SECTION I-A This section reflects publicly traded corporate debt instruments (mostly long term) originally issued at a discount after May 27, 1969, and before January 1, 1985. Debt instruments which matured or were entirely called before 2010 are not included. See Section I-B for corporate discount debt instruments issued after 1984. 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 OID to 2011 1st 2011 2nd 2012 2nd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period 2012 1st Period 2011 2012 ______________ _________ ________ ________ ___________ _______ _________ ________ ________ ________ ______ ______ Fannie Mae 313586QR3 07/05/84 07/05/14 3.625 0.000 643.35 0.205832 0.229270 0.256779 79.35 88.86 Fannie Mae 313586RC5 10/09/84 10/09/19 3.200 0.000 390.49 0.116840 0.128562 0.142237 43.63 48.20 GMAC LLC 36186CAC7 04/01/81 04/01/11 44.510 6.000 550.34 0.050643 4.56 GMAC 370424CF8 04/01/81 04/01/11 44.510 6.000 550.34 0.050643 4.56 Pepsico Cap Resources 713440BA2 04/14/82 04/01/11 2.904 0.000 962.70 0.091782 8.26 Pepsico Cap Resources 713440BB0 04/14/82 04/01/12 2.643 0.000 933.01 0.088951 0.088951 32.47 8.09 Sallie Mae 863871AM1 10/03/84 10/03/22 2.734 0.000 301.41 0.087346 0.095762 0.105564 32.64 35.93 Tennessee Gas Pipeline 880451AJ8 12/15/81 12/15/11 40.783 6.000 573.31 0.054831 18.86 Transamerica Finl Corp 893502AP9 08/18/82 09/01/12 1.986 0.000 925.74 0.089331 0.089331 32.61 21.80 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 2011 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ ABN Amro Bank N.V. 00078U4U1 01/31/08 01/31/11 100.000 0.000 3.6165 0.109876 3.19 ABN Amro Bank N.V. 00078UER7 03/15/07 03/13/12 100.000 0.000 4.8108 0.157785 0.161580 0.165467 58.32 11.91 ABN Amro Bank N.V. 00078UR51 12/28/07 12/28/11 100.000 0.000 4.0901 0.128290 0.130914 46.27 ABN Amro Bank N.V. 00079FBH4 07/16/03 01/16/14 100.000 0.000 4.1274 0.152607 0.155756 0.158970 0.162251 0.165600 56.56 58.91 ABN Amro Bank N.V. 00079FBM3 08/13/03 11/13/13 100.000 0.000 4.3128 0.163247 0.166767 0.170363 0.174037 0.177790 59.74 62.35 ABN Amro Bank N.V. 00079FBR2 09/10/03 09/10/13 100.000 0.000 5.0200 0.197302 0.202254 0.207331 0.212535 0.217869 73.03 76.75 ABN Amro Bank N.V. 00079FBX9 10/08/03 10/08/13 100.000 0.000 5.1600 0.204752 0.210035 0.215454 0.221012 0.226714 75.55 79.50 ABN Amro Bank N.V. 00079FCY6 03/10/04 12/10/13 100.000 0.000 4.7792 0.182617 0.186981 0.191449 0.196024 0.200709 66.71 69.94 ABN Amro Bank N.V. 00079FDB5 03/24/04 12/24/13 100.000 0.000 4.7792 0.182617 0.186981 0.191449 0.196024 0.200709 66.59 69.81 ABN Amro Bank N.V. 00079FHN5 01/13/05 01/13/20 100.000 VARIES 4.7500 0.129865 0.130144 0.130430 0.130723 0.131062 46.90 47.11 ABN Amro Bank N.V. 00079FSU7 09/29/06 03/29/11 100.000 0.000 4.9533 0.167341 14.73 Acco Brands Corporation 00081TAC2 09/30/09 03/15/15 98.502 10.625 10.9972 2.72 0.006387 0.006738 0.007108 0.007499 0.007911 2.44 2.71 ABN Amro Bank N.V. 00083GAW4 02/29/08 02/28/11 100.000 0.000 3.4724 0.104544 6.06 ABN Amro Bank N.V. 00083GFE9 03/31/08 03/31/11 100.000 0.000 2.9519 0.088230 7.85 ABN Amro Bank N.V. 00083GLZ5 04/28/08 04/28/11 100.000 0.000 3.6463 0.110864 12.97 ACL I Corporation 00088JAA1 02/15/11 02/15/16 98.250 VARIES N/A 0.304552 0.321545 0.322082 0.322648 98.55 116.00 ACL I Corporation 00088JAB9 02/15/11 02/15/16 98.250 VARIES N/A 0.304552 0.321545 0.322082 0.322648 98.55 116.00 AIG FP Private Funding 001379AD8 09/01/06 09/01/11 100.000 0.000 5.1471 0.175204 0.179713 42.86 AIG FP Private Funding 001379AE6 09/01/06 09/01/11 100.000 0.000 5.1471 0.175204 0.179713 42.86 APP Finance VI 00202NAA3 11/18/97 11/18/12 20.424 0.000 10.8751 615.40 0.244427 0.257718 0.271732 0.286507 91.56 88.80 Advanced Medical Optics 00763MAF5 06/22/04 07/15/24 100.000 VARIES 7.7883 0.302937 0.312030 0.320799 0.329909 0.339374 113.66 120.21 Advanced Medical Optics 00763MAG3 06/22/04 07/15/24 100.000 VARIES 7.7883 0.302937 0.312030 0.320799 0.329909 0.339374 113.66 120.21 Advanced Medical Optics 00763MAK4 06/13/06 08/01/26 100.000 VARIES 7.9982 0.266799 0.278477 0.281360 0.292257 0.297109 101.72 107.37 Advanced Medical Optics 00763MAL2 06/13/06 08/01/26 100.000 VARIES 7.9982 0.266799 0.278477 0.281360 0.292257 0.297109 101.72 107.37 Alameda, CA 010781AQ5 03/14/02 02/01/12 97.458 7.625 8.0020 21.58 0.009311 0.009684 0.010071 3.53 .30 Alliance One Intl, Inc. 018772AL7 07/02/09 07/15/16 95.177 10.000 11.0023 7.47 0.014644 0.015449 0.016299 0.017196 0.018142 5.69 6.33 Alliance One Intl, Inc. 018772AM5 07/02/09 07/15/16 95.177 10.000 11.0023 7.47 0.014644 0.015449 0.016299 0.017196 0.018142 5.69 6.33 Alliance One Intl, Inc. 018772AN3 07/02/09 07/15/16 95.177 10.000 11.0023 7.47 0.014644 0.015449 0.016299 0.017196 0.018142 5.69 6.33 Alliant Techsystems Inc. 018804AJ3 08/13/04 08/15/24 100.000 VARIES 6.9757 0.250042 0.255857 0.261874 0.268101 0.274546 92.67 97.12 Alliant Techsystems Inc. 018804AK0 08/13/04 08/15/24 100.000 VARIES 6.9757 0.250042 0.255857 0.261874 0.268101 0.274546 92.67 97.12 Alza Corporation 022615AC2 07/14/94 07/14/14 35.471 0.000 5.2499 477.87 0.118531 0.121642 0.124835 0.128112 0.131475 44.28 46.64 AAM Hldg, Inc. 024061AA1 02/11/04 02/15/24* 100.000 2.000 N/A 0.151693 0.153893 0.157416 41.46* AAM Hldg, Inc. 024061AB9 02/11/04 02/15/24* 100.000 2.000 N/A 0.151693 0.153893 0.157416 41.46* American Medical Systems 02744MAA6 06/27/06 07/01/36 100.000 VARIES 9.1005 0.333083 0.344131 0.355271 0.366917 121.90 129.99 American Medical Systems 02744MAB4 09/21/09 09/15/41 103.658 VARIES 14.0090 0.445024 0.468413 0.493440 0.520220 0.548877 169.55 188.34 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ AmerUs Group Co. 03072M504 05/16/06 05/16/11 102.760 6.583 5.9369 0.165432 22.33 Amgen Inc. 031162AC4 03/01/02 03/01/32 71.423 VARIES N/A 0.115599 0.118185 0.120828 0.123530 0.129117 42.71 44.98 Amgen Inc. 031162AD2 03/01/02 03/01/32 71.423 VARIES N/A 0.115599 0.118185 0.120828 0.123530 0.126293 42.71 44.64 Amgen Inc. 031162AE0 03/01/02 03/01/32 71.423 VARIES N/A 0.115599 0.118185 0.120828 0.123530 0.126293 42.71 44.64 Amgen Inc. 031162AK6 03/01/05 03/01/32 72.947 VARIES 4.4729 0.115602 0.118187 0.120831 0.123533 0.126296 42.71 44.64 Amgen Inc. 031162AL4 03/01/05 03/01/32 72.947 VARIES 4.4729 0.115602 0.118187 0.120831 0.123533 0.126296 42.71 44.64 Anixter, Inc. 035287AC5 03/11/09 03/15/14 92.625 10.000 12.0007 21.82 0.036960 0.039178 0.041529 0.044020 0.046662 14.19 15.94 Anixter International 035290AD7 07/07/03 07/07/33* 38.016 VARIES 7.2998 0.127335 0.131982 24.52* Anixter International 035290AE5 07/07/03 07/07/33* 38.016 VARIES 7.2998 0.127335 0.131982 24.52* Anixter International 035290AF2 07/07/03 07/07/33* 38.016 VARIES 7.2998 0.127335 0.131982 24.52* Anixter International 035290AG0 07/07/03 07/07/33* 38.016 VARIES 7.2998 0.127335 0.131982 24.52* Anoka CNTY HSG & REDEV 03622CAA3 12/15/10 05/01/17 97.561 8.000 8.5032 .13 0.008217 0.008481 0.008842 0.009218 0.009610 3.04 3.30 Apria Healthcare Group 037933AA6 08/20/03 09/01/33 100.000 VARIES 8.6241 0.357759 0.368722 0.380157 0.392086 0.404529 133.45 141.93 Apria Healthcare Group 037933AB4 08/20/03 09/01/33 100.000 VARIES 8.6241 0.357759 0.368722 0.380157 0.392086 0.404529 133.45 141.93 Apria Healthcare Group 037933AD0 05/27/09 11/01/14 97.050 11.250 12.0051 6.85 0.013158 0.013947 0.014785 0.015672 0.016613 4.98 5.59 Apria Healthcare Group 037933AE8 05/27/09 11/01/14 97.050 11.250 12.0051 6.85 0.013158 0.013947 0.014785 0.015672 0.016613 4.98 5.59 Republic of Argentina 040114BD1 03/01/99 03/01/29 75.576 8.875 N/A 0.025182 0.025180 0.025178 0.025176 0.025174 9.06 9.06 Republic of Argentina 040114GA2 06/15/00 06/15/15 91.700 11.750 13.0226 40.99 0.020038 0.021343 0.022732 0.024213 0.025789 7.49 8.50 Republic of Argentina 040114GB0 07/21/00 07/21/30 80.144 10.250 12.8669 12.93 0.006003 0.006389 0.006800 0.007238 0.007703 2.36 2.67 Republic of Argentina 040114GG9 06/19/01 06/19/18 75.375 0.000 N/A 0.663001 0.663334 0.667586 0.672157 0.680789 242.12 245.34 Republic of Argentina 040114GH7 06/19/01 06/19/31 75.250 12.000 N/A 0.597157 0.594377 0.594895 0.595450 0.599320 217.42 217.89 Armor Holdings, Inc. 042260AC3 10/29/04 11/01/24* 99.000 VARIES 6.9998 0.262562 0.269807 80.07* Armstrong Cnty Ind Dev 04233KAB2 07/29/99 08/20/34 6.955 0.000 7.7498 96.24 0.034712 0.036057 0.037454 0.038905 0.040413 13.10 14.13 Ashland Inc. 044209AC8 05/27/09 06/01/17 96.577 9.125 9.7504 4.91 0.009358 0.009814 0.010292 0.010794 0.011320 3.48 3.83 Ashland Inc. 044209AD6 05/27/09 06/01/17 96.577 9.125 9.7504 4.91 0.009358 0.009814 0.010292 0.010794 0.011320 3.48 3.83 Azusa Calif Redev Agy 05502MAB9 06/16/92 12/01/12 16.502 0.000 9.0030 679.78 0.209698 0.219138 0.229003 0.239311 77.77 77.43 BNP Paribas 05567LA31 09/30/09 03/30/15 100.000 0.000 3.2105 0.092069 0.093547 0.095049 0.096574 0.098125 33.68 34.77 BNP Paribas 05567LB55 10/30/09 04/29/15 100.000 0.000 3.2308 0.092659 0.094156 0.095677 0.097223 0.098793 33.81 34.92 BNP Paribas 05567LD53 03/03/10 03/03/15 100.000 0.000 3.0717 0.086637 0.087968 0.089319 0.090691 0.092084 31.75 32.73 BNP Paribas 05567LE52 02/01/10 07/31/15 100.000 0.000 3.0492 0.084117 0.086815 0.086702 0.088991 0.089366 31.59 32.56 BNP Paribas 05567LH67 04/30/10 10/30/15 100.000 0.000 0.3103 0.008633 0.008646 0.008660 0.008673 0.008687 3.11 3.12 BNP Paribas 05567LYH4 03/31/09 03/31/14 100.000 0.000 2.9595 0.085913 0.087185 0.088475 0.089784 0.091113 31.39 32.33 BNP Paribas 05567LYQ4 04/30/09 04/30/15 100.000 0.000 2.9447 0.085466 0.086724 0.088001 0.089297 0.090611 31.15 32.07 BNP Paribas 05567LZA8 05/27/09 05/27/14 100.000 0.000 3.6129 0.105896 0.107809 0.109757 0.111739 0.113758 38.60 40.01 BNP Paribas 05567LZQ3 08/31/09 08/29/14 100.000 0.000 3.1719 0.089421 0.091339 0.091779 0.094259 0.095231 33.28 34.47 Ball Corporation 058498AM8 08/20/09 09/01/16 97.975 7.125 7.5008 3.16 0.006712 0.006963 0.007225 0.007495 0.007777 2.52 2.72 Ball Corporation 058498AN6 08/20/09 09/01/19 97.414 7.375 7.7505 2.47 0.005263 0.005467 0.005678 0.005898 0.006127 1.98 2.14 Banco Macro S.A. 05963GAA6 12/18/06 12/18/16 100.000 9.750 9.7499 0.270833 0.270833 0.270833 0.270833 0.270833 97.50 97.50 Banco Macro S.A. 05963GAB4 12/18/06 12/18/16 100.000 9.750 9.7499 0.270833 0.270833 0.270833 0.270833 0.270833 97.50 97.50 Bank of America Corp. 06048UAC8 05/28/08 05/28/14 100.000 0.000 4.8120 0.150543 0.154165 0.157874 0.161673 0.165562 55.09 57.77 Bank of America Corp. 06048UAD6 05/30/08 05/30/14 100.000 0.000 4.9682 0.156021 0.159896 0.163868 0.167939 0.172111 57.11 59.98 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06048UAE4 05/30/08 05/30/14 100.000 0.000 4.8414 0.151570 0.155239 0.158997 0.162846 0.166788 55.46 58.17 Bank of America Corp. 06048UAH7 05/30/08 05/30/12 100.000 0.000 4.5482 0.141376 0.144591 0.147879 51.68 22.03 Bank of America Corp. 06048UAK0 06/27/08 06/27/12 100.000 0.000 4.9877 0.156708 0.160616 0.164621 57.15 28.97 Bank of America Corp. 06048UAL8 06/27/08 06/27/11 100.000 0.000 4.7827 0.149519 26.32 Bank of America Corp. 06048UAN4 06/27/08 06/28/13 100.000 0.000 5.1535 0.162597 0.166787 0.171084 0.175493 0.180015 59.31 62.41 Bank of America Corp. 06048UAP9 06/27/08 06/28/13 100.000 0.000 5.1535 0.162597 0.166787 0.171084 0.175493 0.180015 59.31 62.41 Bank of America Corp. 06048UAW4 07/25/08 07/25/11 100.000 0.000 4.5484 0.138237 0.141380 28.77 Bank of America Corp. 06048UAX2 07/25/08 07/25/13 100.000 0.000 5.2510 0.161796 0.166044 0.170404 0.174878 0.179470 60.35 63.56 Bank of America Corp. 06048UAY0 07/25/08 07/25/12 100.000 0.000 5.0268 0.154211 0.158087 0.162061 0.166134 57.44 33.79 Bank of America Corp. 06048UBB9 08/29/08 08/29/13 100.000 0.000 5.2705 0.159795 0.164907 0.167413 0.173713 0.177317 60.21 63.66 Bank of America Corp. 06048UBC7 08/29/08 08/30/13 100.000 0.000 5.2706 0.160698 0.164032 0.168354 0.172791 0.178319 60.21 63.67 Bank of America Corp. 06048UBF0 07/29/08 07/29/13 100.000 0.000 5.3290 0.164448 0.168830 0.173328 0.177946 0.182688 61.34 64.65 Bank of America Corp. 06048UBJ2 08/28/08 08/28/12 100.000 0.000 4.9000 0.149951 0.153625 0.157389 0.161245 55.56 38.00 Bank of America Corp. 06048UBP8 09/26/08 09/27/13 100.000 0.000 5.6306 0.174805 0.179727 0.184787 0.189989 0.195338 64.75 68.45 Bank of America Corp. 06048UBQ6 09/26/08 09/27/13 100.000 0.000 5.6306 0.174805 0.179727 0.184787 0.189989 0.195338 64.75 68.45 Bank of America Corp. 06048UBR4 09/26/08 09/27/13 100.000 0.000 5.5918 0.173470 0.178320 0.183306 0.188431 0.193699 64.25 67.89 Bank of America Corp. 06048UBV5 10/21/08 10/21/13 100.000 0.000 5.5528 0.172104 0.176882 0.181793 0.186840 0.192028 63.50 67.07 Bank of America Corp. 06048UBW3 10/30/08 10/30/13 100.000 0.000 5.1828 0.159483 0.163615 0.167855 0.172205 0.176668 58.67 61.75 Bank of America Corp. 06048UCC6 10/31/08 10/31/13 100.000 0.000 5.3679 0.165776 0.170225 0.174794 0.179485 0.184303 61.03 64.35 Bank of America Corp. 06048UCD4 10/22/08 10/22/13 100.000 0.000 5.5042 0.170434 0.175124 0.179944 0.184896 0.189985 62.86 66.36 Bank of America Corp. 06048UCE2 11/28/08 11/29/13 100.000 0.000 4.6361 0.141164 0.144437 0.147785 0.151211 0.154716 51.62 54.04 Bank of America Corp. 06048UCF9 11/28/08 11/29/13 100.000 0.000 4.4602 0.135339 0.138357 0.141443 0.144597 0.147822 49.46 51.69 Bank of America Corp. 06048UCJ1 11/28/08 11/28/11 100.000 0.000 3.3422 0.099203 0.100860 32.74 Bank of America Corp. 06048UCL6 12/26/08 12/26/13 100.000 0.000 3.6761 0.109832 0.111851 0.113907 0.116001 0.118133 39.92 41.40 Bank of America Corp. 06048UCM4 12/26/08 12/26/13 100.000 0.000 3.7743 0.112985 0.115118 0.117290 0.119504 0.121759 41.08 42.65 Bank of America Corp. 06048UCT9 01/30/09 01/30/15 100.000 0.000 4.1274 0.121896 0.124412 0.126979 0.129600 0.132274 45.10 46.98 Bank of America Corp. 06048UCU6 01/30/09 01/30/15 100.000 0.000 4.0392 0.119137 0.121543 0.123997 0.126502 0.129056 44.06 45.85 Bank of America Corp. 06048WAF7 08/13/09 08/13/19 100.000 VARIES 6.4099 0.169751 0.170099 0.170459 0.170829 0.171212 61.27 61.54 Bank of America Corp. 06048WAG5 09/25/09 09/25/19 100.000 VARIES 5.6410 0.149770 0.150071 0.150380 0.150698 0.151025 54.03 54.26 Bank of America Corp. 06048WAH3 09/28/09 09/27/27 100.000 VARIES 5.4085 0.150797 0.151089 0.151389 0.151697 0.152013 54.40 54.61 Bank of America Corp. 06048WAJ9 10/21/09 10/21/14 100.000 1.000 4.6199 0.133032 0.135463 0.137951 0.140495 0.143099 48.67 50.48 Bank of America Corp. 06048WAL4 11/23/09 11/23/29 100.000 VARIES 5.3008 0.141727 0.138858 0.135912 0.136104 0.136301 50.28 48.98 Bank of America Corp. 06048WAN0 01/13/10 01/13/25 100.000 VARIES 5.4890 0.148271 0.143954 0.144161 0.144372 0.144590 51.91 52.01 Bank of America Corp. 06048WAU4 02/22/10 02/22/17 100.000 VARIES 4.7710 0.132377 0.132222 0.133017 0.133831 0.134240 47.71 48.19 Bank of America Corp. 06048WAZ3 02/26/10 02/26/30 100.000 VARIES 5.3809 0.144523 0.139443 0.134227 0.128870 0.129216 49.83 46.73 Bank of America Corp. 06048WBD1 03/19/10 03/19/20 100.000 VARIES 5.5724 0.154459 0.154119 0.155061 0.156030 0.156544 55.61 56.15 Bank of America Corp. 06048WBG4 04/01/10 04/01/15 100.000 0.500 4.3270 0.122496 0.124846 0.127247 0.129699 0.132205 44.95 46.70 Bank of America Corp. 06048WBK5 04/08/10 04/08/30 100.000 VARIES 5.4991 0.147789 0.142687 0.137445 0.132059 0.132403 51.43 48.09 Bank of America Corp. 06048WBN9 04/13/10 04/13/17 100.000 VARIES 5.0917 0.142211 0.143002 0.143658 0.144330 0.144615 51.45 51.91 Bank of America Corp. 06048WBP4 04/28/10 04/28/15 100.000 0.500 4.1699 0.117959 0.120129 0.122344 0.124605 0.126914 43.13 44.74 Bank of America Corp. 06048WBQ2 05/03/10 05/03/17 100.000 5.020 5.0199 0.139444 0.139444 0.139444 0.139444 0.139444 50.20 50.20 Bank of America Corp. 06048WBS8 05/13/10 05/13/30 100.000 VARIES 5.1306 0.136910 0.131159 0.125260 0.119210 0.119611 47.69 43.73 Bank of America Corp. 06048WBT6 05/03/10 05/03/17 100.000 VARIES 4.8505 0.135311 0.135898 0.136364 0.136842 0.137050 48.88 49.22 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06048WBY5 06/07/10 06/07/22 100.000 VARIES 4.6906 0.126838 0.123298 0.123544 0.123797 0.124055 44.95 44.53 Bank of America Corp. 06048WCB4 05/28/10 05/28/30 100.000 VARIES 5.5513 0.148462 0.142559 0.136493 0.130258 0.130654 51.99 47.82 Bank of America Corp. 06048WCC2 05/28/10 05/28/20 100.000 VARIES 5.2405 0.145019 0.144452 0.145501 0.146577 0.147034 52.12 52.62 Bank of America Corp. 06048WCJ7 06/24/10 06/24/30 100.000 VARIES 5.5091 0.145771 0.138309 0.138533 0.138764 0.139001 51.08 49.92 Bank of America Corp. 06048WCL2 07/01/10 07/01/22 100.000 VARIES 5.4618 0.148275 0.144739 0.144974 0.145216 52.74 52.23 Bank of America Corp. 06048WCQ1 06/29/10 06/29/20 100.000 VARIES 5.5309 0.153278 0.152908 0.153936 0.154993 0.155430 55.11 55.61 Bank of America Corp. 06048WCS7 07/12/10 07/12/30 100.000 VARIES 5.8002 0.161118 0.154512 0.147715 0.147913 0.148117 54.55 53.28 Bank of America Corp. 06048WCU2 06/28/10 06/28/30 100.000 VARIES 5.8695 0.158044 0.152900 0.153049 0.153202 0.153359 55.96 55.13 Bank of America Corp. 06048WCY4 08/12/10 08/12/30 100.000 VARIES 5.3993 0.149981 0.143531 0.136907 0.137109 0.137316 51.01 49.38 Bank of America Corp. 06048WDG2 08/17/10 08/17/20 100.000 VARIES 2.4229 0.008972 0.008586 0.008195 0.007800 0.007399 3.06 2.77 Bank of America Corp. 06048WDJ6 08/18/10 08/18/17 100.000 VARIES 2.2826 0.007851 0.007354 0.006851 0.006929 0.007008 2.60 2.50 Bank of America Corp. 06048WDK3 08/25/10 08/25/20 100.000 VARIES 2.3834 0.009263 0.008870 0.008473 0.008071 0.007664 3.16 2.88 Bank of America Corp. 06048WDM9 09/03/10 09/03/20 100.000 VARIES 2.5928 0.014654 0.013944 0.013225 0.013225 0.012496 5.24 4.72 Bank of America Corp. 06048WDQ0 10/01/10 10/01/20 100.000 5.052 5.0519 0.140333 0.140333 0.140333 0.140333 0.140333 50.52 50.52 Bank of America Corp. 06048WDS6 09/08/10 09/08/15 100.000 VARIES 1.8483 0.008564 0.008451 0.008336 0.008221 0.008104 3.04 2.95 Bank of America Corp. 06048WDT4 09/23/10 09/23/30 100.000 VARIES 5.3198 0.147774 0.142100 0.136274 0.136453 0.136636 51.05 49.13 Bank of America Corp. 06048WDU1 09/08/10 09/08/20 100.000 VARIES 2.4733 0.016204 0.015494 0.014776 0.014048 0.013311 5.54 5.02 Bank of America Corp. 06048WDW7 09/28/10 09/28/20 100.000 VARIES 2.6604 0.016957 0.016496 0.016028 0.015554 0.015073 5.94 5.60 Bank of America Corp. 06048WDZ0 09/28/10 09/28/20 100.000 VARIES 2.4632 0.011756 0.010601 0.009431 0.009547 0.009665 3.81 3.44 Bank of America Corp. 06048WEB2 09/28/10 09/28/20 100.000 VARIES 2.6493 0.016927 0.016139 0.015341 0.014533 0.013713 5.81 5.23 Bank of America Corp. 06048WEC0 09/28/10 09/28/15 100.000 VARIES 1.9786 0.013575 0.013063 0.012547 0.012671 0.012796 4.70 4.56 Bank of America Corp. 06048WEE6 10/14/10 10/15/30 100.000 VARIES 5.2016 0.144472 0.141005 0.137448 0.133798 0.130053 50.85 48.26 Bank of America Corp. 06048WEJ5 11/19/10 11/19/30 100.000 VARIES 5.6998 0.158330 0.154926 0.151424 0.147823 0.144120 56.10 53.56 Bank of America Corp. 06048WEL0 11/18/10 11/18/20 100.000 VARIES 2.5529 0.015081 0.014685 0.014284 0.013877 0.013466 5.32 5.03 Bank of America Corp. 06048WEP1 11/19/10 11/19/20 100.000 VARIES 2.4291 0.021366 0.020445 0.019512 0.018569 0.017613 7.45 6.77 Bank of America Corp. 06048WEQ9 11/30/10 11/30/20 100.000 VARIES 1.9846 0.010685 0.010300 0.009912 0.009520 0.009124 3.75 3.47 Bank of America Corp. 06048WER7 12/03/10 12/03/15 100.000 VARIES 1.8507 0.008355 0.008060 0.007762 0.007833 0.007906 2.94 2.81 Bank of America Corp. 06048WES5 12/01/10 12/01/20 100.000 VARIES 2.5893 0.011370 0.011067 0.010761 0.010451 0.010136 4.02 3.80 Bank of America Corp. 06048WET3 12/15/10 12/15/30 100.000 VARIES 5.9911 0.166420 0.162253 0.157960 0.153538 0.148985 59.03 55.93 Bank of America Corp. 06048WEX4 12/10/10 12/10/20 100.000 VARIES 2.5961 0.011281 0.010981 0.010676 0.010367 0.010055 3.99 3.77 Bank of America Corp. 06048WEY2 01/13/11 01/13/31 100.000 VARIES 5.1716 0.143658 0.139472 0.135177 0.135311 49.29 48.74 Bank of America Corp. 06048WFA3 01/14/11 01/14/21 100.000 VARIES 5.4019 0.150054 0.149605 0.149144 0.149184 51.99 53.70 Bank of America Corp. 06048WFC9 01/31/11 01/31/17 100.000 0.000 4.4000 0.122223 0.124912 0.127660 0.130469 40.86 46.30 Bank of America Corp. 06048WFE5 02/18/11 02/18/21 100.000 VARIES 5.5089 0.153025 0.152649 0.152263 0.152297 47.85 54.84 Bank of America Corp. 06048WFG0 02/24/11 02/24/31 100.000 VARIES 5.9293 0.164703 0.161351 0.157899 0.157998 50.14 57.04 Bank of America Corp. 06048WFJ4 03/04/11 03/04/31 100.000 VARIES 5.6398 0.156664 0.152465 0.148148 0.148276 46.04 53.62 Bank of America Corp. 06048WFK1 02/25/11 02/25/21 100.000 VARIES 5.2649 0.146249 0.145711 0.145160 0.145208 44.68 52.29 Bank of America Corp. 06048WFL9 02/17/11 02/17/21 100.000 5.250 5.2499 0.145833 0.145833 0.145833 0.145833 45.79 52.50 Bank of America Corp. 06048WFM7 03/11/11 03/11/21 100.000 VARIES 5.0284 0.139679 0.140397 0.141134 0.141888 40.59 50.84 Bank of America Corp. 06048WFR6 03/30/11 03/30/21 100.000 VARIES 4.5800 0.127225 0.123777 0.120251 0.120568 34.16 43.63 Bank of America Corp. 06048WFS4 04/08/11 04/08/26 100.000 VARIES 5.2991 0.147198 0.147418 0.147644 0.147876 38.73 53.15 Bank of America Corp. 06048WFT2 03/31/11 03/31/21 100.000 VARIES 5.2101 0.144728 0.145061 0.145402 0.145753 39.25 52.35 Bank of America Corp. 06048WFU9 03/29/11 03/29/21 100.000 VARIES N/A 0.010636 0.010197 0.009753 0.009304 2.85 3.51 SECTION I-B OID per Daily OID Per $1,000 $1,000 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06048WFW5 04/12/11 04/12/21 100.000 VARIES 5.3401 0.148336 0.148589 0.148848 0.149113 38.44 53.58 Bank of America Corp. 06048WFX3 04/12/11 04/12/21 100.000 VARIES 4.8603 0.135009 0.132215 0.129352 0.129606 34.75 46.88 Bank of America Corp. 06048WFY1 04/12/11 04/12/31 100.000 VARIES 5.7107 0.158631 0.152849 0.146903 0.147077 40.63 53.50 Bank of America Corp. 06048WFZ8 04/12/11 04/12/26 100.000 VARIES 5.4304 0.150847 0.147777 0.144625 0.144776 38.83 52.40 Bank of America Corp. 06048WGC8 05/27/11 05/27/31 100.000 VARIES 5.1374 0.142708 0.137811 0.132789 0.132946 30.37 48.54 Bank of America Corp. 06048WGE4 06/14/11 06/14/21 100.000 VARIES 2.2369 0.062136 0.061590 0.061037 0.060478 12.23 22.05 Bank of America Corp. 06048WGF1 06/16/11 06/16/23 100.000 VARIES 4.8973 0.136039 0.135969 0.135897 0.135824 26.53 48.93 Bank of America Corp. 06048WGG9 06/27/11 06/27/31 100.000 VARIES 5.5241 0.153449 0.148481 0.143375 0.143528 28.21 52.51 Bank of America Corp. 06048WGN4 07/07/11 07/07/21 100.000 VARIES 5.1061 0.141838 0.141913 0.141990 24.68 51.10 Bank of America Corp. 06048WGP9 06/28/11 06/28/21 100.000 VARIES 2.3482 0.016739 0.016038 0.015329 0.014612 3.06 5.64 Bank of America Corp. 06048WGQ7 07/14/11 07/14/31 100.000 VARIES 5.5581 0.154394 0.149421 0.144310 25.78 53.00 Bank of America Corp. 06048WGR5 07/14/11 07/14/23 100.000 VARIES 5.1475 0.142987 0.142735 0.142476 23.88 51.34 Bank of America Corp. 06048WGS3 07/14/11 07/14/31 100.000 VARIES 5.5558 0.154330 0.153215 0.152070 25.77 54.98 Bank of America Corp. 06048WGU8 07/14/11 07/14/26 100.000 VARIES 5.3899 0.149722 0.146271 0.142727 25.00 52.11 Bank of America Corp. 06048WGZ7 08/15/11 08/15/31 100.000 VARIES 5.2773 0.146592 0.141664 0.136607 19.94 50.53 Bank of America Corp. 06048WHA1 08/15/11 08/15/23 100.000 VARIES 4.7456 0.131824 0.131657 0.131485 17.93 47.38 Bank of America Corp. 06048WHF0 08/26/11 08/26/31 100.000 VARIES 5.0293 0.139704 0.134485 0.129136 17.46 48.03 Bank of America Corp. 06048WHN3 09/30/11 09/30/31 100.000 VARIES 5.3141 0.147616 0.141943 0.136119 13.43 51.07 Bank of America Corp. 06048WHT0 10/13/11 10/13/31 100.000 VARIES 4.6986 0.130519 0.125102 0.119557 10.18 45.16 Bank of America Corp. 06048WJA9 11/04/11 11/04/31 100.000 VARIES 5.9879 0.166333 0.161333 0.156183 9.48 58.40 Bank of America Corp. 06048WJB7 11/02/11 11/02/15 100.000 VARIES 5.3627 0.148964 0.149235 0.149512 8.79 53.71 Bank of America Corp. 06048WJH4 11/21/11 11/21/31 100.000 VARIES 5.0461 0.140171 0.135297 0.130301 5.61 49.19 Bank of America Corp. 06048WJL5 11/08/11 11/08/13 100.000 VARIES 3.1041 0.011783 0.011966 0.011906 .63 4.28 Bank of America Corp. 06050MEK9 01/27/05 01/28/11 100.000 0.000 4.3233 0.151962 4.10 Bank of America Corp. 06050MEL7 01/28/05 01/28/11 100.000 1.000 4.3662 0.146358 3.95 Bank of America Corp. 06050MEZ6 07/29/05 07/29/11 100.000 1.500 4.5615 0.148222 0.150653 31.27 Bank of America Corp. 06050MFK8 12/28/05 12/28/11 100.000 1.500 5.0510 0.168251 0.171448 60.64 Bank of America Corp. 06050MFL6 03/24/06 03/25/11 100.000 0.000 5.1630 0.180423 15.16 Bank of America Corp. 06050MFP7 04/28/06 04/28/11 100.000 1.750 5.5388 0.183189 21.43 Bank of America Corp. 06050MFV4 06/27/06 06/27/11 100.000 0.000 5.6598 0.202106 35.57 Bank of America Corp. 06050MFW2 07/28/06 01/28/11 100.000 0.000 5.5354 0.191296 5.16 Bank of America Corp. 06050MGB7 09/29/06 10/03/11 100.000 0.000 4.9679 0.168020 0.172194 46.45 Bank of America Corp. 06050MGD3 09/18/06 09/19/11 100.000 0.000 5.1632 0.175889 0.180430 46.20 Bank of America Corp. 06050MGF8 10/27/06 10/27/11 100.000 0.000 5.2609 0.179874 0.184605 54.09 Bank of America Corp. 06050MGM3 12/22/06 12/27/11 100.000 0.000 4.9879 0.168853 0.173064 60.87 Bank of America Corp. 06050MGN1 12/29/06 12/29/11 100.000 0.000 4.9680 0.167931 0.172103 60.87 Bank of America Corp. 06050MGP6 02/23/07 02/23/12 100.000 0.000 5.2024 0.172969 0.177469 0.182085 64.25 9.47 Bank of America Corp. 06050MGQ4 01/26/07 01/27/12 100.000 0.000 5.1926 0.172611 0.177093 0.181691 64.34 4.72 Bank of America Corp. 06050MGU5 02/23/07 11/23/11 100.000 0.000 5.1129 0.171642 0.176030 56.06 Bank of America Corp. 06050MGV3 02/23/07 02/24/12 100.000 0.000 5.1048 0.169186 0.173505 0.177933 62.80 9.43 Bank of America Corp. 06050MGZ4 03/29/07 03/29/12 100.000 2.000 5.0300 0.155707 0.158226 0.160808 56.98 14.15 Bank of America Corp. 06050MHB6 03/30/07 03/30/12 100.000 0.000 4.9829 0.164436 0.168533 0.172732 60.69 15.37 Bank of America Corp. 06050MHD2 04/27/07 04/30/12 100.000 0.000 4.9782 0.164325 0.168415 0.172607 60.40 20.54 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06050MHF7 05/25/07 02/27/12 100.000 0.000 5.2687 0.173368 0.177936 0.182623 64.38 10.23 Bank of America Corp. 06050MHL4 06/29/07 06/29/12 100.000 2.650 5.5699 0.171916 0.174654 0.177468 62.39 31.59 Bank of America Corp. 06050MHP5 07/27/07 07/28/11 100.000 0.000 5.3581 0.174449 0.179122 36.95 Bank of America Corp. 06050MHT7 08/30/07 09/01/11 100.000 0.000 5.1144 0.165332 0.169560 40.44 Bank of America Corp. 06050MHU4 08/31/07 09/02/11 100.000 0.000 5.0622 0.163418 0.167554 40.13 Bank of America Corp. 06050MHV2 09/28/07 03/28/13 100.000 0.000 5.2121 0.168948 0.173351 0.177868 0.182504 0.187260 62.44 65.74 Bank of America Corp. 06050MHY6 11/30/07 11/30/12 100.000 1.250 4.9200 0.152673 0.155574 0.158548 0.161594 55.67 52.71 Bank of America Corp. 06050MJB4 11/29/07 12/01/11 100.000 0.000 4.6068 0.146740 0.150120 49.03 Bank of America Corp. 06050MJE8 12/26/07 12/27/12 100.000 0.000 4.8121 0.154186 0.157896 0.161695 0.165585 56.20 58.26 Bank of America Corp. 06050MJF5 12/27/07 12/27/11 100.000 0.000 4.5091 0.143183 0.146411 51.55 Bank of America Corp. 06050MJJ7 12/28/07 12/28/12 100.000 0.000 4.8609 0.155954 0.159744 0.163627 0.167604 56.85 59.13 Bank of America Corp. 06050MJN8 02/29/08 02/28/13 100.000 0.000 4.2547 