384ZV4  07/25/24  08/18/23      95.131                48.69 
313384ZW2  07/26/24  07/28/23      94.848                51.52 
313384ZZ5  07/29/24  08/07/23      94.982                50.18 
313384A25  07/30/24  10/06/23      95.671                43.29 
313384A33  07/31/24  08/08/23      94.968                50.32 
313384A41  08/01/24  08/03/23      94.859                51.41 
313384A58  08/02/24  08/03/23      94.855                51.45 
313384A82  08/05/24  08/16/23      94.951                50.49 
313384A90  08/06/24  10/12/23      95.710                42.90 
313384B24  08/07/24  08/23/23      95.017                49.83 
313384B32  08/08/24  08/21/23      95.019                49.81 
313384B40  08/09/24  08/14/23      94.886                51.14 
313384B73  08/12/24  09/27/23      95.378                46.22 
313384B81  08/13/24  08/14/23      94.844                51.56 
313384B99  08/14/24  08/17/23      94.883                51.17 
313384C23  08/15/24  08/16/23      94.789                52.11 
313384C31  08/16/24  08/16/23      94.774                52.26 
313384C64  08/19/24  09/21/23      95.209                47.92 
313384C72  08/20/24  09/08/23      95.036                49.64 
313384C80  08/21/24  08/23/23      94.843                51.57 
313384C98  08/22/24  09/14/23      95.074                49.26 






                               Section III-B
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313384D22  08/23/24  08/30/23      94.924                50.76 
313384D55  08/26/24  09/12/23      94.993                50.07 
313384D63  08/27/24  08/28/23      94.758                52.42 
313384D71  08/28/24  08/30/23      94.772                52.28 
313384D89  08/29/24  09/07/23      94.928                50.72 
313384D97  08/30/24  09/05/23      94.900                51.00 
313384E54  09/03/24  09/07/23      94.821                51.79 
313384E62  09/04/24  09/11/23      94.869                51.31 
313384E70  09/05/24  09/07/23      94.793                52.07 
313384E88  09/06/24  09/08/23      94.808                51.92 
313384F38  09/09/24  09/13/23      94.811                51.89 
313384F46  09/10/24  09/12/23      94.798                52.02 
313384F53  09/11/24  10/13/23      95.213                47.87 
313384F61  09/12/24  10/17/23      95.256                47.44 
313384F79  09/13/24  09/18/23      94.826                51.74 
313384G29  09/16/24  09/19/23      94.797                52.03 
313384G37  09/17/24  10/18/23      95.170                48.30 
313384G45  09/18/24  10/13/23      95.122                48.78 
313384G52  09/19/24  10/12/23      95.093                49.07 
313384G60  09/20/24  09/20/23      94.724                52.76 
313384G94  09/23/24  10/18/23      95.093                49.07 
313384H28  09/24/24  10/30/23      95.256                47.44 
313384H36  09/25/24  09/26/23      94.733                52.67 
313384H44  09/26/24  09/28/23      94.752                52.48 
313384H51  09/27/24  10/18/23      95.026                49.74 
313384H85  09/30/24  11/02/23      95.278                47.22 
313384H93  10/01/24  10/10/23      94.928                50.72 
313384J26  10/02/24  10/04/23      94.770                52.30 
313384J34  10/03/24  10/26/23      95.088                49.12 
313384J42  10/04/24  10/12/23      94.928                50.72 
313384J75  10/07/24  10/16/23      94.923                50.77 
313384J83  10/08/24  10/16/23      94.908                50.92 
313384J91  10/09/24  10/16/23      94.894                51.06 
313384K24  10/10/24  10/16/23      94.880                51.20 
313384K32  10/11/24  10/13/23      94.813                51.87 
313384K73  10/15/24  10/26/23      94.931                50.69 
313384K81  10/16/24  10/31/23      95.013                49.87 
313384K99  10/17/24  10/19/23      94.768                52.32 
313384L23  10/18/24  10/18/23      94.713                52.87 
313384L56  10/21/24  10/31/23      94.952                50.48 
313384L64  10/22/24  10/24/23      94.818                51.82 
313384L72  10/23/24  11/02/23      94.947                50.53 






                               Section III-B
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313384L80  10/24/24  11/01/23      94.899                51.01 
313384L98  10/25/24  10/27/23      94.808                51.92 
313384M48  10/28/24  10/31/23      94.863                51.37 
313384M55  10/29/24  11/09/23      95.045                49.55 
313384M63  10/30/24  11/03/23      94.967                50.33 
313384M71  10/31/24  11/14/23      95.028                49.72 
313384M89  11/01/24  11/08/23      94.989                50.11 
313384N39  11/04/24  11/06/23      94.950                50.50 
313384N47  11/05/24  11/08/23      94.943                50.57 
313384N54  11/06/24  11/15/23      95.066                49.34 
313384N62  11/07/24  11/08/23      94.915                50.85 
313384N70  11/08/24  11/16/23      95.068                49.32 
313384P37  11/12/24  11/17/23      95.036                49.64 
313384P45  11/13/24  11/15/23      94.985                50.15 
313384P52  11/14/24  11/14/23      94.886                51.14 
313384P60  11/15/24  11/17/23      94.995                50.05 
313384P94  11/18/24  12/06/23      95.341                46.59 
313384Q28  11/19/24  03/13/24      96.549                34.51 
313384Q36  11/20/24  11/22/23      94.985                50.15 
313384Q44  11/21/24  11/24/23      94.999                50.01 
313384Q51  11/22/24  01/19/24      95.975                40.25 
313384Q85  11/25/24  12/29/23      95.666                43.34 
313384Q93  11/26/24  01/04/24      95.781                42.19 
313384R27  11/27/24  11/30/23      95.100                49.00 
313384R43  11/29/24  12/11/23      95.280                47.20 
313384R76  12/02/24  12/04/23      95.172                48.28 
313384R84  12/03/24  12/08/23      95.142                48.58 
313384R92  12/04/24  02/12/24      96.070                39.30 
313384S26  12/05/24  12/11/23      95.115                48.85 
313384S34  12/06/24  12/08/23      95.103                48.97 
313384S67  12/09/24  12/11/23      95.076                49.24 
313384S75  12/10/24  12/11/23      95.062                49.38 
313384S83  12/11/24  12/26/23      95.539                44.61 
313384S91  12/12/24  12/15/23      95.281                47.19 
313384T25  12/13/24  12/15/23      95.314                46.86 
313384T58  12/16/24  12/18/23      95.298                47.02 
313384T66  12/17/24  12/20/23      95.316                46.84 
313384T74  12/18/24  01/17/24      95.800                42.00 
313384T82  12/19/24  12/21/23      95.389                46.11 
313384T90  12/20/24  12/21/23      95.377                46.23 
313384U49  12/23/24  12/27/23      95.435                45.65 
313384U56  12/24/24  12/27/23      95.422                45.78 