0.130578 0.131182 0.135445 0.136823 0.142049 48.37 50.64 Bank of America Corp. 06050MJP3 02/29/08 03/04/13 100.000 0.000 4.1447 0.126919 0.127437 0.131508 0.132774 0.137772 46.97 49.11 Bank of America Corp. 06050MJR9 02/29/08 02/28/13 100.000 0.000 4.3135 0.132575 0.133226 0.137595 0.139035 0.144388 49.13 51.46 Bank of America Corp. 06050MJS7 02/28/08 08/28/13 100.000 0.000 4.4798 0.139017 0.142131 0.145315 0.148570 0.151898 51.38 53.71 Bank of America Corp. 06050MJU2 03/28/08 03/28/14 100.000 0.000 4.2156 0.129973 0.132712 0.135509 0.138366 0.141282 47.80 49.83 Bank of America Corp. 06050MJV0 03/28/08 03/28/11 100.000 0.000 3.0663 0.091910 8.00 Bank of America Corp. 06050MJX6 03/28/08 03/28/14 100.000 0.000 4.1175 0.126645 0.129253 0.131914 0.134630 0.137401 46.55 48.49 Bank of America Corp. 06050MJY4 03/28/08 03/28/14 100.000 0.000 4.1175 0.126645 0.129253 0.131914 0.134630 0.137401 46.55 48.49 Bank of America Corp. 06050MKB2 04/25/08 04/25/14 100.000 0.000 4.4504 0.138005 0.141076 0.144215 0.147425 0.150705 50.64 52.92 Bank of America Corp. 06050MKC0 04/25/08 04/25/14 100.000 0.000 4.4113 0.136660 0.139674 0.142755 0.145904 0.149122 50.14 52.38 Bank of America Corp. 06050MKF3 04/25/08 04/25/13 100.000 0.000 4.1763 0.128640 0.131327 0.134069 0.136868 0.139727 47.15 49.14 Bank of America Corp. 06050R122 04/01/11 03/29/16 100.000 0.000 3.4400 0.095556 0.097181 0.098853 0.100553 25.95 35.60 Bank of America Corp. 06050R155 04/01/11 04/01/14 100.000 0.000 2.2100 0.061390 0.062068 0.062754 0.063448 16.64 22.59 Bank of America Corp. 06050R197 04/01/11 03/29/16 100.000 0.000 3.4499 0.095833 0.097467 0.099149 0.100859 26.03 35.70 Bank of America Corp. 06050R205 04/01/11 04/04/17 100.000 3.958 3.9579 0.109944 0.109944 0.109944 0.109944 0.109944 29.68 39.58 Bank of America Corp. 06050R296 05/05/11 04/29/16 100.000 0.000 3.4948 0.097078 0.098718 0.100443 0.102198 23.01 36.06 Bank of America Corp. 06050R403 05/05/11 05/05/17 100.000 3.979 3.9789 0.110528 0.110528 0.110528 0.110528 26.08 39.79 Bank of America Corp. 06050R429 05/05/11 04/29/14 100.000 0.000 2.0863 0.057955 0.058539 0.059150 0.059767 13.71 21.26 Bank of America Corp. 06050R544 06/03/11 05/27/16 100.000 0.000 3.0781 0.085505 0.086777 0.088113 0.089469 17.83 31.57 Bank of America Corp. 06050R585 06/03/11 06/01/16 100.000 0.000 3.1878 0.088551 0.089947 0.091380 0.092837 18.46 32.73 Bank of America Corp. 06050R619 05/16/11 05/16/14 100.000 0.000 1.8675 0.051876 0.052360 0.052849 0.053342 11.69 18.98 Bank of America Corp. 06050R627 06/03/11 06/03/14 100.000 0.000 1.7681 0.049115 0.049549 0.049987 0.050429 10.23 17.94 Bank of America Corp. 06050R718 07/06/11 06/24/16 100.000 0.000 3.3893 0.094149 0.095638 0.097259 0.098907 16.49 34.74 Bank of America Corp. 06050R783 07/01/11 06/30/17 100.000 3.855 3.8549 0.104755 0.105907 0.104755 0.106492 19.28 38.55 Bank of America Corp. 06050R833 07/06/11 06/28/16 100.000 0.000 3.4408 0.095579 0.097150 0.098822 0.100522 16.73 35.29 Bank of America Corp. 06051N112 07/01/11 06/30/17 100.000 0.000 3.8314 0.104117 0.107267 0.108133 0.112031 19.16 39.42 Bank of America Corp. 06051N153 08/04/11 07/28/17 100.000 0.000 3.7886 0.105241 0.107168 0.109198 15.47 38.84 Bank of America Corp. 06051N179 08/04/11 08/01/16 100.000 0.000 3.3768 0.093802 0.095359 0.096969 13.79 34.52 Bank of America Corp. 06051N211 08/04/11 07/25/14 100.000 0.000 2.2505 0.062516 0.063184 0.063895 9.19 22.84 Bank of America Corp. 06051N286 07/14/11 07/14/15 100.000 3.046 3.0459 0.084611 0.084611 0.084611 14.13 30.46 Bank of America Corp. 06051N336 09/16/11 08/29/14 100.000 0.000 3.2883 0.089357 0.091679 0.092677 9.56 33.54 Bank of America Corp. 06051N351 09/16/11 09/16/15 100.000 3.922 3.9219 0.108944 0.108944 0.108944 11.44 39.22 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06051N427 09/16/11 09/29/17 100.000 0.000 4.4513 0.123649 0.123847 0.126604 0.129422 13.00 45.59 Bank of America Corp. 06051N443 09/16/11 09/01/16 100.000 0.000 4.1772 0.116034 0.118256 0.120726 12.18 42.74 Bank of America Corp. 06051N468 10/06/11 09/30/14 100.000 0.000 4.9274 0.134629 0.137837 0.142009 11.71 50.55 Bank of America Corp. 06051N518 10/06/11 09/29/17 100.000 0.000 5.1703 0.143621 0.147189 0.150994 12.21 53.02 Bank of America Corp. 06051N609 11/03/11 10/29/13 100.000 0.000 3.8828 0.107856 0.109903 0.112037 6.26 39.46 Bank of America Corp. 06051N658 11/03/11 10/27/17 100.000 0.000 4.7610 0.132252 0.135295 0.138516 7.67 48.56 Bank of America Corp. 06051N732 11/03/11 10/31/14 100.000 0.000 4.0380 0.112167 0.114394 0.116703 6.51 41.06 Bank of America Corp. 06051N740 11/03/11 10/29/13 100.000 0.000 3.8828 0.107856 0.109903 0.112037 6.26 39.46 Bank of America Corp. 06051N815 11/30/11 11/29/13 100.000 0.000 4.4100 0.122501 0.125187 0.127947 3.80 44.76 Bank of America Corp. 06051N880 11/30/11 12/02/15 100.000 0.000 5.5599 0.154444 0.154492 0.158787 0.163201 4.79 56.64 Bank of America Corp. 06051P117 11/30/11 11/29/13 100.000 0.000 4.9589 0.137748 0.141144 0.144644 4.27 50.42 Bank of America Corp. 06052E111 09/03/09 08/29/14 100.000 0.000 5.0623 0.145310 0.149806 0.151929 0.157486 0.160590 54.68 57.70 Bank of America Corp. 06052E145 09/08/09 08/30/11 100.000 0.000 3.0935 0.087570 0.088439 21.26 Bank of America Corp. 06052E202 09/10/09 09/09/11 100.000 0.000 2.9599 0.084665 0.085918 21.22 Bank of America Corp. 06052E277 10/06/09 09/27/13 100.000 0.000 4.5996 0.133563 0.136635 0.139777 0.142992 0.146281 49.22 51.51 Bank of America Corp. 06052E285 10/01/09 10/01/13 100.000 0.000 4.5899 0.133417 0.136478 0.139611 0.142815 0.146092 49.14 51.42 Bank of America Corp. 06052E293 10/06/09 09/27/11 100.000 0.000 2.7495 0.078439 0.079517 21.06 Bank of America Corp. 06052E376 11/05/09 11/01/11 100.000 0.000 2.4099 0.068548 0.069374 20.71 Bank of America Corp. 06052E467 11/05/09 11/04/14 100.000 0.000 4.6099 0.134009 0.137098 0.140258 0.143491 0.146799 49.16 51.45 Bank of America Corp. 06052E475 11/04/09 10/31/14 100.000 0.000 4.6625 0.135555 0.138715 0.141949 0.145258 0.148645 49.76 52.11 Bank of America Corp. 06052E483 11/05/09 11/01/11 100.000 0.000 2.4099 0.068548 0.069374 20.71 Bank of America Corp. 06052E517 12/02/09 12/02/14 100.000 0.000 4.1500 0.120113 0.122605 0.125149 0.127746 0.130397 43.84 45.67 Bank of America Corp. 06052E525 02/04/10 01/30/15 100.000 0.000 4.0898 0.115879 0.118249 0.120667 0.123134 0.125652 42.87 44.64 Bank of America Corp. 06052E566 12/02/09 12/02/14 100.000 0.000 4.1500 0.120113 0.122605 0.125149 0.127746 0.130397 43.84 45.67 Bank of America Corp. 06052E574 12/02/09 12/02/14 100.000 0.000 4.1500 0.120113 0.122605 0.125149 0.127746 0.130397 43.84 45.67 Bank of America Corp. 06052E590 12/02/09 11/30/11 100.000 0.000 1.9800 0.055472 0.055715 18.52 Bank of America Corp. 06052E608 12/11/09 12/09/11 100.000 0.000 2.1798 0.061871 0.062546 21.03 Bank of America Corp. 06052E707 12/30/09 01/14/15 100.000 0.000 4.5896 0.130649 0.133647 0.136714 0.139851 0.143061 48.59 50.84 Bank of America Corp. 06052E848 02/04/10 02/03/15 100.000 0.000 4.0998 0.116208 0.118590 0.121021 0.123502 0.126033 42.98 44.76 Bank of America Corp. 06052E889 02/04/10 01/31/12 100.000 0.000 1.8526 0.050799 0.052119 0.051744 18.93 1.55 Bank of America Corp. 06052H130 02/04/10 02/16/12 100.000 0.000 1.8998 0.053309 0.053816 0.054327 19.42 2.44 Bank of America Corp. 06052H148 03/04/10 02/27/15 100.000 0.000 3.8898 0.110072 0.112213 0.114395 0.116620 0.118888 40.55 42.14 Bank of America Corp. 06052H262 03/04/10 02/29/12 100.000 0.000 1.7672 0.049242 0.048868 0.049841 17.98 2.94 Bank of America Corp. 06052H353 04/06/10 03/27/15 100.000 0.000 4.2597 0.120722 0.123293 0.125919 0.128601 0.131340 44.41 46.32 Bank of America Corp. 06052H411 04/06/10 03/31/15 100.000 0.000 4.3022 0.121993 0.124617 0.127298 0.130036 0.132834 44.87 46.82 Bank of America Corp. 06052H486 04/05/10 03/30/12 100.000 0.000 1.9301 0.054119 0.054641 0.055169 19.67 4.91 Bank of America Corp. 06052H551 05/06/10 04/28/15 100.000 0.000 4.0498 0.114673 0.116995 0.119364 0.121781 0.124247 42.00 43.71 Bank of America Corp. 06052H585 05/07/10 05/01/12 100.000 0.000 1.8799 0.052695 0.053190 0.053690 19.12 6.44 Bank of America Corp. 06052H635 05/06/10 04/24/15 100.000 0.000 4.0496 0.114617 0.116938 0.119306 0.121722 0.124186 41.99 43.71 Bank of America Corp. 06052H676 05/06/10 04/24/15 100.000 0.000 4.1197 0.116638 0.119041 0.121493 0.123995 0.126550 42.75 44.53 Bank of America Corp. 06052H759 06/04/10 06/02/15 100.000 0.000 4.2100 0.119379 0.121892 0.124458 0.127078 0.129753 43.58 45.43 Bank of America Corp. 06052H783 06/04/10 05/30/12 100.000 0.000 1.7400 0.048747 0.049171 0.049599 17.65 7.39 Bank of America Corp. 06052H809 05/12/10 05/30/12 100.000 0.000 1.7700 0.049646 0.050086 0.050529 17.98 7.53 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06052H825 06/04/10 05/29/15 100.000 0.000 4.1399 0.117312 0.119741 0.122219 0.124749 0.127331 42.83 44.62 Bank of America Corp. 06052H874 05/11/10 05/10/13 100.000 0.000 2.6499 0.074579 0.075568 0.076569 0.077583 0.078611 27.13 27.85 Bank of America Corp. 06052K174 07/02/10 06/26/15 100.000 0.000 4.2398 0.120188 0.122735 0.125337 0.127994 0.130708 43.75 45.63 Bank of America Corp. 06052K182 07/02/10 06/29/12 100.000 0.000 1.7498 0.049026 0.049455 0.049888 17.73 8.88 Bank of America Corp. 06052K216 06/30/10 07/02/13 100.000 0.000 2.6998 0.075006 0.076019 0.077045 0.078085 0.079139 27.55 28.30 Bank of America Corp. 06052K240 07/02/10 06/30/15 100.000 0.000 4.2198 0.119004 0.119534 0.123397 0.124631 0.129370 43.54 45.40 Bank of America Corp. 06052K257 07/02/10 06/30/15 100.000 0.000 4.2375 0.120189 0.122736 0.125336 0.127992 0.130704 43.73 45.60 Bank of America Corp. 06052K307 06/10/10 06/27/14 100.000 0.000 3.6995 0.104850 0.106790 0.108765 0.110777 0.112826 38.11 39.53 Bank of America Corp. 06052K406 08/05/10 07/27/12 100.000 0.000 1.6601 0.046115 0.046480 0.046866 0.047255 16.78 9.72 Bank of America Corp. 06052K448 08/09/10 07/31/15 100.000 0.000 3.8416 0.104393 0.108062 0.108342 0.111636 0.112544 39.38 40.90 Bank of America Corp. 06052K463 08/05/10 08/03/15 100.000 0.000 3.8498 0.106941 0.108977 0.111075 0.113213 0.115392 39.48 41.01 Bank of America Corp. 06052K513 09/02/10 09/01/15 100.000 0.000 3.5799 0.099443 0.101214 0.103025 0.104869 0.106747 36.55 37.87 Bank of America Corp. 06052K539 09/02/10 08/31/12 100.000 0.000 1.6721 0.046192 0.045814 0.046705 0.046584 16.85 11.33 Bank of America Corp. 06052K612 08/17/10 08/19/15 100.000 0.000 3.6100 0.100298 0.102109 0.103952 0.105828 0.107738 36.92 38.26 Bank of America Corp. 06052K679 10/01/10 10/01/15 100.000 0.000 3.5499 0.098611 0.100361 0.102143 0.103956 0.105801 36.13 37.43 Bank of America Corp. 06052K703 10/01/10 09/30/16 100.000 4.040 4.0399 0.110989 0.110383 0.110383 0.110383 0.110989 40.34 40.46 Bank of America Corp. 06052K745 10/01/10 10/01/12 100.000 0.000 1.4599 0.040554 0.040850 0.041148 0.041448 14.71 11.16 Bank of America Corp. 06052K760 10/04/10 09/30/20 100.000 VARIES 4.7910 0.131623 0.130129 0.129320 0.129391 0.130176 47.55 47.42 Bank of America Corp. 06052K836 10/14/10 10/30/15 100.000 0.000 3.1997 0.089009 0.090433 0.091880 0.093350 0.094844 32.47 33.52 Bank of America Corp. 06052R120 11/04/10 11/04/16 100.000 3.694 3.6939 0.102611 0.102611 0.102611 0.102611 0.102611 36.94 36.94 Bank of America Corp. 06052R179 10/13/10 10/30/15 100.000 0.000 3.3096 0.092080 0.093604 0.095153 0.096727 0.098328 33.61 34.73 Bank of America Corp. 06052R187 11/04/10 10/29/12 100.000 0.000 1.2001 0.033337 0.033532 0.033733 0.033935 12.06 10.09 Bank of America Corp. 06052R229 12/01/10 11/27/15 100.000 0.000 3.5799 0.099443 0.101184 0.102995 0.104839 0.106715 36.23 37.54 Bank of America Corp. 06052R278 12/01/10 12/01/16 100.000 4.030 4.0299 0.111944 0.111944 0.111944 0.111944 0.111944 40.30 40.30 Bank of America Corp. 06052R294 12/01/10 12/01/15 100.000 0.000 3.5800 0.099445 0.101225 0.103037 0.104881 0.106759 36.23 37.54 Bank of America Corp. 06052R427 12/30/10 12/28/15 100.000 0.000 4.0699 0.113054 0.115329 0.117676 0.120071 0.122514 41.12 42.81 Bank of America Corp. 06052R476 12/16/10 12/16/22 100.000 5.612 5.6119 0.155889 0.155889 0.155889 0.155889 0.155889 56.12 56.12 Bank of America Corp. 06052R500 01/18/11 01/29/16 100.000 0.000 3.9297 0.109159 0.109290 0.111437 0.113627 0.115860 37.81 41.18 Bank of America Corp. 06052R518 02/04/11 02/04/14 100.000 0.000 2.5900 0.071945 0.072877 0.073820 0.074776 23.66 26.68 Bank of America Corp. 06052R575 02/04/11 02/02/16 100.000 0.000 3.9799 0.110553 0.112728 0.114972 0.117259 36.47 41.66 Bank of America Corp. 06052R625 01/18/11 01/18/23 100.000 5.240 5.2399 0.145556 0.145556 0.145556 0.145556 49.93 52.40 Bank of America Corp. 06052R633 02/04/11 02/02/16 100.000 0.000 3.7599 0.104444 0.106385 0.108385 0.110423 34.44 39.26 Bank of America Corp. 06052R658 01/31/11 01/31/23 100.000 5.390 5.3899 0.149722 0.149722 0.149722 0.149722 49.56 53.90 Bank of America Corp. 06052R666 02/03/11 02/02/18 100.000 0.000 4.4999 0.124998 0.127795 0.130670 0.133610 41.42 47.39 Bank of America Corp. 06052R757 03/04/11 02/26/16 100.000 0.000 3.7898 0.105275 0.107181 0.109212 0.111281 31.50 39.46 Bank of America Corp. 06052R773 03/04/11 03/04/14 100.000 0.000 2.4898 0.069163 0.070024 0.070896 0.071779 20.64 25.57 Bank of America Corp. 06052R781 02/17/11 02/17/23 100.000 5.630 5.6299 0.156389 0.156389 0.156389 0.156389 49.11 56.30 Bank of America Corp. 06052R807 02/17/11 02/17/16 100.000 4.091 4.0909 0.113639 0.113639 0.113639 0.113639 35.68 40.91 Bank of America Corp. 06052R872 03/04/11 03/04/16 100.000 3.673 3.6729 0.102028 0.102028 0.102028 0.102028 30.30 36.73 Bank of America Corp. 060900164 03/05/09 09/05/12 100.000 0.000 4.2742 0.126506 0.129209 0.131971 0.134791 46.66 32.71 Bank of America Corp. 060900198 02/27/09 03/04/14 100.000 0.000 4.4307 0.131551 0.134465 0.137444 0.140489 0.143601 48.57 50.75 Bank of America Corp. 060900206 02/27/09 02/28/14 100.000 0.000 4.6656 0.138134 0.139052 0.143860 0.145615 0.151482 51.29 53.91 Bank of America Corp. 060900248 03/05/09 03/06/12 100.000 0.000 4.1175 0.121600 0.124104 0.126659 44.81 8.23 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 060900297 03/27/09 03/28/14 100.000 0.000 4.2742 0.126521 0.129225 0.131987 0.134807 0.137688 46.54 48.55 Bank of America Corp. 060900321 03/27/09 03/28/14 100.000 0.000 4.2350 0.125289 0.127942 0.130651 0.133418 0.136243 46.08 48.05 Bank of America Corp. 060900412 04/24/09 04/25/14 100.000 0.000 5.3679 0.161465 0.165798 0.170248 0.174818 0.179510 59.49 62.72 Bank of America Corp. 060900479 05/29/09 05/31/13 100.000 0.000 5.3386 0.158774 0.162121 0.166449 0.170892 0.176417 58.81 62.05 Bank of America Corp. 060900495 06/05/09 06/01/11 100.000 0.000 3.1942 0.093017 13.95 Bank of America Corp. 060900586 06/26/09 06/28/13 100.000 0.000 5.6500 0.170681 0.175503 0.180461 0.185559 0.190801 62.34 65.91 Bank of America Corp. 060900594 06/26/09 06/28/13 100.000 0.000 5.6890 0.171957 0.176848 0.181879 0.187052 0.192373 62.81 66.44 Bank of America Corp. 060900610 06/26/09 07/06/11 100.000 0.000 3.4400 0.098967 0.100670 18.62 Bank of America Corp. 060900750 07/31/09 07/26/13 100.000 0.000 5.6592 0.162489 0.169857 0.171815 0.178618 0.181676 62.12 65.69 Bank of America Corp. 060900768 07/31/09 08/02/11 100.000 0.000 3.4154 0.096025 0.099284 21.04 Bank of America Corp. 060900776 07/31/09 07/30/13 100.000 0.000 5.6098 0.161090 0.168354 0.170254 0.176953 0.179939 61.53 65.03 Bank of America Corp. 060900784 07/06/09 06/29/12 100.000 0.000 4.5283 0.134409 0.137453 0.140565 48.95 25.02 Bank of America Corp. 060900826 09/03/09 09/04/13 100.000 0.000 4.7200 0.136633 0.137577 0.142371 0.144147 0.149995 50.73 53.34 Barclays Bank PLC 067387AS9 10/30/09 10/30/14 100.000 VARIES 3.2808 0.091853 0.092364 0.092770 0.093004 0.093029 33.22 33.46 Barclays Bank PLC 067387AY6 11/30/10 02/28/13 100.000 0.000 1.3672 0.037769 0.037280 0.037947 0.037791 0.038680 13.72 13.95 Barclays Bank PLC 067387BC3 01/31/11 05/01/13 100.000 0.000 1.7399 0.048333 0.048546 0.048968 0.049394 0.049824 16.07 17.76 Barclays Bank PLC 067387BF6 02/25/11 01/02/13 100.000 0.000 1.5702 0.043618 0.043859 0.044204 0.044551 13.39 15.98 Barclays Bank PLC 067387BJ8 03/31/11 07/01/13 100.000 0.000 1.6999 0.047221 0.047424 0.047827 0.048233 12.83 17.29 Barclays Bank PLC 06738C5K1 05/31/07 09/01/11 100.000 0.000 5.1701 0.168629 0.170168 41.26 Barclays Bank PLC 06738CA33 02/28/07 08/28/12 100.000 0.000 4.9697 0.163928 0.168001 0.172176 0.176454 60.76 41.58 Barclays Bank PLC 06738CA66 02/28/07 09/04/12 100.000 0.000 5.1701 0.170855 0.172414 0.178815 0.181444 63.60 44.65 Barclays Bank PLC 06738CB24 03/28/07 09/28/12 100.000 0.000 4.9599 0.163549 0.167605 0.171762 0.176021 60.37 46.63 Barclays Bank PLC 06738CK57 03/28/07 06/28/11 100.000 0.000 5.3200 0.179952 31.85 Barclays Bank PLC 06738CM30 04/27/07 10/29/12 100.000 0.000 5.0799 0.168242 0.172515 0.176897 0.181390 61.87 53.52 Barclays Bank PLC 06738CMS5 10/27/06 10/27/11 100.000 0.000 5.1100 0.173689 0.178127 52.21 Barclays Bank PLC 06738CVD8 01/31/07 01/31/12 100.000 0.000 5.2399 0.174443 0.179013 0.183703 65.02 5.33 Barclays Bank PLC 06738CVE6 01/31/07 07/31/12 100.000 0.000 5.2399 0.174441 0.179011 0.183701 0.188514 65.02 39.26 Barclays Bank PLC 06738CXS3 02/28/07 08/28/12 100.000 0.000 4.9697 0.163928 0.168001 0.172176 0.176454 60.76 41.58 Barclays Bank PLC 06738CZR3 03/01/07 03/01/11 100.000 0.000 4.9500 0.163167 9.79 Barclays Bank PLC 06738CZX0 03/09/07 03/09/17 100.000 0.000 5.5899 0.188327 0.193591 0.199002 0.204564 0.210281 69.94 73.91 Barclays Bank PLC 06738G4Z0 01/31/08 07/30/12 100.000 0.000 3.6623 0.108961 0.112795 0.112988 0.116321 41.09 24.45 Barclays Bank PLC 06738GDT4 06/19/07 06/17/11 100.000 0.000 5.2800 0.175966 29.21 Barclays Bank PLC 06738GEN6 06/29/07 09/28/12 100.000 0.000 5.9100 0.198369 0.204231 0.210266 0.216479 73.57 57.26 Barclays Bank PLC 06738GES5 06/29/07 06/29/12 100.000 0.000 5.8900 0.200472 0.206376 0.212454 73.26 37.82 Barclays Bank PLC 06738GGL8 07/16/07 10/14/11 100.000 0.000 5.2300 0.171784 0.176277 49.42 Barclays Bank PLC 06738GH29 11/30/07 05/30/12 100.000 0.000 4.3699 0.138196 0.141216 0.144301 50.48 21.50 Barclays Bank PLC 06738GW22 11/30/07 11/30/12 100.000 0.000 4.3699 0.138195 0.141215 0.144300 0.147453 50.48 48.04 Barclays Bank PLC 06738GX70 12/31/07 06/26/12 100.000 0.000 4.4399 0.140630 0.143752 0.146943 51.22 25.71 Barclays Bank PLC 06738JFK5 09/30/10 09/30/25 100.000 VARIES 4.4611 0.123920 0.123586 0.123245 0.122896 0.122539 44.49 44.24 Barclays Bank PLC 06738JFL3 11/12/10 11/12/22 100.000 VARIES 1.0910 0.030307 0.029033 0.027752 0.027865 0.027977 10.56 10.02 Barclays Bank PLC 06738JHK3 09/30/10 09/30/20 100.000 VARIES 4.0513 0.112537 0.112425 0.112311 0.112194 0.112076 40.47 40.39 Barclays Bank PLC 06738JHL1 10/15/10 10/15/22 100.000 VARIES 4.2146 0.117075 0.117054 0.117033 0.117011 0.116989 42.14 42.12 Barclays Bank PLC 06738JJR6 10/07/10 10/07/20 100.000 VARIES 4.0416 0.112268 0.112292 0.112316 0.112340 0.112365 40.42 40.44 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06738JJX3 10/07/10 10/07/25 100.000 VARIES 4.4615 0.123933 0.123599 0.123258 0.122909 0.122553 44.50 44.25 Barclays Bank PLC 06738JLF9 11/04/10 11/04/25 100.000 VARIES 4.5900 0.127501 0.128355 0.128855 0.129367 0.129891 46.13 46.54 Barclays Bank PLC 06738JLS1 10/21/10 10/21/20 100.000 VARIES 4.0316 0.111991 0.112009 0.112027 0.112045 0.112064 40.32 40.34 Barclays Bank PLC 06738JLX0 10/07/10 10/07/22 100.000 VARIES 4.2148 0.117079 0.117058 0.117037 0.117016 0.116994 42.14 42.13 Barclays Bank PLC 06738JNK6 10/15/10 10/15/25 100.000 VARIES 4.7543 0.132065 0.131903 0.131737 0.131567 0.131393 47.49 47.37 Barclays Bank PLC 06738KA76 12/07/11 12/09/13 100.000 0.000 2.9799 0.082776 0.082790 0.084024 0.085276 1.99 30.08 Barclays Bank PLC 06738KAM3 02/25/11 02/25/31 100.000 VARIES 5.5650 0.154586 0.149612 0.144500 0.140019 46.68 51.73 Barclays Bank PLC 06738KAP6 02/02/11 02/02/16 100.000 1.000 3.3894 0.094152 0.095277 0.096421 0.097585 31.14 34.85 Barclays Bank PLC 06738KAS0 02/09/11 05/09/12 100.000 0.000 1.2299 0.034165 0.034270 0.034481 11.04 4.41 Barclays Bank PLC 06738KBW0 02/09/11 02/09/21 100.000 VARIES 4.8413 0.134481 0.134879 0.135286 0.135800 43.36 48.76 Barclays Bank PLC 06738KBZ3 02/16/11 02/17/15 100.000 0.000 3.3099 0.091941 0.091951 0.093473 0.095020 0.096592 29.17 34.35 Barclays Bank PLC 06738KCF6 02/24/11 05/23/12 100.000 0.000 0.7203 0.020009 0.020045 0.020117 6.15 2.86 Barclays Bank PLC 06738KCK5 02/24/11 02/22/13 100.000 0.000 1.5698 0.043608 0.043946 0.044291 0.044639 13.43 15.97 Barclays Bank PLC 06738KCL3 02/24/11 02/22/13 100.000 0.000 1.5698 0.043608 0.043946 0.044291 0.044639 13.43 15.97 Barclays Bank PLC 06738KCN9 03/16/11 03/16/21 100.000 VARIES 4.8210 0.133917 0.134299 0.134691 0.135092 38.21 48.50 Barclays Bank PLC 06738KCQ2 03/10/11 03/10/26 100.000 VARIES 5.3754 0.149319 0.145120 0.140808 0.136790 42.99 50.54 Barclays Bank PLC 06738KDG3 03/09/11 06/07/12 100.000 0.000 1.2497 0.034716 0.034822 0.035039 10.16 5.47 Barclays Bank PLC 06738KDX6 03/31/11 03/31/26 100.000 VARIES 5.3512 0.148646 0.147792 0.146916 0.147633 40.21 53.03 Barclays Bank PLC 06738KEA5 03/09/11 03/09/21 100.000 VARIES 5.1730 0.143697 0.145867 0.148094 0.150379 42.20 53.42 Barclays Bank PLC 06738KEC1 03/16/11 06/14/12 100.000 0.000 1.2696 0.035268 0.035378 0.035602 10.08 5.80 Barclays Bank PLC 06738KEG2 03/15/11 03/14/13 100.000 0.000 1.6600 0.046113 0.046494 0.046880 0.047269 13.23 16.89 Barclays Bank PLC 06738KEH0 03/15/11 03/14/13 100.000 0.000 1.6600 0.046113 0.046494 0.046880 0.047269 13.23 16.89 Barclays Bank PLC 06738KEM9 04/08/11 04/08/21 100.000 VARIES 5.0806 0.141130 0.141646 0.142175 0.142717 37.16 51.18 Barclays Bank PLC 06738KEY3 04/08/11 04/08/26 100.000 VARIES 5.3548 0.148747 0.149011 0.149282 0.150530 39.14 53.82 Barclays Bank PLC 06738KFN6 03/30/11 11/19/14 100.000 0.000 2.6999 0.074999 0.075275 0.076291 0.077321 0.078365 20.43 27.74 Barclays Bank PLC 06738KFQ9 04/28/11 04/28/31 100.000 VARIES 5.2023 0.144510 0.140321 0.136023 0.134418 34.85 49.37 Barclays Bank PLC 06738KGB1 04/28/11 04/28/26 100.000 VARIES 5.0662 0.140729 0.137257 0.133697 0.132909 33.98 48.50 Barclays Bank PLC 06738KGC9 04/07/11 04/12/16 100.000 0.000 3.5299 0.098054 0.098102 0.099834 0.101596 0.103389 26.04 36.54 Barclays Bank PLC 06738KGD7 04/07/11 04/12/17 100.000 0.000 3.8999 0.108331 0.108390 0.110504 0.112659 0.114856 28.78 40.51 Barclays Bank PLC 06738KHG9 04/29/11 05/01/14 100.000 0.500 1.3951 0.038755 0.038757 0.038930 0.039105 0.039281 9.39 14.07 Barclays Bank PLC 06738KHK0 05/12/11 05/12/21 100.000 VARIES 4.6808 0.130025 0.130467 0.130920 0.131384 29.80 47.09 Barclays Bank PLC 06738KHN4 04/21/11 04/23/13 100.000 0.000 1.4397 0.039993 0.039997 0.040285 0.040575 0.040867 10.02 14.59 Barclays Bank PLC 06738KJF9 05/31/11 05/29/26 100.000 VARIES 4.6293 0.128592 0.127715 0.126814 0.127216 27.10 45.80 Barclays Bank PLC 06738KJH5 05/06/11 05/09/14 100.000 VARIES 2.0355 0.056542 0.056550 0.056984 0.057423 0.057866 13.31 20.64 Barclays Bank PLC 06738KKG5 05/18/11 06/18/12 100.000 0.000 0.7496 0.020824 0.020837 0.020915 4.65 3.49 Barclays Bank PLC 06738KLP4 06/28/11 06/28/23 100.000 VARIES 4.8716 0.135324 0.135914 0.136518 0.137137 24.77 49.04 Barclays Bank PLC 06738KMB4 06/21/11 06/19/15 100.000 0.000 2.6199 0.072775 0.073718 0.074684 0.075662 13.84 26.74 Barclays Bank PLC 06738KMD0 06/30/11 06/30/14 100.000 0.000 2.0801 0.057782 0.058383 0.058990 0.059604 10.46 21.13 Barclays Bank PLC 06738KME8 06/29/11 12/27/12 100.000 0.000 1.0702 0.029730 0.029887 0.030047 5.41 10.67 Barclays Bank PLC 06738KMR9 07/07/11 01/14/13 100.000 0.000 1.0701 0.029727 0.029733 0.029892 0.030052 5.17 10.79 Barclays Bank PLC 06738KMV0 07/28/11 07/28/21 100.000 VARIES 4.8122 0.133675 0.134217 0.134773 20.45 48.39 Barclays Bank PLC 06738KNF4 07/29/11 07/31/17 100.000 0.000 3.5900 0.099723 0.099743 0.101533 0.103356 15.26 36.78 Barclays Bank PLC 06738KNJ6 07/29/11 07/29/16 100.000 0.000 3.2800 0.091112 0.092606 0.094125 13.85 33.53 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06738KPB1 07/22/11 07/22/26 100.000 VARIES 5.0342 0.139841 0.143361 0.138493 22.23 50.76 Barclays Bank PLC 06738KPD7 07/22/11 01/22/13 100.000 0.000 1.0201 0.028337 0.028481 0.028627 4.51 10.27 Barclays Bank PLC 06738KQF1 08/31/11 08/31/17 100.000 0.000 3.9281 0.107916 0.108839 0.112816 13.27 40.27 Barclays Bank PLC 06738KQS3 08/31/11 08/31/31 100.000 VARIES 6.1335 0.168504 0.162409 0.160633 20.73 59.58 Barclays Bank PLC 06738KQT1 08/05/11 08/05/21 100.000 VARIES 4.6123 0.128121 0.128513 0.128914 18.71 46.31 Barclays Bank PLC 06738KQU8 08/03/11 08/03/16 100.000 0.000 3.0700 0.085278 0.086587 0.087916 12.62 31.33 Barclays Bank PLC 06738KRA1 09/08/11 09/08/16 100.000 0.000 3.5399 0.098331 0.100072 0.101843 11.11 36.11 Barclays Bank PLC 06738KRT0 08/17/11 02/19/13 100.000 0.000 1.5101 0.041949 0.041953 0.042270 0.042589 5.62 15.24 Barclays Bank PLC 06738KSV4 09/14/11 09/14/26 100.000 VARIES 5.0468 0.140190 0.143028 0.145937 15.00 51.59 Barclays Bank PLC 06738KTB7 09/30/11 09/30/31 100.000 VARIES 5.4569 0.151583 0.147382 0.143066 13.79 53.04 Barclays Bank PLC 06738KTW1 06/23/11 12/21/12 100.000 0.000 0.7499 0.020833 0.020910 0.020988 3.92 7.33 Barclays Bank PLC 06738KUD1 09/30/11 09/29/17 100.000 0.000 3.9799 0.110554 0.112742 0.114986 10.06 40.60 Barclays Bank PLC 06738KUP4 09/14/11 09/13/13 100.000 0.000 2.2199 0.061665 0.062346 0.063038 6.60 22.47 Barclays Bank PLC 06738KUQ2 10/12/11 10/12/16 100.000 0.000 3.6299 0.100831 0.102661 0.104524 7.97 36.92 Barclays Bank PLC 06738KVA6 09/21/11 09/19/13 100.000 0.000 2.1002 0.058339 0.058945 0.059564 5.83 21.24 Barclays Bank PLC 06738KVE8 09/29/11 09/30/31 100.000 VARIES 5.2986 0.147183 0.147168 0.144075 0.140901 13.54 51.85 Barclays Bank PLC 06738KVN8 09/28/11 09/26/13 100.000 0.000 2.4199 0.067222 0.068026 0.068849 6.25 24.50 Barclays Bank PLC 06738KVS7 09/30/11 10/01/26 100.000 VARIES 5.0307 0.139742 0.139736 0.138359 0.136949 12.72 49.81 Barclays Bank PLC 06738KWV9 09/30/11 10/03/17 100.000 0.000 3.9899 0.110833 0.110870 0.113082 0.115338 10.09 40.70 Barclays Bank PLC 06738KWX5 10/31/11 11/01/31 100.000 VARIES 4.5597 0.123904 0.125247 0.120205 0.118370 7.76 44.49 Barclays Bank PLC 06738KXT3 10/26/11 10/26/26 100.000 VARIES 5.0988 0.141636 0.139581 0.137474 9.21 50.35 Barclays Bank PLC 06738KXV8 10/28/11 10/28/16 100.000 VARIES 3.8804 0.107790 0.107523 0.107251 6.79 38.72 Barclays Bank PLC 06738KYG0 12/01/11 12/01/16 100.000 0.000 4.3799 0.121666 0.124330 0.127053 3.65 44.44 Barclays Bank PLC 06738KYT2 11/28/11 11/26/14 100.000 0.000 3.5899 0.099720 0.101490 0.103312 3.29 36.34 Barclays Bank PLC 06738KZM6 11/23/11 11/21/13 100.000 0.000 2.9002 0.080562 0.081717 0.082902 3.06 29.30 Barclays Bank PLC 06738KZQ7 11/25/11 11/25/15 100.000 0.000 3.8199 0.106108 0.108135 0.110200 3.82 38.71 Barclays Bank PLC 06738Q3V8 04/30/09 05/07/14 100.000 0.000 5.2000 0.156167 0.160227 0.164393 0.168667 0.173053 57.40 60.42 Barclays Bank PLC 06738Q4D7 04/30/09 05/07/14 100.000 0.000 4.9000 0.146503 0.150092 0.153770 0.157537 0.161397 53.78 56.45 Barclays Bank PLC 06738QDA3 08/29/08 08/31/11 100.000 0.000 3.9925 0.119393 0.119791 28.97 Barclays Bank PLC 06738QDB1 08/26/08 08/30/13 100.000 0.000 4.4602 0.133900 0.136138 0.139174 0.142278 0.146250 49.94 52.38 Barclays Bank PLC 06738QDW5 09/10/08 09/08/11 100.000 0.000 3.7898 0.113461 0.115611 28.41 Barclays Bank PLC 06738QK98 02/27/09 02/27/14 100.000 0.000 4.6599 0.138704 0.141936 0.145243 0.148627 0.152090 51.33 53.75 Barclays Bank PLC 06738QKP2 09/22/08 09/22/11 100.000 0.000 4.0900 0.123197 0.125716 32.61 Barclays Bank PLC 06738QKR8 09/30/08 09/30/11 100.000 0.000 4.7401 0.144603 0.148030 39.52 Barclays Bank PLC 06738QLE6 09/17/08 09/14/14 100.000 0.000 4.0500 0.121854 0.124322 0.126840 0.129408 0.132029 44.85 46.68 Barclays Bank PLC 06738QM21 02/27/09 03/07/14 100.000 0.000 4.6599 0.138884 0.142120 0.145431 0.148820 0.152287 51.33 53.75 Barclays Bank PLC 06738QV62 03/31/09 03/31/14 100.000 0.000 5.0055 0.149746 0.153494 0.157335 0.161273 0.165309 55.27 58.08 Barclays Bank PLC 06738QV70 03/31/09 03/31/14 100.000 0.000 5.0055 0.149746 0.153494 0.157335 0.161273 0.165309 55.27 58.08 Barclays Bank PLC 06738QX86 03/31/09 04/07/14 100.000 0.000 5.0056 0.148247 0.151127 0.154909 0.158786 0.163654 55.21 58.16 Barclays Bank PLC 06738R2Z8 07/18/08 01/19/11 100.000 0.000 3.9500 0.118664 2.14 Barclays Bank PLC 06738R5X0 07/30/08 07/28/11 100.000 0.000 4.2101 0.127081 0.129756 26.79 Barclays Bank PLC 06738R6V3 07/25/08 07/30/13 100.000 0.000 4.7399 0.144693 0.148122 0.151632 0.155226 0.158905 53.75 56.33 Barclays Bank PLC 06738RA89 05/30/08 11/30/11 100.000 0.000 4.1499 0.127744 0.130394 42.50 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06738RBT2 01/24/08 07/23/12 100.000 0.000 3.8000 0.115962 0.118165 0.120411 0.122698 42.85 24.73 Barclays Bank PLC 06738RC95 05/30/08 06/02/11 100.000 0.000 4.1499 0.127773 19.29 Barclays Bank PLC 06738RDB9 02/29/08 02/28/11 100.000 0.000 3.1126 0.092888 5.39 Barclays Bank PLC 06738RDC7 02/29/08 11/29/12 100.000 0.000 3.5298 0.107354 0.107468 0.110566 0.111295 39.31 36.95 Barclays Bank PLC 06738RHU3 02/27/08 11/26/13 100.000 0.000 3.7400 0.115027 0.117178 0.119369 0.121601 0.123875 41.95 43.53 Barclays Bank PLC 06738RK54 05/29/08 05/26/11 100.000 0.000 4.1998 0.129393 18.76 Barclays Bank PLC 06738RKA3 03/31/08 03/30/11 100.000 0.000 3.0827 0.091920 8.09 Barclays Bank PLC 06738RL87 06/30/08 06/29/11 100.000 0.000 4.2398 0.130783 23.28 Barclays Bank PLC 06738RMA1 03/31/08 03/28/13 100.000 0.000 3.2999 0.099463 0.101104 0.102772 0.104468 0.106192 36.41 37.62 Barclays Bank PLC 06738RRP3 04/30/08 04/30/12 100.000 0.000 4.0000 0.122676 0.125130 0.127632 44.91 15.19 Barclays Bank PLC 06738RRR9 04/30/08 04/25/14 100.000 0.000 3.9299 0.120256 0.122619 0.125029 0.127485 0.129991 44.03 45.78 Barclays Bank PLC 06738RRS7 04/30/08 04/28/11 100.000 0.000 3.7198 0.113281 13.25 Barclays Bank PLC 06738RVW3 04/18/08 03/20/13 100.000 0.000 3.7399 0.113647 0.115772 0.117937 0.120143 0.122389 41.73 43.30 Barclays Bank PLC 06738RWH5 05/19/08 11/20/12 100.000 0.000 4.0899 0.125725 0.128297 0.130920 0.133597 45.94 42.25 Barclays Bank PLC 06738RXA9 05/30/08 05/25/11 100.000 0.000 4.1499 0.127671 18.38 Barclays Bank PLC 06739H461 01/31/08 02/28/14 100.000 0.000 4.0805 0.125107 0.125579 0.129549 0.130755 0.135634 46.30 48.39 Barclays Bank PLC 06739H479 01/31/08 05/30/14 100.000 0.000 4.0799 0.127079 0.129671 0.132316 0.135016 0.137770 46.38 48.29 Barclays Bank PLC 06739H545 12/31/07 08/31/13 100.000 0.000 4.7069 0.147196 0.148204 0.153359 0.155262 0.161550 54.67 57.49 Barclays Bank PLC 06739H594 11/30/07 09/30/13 100.000 0.000 4.5700 0.144291 0.147588 0.150961 0.154410 0.157939 53.15 55.60 Barclays Bank PLC 06739J2D4 11/19/09 11/21/12 100.000 0.000 2.5698 0.073242 0.074183 0.075137 0.076102 26.61 24.22 Barclays Bank PLC 06739J2E2 11/19/09 11/21/11 100.000 0.000 1.5402 0.043449 0.043783 13.96 Barclays Bank PLC 06739J5D1 11/27/09 11/27/14 100.000 VARIES 3.3906 0.094556 0.095371 0.095913 0.096120 0.096073 34.23 34.57 Barclays Bank PLC 06739J5L3 12/18/09 02/25/13 100.000 0.000 2.6199 0.074089 0.075060 0.076043 0.077039 0.078048 27.09 27.81 Barclays Bank PLC 06739J5R0 11/25/09 11/25/11 100.000 0.000 1.5200 0.042869 0.043195 13.95 Barclays Bank PLC 06739J5V1 12/31/09 12/31/15 100.000 0.000 4.2300 0.122524 0.125115 0.127762 0.130464 0.133223 44.58 46.49 Barclays Bank PLC 06739J5W9 12/31/09 12/31/15 100.000 0.000 4.2300 0.122524 0.125115 0.127762 0.130464 0.133223 44.58 46.49 Barclays Bank PLC 06739J6B4 12/02/09 12/02/11 100.000 0.000 1.4897 0.042001 0.042314 13.96 Barclays Bank PLC 06739J863 10/28/09 04/28/15 100.000 0.000 4.1800 0.121017 0.123546 0.126129 0.128765 0.131456 44.34 46.22 Barclays Bank PLC 06739JAB9 05/29/09 05/31/12 100.000 0.000 3.1001 0.089206 0.090093 0.091490 32.80 13.81 Barclays Bank PLC 06739JAJ2 05/29/09 11/29/12 100.000 0.000 3.5899 0.105187 0.107075 0.108997 0.110954 38.33 36.10 Barclays Bank PLC 06739JBB8 05/27/09 06/06/14 100.000 0.000 4.9200 0.147186 0.150806 0.154516 0.158317 0.162212 53.82 56.50 Barclays Bank PLC 06739JBH5 05/29/09 05/29/29* 100.000 VARIES 5.8530 0.145266 0.139153 21.78* Barclays Bank PLC 06739JBJ1 05/29/09 06/06/14 100.000 0.000 3.5900 0.105263 0.107152 0.109076 0.111034 0.113027 38.33 39.72 Barclays Bank PLC 06739JD59 09/23/09 09/23/11 100.000 0.000 2.0099 0.056961 0.057534 15.03 Barclays Bank PLC 06739JD83 09/30/09 09/30/24 100.000 VARIES 5.1625 0.134925 0.131820 0.128635 0.125368 0.124426 47.44 45.34 Barclays Bank PLC 06739JEB5 07/24/09 07/24/14 100.000 0.000 4.7799 0.139199 0.142526 0.145932 0.149420 0.152991 51.77 54.27 Barclays Bank PLC 06739JEK5 06/26/09 06/26/24 100.000 VARIES 5.6547 0.142380 0.137661 0.132809 0.127820 0.122690 50.36 46.86 Barclays Bank PLC 06739JEQ2 06/30/09 07/08/14 100.000 0.000 4.9699 0.145160 0.148767 0.152464 0.156253 0.160136 54.17 56.90 Barclays Bank PLC 06739JER0 06/30/09 07/08/14 100.000 0.000 4.9699 0.145160 0.148767 0.152464 0.156253 0.160136 54.17 56.90 Barclays Bank PLC 06739JES8 06/04/09 06/06/14 100.000 0.000 4.8900 0.146083 0.149655 0.153314 0.157062 0.160902 53.41 56.06 Barclays Bank PLC 06739JFY4 06/30/09 06/28/13 100.000 0.000 2.6799 0.077465 0.078503 0.079555 0.080621 0.081701 28.08 28.84 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06739JGP2 06/26/09 06/26/24 100.000 VARIES 5.6622 0.137640 0.131935 0.126069 0.120036 0.119223 48.47 44.26 Barclays Bank PLC 06739JGY3 06/17/09 06/15/12 100.000 0.000 4.8699 0.145361 0.148901 0.152527 53.08 25.01 Barclays Bank PLC 06739JJS3 07/01/09 07/01/11 100.000 0.000 4.9199 0.147001 26.46 Barclays Bank PLC 06739JJT1 07/01/09 07/01/11 100.000 0.000 2.6801 0.077482 13.95 Barclays Bank PLC 06739JJU8 07/24/09 07/24/14 100.000 0.000 4.7799 0.139199 0.142526 0.145932 0.149420 0.152991 51.77 54.27 Barclays Bank PLC 06739JKC6 07/21/09 07/19/12 100.000 0.000 3.2699 0.093810 0.095344 0.096902 0.098487 34.55 19.47 Barclays Bank PLC 06739JKE2 07/24/09 08/07/14 100.000 0.000 4.7800 0.139441 0.142774 0.146186 0.149680 0.153257 51.77 54.27 Barclays Bank PLC 06739JKF9 07/15/09 07/15/11 100.000 0.000 2.6301 0.074994 0.075980 14.73 Barclays Bank PLC 06739JKG7 07/24/09 07/24/13 100.000 0.000 4.2998 0.124633 0.127312 0.130049 0.132845 0.135701 46.20 48.21 Barclays Bank PLC 06739JKH5 07/24/09 07/24/14 100.000 0.000 4.7799 0.139199 0.142526 0.145932 0.149420 0.152991 51.77 54.27 Barclays Bank PLC 06739JKM4 07/24/09 07/24/14 100.000 VARIES 4.7816 0.134211 0.134930 0.135665 0.135891 0.135811 48.67 48.90 Barclays Bank PLC 06739JKN2 07/24/09 07/24/12 100.000 0.000 3.3900 0.097388 0.099038 0.100717 0.102424 35.88 20.75 Barclays Bank PLC 06739JKP7 07/24/09 07/24/12 100.000 0.000 3.3900 0.097388 0.099038 0.100717 0.102424 35.88 20.75 Barclays Bank PLC 06739JKQ5 07/08/09 07/08/11 100.000 0.000 2.5300 0.072069 0.072981 13.64 Barclays Bank PLC 06739JKR3 07/08/09 07/08/11 100.000 0.000 2.5300 0.072069 0.072981 13.64 Barclays Bank PLC 06739JKS1 07/07/09 07/07/14 100.000 0.000 4.7699 0.138893 0.142206 0.145597 0.149070 0.152625 51.76 54.26 Barclays Bank PLC 06739JLU5 07/15/09 07/15/11 100.000 0.000 2.6301 0.074994 0.075980 14.73 Barclays Bank PLC 06739JMG5 07/20/09 07/19/12 100.000 0.000 3.5001 0.100649 0.102410 0.104202 0.106026 37.13 20.96 Barclays Bank PLC 06739JMH3 08/18/09 08/20/12 100.000 0.000 2.9800 0.085279 0.086550 0.087839 0.089148 31.26 20.35 Barclays Bank PLC 06739JMK6 07/23/09 07/23/24 100.000 VARIES 6.1912 0.161835 0.156607 0.151217 0.145661 0.139932 55.64 51.66 Barclays Bank PLC 06739JN90 10/21/09 10/21/11 100.000 0.000 1.9799 0.056092 0.056647 16.37 Barclays Bank PLC 06739JNT6 08/03/09 08/03/11 100.000 0.000 2.5897 0.073813 0.074769 15.82 Barclays Bank PLC 06739JNU3 08/12/09 08/12/13 100.000 0.000 3.8100 0.109905 0.111999 0.114133 0.116307 0.118523 40.53 42.09 Barclays Bank PLC 06739JNW9 08/21/09 08/21/24 100.000 VARIES 5.5443 0.142367 0.137450 0.132396 0.127202 0.121864 49.07 45.36 Barclays Bank PLC 06739JP72 10/28/09 10/26/11 100.000 0.000 1.8699 0.052913 0.053408 15.70 Barclays Bank PLC 06739JPB3 08/12/09 08/11/11 100.000 0.000 2.3800 0.067692 0.068498 15.04 Barclays Bank PLC 06739JPE7 08/30/09 09/08/14 100.000 0.000 3.8999 0.112695 0.114893 0.117133 0.119417 0.121746 41.47 43.10 Barclays Bank PLC 06739JQ63 11/30/09 11/30/15 100.000 0.000 3.9500 0.114100 0.116354 0.118652 0.120995 0.123385 41.62 43.28 Barclays Bank PLC 06739JQ71 11/30/09 11/30/15 100.000 0.000 3.9500 0.114100 0.116354 0.118652 0.120995 0.123385 41.62 43.28 Barclays Bank PLC 06739JR39 11/24/09 11/24/14 100.000 VARIES 3.4606 0.095605 0.096497 0.097127 0.097435 0.097498 34.63 35.03 Barclays Bank PLC 06739JR88 11/04/09 11/04/11 100.000 0.000 1.7800 0.050331 0.050779 15.33 Barclays Bank PLC 06739JR96 11/04/09 11/04/13 100.000 0.000 3.1800 0.091166 0.092615 0.094088 0.095584 0.097104 33.25 34.31 Barclays Bank PLC 06739JSD6 09/17/09 09/19/12 100.000 0.000 2.8500 0.081455 0.082616 0.083793 0.084987 29.77 21.83 Barclays Bank PLC 06739JSJ3 08/19/09 08/19/11 100.000 0.000 2.2700 0.064497 0.065229 14.84 Barclays Bank PLC 06739JST1 08/26/09 08/26/11 100.000 0.000 2.2599 0.064202 0.064927 15.22 Barclays Bank PLC 06739JSU8 08/27/09 08/27/24 100.000 VARIES 5.3980 0.139154 0.134694 0.130113 0.125408 0.120577 48.17 44.81 Barclays Bank PLC 06739JTG8 09/03/09 09/06/11 100.000 0.000 2.1299 0.060444 0.061087 14.92 Barclays Bank PLC 06739JTL7 10/01/09 10/07/14 100.000 0.000 3.7799 0.109074 0.111136 0.113236 0.115376 0.117557 39.99 41.51 Barclays Bank PLC 06739JTY9 09/16/09 09/16/11 100.000 0.000 2.1800 0.061886 0.062560 15.90 Barclays Bank PLC 06739JXN8 09/30/09 09/30/11 100.000 0.000 2.0400 0.057831 0.058420 15.66 Barclays Bank PLC 06739JXR9 10/02/09 10/03/13 100.000 0.000 3.4021 0.097757 0.099420 0.101111 0.102831 0.104581 35.79 37.01 Barclays Bank PLC 06739JXX6 10/14/09 10/14/11 100.000 0.000 2.0298 0.057536 0.058120 16.39 Barclays Bank PLC 06739JXZ1 10/07/09 10/07/11 100.000 0.000 1.9497 0.055222 0.055761 15.34 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06739JYA5 09/30/09 09/30/19 100.000 VARIES 5.0571 0.136289 0.133655 0.130954 0.130112 0.129250 48.10 46.84 Barclays Bank PLC 06739JYY3 11/02/09 11/07/14 100.000 0.000 3.7399 0.107866 0.109883 0.111937 0.114031 0.116163 39.41 40.90 Barclays Bank PLC 06740H286 05/21/10 05/24/17 100.000 2.500 4.9967 0.140561 0.142338 0.144159 0.146026 0.147939 51.05 52.37 Barclays Bank PLC 06740JED8 12/24/09 12/24/24 100.000 VARIES 5.1791 0.135383 0.131106 0.126717 0.122216 0.117598 47.91 44.74 Barclays Bank PLC 06740JEH9 12/28/09 12/28/12 100.000 0.000 2.4098 0.068564 0.069391 0.070227 0.071073 24.84 25.22 Barclays Bank PLC 06740JEK2 12/28/09 12/26/14 100.000 0.000 3.6800 0.105999 0.107950 0.109936 0.111959 0.114019 38.53 39.96 Barclays Bank PLC 06740JEL0 12/24/09 12/24/14 100.000 VARIES 3.3891 0.094992 0.095867 0.096263 0.096313 0.096133 34.36 34.66 Barclays Bank PLC 06740JEU0 12/21/09 12/19/14 100.000 0.000 3.6999 0.106592 0.108564 0.110573 0.112618 0.114702 38.78 40.22 Barclays Bank PLC 06740JEY2 01/29/10 01/29/16 100.000 0.000 4.2199 0.119695 0.122220 0.124799 0.127432 0.130121 44.32 46.21 Barclays Bank PLC 06740JEZ9 01/29/10 01/29/16 100.000 0.000 4.2199 0.119695 0.122220 0.124799 0.127432 0.130121 44.32 46.21 Barclays Bank PLC 06740JFA3 01/29/10 01/29/16 100.000 0.000 4.2199 0.119695 0.122220 0.124799 0.127432 0.130121 44.32 46.21 Barclays Bank PLC 06740JFQ8 01/29/10 01/29/25 100.000 VARIES 5.7144 0.155333 0.151834 0.147274 0.142583 0.137758 54.07 50.73 Barclays Bank PLC 06740JFR6 01/29/10 01/29/15 100.000 VARIES 3.7589 0.106377 0.108376 0.109171 0.109982 0.109643 39.08 39.52 Barclays Bank PLC 06740JK33 02/26/10 02/29/16 100.000 0.000 4.3199 0.121944 0.122547 0.126569 0.127898 0.132826 45.19 47.34 Barclays Bank PLC 06740JL40 02/26/10 02/26/30 100.000 VARIES 5.5951 0.151220 0.146902 0.140444 0.133806 0.126981 52.32 47.68 Barclays Bank PLC 06740JL73 03/31/10 03/31/16 100.000 0.000 4.1299 0.117090 0.119508 0.121975 0.124494 0.127065 43.03 44.83 Barclays Bank PLC 06740JL81 03/31/10 03/31/16 100.000 0.000 4.1299 0.117090 0.119508 0.121975 0.124494 0.127065 43.03 44.83 Barclays Bank PLC 06740JL99 03/31/10 03/31/16 100.000 0.000 4.1299 0.117090 0.119508 0.121975 0.124494 0.127065 43.03 44.83 Barclays Bank PLC 06740JM64 03/12/10 03/12/25 100.000 VARIES 5.5350 0.149550 0.145232 0.140040 0.134705 0.129222 52.02 48.27 Barclays Bank PLC 06740JM98 03/10/10 03/10/17 100.000 VARIES 4.4514 0.123621 0.123590 0.123559 0.123527 0.124201 44.49 44.55 Barclays Bank PLC 06740JN71 03/04/10 03/04/15 100.000 VARIES 3.5183 0.098782 0.099850 0.101606 0.103392 0.105142 36.08 37.31 Barclays Bank PLC 06740JQW3 01/29/10 01/29/16 100.000 0.000 4.2199 0.119695 0.122220 0.124799 0.127432 0.130121 44.32 46.21 Barclays Bank PLC 06740JRD4 01/27/10 01/27/17 100.000 5.000 4.3944 0.121700 0.121322 0.123988 0.126712 0.127015 44.10 45.59 Barclays Bank PLC 06740JRE2 02/08/10 02/06/15 100.000 0.000 3.8699 0.109556 0.111675 0.113836 0.116039 0.118284 40.44 42.02 Barclays Bank PLC 06740JRH5 02/26/10 02/29/12 100.000 0.000 1.7202 0.047934 0.047558 0.048494 17.50 2.86 Barclays Bank PLC 06740JRX0 01/26/10 11/05/12 100.000 0.000 2.4500 0.069354 0.070203 0.071063 0.071934 25.22 21.76 Barclays Bank PLC 06740JRY8 01/26/10 11/05/12 100.000 0.000 2.4500 0.069354 0.070203 0.071063 0.071934 25.22 21.76 Barclays Bank PLC 06740JSB7 02/22/10 02/20/15 100.000 VARIES 3.8626 0.109346 0.111458 0.113611 0.115805 0.116124 40.30 41.62 Barclays Bank PLC 06740JSC5 02/22/10 02/20/15 100.000 0.000 3.8600 0.109269 0.111378 0.113527 0.115718 0.117952 40.27 41.84 Barclays Bank PLC 06740JSJ0 02/19/10 02/19/25 100.000 VARIES 5.3591 0.144668 0.140357 0.135927 0.131378 0.126707 50.15 46.90 Barclays Bank PLC 06740JSM3 02/26/10 02/29/16 100.000 0.000 4.3199 0.121944 0.122547 0.126569 0.127898 0.132826 45.19 47.34 Barclays Bank PLC 06740JSN1 02/26/10 02/29/16 100.000 0.000 4.3199 0.121944 0.122547 0.126569 0.127898 0.132826 45.19 47.34 Barclays Bank PLC 06740JSP6 02/26/10 02/29/16 100.000 0.000 4.3199 0.121944 0.122547 0.126569 0.127898 0.132826 45.19 47.34 Barclays Bank PLC 06740JSY7 02/26/10 02/29/16 100.000 0.000 4.3199 0.121944 0.122547 0.126569 0.127898 0.132826 45.19 47.34 Barclays Bank PLC 06740JTK6 02/08/10 02/08/17 100.000 VARIES 4.5812 0.127310 0.127363 0.127417 0.127472 0.128007 45.86 45.96 Barclays Bank PLC 06740JVZ0 02/25/10 02/25/25 100.000 VARIES 5.5194 0.148735 0.144024 0.139215 0.134273 0.129195 51.50 47.97 Barclays Bank PLC 06740JWG1 02/17/10 07/24/14 100.000 0.000 3.4600 0.097564 0.099252 0.100969 0.102716 0.104493 35.96 37.22 Barclays Bank PLC 06740JZJ2 03/09/10 03/09/15 100.000 0.000 3.4999 0.098921 0.100653 0.102414 0.104206 0.106030 36.31 37.60 Barclays Bank PLC 06740L6Y6 06/24/10 06/24/25 100.000 VARIES 5.6560 0.151342 0.145410 0.141651 0.137786 0.133812 53.35 50.24 Barclays Bank PLC 06740L6Z3 06/30/10 06/30/25* 100.000 VARIES 5.7186 0.153465 27.47* Barclays Bank PLC 06740LAB1 03/26/10 03/26/25 100.000 VARIES 5.3753 0.144743 0.140048 0.134897 0.129608 0.124177 50.33 46.59 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06740LAP0 04/07/10 04/07/15 100.000 0.000 3.6900 0.104393 0.106319 0.108280 0.110278 0.112313 38.25 39.68 Barclays Bank PLC 06740LAQ8 04/07/10 04/07/15 100.000 0.000 3.6900 0.104393 0.106319 0.108280 0.110278 0.112313 38.25 39.68 Barclays Bank PLC 06740LAR6 04/09/10 04/10/15 100.000 0.000 3.7199 0.105266 0.107224 0.109218 0.111250 0.113319 38.57 40.02 Barclays Bank PLC 06740LBD6 03/24/10 03/24/15 100.000 1.000 3.5999 0.101299 0.102623 0.103970 0.105341 0.106737 36.96 37.94 Barclays Bank PLC 06740LBJ3 04/30/10 04/29/16 100.000 0.000 4.4899 0.127505 0.130367 0.133294 0.136287 0.139346 46.78 48.90 Barclays Bank PLC 06740LBK0 04/30/10 04/29/16 100.000 0.000 4.4899 0.127505 0.130367 0.133294 0.136287 0.139346 46.78 48.90 Barclays Bank PLC 06740LBL8 04/30/10 04/29/16 100.000 0.000 4.4899 0.127505 0.130367 0.133294 0.136287 0.139346 46.78 48.90 Barclays Bank PLC 06740LBS3 04/30/10 04/30/13 100.000 0.000 2.6499 0.074586 0.075574 0.076576 0.077590 0.078618 27.15 27.87 Barclays Bank PLC 06740LBT1 04/30/10 04/30/13 100.000 0.000 2.6499 0.074586 0.075574 0.076576 0.077590 0.078618 27.15 27.87 Barclays Bank PLC 06740LBV6 04/07/10 04/07/25 100.000 VARIES 5.2962 0.142555 0.137870 0.132901 0.127799 0.122563 49.67 46.06 Barclays Bank PLC 06740LBW4 04/15/10 01/09/12 100.000 0.000 1.7702 0.049376 0.049813 0.050254 18.00 .40 Barclays Bank PLC 06740LBY0 04/07/10 04/08/15 100.000 0.000 3.6920 0.104461 0.106389 0.108353 0.110353 0.112390 38.28 39.70 Barclays Bank PLC 06740LEM3 04/20/10 04/20/30 100.000 VARIES 5.5989 0.150549 0.145432 0.139700 0.133808 0.127752 52.51 48.38 Barclays Bank PLC 06740LEN1 04/30/10 04/30/12 100.000 0.000 1.9201 0.053850 0.054367 0.054889 19.54 6.53 Barclays Bank PLC 06740LEZ4 04/22/10 04/22/25 100.000 VARIES 5.4765 0.147925 0.143608 0.138469 0.133188 0.127763 51.82 48.16 Barclays Bank PLC 06740LJ55 05/25/10 05/25/25 100.000 VARIES 6.0883 0.163275 0.157253 0.152477 0.147555 0.142484 57.31 53.65 Barclays Bank PLC 06740LJ63 05/25/10 05/25/25* 100.000 VARIES 6.0432 0.162868 23.45* Barclays Bank PLC 06740LL78 06/09/10 06/09/14 100.000 0.000 3.9099 0.110734 0.112899 0.115106 0.117356 0.119651 40.35 41.94 Barclays Bank PLC 06740LN84 06/30/10 06/28/12 100.000 0.000 2.3199 0.065183 0.065940 0.066704 23.61 11.81 Barclays Bank PLC 06740LNW1 05/28/10 05/31/16 100.000 0.000 4.7600 0.133935 0.136374 0.139620 0.142943 0.147149 49.51 51.95 Barclays Bank PLC 06740LNY7 05/28/10 05/31/16 100.000 0.000 4.7600 0.133935 0.136374 0.139620 0.142943 0.147149 49.51 51.95 Barclays Bank PLC 06740LP66 06/02/10 06/02/25 100.000 VARIES 6.0388 0.161909 0.155894 0.150244 0.144423 0.138426 56.87 52.70 Barclays Bank PLC 06740LP90 06/30/10 06/30/16 100.000 0.000 4.3499 0.123461 0.126147 0.128890 0.131694 0.134558 44.93 46.91 Barclays Bank PLC 06740LQ24 06/30/10 06/30/16 100.000 0.000 4.3499 0.123461 0.126147 0.128890 0.131694 0.134558 44.93 46.91 Barclays Bank PLC 06740LQ40 06/09/10 06/09/25* 100.000 VARIES 5.8826 0.159225 25.16* Barclays Bank PLC 06740LQG3 05/28/10 05/31/13 100.000 0.000 3.3199 0.093778 0.095334 0.096917 0.098526 0.100161 34.14 35.28 Barclays Bank PLC 06740LQH1 05/28/10 05/31/16 100.000 0.000 4.7600 0.133935 0.136374 0.139620 0.142943 0.147149 49.51 51.95 Barclays Bank PLC 06740LTF2 05/10/10 05/08/15 100.000 0.000 3.8699 0.109556 0.111675 0.113836 0.116039 0.118284 40.05 41.61 Barclays Bank PLC 06740P2M7 10/20/10 10/27/11 100.000 0.000 0.7196 0.019992 0.020064 5.93 Barclays Bank PLC 06740P3E4 11/04/10 10/29/12 100.000 0.000 1.0600 0.029445 0.029597 0.029754 0.029911 10.65 8.89 Barclays Bank PLC 06740P676 12/29/10 12/27/12 100.000 0.000 1.7601 0.048893 0.049318 0.049752 0.050190 17.68 17.79 Barclays Bank PLC 06740PA30 10/28/10 06/01/16 100.000 0.000 3.0699 0.085517 0.086829 0.088162 0.089516 0.090890 31.10 32.06 Barclays Bank PLC 06740PAD8 06/11/10 06/11/15 100.000 0.000 3.8599 0.109289 0.111399 0.113549 0.115740 0.117974 39.81 41.36 Barclays Bank PLC 06740PB21 11/03/10 11/01/13 100.000 0.000 1.4698 0.040830 0.041127 0.041429 0.041734 0.042040 14.79 15.01 Barclays Bank PLC 06740PB88 11/10/10 11/10/25 100.000 VARIES 4.7537 0.132048 0.129440 0.126771 0.124038 0.121240 46.80 44.86 Barclays Bank PLC 06740PBC9 06/24/10 06/26/18 100.000 0.000 4.9699 0.141525 0.145042 0.148646 0.152340 0.156125 51.62 54.21 Barclays Bank PLC 06740PBE5 06/25/10 06/25/17 100.000 1.000 4.7051 0.133121 0.135599 0.138136 0.140732 0.143390 48.40 50.23 Barclays Bank PLC 06740PBF2 07/28/10 07/28/16 100.000 0.000 3.6099 0.100277 0.102087 0.103930 0.105806 0.107716 36.98 38.33 Barclays Bank PLC 06740PBG0 07/28/10 07/28/16 100.000 0.000 3.6099 0.100277 0.102087 0.103930 0.105806 0.107716 36.98 38.33 Barclays Bank PLC 06740PBK1 06/30/10 06/30/15 100.000 VARIES 3.8043 0.107135 0.108622 0.109536 0.110469 0.110504 38.84 39.60 Barclays Bank PLC 06740PBQ8 07/23/10 07/23/20* 100.000 VARIES 4.7877 0.132992 0.131521 0.130015 26.86* ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06740PBX3 07/06/10 07/06/20 100.000 VARIES 5.0546 0.140407 0.143082 0.145824 0.148017 0.150265 51.98 53.67 Barclays Bank PLC 06740PC38 11/29/10 11/29/30 100.000 VARIES 4.9295 0.136932 0.133461 0.129904 0.125904 0.121805 48.45 45.79 Barclays Bank PLC 06740PCY0 07/28/10 07/26/12 100.000 0.000 1.7298 0.048052 0.048463 0.048882 0.049305 17.50 10.10 Barclays Bank PLC 06740PEV4 07/28/10 07/28/25 100.000 VARIES 5.0303 0.139731 0.136259 0.132699 0.130636 0.128522 48.60 46.76 Barclays Bank PLC 06740PF76 11/30/10 11/29/12 100.000 0.000 1.4600 0.040556 0.040850 0.041148 0.041449 14.67 13.55 Barclays Bank PLC 06740PHD1 08/31/10 08/31/16 100.000 0.000 3.3169 0.091627 0.091628 0.094172 0.094693 0.097859 33.76 35.02 Barclays Bank PLC 06740PHE9 08/31/10 08/31/16 100.000 0.000 3.3169 0.091627 0.091628 0.094172 0.094693 0.097859 33.76 35.02 Barclays Bank PLC 06740PHQ2 07/28/10 05/26/16 100.000 0.000 3.6099 0.101464 0.103295 0.105160 0.107058 0.108990 36.99 38.33 Barclays Bank PLC 06740PKG0 08/16/10 08/16/17 100.000 VARIES 3.6631 0.101754 0.103228 0.104728 0.105847 0.106986 37.30 38.21 Barclays Bank PLC 06740PKN5 08/31/10 08/31/15 100.000 0.000 2.6470 0.073123 0.072883 0.074659 0.074825 0.077072 26.83 27.65 Barclays Bank PLC 06740PKP0 09/03/10 09/03/15 100.000 0.000 2.6299 0.073055 0.074016 0.074989 0.075975 0.076974 26.70 27.41 Barclays Bank PLC 06740PL79 11/26/10 11/26/25 100.000 VARIES 5.0401 0.140003 0.139155 0.138285 0.137393 0.136479 50.19 49.56 Barclays Bank PLC 06740PM37 11/30/10 11/30/20 100.000 VARIES 4.6823 0.130065 0.130509 0.130963 0.131428 0.131904 46.93 47.26 Barclays Bank PLC 06740PMM5 08/27/10 08/29/18 100.000 0.000 3.8100 0.104122 0.106688 0.107539 0.110792 0.112286 38.90 40.54 Barclays Bank PLC 06740PMQ6 09/16/10 09/16/25 100.000 VARIES 4.4379 0.123277 0.120465 0.117591 0.115142 0.112639 43.28 41.37 Barclays Bank PLC 06740PMT0 08/26/10 08/26/20 100.000 VARIES 4.3098 0.119717 0.120800 0.121907 0.123037 0.124192 43.57 44.38 Barclays Bank PLC 06740PNB8 09/30/10 09/30/13 100.000 0.000 1.6198 0.044996 0.045360 0.045727 0.046098 0.046471 16.33 16.60 Barclays Bank PLC 06740PPZ3 09/30/10 09/28/12 100.000 0.000 1.2098 0.033608 0.033809 0.034014 0.034220 12.17 9.12 Barclays Bank PLC 06740PQB5 09/22/10 09/22/25 100.000 VARIES 4.6596 0.129433 0.127919 0.126369 0.126644 0.126926 46.02 45.60 Barclays Bank PLC 06740PQH2 09/30/10 09/29/17 100.000 0.000 3.3900 0.094168 0.095755 0.097379 0.099029 0.100708 34.48 35.66 Barclays Bank PLC 06740PR99 12/22/10 12/22/25 100.000 VARIES 5.0102 0.139173 0.141933 0.144762 0.147662 0.150635 50.65 52.69 Barclays Bank PLC 06740PS23 12/22/10 12/22/25 100.000 VARIES 5.0102 0.139173 0.141933 0.144762 0.147662 0.150635 50.65 52.69 Barclays Bank PLC 06740PSZ0 10/13/10 10/13/17 100.000 0.750 3.3000 0.091668 0.092836 0.094025 0.095232 0.096460 33.39 34.26 Barclays Bank PLC 06740PV29 12/30/10 12/30/30 100.000 VARIES 5.2624 0.146179 0.142716 0.139162 0.136724 0.134221 51.99 49.65 Barclays Bank PLC 06740PVH6 10/20/10 10/20/25 100.000 VARIES 4.6202 0.128342 0.127136 0.125901 0.126240 0.126587 45.81 45.43 Barclays Bank PLC 06740PVZ6 09/30/10 09/30/25 100.000 VARIES 4.7398 0.131664 0.128859 0.125988 0.122912 0.119763 46.38 44.24 Barclays Bank PLC 06740PX35 12/15/10 12/21/11 100.000 0.000 0.8900 0.024727 0.024837 8.67 Barclays Bank PLC 06740PX43 12/17/10 12/19/18 100.000 0.000 4.6599 0.129477 0.132494 0.135581 0.138740 0.141973 47.23 49.45 Barclays Bank PLC 06740PX50 12/17/10 12/19/18 100.000 0.000 4.6599 0.129477 0.132494 0.135581 0.138740 0.141973 47.23 49.45 Barclays Bank PLC 06740PYB6 12/22/10 12/29/11 100.000 0.000 0.8602 0.023901 0.024003 8.57 Barclays Bank PLC 06740PYE0 12/30/10 12/30/30 100.000 VARIES 5.6002 0.155563 0.150585 0.145468 0.141462 0.137343 55.10 51.64 Barclays Bank PLC 06740PYG5 01/14/11 01/14/21 100.000 VARIES 4.9824 0.138402 0.137698 0.136977 0.138598 47.91 49.59 Barclays Bank PLC 06740PYH3 12/27/10 12/24/15 100.000 0.700 3.3717 0.093658 0.094889 0.096161 0.097454 0.098769 33.96 34.87 Barclays Bank PLC 06740PZ33 01/27/11 01/27/31 100.000 VARIES 5.5228 0.153412 0.149211 0.144893 0.142992 50.59 51.98 Barclays Bank PLC 06741JBM0 01/27/11 02/06/12 100.000 0.000 0.9002 0.025007 0.025013 0.025126 8.37 .88 Barclays Bank PLC 06741JBW8 02/28/11 02/28/31 100.000 VARIES 5.4603 0.148378 0.149041 0.146438 0.147839 45.63 53.92 Barclays Bank PLC 06741JCC1 02/03/11 02/03/26 100.000 VARIES 5.6829 0.157861 0.154059 0.150149 0.138627 51.22 52.47 Barclays Bank PLC 06741JCE7 02/17/11 02/17/21 100.000 VARIES 4.9770 0.138251 0.136162 0.134020 0.132613 43.13 48.16 Bill Barrett Corporation 06846NAB0 07/08/09 07/15/16 95.172 9.875 10.8760 7.44 0.014410 0.015445 0.016020 0.017076 0.017809 5.72 6.36 Bayonne Redev AGY, NJ 073009AR3 04/09/09 04/01/12 98.604 9.250 9.8017 7.63 0.013278 0.013929 0.014611 5.02 1.32 Bear Stearns Co., Inc. 073928G23 08/31/04 07/01/19 51.530 1.000 5.9698 157.14 0.083731 0.086230 0.088804 0.091455 30.59 32.45 Bear Stearns Co., Inc. 073928JS3 06/03/99 06/30/11 46.328 0.000 6.4740 505.54 0.174197 31.18 Bear Stearns Co., Inc. 073928WN9 02/27/02 08/15/13 49.000 0.000 6.3184 359.56 0.142467 0.149404 0.151611 0.158120 0.161342 54.53 58.03 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bear Stearns Co., Inc. 073928Y64 10/11/07 10/11/11 79.721 0.000 5.7469 159.77 0.150844 0.155178 43.02 BellSouth Telecomm 079867AS6 12/13/95 12/15/95 25.235 VARIES 6.8500 0.131924 0.136442 0.141115 0.145949 0.150947 48.45 51.83 Berry Petroleum Company 085789AD7 05/27/09 06/01/14 93.546 10.250 12.0008 16.64 0.032344 0.034285 0.036342 0.038523 0.040835 12.11 13.61 Bexar Cnty Hsg Fin Corp 08837EAB7 09/28/05 04/01/22 39.225 0.000 5.7500 136.28 0.083222 0.085615 0.088077 0.090609 0.093214 30.83 32.63 City of Boston, MA 100853GH7 11/04/09 09/15/24 89.556 6.050 7.2062 4.80 0.011921 0.012351 0.012796 0.013257 0.013734 4.46 4.79 Bumble Bee Holdco S.C.A. 12046QAA1 03/10/11 03/15/18 98.138 9.625 N/A 0.272624 0.272632 0.272895 0.273172 0.273463 79.36 98.35 Bumble Bee Holdco S.C.A. 12046QAB9 03/10/11 03/15/18 98.138 9.625 N/A 0.272624 0.272632 0.272895 0.273172 0.273463 79.36 98.35 Bureau County SD #84, IL 121012AL2 06/04/10 12/01/15 106.570 VARIES 4.3645 0.131976 0.134856 0.127342 0.126635 0.125913 47.89 45.67 Bureau County SD #84, IL 121012AM0 06/04/10 12/01/16 106.150 VARIES 4.6174 0.139242 0.142456 0.134683 0.134104 0.133513 50.57 48.35 Bureau County SD #84, IL 121012AN8 06/04/10 12/01/17 105.324 VARIES 4.8691 0.145866 0.149418 0.141390 