                               Section III-B
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313384U72  12/26/24  12/27/23      95.397                46.03 
313384U80  12/27/24  12/28/23      95.402                45.98 
313384V30  12/30/24  01/02/24      95.417                45.83 
313384V48  12/31/24  01/02/24      95.405                45.95 






                               Section III-C

                    FEDERAL NATIONAL MORTGAGE ASSOCIATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2024

                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313588RG2  01/02/24  02/21/23      95.761                42.39 
313588RH0  01/03/24  12/01/23      99.520                 4.80 
313588RJ6  01/04/24  07/19/23      97.585                24.15 
313588RK3  01/05/24  12/08/23      99.592                 4.08 
313588RN7  01/08/24  11/16/23      99.232                 7.69 
313588RP2  01/09/24  09/15/23      98.318                16.82 
313588RQ0  01/10/24  03/03/23      95.653                43.47 
313588RR8  01/11/24  07/19/23      97.485                25.15 
313588RS6  01/12/24  11/17/23      99.186                 8.14 
313588RW7  01/16/24  06/06/23      96.911                30.89 
313588RX5  01/17/24  03/03/23      95.556                44.44 
313588RY3  01/18/24  01/17/24      99.985                 0.15 
313588RZ0  01/19/24  11/28/23      99.243                 7.57 
313588SC0  01/22/24  12/15/23      99.447                 5.53 
313588SD8  01/23/24  02/23/23      95.477                45.23 
313588SE6  01/24/24  11/29/23      99.184                 8.16 
313588SG1  01/26/24  03/09/23      95.375                46.25 
313588SK2  01/29/24  09/28/23      98.215                17.85 
313588SL0  01/30/24  10/24/23      98.576                14.24 
313588SM8  01/31/24  02/14/23      95.379                46.22 
313588SN6  02/01/24  02/22/23      95.356                46.44 
313588SP1  02/02/24  02/13/23      95.359                46.41 
313588SS5  02/05/24  02/16/23      95.265                47.35 
313588ST3  02/06/24  01/25/24      99.826                 1.74 
313588SU0  02/07/24  02/23/23      95.259                47.41 
313588SV8  02/08/24  09/21/23      97.970                20.30 
313588SW6  02/09/24  02/15/23      95.213                47.87 
313588SZ9  02/12/24  01/05/24      99.451                 5.49 
313588TA3  02/13/24  02/23/23      95.178                48.22 
313588TB1  02/14/24  02/23/23      95.164                48.36 
313588TC9  02/15/24  12/05/23      98.952                10.48 
313588TD7  02/16/24  02/24/23      95.151                48.49 
313588TH8  02/20/24  12/07/23      98.911                10.89 
313588TJ4  02/21/24  01/17/24      99.492                 5.08 
313588TK1  02/22/24  09/21/23      97.767                22.33 
313588TL9  02/23/24  10/16/23      98.110                18.90 






                               Section III-C
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313588TQ8  02/27/24  08/15/23      97.177                28.23 
313588TR6  02/28/24  11/28/23      98.662                13.38 
313588TS4  02/29/24  08/24/23      97.267                27.33 
313588TT2  03/01/24  09/14/23      97.554                24.46 
313588TW5  03/04/24  11/20/23      98.479                15.21 
313588TY1  03/06/24  12/06/23      98.676                13.24 
313588TZ8  03/07/24  02/22/24      99.798                 2.02 
313588UA1  03/08/24  08/24/23      97.157                28.43 
313588UD5  03/11/24  02/07/24      99.521                 4.79 
313588UE3  03/12/24  03/05/24      99.898                 1.02 
313588UF0  03/13/24  12/05/23      98.565                14.36 
313588UG8  03/14/24  02/05/24      99.448                 5.52 
313588UH6  03/15/24  11/14/23      98.238                17.62 
313588UL7  03/18/24  01/05/24      98.949                10.51 
313588UM5  03/19/24  12/19/23      98.684                13.16 
313588UN3  03/20/24  01/12/24      99.019                 9.81 
313588UP8  03/21/24  03/13/24      99.884                 1.16 
313588UQ6  03/22/24  12/27/23      98.763                12.37 
313588UU7  03/26/24  03/05/24      99.696                 3.04 
313588UV5  03/27/24  09/21/23      97.271                27.29 
313588UW3  03/28/24  08/24/23      96.872                31.28 
313588VA0  04/01/24  09/25/23      97.267                27.33 
313588VB8  04/02/24  11/21/23      98.077                19.23 
313588VC6  04/03/24  11/21/23      98.063                19.37 
313588VD4  04/04/24  12/07/23      98.286                17.14 
313588VE2  04/05/24  03/13/24      99.667                 3.34 
313588VH5  04/08/24  02/16/24      99.254                 7.46 
313588VJ1  04/09/24  04/02/24      99.898                 1.02 
313588VK8  04/10/24  10/11/23      97.371                26.29 
313588VL6  04/11/24  04/05/24      99.913                 0.87 
313588VM4  04/12/24  03/01/24      99.395                 6.05 
313588VQ5  04/15/24  10/31/23      97.581                24.19 
313588VR3  04/16/24  12/07/23      98.121                18.79 
313588VS1  04/17/24  12/07/23      98.106                18.94 
313588VT9  04/18/24  12/07/23      98.092                19.08 
313588VU6  04/19/24  01/23/24      98.758                12.42 
313588VX0  04/22/24  02/20/24      99.110                 8.90 
313588VY8  04/23/24  02/21/24      99.110                 8.90 
313588VZ5  04/24/24  03/12/24      99.378                 6.22 
313588WB7  04/26/24  04/25/24      99.985                 0.15 
313588WE1  04/29/24  02/02/24      98.755                12.45 
313588WF8  04/30/24  10/06/23      97.010                29.90 