0.140943 0.140486 53.02 50.79 Bureau County SD #84, IL 121012AP3 06/04/10 12/01/18 105.836 VARIES 5.1194 0.154296 0.158245 0.149497 0.149058 0.148607 56.11 53.71 Bureau County SD #84, IL 121012AQ1 06/04/10 12/01/19 106.299 VARIES 5.3692 0.162727 0.167096 0.157599 0.157170 0.156728 59.21 56.63 Bureau County SD #84, IL 121012AR9 06/04/10 12/01/20 104.349 VARIES 5.6693 0.168911 0.173699 0.163858 0.163582 0.163298 61.52 58.92 Bureau County SD #84, IL 121012AS7 06/04/10 12/01/21 104.162 VARIES 5.9680 0.177746 0.183050 0.172349 0.172104 0.171852 64.78 61.99 Bureau County SD #84, IL 121012AT5 06/04/10 12/01/22 104.788 VARIES 6.1675 0.184969 0.190673 0.179207 0.178951 0.178687 67.44 64.45 Bureau County SD #175,IL 121088AJ7 09/15/10 12/01/12 105.544 0.000 2.1629 0.063703 0.064392 0.065088 0.065792 23.10 21.61 Bureau County SD #175,IL 121088AK4 09/15/10 12/01/13 106.280 VARIES 2.8304 0.084061 0.085250 0.081690 0.080940 0.080179 30.40 29.23 Bureau County SD #175,IL 121088AL2 09/15/10 12/01/14 106.822 VARIES 3.2818 0.098055 0.099664 0.095602 0.094892 0.094170 35.52 34.25 Bureau County SD #175,IL 121088AM0 09/15/10 12/01/15 108.915 VARIES 3.6318 0.110721 0.112731 0.107843 0.107027 0.106196 40.13 38.63 Bureau County SD #175,IL 121088AN8 09/15/10 12/01/16 107.815 VARIES 4.0822 0.123312 0.125829 0.120602 0.119945 0.119275 44.76 43.26 Bureau County SD #175,IL 121088AP3 09/15/10 12/01/17 106.920 VARIES 4.4822 0.134383 0.137394 0.131758 0.131225 0.130679 48.84 47.30 Bureau County SD #175,IL 121088AQ1 09/15/10 12/01/18 106.252 VARIES 4.8319 0.144069 0.147549 0.141467 0.141026 0.140574 52.41 50.82 Bureau County SD #175,IL 121088AR9 09/15/10 12/01/19 107.871 VARIES 5.0816 0.153901 0.157811 0.150970 0.150465 0.149947 56.02 54.23 Bureau County SD #175,IL 121088AS7 09/15/10 12/01/20 108.435 VARIES 5.2817 0.160865 0.165113 0.157828 0.157338 0.156835 58.58 56.70 Burlington Coat Factory 121577AA8 04/13/06 10/15/14* 75.522 VARIES 14.4995 0.402770 27.39* Burlington Coat Factory 121577AB6 04/13/06 10/15/14* 75.522 VARIES 14.4995 0.402770 27.39* Butler Cnty Dev Auth 12359RBB7 01/15/97 05/01/11 32.274 0.000 8.0687 651.41 0.215439 25.85 CBIZ, Inc. 124805AA0 05/30/06 06/01/26 100.000 VARIES 8.9994 0.329360 0.340274 0.351270 0.362760 0.374767 121.19 129.23 CBIZ, Inc. 124805AB8 05/30/06 06/01/26 100.000 VARIES 8.9994 0.329360 0.340274 0.351270 0.362760 0.374767 121.19 129.23 CapitalSource Inc. 14055XAC6 07/07/04 07/15/34* 100.000 VARIES 8.1997 0.309044 0.317729 61.52* CapitalSource Inc. 14055XAD4 07/07/04 07/15/34* 100.000 VARIES 8.1997 0.309044 0.317729 61.52* CapitalSource Inc. 14055XAG7 07/30/07 07/15/12 98.000 7.250 7.7433 12.97 0.011772 0.012228 0.012701 0.013193 4.47 2.55 Cardinal Health 409, Inc 14150BAA2 04/10/07 04/15/15 100.000 9.500 9.4999 0.260989 0.259563 0.259563 0.259563 0.260989 94.89 95.11 Carol Stream PK DT, IL 143735LM8 07/15/08 10/01/27 93.383 5.750 6.3510 4.74 0.005768 0.005951 0.006140 0.006335 0.006536 2.14 2.28 Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29 100.000 VARIES 9.9395 0.679246 0.709816 0.741904 0.775588 0.810945 256.67 280.47 Century Alumium Company 156431AJ7 12/10/09 05/15/14 97.000 8.000 8.8326 6.18 0.017092 0.017847 0.018635 0.019458 0.020318 6.36 6.93 Chesapeake Energy Corp. 165167BZ9 05/15/07 05/15/37 100.000 VARIES 6.7505 0.218403 0.223431 0.228628 0.234001 0.239555 80.00 83.78 Chesapeake Energy Corp. 165167CA3 08/14/07 05/15/37 97.625 VARIES 8.0008 0.259888 0.267507 0.275430 0.283671 0.292240 95.65 101.41 Chesapeake Energy Corp. 165167CB1 05/27/08 12/15/38 100.000 VARIES 8.0007 0.257634 0.265440 0.273558 0.282001 0.290782 94.41 100.28 Chesapeake Energy Corp. 165167CD7 02/02/09 02/15/15 97.750 9.500 10.0055 5.77 0.009049 0.009502 0.009977 0.010477 0.011001 3.47 3.82 Citigroup, Inc. 172967416 12/22/09 12/15/12 100.000 6.150 N/A 0.111031 0.082645 0.053381 0.023209 33.94 12.93 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup, Inc. 172967432 12/22/09 12/15/12 100.000 6.150 N/A 0.111031 0.082645 0.053381 0.023209 33.94 12.93 Citibank CR Card Iss Tr 17305EEL5 06/25/08 06/20/12 94.946 6.300 7.7994 30.10 0.037136 0.038584 0.040089 13.66 6.78 Citigroup Global Markets 17307EBE2 07/01/04 09/07/16 51.400 0.000 5.5371 219.20 0.110831 0.113900 0.117053 0.120294 0.123624 41.16 43.47 Citigroup Funding, Inc. 17308CKY1 08/24/07 08/31/12 100.000 1.080 5.0702 0.158053 0.158674 0.163732 0.165314 58.50 40.08 Citigroup Funding, Inc. 17308CMW3 02/26/09 02/26/14 100.000 1.500 7.7625 0.236678 0.244247 0.252109 0.260277 0.268762 88.50 94.31 Citigroup Funding, Inc. 17308CMX1 04/28/09 04/28/14 100.000 VARIES 7.9615 0.245181 0.251624 0.261640 0.268738 0.279436 90.46 96.59 Citigroup Funding, Inc. 17308CMY9 06/29/09 06/29/14 100.000 VARIES 6.6887 0.189473 0.188999 0.188508 0.188001 0.187477 68.12 67.77 Citigroup Funding, Inc. 17308CMZ6 08/28/09 08/28/14 100.000 1.500 5.6150 0.162481 0.165873 0.169360 0.172945 0.176631 59.95 62.51 Citigroup Funding, Inc. 17308CNM4 02/12/10 02/12/20 100.000 VARIES 4.5259 0.122909 0.120033 0.118506 0.116944 0.116266 43.12 42.07 Citigroup Funding, Inc. 17308CNQ5 03/17/10 03/19/12 100.000 0.000 1.5048 0.042120 0.042437 0.042756 15.29 3.33 Citigroup Funding, Inc. 17308CPA8 04/29/10 04/29/25 100.000 VARIES 5.9021 0.160590 0.157132 0.153572 0.149906 0.146133 56.75 54.16 Citigroup Funding, Inc. 17308CPC4 05/07/10 05/07/20 100.000 VARIES 5.0486 0.137471 0.134630 0.133101 0.131534 0.130967 48.74 47.52 Citigroup Funding, Inc. 17308CPQ3 05/24/10 05/24/16 100.000 0.000 4.5502 0.129273 0.132214 0.135222 0.138299 0.141445 47.29 49.46 Citigroup Funding, Inc. 17308CPT7 06/30/10 06/30/25 100.000 VARIES 5.8893 0.160232 0.156770 0.155058 0.153295 0.151481 57.06 55.50 Citigroup Funding, Inc. 17308CQH2 09/28/10 09/28/15 100.000 VARIES 2.0287 0.013576 0.013052 0.012523 0.012650 0.012779 4.69 4.55 Citigroup Funding, Inc. 17308CRW8 06/29/11 12/21/16 100.000 0.500 3.5733 0.099260 0.100718 0.102269 0.103848 18.08 36.57 Citigroup Funding, Inc. 1730T0AK5 05/15/06 05/15/36 11.570 0.000 7.3199 45.69 0.032512 0.033702 0.034935 0.036214 0.037539 12.03 12.93 Citigroup Funding, Inc. 1730T0AW9 09/07/06 09/07/11 100.000 0.125 5.2915 0.180333 0.185012 45.20 Citigroup Funding, Inc. 1730T0BT5 02/14/07 02/14/37 100.000 VARIES 5.8403 0.156156 0.156205 0.156256 0.156308 0.156362 56.24 56.28 Citigroup Funding, Inc. 1730T0CH0 03/28/07 03/28/37 100.000 VARIES 5.6199 0.150425 0.150473 0.150522 0.150573 0.150624 54.17 54.21 Citigroup Funding, Inc. 1730T0CU1 05/25/07 05/25/22 100.000 VARIES 5.6847 0.144850 0.145260 0.145681 0.146114 0.146560 52.25 52.55 Citigroup Funding, Inc. 1730T0DN6 08/06/07 08/06/37 100.000 7.100 7.0999 0.243140 0.251772 0.260709 0.269965 0.279548 91.63 98.25 Citigroup Funding, Inc. 1730T0EJ4 10/29/07 10/29/19 100.000 VARIES 5.6410 0.151082 0.151324 0.151573 0.151829 0.152092 54.46 54.64 Citigroup Funding, Inc. 1730T0EX3 01/30/08 01/30/13 100.000 2.000 4.5340 0.134294 0.136079 0.137904 0.139771 0.141680 49.21 50.55 Citigroup Funding, Inc. 1730T0FG9 02/08/08 02/09/15 100.000 0.250 4.4200 0.136175 0.139031 0.141950 0.144934 0.147983 50.36 52.50 Citigroup Funding, Inc. 1730T0FT1 05/28/08 05/28/13 100.000 VARIES 5.2999 0.167790 0.172236 0.176801 0.181486 0.186295 61.50 64.80 Citigroup Funding, Inc. 1730T0FZ7 06/27/08 06/27/11 100.000 0.000 5.1751 0.163339 28.75 Citigroup Funding, Inc. 1730T0GD5 07/30/08 07/30/13 100.000 4.000 5.6733 0.163097 0.164572 0.166089 0.167648 0.169252 59.43 60.55 Citigroup Funding, Inc. 1730T0GK9 08/29/08 08/29/13 100.000 VARIES 5.6500 0.159867 0.165287 0.161968 0.168373 0.166009 59.60 60.95 Citigroup Funding, Inc. 1730T0GM5 09/26/08 09/26/11 100.000 0.000 4.9497 0.151619 0.155371 40.85 Citigroup Funding, Inc. 1730T0GQ6 10/30/08 10/30/13 100.000 0.000 8.1000 0.263727 0.274408 0.285521 0.297085 0.309117 98.19 106.31 Citigroup Funding, Inc. 1730T0GU7 10/29/08 10/29/11 100.000 0.000 6.3999 0.201648 0.208100 61.25 Citigroup Funding, Inc. 1730T0GY9 04/28/09 04/28/24 100.000 VARIES 8.1831 0.216864 0.213093 0.209168 0.205082 0.200829 76.91 74.04 Citigroup Funding, Inc. 1730T0GZ6 05/28/09 05/28/24 100.000 VARIES 8.3422 0.220288 0.216152 0.211844 0.207356 0.202680 78.28 75.15 Citigroup Funding, Inc. 1730T0HA0 06/26/09 06/26/24 100.000 VARIES 8.1209 0.211918 0.206987 0.201857 0.196519 0.190963 75.35 71.65 Citigroup Funding, Inc. 1730T0HF9 08/28/09 08/28/24* 100.000 VARIES 6.4968 0.172209 0.167877 0.163405 40.20* Citigroup Funding, Inc. 1730T0HG7 08/27/09 08/27/24 100.000 VARIES 6.9432 0.184908 0.180719 0.176385 0.171901 0.167261 64.76 61.56 Citigroup Funding, Inc. 1730T0HJ1 03/26/10 03/26/25* 100.000 VARIES 4.5899 0.122775 0.117943 21.05* Citigroup Funding, Inc. 1730T0HL6 04/29/10 04/29/25 100.000 VARIES 5.9253 0.161239 0.157787 0.154232 0.150572 0.146803 56.99 54.40 Citigroup Funding, Inc. 1730T0HM4 09/25/09 09/26/11 100.000 0.000 2.8426 0.081229 0.082384 21.73 Citigroup Funding, Inc. 1730T0HN2 04/29/10 04/29/30 100.000 VARIES 5.9941 0.159007 0.151285 0.148851 0.146344 0.143762 55.22 52.82 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Funding, Inc. 1730T0HQ5 10/29/09 10/29/24 100.000 VARIES 5.8766 0.156411 0.152845 0.149174 0.149541 0.149920 55.22 53.81 Citigroup Funding, Inc. 1730T0HY8 04/16/10 04/16/15 100.000 VARIES 1.3863 0.010336 0.010050 0.010120 0.010189 0.010260 3.65 3.67 Citigroup Funding, Inc. 1730T0JA8 04/26/10 04/26/20 100.000 VARIES 5.0570 0.138054 0.135575 0.133033 0.130427 0.129858 48.93 47.22 Citigroup Funding, Inc. 1730T0JB6 05/28/10 05/28/25 100.000 VARIES 5.1185 0.138713 0.135153 0.134066 0.132952 0.131808 49.14 47.99 Citigroup Funding, Inc. 1730T0JC4 05/14/10 05/14/15 100.000 VARIES 1.6896 0.014451 0.013963 0.014081 0.014199 0.014319 5.10 5.10 Citigroup Funding, Inc. 1730T0JF7 06/29/10 06/29/22 100.000 VARIES 5.2411 0.142123 0.138568 0.137512 0.136429 0.135318 50.52 49.31 Citigroup Funding, Inc. 1730T0JG5 06/11/10 06/11/13 100.000 VARIES 2.1871 0.017596 0.017211 0.017399 0.017589 0.017782 6.26 6.31 Citigroup Funding, Inc. 1730T0JH3 06/24/10 06/24/20 100.000 VARIES 5.3515 0.148172 0.147677 0.149008 0.150375 0.151025 53.26 53.90 Citigroup Funding, Inc. 1730T0KD0 09/17/10 09/17/30* 100.000 VARIES 5.4485 0.151348 0.147071 0.142678 38.26* Citigroup Funding, Inc. 1730T0KE8 09/09/10 09/09/20 100.000 VARIES 4.7845 0.132905 0.134168 0.135461 0.136785 0.138141 48.36 49.30 Citigroup Funding, Inc. 1730T0KF5 09/14/10 09/14/15 100.000 VARIES 2.0255 0.020378 0.020083 0.019786 0.019485 0.019182 7.22 7.00 Citigroup Funding, Inc. 1730T0KG3 09/14/10 09/14/17 100.000 VARIES 2.5063 0.019843 0.019273 0.018696 0.018111 0.017519 6.92 6.50 Citigroup Funding, Inc. 1730T0KH1 09/23/10 09/23/17 100.000 VARIES 2.6179 0.021611 0.020060 0.018488 0.018730 0.018976 7.19 6.75 Citigroup Funding, Inc. 1730T0KJ7 09/30/10 09/30/20 100.000 VARIES 4.6622 0.129508 0.130613 0.131744 0.132901 0.134085 47.03 47.85 Citigroup Funding, Inc. 1730T0KK4 10/13/10 10/13/15 100.000 VARIES 2.0006 0.019683 0.019402 0.019118 0.018832 0.018543 7.00 6.79 Citigroup Funding, Inc. 1730T0KR9 10/29/10 10/29/15 100.000 VARIES 1.9200 0.017557 0.017316 0.017073 0.016827 0.016579 6.25 6.07 Citigroup Funding, Inc. 1730T0KT5 11/04/10 11/04/20 100.000 VARIES 2.4350 0.024864 0.023789 0.022702 0.021601 0.020487 8.63 7.85 Citigroup Funding, Inc. 1730T0KU2 11/04/10 11/04/20 100.000 VARIES 2.5364 0.027680 0.026440 0.025184 0.023913 0.022625 9.60 8.69 Citigroup Funding, Inc. 1730T0KV0 11/19/10 11/19/30 100.000 VARIES 5.1245 0.142349 0.138879 0.135320 0.131670 0.127926 50.33 47.75 Citigroup Funding, Inc. 1730T0KW8 11/30/10 11/28/16 100.000 0.000 3.8990 0.108306 0.110394 0.112546 0.114740 0.116977 39.51 41.06 Citigroup Funding, Inc. 1730T0KX6 11/23/10 11/23/16 100.000 VARIES 1.4929 0.019694 0.018991 0.018283 0.018419 0.018557 6.91 6.62 Citigroup Funding, Inc. 1730T0KY4 11/19/10 11/19/20 100.000 VARIES 4.7108 0.130858 0.130015 0.129151 0.129838 0.130541 46.89 46.68 Citigroup Funding, Inc. 1730T0KZ1 11/09/10 11/09/30 100.000 VARIES 5.5698 0.154718 0.150131 0.145415 0.140569 0.135587 54.39 50.97 Citigroup Funding, Inc. 1730T0LA5 11/15/10 11/15/15 100.000 VARIES 1.7358 0.009774 0.009449 0.009121 0.009200 0.009280 3.43 3.31 Citigroup Funding, Inc. 1730T0LB3 11/15/10 11/15/20 100.000 VARIES 2.2798 0.020664 0.019821 0.018969 0.018108 0.017236 7.21 6.59 Citigroup Funding, Inc. 1730T0LT4 03/14/11 03/18/13 100.000 0.000 1.5300 0.042502 0.042510 0.042835 0.043163 0.043493 12.23 15.55 Citigroup Funding, Inc. 1730T0LU1 03/30/11 09/21/16 100.000 0.500 3.9296 0.109158 0.110937 0.112843 0.114788 29.76 40.67 Citigroup Funding, Inc. 1730T0LW7 03/16/11 03/16/26 100.000 VARIES 4.7595 0.132209 0.130067 0.127874 0.127985 37.45 46.21 Citigroup Funding, Inc. 1730T0LZ0 03/31/11 04/01/26 100.000 VARIES 5.1428 0.142855 0.142848 0.141680 0.140481 0.139253 38.61 50.57 Citigroup Funding, Inc. 1730T0MA4 04/01/11 04/01/21 100.000 VARIES 5.0031 0.138977 0.138926 0.138874 0.138821 37.52 49.99 Citigroup Funding, Inc. 1730T0MB2 04/28/11 10/26/16 100.000 0.500 3.6902 0.102508 0.104125 0.105790 0.107485 25.01 38.00 Citigroup Funding, Inc. 1730T0ME6 04/26/11 04/26/21 100.000 VARIES 1.9784 0.019402 0.018706 0.018002 0.017292 4.71 6.52 Citigroup Funding, Inc. 1730T0MQ9 06/29/11 06/27/18 100.000 0.000 3.9199 0.108888 0.110999 0.113174 0.115392 19.83 40.37 Citigroup Funding, Inc. 1730T0MR7 06/20/11 06/20/21 100.000 VARIES 4.6545 0.129294 0.129070 0.128842 0.128862 24.69 46.42 Citigroup Funding, Inc. 1730T0MU0 07/28/11 01/25/17 100.000 0.500 3.3819 0.093944 0.095275 0.096651 14.37 34.48 Citigroup Funding, Inc. 1730T0NB1 08/10/11 08/08/13 100.000 0.000 1.7601 0.048893 0.049318 0.049752 6.89 17.80 Citigroup Funding, Inc. 1730T0ND7 08/05/11 08/05/21 100.000 VARIES 3.3224 0.092289 0.092438 0.092589 13.47 33.29 Citigroup Funding, Inc. 1730T0NH8 08/30/11 02/24/17 100.000 0.500 3.8048 0.105692 0.107380 0.109159 12.79 38.79 Citigroup Funding, Inc. 1730T0NK1 08/26/11 08/26/16 100.000 VARIES 1.7275 0.011543 0.011161 0.010775 1.44 3.99 Citigroup Funding, Inc. 1730T0NM7 08/31/11 08/31/21 100.000 VARIES 2.3031 0.018988 0.018009 0.017513 2.34 6.59 Citigroup Funding, Inc. 1730T0NN5 09/07/11 09/07/18 100.000 VARIES 2.5979 0.021137 0.020510 0.019874 2.41 7.35 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Funding, Inc. 1730T0NQ8 09/29/11 09/29/26 100.000 VARIES 6.2445 0.173459 0.172154 0.170807 15.96 61.97 Citigroup Funding, Inc. 1730T0NS4 09/29/11 09/27/17 100.000 0.500 4.1394 0.114985 0.117054 0.119190 10.58 42.16 Citigroup Funding, Inc. 1730T0PD5 10/28/11 10/27/17 100.000 0.500 3.9008 0.108357 0.110189 0.112067 6.83 39.58 Citigroup Funding, Inc. 17311G250 12/21/07 07/17/12 100.000 0.000 5.0040 0.157852 0.161801 0.165849 58.85 2.65 Citigroup Funding, Inc. 17311G540 08/24/07 08/31/12 100.000 2.800 5.0771 0.150533 0.149906 0.153448 0.153702 55.19 37.33 Citigroup Funding, Inc. 17311GBD3 10/10/07 10/10/14 100.000 0.000 5.1599 0.167002 0.171311 0.175730 0.180264 0.184915 61.60 64.82 Citigroup Funding, Inc. 17311GBT8 11/27/09 11/28/11 100.000 0.000 1.8690 0.052897 0.053391 17.39 Citigroup Funding, Inc. 17311GBW1 11/27/09 12/05/11 100.000 0.000 1.8714 0.052985 0.053481 17.79 Citigroup Funding, Inc. 17313G332 09/29/08 10/06/11 100.000 0.000 5.4179 0.167659 0.172201 46.92 Citigroup Funding, Inc. 17313G746 04/29/08 05/07/13 100.000 0.000 5.5901 0.178450 0.183438 0.188565 0.193836 0.199254 65.69 69.41 Citigroup Funding, Inc. 17313T250 10/29/09 11/08/12 100.000 0.000 3.5401 0.101940 0.103744 0.105581 0.107449 37.22 32.75 Citigroup Funding, Inc. 17313T375 08/28/09 02/27/12 100.000 0.000 4.0753 0.117853 0.120255 0.122705 43.46 6.87 Citigroup Funding, Inc. 17313T433 07/29/09 08/24/11 100.000 0.000 3.0656 0.087975 0.089323 20.74 Citigroup Funding, Inc. 17313T557 05/27/09 07/27/11 100.000 0.000 2.4856 0.071066 0.071949 14.80 Citigroup Funding, Inc. 17314V346 05/27/10 05/26/16 100.000 0.000 4.4491 0.126321 0.129131 0.132004 0.134940 0.137942 46.18 48.26 Citigroup Funding, Inc. 17314V569 03/30/10 09/28/15 100.000 0.000 4.6162 0.131157 0.134184 0.137281 0.140450 0.143692 48.33 50.59 Citigroup Funding, Inc. 17314V585 02/17/10 02/14/14 100.000 0.000 3.4655 0.097905 0.099601 0.101327 0.103083 0.104869 36.02 37.28 Citigroup Funding, Inc. 17314V593 02/17/10 02/14/13 100.000 0.000 2.5263 0.071048 0.071945 0.072854 0.073774 0.074706 25.99 26.65 Citigroup Funding, Inc. 17314V668 02/25/10 08/26/15 100.000 0.000 4.3617 0.123818 0.126518 0.129278 0.132097 0.134978 45.74 47.76 Citigroup Funding, Inc. 17314V767 01/28/10 07/29/15 100.000 0.000 4.4348 0.125938 0.128731 0.131585 0.134503 0.137486 46.70 48.79 Citigroup Funding, Inc. 17314V841 12/29/09 06/24/15 100.000 0.000 3.7789 0.108918 0.110976 0.113073 0.115210 0.117387 39.61 41.12 Citigroup Funding, Inc. 17316G784 10/28/10 10/27/16 100.000 0.000 3.6054 0.100153 0.101948 0.103786 0.105657 0.107562 36.61 37.94 Citigroup Funding, Inc. 17317U717 08/30/11 11/23/16 100.000 0.000 3.7251 0.103477 0.104365 0.106309 0.108289 12.55 38.07 Clark CNTY SCH DIST, NV 181059QF6 07/08/10 06/15/24 91.490 5.510 6.4444 1.86 0.011025 0.011381 0.011747 0.012126 0.012517 4.04 4.31 Clark CNTY SCH DIST, NV 181059QG4 07/08/10 06/15/20 94.976 5.510 6.1946 1.80 0.010652 0.010982 0.011322 0.011673 0.012035 3.90 4.15 Clark CNTY SCH DIST, NV 181059QH2 07/08/10 06/15/20 94.976 5.510 6.1946 1.80 0.010652 0.010982 0.011322 0.011673 0.012035 3.90 4.15 Cogent Communications 19239VAA2 06/11/07 06/15/14 97.750 1.000 1.3372 11.15 0.008942 0.009001 0.009062 0.009122 0.009183 3.23 3.27 Cogent Communications 19239VAB0 06/11/07 06/15/14 97.750 1.000 1.3372 11.15 0.008942 0.009001 0.009062 0.009122 0.009183 3.23 3.27 Community Unit SD #5, IL 193863AF4 06/26/08 12/01/11 103.045 VARIES 4.5929 0.128700 0.128148 42.37 Community Unit SD #5, IL 193863AG2 06/26/08 12/01/12 102.941 VARIES 4.8027 0.135164 0.134741 0.134308 0.133865 48.56 44.24 Community Unit SD #5, IL 193863AH0 06/26/08 12/01/13 102.730 VARIES 4.9590 0.139805 0.139483 0.139153 0.138815 0.138469 50.25 50.01 Community Unit SD #5, IL 193863AJ6 06/26/08 12/01/14 102.273 VARIES 5.1132 0.143999 0.143775 0.143545 0.143309 0.143067 51.79 51.62 Comcast Corporation 200300507 10/15/99 10/15/29 100.000 2.000 10.5154 0.785838 0.824234 0.864649 0.907189 0.951966 295.80 325.57 Comcast Corporation 200300606 11/15/99 11/15/29 100.000 2.000 10.3810 0.764293 0.801080 0.839777 0.880483 0.923301 285.24 313.49 CompuCredit Corporation 20478NAA8 05/27/05 05/30/25 100.000 VARIES 9.1300 0.348816 0.354296 0.369994 0.378183 0.396992 129.00 137.79 CompuCredit Corporation 20478NAB6 05/27/05 05/30/25 100.000 VARIES 9.1300 0.348816 0.354296 0.369994 0.378183 0.396992 129.00 137.79 CompuCredit Corporation 20478NAC4 11/23/05 01/31/36 100.000 5.875 N/A 0.289581 0.300345 0.301581 0.311376 0.314691 109.49 114.18 CompuCredit Corporation 20478NAD2 11/23/05 01/31/36 100.000 5.875 N/A 0.289581 0.300345 0.301581 0.311376 0.314691 109.49 114.18 Conseco, Inc. 208464BG1 08/15/05 09/30/35 99.000 3.500 7.3752 0.250299 0.259529 0.269099 0.279023 0.289312 93.48 100.50 Conseco, Inc. 208464BH9 08/15/05 09/30/35 99.000 3.500 7.3752 0.250299 0.259529 0.269099 0.279023 0.289312 93.48 100.50 Convergys Corporation 212485AE6 10/13/09 09/15/29 114.396 VARIES 14.1017 0.486821 0.509885 0.534574 0.561004 0.589298 184.47 203.00 Cook County, Illinois 213309KR7 04/28/05 12/01/16 52.896 0.000 5.5696 193.58 0.111269 0.114368 0.117553 0.120827 0.124191 40.80 43.11 Cook County, Illinois 213309KS5 04/28/05 12/01/17 49.824 0.000 5.6095 183.84 0.105789 0.108756 0.111807 0.114943 0.118167 38.80 41.01 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, Illinois 213309KT3 04/28/05 12/01/18 46.339 0.000 5.7396 175.56 0.101385 0.104295 0.107288 0.110367 0.113534 37.20 39.37 Cook County, Illinois 213309KU0 04/28/05 12/01/19 43.603 0.000 5.7697 166.19 0.096056 0.098827 0.101678 0.104612 0.107630 35.25 37.31 Cook County, Illinois 213309KV8 04/28/05 12/01/20 40.881 0.000 5.8197 157.38 0.091088 0.093738 0.096466 0.099273 0.102162 33.43 35.40 Cook County, IL SD #88 214183KP9 06/15/10 06/01/30 25.818 0.000 6.8998 9.75 0.051058 0.052819 0.054641 0.056526 0.058476 18.81 20.13 Cook County, IL SD #88 214183KR5 06/15/10 12/01/26 33.796 0.000 6.6997 12.39 0.064839 0.067011 0.069256 0.071576 0.073974 23.87 25.49 Cook County, IL SD #88 214183KS3 06/15/10 12/01/27 31.374 0.000 6.7498 11.58 0.060656 0.062703 0.064819 0.067007 0.069268 22.33 23.86 Cook County, IL SD #88 214183KT1 06/15/10 12/01/28 29.098 0.000 6.7998 10.82 0.056685 0.058612 0.060605 0.062666 0.064796 20.87 22.31 Cook County, IL SD #88 214183KU8 06/15/10 12/01/29 26.961 0.000 6.8498 10.10 0.052920 0.054733 0.056607 0.058546 0.060551 19.49 20.85 Cook County, IL SD #89 214201FW0 09/07/05 12/01/11 73.907 0.000 4.9088 217.49 0.129902 0.133090 43.44 Cook County, IL SD #89 214201FX8 09/07/05 12/01/12 70.159 0.000 4.9590 208.83 0.124896 0.127993 0.131167 0.134419 45.71 43.87 Cook County, IL SD #89 214201FY6 09/07/05 12/01/13 66.377 0.000 5.0390 201.16 0.120561 0.123599 0.126713 0.129905 0.133178 44.13 46.39 Cook County, IL SD #89 214201FZ3 09/07/05 12/01/14 62.531 0.000 5.1492 194.17 0.116713 0.119718 0.122800 0.125962 0.129205 42.74 44.97 Cook County, IL SD #89 214201GB5 12/13/07 12/01/14 67.830 0.000 5.6497 125.70 0.125586 0.129133 0.132781 0.136532 0.140389 46.07 48.70 Cook County, IL SD #89 214201GC3 12/13/07 12/01/15 63.659 0.000 5.7497 120.21 0.120297 0.123755 0.127313 0.130973 0.134739 44.14 46.71 Cook County, IL SD #89 214201GD1 12/13/07 12/01/16 59.629 0.000 5.8497 114.71 0.114971 0.118334 0.121795 0.125358 0.129024 42.20 44.70 Cook County, IL SD #89 214201GE9 12/13/07 12/01/17 55.745 0.000 5.9498 109.21 0.109639 0.112901 0.116259 0.119718 0.123279 40.26 42.69 Cook County, IL SD #89 214201GF6 12/13/07 12/01/18 52.014 0.000 6.0498 103.75 0.104319 0.107475 0.110726 0.114075 0.117526 38.32 40.67 Cook County, IL SD #89 214201GG4 12/13/07 12/01/19 48.439 0.000 6.1497 98.34 0.099039 0.102084 0.105223 0.108459 0.111794 36.39 38.66 Cook County, IL SD #89 214201GH2 12/13/07 12/01/20 45.022 0.000 6.2498 93.01 0.093820 0.096751 0.099775 0.102893 0.106108 34.48 36.67 Cook County, IL SD #89 214201GJ8 12/13/07 12/01/21 41.765 0.000 6.3498 87.78 0.088681 0.091497 0.094401 0.097399 0.100491 32.60 34.71 Cook County, IL SD #89 214201GK5 12/13/07 12/01/22 38.951 0.000 6.3998 82.56 0.083476 0.086147 0.088904 0.091749 0.094685 30.69 32.69 Cook County, IL SD #89 214201GL3 12/13/07 12/01/23 36.291 0.000 6.4498 77.57 0.078496 0.081028 0.083641 0.086338 0.089122 28.87 30.76 Cook County, IL SD #89 214201GM1 12/13/07 12/01/24 33.947 0.000 6.4698 72.81 0.073696 0.076080 0.078541 0.081082 0.083705 27.11 28.89 Cook County, IL SD #89 214201GP4 11/29/10 12/15/24 34.234 0.000 7.7796 2.37 0.074236 0.077123 0.080123 0.083240 0.086478 27.34 29.51 Cook County, IL SD #89 214201GQ2 11/29/10 12/15/25 30.724 0.000 7.9996 2.19 0.068516 0.071256 0.074106 0.077070 0.080153 25.25 27.31 Cook County, IL SD #89 214201GR0 11/29/10 12/15/26 109.444 VARIES 7.6950 0.234738 0.243769 0.233614 0.233251 0.232873 86.11 84.02 Cook County, IL SD #89 214201GS8 11/29/10 12/15/26 27.332 0.000 8.2496 2.01 0.062863 0.065456 0.068156 0.070967 0.073895 23.18 25.13 Cook County, IL SD #104 214471HQ0 12/30/02 12/01/22 21.989 0.000 7.7496 184.27 0.086443 0.089793 0.093272 0.096886 0.100641 31.93 34.45 Cook County, IL SD #104 214471JT2 02/08/07 12/01/11 77.556 0.000 5.3485 177.25 0.140931 0.144700 47.19 Cook County, IL SD #104 214471JU9 02/08/07 12/01/12 73.485 0.000 5.3685 168.64 0.134134 0.137735 0.141432 0.145229 49.16 47.36 Cook County, IL SD #104 214471JV7 02/08/07 12/01/13 69.553 0.000 5.3989 160.60 0.127819 0.131269 0.134813 0.138452 0.142190 46.85 49.41 Cook County, IL SD #123 214651JV4 10/15/07 12/01/13 71.288 0.000 5.5988 138.41 0.131780 0.135469 0.139262 0.143160 0.147168 48.33 51.07 Cook County, IL SD #123 214651JW2 10/15/07 12/01/14 66.759 0.000 5.7491 133.37 0.127302 0.130961 0.134726 0.138598 0.142582 46.71 49.43 Cook County, IL SD #123 214651JX0 10/15/07 12/01/15 62.337 0.000 5.8991 128.05 0.122530 0.126144 0.129864 0.133695 0.137638 44.98 47.67 Cook County, IL SD #123 214651JY8 10/15/07 12/01/16 58.297 0.000 5.9991 121.95 0.116886 0.120392 0.124003 0.127723 0.131554 42.92 45.54 Cook County, IL SD #123 214651JZ5 10/15/07 12/01/17 54.681 0.000 6.0492 115.42 0.110719 0.114068 0.117518 0.121073 0.124735 40.67 43.16 Cook County, IL SD #123 214651KA8 10/15/07 12/01/18 51.240 0.000 6.0992 109.13 0.104768 0.107963 0.111256 0.114649 0.118145 38.49 40.87 Cook County, IL SD #123 214651KB6 10/15/07 12/01/19 48.025 0.000 6.1392 103.01 0.098960 0.101998 0.105129 0.108356 0.111682 36.36 38.62 Cook County, IL SD #123 214651KC4 10/15/07 12/01/20 44.691 0.000 6.2294 97.39 0.093698 0.096617 0.099626 0.102729 0.105929 34.43 36.61 Cook County, IL SD #123 214651KD2 10/15/07 12/01/21 41.802 0.000 6.2694 91.73 0.088312 0.091080 0.093935 0.096880 0.099917 32.46 34.53 Cook County, IL SD #123 214651KE0 10/15/07 12/01/22 39.242 0.000 6.2794 86.26 0.083061 0.085669 0.088358 0.091132 0.093994 30.53 32.48 Cook County, IL SD #123 214651KF7 10/15/07 12/01/23 36.831 0.000 6.2895 81.10 0.078107 0.080563 0.083097 0.085710 0.088405 28.71 30.54 Cook County, IL SD #123 214651KG5 10/15/07 12/01/24 34.562 0.000 6.2995 76.24 0.073434 0.075747 0.078132 0.080593 0.083132 26.99 28.72 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, IL SD #123 214651KH3 10/15/07 12/01/25 32.426 0.000 6.3095 71.65 0.069027 0.071204 0.073451 0.075768 0.078158 25.37 27.00 Cook County, IL SD #123 214651KJ9 10/15/07 12/01/26 30.417 0.000 6.3195 67.32 0.064871 0.066921 0.069035 0.071217 0.073467 23.85 25.38 Cook County, IL SD #123 214651KK6 10/15/07 06/01/27 29.429 0.000 6.3295 65.25 0.062883 0.064873 0.066926 0.069044 0.071229 23.12 24.60 Cook County, IL SD #127 214723CV8 09/07/05 12/01/19 46.971 0.000 5.3794 153.25 0.092672 0.095164 0.097724 0.100352 0.103052 33.96 35.81 Cook County, IL SD #127 214723CW6 09/07/05 12/01/20 44.082 0.000 5.4494 145.95 0.088420 0.090829 0.093304 0.095847 0.098458 32.41 34.20 Cook County, IL SD #127 214723CX4 09/07/05 12/01/21 41.315 0.000 5.5194 138.78 0.084234 0.086559 0.088948 0.091402 0.093925 30.88 32.61 Cook County, IL SD #127 214723CY2 09/07/05 12/01/22 38.734 0.000 5.5794 131.72 0.080075 0.082309 0.084605 0.086965 0.089391 29.36 31.03 Cook County, IL SD #127 214723CZ9 09/07/05 12/01/23 36.271 0.000 5.6395 124.86 0.076024 0.078168 0.080372 0.082638 0.084968 27.88 29.48 Cook County, IL SD #127 214723DA3 09/07/05 12/01/24 33.990 0.000 5.6895 118.19 0.072056 0.074106 0.076214 0.078382 0.080612 26.43 27.96 Cook County, IL SD #127 214723DC9 09/07/05 12/01/13 66.537 0.000 5.0090 200.29 0.119949 0.122954 0.126033 0.129190 0.132425 43.90 46.13 Cook County, Illinois 215030CN5 01/08/04 12/01/12 63.060 0.000 5.2494 274.90 0.131462 0.134913 0.138454 0.142088 48.16 46.34 Cook County, Illinois 215030CP0 01/08/04 12/01/13 58.732 0.000 5.4494 267.58 0.128825 0.132335 0.135941 0.139645 0.143450 47.22 49.83 Cook County, Illinois 215030CQ8 01/08/04 12/01/14 54.489 0.000 5.6495 259.11 0.125582 0.129130 0.132777 0.136528 0.140385 46.06 48.70 Cook County, Illinois 215030CR6 01/08/04 12/01/15 50.650 0.000 5.7994 248.51 0.121044 0.124554 0.128166 0.131883 0.135707 44.42 47.03 Cook County, IL SD #148 215075FA5 07/09/08 12/01/27 94.524 6.000 6.5007 3.83 0.004688 0.004841 0.004998 0.005161 0.005328 1.72 1.84 Cook County, Illinois 215093EV3 06/17/03 12/01/13 59.669 0.000 4.9998 269.20 0.119760 0.122754 0.125823 0.128968 0.132192 43.83 46.05 Cook County, Illinois 215093EW1 06/17/03 12/01/14 55.539 0.000 5.1998 262.51 0.117628 0.120686 0.123824 0.127043 0.130346 43.08 45.35 Cook County, Illinois 215093EX9 06/17/03 12/01/15 51.495 0.000 5.3998 254.62 0.114915 0.118017 0.121204 0.124476 0.127837 42.12 44.42 Cook County, IL SD #153 215183FW9 12/10/03 12/01/12 60.122 0.000 5.7499 295.87 0.142600 0.146700 0.150917 0.155256 52.32 50.58 Cook County, IL SD #153 215183FX7 12/10/03 12/01/13 55.449 0.000 5.9998 287.18 0.139578 0.143766 0.148078 0.152521 0.157096 51.26 54.38 Cook County, IL SD #153 215183FY5 12/10/03 12/01/14 51.438 0.000 6.1497 274.47 0.134071 0.138194 0.142443 0.146823 0.151338 49.26 52.33 Cook County, IL SD #153 215183FZ2 12/10/03 12/01/15 47.578 0.000 6.2999 261.42 0.128334 0.132376 0.136546 0.140847 0.145284 47.17 50.19 Cook County, IL SD #153 215183GJ7 05/14/08 12/15/13 74.458 0.000 5.3491 110.99 0.126826 0.130218 0.133700 0.137276 0.140948 46.38 48.89 Cook County, IL SD #153 215183GK4 05/14/08 12/15/14 69.640 0.000 5.5691 108.33 0.124183 0.127641 0.131196 0.134849 0.138604 45.44 48.01 Cook County, IL SD #153 215183GL2 05/14/08 12/15/15 64.808 0.000 5.7992 105.24 0.121041 0.124551 0.128162 0.131879 0.135703 44.32 46.93 Cook County, IL SD #153 215183GM0 05/14/08 12/15/16 59.694 0.000 6.0984 102.42 0.116837 0.119742 0.123393 0.127155 0.131753 43.29 45.99 Cook County, IL SD #153 215183GN8 05/14/08 12/15/17 55.331 0.000 6.2694 97.63 0.113047 0.116590 0.120245 0.124014 0.127902 41.45 44.09 Cook County, IL SD #153 215183GP3 05/14/08 12/15/18 51.329 0.000 6.3994 92.57 0.107395 0.110831 0.114378 0.118038 0.121814 39.39 41.95 Cook County, IL SD #153 215183GQ1 05/14/08 12/15/19 47.338 0.000 6.5593 87.66 0.101928 0.105271 0.108723 0.112289 0.115972 37.40 39.90 Cook County, IL SD #155 215219EG7 02/01/01 12/01/14 37.337 0.000 7.2490 383.31 0.151454 0.156943 0.162632 0.168526 0.174635 55.85 59.97 Cook County, IL SD #155 215219EH5 02/01/01 12/01/15 34.277 0.000 7.3490 358.58 0.142300 0.147529 0.152950 0.158570 0.164397 52.49 56.42 Cook County, IL SD #155 215219FN1 06/30/03 12/01/18 44.637 0.000 5.2998 214.59 0.096877 0.099444 0.102079 0.104784 0.107561 35.49 37.40 Cook County, IL SD #155 215219FP6 06/30/03 12/01/19 41.690 0.000 5.3998 204.95 0.092857 0.095364 0.097939 0.100583 0.103299 34.03 35.89 Cook County, IL SD #155 215219FQ4 06/30/03 12/01/20 39.193 0.000 5.4498 194.82 0.088423 0.090832 0.093307 0.095850 0.098462 32.41 34.20 Cook County, IL SD #155 215219FR2 06/30/03 12/01/21 36.482 0.000 5.5497 185.34 0.084422 0.086765 0.089172 0.091647 0.094190 30.96 32.70 Cook County, IL SD #155 215219FS0 06/30/03 12/01/22 33.892 0.000 5.6497 175.93 0.080421 0.082693 0.085029 0.087431 0.089901 29.50 31.19 Cook County, IL SD #155 215219GA8 06/02/05 12/01/15 59.242 0.000 5.0500 190.15 0.109319 0.112080 0.114910 0.117811 0.120786 40.02 42.07 Cook County, IL SD #155 215219GB6 06/02/05 12/01/16 55.669 0.000 5.1601 183.10 0.105585 0.108309 0.111103 0.113970 0.116910 38.67 40.69 Cook County, IL SD #155 215219GC4 06/02/05 12/01/17 52.327 0.000 5.2501 175.52 0.101466 0.104129 0.106863 0.109668 0.112547 37.17 39.15 Cook County, IL SD #155 215219GD2 06/02/05 12/01/18 49.294 0.000 5.3100 167.50 0.096987 0.099562 0.102206 0.104919 0.107705 35.54 37.45 Cook County, IL SD #155 215219GE0 06/02/05 12/01/19 46.448 0.000 5.3600 159.52 0.092496 0.094975 0.097520 0.100133 0.102817 33.90 35.74 Cook County, IL SD #155 215219GF7 06/02/05 12/01/20 43.922 0.000 5.3801 151.49 0.087886 0.090251 0.092678 0.095171 0.097732 32.21 33.96 Cook County, IL SD #155 215219GG5 06/02/05 12/01/21 41.054 0.000 5.4700 144.30 0.083923 0.086218 0.088576 0.090999 0.093488 30.76 32.47 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, IL SD #155 215219GH3 06/02/05 12/01/22 38.699 0.000 5.5000 136.88 0.079670 0.081861 0.084112 0.086426 0.088802 29.21 30.84 Cook County, IL SD #155 215219GQ3 06/02/05 12/01/23 36.261 0.000 5.5600 129.86 0.075709 0.077814 0.079977 0.082201 0.084486 27.76 29.33 Cook County, IL SD #155 215219GR1 06/02/05 12/01/24 34.002 0.000 5.6100 123.02 0.071823 0.073838 0.075909 0.078038 0.080227 26.34 27.84 Cook County, IL SD #155 215219HB5 06/29/06 12/01/16 54.002 0.000 5.9995 164.88 0.116891 0.120397 0.124009 0.127729 0.131561 42.93 45.54 Cook County, IL SD #155 215219HC3 06/29/06 12/01/17 50.621 0.000 6.0495 156.01 0.110723 0.114072 0.117522 0.121077 0.124739 40.67 43.16 Cook County, IL SD #155 215219HD1 06/29/06 12/01/18 47.405 0.000 6.0996 147.46 0.104772 0.107967 0.111260 0.114653 0.118150 38.49 40.87 Cook County, IL SD #155 215219HE9 06/29/06 12/01/19 44.524 0.000 6.1196 139.01 0.098813 0.101837 0.104953 0.108164 0.111474 36.30 38.56 Cook County, IL SD #155 215219HF6 06/29/06 12/01/20 41.744 0.000 6.1496 131.05 0.093217 0.096083 0.099038 0.102083 0.105222 34.25 36.39 Cook County, IL SD #155 215219HG4 06/29/06 12/01/21 39.173 0.000 6.1696 123.43 0.087836 0.090546 0.093339 0.096219 0.099187 32.27 34.30 Cook County, IL SD #155 215219HH2 06/29/06 12/01/22 36.688 0.000 6.1996 116.23 0.082770 0.085336 0.087981 0.090709 0.093520 30.42 32.33 Cook County, IL SD #155 215219HJ8 06/29/06 12/01/23 34.398 0.000 6.2197 109.37 0.077923 0.080346 0.082845 0.085421 0.088077 28.64 30.44 Cook County, IL SD #155 215219HK5 06/29/06 12/01/24 32.181 0.000 6.2498 102.88 0.073347 0.075639 0.078003 0.080441 0.082954 26.96 28.67 Cook County, IL SD #155 215219HL3 06/29/06 12/01/25 30.147 0.000 6.2697 96.73 0.068989 0.071152 0.073382 0.075683 0.078055 25.36 26.97 Cook County, IL SD #155 215219HM1 06/29/06 06/01/26 29.062 0.000 6.2996 93.75 0.066910 0.069017 0.071191 0.073434 0.075747 24.60 26.17 Cook County, IL SD #155 215219JE7 06/29/06 12/01/11 73.537 0.000 5.7490 214.05 0.150896 0.155233 50.58 Cook County, IL SD #155 215219JF4 06/29/06 12/01/12 69.397 0.000 5.7692 202.80 0.143027 0.147153 0.151398 0.155765 52.48 50.75 Cook County, IL SD #155 215219JG2 06/29/06 12/01/13 65.418 0.000 5.7993 192.29 0.135704 0.139639 0.143688 0.147855 0.152142 49.80 52.73 Cook County, IL SD #155 215219JH0 06/29/06 12/01/14 61.530 0.000 5.8495 182.61 0.129020 0.132794 0.136678 0.140675 0.144789 47.36 50.17 Cook County, IL SD #155 215219JJ6 06/29/06 12/01/15 57.818 0.000 5.8994 173.23 0.122533 0.126148 0.129869 0.133700 0.137643 44.98 47.68 Cook County, IL SD #155 215219JK3 06/29/06 12/01/16 54.002 0.000 5.9995 164.88 0.116891 0.120397 0.124009 0.127729 0.131561 42.93 45.54 Cook County, IL SD #155 215219JL1 06/29/06 12/01/17 50.621 0.000 6.0495 156.01 0.110723 0.114072 0.117522 0.121077 0.124739 40.67 43.16 Cook County, IL SD #155 215219JM9 06/29/06 12/01/18 47.405 0.000 6.0996 147.46 0.104772 0.107967 0.111260 0.114653 0.118150 38.49 40.87 Cook County, IL SD #155 215219JN7 06/29/06 12/01/19 44.524 0.000 6.1196 139.01 0.098813 0.101837 0.104953 0.108164 0.111474 36.30 38.56 Cook County, IL SD #155 215219JR8 10/08/09 12/01/23 39.094 0.000 6.7493 33.36 0.079103 0.081772 0.084532 0.087384 0.090333 29.12 31.12 Cook County, IL SD #155 215219JS6 10/08/09 12/01/24 36.316 0.000 6.7993 31.22 0.074068 0.076586 0.079189 0.081881 0.084665 27.27 29.16 Cook County, IL SD #155 215219JT4 10/08/09 12/01/25 33.703 0.000 6.8493 29.19 0.069282 0.071655 0.074109 0.076647 0.079272 25.51 27.29 Cook County, IL SD #155 215219JU1 10/08/09 12/01/26 31.248 0.000 6.8993 27.27 0.064740 0.066973 0.069284 0.071674 0.074146 23.84 25.52 Cook County, IL SD #155 215219JV9 10/08/09 12/01/27 28.691 0.000 6.9993 25.41 0.060371 0.062484 0.064671 0.066934 0.069276 22.24 23.83 Cook County, IL SD #155 215219JW7 10/08/09 12/01/28 26.292 0.000 7.0994 23.63 0.056177 0.058171 0.060236 0.062374 0.064589 20.70 22.20 Cook County, IL SD #155 215219JX5 10/08/09 06/01/29 25.151 0.000 7.1494 22.77 0.054148 0.056083 0.058088 0.060165 0.062315 19.96 21.41 Cook County, Illinois 215255EW6 06/30/04 12/01/11 66.619 0.000 5.5494 284.92 0.145940 0.149990 48.89 Cook County, Illinois 215255EX4 06/30/04 12/01/12 62.198 0.000 5.7195 275.62 0.141930 0.145989 0.150164 0.154458 52.07 50.33 Cook County, Illinois 215255EY2 06/30/04 12/01/13 57.985 0.000 5.8696 264.93 0.137068 0.141090 0.145231 0.149493 0.153881 50.31 53.31 Cook County, Illinois 215255EZ9 06/30/04 12/01/14 53.847 0.000 6.0295 253.99 0.132065 0.136046 0.140148 0.144373 0.148726 48.50 51.47 Cook County, Illinois 215255FA3 06/30/04 12/01/15 50.015 0.000 6.1596 241.99 0.126333 0.130224 0.134235 0.138369 0.142631 46.42 49.32 Cook County SD #162, IL 215291LD5 06/30/11 12/01/13 100.000 0.000 2.9998 0.083328 0.084376 0.085642 0.086926 15.11 30.68 Cook County SD #162, IL 215291LE3 06/30/11 12/01/14 100.000 0.000 3.2494 0.090264 0.091494 0.092981 0.094491 16.37 33.30 Cook County SD #162, IL 215291LF0 06/30/11 12/01/15 100.000 0.000 3.9996 0.111101 0.112965 0.115224 0.117529 20.17 41.21 Cook County SD #162, IL 215291LG8 06/30/11 12/01/16 100.000 0.000 4.3994 0.122208 0.124463 0.127201 0.129999 22.19 45.47 Cook County SD #162, IL 215291LH6 06/30/11 12/01/17 100.000 0.000 4.7493 0.131927 0.134555 0.137750 0.141021 23.96 49.21 Cook County SD #162, IL 215291LJ2 06/30/11 12/01/18 100.000 0.000 4.9995 0.138877 0.141790 0.145334 0.148967 25.22 51.90 Cook County SD #162, IL 215291LK9 06/30/11 12/01/19 100.000 0.000 5.2494 0.145819 0.149030 0.152941 0.156956 26.49 54.59 Cook County SD #162, IL 215291LL7 06/30/11 12/01/20 100.000 0.000 5.5207 0.153354 0.156905 0.161237 0.165687 27.86 57.53 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Cook County SD #162, IL 215291LM5 06/30/11 12/01/21 100.000 0.000 5.7496 0.159711 0.163563 0.168265 0.173102 29.02 60.02 Cook County SD #162, IL 215291LP8 06/30/11 12/01/23 100.000 0.000 6.1246 0.170129 0.174500 0.179844 0.185351 30.92 64.11 Cook County SD #162, IL 215291LQ6 06/30/11 12/01/24 100.000 0.000 6.2495 0.173598 0.178149 0.183715 0.189456 31.56 65.47 Cook County SD #162, IL 215291LT0 06/30/11 12/01/27 100.000 0.000 6.7497 0.187492 0.192800 0.199307 0.206033 34.10 70.98 Cook County SD #162, IL 215291LU7 06/30/11 12/01/28 100.000 0.000 6.8747 0.190965 0.196471 0.203225 0.210210 34.73 72.36 Cook County SD #162, IL 215291LV5 06/30/11 12/01/29 100.000 0.000 6.9496 0.193046 0.198673 0.205577 0.212720 35.11 73.19 Cook County SD #162, IL 215291LW3 06/30/11 12/01/30 100.000 0.000 6.9996 0.194436 0.200144 0.207149 0.214399 35.36 73.74 Cook County, Illinois 215381HQ0 08/07/03 12/01/12 61.760 0.000 5.2392 288.07 0.131233 0.134671 0.138198 0.141819 48.07 46.26 Cook County, Illinois 215381HR8 08/07/03 12/01/13 57.537 0.000 5.4293 280.02 0.128425 0.131911 0.135492 0.139170 0.142948 47.07 49.66 Cook County, Illinois 215381HS6 08/07/03 12/01/14 53.466 0.000 5.6091 270.58 0.124881 0.128384 0.131984 0.135686 0.139492 45.80 48.41 Cook County, Illinois 215903EV3 06/17/03 12/01/13 59.669 0.000 4.9998 269.20 0.119760 0.122754 0.125823 0.128968 0.132192 43.83 46.05 Cook County, Illinois 215903EW1 06/17/03 12/01/14 55.539 0.000 5.1998 262.51 0.117628 0.120686 0.123824 0.127043 0.130346 43.08 45.35 Cook County, Illinois 215903EX9 06/17/03 12/01/15 51.495 0.000 5.3998 254.62 0.114915 0.118017 0.121204 0.124476 0.127837 42.12 44.42 Corvallie, Benton County 2208855G8 03/12/02 01/01/12 53.670 0.000 6.4489 401.80 0.168120 0.173541 61.50 Corvallie, Benton County 2208855H6 03/12/02 01/01/13 49.793 0.000 6.5588 380.98 0.160130 0.165381 0.170805 0.176406 58.59 62.50 Corvallie, Benton County 2208855J2 03/12/02 01/01/14 46.414 0.000 6.6090 358.64 0.151050 0.156042 0.161198 0.166525 55.28 58.99 Corvallie, Benton County 2208855K9 03/12/02 01/01/15 43.223 0.000 6.6591 337.26 0.142337 0.147077 0.151974 0.157034 52.09 55.62 Corvallie, Benton County 2208855L7 03/12/02 01/01/16 39.945 0.000 6.7591 317.77 0.134661 0.139212 0.143917 0.148781 49.30 52.69 Corvallie, Benton County 2208855M5 03/12/02 01/01/17 37.109 0.000 6.8092 298.06 0.126566 0.130875 0.135331 0.139938 46.34 49.55 Corvallie, Benton County 2208855N3 03/12/02 01/01/18 34.442 0.000 6.8591 279.28 0.118834 0.122909 0.127124 0.131484 43.51 46.55 Corvallie, Benton County 2208855P8 03/12/02 01/01/19 31.935 0.000 6.9091 261.42 0.111462 0.115313 0.119296 0.123417 40.82 43.69 Corvallie, Benton County 2208855Q6 03/12/02 01/01/20 29.582 0.000 6.9592 244.45 0.104441 0.108075 0.111836 0.115727 38.25 40.96 Corvallie, Benton County 2208855R4 03/12/02 01/01/21 27.475 0.000 6.9893 228.33 0.097673 0.101086 0.104619 0.108275 35.78 38.32 Corvallie, Benton County 2208855S2 03/12/02 01/01/22 25.504 0.000 7.0193 213.15 0.091288 0.094492 0.097808 0.101241 33.44 35.83 Corvallie, Benton County 2208855T0 03/12/02 01/01/23 23.613 0.000 7.0594 198.82 0.085292 0.088302 0.091419 0.094646 31.25 33.49 Costco Companies, Inc. 22160QAA0 08/19/97 08/19/17 49.960 0.000 3.5000 294.83 0.076258 0.077592 0.078950 0.080332 0.081738 28.05 29.04 Costco Companies, Inc. 22160QAB8 08/19/97 08/19/17 49.960 0.000 3.5000 294.83 0.076258 0.077592 0.078950 0.080332 0.081738 28.05 29.04 Costco Companies, Inc. 22160QAC6 08/19/97 08/19/17 49.960 0.000 3.5000 294.83 0.076258 0.077592 0.078950 0.080332 0.081738 28.05 29.04 Credit Suisse USA, Inc. 22541FDR4 04/28/06 04/29/13 100.000 0.000 5.5223 0.196044 0.201457 0.207020 0.212736 0.218610 72.23 76.27 Credit Suisse USA, Inc. 22541FEJ1 12/28/06 01/14/11 100.000 0.000 4.9860 0.164922 2.14 Credit Suisse USA, Inc. 22541FEN2 01/31/07 01/31/11 100.000 0.000 5.2714 0.175678 5.09 Credit Suisse USA, Inc. 22541FER3 02/28/07 11/30/11 100.000 0.000 5.0891 0.170695 0.175038 56.94 Credit Suisse USA, Inc. 22541HBF8 09/01/06 08/26/13 100.000 1.000 5.3576 0.177223 0.181226 0.185337 0.189558 0.193892 65.54 68.55 Credit Suisse USA, Inc. 22541HBK7 10/18/06 10/11/11 100.000 0.250 5.3153 0.180325 0.184933 51.32 Credit Suisse USA, Inc. 22541HBQ4 02/13/07 02/07/14* 100.000 2.000 N/A 0.162739 0.165538 13.47* Credit Suisse USA, Inc. 22541HBU5 04/27/07 04/21/14 100.000 0.250 5.0791 0.166697 0.170754 0.174914 0.179180 0.183554 61.32 64.34 Credit Suisse USA, Inc. 22541HBV3 05/11/07 05/05/14 100.000 1.750 5.1032 0.159631 0.162464 0.165369 0.168348 0.171403 58.30 60.41 Credit Suisse USA, Inc. 22541HCU4 03/04/11 03/01/16 100.000 0.000 3.0020 0.083389 0.084620 0.085890 0.087180 24.91 31.00 Credit Suisse USA, Inc. 22541HCW0 06/23/11 06/22/18 100.000 0.000 3.6401 0.101116 0.102947 0.104820 0.106728 19.03 37.43 Credit Suisse USA, Inc. 22546E2G8 03/31/11 03/31/15 100.000 0.000 2.6796 0.074435 0.075432 0.076443 0.077467 20.26 27.52 Credit Suisse USA, Inc. 22546E4R2 04/29/11 04/29/16 100.000 0.000 3.1146 0.086517 0.087864 0.089233 0.090622 21.02 32.05 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse USA, Inc. 22546E4S0 04/28/11 04/27/15 100.000 0.000 2.6068 0.072414 0.073353 0.074309 0.075277 17.66 26.70 Credit Suisse USA, Inc. 22546E6C3 05/31/11 05/31/16 100.000 0.000 2.8780 0.079947 0.081097 0.082264 0.083448 16.90 29.48 Credit Suisse USA, Inc. 22546E6E9 05/31/11 05/31/16 100.000 0.000 2.7670 0.076862 0.077925 0.079003 0.080096 16.25 28.31 Credit Suisse USA, Inc. 22546EB94 10/28/10 10/28/30 100.000 VARIES 3.9512 0.109757 0.110004 0.110257 0.110515 0.110777 39.59 39.77 Credit Suisse USA, Inc. 22546EN59 02/16/11 05/16/12 100.000 0.000 0.7902 0.021953 0.021996 0.022083 6.93 2.98 Credit Suisse USA, Inc. 22546TAL5 06/30/11 06/30/16 100.000 0.000 3.0499 0.084721 0.086013 0.087325 0.088656 15.34 31.20 Credit Suisse USA, Inc. 22546TEK3 09/29/11 10/01/15 100.000 0.000 1.1278 0.031329 0.031331 0.031508 0.031685 2.88 11.34 Credit Suisse USA, Inc. 2254C0MP9 03/30/07 09/30/11 100.000 0.000 4.9795 0.164304 0.168394 44.93 Credit Suisse USA, Inc. 2254C0MW4 04/27/07 10/31/11 100.000 0.000 4.9514 0.163290 0.167333 49.55 Credit Suisse USA, Inc. 2254C0NA1 04/30/07 07/29/11 100.000 0.000 4.9688 0.161883 0.165905 34.40 Credit Suisse USA, Inc. 2254C0NP8 05/17/07 05/17/12 100.000 0.000 5.0303 0.166269 0.170451 0.174738 60.98 23.76 Credit Suisse USA, Inc. 2254M0BJ4 12/31/10 04/01/13 100.000 0.000 1.3660 0.037945 0.038076 0.038336 0.038598 0.038862 13.72 13.90 Credit Suisse USA, Inc. 2254M0CR5 02/18/11 02/18/21 100.000 VARIES 2.0492 0.012158 0.011708 0.011253 0.010793 3.74 4.01 Credit Suisse USA, Inc. 2254M0DD5 02/28/11 05/28/13 100.000 0.000 1.5362 0.042674 0.042834 0.043163 0.043495 0.043829 12.89 15.62 Credit Suisse USA, Inc. 2254M0GM2 07/29/11 07/29/16 100.000 VARIES 0.9093 0.001648 0.001656 0.001663 .25 .60 Credit Suisse USA, Inc. 2254M0H58 08/17/11 08/17/17 100.000 VARIES 1.2913 0.026678 0.026850 0.027023 3.57 9.68 Credit Suisse USA, Inc. 2254M0HK5 08/18/11 08/18/16 100.000 VARIES 1.4617 0.004882 0.004831 0.004779 .65 1.73 Credit Suisse USA, Inc. 2254M0HM1 08/26/11 08/26/17 100.000 VARIES 1.7291 0.000364 0.000367 0.000370 .05 .13 Credit Suisse USA, Inc. 2254M0HP4 09/06/11 09/06/18 100.000 VARIES 1.6149 0.000083 0.000081 0.000079 .01 .03 Credit Suisse USA, Inc. 2254M0HV1 09/13/11 09/13/16 100.000 VARIES 1.4720 0.003975 0.003932 0.003890 .43 1.41 Credit Suisse USA, Inc. 2254M0J64 09/15/11 09/15/14 100.000 VARIES 1.3976 0.015850 0.015796 0.015741 1.68 5.68 Credit Suisse USA, Inc. 2254M0JB3 09/30/11 09/30/14 100.000 VARIES 1.0663 0.015648 0.015731 0.015815 1.42 5.66 City of Crest Hill, IL 225903BX0 12/01/10 05/01/23 94.618 4.800 5.4004 .26 0.008606 0.008800 0.009038 0.009282 0.009532 3.16 3.33 Crosstex Energy, L.P. 22764LAA1 02/10/10 02/15/18 97.907 8.875 9.2505 1.66 0.005294 0.005539 0.005796 0.006064 0.006344 2.02 2.21 Crosstex Energy, L.P. 22764LAB9 02/10/10 02/15/18 97.907 8.875 9.2505 1.66 0.005294 0.005539 0.005796 0.006064 0.006344 2.02 2.21 Da-Lite screen Co., Inc. 233393AD9 03/24/10 04/15/15 97.305 12.500 13.2477 3.08 0.011662 0.012434 0.013258 0.014136 0.015072 4.46 5.07 Commnty Unit SD #429, IL 240847GK3 03/17/10 01/15/12 100.000 0.000 1.2395 0.034571 0.034785 0.035001 12.56 .49 Commnty Unit SD #429, IL 240847GL1 03/17/10 01/15/13 100.000 0.000 1.8589 0.051953 0.052436 0.052923 0.053415 0.053911 18.95 19.30 De Witt Ford, IL 242015EL5 11/04/09 12/01/11 100.419 VARIES 3.7522 0.107112 0.107298 35.38 De Witt Ford, IL 242015EQ4 10/28/10 12/01/13 100.029 VARIES 2.3589 0.065686 0.066461 0.065546 0.065541 0.065536 23.78 23.60 Deutsche Bank AG 25152C197 07/31/07 07/29/11 100.000 0.000 5.1754 0.167556 0.171892 35.63 Deutsche Bank AG 25152C338 06/29/07 06/30/11 100.000 0.000 5.3500 0.178802 32.01 Deutsche Bank AG 25152C411 05/31/07 05/31/11 100.000 0.000 5.2220 0.173738 25.89 Deutsche Bank AG 25152C551 04/30/07 04/29/11 100.000 0.000 4.9528 0.163254 19.26 Deutsche Bank AG 25152C601 01/31/07 01/31/11 100.000 0.000 5.1384 0.170469 4.94 Deutsche Bank AG 25152C791 02/28/07 02/29/12 100.000 0.000 5.0466 0.165979 0.167393 0.173502 61.77 10.24 Deutsche Bank AG 25152CCG9 02/03/05 02/03/12 100.000 0.000 4.3481 0.153023 0.156350 0.159749 56.68 5.11 Deutsche Bank AG 25152CDN3 08/30/05 09/02/11 100.000 VARIES 4.5019 0.125850 0.125456 30.26 Deutsche Bank AG 25152CER3 01/31/06 02/02/11 100.000 0.000 4.9465 0.171243 5.31 Deutsche Bank AG 25152CHY5 01/05/07 01/06/12 100.000 0.000 5.0371 0.166555 0.170750 0.175051 62.20 .88 Deutsche Bank AG 25153Q138 07/31/07 01/31/11 100.000 0.000 5.0770 0.163918 4.75 Deutsche Bank AG 25153Q609 09/28/07 09/30/13 100.000 0.000 4.9679 0.159931 0.163904 0.167975 0.172147 0.176424 59.02 61.99 Deutsche Bank AG 25154K239 08/12/09 02/12/13 100.000 0.000 2.6600 0.075869 0.076878 0.077900 0.078936 0.079986 27.78 28.52 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Deutsche Bank AG 2515A02U6 03/05/10 09/08/14 100.000 0.000 2.3900 0.067197 0.068000 0.068812 0.069634 0.070467 24.52 25.11 Deutsche Bank AG 2515A0AY9 02/20/07 02/20/22 100.000 VARIES 5.3403 0.138307 0.137093 0.136281 0.135448 0.134592 49.31 48.69 Deutsche Bank AG 2515A0C92 04/30/09 04/30/14 100.000 VARIES 3.7553 0.106412 0.106129 0.105840 0.105547 0.105247 38.22 38.01 Deutsche Bank AG 2515A0FC2 09/05/07 09/05/17 100.000 VARIES 5.2125 0.131869 0.129514 0.127098 0.125135 0.126257 46.50 45.30 Deutsche Bank AG 2515A0FN8 11/30/07 05/31/12 100.000 0.000 4.1077 0.128908 0.131555 0.134257 47.05 20.00 Deutsche Bank AG 2515A0GL1 12/24/07 06/24/13 100.000 0.000 4.1474 0.130307 0.133009 0.135768 0.138583 0.141457 47.44 49.42 Deutsche Bank AG 2515A0HD8 11/29/07 11/29/12 100.000 0.000 4.2034 0.132284 0.135064 0.137903 0.140801 48.30 45.75 Deutsche Bank AG 2515A0HS5 11/16/07 05/16/11 100.000 0.000 4.3899 0.138912 18.75 Deutsche Bank AG 2515A0HW6 11/29/07 09/29/11 100.000 0.000 4.0964 0.127652 0.130267 34.68 Deutsche Bank AG 2515A0HY2 12/13/07 12/13/11 100.000 0.000 4.2850 0.135172 0.138069 46.75 Deutsche Bank AG 2515A0L68 07/23/09 07/23/15 100.000 0.000 4.4552 0.129333 0.132214 0.135159 0.138170 0.141248 48.00 50.16 Deutsche Bank AG 2515A0LY7 12/21/07 12/21/11 100.000 0.000 4.2264 0.133098 0.135910 47.09 Deutsche Bank AG 2515A0MA8 12/27/07 12/27/11 100.000 0.000 4.2565 0.134161 0.137016 48.28 Deutsche Bank AG 2515A0MF7 01/29/08 01/31/11 100.000 0.000 3.0570 0.091624 2.66 Deutsche Bank AG 2515A0MH3 01/29/08 01/29/13 100.000 0.000 3.4575 0.104635 0.106444 0.108285 0.110157 0.112061 38.55 39.89 Deutsche Bank AG 2515A0MM2 01/25/08 01/25/13 100.000 0.000 3.4550 0.104555 0.106361 0.108199 0.110068 0.111969 38.53 39.88 Deutsche Bank AG 2515A0MT7 02/08/08 08/10/11 100.000 0.000 3.0462 0.091279 0.092669 20.24 Deutsche Bank AG 2515A0N25 08/03/09 08/03/11 100.000 0.000 1.5225 0.042939 0.043266 9.16 Deutsche Bank AG 2515A0NN9 03/20/08 03/22/12 100.000 0.000 3.4000 0.102770 0.104517 0.106294 37.66 8.61 Deutsche Bank AG 2515A0NP4 03/20/08 03/22/12 100.000 0.000 2.9999 0.089788 0.091135 0.092502 32.83 7.49 Deutsche Bank AG 2515A0NZ2 07/07/08 07/07/14 100.000 0.000 5.6904 0.176842 0.181873 0.187048 0.192370 0.197844 66.34 70.17 Deutsche Bank AG 2515A0PB3 06/24/08 06/23/11 100.000 0.000 4.0990 0.126004 21.67 Deutsche Bank AG 2515A0PD9 06/25/08 12/27/12 100.000 0.000 4.4215 0.137043 0.140073 0.143170 0.146335 49.91 51.54 Deutsche Bank AG 2515A0PM9 05/30/08 05/30/12 100.000 0.000 4.0000 0.122676 0.125130 0.127632 44.76 19.02 Deutsche Bank AG 2515A0Q89 08/28/09 08/28/29* 100.000 VARIES 4.1634 0.107663 0.106177 25.25* Deutsche Bank AG 2515A0R62 11/30/09 11/30/12 100.000 1.683 1.6829 0.046750 0.046750 0.046750 0.046750 16.83 15.38 Deutsche Bank AG 2515A0R70 11/30/09 11/28/14 100.000 2.791 2.7909 0.077528 0.077528 0.077528 0.077528 0.077528 27.91 27.91 Deutsche Bank AG 2515A0RP0 02/04/09 02/04/14 100.000 VARIES 2.1662 0.058728 0.058739 0.058852 0.059020 0.059226 21.16 21.27 Deutsche Bank AG 2515A0RU9 09/17/08 09/16/13 100.000 0.000 3.8059 0.113988 0.116158 0.118368 0.120620 0.122916 41.89 43.50 Deutsche Bank AG 2515A0S61 09/23/09 09/24/12 100.000 0.000 2.1657 0.061472 0.062138 0.062811 0.063491 22.38 16.64 Deutsche Bank AG 2515A0VL4 11/04/09 11/04/11 100.000 0.000 1.3174 0.037079 0.037323 11.28 Deutsche Bank AG 2515A0VZ3 12/03/09 12/05/12 100.000 0.000 1.7995 0.050895 0.051353 0.051815 0.052281 18.43 17.39 Deutsche Bank AG 2515A0Y23 03/24/10 03/25/13 100.000 0.000 1.8011 0.050486 0.050941 0.051400 0.051863 0.052330 18.34 18.68 Diamond Resorts Corp. 25272PAA0 08/13/10 08/15/18 97.513 12.000 12.5004 .73 0.005270 0.005599 0.005949 0.006321 0.006716 2.05 2.31 Diamond Resorts Corp. 25272PAB8 08/13/10 08/15/18 97.513 12.000 12.5004 .73 0.005270 0.005599 0.005949 0.006321 0.006716 2.05 2.31 Diamond Resorts Corp. 25272PAC6 08/13/10 08/15/18 97.513 12.000 12.5004 .73 0.005270 0.005599 0.005949 0.006321 0.006716 2.05 2.31 Diversey Holdings, Inc. 255099AA1 11/24/09 05/15/20* 96.000 VARIES N/A 0.411303 0.418874 0.304122 135.68* Domtar Corporation 257559AB0 11/19/07 12/01/13 93.400 5.375 6.7237 30.82 0.030722 0.031755 0.032823 0.033926 0.035067 11.31 12.08 Domtar Corporation 257559AG9 06/09/09 06/01/17 96.157 10.750 11.4987 5.10 0.010056 0.010634 0.011246 0.011892 0.012576 3.76 4.20 Douglas Cnty SD #302, IL 258741BP1 11/30/10 12/01/13 99.896 VARIES 2.3941 0.066440 0.067235 0.066383 0.066413 0.066443 24.06 23.91 Douglas Cnty SD #302, IL 258741BQ9 11/30/10 12/01/14 107.319 VARIES 2.9881 0.089086 0.090417 0.087407 0.086700 0.085982 32.26 31.30 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Douglas Cnty SD #302, IL 258741BR7 11/30/10 12/01/15 107.706 VARIES 3.3886 0.101392 0.103110 0.099758 0.099095 0.098421 36.76 35.75 Douglas Cnty SD #302, IL 258741BS5 11/30/10 12/01/16 109.259 VARIES 3.5892 0.108944 0.110900 0.107219 0.106526 0.105821 39.52 38.43 Downtown Dallas Dev Auth 261149BE7 11/07/07 08/15/12 77.223 0.000 5.4882 143.75 0.136805 0.140559 0.144417 0.148380 50.96 33.06 Downtown Dallas Dev Auth 261149BF4 11/07/07 08/15/13 72.742 0.000 5.5885 138.07 0.131577 0.135254 0.139033 0.142918 0.146912 49.04 51.82 Downtown Dallas Dev Auth 261149BG2 11/07/07 08/15/14 68.074 0.000 5.7585 133.44 0.127464 0.131135 0.134910 0.138795 0.142791 47.56 50.34 Downtown Dallas Dev Auth 261149BH0 11/07/07 08/15/15 63.688 0.000 5.8886 127.89 0.122374 0.125977 0.129686 0.133504 0.137435 45.70 48.43 Downtown Dallas Dev Auth 261149BJ6 11/07/07 08/15/16 59.688 0.000 5.9687 121.62 0.116500 0.119977 0.123557 0.127245 0.131042 43.53 46.16 Downtown Dallas Dev Auth 261149BK3 11/07/07 08/15/17 55.746 0.000 6.0689 115.65 0.110932 0.114298 0.117767 0.121340 0.125022 41.47 44.03 Downtown Dallas Dev Auth 261149BL1 11/07/07 08/15/18 52.073 0.000 6.1490 109.58 0.105217 0.108451 0.111786 0.115223 0.118765 39.35 41.81 Downtown Dallas Dev Auth 261149BM9 11/07/07 08/15/19 48.734 0.000 6.1989 103.45 0.099403 0.102484 0.105661 0.108936 0.112312 37.19 39.53 Downtown Dallas Dev Auth 261149BN7 11/07/07 08/15/20 45.395 0.000 6.2791 97.72 0.093992 0.096943 0.099986 0.103126 0.106363 35.18 37.43 Drummond Company, Inc. 262277AC0 10/20/09 10/15/14* 98.053 9.000 9.4992 3.90 0.009567 0.010022 0.010498 3.15* DuPage County, IL SDN99 263417GR2 04/04/02 02/01/11 55.425 0.000 6.7986 440.27 0.182644 5.48 Duarte, Calif Redev Agy 263594AB9 06/16/92 12/01/12 16.484 0.000 9.0085 679.88 0.209806 0.219256 0.229132 0.239453 77.81 77.47 Dynegy Holdings, Inc. 26816LBA9 12/01/09 06/01/15 85.000 7.500 11.2291 22.92 0.063357 0.066914 0.070671 0.074639 0.078830 23.67 26.40 Dynegy Holdings, Inc. 26816LBB7 12/01/09 06/01/15 85.000 7.500 11.2291 22.92 0.063357 0.066914 0.070671 0.074639 0.078830 23.67 26.40 East Orange NJ 274137WT1 04/14/03 04/01/22 29.893 0.000 6.4698 189.67 0.086413 0.089208 0.092094 0.095073 0.098149 32.12 34.24 East Orange NJ 274137WU8 04/14/03 04/01/23 27.886 0.000 6.4999 177.96 0.081163 0.083801 0.086525 0.089337 0.092240 30.18 32.17 East Orange NJ 274137WV6 04/14/03 04/01/24 26.105 0.000 6.5100 166.92 0.076152 0.078630 0.081190 0.083832 0.086561 28.31 30.19 East Orange NJ 274137WW4 04/14/03 04/01/25 24.381 0.000 6.5300 156.49 0.071445 0.073777 0.076186 0.078674 0.081242 26.57 28.33 East Orange NJ 274137WX2 04/14/03 04/01/26 22.763 0.000 6.5498 146.66 0.067002 0.069196 0.071462 0.073803 0.076220 24.92 26.58 East Orange NJ 274137WY0 04/14/03 04/01/27 21.292 0.000 6.5600 137.45 0.062815 0.064876 0.067004 0.069201 0.071471 23.36 24.92 East Orange NJ 274137WZ7 04/14/03 04/01/28 19.913 0.000 6.5699 128.79 0.058879 0.060813 0.062811 0.064874 0.067005 21.90 23.36 Eastern Comm College, IA 276540XS5 06/18/09 06/01/11 103.810 4.000 2.0010 0.056134 8.42 Eastern Comm College, IA 276540XT3 06/18/09 06/01/12 103.664 4.000 2.7007 0.076445 0.075977 0.075502 27.41 11.33 Eastern Comm College, IA 276540XU0 06/18/09 