                               Section III-C
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313588WG6  05/01/24  11/01/23      97.122                28.78 
313588WH4  05/02/24  10/18/23      97.133                28.67 
313588WJ0  05/03/24  10/27/23      97.267                27.33 
313588WM3  05/06/24  12/05/23      97.818                21.82 
313588WN1  05/07/24  09/18/23      96.681                33.19 
313588WP6  05/08/24  03/13/24      99.193                 8.07 
313588WQ4  05/09/24  10/18/23      97.031                29.69 
313588WR2  05/10/24  09/19/23      96.653                33.48 
313588WU5  05/13/24  12/04/23      97.715                22.85 
313588WW1  05/15/24  03/21/24      99.206                 7.94 
313588WX9  05/16/24  04/18/24      99.593                 4.07 
313588WY7  05/17/24  03/01/24      98.893                11.07 
313588XB6  05/20/24  03/21/24      99.133                 8.67 
313588XC4  05/21/24  02/08/24      98.535                14.65 
313588XE0  05/23/24  05/01/24      99.680                 3.20 
313588XF7  05/24/24  09/29/23      96.569                34.31 
313588XL4  05/29/24  12/07/23      97.542                24.58 
313588XM2  05/30/24  09/25/23      96.428                35.72 
313588XN0  05/31/24  09/27/23      96.443                35.57 
313588XR1  06/03/24  02/15/24      98.448                15.52 
313588XS9  06/04/24  02/15/24      98.434                15.66 
313588XT7  06/05/24  02/15/24      98.420                15.80 
313588XU4  06/06/24  02/15/24      98.406                15.94 
313588XV2  06/07/24  10/02/23      96.403                35.97 
313588XY6  06/10/24  03/08/24      98.658                13.42 
313588XZ3  06/11/24  04/18/24      99.219                 7.82 
313588YA7  06/12/24  03/01/24      98.525                14.75 
313588YB5  06/13/24  09/27/23      96.270                37.30 
313588YC3  06/14/24  01/17/24      97.939                20.61 
313588YF6  06/17/24  04/08/24      98.993                10.07 
313588YG4  06/18/24  03/20/24      98.709                12.91 
313588YJ8  06/20/24  05/15/24      99.478                 5.22 
313588YK5  06/21/24  04/05/24      98.895                11.05 
313588YN9  06/24/24  04/02/24      98.809                11.91 
313588YQ2  06/26/24  10/13/23      96.320                36.80 
313588YR0  06/27/24  10/12/23      96.277                37.23 
313588YS8  06/28/24  03/21/24      98.587                14.14 
313588YV1  07/01/24  01/02/24      97.290                27.10 
313588YW9  07/02/24  06/06/24      99.622                 3.78 
313588YX7  07/03/24  04/11/24      98.808                11.92 
313588YZ2  07/05/24  06/05/24      99.564                 4.36 
313588ZC2  07/08/24  03/13/24      98.338                16.62 






                               Section III-C
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313588ZD0  07/09/24  06/20/24      99.723                 2.77 
313588ZE8  07/10/24  06/07/24      99.520                 4.80 
313588ZF5  07/11/24  04/01/24      98.561                14.39 
313588ZG3  07/12/24  06/12/24      99.564                 4.36 
313588ZK4  07/15/24  04/12/24      98.654                13.46 
313588ZL2  07/16/24  06/20/24      99.622                 3.78 
313588ZM0  07/17/24  04/04/24      98.518                14.82 
313588ZN8  07/18/24  06/20/24      99.592                 4.08 
313588ZP3  07/19/24  06/27/24      99.681                 3.19 
313588ZS7  07/22/24  04/05/24      98.464                15.36 
313588ZT5  07/23/24  06/21/24      99.534                 4.66 
313588ZU2  07/24/24  11/13/23      96.373                36.27 
313588ZW8  07/26/24  03/20/24      98.183                18.17 
313588ZZ1  07/29/24  03/07/24      97.970                20.30 
313588A21  07/30/24  03/07/24      97.956                20.44 
313588A39  07/31/24  03/07/24      97.942                20.58 
313588A47  08/01/24  03/21/24      98.114                18.86 
313588A54  08/02/24  06/07/24      99.189                 8.11 
313588A88  08/05/24  05/10/24      98.751                12.49 
313588A96  08/06/24  07/26/24      99.840                 1.60 
313588B20  08/07/24  07/05/24      99.521                 4.79 
313588B38  08/08/24  06/21/24      99.303                 6.97 
313588B46  08/09/24  04/19/24      98.401                15.99 
313588B79  08/12/24  04/04/24      98.162                18.38 
313588B87  08/13/24  06/18/24      99.188                 8.12 
313588B95  08/14/24  04/22/24      98.374                16.26 
313588C29  08/15/24  06/21/24      99.202                 7.98 
313588C37  08/16/24  07/12/24      99.492                 5.08 
313588C60  08/19/24  04/22/24      98.304                16.96 
313588C78  08/20/24  08/06/24      99.797                 2.03 
313588C86  08/21/24  08/07/24      99.796                 2.04 
313588C94  08/22/24  06/28/24      99.204                 7.96 
313588D28  08/23/24  08/16/24      99.898                 1.02 
313588D69  08/27/24  08/15/24      99.825                 1.75 
313588D77  08/28/24  08/15/24      99.810                 1.90 
313588D85  08/29/24  08/15/24      99.796                 2.04 
313588D93  08/30/24  02/22/24      97.361                26.39 
313588E50  09/03/24  06/21/24      98.929                10.71 
313588E68  09/04/24  05/03/24      98.233                17.67 
313588E76  09/05/24  04/09/24      97.900                21.00 
313588E84  09/06/24  09/04/24      99.971                 0.29 
313588F34  09/09/24  05/14/24      98.309                16.91 






                               Section III-C
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313588F42  09/10/24  04/12/24      97.861                21.39 
313588F59  09/11/24  04/03/24      97.737                22.63 
313588F67  09/12/24  05/02/24      98.101                18.99 
313588F75  09/13/24  05/08/24      98.171                18.29 
313588G25  09/16/24  08/07/24      99.419                 5.81 
313588G33  09/17/24  05/15/24      98.214                17.86 
313588G41  09/18/24  05/15/24      98.199                18.01 
313588G58  09/19/24  06/14/24      98.603                13.97 
313588G66  09/20/24  05/13/24      98.144                18.56 
313588G90  09/23/24  08/07/24      99.325                 6.75 
313588H24  09/24/24  05/17/24      98.146                18.54 
313588H57  09/27/24  04/08/24      97.592                24.08 
313588H81  09/30/24  04/19/24      97.686                23.14 
313588H99  10/01/24  04/01/24      97.214                27.86 
313588J22  10/02/24  04/17/24      97.629                23.71 
313588J30  10/03/24  04/04/24      97.467                25.33 
313588J48  10/04/24  05/03/24      97.825                21.75 
313588J71  10/07/24  06/06/24      98.242                17.58 
313588J89  10/08/24  05/29/24      98.108                18.92 
313588J97  10/09/24  05/01/24      97.717                22.83 
313588K20  10/10/24  04/09/24      97.437                25.63 
313588K38  10/11/24  04/18/24      97.524                24.76 
313588K79  10/15/24  04/12/24      97.388                26.12 
313588K87  10/16/24  07/24/24      98.801                11.99 
313588K95  10/17/24  04/02/24      97.250                27.50 
313588L29  10/18/24  09/05/24      99.402                 5.98 
313588L52  10/21/24  04/12/24      97.304                26.96 
313588L60  10/22/24  09/19/24      99.567                 4.33 
313588L78  10/23/24  06/13/24      98.117                18.83 
313588L86  10/24/24  09/12/24      99.418                 5.82 
313588L94  10/25/24  10/21/24      99.948                 0.52 
313588M44  10/28/24  06/12/24      98.037                19.63 
313588M51  10/29/24  06/12/24      98.023                19.77 
313588M69  10/30/24  07/10/24      98.406                15.94 
313588M77  10/31/24  04/03/24      97.084                29.16 
313588M85  11/01/24  04/15/24      97.208                27.92 
313588N35  11/04/24  08/02/24      98.674                13.26 
313588N43  11/05/24  06/18/24      98.005                19.95 
313588N50  11/06/24  06/13/24      97.926                20.74 
313588N68  11/07/24  07/08/24      98.267                17.33 
313588N76  11/08/24  08/01/24      98.603                13.97 
313588P33  11/12/24  07/24/24      98.434                15.66 






                               Section III-C
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313588P41  11/13/24  07/17/24      98.321                16.79 
313588P58  11/14/24  11/04/24      99.872                 1.28 
313588P66  11/15/24  04/12/24      96.971                30.29 
313588P90  11/18/24  10/11/24      99.511                 4.89 
313588Q24  11/19/24  08/15/24      98.672                13.28 
313588Q32  11/20/24  07/10/24      98.120                18.80 
313588Q40  11/21/24  11/04/24      99.784                 2.16 
313588Q57  11/22/24  05/10/24      97.248                27.52 
313588Q99  11/26/24  05/07/24      97.155                28.45 
313588R23  11/27/24  05/15/24      97.251                27.49 
313588R49  11/29/24  09/04/24      98.833                11.67 
313588R72  12/02/24  04/10/24      96.762                32.38 
313588R80  12/03/24  10/08/24      99.277                 7.23 
313588R98  12/04/24  07/31/24      98.245                17.55 
313588S22  12/05/24  11/06/24      99.636                 3.64 
313588S30  12/06/24  08/16/24      98.468                15.32 
313588S63  12/09/24  06/14/24      97.498                25.02 
313588S71  12/10/24  11/13/24      99.664                 3.36 
313588S89  12/11/24  07/29/24      98.125                18.75 
313588S97  12/12/24  07/18/24      97.948                20.52 
313588T21  12/13/24  04/18/24      96.681                33.19 
313588T54  12/16/24  05/30/24      97.178                28.22 
313588T62  12/17/24  04/18/24      96.625                33.75 
313588T70  12/18/24  04/18/24      96.611                33.89 
313588T88  12/19/24  04/18/24      96.597                34.03 
313588T96  12/20/24  10/11/24      99.111                 8.89 
313588U45  12/23/24  11/01/24      99.346                 6.54 
313588U52  12/24/24  12/12/24      99.854                 1.46 
313588U86  12/27/24  05/07/24      96.750                32.50 
313588V36  12/30/24  07/29/24      97.883                21.17 
313588V44  12/31/24  05/14/24      96.782                32.18 






                               Section III-D

                          FEDERAL FARM CREDIT BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2024

                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313312RG7  01/02/24  01/04/23      95.400                46.00 
313312RH5  01/03/24  09/13/23      94.690                53.10 
313312RJ1  01/04/24  03/23/23      95.420                45.80 
313312RK8  01/05/24  03/30/23      95.480                45.20 
313312RN2  01/08/24  07/21/23      94.720                52.80 
313312RP7  01/09/24  03/30/23      95.490                45.10 
313312RQ5  01/10/24  11/20/23      94.740                52.60 
313312RR3  01/11/24  08/11/23      94.710                52.90 
313312RS1  01/12/24  01/13/23      95.350                46.50 
313312RW2  01/16/24  08/14/23      94.700                53.00 
313312RX0  01/17/24  09/15/23      94.690                53.10 
313312RY8  01/18/24  04/05/23      95.400                46.00 
313312RZ5  01/19/24  01/18/24      94.750                52.50 
313312SC5  01/22/24  08/17/23      94.720                52.80 
313312SD3  01/23/24  03/24/23      95.420                45.80 
313312SE1  01/24/24  10/02/23      94.660                53.40 
313312SF8  01/25/24  04/05/23      95.400                46.00 
313312SG6  01/26/24  08/18/23      94.720                52.80 
313312SK7  01/29/24  01/26/24      94.770                52.30 
313312SL5  01/30/24  12/15/23      94.770                52.30 
313312SM3  01/31/24  04/10/23      95.480                45.20 
313312SN1  02/01/24  02/09/23      95.250                47.50 
313312SP6  02/02/24  08/29/23      94.670                53.30 
313312ST8  02/06/24  10/20/23      94.670                53.30 
313312SU5  02/07/24  07/31/23      94.700                53.00 
313312SV3  02/08/24  04/03/23      95.520                44.80 
313312SW1  02/09/24  04/13/23      95.350                46.50 
313312SZ4  02/12/24  09/15/23      94.690                53.10 
313312TA8  02/13/24  08/14/23      94.700                53.00 
313312TB6  02/14/24  09/19/23      94.680                53.20 
313312TD2  02/16/24  12/01/23      94.740                52.60 
313312TH3  02/20/24  12/27/23      94.740                52.60 
313312TJ9  02/21/24  09/20/23      94.690                53.10 
313312TK6  02/22/24  02/21/24      94.850                51.50 
313312TL4  02/23/24  10/13/23      94.640                53.60 
313312TP5  02/26/24  09/21/23      94.690                53.10 