06/01/13 103.700 4.000 3.0004 0.085337 0.084951 0.084558 0.084160 0.083756 30.63 30.35 Eastern Comm College, IA 276540XV8 06/01/09 06/01/14 103.173 4.000 3.3062 0.093931 0.093647 0.093358 0.093064 0.092766 33.75 33.54 Eastern Comm College, IA 276540XW6 06/01/09 06/01/15 102.124 4.000 3.6031 0.101725 0.101556 0.101384 0.101208 0.101030 36.58 36.46 Eksportfinans ASA 282645UV0 05/03/10 02/05/16 100.000 0.000 2.8500 0.079743 0.080880 0.082032 0.083201 0.084387 29.25 30.09 Eksportfinans ASA 28264QR97 01/28/10 02/28/11 100.000 0.000 0.5673 0.015724 .91 EL Paso Corporation 28336LAA7 02/28/01 02/28/21 45.289 0.000 4.0000 215.85 0.072903 0.073149 0.075432 0.076104 0.078913 26.97 28.16 EL Paso Corporation 28336LAC3 02/28/01 02/28/21 45.289 0.000 4.0000 215.85 0.072903 0.073149 0.075432 0.076104 0.078913 26.97 28.16 EL Paso Corporation 28336LBS7 12/12/08 12/12/13 88.909 12.000 15.2500 36.03 0.058091 0.062521 0.067288 0.072419 0.077941 21.88 25.35 EL Paso Corporation 28336LBT5 02/09/09 02/15/16 95.535 8.250 9.1255 9.46 0.014888 0.015567 0.016278 0.017020 0.017797 5.67 6.20 Electronic Data SYS Corp 285661AB0 10/10/01 10/10/21 77.941 VARIES 5.3200 0.179991 0.183345 0.187798 0.192369 0.198144 66.96 70.43 Electronic Data SYS Corp 285661AE4 06/30/03 07/15/23 100.000 VARIES 5.7999 0.187620 0.189940 0.192326 0.194241 0.196211 68.74 70.23 Electronic Data SYS Corp 285661AF1 06/30/03 07/15/23 100.000 VARIES 5.7999 0.187620 0.189940 0.192326 0.194241 0.196211 68.74 70.23 Encore Acquisition Co. 29255WAJ9 04/27/09 05/01/16 92.228 9.500 11.1255 13.65 0.024893 0.026278 0.027740 0.029283 0.030912 9.38 10.45 Energy XXI Gulf Coast 29276KAL5 05/06/10 06/15/14* 70.120 16.000 N/A 0.582201 9.90* Essex Cnty Util Auth 296816AY7 03/30/99 04/01/12 60.121 0.000 3.9516 351.10 0.103510 0.105555 0.107640 38.00 9.69 Euronet Worldwide, Inc. 298736AE9 10/04/05 10/15/25 100.000 VARIES 8.5029 0.305048 0.312214 0.321422 0.331022 0.342903 113.93 121.07 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Euronet Worldwide, Inc. 298736AF6 10/04/05 10/15/25 100.000 VARIES 8.5029 0.305048 0.312214 0.321422 0.331022 0.342903 113.93 121.07 European Investment Bank 298785DW3 03/10/06 03/10/21 44.672 0.000 5.4449 131.72 0.086043 0.088386 0.090792 0.093264 0.095803 31.92 33.69 First Citizens Bancorp 30244CAC0 03/24/98 03/15/28 100.000 8.250 8.2499 0.229167 0.229167 0.229167 0.229167 0.229167 82.50 82.50 FPL Group Inc. 302570BF2 05/26/09 06/01/14 98.500 VARIES 4.3841 0.121309 0.121776 0.122253 0.122741 0.122509 43.78 44.11 FPL Group Inc. 302570BK1 09/21/10 09/01/15 98.500 VARIES 2.7001 0.073879 0.074132 0.074421 0.074713 0.075009 26.71 26.91 FPL Group Inc. 302571609 05/26/09 06/01/14 98.500 VARIES 4.3841 0.121309 0.121776 0.122253 0.122741 0.122509 43.78 44.11 Freddie Mac 3128X0AS8 10/03/02 01/02/13 63.710 0.000 4.4476 278.57 0.110680 0.113141 0.115657 0.118229 0.120858 41.18 43.03 Freddie Mac 3128X0AT6 10/03/02 01/02/22 36.810 0.000 5.2599 196.71 0.080422 0.082537 0.084707 0.086935 0.089222 30.10 31.70 Freddie Mac 3128X0AU3 10/03/02 01/02/30 23.710 0.000 5.3523 129.41 0.053079 0.054500 0.055958 0.057456 0.058993 19.88 20.96 Freddie Mac 3128X0AV1 10/03/02 04/15/32 21.010 0.000 5.3530 114.70 0.047757 0.049035 0.050348 0.051695 0.053079 17.62 18.58 Freddie Mac 3128X0AW9 10/03/02 06/15/32 20.810 0.000 5.3554 113.67 0.047755 0.049033 0.050346 0.051694 0.053079 17.46 18.41 Freddie Mac 3128X0AX7 10/03/02 09/15/32 20.510 0.000 5.3601 112.16 0.046503 0.047749 0.049029 0.050343 0.051692 17.23 18.17 Freddie Mac 3128X0AY5 10/03/02 12/15/32 20.210 0.000 5.3650 110.64 0.046497 0.047744 0.049025 0.050340 0.051690 17.00 17.93 Freddie Mac 3128X0AZ2 10/03/02 01/02/34 19.160 0.000 5.3582 104.72 0.042960 0.044110 0.045292 0.046506 0.047752 16.09 16.96 Freddie Mac 3128X2SD8 01/30/04 04/01/11 74.840 0.000 4.0828 241.60 0.111144 10.00 Freddie Mac 3128X2SE6 01/30/04 10/01/11 72.645 0.000 4.2100 242.84 0.112174 0.114535 30.71 Freddie Mac 3128X2SF3 01/30/04 04/01/12 70.491 0.000 4.3258 243.05 0.112692 0.115129 0.117620 41.45 10.59 Freddie Mac 3128X2SG1 01/30/04 10/01/12 68.379 0.000 4.4321 242.42 0.112782 0.115281 0.117836 0.120447 41.51 32.29 Freddie Mac 3128X2SH9 01/30/04 04/01/13 66.275 0.000 4.5362 241.31 0.112640 0.115195 0.117807 0.120479 0.123212 41.48 43.38 Freddie Mac 3128X2SJ5 01/30/04 10/01/13 64.227 0.000 4.6310 239.49 0.112131 0.114727 0.117384 0.120102 0.122883 41.31 43.24 Freddie Mac 3128X2SK2 01/30/04 04/01/14 62.210 0.000 4.7217 237.23 0.111394 0.114024 0.116716 0.119471 0.122292 41.05 43.02 Freddie Mac 3128X2SL0 01/30/04 10/01/14 60.256 0.000 4.8040 234.42 0.110366 0.113017 0.115732 0.118512 0.121358 40.69 42.67 Freddie Mac 3128X2SM8 01/30/04 04/01/15 58.361 0.000 4.8793 231.19 0.109106 0.111767 0.114494 0.117288 0.120149 40.24 42.23 Freddie Mac 3128X2SN6 01/30/04 10/01/15 56.535 0.000 4.9468 227.56 0.107625 0.110287 0.113015 0.115810 0.118674 39.71 41.70 Freddie Mac 3128X2SP1 01/30/04 04/01/16 54.741 0.000 5.0126 223.76 0.106049 0.108707 0.111431 0.114224 0.117087 39.14 41.13 Freddie Mac 3128X2SQ9 01/30/04 10/01/16 52.987 0.000 5.0758 219.79 0.104373 0.107022 0.109738 0.112523 0.115379 38.53 40.51 Freddie Mac 3128X2SR7 01/30/04 04/01/17 51.299 0.000 5.1327 215.58 0.102561 0.105193 0.107893 0.110662 0.113502 37.88 39.84 Freddie Mac 3128X2SS5 01/30/04 10/01/17 49.661 0.000 5.1861 211.24 0.100667 0.103277 0.105955 0.108703 0.111522 37.19 39.14 Freddie Mac 3128X2ST3 01/30/04 04/01/18 48.064 0.000 5.2374 206.83 0.098723 0.101308 0.103961 0.106683 0.109477 36.48 38.41 Freddie Mac 3128X2SU0 01/30/04 10/01/18 46.530 0.000 5.2834 202.30 0.096702 0.099256 0.101878 0.104570 0.107332 35.74 37.65 Freddie Mac 3128X2SV8 01/30/04 04/01/19 45.040 0.000 5.3272 197.73 0.094650 0.097171 0.099759 0.102416 0.105144 34.99 36.88 Freddie Mac 3128X2SW6 01/30/04 10/01/19 43.600 0.000 5.3679 193.13 0.092567 0.095052 0.097603 0.100222 0.102912 34.22 36.09 Freddie Mac 3128X2SX4 01/30/04 04/01/20 42.215 0.000 5.4047 188.51 0.090457 0.092902 0.095412 0.097991 0.100639 33.45 35.28 Freddie Mac 3128X2SY2 01/30/04 10/01/20 40.880 0.000 5.4384 183.90 0.088336 0.090738 0.093205 0.095740 0.098343 32.67 34.47 Freddie Mac 3128X34E0 03/01/05 03/28/13 70.400 0.000 4.3936 203.22 0.109480 0.111885 0.114343 0.116855 0.119422 40.30 42.09 Freddie Mac 3128X44Z1 04/20/06 06/28/12 72.625 0.000 5.2343 199.58 0.134555 0.138077 0.141691 49.10 25.08 Freddie Mac 3128X4AC5 04/19/05 04/15/14 65.973 0.000 4.6809 199.16 0.110586 0.113174 0.115823 0.118534 0.121308 40.67 42.60 Freddie Mac 3128X4AD3 04/19/05 12/15/14 63.722 0.000 4.7214 194.24 0.108819 0.111388 0.114017 0.116709 0.119464 39.72 41.62 Freddie Mac 3128X4AE1 04/19/05 04/15/17 56.285 0.000 4.8518 176.92 0.098690 0.101084 0.103537 0.106048 0.108621 36.33 38.11 Freddie Mac 3128X4FV8 08/04/05 06/01/11 77.489 0.000 4.4255 207.07 0.120272 18.04 Freddie Mac 3128X4GA3 08/04/05 12/01/11 75.722 0.000 4.4446 203.32 0.118153 0.120779 39.46 Freddie Mac 3128X4GD7 08/04/05 06/01/12 73.943 0.000 4.4715 199.87 0.116237 0.118836 0.121493 42.47 18.22 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Freddie Mac 3128X4GG0 08/04/05 12/01/12 72.215 0.000 4.4929 196.25 0.114192 0.116757 0.119380 0.122062 41.73 39.88 Freddie Mac 3128X4GK1 08/04/05 06/01/13 70.468 0.000 4.5226 192.91 0.112340 0.114880 0.117478 0.120134 0.122851 41.05 42.93 Freddie Mac 3128X4HU8 08/12/05 01/10/13 71.011 0.000 4.6724 200.61 0.115636 0.118338 0.121102 0.123932 0.126827 43.05 45.08 Freddie Mac 3128X4S77 03/24/06 06/20/16 59.540 0.000 5.1280 162.71 0.107822 0.110586 0.113422 0.116330 0.119313 39.38 41.42 Freddie Mac 3128X4U41 03/28/06 04/09/14 66.671 0.000 5.1122 181.10 0.119008 0.122050 0.125170 0.128370 0.131651 43.90 46.17 Freddie Mac 3128X4W56 04/04/06 04/04/36* 14.255 0.000 6.6001 51.42 0.035004 0.036159 9.76* Freddie Mac 3128X52H0 04/03/07 04/02/37 21.177 0.000 5.2421 45.30 0.036955 0.037923 0.038917 0.039937 0.040984 13.65 14.38 Freddie Mac 3128X52U1 04/04/07 07/31/14 70.210 0.000 4.8862 139.20 0.111894 0.114628 0.117429 0.120298 0.123237 41.61 43.67 Freddie Mac 3128X52W7 04/05/07 01/10/12 79.775 0.000 4.7983 154.82 0.124137 0.127115 0.130165 46.26 1.17 Freddie Mac 3128X53Z9 04/13/07 04/30/13 74.533 0.000 4.9196 147.64 0.121022 0.123999 0.127049 0.130174 0.133376 44.47 46.69 Freddie Mac 3128X54N5 04/18/07 12/30/14 68.522 0.000 4.9690 136.63 0.113424 0.116242 0.119131 0.122090 0.125124 41.35 43.43 Freddie Mac 3128X55E4 05/04/07 05/04/37 16.728 0.000 6.0499 40.78 0.034633 0.035681 0.036760 0.037872 0.039018 12.78 13.56 Freddie Mac 3128X55H7 04/27/07 11/30/12 76.622 0.000 4.8161 146.76 0.121635 0.124564 0.127564 0.130635 44.50 42.52 Freddie Mac 3128X55L8 05/01/07 05/10/12 78.630 0.000 4.8418 150.84 0.125182 0.128212 0.131316 45.92 16.94 Freddie Mac 3128X5DU9 07/11/06 08/15/12 72.660 0.000 5.3088 191.97 0.132797 0.136322 0.139941 0.143655 49.41 32.02 Freddie Mac 3128X5DV7 07/11/06 05/15/12 73.645 0.000 5.3020 194.32 0.136161 0.139771 0.143476 50.00 19.23 Freddie Mac 3128X5EQ7 06/30/06 06/30/36* 12.330 0.000 7.1002 45.51 0.033288 5.96* Freddie Mac 3128X5ES3 06/29/06 06/29/12 72.129 0.000 5.5200 200.56 0.141308 0.145208 0.149216 51.59 26.56 Freddie Mac 3128X5FD5 07/13/06 12/28/12 70.884 0.000 5.3995 190.49 0.134828 0.138468 0.142206 0.146045 49.22 51.46 Freddie Mac 3128X5FH6 07/19/06 12/31/12 71.004 0.000 5.3796 189.36 0.134382 0.137997 0.141709 0.145520 49.04 51.56 Freddie Mac 3128X5FS2 07/21/06 06/28/13 69.242 0.000 5.3695 183.90 0.130648 0.134156 0.137757 0.141456 0.145253 47.69 50.28 Freddie Mac 3128X5HF8 08/10/06 01/31/11 79.500 0.000 5.1924 200.92 0.140585 4.08 Freddie Mac 3128X5HG6 08/10/06 10/31/12 72.515 0.000 5.2285 184.76 0.130992 0.134417 0.137931 0.141537 48.20 41.89 Freddie Mac 3128X5LH9 09/29/06 02/29/12 77.393 0.000 4.7840 0.123108 0.123998 0.128359 45.74 7.57 Freddie Mac 3128X5LK2 10/02/06 10/02/34 24.784 0.000 5.0446 58.43 0.042388 0.043457 0.044553 0.045677 0.046829 15.64 16.44 Freddie Mac 3128X5MY1 10/25/06 05/30/14 68.360 0.000 5.0693 159.34 0.118184 0.121179 0.124251 0.127400 0.130629 43.27 45.49 Freddie Mac 3128X5P69 03/09/07 09/15/15 66.760 0.000 4.8010 132.37 0.105199 0.107724 0.110310 0.112958 0.115669 38.87 40.76 Freddie Mac 3128X5Q43 03/14/07 12/01/12 76.253 0.000 4.8003 150.60 0.121273 0.124184 0.127164 0.130217 44.36 42.51 Freddie Mac 3128X5Q76 03/14/07 06/01/12 78.159 0.000 4.7812 153.70 0.123726 0.126683 0.129712 45.25 19.46 Freddie Mac 3128X5Q84 03/14/07 12/01/11 80.074 0.000 4.7686 157.02 0.126365 0.129378 42.24 Freddie Mac 3128X5Q92 03/14/07 06/01/11 82.025 0.000 4.7562 160.39 0.129050 19.36 Freddie Mac 3128X5R26 03/14/07 06/01/13 74.414 0.000 4.8117 147.34 0.118680 0.121535 0.124459 0.127453 0.130520 43.41 45.53 Freddie Mac 3128X5UN6 12/19/06 11/28/12 75.500 0.000 4.7858 158.74 0.120941 0.123835 0.126799 0.129833 44.25 42.01 Freddie Mac 3128X6AX4 05/24/07 09/30/14 69.050 0.000 5.1017 137.54 0.115851 0.118806 0.121836 0.124944 0.128131 42.78 44.99 Freddie Mac 3128X6EC6 06/14/07 08/31/12 75.547 0.000 5.4515 159.18 0.135235 0.136657 0.141924 0.144208 50.45 34.91 Freddie Mac 3128X6EQ5 06/22/07 06/22/37 12.693 0.000 7.0001 34.84 0.031402 0.032501 0.033638 0.034816 0.036034 11.52 12.34 Freddie Mac 3128X6FL5 07/13/07 07/13/37 12.693 0.000 7.0001 34.20 0.030340 0.031402 0.032501 0.033638 0.034816 11.48 12.29 Freddie Mac 3128X6GT7 07/10/07 09/30/14 67.455 0.000 5.5250 140.80 0.123411 0.126820 0.130324 0.133924 0.137624 45.67 48.23 Freddie Mac 3128X6HU3 07/20/07 09/28/18 54.270 0.000 5.5370 112.55 0.099360 0.102111 0.104938 0.107843 0.110829 36.78 38.85 Freddie Mac 3128X6JM9 07/31/07 08/01/11 81.360 0.000 5.2205 156.83 0.137730 0.141325 29.57 Freddie Mac 3128X6JN7 07/31/07 08/01/12 77.040 0.000 5.2825 150.40 0.132206 0.135698 0.139282 0.142961 49.28 29.91 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Freddie Mac 3128X6JY3 08/03/07 09/01/11 81.672 0.000 5.0260 150.79 0.132851 0.136190 32.49 Freddie Mac 3128X6JZ0 08/03/07 10/06/11 81.295 0.000 5.0204 149.95 0.132710 0.136041 37.09 Freddie Mac 3128X6KX3 08/22/07 02/28/12 80.662 0.000 4.8063 139.82 0.123642 0.124549 0.129659 46.04 7.52 Freddie Mac 3128X6NN2 10/02/07 05/10/13 77.376 0.000 4.6276 124.01 0.114653 0.117306 0.120020 0.122797 0.125639 42.03 43.99 Freddie Mac 3128X6PP5 10/11/07 07/02/15 68.530 0.000 4.9512 117.04 0.107697 0.110363 0.113096 0.115896 0.118765 40.22 42.23 Freddie Mac 3128X6QB5 10/19/07 08/31/15 68.362 0.000 4.8939 114.69 0.106160 0.106984 0.110807 0.112284 0.116939 39.47 41.58 Freddie Mac 3128X6QE9 10/19/07 08/30/13 76.143 0.000 4.7019 122.36 0.112364 0.114377 0.117066 0.119818 0.123309 41.96 44.12 Freddie Mac 3128X6QQ2 11/01/07 06/28/13 77.875 0.000 4.4676 117.00 0.111123 0.113605 0.116143 0.118737 0.121390 40.47 42.29 Freddie Mac 3128X6RF5 12/18/07 02/15/12 84.080 0.000 4.2125 113.53 0.109923 0.112238 0.114603 40.63 5.04 Freddie Mac 3128X6TL0 12/20/07 08/15/13 80.325 0.000 3.9128 100.16 0.096762 0.098655 0.100585 0.102553 0.104559 35.69 37.11 Freddie Mac 3128X6WP7 12/21/07 12/21/37 22.860 0.000 4.9802 36.72 0.036654 0.037567 0.038502 0.039461 0.040443 13.38 14.05 Freddie Mac 3128X74S0 11/04/08 11/15/38 26.387 0.000 4.4860 26.53 0.035981 0.036788 0.037613 0.038457 0.039320 13.17 13.77 Freddie Mac 3128X75U4 11/24/08 11/15/38 27.529 0.000 4.3499 26.09 0.036215 0.037003 0.037807 0.038630 0.039470 13.25 13.84 Freddie Mac 3128X7A61 06/05/08 10/10/14 76.930 0.000 4.1743 86.34 0.098292 0.100344 0.102438 0.104576 0.106759 36.09 37.61 Freddie Mac 3128X7LV4 05/13/08 07/01/12 87.140 0.000 3.3575 79.88 0.088722 0.090211 0.091726 32.21 16.51 Freddie Mac 3128X7N59 06/30/08 06/30/38 21.820 0.000 5.1394 29.55 0.035364 0.036273 0.037205 0.038161 0.039141 12.90 13.57 Freddie Mac 3128X7Y57 09/11/08 02/01/11 93.027 0.000 3.0478 67.23 0.083392 2.50 Freddie Mac 3128X7Y65 09/11/08 02/01/12 89.190 0.000 3.4039 72.18 0.087933 0.090912 0.090952 33.10 2.82 Freddie Mac 3128X8D58 05/13/09 07/15/11 97.122 0.000 1.3486 21.56 0.036962 0.037211 7.22 Freddie Mac 3128X8DG4 12/29/08 02/15/39 40.774 0.000 2.9999 25.11 0.035666 0.036201 0.036744 0.037295 0.037854 13.08 13.48 Freddie Mac 3128X93E8 04/12/10 04/12/35* 24.327 0.000 5.7350 10.13 0.039866 4.03* Freddie Mac 3128X97E4 04/16/10 08/31/11 99.046 0.000 0.6996 4.94 0.019193 0.018946 4.60 Freddie Mac 3128X97F1 04/16/10 11/30/11 98.577 0.000 0.8838 6.20 0.024335 0.024442 8.03 Freddie Mac 3128X97G9 04/16/10 02/29/12 98.020 0.000 1.0708 7.51 0.028793 0.029107 0.028944 10.59 1.71 Freddie Mac 3128X97H7 04/16/10 05/31/12 97.410 0.000 1.2393 8.61 0.033423 0.033446 0.033653 12.21 5.08 Freddie Mac 3128X9B33 03/02/10 03/02/35* 23.800 0.000 5.8251 11.65 0.039632 2.42* Freddie Mac 3128X9DH0 09/15/09 03/01/12 96.062 0.000 1.6390 20.52 0.044427 0.044791 0.045159 16.15 2.71 Freddie Mac 3128X9E63 03/15/10 03/15/30* 32.813 0.000 5.6500 14.88 0.052954 3.92* Freddie Mac 3128X9E71 03/22/10 03/22/35* 23.371 0.000 5.9000 10.80 0.039433 3.19* Freddie Mac 3128X9MF4 11/10/09 09/15/36 29.930 0.000 4.5438 15.79 0.039245 0.040137 0.041049 0.041981 0.042935 14.48 15.15 Freddie Mac 3128X9MG2 11/10/09 12/15/36 29.600 0.000 4.5433 15.60 0.039246 0.040137 0.041049 0.041982 0.042935 14.32 14.98 Freddie Mac 3128X9NC0 11/12/09 03/25/11 99.240 0.000 0.5578 6.30 0.015452 1.30 Freddie Mac 3128X9P46 03/25/10 02/01/12 98.364 0.000 0.8935 6.75 0.024490 0.024600 0.024709 8.87 .74 Freddie Mac 3128X9UD0 02/04/10 02/04/30* 32.496 0.000 5.6999 17.04 0.052918 1.75* Freddie Mac 3128X9V31 03/12/10 02/15/12 98.173 0.000 0.9600 7.58 0.026289 0.026415 0.026542 9.52 1.17 Freddie Mac 3128X9XC9 02/22/10 02/22/35* 23.829 0.000 5.8201 12.05 0.039646 2.02* Freddie Mac 3128X9ZS2 03/02/10 03/02/35* 23.888 0.000 5.8099 11.66 0.039672 2.42* Freddie Mac 3128X9ZU7 03/10/10 08/01/12 96.790 0.000 1.3686 10.74 0.036996 0.037249 0.037504 0.037760 13.44 7.92 Freddie Mac 312902LX5 12/17/99 12/17/29 14.255 0.000 6.6001 149.39 0.053386 0.055148 0.056968 0.058848 0.060790 19.59 20.90 Freddie Mac 312902VG1 04/25/00 01/04/21 25.643 0.000 6.6857 261.36 0.093101 0.096214 0.099430 0.102754 0.106189 35.20 37.59 Freddie Mac 312902VH9 04/25/00 01/04/22 24.042 0.000 6.6795 244.73 0.087155 0.090066 0.093074 0.096182 0.099395 32.95 35.18 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Freddie Mac 312902VJ5 04/25/00 01/04/23 22.536 0.000 6.6749 229.19 0.081602 0.084325 0.087139 0.090048 0.093053 30.85 32.94 Freddie Mac 312902VK2 04/25/00 01/04/24 21.145 0.000 6.6664 214.67 0.076403 0.078950 0.081582 0.084301 0.087111 28.88 30.84 Freddie Mac 312902VL0 04/25/00 01/04/25 20.007 0.000 6.6235 201.33 0.071523 0.073891 0.076338 0.078867 0.081478 27.03 28.85 Freddie Mac 312902VM8 04/25/00 01/04/26 18.780 0.000 6.6160 188.69 0.067010 0.069227 0.071517 0.073883 0.076327 25.32 27.02 Freddie Mac 312902VN6 04/25/00 01/04/27 17.654 0.000 6.6033 176.91 0.062794 0.064867 0.067009 0.069222 0.071507 23.73 25.32 Freddie Mac 312902VS5 04/25/00 01/04/12 46.161 0.000 6.7212 473.91 0.169075 0.174757 0.180630 63.93 .54 Freddie Mac 312902VT3 04/25/00 01/04/13 43.203 0.000 6.7221 443.63 0.158278 0.163598 0.169097 0.174780 0.180655 59.85 63.94 Freddie Mac 312902VU0 04/25/00 01/04/14 40.436 0.000 6.7227 415.27 0.148161 0.153142 0.158289 0.163610 0.169109 56.03 59.86 Freddie Mac 312902VV8 04/25/00 01/04/18 31.141 0.000 6.7034 318.55 0.113561 0.117368 0.121302 0.125367 0.129569 42.94 45.86 Freddie Mac 312902VW6 04/25/00 01/04/19 29.163 0.000 6.7017 298.22 0.106303 0.109865 0.113547 0.117351 0.121284 40.19 42.93 Freddie Mac 312902VX4 04/25/00 01/04/20 27.313 0.000 6.6997 279.18 0.099510 0.102844 0.106289 0.109849 0.113529 37.62 40.19 Freddie Mac 312902WJ4 04/25/00 01/04/11 49.272 0.000 6.7297 506.74 0.180853 .54 Freddie Mac 312902WK1 04/25/00 01/04/15 37.975 0.000 6.6992 388.13 0.138339 0.142973 0.147762 0.152712 0.157827 52.30 55.87 Freddie Mac 312902WL9 04/25/00 01/04/16 35.607 0.000 6.6893 363.19 0.129394 0.133721 0.138194 0.142816 0.147593 48.92 52.25 Freddie Mac 312902WM7 04/25/00 01/04/17 33.256 0.000 6.7048 340.29 0.121316 0.125383 0.129587 0.133931 0.138421 45.87 49.00 Freddie Mac 312923CN3 01/10/01 08/17/12 61.750 1.000 5.5038 313.33 0.112234 0.115323 0.118496 0.121757 41.80 27.37 Federal Home Loan Banks 3133704F2 07/09/10 07/15/11 100.000 0.000 0.4494 0.012486 0.012514 2.43 Federal Home Loan Banks 313371AN6 10/19/10 10/19/15 100.000 VARIES 1.5154 0.042095 0.041572 0.041308 0.041358 0.041461 15.00 14.89 Federal Home Loan Banks 313371H74 10/22/10 11/16/11 100.000 0.000 0.2997 0.008327 0.008340 2.63 Federal Home Loan Banks 313371W28 12/15/10 12/15/15* 100.000 VARIES 1.5977 0.044381 0.043681 11.21* Federal Home Loan Banks 3133722U7 12/28/10 12/28/15* 100.000 VARIES 1.7559 0.048778 0.047880 12.94* Federal Home Loan Banks 3133726U3 12/28/10 12/28/15* 100.000 VARIES 1.8831 0.052310 0.050906 13.84* Federal Home Loan Banks 313372A53 01/14/11 01/14/16* 100.000 VARIES 2.0817 0.057828 0.056189 15.47* Federal Home Loan Banks 313372BB9 01/07/11 01/07/16* 100.000 VARIES 2.1606 0.060018 0.058303 16.05* Federal Home Loan Banks 313372KD5 02/03/11 02/28/12 100.000 0.320 0.3199 0.008889 0.008889 0.008989 2.91 .51 Federal Home Loan Banks 3133734F6 04/15/11 04/15/16 100.000 VARIES 2.5160 0.069889 0.070489 0.071096 0.071403 17.94 25.55 Federal Home Loan Banks 3133736X5 03/30/11 03/30/16 100.000 VARIES 2.4313 0.067537 0.068065 0.068598 0.068868 18.35 24.67 Federal Home Loan Banks 3133737L0 04/13/11 04/13/17 100.000 VARIES 2.7757 0.077103 0.077849 0.078606 0.079065 19.95 28.26 Federal Home Loan Banks 313373B84 04/13/11 04/13/17 100.000 VARIES 2.7757 0.077103 0.077849 0.078606 0.079065 19.95 28.26 Federal Home Loan Banks 313373D74 04/21/11 04/21/16 100.000 VARIES 2.4737 0.068714 0.069277 0.069847 0.070136 17.22 25.10 Federal Home Loan Banks 313373DU3 04/25/11 04/25/14 100.000 VARIES 1.3833 0.038427 0.038564 0.038702 0.038703 9.46 13.92 Federal Home Loan Banks 313373JP8 05/03/11 05/03/16* 100.000 VARIES 2.1983 0.061064 10.99* Federal Home Loan Banks 313373NU2 04/28/11 04/28/15 100.000 VARIES 2.3656 0.065711 0.066194 0.066683 0.066850 16.00 23.96 Federal Home Loan Banks 313373UX8 06/01/11 06/01/16* 100.000 VARIES 1.9198 0.053329 9.60* Federal Home Loan Banks 313373YM8 05/26/11 11/26/14 100.000 VARIES 1.7361 0.048227 0.048513 0.048705 0.048802 10.38 17.51 Federal Home Loan Banks 313374CU2 07/06/11 07/06/18 100.000 VARIES 2.0867 0.057966 0.058352 0.058742 10.14 21.07 Federal Home Loan Banks 313374N30 07/20/11 07/20/16 100.000 VARIES 1.7367 0.048243 0.047426 0.047114 7.77 17.04 Federal Home Loan Banks 313374N89 07/19/11 07/19/16 100.000 VARIES 1.8050 0.050140 0.049339 0.049032 8.12 17.73 Federal Home Loan Banks 313374NG1 07/19/11 07/19/16 100.000 VARIES 1.7626 0.048963 0.048140 0.047829 7.93 17.29 Federal Home Loan Banks 313374NV8 07/19/11 07/19/16 100.000 VARIES 1.8158 0.050440 0.049447 0.049140 8.17 17.77 Federal Home Loan Banks 313374PK0 07/27/11 07/27/16 100.000 VARIES 1.9074 0.052985 0.051900 0.051534 8.16 18.66 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Banks 313374PM6 07/19/11 07/19/16 100.000 VARIES 1.8551 0.051532 0.050464 0.050160 8.35 18.14 Federal Home Loan Banks 3133752R7 08/15/11 08/15/16* 100.000 VARIES 1.7105 0.047514 4.28* Federal Home Loan Banks 313375LW5 09/01/11 09/04/12 100.000 0.000 0.2198 0.006107 0.006107 0.006113 .73 1.49 Federal Home Loan Banks 313376GF6 11/17/11 05/15/13 100.000 0.000 0.3095 0.008598 0.008611 0.008625 .38 3.10 Freddie Mac 3134A1BU3 09/25/96 06/01/16 23.214 0.000 7.5580 437.01 0.139605 0.144881 0.150356 0.156038 0.161935 51.53 55.50 Freddie Mac 3134A1CT5 10/21/96 09/15/16 23.550 0.000 7.3996 425.23 0.132914 0.137832 0.142931 0.148220 0.153703 49.80 53.55 Freddie Mac 3134A1DL1 11/01/96 02/01/16 25.038 0.000 7.3237 443.44 0.136968 0.141984 0.147183 0.152573 0.158160 51.74 55.60 Freddie Mac 3134A1FK1 11/20/96 09/03/19 20.641 0.000 7.0454 342.21 0.104945 0.108642 0.112469 0.116431 0.120533 39.33 42.15 Freddie Mac 3134A1H60 10/22/97 06/03/24 16.813 0.000 6.8126 238.80 0.076602 0.079212 0.081910 0.084700 0.087585 28.20 30.15 Freddie Mac 3134A1HH6 12/23/96 12/01/15 26.483 0.000 7.1396 443.51 0.139651 0.144636 0.149799 0.155147 0.160686 51.48 55.22 Freddie Mac 3134A1HU7 12/27/96 12/02/19 19.720 0.000 7.2067 334.64 0.105854 0.109668 0.113620 0.117714 0.121955 39.02 41.88 Freddie Mac 3134A1JD3 12/31/96 12/01/14 28.804 0.000 7.0673 473.86 0.148697 0.153952 0.159392 0.165024 0.170856 54.80 58.74 Freddie Mac 3134A1MX5 02/12/97 02/01/14 30.030 0.000 7.2159 503.43 0.156401 0.162044 0.167890 0.173948 0.180224 59.04 63.38 Freddie Mac 3134A1MY3 02/12/97 02/01/20 19.238 0.000 7.3061 328.77 0.102642 0.106391 0.110278 0.114306 0.118482 38.77 41.66 Freddie Mac 3134A1MZ0 02/12/97 03/01/16 25.716 0.000 7.2560 434.88 0.136191 0.141132 0.146253 0.151559 0.157057 51.13 54.90 Freddie Mac 3134A1NA4 02/12/97 01/02/19 20.877 0.000 7.2857 355.24 0.110154 0.114167 0.118326 0.122637 0.127104 41.84 44.94 Freddie Mac 3134A1X39 12/11/97 06/01/15 33.207 0.000 6.4099 424.78 0.134043 0.138339 0.142773 0.147349 0.152071 49.29 52.50 Freddie Mac 3134A2G77 12/28/98 11/15/28 20.230 0.000 5.4198 182.24 0.057496 0.059054 0.060654 0.062298 0.063986 21.12 22.28 Freddie Mac 3134A2HF8 06/30/98 11/24/14 38.078 0.000 5.9744 414.26 0.131138 0.135056 0.139090 0.143245 0.147524 48.21 51.13 Freddie Mac 3134A2HG6 06/30/98 12/11/25 19.896 0.000 5.9699 216.21 0.068620 0.070669 0.072778 0.074950 0.077188 25.16 26.68 Freddie Mac 3134A2NQ7 07/30/98 08/15/14 37.992 0.000 6.1246 423.85 0.133654 0.137747 0.141965 0.146313 0.150793 49.98 53.09 Freddie Mac 3134A3D29 09/09/99 08/15/27 14.928 0.000 6.9258 173.23 0.060463 0.062557 0.064723 0.066964 0.069283 22.72 24.32 Freddie Mac 3134A3ZU3 08/02/99 12/14/29 15.469 0.000 6.2410 157.31 0.053931 0.055614 0.057350 0.059139 0.060985 19.78 21.03 Freddie Mac 3134G14R2 03/14/11 03/14/36 24.535 0.000 5.6999 0.038847 0.039954 0.041093 0.042264 11.27 14.84 Freddie Mac 3134G14S0 03/14/11 03/14/36 24.535 0.000 5.6999 0.038847 0.039954 0.041093 0.042264 11.27 14.84 Freddie Mac 3134G16F6 03/07/11 03/07/36 25.758 0.000 5.4999 0.039352 0.040434 0.041546 0.042689 11.69 15.01 Freddie Mac 3134G1A38 12/09/10 12/09/15 100.000 VARIES 1.5522 0.043119 0.042419 0.042263 0.042322 0.042424 15.38 15.23 Freddie Mac 3134G1A79 12/03/10 12/03/15 100.000 VARIES 1.5667 0.043520 0.042936 0.042782 0.042737 0.042800 15.54 15.39 Freddie Mac 3134G1B37 12/10/10 12/10/15* 100.000 VARIES 1.6590 0.046084 0.045314 11.41* Freddie Mac 3134G1B45 12/10/10 12/10/15* 100.000 VARIES 1.6721 0.046449 0.045647 11.49* Freddie Mac 3134G1BT0 04/23/10 07/15/11 99.343 0.000 0.5375 3.68 0.014851 0.014891 2.89 Freddie Mac 3134G1BU7 04/23/10 02/15/12 98.295 0.000 0.9516 6.45 0.026061 0.026185 0.026309 9.44 1.16 Freddie Mac 3134G1C85 12/23/10 12/23/15 100.000 VARIES 1.6590 0.046084 0.045314 0.044998 0.045084 0.045198 16.44 16.22 Freddie Mac 3134G1D27 12/10/10 12/10/15* 100.000 VARIES 1.6277 0.045215 0.044453 11.19* Freddie Mac 3134G1EA8 05/10/10 06/10/15 88.082 0.000 2.5118 14.24 0.062360 0.063144 0.063937 0.064740 0.065553 22.62 23.20 Freddie Mac 3134G1EF7 05/25/10 11/30/12 96.828 0.000 1.2849 7.53 0.034409 0.034441 0.034662 0.034885 12.57 11.62 Freddie Mac 3134G1F25 12/17/10 12/17/15 100.000 VARIES 1.7374 0.048262 0.047354 0.047041 0.047118 0.047226 17.19 16.95 Freddie Mac 3134G1F33 12/22/10 12/22/15 100.000 VARIES 1.7690 0.049141 0.048151 0.047840 0.047925 0.048042 17.50 17.24 Freddie Mac 3134G1F41 12/15/10 12/15/15 100.000 VARIES 1.7374 0.048262 0.047354 0.047041 0.047118 0.047226 17.19 16.95 Freddie Mac 3134G1F58 12/22/10 12/22/15 100.000 VARIES 1.7374 0.048262 0.047354 0.047041 0.047118 0.047226 17.20 16.95 Freddie Mac 3134G1F66 12/23/10 12/23/15 100.000 VARIES 1.7643 0.049011 0.047973 0.047661 0.047775 0.047921 17.45 17.18 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Freddie Mac 3134G1F82 12/21/10 12/21/40* 21.979 0.000 5.1145 .31 0.031226 0.032025 11.07* Freddie Mac 3134G1G65 12/30/10 12/30/15 100.000 VARIES 1.8431 0.051198 0.050070 0.049667 0.049773 0.049944 18.23 17.90 Freddie Mac 3134G1G99 12/28/10 12/28/40* 20.819 0.000 5.3000 .09 0.030650 0.031463 11.09* Freddie Mac 3134G1GH1 07/01/10 05/15/13 95.662 0.000 1.5498 7.42 0.041421 0.041742 0.042066 0.042392 0.042720 15.00 15.23 Freddie Mac 3134G1H31 01/13/11 01/13/34 32.115 0.000 4.9999 0.044604 0.045719 0.046862 0.048033 15.71 17.05 Freddie Mac 3134G1H49 12/21/10 12/21/40* 21.545 0.000 5.1827 .31 0.031017 0.031821 11.00* Freddie Mac 3134G1H56 12/29/10 12/29/15 100.000 VARIES 1.8431 0.051198 0.050070 0.049667 0.049773 0.049944 18.23 17.90 Freddie Mac 3134G1HB3 06/30/10 06/30/15* 100.000 VARIES 2.4954 0.068798 6.12* Freddie Mac 3134G1K78 12/30/10 12/30/15 100.000 VARIES 1.7379 0.048278 0.047309 0.046996 0.047103 0.047240 17.20 16.94 Freddie Mac 3134G1K94 12/30/10 12/30/15 100.000 VARIES 1.7251 0.047921 0.046896 0.046672 0.046775 0.046909 17.07 16.82 Freddie Mac 3134G1M27 12/29/10 12/29/15 100.000 VARIES 1.7775 0.049377 0.048273 0.048023 0.048111 0.048261 17.57 17.30 Freddie Mac 3134G1M50 12/30/10 12/30/15 100.000 VARIES 1.8432 0.051201 0.050041 0.049670 0.049776 0.049947 18.22 17.90 Freddie Mac 3134G1MN1 08/02/10 08/02/40 21.240 0.000 5.2315 4.60 0.030866 0.031673 0.032502 0.033352 0.034225 11.50 12.11 Freddie Mac 3134G1N34 12/29/10 12/29/15 100.000 VARIES 1.9355 0.053764 0.052403 0.052036 0.052137 0.052305 19.11 18.75 Freddie Mac 3134G1N59 12/29/10 12/29/15 100.000 