                               Section III-D
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313312TQ3  02/27/24  02/26/24      94.830                51.70 
313312TR1  02/28/24  08/16/23      94.720                52.80 
313312TS9  02/29/24  04/13/23      95.360                46.40 
313312TT7  03/01/24  03/03/23      95.000                50.00 
313312TW0  03/04/24  10/06/23      94.620                53.80 
313312TX8  03/05/24  12/27/23      94.750                52.50 
313312TY6  03/06/24  08/14/23      94.720                52.80 
313312TZ3  03/07/24  03/01/24      94.740                52.60 
313312UA6  03/08/24  03/07/24      94.740                52.60 
313312UD0  03/11/24  10/11/23      94.650                53.50 
313312UE8  03/12/24  10/16/23      94.660                53.40 
313312UF5  03/13/24  03/12/24      94.720                52.80 
313312UG3  03/14/24  10/24/23      94.680                53.20 
313312UH1  03/15/24  03/17/23      95.620                43.80 
313312UL2  03/18/24  10/30/23      94.650                53.50 
313312UM0  03/19/24  08/16/23      94.760                52.40 
313312UN8  03/20/24  03/21/23      95.600                44.00 
313312UP3  03/21/24  03/24/23      95.650                43.50 
313312UQ1  03/22/24  04/13/23      95.450                45.50 
313312UT5  03/25/24  03/30/23      95.450                45.50 
313312UU2  03/26/24  02/23/24      94.720                52.80 
313312UV0  03/27/24  12/26/23      94.780                52.20 
313312UW8  03/28/24  04/10/23      95.600                44.00 
313312UX6  03/29/24  07/13/23      94.930                50.70 
313312VA5  04/01/24  10/20/23      94.660                53.40 
313312VB3  04/02/24  04/13/23      95.420                45.80 
313312VC1  04/03/24  10/23/23      94.660                53.40 
313312VE7  04/05/24  10/30/23      94.670                53.30 
313312VH0  04/08/24  10/31/23      94.680                53.20 
313312VJ6  04/09/24  09/14/23      94.700                53.00 
313312VK3  04/10/24  10/31/23      94.680                53.20 
313312VL1  04/11/24  02/16/24      94.720                52.80 
313312VM9  04/12/24  11/02/23      94.700                53.00 
313312VQ0  04/15/24  11/02/23      94.700                53.00 
313312VR8  04/16/24  04/17/23      95.350                46.50 
313312VS6  04/17/24  10/30/23      94.690                53.10 
313312VT4  04/18/24  02/01/24      94.810                51.90 
313312VU1  04/19/24  11/08/23      94.730                52.70 
313312VX5  04/22/24  11/14/23      94.740                52.60 
313312VZ0  04/24/24  09/11/23      94.700                53.00 
313312WB2  04/26/24  09/14/23      94.700                53.00 
313312WE6  04/29/24  03/21/24      94.740                52.60 






                               Section III-D
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313312WF3  04/30/24  11/16/23      94.780                52.20 
313312WG1  05/01/24  12/29/23      94.870                51.30 
313312WH9  05/02/24  11/22/23      94.790                52.10 
313312WJ5  05/03/24  11/17/23      94.800                52.00 
313312WM8  05/06/24  05/01/24      94.710                52.90 
313312WP1  05/08/24  03/15/24      94.730                52.70 
313312WR7  05/10/24  11/24/23      94.770                52.30 
313312WU0  05/13/24  11/24/23      94.770                52.30 
313312WV8  05/14/24  02/12/24      94.780                52.20 
313312WW6  05/15/24  04/11/24      94.750                52.50 
313312WY2  05/17/24  03/20/24      94.740                52.60 
313312XB1  05/20/24  11/28/23      94.790                52.10 
313312XC9  05/21/24  08/23/23      94.780                52.20 
313312XD7  05/22/24  11/29/23      94.800                52.00 
313312XE5  05/23/24  11/07/23      94.760                52.40 
313312XF2  05/24/24  04/04/24      94.800                52.00 
313312XK1  05/28/24  06/15/23      94.920                50.80 
313312XL9  05/29/24  11/21/23      94.790                52.10 
313312XM7  05/30/24  11/14/23      94.750                52.50 
313312XN5  05/31/24  12/15/23      94.900                51.00 
313312XS4  06/04/24  11/27/23      94.780                52.20 
313312XT2  06/05/24  02/26/24      94.770                52.30 
313312XU9  06/06/24  12/18/23      94.910                50.90 
313312XV7  06/07/24  12/18/23      94.910                50.90 
313312XY1  06/10/24  12/20/23      94.910                50.90 
313312XZ8  06/11/24  03/22/24      94.810                51.90 
313312YA2  06/12/24  10/27/23      94.730                52.70 
313312YB0  06/13/24  09/27/23      94.810                51.90 
313312YC8  06/14/24  12/20/23      94.910                50.90 
313312YF1  06/17/24  12/22/23      94.930                50.70 
313312YG9  06/18/24  08/23/23      94.790                52.10 
313312YJ3  06/20/24  12/27/23      94.930                50.70 
313312YN4  06/24/24  12/28/23      94.940                50.60 
313312YP9  06/25/24  04/08/24      94.780                52.20 
313312YQ7  06/26/24  12/07/23      94.950                50.50 
313312YR5  06/27/24  05/29/24      94.730                52.70 
313312YS3  06/28/24  07/06/23      94.920                50.80 
313312YV6  07/01/24  09/21/23      94.760                52.40 
313312YW4  07/02/24  04/19/24      94.740                52.60 
313312YX2  07/03/24  01/18/24      94.980                50.20 
313312YZ7  07/05/24  12/29/23      94.930                50.70 
313312ZE3  07/10/24  05/06/24      94.740                52.60 






                               Section III-D
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313312ZF0  07/11/24  07/12/23      94.880                51.20 
313312ZG8  07/12/24  01/25/24      94.980                50.20 
313312ZK9  07/15/24  01/29/24      95.000                50.00 
313312ZL7  07/16/24  12/19/23      94.990                50.10 
313312ZP8  07/19/24  06/18/24      94.760                52.40 
313312ZT0  07/23/24  07/19/24      94.720                52.80 
313312ZU7  07/24/24  01/25/24      95.000                50.00 
313312ZZ6  07/29/24  08/09/23      94.960                50.40 
313312A26  07/30/24  05/16/24      94.750                52.50 
313312A34  07/31/24  04/23/24      94.780                52.20 
313312A42  08/01/24  08/03/23      94.900                51.00 
313312A59  08/02/24  08/01/24      94.720                52.80 
313312A83  08/05/24  03/12/24      94.880                51.20 
313312B25  08/07/24  03/13/24      94.870                51.30 
313312B41  08/09/24  03/12/24      94.880                51.20 
313312B74  08/12/24  10/13/23      94.790                52.10 
313312B82  08/13/24  03/22/24      94.920                50.80 
313312B90  08/14/24  02/20/24      94.880                51.20 
313312C32  08/16/24  04/30/24      94.770                52.30 
313312C65  08/19/24  03/18/24      94.860                51.40 
313312C73  08/20/24  12/19/23      95.070                49.30 
313312C81  08/21/24  06/27/24      94.790                52.10 
313312C99  08/22/24  10/27/23      94.800                52.00 
313312D23  08/23/24  07/17/24      94.740                52.60 
313312D56  08/26/24  10/18/23      94.740                52.60 
313312D64  08/27/24  03/28/24      94.870                51.30 
313312D72  08/28/24  04/05/24      94.860                51.40 
313312D80  08/29/24  04/01/24      94.860                51.40 
313312D98  08/30/24  12/21/23      95.180                48.20 
313312E55  09/03/24  01/31/24      95.150                48.50 
313312E63  09/04/24  05/13/24      94.760                52.40 
313312E71  09/05/24  04/01/24      94.860                51.40 
313312E89  09/06/24  12/22/23      95.180                48.20 
313312F39  09/09/24  04/03/24      94.890                51.10 
313312F47  09/10/24  03/15/24      94.950                50.50 
313312G20  09/16/24  09/10/24      94.820                51.80 
313312G38  09/17/24  12/19/23      95.150                48.50 
313312G46  09/18/24  04/16/24      94.810                51.90 
313312G53  09/19/24  10/27/23      94.820                51.80 
313312G61  09/20/24  09/21/23      94.790                52.10 
313312G95  09/23/24  04/30/24      94.800                52.00 
313312H29  09/24/24  03/12/24      95.010                49.90 






                               Section III-D
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313312H37  09/25/24  09/10/24      94.870                51.30 
313312H45  09/26/24  04/16/24      94.810                51.90 
313312H52  09/27/24  03/25/24      95.000                50.00 
313312H86  09/30/24  04/16/24      94.810                51.90 
313312H94  10/01/24  10/12/23      94.920                50.80 
313312J27  10/02/24  04/22/24      94.830                51.70 
313312J35  10/03/24  07/31/24      94.790                52.10 
313312J43  10/04/24  04/25/24      94.830                51.70 
313312J76  10/07/24  10/13/23      94.830                51.70 
313312J84  10/08/24  04/26/24      94.830                51.70 
313312J92  10/09/24  09/30/24      95.340                46.60 
313312K25  10/10/24  09/30/24      95.340                46.60 
313312K33  10/11/24  08/30/24      94.850                51.50 
313312K74  10/15/24  10/18/23      94.800                52.00 
313312L24  10/18/24  01/25/24      95.220                47.80 
313312L57  10/21/24  04/17/24      94.950                50.50 
313312L65  10/22/24  06/14/24      94.810                51.90 
313312L73  10/23/24  05/08/24      94.820                51.80 
313312L81  10/24/24  09/26/24      95.380                46.20 
313312L99  10/25/24  05/10/24      94.820                51.80 
313312M49  10/28/24  09/12/24      95.020                49.80 
313312M56  10/29/24  03/27/24      95.050                49.50 
313312M64  10/30/24  08/30/24      94.900                51.00 
313312M72  10/31/24  08/27/24      94.980                50.20 
313312M80  11/01/24  04/02/24      95.020                49.80 
313312N30  11/04/24  04/08/24      94.960                50.40 
313312N48  11/05/24  01/19/24      95.270                47.30 
313312N55  11/06/24  09/04/24      95.000                50.00 
313312P38  11/12/24  11/06/24      95.350                46.50 
313312P46  11/13/24  05/28/24      94.820                51.80 
313312P53  11/14/24  11/15/23      94.970                50.30 
313312P61  11/15/24  09/03/24      95.000                50.00 
313312Q29  11/19/24  11/18/24      95.520                44.80 
313312Q37  11/20/24  07/15/24      94.860                51.40 
313312Q45  11/21/24  09/26/24      95.370                46.30 
313312Q52  11/22/24  05/15/24      94.950                50.50 
313312Q86  11/25/24  12/29/23      95.300                47.00 
313312Q94  11/26/24  11/25/24      95.500                45.00 
313312R28  11/27/24  05/10/24      94.960                50.40 
313312R44  11/29/24  02/09/24      95.200                48.00 
313312R77  12/02/24  01/03/24      95.400                46.00 
313312R85  12/03/24  07/19/24      94.890                51.10 






                               Section III-D
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313312R93  12/04/24  02/27/24      95.030                49.70 
313312S27  12/05/24  07/19/24      94.890                51.10 
313312S35  12/06/24  05/15/24      94.890                51.10 
313312S68  12/09/24  05/21/24      94.890                51.10 
313312S76  12/10/24  01/29/24      95.310                46.90 
313312S84  12/11/24  05/23/24      94.890                51.10 
313312T26  12/13/24  05/23/24      94.890                51.10 
313312T59  12/16/24  04/11/24      94.970                50.30 
313312T67  12/17/24  12/18/23      95.290                47.10 
313312T75  12/18/24  12/16/24      95.500                45.00 
313312T83  12/19/24  12/26/23      95.450                45.50 
313312T91  12/20/24  06/03/24      94.860                51.40 
313312U40  12/23/24  12/17/24      95.500                45.00 
313312U57  12/24/24  02/05/24      95.290                47.10 
313312U73  12/26/24  12/27/23      95.400                46.00 
313312U81  12/27/24  06/12/24      94.880                51.20 
313312V31  12/30/24  06/12/24      94.950                50.50 






                               Section III-E

                    FEDERAL HOME LOAN MORTGAGE CORPORATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2024

                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313396RG0  01/02/24  08/30/23      98.175                18.25 
313396RH8  01/03/24  11/08/23      99.186                 8.14 
313396RJ4  01/04/24  11/13/23      99.244                 7.56 
313396RK1  01/05/24  09/22/23      98.478                15.22 
313396RN5  01/08/24  12/18/23      99.694                 3.06 
313396RP0  01/09/24  12/18/23      99.680                 3.20 
313396RQ8  01/10/24  12/18/23      99.665                 3.35 
313396RR6  01/11/24  09/01/23      98.101                18.99 
313396RS4  01/12/24  09/22/23      98.374                16.26 
313396RX3  01/17/24  10/19/23      98.688                13.12 
313396RY1  01/18/24  12/14/23      99.491                 5.09 
313396RZ8  01/19/24  11/21/23      99.141                 8.59 
313396SC8  01/22/24  12/11/23      99.389                 6.11 
313396SD6  01/23/24  12/18/23      99.476                 5.24 
313396SG9  01/26/24  09/28/23      98.257                17.43 
313396SK0  01/29/24  12/06/23      99.214                 7.86 
313396SL8  01/30/24  11/22/23      98.995                10.05 
313396SM6  01/31/24  10/25/23      98.575                14.25 
313396SN4  02/01/24  02/09/23      95.359                46.41 
313396SP9  02/02/24  12/18/23      99.330                 6.70 
313396SS3  02/05/24  11/17/23      98.837                11.63 
313396ST1  02/06/24  12/18/23      99.272                 7.28 
313396SU8  02/07/24  12/06/23      99.084                 9.16 
313396SV6  02/08/24  02/10/23      95.264                47.36 
313396SW4  02/09/24  10/25/23      98.443                15.57 
313396SZ7  02/12/24  02/13/23      95.197                48.03 
313396TA1  02/13/24  02/13/23      95.184                48.16 
313396TB9  02/14/24  02/15/23      95.147                48.53 
313396TC7  02/15/24  02/15/23      95.133                48.67 
313396TD5  02/16/24  11/22/23      98.748                12.52 
313396TH6  02/20/24  01/24/24      99.608                 3.92 
313396TJ2  02/21/24  02/21/23      95.083                49.17 
313396TK9  02/22/24  12/08/23      98.898                11.02 
313396TL7  02/23/24  01/04/24      99.279                 7.21 
313396TP8  02/26/24  12/07/23      98.828                11.72 
313396TQ6  02/27/24  12/18/23      98.971                10.29 