VARIES 1.9355 0.053764 0.052403 0.052036 0.052137 0.052305 19.11 18.75 Freddie Mac 3134G1N67 12/30/10 12/30/15 100.000 VARIES 1.9486 0.054130 0.052763 0.052364 0.052468 0.052641 19.24 18.87 Freddie Mac 3134G1NL4 07/19/10 02/15/12 99.130 0.000 0.5565 2.48 0.015331 0.015373 0.015416 5.54 .68 Freddie Mac 3134G1NW0 08/03/10 08/03/40 23.576 0.000 4.8749 4.72 0.031925 0.032704 0.033501 0.034317 0.035154 11.87 12.45 Freddie Mac 3134G1NY6 08/19/10 02/15/12 99.230 0.000 0.5198 1.89 0.014326 0.014365 0.014402 5.17 .63 Freddie Mac 3134G1SL9 09/10/10 09/10/15* 100.000 VARIES 1.6223 0.045066 0.044744 11.16* Freddie Mac 3134G1TJ3 09/24/10 09/24/40 27.661 0.000 4.3300 3.23 0.033270 0.033991 0.034727 0.035478 0.036246 12.25 12.78 Freddie Mac 3134G1TV6 09/27/10 09/27/40 26.782 0.000 4.4400 3.10 0.033031 0.033765 0.034514 0.035281 0.036064 12.16 12.71 Freddie Mac 3134G1UN2 09/28/10 09/28/40 26.315 0.000 4.4999 3.06 0.032894 0.033634 0.034391 0.035164 0.035955 12.11 12.67 Freddie Mac 3134G1VL5 10/05/10 10/05/40* 23.072 0.000 4.9487 2.73 0.031716 0.032501 8.83* Freddie Mac 3134G1VW1 10/15/10 10/15/15 100.000 VARIES 1.5144 0.042067 0.041650 0.041387 0.041385 0.041435 15.02 14.90 Freddie Mac 3134G1WC4 10/28/10 10/28/15 100.000 VARIES 1.5309 0.042527 0.041949 0.041696 0.041792 0.041888 15.15 15.04 Freddie Mac 3134G1XY5 11/18/10 05/15/15 94.752 0.000 1.2037 1.36 0.031680 0.031871 0.032062 0.032255 0.032449 11.46 11.59 Freddie Mac 3134G1YT5 11/09/10 11/09/40 22.728 0.000 5.0000 1.64 0.031567 0.032356 0.033165 0.033994 0.034844 11.59 12.18 Freddie Mac 3134G1YZ1 11/16/10 11/16/40 22.728 0.000 5.0000 1.42 0.031567 0.032356 0.033165 0.033994 0.034844 11.58 12.16 Freddie Mac 3134G1ZF4 11/23/10 11/23/40 22.398 0.000 5.0500 1.19 0.031420 0.032213 0.033026 0.033860 0.034715 11.51 12.10 Freddie Mac 3134G1ZR8 12/02/10 12/02/15 100.000 VARIES 1.4369 0.039916 0.039505 0.039339 0.039372 0.039406 14.28 14.17 Freddie Mac 3134G1ZT4 12/09/10 12/09/15 100.000 VARIES 1.4945 0.041517 0.040996 0.040784 0.040829 0.040916 14.84 14.69 Freddie Mac 3134G1ZW7 12/01/10 12/01/15 100.000 VARIES 1.3705 0.038071 0.037561 0.037562 0.037610 0.037658 13.60 13.53 Freddie Mac 3134G1ZX5 11/23/10 11/23/40 22.486 0.000 5.0366 1.20 0.031459 0.032252 0.033064 0.033897 0.034750 11.53 12.12 Freddie Mac 3134G25L2 11/10/11 06/01/13 99.553 0.000 0.2876 0.007917 0.007957 0.007968 0.007980 .40 2.87 Freddie Mac 3134G25M0 11/10/11 07/01/13 99.495 0.000 0.3086 0.008525 0.008533 0.008546 .43 3.07 Freddie Mac 3134G25N8 11/10/11 08/01/13 99.428 0.000 0.3328 0.009182 0.009199 0.009214 .47 3.31 Freddie Mac 3134G25P3 11/10/11 09/01/13 99.353 0.000 0.3592 0.009908 0.009926 0.009943 .51 3.57 Freddie Mac 3134G25Q1 11/10/11 10/01/13 99.288 0.000 0.3780 0.010422 0.010443 0.010463 .53 3.76 Freddie Mac 3134G25R9 11/10/11 12/01/13 99.135 0.000 0.4225 0.011613 0.011638 0.011662 0.011687 .59 4.20 Freddie Mac 3134G25S7 11/10/11 01/01/14 99.053 0.000 0.4447 0.012236 0.012245 0.012272 .62 4.41 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Freddie Mac 3134G25T5 11/10/11 02/01/14 98.967 0.000 0.4671 0.012841 0.012857 0.012887 .65 4.63 Freddie Mac 3134G25U2 11/10/11 03/01/14 98.890 0.000 0.4841 0.013292 0.013318 0.013350 .68 4.80 Freddie Mac 3134G25V0 11/10/11 04/01/14 98.810 0.000 0.5011 0.013749 0.013782 0.013817 .70 4.96 Freddie Mac 3134G25W8 11/10/11 05/01/14 98.725 0.000 0.5191 0.014231 0.014272 0.014309 .73 5.14 Freddie Mac 3134G25X6 11/10/11 06/01/14 98.634 0.000 0.5383 0.014748 0.014754 0.014794 0.014834 .75 5.32 Freddie Mac 3134G25Y4 11/10/11 07/01/14 98.551 0.000 0.5532 0.015130 0.015158 0.015200 .77 5.46 Freddie Mac 3134G25Z1 11/10/11 08/01/14 98.462 0.000 0.5695 0.015571 0.015598 0.015642 .79 5.62 Freddie Mac 3134G26B3 11/10/11 09/01/14 98.368 0.000 0.5867 0.016031 0.016062 0.016109 .82 5.79 Freddie Mac 3134G26C1 11/10/11 10/01/14 98.283 0.000 0.5998 0.016373 0.016414 0.016463 .84 5.91 Freddie Mac 3134G26D9 11/10/11 11/01/14 98.186 0.000 0.6162 0.016806 0.016858 0.016910 .86 6.07 Freddie Mac 3134G26E7 11/10/11 12/01/14 98.101 0.000 0.6278 0.017097 0.017116 0.017170 0.017223 .87 6.17 Freddie Mac 3134G26F4 11/10/11 01/01/15 97.981 0.000 0.6502 0.017694 0.017714 0.017772 .90 6.39 Freddie Mac 3134G2AC6 03/28/11 03/28/36 25.758 0.000 5.4999 0.039352 0.040434 0.041546 0.042689 10.84 14.97 Freddie Mac 3134G2B43 09/16/11 03/16/17 100.000 VARIES 1.3955 0.038765 0.038435 0.038267 4.07 13.84 Freddie Mac 3134G2CT7 04/01/11 04/01/14 100.000 VARIES 1.2448 0.034579 0.034686 0.034794 0.034794 9.35 12.52 Freddie Mac 3134G2CV2 04/01/11 04/01/16 100.000 VARIES 2.1989 0.061082 0.061433 0.061788 0.062124 16.52 22.24 Freddie Mac 3134G2E81 09/23/11 09/23/16 100.000 VARIES 1.3464 0.037400 0.037091 0.036990 3.67 13.37 Freddie Mac 3134G2EE8 04/25/11 04/25/36 26.392 0.000 5.4000 0.039588 0.040657 0.041755 0.042882 9.81 14.98 Freddie Mac 3134G2HZ8 05/18/11 08/15/12 99.656 0.000 0.2776 0.007686 0.007692 0.007703 1.71 1.73 Freddie Mac 3134G2JA1 05/18/11 02/15/13 99.131 0.000 0.5017 0.013810 0.013832 0.013867 0.013902 3.08 5.00 Freddie Mac 3134G2JB9 05/18/11 08/15/13 98.365 0.000 0.7366 0.020125 0.020164 0.020239 0.020313 4.49 7.29 Freddie Mac 3134G2JC7 05/18/11 02/15/14 97.359 0.000 0.9785 0.026455 0.026526 0.026655 0.026786 5.91 9.61 Freddie Mac 3134G2JD5 05/18/11 02/15/15 94.531 0.000 1.5086 0.039605 0.039758 0.040058 0.040360 8.85 14.45 Freddie Mac 3134G2JE3 05/18/11 02/15/16 91.147 0.000 1.9642 0.049722 0.049969 0.050459 0.050955 11.12 18.21 Freddie Mac 3134G2LS9 06/28/11 06/28/41 20.819 0.000 5.3000 0.030650 0.031463 0.032296 0.033152 5.61 11.48 Freddie Mac 3134G2N40 09/19/11 08/01/13 99.354 0.000 0.3474 0.009589 0.009602 0.009619 .98 3.46 Freddie Mac 3134G2N57 09/19/11 02/15/15 97.686 0.000 0.6886 0.018681 0.018738 0.018802 1.91 6.75 Freddie Mac 3134G2N65 09/19/11 08/01/15 96.933 0.000 0.8071 0.021729 0.021799 0.021887 2.22 7.86 Freddie Mac 3134G2NU2 06/23/11 10/01/13 98.610 0.000 0.6169 0.016894 0.016927 0.016979 0.017032 3.18 6.11 Freddie Mac 3134G2TW2 08/17/11 08/17/37 26.289 0.000 5.2051 0.038010 0.039000 0.040015 5.09 14.13 Freddie Mac 3134G2UK6 08/23/11 08/23/16* 100.000 VARIES 1.7202 0.047785 4.30* Freddie Mac 3134G2UV2 08/24/11 08/24/33 33.740 0.000 5.0000 0.046862 0.048033 0.049234 5.95 17.38 Freddie Mac 3134G2Z62 10/06/11 03/01/14 98.600 0.000 0.5876 0.016089 0.016132 0.016179 1.37 5.81 Fannie Mae 31359MEL3 01/29/99 06/01/17 34.790 0.000 5.8405 343.29 0.111593 0.114852 0.118206 0.121658 0.125211 40.96 43.39 Fannie Mae 31364KSS0 08/17/00 08/17/12 60.070 2.000 6.9636 324.21 0.120237 0.124424 0.128756 0.133239 45.18 29.91 Fannie Mae 3136F1EQ9 12/27/01 03/17/31 16.751 0.000 6.2082 123.16 0.049244 0.050772 0.052348 0.053973 0.055649 18.33 19.48 Fannie Mae 3136F2B31 12/20/02 12/30/32 19.252 0.000 5.5626 106.60 0.046212 0.047497 0.048818 0.050176 0.051572 16.87 17.82 Fannie Mae 3136F3LA2 04/04/03 10/03/33 20.285 0.000 5.2999 101.30 0.044204 0.045375 0.046578 0.047812 0.049079 16.33 17.21 Fannie Mae 3136F3ZC3 06/09/03 12/15/33 23.674 0.000 N/A 0.045161 0.046246 0.047357 0.048495 0.049660 16.49 17.29 Fannie Mae 3136F4R55 01/07/04 12/15/34 18.268 0.000 5.5708 85.46 0.041391 0.042544 0.043729 0.044947 0.046199 15.15 16.00 Fannie Mae 3136F6G86 02/24/05 02/15/15 63.549 0.000 4.5968 193.70 0.104073 0.106465 0.108912 0.111415 0.113976 38.55 40.35 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Fannie Mae 3136F75W3 11/03/06 12/01/11 78.531 0.000 4.8158 172.04 0.127556 0.130628 42.65 Fannie Mae 3136F7J73 06/16/06 07/10/11 84.228 0.000 N/A 0.058529 0.049913 9.51 Fannie Mae 3136F7MB0 11/17/05 06/07/12 73.724 0.000 4.7041 198.32 0.121869 0.124735 0.127669 44.53 19.92 Fannie Mae 3136F7NJ2 11/15/05 02/28/14 67.000 0.000 4.8887 188.50 0.114044 0.114927 0.119030 0.120614 0.125610 42.40 44.67 Fannie Mae 3136F7NM5 11/15/05 11/15/30 26.938 0.000 5.3159 83.18 0.051710 0.053084 0.054495 0.055943 0.057430 18.99 20.01 Fannie Mae 3136F7Q34 07/14/06 10/31/14 63.950 0.000 5.4603 174.11 0.122274 0.125612 0.129041 0.132564 0.136183 45.03 47.52 Fannie Mae 3136F7QX8 01/06/06 10/10/13 69.750 0.000 4.6951 181.72 0.113470 0.116134 0.118861 0.121651 0.124507 41.77 43.75 Fannie Mae 3136F7UM7 02/22/06 10/01/12 96.825 4.318 4.8859 22.34 0.014323 0.014673 0.015032 0.015399 5.28 4.12 Fannie Mae 3136F8JD8 03/16/07 05/31/13 74.650 0.000 4.7639 146.11 0.117637 0.120439 0.123308 0.126245 0.129252 43.03 45.10 Fannie Mae 3136F8JY2 03/30/07 04/10/13 75.160 0.000 4.7935 146.30 0.118283 0.121118 0.124021 0.126994 0.130037 43.56 45.67 Fannie Mae 3136F8LJ2 05/16/07 10/01/29 60.778 0.000 N/A 0.075022 0.074973 0.072139 0.072091 0.067117 26.74 25.51 Fannie Mae 3136F8LW3 05/03/07 06/01/15 75.398 0.000 N/A 0.087291 0.083124 0.082919 0.078427 0.078221 30.54 28.90 Fannie Mae 3136F8NZ4 06/11/07 12/10/14 66.600 0.000 5.4956 141.62 0.122896 0.126273 0.129742 0.133308 0.136971 44.99 47.50 Fannie Mae 3136F8P25 02/08/08 02/08/38 16.973 0.000 6.0000 31.72 0.032081 0.033592 0.034035 0.035441 0.036108 12.27 13.02 Fannie Mae 3136F8QH1 07/11/07 02/28/14 69.767 0.000 5.4960 144.93 0.125582 0.126929 0.131850 0.134001 0.139965 46.86 49.65 Fannie Mae 3136F8QM0 07/30/07 07/30/37 12.693 0.000 7.0001 33.68 0.030340 0.031402 0.032501 0.033638 0.034816 11.44 12.25 Fannie Mae 3136F8RD9 08/09/07 04/10/12 79.420 0.000 4.9945 144.91 0.128841 0.132058 0.135356 47.49 13.40 Fannie Mae 3136F8UT0 11/06/07 05/01/14 95.257 0.000 N/A 0.018739 0.014521 0.011967 0.006258 0.006265 5.58 2.58 Fannie Mae 3136F8XP5 11/20/07 07/10/12 82.235 0.000 4.2600 115.40 0.108768 0.111084 0.113451 0.115867 40.37 21.88 Fannie Mae 3136F8YZ2 12/13/07 02/15/12 85.070 0.000 3.9122 106.78 0.102539 0.104544 0.106589 37.83 4.69 Fannie Mae 3136F92T9 12/30/08 12/30/38 20.417 0.000 5.3667 22.85 0.033838 0.034746 0.035678 0.036636 0.037619 12.35 13.02 Fannie Mae 3136F9A45 08/01/08 07/01/11 89.720 0.000 3.7531 84.38 0.102334 18.42 Fannie Mae 3136F9A52 08/01/08 12/30/11 87.670 0.000 3.8911 85.60 0.104001 0.106025 37.70 Fannie Mae 3136F9A60 08/01/08 06/29/12 85.645 0.000 4.0007 86.07 0.104722 0.106817 0.108953 38.09 19.39 Fannie Mae 3136F9A78 08/01/08 12/31/12 83.605 0.000 4.0950 86.18 0.104893 0.107041 0.109233 0.111469 38.15 39.62 Fannie Mae 3136F9B44 08/07/08 12/01/13 84.261 0.000 N/A 0.081746 0.081469 0.077112 0.076838 0.072279 29.24 27.57 Fannie Mae 3136F9D91 09/04/08 04/01/12 91.994 0.000 N/A 0.058821 0.041325 0.021936 14.71 1.97 Fannie Mae 3136F9E25 09/04/08 04/01/14 83.238 0.000 N/A 0.095264 0.094866 0.094461 0.094047 0.093626 34.15 33.86 Fannie Mae 3136F9FX6 04/03/08 12/30/12 93.811 0.000 N/A 0.019914 0.020195 0.006800 0.006896 7.21 2.47 Fannie Mae 3136F9FY4 04/03/08 06/29/12 93.719 0.000 N/A 0.027126 0.009135 0.009261 6.49 1.65 Fannie Mae 3136F9FZ1 04/03/08 12/29/12 94.297 0.000 N/A 0.016968 0.014191 0.006067 0.004143 5.59 1.83 Fannie Mae 3136FH5F8 08/07/09 12/30/11 96.465 0.000 1.5067 20.49 0.041231 0.041542 14.86 Fannie Mae 3136FHET8 03/23/09 03/23/39* 16.247 0.000 6.1502 18.43 0.030396 2.49* Fannie Mae 3136FHEU5 03/24/09 03/24/39* 16.247 0.000 6.1502 18.40 0.030396 2.52* Fannie Mae 3136FHEY7 03/25/09 03/25/39* 16.778 0.000 6.0397 18.62 0.030777 2.59* Fannie Mae 3136FHHU2 04/08/09 04/08/39* 20.368 0.000 5.3749 19.60 0.032929 0.033814 9.28* Fannie Mae 3136FMFS8 03/29/10 03/29/35* 24.535 0.000 5.6999 10.67 0.039954 3.52* Fannie Mae 3136FMJU9 03/29/10 06/29/12 98.965 0.000 N/A 0.015173 0.007281 0.002113 4.02 .37 Fannie Mae 3136FRET6 03/25/11 11/01/12 99.132 0.000 0.5455 0.015023 0.015031 0.015072 0.015114 4.15 4.53 Fannie Mae 31398AE99 02/09/10 02/09/40 18.203 0.000 5.7599 9.50 0.029964 0.030827 0.031714 0.032628 0.033567 11.19 11.84 Fannie Mae 31398AR38 05/18/10 05/18/35* 24.239 0.000 5.7499 8.68 0.039828 5.46* ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Fannie Mae 31398AS29 06/01/10 06/01/35* 24.238 0.000 5.7501 8.16 0.039827 5.97* Fannie Mae 31398AY30 07/20/10 07/20/40 21.392 0.000 5.2071 4.98 0.030942 0.031748 0.032574 0.033422 0.034292 11.55 12.16 Fannie Mae 31398AY71 07/20/10 07/20/40 21.422 0.000 5.2023 4.98 0.030957 0.031762 0.032588 0.033436 0.034306 11.55 12.16 Fannie Mae 31398AY89 08/10/10 08/10/40 21.076 0.000 5.2580 4.34 0.030783 0.031592 0.032423 0.033275 0.034150 11.46 12.07 FelCor Lodging Limited 31430QAZ0 10/01/09 10/01/14 87.750 10.000 13.4435 23.69 0.056843 0.060664 0.064741 0.069093 0.073737 21.86 24.90 FelCor Lodging Limited 31430QBA4 10/01/09 10/01/14 87.750 10.000 13.4435 23.69 0.056843 0.060664 0.064741 0.069093 0.073737 21.86 24.90 FiberTower Corporation 31567RAF7 12/22/09 01/01/16 100.000 9.000 N/A 0.265623 0.273592 0.281799 0.290253 97.06 102.97 FiberTower Corporation 31567RAG5 12/22/09 01/01/16 100.000 9.000 N/A 0.265623 0.273592 0.281799 0.290253 97.06 102.97 First Data Corporation. 319963AN4 10/24/07 09/24/15 94.796 9.875 10.8718 15.94 0.016310 0.017196 0.018131 0.019117 0.020156 6.21 6.90 First Data Corporation. 319963AP9 10/24/07 09/24/15 94.796 9.875 10.8718 15.94 0.016310 0.017196 0.018131 0.019117 0.020156 6.21 6.90 First Data Corporation. 319963AY0 12/17/10 01/15/21 94.750 8.250 9.0551 .13 0.009159 0.009225 0.009643 0.010079 0.010536 3.39 3.70 First Data Corporation. 319963AZ7 12/17/10 01/15/22 95.625 VARIES N/A 0.257690 0.259635 0.272229 0.285433 0.299279 95.53 104.87 First Data Corporation. 319963BA1 12/15/10 01/15/21 91.875 12.625 14.1624 .17 0.010743 0.010870 0.011640 0.012464 0.013347 4.04 4.62 First Data Corporation. 319963BB9 12/15/10 01/15/21 91.875 12.625 14.1624 .17 0.010743 0.010870 0.011640 0.012464 0.013347 4.04 4.62 Livingston CNTY SD#74,IL 33849YAA9 09/09/10 12/01/11 103.854 0.000 1.7204 0.049828 0.050256 16.52 Livingston CNTY SD#74,IL 33849YAB7 09/09/10 12/01/12 105.832 VARIES 2.2283 0.065841 0.066575 0.063525 0.062716 23.77 20.82 Livingston CNTY SD#74,IL 33849YAC5 09/09/10 12/01/13 106.537 VARIES 2.8306 0.084308 0.085501 0.081846 0.081058 0.080260 30.49 29.28 Livingston CNTY SD#74,IL 33849YAD3 09/09/10 12/01/14 106.763 VARIES 3.2820 0.098062 0.099671 0.095608 0.094898 0.094176 35.52 34.25 Livingston CNTY SD#74,IL 33849YAE1 09/09/10 12/01/15 106.477 VARIES 3.6335 0.108359 0.110328 0.106024 0.105427 0.104819 39.29 38.03 Livingston CNTY SD#74,IL 33849YAF8 09/09/10 12/01/11 103.916 0.000 1.7198 0.049839 0.050267 16.52 Livingston CNTY SD#74,IL 33849YAG6 09/09/10 12/01/12 105.941 VARIES 2.2282 0.065905 0.066639 0.063552 0.062728 23.79 20.82 Livingston CNTY SD#74,IL 33849YAH4 09/09/10 12/01/13 106.692 VARIES 2.8301 0.084418 0.085613 0.081911 0.081104 0.080287 30.53 29.29 Livingston CNTY SD#74,IL 33849YAJ0 09/09/10 12/01/14 106.763 VARIES 3.2820 0.098062 0.099671 0.095608 0.094898 0.094176 35.52 34.25 Livingston CNTY SD#74,IL 33849YAK7 09/09/10 12/01/15 106.477 VARIES 3.6335 0.108359 0.110328 0.106024 0.105427 0.104819 39.29 38.03 Frnkln & Hamltn HSD #103 35241RAF2 03/15/06 11/01/11 71.698 0.000 5.9985 235.05 0.157064 0.161775 47.97 Franklin Cnty SD #47 352730CF0 02/15/07 12/01/13 68.938 0.000 5.5487 163.12 0.130793 0.134422 0.138151 0.141984 0.145923 47.96 50.66 Franklin Cnty SD #47 352730CG8 02/15/07 12/01/14 65.167 0.000 5.5688 154.81 0.124178 0.127635 0.131189 0.134842 0.138596 45.54 48.11 Franklin Cnty SD #47 352730CH6 02/15/07 12/01/15 61.525 0.000 5.5989 147.02 0.118004 0.121308 0.124704 0.128195 0.131784 43.28 45.73 Franklin Cnty SD #47 352730CJ2 02/15/07 12/01/16 57.942 0.000 5.6491 139.82 0.112336 0.115509 0.118771 0.122126 0.125576 41.21 43.57 College District #534 IL 360395FB8 07/22/10 12/01/11 103.252 0.000 2.2048 0.063738 0.064441 21.16 College District #534 IL 360395FC6 07/22/10 12/01/12 105.163 VARIES 2.3712 0.069859 0.070687 0.067279 0.066579 25.22 22.08 College District #534 IL 360395FD4 07/22/10 12/01/13 105.996 VARIES 2.7756 0.082537 0.083683 0.079820 0.079154 0.078479 29.84 28.58 College District #534 IL 360395FE2 07/22/10 12/01/14 106.532 VARIES 3.1773 0.095095 0.096606 0.092201 0.091570 0.090929 34.42 33.04 College District #534 IL 360395FF9 07/22/10 12/01/15 107.053 VARIES 3.5779 0.107762 0.109689 0.104612 0.103999 0.103374 39.05 37.51 College District #534 IL 360395FG7 07/22/10 12/01/16 105.839 VARIES 4.0773 0.121626 0.124105 0.118452 0.117979 0.117496 44.14 42.53 College District #534 IL 360395FH5 07/22/10 12/01/17 105.580 VARIES 4.4767 0.133399 0.136385 0.130013 0.129596 0.129171 48.46 46.70 College District #534 IL 360395FJ1 07/22/10 12/01/18 103.358 VARIES 4.9260 0.143926 0.147471 0.140635 0.140405 0.140168 52.35 50.57 College District #534 IL 360395FK8 07/22/10 12/01/19 103.249 VARIES 5.2255 0.152677 0.156666 0.149141 0.148937 0.148728 55.58 53.64 College District #534 IL 360395FL6 07/22/10 12/01/20 101.888 VARIES 5.4261 0.156558 0.160805 0.153104 0.152999 0.152892 57.02 55.09 GWR Operating Partnershp 361990AA2 04/07/10 04/01/17 95.347 10.875 11.8737 3.34 0.013109 0.013887 0.014711 0.015585 0.016510 5.00 5.62 GATX Financial Corp. 36804PAC0 10/25/04 06/15/11 95.703 6.273 7.0956 39.35 0.022069 3.62 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GATX Financial Corp. 36804PAD8 10/25/04 06/15/11 95.703 6.273 7.0956 39.35 0.022069 3.62 GATX Financial Corp. 36804PAE6 10/25/04 06/15/11 95.703 6.273 7.0956 39.35 0.022069 3.62 General Cable Corp. 369300AL2 12/18/09 11/15/29 100.000 VARIES 12.5014 0.373209 0.388724 0.405208 0.422723 0.441333 138.62 150.69 GMAC 37042FDC9 01/16/97 01/15/12 34.258 0.000 7.2720 585.94 0.181477 0.188076 0.194914 68.75 2.73 Goldman Sachs Group,Inc. 38141GBW3 02/01/02 02/01/12 100.000 0.000 6.6999 0.325875 0.336791 0.348074 122.61 10.44 Goldman Sachs Group,Inc. 38141GCB8 04/08/02 04/08/12 100.000 2.000 6.6499 0.280794 0.288283 0.296021 103.70 28.71 Goldman Sachs Group,Inc. 38141GCC6 04/10/02 04/10/12 100.000 2.500 6.7200 0.275035 0.281943 0.289083 101.39 28.62 Goldman Sachs Group,Inc. 38141GCD4 04/29/02 04/29/12 100.000 3.500 6.8099 0.259676 0.265208 0.270928 95.18 31.97 Goldman Sachs Group,Inc. 38141GCE2 07/03/02 07/03/12 100.000 3.000 6.3397 0.236179 0.241024 0.246023 0.251180 87.65 45.70 Goldman Sachs Group,Inc. 38141GCJ1 09/16/02 09/16/12 100.000 2.500 5.5999 0.203396 0.207147 0.211003 0.214966 74.70 54.52 Goldman Sachs Group,Inc. 38141GCK8 10/28/02 10/28/12 100.000 3.000 5.7299 0.202496 0.205910 0.209422 0.213035 73.95 62.85 Goldman Sachs Group,Inc. 38141GCV4 02/28/03 02/28/13 100.000 0.000 5.1699 0.209430 0.211341 0.219187 0.222409 0.231940 77.99 82.38 Goldman Sachs Group,Inc. 38141GCW2 02/27/03 02/27/13 100.000 0.500 5.1499 0.203024 0.207895 0.212890 0.218014 0.223271 75.19 78.85 Goldman Sachs Group,Inc. 38141GCX0 03/05/03 03/05/13 100.000 0.000 5.0499 0.203909 0.209057 0.214336 0.219748 0.225297 75.54 79.41 Goldman Sachs Group,Inc. 38141GCZ5 04/21/03 04/18/13 100.000 0.000 5.1500 0.209385 0.214777 0.220307 0.225980 0.231799 77.15 81.17 Goldman Sachs Group,Inc. 38141GDC5 04/21/03 04/21/13 100.000 2.250 5.1500 0.180456 0.183493 0.186609 0.189804 0.193082 65.94 68.21 Goldman Sachs Group,Inc. 38141GDF8 05/30/03 05/30/13 100.000 0.000 4.6300 0.181288 0.185485 0.189779 0.194172 0.198667 66.28 69.39 Goldman Sachs Group,Inc. 38141GDG6 06/11/03 06/11/13 100.000 3.000 4.2499 0.130930 0.131942 0.132975 0.134030 0.135107 47.36 48.10 Goldman Sachs Group,Inc. 38141GDH4 06/20/03 06/20/13 100.000 0.250 4.3500 0.164217 0.167637 0.171132 0.174704 0.178352 59.81 62.33 Goldman Sachs Group,Inc. 38141GDL5 08/07/03 08/07/11 100.000 0.000 5.0600 0.199417 0.204462 43.98 Goldman Sachs Group,Inc. 38141GDS0 04/13/04 06/13/11 100.000 0.000 4.6749 0.176727 28.63 Goldman Sachs Group,Inc. 38141GDW1 11/23/04 11/23/11 100.000 2.000 4.5999 0.150436 0.152619 48.83 Goldman Sachs Group,Inc. 38141GDY7 01/11/05 01/11/12 100.000 1.000 4.7300 0.161768 0.164937 0.168181 59.90 1.68 Goldman Sachs Group,Inc. 38141GEB6 02/15/05 02/15/12 100.000 2.000 4.5499 0.146275 0.148339 0.150450 53.60 6.62 Goldman Sachs Group,Inc. 38141GEC4 06/29/05 06/29/12 100.000 1.000 4.6499 0.158332 0.161367 0.164473 57.56 29.28 Goldman Sachs Group,Inc. 38141GEN0 06/28/06 06/28/11 100.000 0.125 5.8999 0.211867 37.50 Goldman Sachs Group,Inc. 38141GFF6 12/28/07 12/28/17 100.000 0.000 5.8500 0.193187 0.198838 0.204654 0.210640 0.216802 70.60 74.79 Goldman Sachs Group,Inc. 38141GGH1 10/26/09 03/05/13 100.000 0.000 1.0049 0.028156 0.028297 0.028440 0.028583 0.028726 10.19 10.30 Goldman Sachs Group,Inc. 3814262A2 11/04/09 11/06/14 100.000 0.000 3.0642 0.087763 0.089107 0.090472 0.091859 0.093266 31.99 32.97 Goldman Sachs Group,Inc. 3814262B0 11/30/09 11/30/14 100.000 0.000 2.9158 0.083375 0.084591 0.085824 0.087075 0.088345 30.31 31.20 Goldman Sachs Group,Inc. 3814262C8 12/04/09 12/08/14 100.000 0.000 2.9817 0.085342 0.086614 0.087905 0.089216 0.090546 31.01 31.94 Goldman Sachs Group,Inc. 3814262D6 12/31/09 12/31/14 100.000 0.000 2.8111 0.080298 0.081427 0.082572 0.083732 0.084909 29.11 29.94 Goldman Sachs Group,Inc. 3814262E4 12/29/09 06/26/15 100.000 0.000 2.9758 0.085119 0.086386 0.087671 0.088976 0.090300 30.88 31.81 Goldman Sachs Group,Inc. 3814262F1 02/03/10 02/05/15 100.000 0.000 2.7204 0.076607 0.077649 0.078705 0.079776 0.080861 28.07 28.84 Goldman Sachs Group,Inc. 3814262H7 01/29/10 07/30/15 100.000 0.000 2.8531 0.080390 0.081537 0.082700 0.083880 0.085077 29.50 30.34 Goldman Sachs Group,Inc. 3814262J3 02/26/10 08/27/15 100.000 0.000 2.8595 0.080575 0.081727 0.082896 0.084081 0.085283 29.50 30.35 Goldman Sachs Group,Inc. 3814262K0 03/03/10 03/05/15 100.000 0.000 2.5727 0.072396 0.073327 0.074271 0.075226 0.076194 26.45 27.13 Goldman Sachs Group,Inc. 3814262L8 03/31/10 10/01/15 100.000 0.000 2.4854 0.069904 0.070773 0.071652 0.072543 0.073444 25.48 26.12 Goldman Sachs Group,Inc. 3814262M6 05/05/10 05/07/15 100.000 0.000 2.6855 0.075612 0.076627 0.077656 0.078699 0.079756 27.51 28.26 Goldman Sachs Group,Inc. 3814262N4 03/31/10 03/31/15 100.000 0.000 2.7100 0.076299 0.077333 0.078381 0.079443 0.080519 27.84 28.60 Goldman Sachs Group,Inc. 381426Y58 06/03/09 06/05/14 100.000 0.000 3.4499 0.100897 0.102637 0.104408 0.106209 0.108041 36.73 38.01 Goldman Sachs Group,Inc. 381426Z40 07/06/09 07/08/14 100.000 0.000 3.4489 0.099155 0.100865 0.102605 0.104374 0.106174 36.60 37.87 Goldman Sachs Group,Inc. 381426Z65 08/05/09 08/07/14 100.000 0.000 3.2499 0.093250 0.094765 0.096305 0.097870 0.099460 34.28 35.41 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 381426Z73 09/09/09 09/09/14 100.000 0.000 3.0499 0.087325 0.088656 0.090008 0.091381 0.092775 31.98 32.96 Goldman Sachs Group,Inc. 381426Z81 10/05/09 10/07/14 100.000 0.000 3.1498 0.090289 0.091711 0.093155 0.094622 0.096113 33.00 34.05 Goldman Sachs Group,Inc. 381426Z99 09/30/09 09/30/14 100.000 0.000 3.0503 0.087335 0.088667 0.090019 0.091392 0.092786 31.92 32.91 Goldman Sachs Group,Inc. 38143DAA7 09/03/09 09/09/14 100.000 0.000 3.1999 0.091805 0.093274 0.094766 0.096282 0.097823 33.65 34.73 Goldman Sachs Group,Inc. 38143U457 04/16/04 10/16/11 100.000 0.000 4.7359 0.178338 0.182561 51.59 Goldman Sachs Group,Inc. 38143UAQ4 09/10/04 09/10/11 100.000 VARIES 4.5701 0.142837 0.144281 35.83 Goldman Sachs Group,Inc. 38143UAS0 09/10/04 09/10/12 100.000 0.500 4.7699 0.171273 0.175027 0.178870 0.182805 63.18 45.25 Goldman Sachs Group,Inc. 38143UAX9 10/08/04 10/08/11 100.000 1.500 4.5499 0.152643 0.155168 42.74 Goldman Sachs Group,Inc. 38143UB34 08/31/11 08/31/26 100.000 VARIES 5.7419 0.157745 0.154074 0.154581 19.40 56.67 Goldman Sachs Group,Inc. 38143UB91 09/01/11 09/01/16 100.000 VARIES 2.6249 0.008499 0.008342 0.008183 1.02 2.99 Goldman Sachs Group,Inc. 38143UBB6 03/16/05 03/16/12 100.000 1.000 5.0399 0.175339 0.179058 0.182870 64.58 13.72 Goldman Sachs Group,Inc. 38143UBC4 04/13/05 04/13/12 100.000 0.500 4.9999 0.177900 0.182000 0.186203 65.43 18.99 Goldman Sachs Group,Inc. 38143UBF7 08/18/05 08/18/11 100.000 0.000 4.8399 0.170761 0.174894 39.51 Goldman Sachs Group,Inc. 38143UBH3 10/03/05 10/03/12 100.000 1.000 5.0999 0.174278 0.178013 0.181844 0.185773 64.08 50.17 Goldman Sachs Group,Inc. 38143UBN0 03/16/07 03/16/14 100.000 0.000 5.7599 0.195181 0.200802 0.206585 0.212534 0.218655 72.47 76.71 Goldman Sachs Group,Inc. 38143UBY6 08/22/07 02/22/11 100.000 0.000 5.3199 0.172988 8.82 Goldman Sachs Group,Inc. 38143UC41 09/15/11 09/15/26 100.000 VARIES 5.9696 0.165825 0.164142 0.162408 17.58 59.03 Goldman Sachs Group,Inc. 38143UC58 09/30/11 09/30/16 100.000 0.000 4.3397 0.120549 0.123165 0.125837 10.97 44.35 Goldman Sachs Group,Inc. 38143UCC3 10/22/07 09/26/11 100.000 0.000 5.2199 0.168619 0.173020 45.48 Goldman Sachs Group,Inc. 38143UCG4 10/09/07 10/13/15 100.000 0.000 5.8199 0.192153 0.197744 0.203499 0.209420 0.215515 71.07 75.26 Goldman Sachs Group,Inc. 38143UCK5 01/31/08 01/31/15 100.000 1.000 5.2500 0.162165 0.165692 0.169312 0.173028 0.176841 60.09 62.76 Goldman Sachs Group,Inc. 38143UCN9 04/11/08 09/11/15 100.000 3.000 5.7277 0.170187 0.172674 0.175233 0.177865 0.180572 62.27 64.14 Goldman Sachs Group,Inc. 38143UCP4 05/07/08 05/07/15 100.000 1.000 4.0000 0.119785 0.121625 0.123502 0.125416 0.127369 43.65 45.01 Goldman Sachs Group,Inc. 38143UD99 09/20/11 09/20/16 100.000 VARIES 2.6408 0.008247 0.008094 0.007939 .83 2.91 Goldman Sachs Group,Inc. 38143UDB4 07/24/09 07/25/11 100.000 0.000 2.9229 0.083592 0.084813 17.27 Goldman Sachs Group,Inc. 38143UDK4 02/05/09 05/05/12 100.000 0.000 5.2977 0.161276 0.165548 0.169933 59.31 21.07 Goldman Sachs Group,Inc. 38143UDT5 07/24/09 07/25/11 100.000 0.000 2.9229 0.083592 0.084813 17.27 Goldman Sachs Group,Inc. 38143UDU2 07/06/09 07/08/13 100.000 0.000 4.2600 0.123458 0.126087 0.128773 0.131516 0.134317 45.84 47.81 Goldman Sachs Group,Inc. 38143UDW8 07/10/09 07/10/14 100.000 1.000 4.6174 0.132957 0.135385 0.137869 0.140411 0.143011 49.14 50.97 Goldman Sachs Group,Inc. 38143UEF4 08/07/09 08/08/11 100.000 0.000 2.4971 0.071114 0.072002 15.59 Goldman Sachs Group,Inc. 38143UEJ6 08/25/09 08/25/11 100.000 0.000 2.6782 0.076401 0.077424 18.06 Goldman Sachs Group,Inc. 38143UEK3 08/25/09 02/25/11 100.000 0.000 2.0848 0.059126 3.19 Goldman Sachs Group,Inc. 38143UEL1 08/28/09 12/12/12 100.000 0.000 3.4679 0.100700 0.102446 0.104222 0.106029 36.63 35.86 Goldman Sachs Group,Inc. 38143UEN7 09/17/09 10/03/11 100.000 0.000 2.3500 0.066892 0.067678 18.34 Goldman Sachs Group,Inc. 38143UEU1 10/29/09 10/29/24 100.000 VARIES 6.0484 0.159142 0.159347 0.159560 0.159778 0.160003 57.35 57.51 Goldman Sachs Group,Inc. 38143UEY3 10/30/09 10/30/14 100.000 1.000 3.9877 0.114114 0.115835 0.117591 0.119382 0.121208 41.60 42.88 Goldman Sachs Group,Inc. 38143UEZ0 10/29/09 10/29/16 100.000 1.000 4.6747 0.134681 0.137179 0.139736 0.142353 0.145031 49.25 51.10 Goldman Sachs Group,Inc. 38143UF63 10/31/11 05/01/17 100.000 0.000 3.8999 0.108332 0.108345 0.110458 0.112612 6.61 39.64 Goldman Sachs Group,Inc. 38143UFM8 11/30/09 11/30/15 100.000 1.000 3.9589 0.113258 0.114950 0.116675 0.118435 0.120229 41.18 42.43 Goldman Sachs Group,Inc. 38143UFT3 12/30/09 12/30/24 100.000 VARIES 5.9598 0.157084 0.157282 0.157485 0.157695 0.157911 56.59 56.73 Goldman Sachs Group,Inc. 38143UFU0 12/17/09 06/17/11 100.000 0.000 1.2185 0.034263 5.69 Goldman Sachs Group,Inc. 38143UGH8 02/25/10 02/25/25 100.000 VARIES 5.9486 0.161068 0.156771 0.156969 0.157173 0.157383 56.69 56.60 Goldman Sachs Group,Inc. 38143UGW5 03/31/10 03/31/25 100.000 VARIES 5.7994 0.156908 0.152597 0.152798 0.153005 0.153218 55.34 55.08 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38143UHS3 04/15/10 04/15/15 100.000 1.000 3.9405 0.111068 0.112709 0.114382 0.116089 