                               Section III-E
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313396TR4  02/28/24  11/17/23      98.507                14.93 
313396TS2  02/29/24  11/29/23      98.667                13.33 
313396TT0  03/01/24  10/25/23      98.135                18.65 
313396TW3  03/04/24  03/10/23      95.200                48.00 
313396TX1  03/05/24  12/28/23      99.023                 9.77 
313396TY9  03/06/24  02/15/24      99.710                 2.90 
313396TZ6  03/07/24  12/04/23      98.637                13.63 
313396UA9  03/08/24  12/04/23      98.623                13.77 
313396UD3  03/11/24  12/28/23      98.939                10.61 
313396UE1  03/12/24  12/12/23      98.681                13.19 
313396UF8  03/13/24  11/14/23      98.260                17.40 
313396UG6  03/14/24  11/15/23      98.260                17.40 
313396UH4  03/15/24  11/16/23      98.260                17.40 
313396UL5  03/18/24  11/15/23      98.202                17.98 
313396UM3  03/19/24  12/05/23      98.479                15.21 
313396UN1  03/20/24  01/18/24      99.103                 8.97 
313396UP6  03/21/24  12/15/23      98.596                14.04 
313396UQ4  03/22/24  12/12/23      98.537                14.63 
313396UT8  03/25/24  10/13/23      97.615                23.85 
313396UU5  03/26/24  11/22/23      98.184                18.16 
313396UV3  03/27/24  11/27/23      98.249                17.51 
313396UW1  03/28/24  10/16/23      97.608                23.92 
313396UX9  03/29/24  07/11/23      96.328                36.72 
313396VA8  04/01/24  12/04/23      98.284                17.16 
313396VB6  04/02/24  03/11/24      99.681                 3.19 
313396VC4  04/03/24  11/30/23      98.208                17.92 
313396VD2  04/04/24  11/30/23      98.194                18.06 
313396VE0  04/05/24  12/21/23      98.479                15.21 
313396VH3  04/08/24  02/08/24      99.127                 8.73 
313396VJ9  04/09/24  03/12/24      99.594                 4.06 
313396VK6  04/10/24  11/30/23      98.112                18.88 
313396VL4  04/11/24  11/30/23      98.097                19.03 
313396VM2  04/12/24  02/12/24      99.125                 8.75 
313396VQ3  04/15/24  01/05/24      98.559                14.41 
313396VR1  04/16/24  03/18/24      99.578                 4.22 
313396VS9  04/17/24  11/27/23      97.949                20.51 
313396VT7  04/18/24  03/22/24      99.608                 3.92 
313396VU4  04/19/24  03/14/24      99.478                 5.22 
313396VX8  04/22/24  12/15/23      98.158                18.42 
313396VY6  04/23/24  03/08/24      99.334                 6.66 
313396WA7  04/25/24  10/18/23      97.234                27.66 
313396WB5  04/26/24  03/19/24      99.448                 5.52 






                               Section III-E
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313396WF6  04/30/24  12/06/23      97.905                20.95 
313396WG4  05/01/24  10/25/23      97.260                27.40 
313396WH2  05/02/24  10/18/23      97.135                28.65 
313396WJ8  05/03/24  10/18/23      97.115                28.85 
313396WM1  05/06/24  12/15/23      97.964                20.36 
313396WN9  05/07/24  04/29/24      99.883                 1.17 
313396WP4  05/08/24  03/08/24      99.110                 8.90 
313396WQ2  05/09/24  11/24/23      97.599                24.01 
313396WR0  05/10/24  12/08/23      97.795                22.05 
313396WU3  05/13/24  01/11/24      98.258                17.42 
313396WW9  05/15/24  11/07/23      97.271                27.29 
313396WX7  05/16/24  01/03/24      98.117                18.83 
313396WY5  05/17/24  04/24/24      99.665                 3.35 
313396XB4  05/20/24  12/01/23      97.566                24.34 
313396XC2  05/21/24  12/08/23      97.663                23.37 
313396XD0  05/22/24  12/08/23      97.648                23.52 
313396XE8  05/23/24  12/08/23      97.634                23.66 
313396XF5  05/24/24  01/04/24      98.018                19.82 
313396XK4  05/28/24  01/02/24      97.967                20.33 
313396XL2  05/29/24  01/02/24      97.953                20.47 
313396XM0  05/30/24  01/02/24      97.939                20.61 
313396XN8  05/31/24  01/02/24      97.925                20.75 
313396XR9  06/03/24  11/28/23      97.313                26.87 
313396XS7  06/04/24  03/18/24      98.873                11.27 
313396XT5  06/05/24  05/02/24      99.507                 4.93 
313396XU2  06/06/24  05/21/24      99.767                 2.33 
313396XV0  06/07/24  03/07/24      98.663                13.37 
313396XY4  06/10/24  11/13/23      96.973                30.27 
313396XZ1  06/11/24  11/28/23      97.199                28.01 
313396YA5  06/12/24  11/30/23      97.248                27.52 
313396YB3  06/13/24  12/11/23      97.371                26.29 
313396YC1  06/14/24  04/05/24      98.983                10.17 
313396YF4  06/17/24  12/14/23      97.414                25.86 
313396YG2  06/18/24  03/19/24      98.674                13.26 
313396YN7  06/24/24  05/24/24      99.549                 4.51 
313396YR8  06/27/24  09/28/23      96.072                39.28 
313396YS6  06/28/24  12/13/23      97.201                27.99 
313396YV9  07/01/24  02/23/24      98.180                18.20 
313396YW7  07/02/24  06/18/24      99.796                 2.04 
313396YX5  07/03/24  06/05/24      99.593                 4.07 
313396YZ0  07/05/24  06/25/24      99.854                 1.46 
313396ZC0  07/08/24  04/08/24      98.681                13.19 






                               Section III-E
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313396ZD8  07/09/24  06/13/24      99.622                 3.78 
313396ZE6  07/10/24  06/18/24      99.680                 3.20 
313396ZF3  07/11/24  06/14/24      99.607                 3.93 
313396ZG1  07/12/24  06/17/24      99.636                 3.64 
313396ZK2  07/15/24  01/12/24      97.503                24.97 
313396ZL0  07/16/24  04/16/24      98.675                13.25 
313396ZM8  07/17/24  06/14/24      99.520                 4.80 
313396ZN6  07/18/24  06/21/24      99.607                 3.93 
313396ZP1  07/19/24  06/21/24      99.592                 4.08 
313396ZS5  07/22/24  03/15/24      98.180                18.20 
313396ZU0  07/24/24  05/17/24      99.022                 9.78 
313396ZV8  07/25/24  05/17/24      99.007                 9.93 
313396ZW6  07/26/24  05/17/24      98.994                10.06 
313396ZZ9  07/29/24  04/18/24      98.545                14.55 
313396A29  07/30/24  04/18/24      98.531                14.69 
313396A37  07/31/24  11/14/23      96.349                36.51 
313396A45  08/01/24  06/04/24      99.161                 8.39 
313396A52  08/02/24  06/21/24      99.390                 6.10 
313396A86  08/05/24  06/03/24      99.080                 9.20 
313396A94  08/06/24  07/11/24      99.623                 3.77 
313396B28  08/07/24  08/01/24      99.913                 0.87 
313396B36  08/08/24  05/08/24      98.658                13.42 
313396B44  08/09/24  05/10/24      98.673                13.27 
313396B77  08/12/24  02/21/24      97.573                24.27 
313396B85  08/13/24  05/13/24      98.658                13.42 
313396B93  08/14/24  07/24/24      99.694                 3.06 
313396C27  08/15/24  07/23/24      99.665                 3.35 
313396C35  08/16/24  07/19/24      99.592                 4.08 
313396C68  08/19/24  08/14/24      99.927                 0.73 
313396C76  08/20/24  08/14/24      99.913                 0.87 
313396C92  08/22/24  05/22/24      98.658                13.42 
313396D26  08/23/24  07/24/24      99.563                 4.37 
313396D59  08/26/24  08/14/24      99.825                 1.75 
313396D67  08/27/24  06/24/24      99.082                 9.18 
313396D75  08/28/24  06/12/24      98.890                11.10 
313396D83  08/29/24  06/12/24      98.876                11.24 
313396D91  08/30/24  05/30/24      98.657                13.43 
313396E58  09/03/24  07/18/24      99.317                 6.83 
313396E66  09/04/24  08/08/24      99.607                 3.93 
313396E74  09/05/24  08/01/24      99.489                 5.11 
313396E82  09/06/24  08/01/24      99.475                 5.25 
313396F32  09/09/24  08/07/24      99.520                 4.80 






                               Section III-E
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313396F40  09/10/24  08/01/24      99.416                 5.84 
313396F57  09/11/24  08/22/24      99.709                 2.91 
313396F65  09/12/24  06/12/24      98.675                13.25 
313396F73  09/13/24  06/12/24      98.662                13.38 
313396G23  09/16/24  06/12/24      98.619                13.81 
313396G31  09/17/24  06/12/24      98.604                13.96 
313396G49  09/18/24  06/12/24      98.590                14.10 
313396G56  09/19/24  06/12/24      98.576                14.24 
313396G64  09/20/24  08/02/24      99.286                 7.14 
313396G98  09/23/24  07/29/24      99.190                 8.10 
313396H22  09/24/24  03/19/24      97.375                26.25 
313396H30  09/25/24  07/29/24      99.161                 8.39 
313396H48  09/26/24  07/29/24      99.148                 8.52 
313396H55  09/27/24  07/30/24      99.147                 8.53 
313396H89  09/30/24  07/24/24      99.019                 9.81 
313396H97  10/01/24  03/12/24      97.209                27.91 
313396J20  10/02/24  07/22/24      98.963                10.37 
313396J38  10/03/24  07/18/24      98.891                11.09 
313396J46  10/04/24  07/25/24      98.978                10.22 
313396J79  10/07/24  07/25/24      98.937                10.63 
313396J87  10/08/24  07/08/24      98.661                13.39 
313396J95  10/09/24  07/25/24      98.910                10.90 
313396K28  10/10/24  07/25/24      98.895                11.05 
313396K36  10/11/24  07/25/24      98.882                11.18 
313396K77  10/15/24  08/14/24      99.111                 8.89 
313396K85  10/16/24  09/09/24      99.488                 5.12 
313396K93  10/17/24  09/19/24      99.632                 3.68 
313396L27  10/18/24  09/19/24      99.618                 3.82 
313396L50  10/21/24  09/23/24      99.638                 3.62 
313396L68  10/22/24  07/22/24      98.669                13.31 
313396L76  10/23/24  10/02/24      99.726                 2.74 
313396L84  10/24/24  09/30/24      99.689                 3.11 
313396L92  10/25/24  09/25/24      99.618                 3.82 
313396M42  10/28/24  09/24/24      99.564                 4.36 
313396M59  10/29/24  08/29/24      99.150                 8.50 
313396M67  10/30/24  08/29/24      99.136                 8.64 
313396M75  10/31/24  08/29/24      99.123                 8.77 
313396M83  11/01/24  09/24/24      99.512                 4.88 
313396N33  11/04/24  09/23/24      99.462                 5.38 
313396N41  11/05/24  08/05/24      98.684                13.16 
313396N58  11/06/24  09/24/24      99.448                 5.52 
313396N66  11/07/24  09/26/24      99.465                 5.35 






                               Section III-E
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2024  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313396N74  11/08/24  09/26/24      99.452                 5.48 
313396P31  11/12/24  10/09/24      99.551                 4.49 
313396P56  11/14/24  11/06/24      99.900                 1.00 
313396P64  11/15/24  10/15/24      99.595                 4.05 
313396P98  11/18/24  09/16/24      99.134                 8.66 
313396Q22  11/19/24  11/14/24      99.939                 0.61 
313396Q30  11/20/24  09/23/24      99.257                 7.43 
313396Q48  11/21/24  10/21/24      99.594                 4.06 
313396Q55  11/22/24  08/22/24      98.704                12.96 
313396Q89  11/25/24  11/12/24      99.842                 1.58 
313396Q97  11/26/24  11/20/24      99.927                 0.73 
313396R21  11/27/24  05/21/24      97.329                26.71 
313396R47  11/29/24  11/13/24      99.805                 1.95 
313396R70  12/02/24  08/30/24      98.697                13.03 
313396R96  12/04/24  11/04/24      99.614                 3.86 
313396S20  12/05/24  10/30/24      99.533                 4.67 
313396S38  12/06/24  11/04/24      99.588                 4.12 
313396S61  12/09/24  10/08/24      99.203                 7.97 
313396S79  12/10/24  12/05/24      99.939                 0.61 
313396S95  12/12/24  09/12/24      98.764                12.36 
313396T29  12/13/24  12/02/24      99.866                 1.34 
313396T52  12/16/24  11/15/24      99.612                 3.88 
313396T78  12/18/24  11/18/24      99.624                 3.76 
313396T86  12/19/24  12/06/24      99.842                 1.58 
313396U43  12/23/24  12/06/24      99.795                 2.05 
313396U84  12/27/24  12/06/24      99.747                 2.53 
313396V34  12/30/24  08/21/24      98.261                17.39 
313396V42  12/31/24  12/06/24      99.700                 3.00 