0.117829 40.53 41.75 Goldman Sachs Group,Inc. 38143UHT1 04/20/10 04/20/15 100.000 0.000 3.9150 0.110881 0.113052 0.115265 0.117521 0.119822 40.62 42.23 Goldman Sachs Group,Inc. 38143UJE2 05/26/10 05/26/16 100.000 0.000 5.1358 0.146325 0.150082 0.153936 0.157889 0.161944 53.62 56.41 Goldman Sachs Group,Inc. 38143UJL6 05/21/10 05/21/15 100.000 0.000 2.4439 0.068717 0.069556 0.070406 0.071267 0.072138 24.96 25.57 Goldman Sachs Group,Inc. 38143UJX0 06/24/10 06/24/16 100.000 0.000 4.3999 0.124909 0.127657 0.130465 0.133335 0.136268 45.50 47.52 Goldman Sachs Group,Inc. 38143UKX8 08/31/10 08/31/17 100.000 0.000 4.4059 0.121712 0.122365 0.126435 0.127816 0.132797 45.13 47.31 Goldman Sachs Group,Inc. 38143ULK5 07/28/10 07/28/17 100.000 VARIES 2.6534 0.017819 0.017028 0.016226 0.015414 0.015618 6.03 5.60 Goldman Sachs Group,Inc. 38143ULL3 07/29/10 07/29/15 100.000 0.000 3.7102 0.103062 0.104974 0.106921 0.108905 0.110925 38.03 39.46 Goldman Sachs Group,Inc. 38143ULM1 07/28/10 07/28/17 100.000 VARIES 2.6469 0.017637 0.016856 0.016064 0.015262 0.015464 5.97 5.55 Goldman Sachs Group,Inc. 38143ULN9 08/06/10 08/06/20 100.000 VARIES 2.8170 0.022917 0.021793 0.020652 0.019495 0.018322 7.72 6.89 Goldman Sachs Group,Inc. 38143ULQ2 08/20/10 08/20/15 100.000 VARIES 1.9250 0.007363 0.007093 0.006820 0.006886 0.006952 2.53 2.48 Goldman Sachs Group,Inc. 38143ULV1 08/26/10 08/26/20 100.000 VARIES 2.6793 0.025092 0.023913 0.022718 0.021507 0.020280 8.52 7.66 Goldman Sachs Group,Inc. 38143UMA6 08/20/10 08/20/20 100.000 VARIES 2.6781 0.015725 0.014987 0.014238 0.013479 0.012711 5.33 4.79 Goldman Sachs Group,Inc. 38143UMC2 08/26/10 08/26/15 100.000 VARIES 1.8192 0.007495 0.007235 0.006971 0.007035 0.007099 2.59 2.54 Goldman Sachs Group,Inc. 38143UME8 09/08/10 09/08/17 100.000 VARIES 2.3458 0.015162 0.014752 0.014337 0.013917 0.013493 5.29 4.99 Goldman Sachs Group,Inc. 38143UMH1 09/08/10 09/08/20 100.000 VARIES 2.6543 0.026620 0.025380 0.024122 0.022848 0.021558 9.08 8.16 Goldman Sachs Group,Inc. 38143UMJ7 09/10/10 09/10/20 100.000 VARIES 2.6625 0.017071 0.016273 0.015465 0.014645 0.013815 5.82 5.24 Goldman Sachs Group,Inc. 38143UMQ1 09/29/10 09/28/17 100.000 0.000 4.0718 0.113106 0.115396 0.117745 0.120143 0.122589 41.56 43.27 Goldman Sachs Group,Inc. 38143UMU2 09/21/10 09/21/20 100.000 VARIES 2.7708 0.022969 0.022135 0.021290 0.020434 0.019566 7.95 7.34 Goldman Sachs Group,Inc. 38143UMW8 09/21/10 09/21/17 100.000 VARIES 2.3116 0.019991 0.019209 0.018417 0.017617 0.017821 6.90 6.43 Goldman Sachs Group,Inc. 38143UNC1 10/12/10 10/12/15 100.000 0.000 3.1999 0.088886 0.090308 0.091753 0.093221 0.094713 32.48 33.53 Goldman Sachs Group,Inc. 38143UNG2 10/19/10 10/20/25 100.000 VARIES 4.9992 0.138861 0.137471 0.136047 0.134587 0.133091 49.54 48.50 Goldman Sachs Group,Inc. 38143UNH0 10/29/10 10/31/17 100.000 2.000 3.7647 0.104585 0.105508 0.106449 0.107407 0.108383 37.93 38.61 Goldman Sachs Group,Inc. 38143UNQ0 10/29/10 10/29/25 100.000 VARIES 4.8705 0.135294 0.133854 0.132378 0.130867 0.129318 48.27 47.19 Goldman Sachs Group,Inc. 38143UNT4 10/29/10 10/29/20 100.000 VARIES 2.0301 0.020613 0.019856 0.019091 0.018318 0.017537 7.19 6.64 Goldman Sachs Group,Inc. 38143UNU1 10/29/10 10/29/20 100.000 VARIES 2.3763 0.026063 0.024961 0.023846 0.022717 0.021575 9.05 8.24 Goldman Sachs Group,Inc. 38143UNV9 11/05/10 11/05/15 100.000 VARIES 1.6723 0.010667 0.010324 0.009979 0.010063 0.010147 3.74 3.62 Goldman Sachs Group,Inc. 38143UNX5 11/05/10 11/05/15 100.000 VARIES 1.6984 0.014169 0.013996 0.013822 0.013646 0.013468 5.05 4.92 Goldman Sachs Group,Inc. 38143UNY3 11/01/10 11/01/17 100.000 VARIES 1.9534 0.004584 0.004431 0.004276 0.004119 0.004160 1.60 1.50 Goldman Sachs Group,Inc. 38143UPE5 11/10/10 11/10/25 100.000 VARIES 4.9480 0.137446 0.136036 0.134591 0.133110 0.131593 49.08 48.03 Goldman Sachs Group,Inc. 38143UPF2 11/15/10 11/15/17 100.000 VARIES 2.1778 0.013666 0.013160 0.012648 0.012131 0.012263 4.78 4.44 Goldman Sachs Group,Inc. 38143UPG0 11/29/10 11/29/16 100.000 0.000 3.4000 0.094445 0.096051 0.097684 0.099345 0.101033 34.39 35.57 Goldman Sachs Group,Inc. 38143UPQ8 11/18/10 11/18/15 100.000 VARIES 1.6239 0.009399 0.009106 0.008810 0.008882 0.008954 3.31 3.19 Goldman Sachs Group,Inc. 38143UPS4 11/18/10 11/18/15 100.000 VARIES 1.6239 0.009399 0.009106 0.008810 0.008882 0.008953 3.31 3.19 Goldman Sachs Group,Inc. 38143UQC8 11/30/10 11/30/17 100.000 VARIES 2.2520 0.013003 0.012506 0.012004 0.011496 0.011625 4.56 4.22 Goldman Sachs Group,Inc. 38143UQF1 12/15/10 12/15/25 100.000 VARIES 5.1997 0.144437 0.143137 0.141803 0.140435 0.139031 51.72 50.76 Goldman Sachs Group,Inc. 38143UQG9 12/06/10 12/06/15 100.000 VARIES 1.5366 0.006575 0.006380 0.006184 0.006232 0.006279 2.32 2.24 Goldman Sachs Group,Inc. 38143UQJ3 12/28/10 12/28/16 100.000 0.000 3.5998 0.099996 0.101796 0.103628 0.105493 0.107392 36.33 37.65 Goldman Sachs Group,Inc. 38143UQN4 12/30/10 12/30/25 100.000 VARIES 5.4997 0.152772 0.151626 0.150448 0.149239 0.147996 54.79 53.94 Goldman Sachs Group,Inc. 38143UQP9 12/22/10 12/22/20 100.000 VARIES 2.3885 0.026015 0.024910 0.023791 0.022660 0.021514 9.15 8.34 Goldman Sachs Group,Inc. 38143UQQ7 01/31/11 01/31/17 100.000 0.000 3.6501 0.101394 0.103245 0.105129 0.107048 33.84 38.08 Goldman Sachs Group,Inc. 38143UQS3 01/31/11 01/31/26 100.000 VARIES 5.2484 0.145790 0.144513 0.143203 0.141858 48.06 51.39 Goldman Sachs Group,Inc. 38143UQT1 01/31/11 07/31/25 100.000 VARIES 5.7789 0.160528 0.156337 0.152025 0.148675 52.50 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38143UQU8 01/31/11 01/31/26 100.000 VARIES 5.2476 0.145767 0.145219 0.144656 0.144078 48.17 52.01 Goldman Sachs Group,Inc. 38143UQZ7 01/31/11 01/31/18 100.000 VARIES 1.9815 0.018821 0.018386 0.017946 0.017502 6.16 6.41 Goldman Sachs Group,Inc. 38143URA1 01/31/11 01/31/16 100.000 VARIES 1.6251 0.008921 0.008642 0.008362 0.008430 2.91 3.03 Goldman Sachs Group,Inc. 38143URD5 02/28/11 02/28/17 100.000 0.000 4.0298 0.109507 0.112941 0.113964 0.118187 34.04 42.17 Goldman Sachs Group,Inc. 38143URJ2 02/28/11 02/28/17 100.000 0.000 4.1552 0.112914 0.116526 0.117654 0.122089 35.11 43.54 Goldman Sachs Group,Inc. 38143URW3 03/31/11 03/31/17 100.000 0.000 3.9998 0.111107 0.113329 0.115595 0.117907 30.31 41.62 Goldman Sachs Group,Inc. 38143URX1 03/31/11 03/31/17 100.000 0.000 3.9998 0.111107 0.113329 0.115595 0.117907 30.31 41.62 Goldman Sachs Group,Inc. 38143USM4 03/18/11 03/18/21 100.000 VARIES 5.2913 0.146983 0.147932 0.148906 0.149906 41.69 53.63 Goldman Sachs Group,Inc. 38143USN2 03/21/11 03/21/26 100.000 VARIES 6.0812 0.168924 0.165614 0.162204 0.158201 46.97 58.27 Goldman Sachs Group,Inc. 38143UST9 03/18/11 03/18/16 100.000 1.000 3.6798 0.102218 0.103587 0.104982 0.106403 29.07 37.83 Goldman Sachs Group,Inc. 38143USV4 03/23/11 03/23/16 100.000 VARIES 1.6343 0.009066 0.008781 0.008494 0.008564 2.49 3.09 Goldman Sachs Group,Inc. 38143UTC5 03/25/11 03/28/16 100.000 0.000 3.6702 0.101951 0.101983 0.103854 0.105760 0.107701 28.32 38.09 Goldman Sachs Group,Inc. 38143UTJ0 04/29/11 05/01/17 100.000 0.000 3.7497 0.104160 0.104182 0.106135 0.108125 0.110153 25.33 38.81 Goldman Sachs Group,Inc. 38143UTM3 04/29/11 04/29/17 100.000 0.000 3.7501 0.104172 0.106125 0.108115 0.110142 25.33 38.81 Goldman Sachs Group,Inc. 38143UTN1 04/13/11 04/13/21 100.000 VARIES 5.2207 0.145022 0.145907 0.146816 0.147748 37.48 52.83 Goldman Sachs Group,Inc. 38143UTY7 04/27/11 04/27/16 100.000 VARIES 1.6045 0.009238 0.008953 0.008666 0.008736 2.23 3.16 Goldman Sachs Group,Inc. 38143UUA7 04/29/11 04/29/21 100.000 VARIES 2.1672 0.017867 0.017171 0.016468 0.015756 4.28 5.97 Goldman Sachs Group,Inc. 38143UUF6 05/11/11 05/11/16 100.000 0.000 3.3748 0.093746 0.095328 0.096936 0.098572 21.64 34.77 Goldman Sachs Group,Inc. 38143UUJ8 05/31/11 05/31/17 100.000 0.000 3.9998 0.111107 0.113329 0.115595 0.117907 23.51 41.35 Goldman Sachs Group,Inc. 38143UUU3 05/31/11 05/31/26 100.000 VARIES 5.4943 0.152621 0.151091 0.149518 0.147902 32.16 54.01 Goldman Sachs Group,Inc. 38143UUY5 07/20/11 07/20/21 100.000 0.000 5.1298 0.142496 0.146151 0.149899 22.94 53.15 Goldman Sachs Group,Inc. 38143UVD0 06/06/11 06/06/26 100.000 VARIES 5.8161 0.161559 0.157775 0.153881 0.147954 33.02 55.85 Goldman Sachs Group,Inc. 38143UVG3 06/07/11 06/07/21 100.000 VARIES 2.2754 0.018651 0.017892 0.017125 0.016348 3.79 6.27 Goldman Sachs Group,Inc. 38143UVH1 06/30/11 06/30/17 100.000 0.000 3.7799 0.104998 0.106982 0.109004 0.111064 19.01 38.88 Goldman Sachs Group,Inc. 38143UVK4 06/16/11 06/16/26 100.000 VARIES 5.4946 0.152628 0.151098 0.149525 0.147910 29.74 54.06 Goldman Sachs Group,Inc. 38143UVS7 06/13/11 06/13/16 100.000 0.000 3.6198 0.100552 0.102372 0.104225 0.106111 19.94 37.25 Goldman Sachs Group,Inc. 38143UVT5 06/13/11 06/13/17 100.000 0.000 4.0901 0.113614 0.115937 0.118308 0.120728 22.54 42.25 Goldman Sachs Group,Inc. 38143UVV0 06/17/11 06/17/16 100.000 VARIES 2.0754 0.013207 0.012686 0.012160 0.012286 2.55 4.47 Goldman Sachs Group,Inc. 38143UWD9 06/30/11 06/30/26 100.000 VARIES 5.6453 0.156815 0.155557 0.154263 0.152933 28.38 55.76 Goldman Sachs Group,Inc. 38143UWL1 07/29/11 07/29/26 100.000 VARIES 5.3945 0.149849 0.148272 0.146652 22.78 53.18 Goldman Sachs Group,Inc. 38143UWM9 08/04/11 07/31/17 100.000 0.000 3.7994 0.103245 0.106319 0.107161 15.49 38.95 Goldman Sachs Group,Inc. 38143UXB2 08/15/11 08/15/26 100.000 VARIES 5.8794 0.163318 0.159954 0.156490 22.21 57.26 Goldman Sachs Group,Inc. 38143UXG1 08/31/11 01/31/17 100.000 0.000 3.7498 0.104161 0.105789 0.107772 12.60 38.34 Goldman Sachs Group,Inc. 38143UZA2 11/04/11 11/04/14 100.000 VARIES 2.8486 0.011684 0.011365 0.011041 .67 4.11 Goldman Sachs Group,Inc. 38143UZJ3 11/30/11 06/02/17 100.000 0.000 5.4499 0.151387 0.151433 0.155559 0.159798 4.69 55.50 Goldman Sachs Group,Inc. 38143UZL8 11/14/11 11/14/14 100.000 VARIES 3.0057 0.016270 0.015802 0.015327 .76 5.73 Goldman Sachs Group,Inc. 38143UZM6 11/30/11 11/30/26 100.000 VARIES 7.1413 0.198371 0.197271 0.196133 6.15 71.15 Goldman Sachs Group,Inc. 38143UZV6 11/18/11 11/18/13 100.000 0.000 2.3999 0.066665 0.067465 0.068275 2.87 24.21 Goldman Sachs Group,Inc. 38143YAA1 03/07/05 03/07/11 100.000 0.000 4.6499 0.166322 10.98 Goldman Sachs Group,Inc. 38145K853 01/02/09 01/04/11 100.000 0.000 5.6831 0.171764 .52 Goldman Sachs Group,Inc. 38145T292 11/25/09 11/28/11 100.000 0.000 1.6731 0.047265 0.047660 15.53 Goldman Sachs Group,Inc. 38145T573 08/10/09 08/10/12 100.000 0.000 3.4194 0.098261 0.099941 0.101650 0.103388 36.15 22.57 Goldman Sachs Group,Inc. 38145T656 09/03/09 09/04/12 100.000 0.000 3.3182 0.095266 0.096846 0.098453 0.100086 34.95 24.22 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38145T854 07/31/09 07/31/12 100.000 0.000 3.6701 0.105724 0.107664 0.109639 0.111651 39.00 23.28 Goldman Sachs Group,Inc. 38145T888 08/11/09 12/11/12 100.000 0.000 3.6196 0.105476 0.107385 0.109329 0.111307 38.39 37.53 Goldman Sachs Group,Inc. 38145X202 06/25/10 07/05/11 100.000 0.000 0.9491 0.026372 0.026497 4.87 Goldman Sachs Group,Inc. 38145X632 08/06/10 08/15/11 100.000 0.000 0.7273 0.020208 0.020282 4.54 Goldman Sachs Group,Inc. 38146R386 10/17/11 10/20/14 100.000 0.000 4.3497 0.120827 0.120871 0.123500 0.126186 8.94 44.36 Graphic Packaging Intl 38869PAE4 06/16/09 06/15/17 97.292 9.500 9.9998 3.72 0.007363 0.007732 0.008118 0.008524 0.008950 2.73 3.01 Graphic Packaging Intl 38869PAF1 06/16/09 06/15/17 97.292 9.500 9.9998 3.72 0.007363 0.007732 0.008118 0.008524 0.008950 2.73 3.01 Great Plains Energy,Inc. 391164803 05/18/09 06/15/42 100.000 VARIES 11.2196 0.314534 0.315036 0.317382 0.319859 0.321587 114.95 116.69 Great Plains Energy,Inc. 391164AC4 05/18/09 06/15/42 100.000 VARIES 11.2196 0.314534 0.315036 0.317382 0.319859 0.321587 114.95 116.69 Griffon Corporation 398433AA0 07/18/03 07/18/23 100.000 VARIES 8.5003 0.334992 0.344508 0.353668 0.363219 0.373175 125.35 132.22 Griffon Corporation 398433AB8 07/18/03 07/18/23 100.000 VARIES 8.5003 0.334992 0.344508 0.353668 0.363219 0.373175 125.35 132.22 HCA Inc. 404119AY5 11/17/06 11/15/16* 100.000 9.625 N/A 0.282264 0.282313 66.34* HCA Inc. 404119AZ2 11/17/06 11/15/16* 100.000 9.625 N/A 0.282264 0.282313 66.34* HCA Inc. 404119BA6 11/17/06 11/15/16* 100.000 9.625 N/A 0.282264 0.282313 66.34* HSBC USA, Inc. 4042K02W4 06/29/10 06/29/12 100.000 0.000 1.2997 0.036339 0.036576 0.036813 13.13 6.55 HSBC USA, Inc. 4042K03B9 07/30/10 07/30/15 100.000 2.350 2.3499 0.065278 0.065278 0.065278 0.065278 0.065278 23.50 23.50 HSBC USA, Inc. 4042K03W3 07/30/10 08/01/13 100.000 2.350 2.3499 0.065278 0.065278 0.065278 0.065278 0.065278 23.50 23.50 HSBC USA, Inc. 4042K04T9 08/17/10 08/16/13 100.000 0.000 1.2967 0.036020 0.036252 0.036487 0.036723 0.036962 13.07 13.24 HSBC USA, Inc. 4042K04U6 08/31/10 08/29/13 100.000 1.300 1.2999 0.035519 0.035714 0.035326 0.035714 0.035519 12.98 13.02 HSBC USA, Inc. 4042K04V4 08/17/10 08/17/16 100.000 2.350 2.3499 0.065278 0.065278 0.065278 0.065278 0.065278 23.50 23.50 HSBC USA, Inc. 4042K0A88 10/15/09 10/14/11 100.000 0.000 1.4462 0.040756 0.041051 11.59 HSBC USA, Inc. 4042K0B53 10/22/09 10/21/11 100.000 0.000 1.5163 0.042759 0.043084 12.46 HSBC USA, Inc. 4042K0C60 11/04/09 11/03/11 100.000 0.000 1.4560 0.041036 0.041335 12.45 HSBC USA, Inc. 4042K0E50 11/20/09 11/21/11 100.000 0.000 1.1974 0.033664 0.033866 10.81 HSBC USA, Inc. 4042K0J22 12/23/09 12/22/11 100.000 0.000 1.3953 0.039300 0.039574 13.84 HSBC USA, Inc. 4042K0P66 02/26/10 02/26/20 100.000 4.350 4.3499 0.120833 0.120833 0.120833 0.120833 0.120833 43.50 43.50 HSBC USA, Inc. 4042K0R49 03/31/10 03/31/16 100.000 3.250 3.2499 0.090278 0.090278 0.090278 0.090278 0.090278 32.50 32.50 HSBC USA, Inc. 4042K0T54 04/06/10 04/05/13 100.000 0.000 2.0440 0.057356 0.057942 0.058535 0.059133 0.059737 20.86 21.28 HSBC USA, Inc. 4042K0UD5 01/30/09 07/31/14 100.000 0.000 2.4845 0.070067 0.072114 0.071819 0.073510 0.073615 26.21 26.87 HSBC USA, Inc. 4042K0UX1 02/27/09 08/26/14 100.000 0.000 3.0323 0.088116 0.089452 0.090808 0.092185 0.093582 32.30 33.29 HSBC USA, Inc. 4042K0VV4 03/31/09 09/30/14 100.000 0.000 3.3762 0.098616 0.100280 0.101973 0.103695 0.105445 36.11 37.34 HSBC USA, Inc. 4042K0W35 04/27/10 04/22/14 100.000 0.000 2.6880 0.075645 0.076662 0.077692 0.078736 0.079794 27.56 28.30 HSBC USA, Inc. 4042K0W84 05/27/10 05/27/16 100.000 0.000 2.8554 0.080450 0.081598 0.082763 0.083945 0.085143 29.25 30.09 HSBC USA, Inc. 4042K0WU5 05/05/09 05/05/11 100.000 VARIES 1.9852 0.055076 6.83 HSBC USA, Inc. 4042K0XJ9 06/12/09 06/12/13 100.000 0.000 3.7732 0.110857 0.112948 0.115079 0.117250 0.119462 40.37 41.90 HSBC USA, Inc. 4042K0Y82 05/26/10 05/27/14 100.000 0.000 2.8563 0.080483 0.081632 0.082798 0.083980 0.085180 29.26 30.10 HSBC USA, Inc. 4042K0YF6 07/29/09 07/29/11 100.000 0.000 1.4379 0.040519 0.040810 8.48 HSBC USA, Inc. 4042K0YZ2 09/10/09 09/09/11 100.000 0.000 1.1978 0.033673 0.033875 8.39 HSBC USA, Inc. 4042K1AK9 11/30/10 11/29/12 100.000 0.000 1.1550 0.032086 0.032270 0.032456 0.032644 11.60 10.68 HSBC USA, Inc. 4042K1AL7 11/18/10 11/19/15 100.000 2.530 2.5299 0.070278 0.070278 0.070278 0.070278 0.070278 25.30 25.30 HSBC USA, Inc. 4042K1AN3 11/18/10 11/19/12 100.000 0.000 1.0998 0.030552 0.030720 0.030889 0.031059 11.04 9.85 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 4042K1BL6 12/29/10 12/28/12 100.000 0.000 1.3010 0.036141 0.036375 0.036612 0.036850 13.05 13.11 HSBC USA, Inc. 4042K1BQ5 01/24/11 01/24/18 100.000 0.000 3.6480 0.101334 0.103182 0.105064 0.106980 34.44 38.08 HSBC USA, Inc. 4042K1CG6 01/31/11 01/31/13 100.000 0.000 1.2570 0.034919 0.035139 0.035360 0.035582 11.59 12.76 HSBC USA, Inc. 4042K1CU5 02/03/11 02/05/18 100.000 2.250 3.7875 0.105211 0.105220 0.106029 0.106853 0.107693 34.63 38.56 HSBC USA, Inc. 4042K1DR1 02/28/11 02/28/13 100.000 0.000 1.3600 0.036958 0.037618 0.037463 0.038343 11.43 13.83 HSBC USA, Inc. 4042K1DS9 02/28/11 02/28/13 100.000 0.000 1.3600 0.036958 0.037618 0.037463 0.038343 11.43 13.83 HSBC USA, Inc. 4042K1DX8 02/11/11 02/11/13 100.000 0.000 1.4687 0.040798 0.041098 0.041400 0.041704 13.10 14.93 HSBC USA, Inc. 4042K1ED1 03/04/11 03/03/16 100.000 3.210 3.2099 0.089167 0.089167 0.089167 0.089167 26.48 32.10 HSBC USA, Inc. 4042K1EP4 03/30/11 03/28/13 100.000 0.000 1.3746 0.038185 0.038445 0.038709 0.038975 10.37 13.94 HSBC USA, Inc. 4042K1EQ2 03/30/11 03/28/13 100.000 0.000 1.3746 0.038185 0.038445 0.038709 0.038975 10.37 13.94 HSBC USA, Inc. 4042K1FE8 03/24/11 03/24/18 100.000 VARIES 3.9708 0.110302 0.110423 0.110548 0.110529 30.57 39.79 HSBC USA, Inc. 4042K1GC1 04/29/11 05/01/13 100.000 0.000 1.2550 0.034863 0.034865 0.035084 0.035304 0.035526 8.45 12.70 HSBC USA, Inc. 4042K1GG2 05/04/11 05/04/18 100.000 VARIES 3.6984 0.102734 0.102579 0.102421 0.102445 24.34 36.89 HSBC USA, Inc. 4042K1GP2 05/06/11 05/06/16 100.000 2.990 2.9899 0.083056 0.083056 0.083056 0.083056 19.52 29.90 HSBC USA, Inc. 4042K1GR8 05/31/11 05/30/13 100.000 0.000 1.1609 0.031548 0.032079 0.031914 0.032631 6.80 11.73 HSBC USA, Inc. 4042K1HR7 05/23/11 05/23/13 100.000 0.000 1.1588 0.032191 0.032378 0.032566 0.032754 7.02 11.70 HSBC USA, Inc. 4042K1HW6 06/21/11 06/20/13 100.000 0.000 1.0989 0.030527 0.030693 0.030862 0.031032 5.80 11.08 HSBC USA, Inc. 4042K1HX4 06/10/11 06/10/19 100.000 VARIES 3.5773 0.099372 0.099162 0.098948 0.098975 19.97 35.66 HSBC USA, Inc. 4042K1JT1 06/13/11 06/13/18 100.000 VARIES 3.3850 0.094028 0.093151 0.092260 0.092394 18.60 33.36 HSBC USA, Inc. 4042K1KE2 07/29/11 07/31/17 100.000 0.000 2.9725 0.082572 0.082586 0.083813 0.085059 12.64 30.33 HSBC USA, Inc. 4042K1KG7 07/29/11 07/31/17 100.000 0.000 2.9725 0.082572 0.082586 0.083813 0.085059 12.64 30.33 HSBC USA, Inc. 4042K1KK8 07/13/11 01/11/13 100.000 0.000 0.6516 0.018101 0.018159 0.018218 3.04 6.55 HSBC USA, Inc. 4042K1NJ8 09/30/11 10/02/14 100.000 1.967 1.9669 0.054639 0.054639 0.054639 0.054639 4.97 19.67 HSBC USA, Inc. 4042K1NQ2 10/13/11 10/15/13 100.000 0.000 1.5548 0.043189 0.043193 0.043529 0.043867 3.37 15.66 HSBC USA, Inc. 4042K1TC7 11/30/11 11/30/21 100.000 VARIES 4.1952 0.116536 0.114319 0.112056 3.61 41.42 John Hancock Life Ins Co 41013MBT6 10/29/02 04/15/15 50.000 0.000 5.6403 287.84 0.121982 0.125423 0.128960 0.132597 0.136336 45.06 47.64 Harrisburg, PA 414738NS9 12/28/95 04/01/11 35.259 0.000 6.9490 630.62 0.186547 16.79 Harrisburg, PA 414738NT7 12/28/95 04/01/12 32.621 0.000 7.0092 591.41 0.175585 0.181739 0.188108 65.45 16.93 Harrisburg, PA 414738NU4 12/28/95 04/01/13 30.247 0.000 7.0491 553.32 0.164672 0.170476 0.176484 0.182705 0.189144 61.39 65.79 Harrisburg, PA 414738NV2 12/28/95 04/01/14 27.925 0.000 7.1092 517.76 0.154645 0.160142 0.165834 0.171729 0.177833 57.67 61.84 Harrisburg, PA 414738NW0 12/28/95 04/01/15 25.992 0.000 7.1193 483.01 0.144352 0.149490 0.154811 0.160322 0.166029 53.83 57.73 Harrisburg, PA 414738NX8 12/28/95 04/01/16 24.047 0.000 7.1593 450.86 0.135067 0.139902 0.144910 0.150098 0.155471 50.38 54.05 Harrisburg, PA 414738NY6 12/28/95 04/01/17 22.322 0.000 7.1792 420.38 0.126086 0.130612 0.135300 0.140157 0.145188 47.03 50.47 Harrisburg, PA 414738NZ3 12/28/95 04/01/18 20.535 0.000 7.2393 391.90 0.117968 0.122238 0.126663 0.131247 0.135998 44.02 47.26 Harrisburg, PA 414738PA6 12/28/95 04/01/19 19.125 0.000 7.2394 365.00 0.109871 0.113848 0.117969 0.122239 0.126663 41.00 44.02 Hartford Life Insurance 41659LAS0 08/16/07 08/16/17 100.000 0.000 5.7021 0.187494 0.192839 0.198337 0.203992 0.209808 69.92 73.97 Hartford Life Insurance 4165X2AA4 12/22/06 12/22/11 100.000 0.000 4.8221 0.162073 0.165980 57.59 Hartford Life Insurance 4165X2AB2 12/22/06 12/22/11 100.000 2.000 4.8220 0.150406 0.152693 53.20 Hartford Life Insurance 4165X2AC0 01/23/07 01/23/13 100.000 0.000 4.9060 0.161474 0.165435 0.169493 0.173650 0.177910 60.11 63.10 Hartford Life Insurance 4165X2AE6 02/06/07 02/06/13 100.000 0.000 4.9496 0.163152 0.167190 0.171327 0.175567 0.179912 60.65 63.69 Hartford Life Insurance 4165X2AG1 02/20/07 02/20/13 100.000 0.000 4.8472 0.159217 0.163076 0.167028 0.171077 0.175223 59.04 61.93 Hartford Life Insurance 4165X2AJ5 03/05/07 03/05/13 100.000 0.000 4.6977 0.153523 0.157129 0.160820 0.164598 0.168464 56.76 59.46 Hartford Life Insurance 4165X2AL0 03/06/07 09/20/12 100.000 0.000 4.6360 0.151459 0.154970 0.158562 0.162238 55.87 41.73 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Hartford Life Insurance 4165X2AM8 03/19/07 03/19/13 100.000 0.000 4.8023 0.157501 0.161283 0.165156 0.169122 0.173183 58.16 60.99 Hartford Life Insurance 4165X2AP1 04/23/07 04/23/14 100.000 0.000 4.5737 0.148835 0.152239 0.155720 0.159281 0.162924 54.66 57.19 Hartford Life Insurance 4165X2AQ9 04/23/07 04/23/12 100.000 0.000 4.5578 0.148237 0.151616 0.155071 54.44 17.37 Hartford Life Insurance 4165X2AR7 05/07/07 05/07/13 100.000 0.000 4.6205 0.150601 0.154080 0.157640 0.161282 0.165008 55.22 57.80 Hartford Life Insurance 4165X2AT3 06/11/07 06/11/14 100.000 0.000 5.0297 0.166247 0.170428 0.174714 0.179108 0.183613 60.77 63.87 Hartford Life Insurance 4165X2AU0 07/02/07 07/02/14 100.000 0.000 5.2090 0.168832 0.173229 0.177741 0.182370 0.187120 63.17 66.50 Hartford Life Insurance 4165X2AV8 07/23/07 07/23/14 100.000 0.000 5.1914 0.168175 0.172540 0.177019 0.181614 0.186328 62.73 66.02 Hartford Life Insurance 4165X2AW6 08/13/07 08/13/14 100.000 0.000 5.1603 0.167017 0.171327 0.175747 0.180282 0.184934 62.11 65.35 Hartford Life Insurance 4165X2AX4 09/04/07 09/04/14 100.000 0.000 5.1515 0.166689 0.170982 0.175386 0.179904 0.184538 61.80 65.02 Hartford Life Insurance 4165X2AZ9 10/29/07 10/29/12 100.000 0.000 4.3252 0.136603 0.139558 0.142576 0.145659 50.08 43.04 Hartford Life Insurance 4165X2BA3 11/19/07 11/19/12 100.000 0.000 4.3476 0.137402 0.140389 0.143441 0.146559 50.26 46.18 Hartford Life Insurance 4165X2BB1 12/10/07 12/10/12 100.000 0.000 4.1902 0.131815 0.134577 0.137397 0.140275 48.07 47.10 Hartford Life Insurance 4165X2BD7 01/30/08 01/30/13 100.000 0.000 3.6931 0.112414 0.114490 0.116604 0.118757 0.120950 41.48 43.02 Hartford Life Insurance 4165X2BH8 07/02/08 06/25/13 100.000 0.000 4.4925 0.139333 0.142463 0.145663 0.148935 0.152280 50.76 53.07 Hartford Life Insurance 4165X2BJ4 07/09/08 07/09/15 100.000 0.000 4.1028 0.123611 0.126146 0.128734 0.131375 0.134070 45.84 47.74 Hartford Life Insurance 4165X2BK1 07/24/08 01/15/13 100.000 0.000 4.5364 0.137688 0.140811 0.144005 0.147272 0.150612 51.18 53.53 City of Hoboken 434110QH8 08/28/03 04/01/27 19.107 0.000 7.1397 128.80 0.062327 0.064552 0.066856 0.069243 0.071715 23.25 24.94 City of Hoboken 434110QJ4 08/28/03 04/01/28 17.813 0.000 7.1396 120.08 0.058105 0.060179 0.062327 0.064552 0.066856 21.67 23.25 City of Hoboken 434110QK1 08/28/03 04/01/29 16.606 0.000 7.1397 111.94 0.054168 0.056102 0.058105 0.060179 0.062327 20.20 21.67 City of Hoboken 434110QL9 08/28/03 04/01/30 15.481 0.000 7.1397 104.36 0.050498 0.052301 0.054168 0.056102 0.058105 18.83 20.20 City of Hoboken 434110QM7 08/28/03 04/01/31 14.432 0.000 7.1397 97.29 0.047077 0.048758 0.050498 0.052301 0.054168 17.56 18.83 City of Hoboken 434110QN5 08/28/03 04/01/32 13.454 0.000 7.1398 90.70 0.043887 0.045454 0.047077 0.048757 0.050498 16.37 17.56 City of Hoboken 434110QP0 08/28/03 04/01/33 12.543 0.000 7.1396 84.55 0.040914 0.042375 0.043888 0.045455 0.047077 15.26 16.37 Hologic, Inc. 436440AA9 12/10/07 12/15/37 100.000 VARIES 9.1269 0.311173 0.321101 0.333261 0.345976 0.361245 115.77 124.78 Hornbeck Offshore SVCS 440543AF3 08/17/09 09/01/17 97.123 8.000 8.5012 3.66 0.007774 0.008104 0.008449 0.008808 0.009182 2.94 3.19 Hornbeck Offshore SVCS 440543AG1 08/17/09 09/01/17 97.123 8.000 8.5012 3.66 0.007774 0.008104 0.008449 0.008808 0.009182 2.94 3.19 Hornbeck Offshore SVCS 440543AH9 08/17/09 09/01/17 97.123 8.000 8.5012 3.66 0.007774 0.008104 0.008449 0.008808 0.009182 2.94 3.19 Host Marriott Corp. 441079209 12/02/96 12/02/26 100.000 6.750 6.7499 0.187500 0.187500 0.187500 0.187500 0.187500 67.50 67.50 Host Marriott Corp. 441079308 12/02/96 12/02/26 100.000 6.750 6.7499 0.187500 0.187500 0.187500 0.187500 0.187500 67.50 67.50 Hovnanian Enterprises 442488BD3 12/03/08 05/01/17* 62.974 18.000 30.4024 30.41 0.054735 0.063055 8.59* Hovnanian Enterprises 442488BE1 12/03/08 05/01/17* 62.974 18.000 30.4024 30.41 0.054735 0.063055 8.59* Hovnanian Enterprises 442488BF8 10/20/09 10/15/16 98.208 10.625 10.9992 2.21 0.005468 0.005768 0.006086 0.006420 0.006773 2.07 2.30 Hovnanian Enterprises 442488BG6 10/20/09 10/15/16 98.208 10.625 10.9992 2.21 0.005468 0.005768 0.006086 0.006420 0.006773 2.07 2.30 Hovnanian Enterprises 442488BH4 10/20/09 10/15/16 98.208 10.625 10.9992 2.21 0.005468 0.005768 0.006086 0.006420 0.006773 2.07 2.30 Hovnanian Enterprises 442488BK7 02/14/11 10/15/15 97.453 11.875 12.6129 0.011573 0.011821 0.012567 0.013359 0.014202 3.79 4.79 Hovnanian Enterpiress 442488BL5 11/01/11 11/01/21 53.000 5.000 13.8062 0.203258 0.207702 0.212452 12.20 74.52 Hovnanian Enterpirses 442488BM3 11/01/11 11/01/21 42.000 2.000 12.1926 0.142247 0.147532 0.153140 8.53 52.81 Hudson CNTY NJ Impt Auth 443731BV5 12/29/10 01/01/14 98.987 3.500 3.8602 .02 0.008921 0.009094 0.009269 0.009448 3.24 3.37 Hudson CNTY NJ Impt Auth 443731BW3 12/29/10 01/01/15 98.689 4.000 4.3602 .02 0.008421 0.008605 0.008792 0.008984 3.06 3.20 Illinois Stud Asst Comm. 452281JD1 10/27/10 04/25/23 95.305 1.200 N/A 0.011874 0.011974 0.012076 0.012179 0.012283 4.31 4.38 Insignia Financing I 45766X304 11/01/96 09/30/16 100.000 6.500 6.4999 0.178571 0.177596 0.177596 0.177596 0.178571 64.91 65.09 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Interface, Inc. 458665AL0 06/05/09 11/01/13 96.301 11.375 12.4916 11.04 0.021564 0.022911 0.024342 0.025863 0.027478 8.17 9.22 Interface, Inc. 458665AM8 06/05/09 11/01/13 96.301 11.375 12.4916 11.04 0.021564 0.022911 0.024342 0.025863 0.027478 8.17 9.22 Interface, Inc. 458665AN6 06/05/09 11/01/13 96.301 11.375 12.4916 11.04 0.021564 0.022911 0.024342 0.025863 0.027478 8.17 9.22 Intl Bnk for Reconstr 459056GN1 03/06/85 02/15/11 5.992 0.000 11.1468 927.17 0.286913 12.91 Intl Bnk for Reconstr 459056GP6 03/06/85 08/15/11 5.676 0.000 11.1466 878.22 0.271761 0.291663 65.02 Intl Bnk for Reconstr 459056GQ4 03/06/85 02/15/12 5.445 0.000 11.0969 831.64 0.256448 0.275163 0.285695 101.06 12.86 Intl Bnk for Reconstr 459056GR2 03/06/85 08/15/12 5.159 0.000 11.0967 787.92 0.242964 0.260695 0.270673 0.288831 95.74 64.75 Intl Bnk for Reconstr 459056GS0 03/06/85 02/15/13 5.019 0.000 10.9967 746.79 0.228659 0.245230 0.254495 0.271439 0.283251 90.05 100.23 Intl Bnk for Reconstr 459056GT8 03/06/85 08/15/13 4.757 0.000 10.9970 707.86 0.216746 0.232454 0.241237 0.257298 0.268495 85.36 95.00 Intl Bnk for Reconstr 459056GU5 03/06/85 02/15/14 4.634 0.000 10.8975 671.83 0.204263 0.218963 0.227129 0.242136 0.252555 80.39 89.39 Intl Bnk for Reconstr 459056GV3 03/06/85 08/15/14 4.395 0.000 10.8971 637.12 0.193704 0.207644 0.215388 0.229619 0.239498 76.24 84.77 Intl Bnk for Reconstr 459056GW1 03/06/85 02/15/15 4.349 0.000 10.7474 606.18 0.182334 0.195316 0.202456 0.215680 0.224800 71.70 79.61 Intl Bnk for Reconstr 459056HY6 01/07/86 02/15/16 5.299 0.000 9.9989 553.80 0.158872 0.169580 0.175155 0.185933 0.193106 62.19 68.56 Intl Bnk for Reconstr 459056JJ7 01/07/86 02/15/11 7.569 0.000 10.5487 912.06 0.272289 12.25 Intl Bnk for Reconstr 459056JK4 01/07/86 02/15/12 6.915 0.000 10.4986 822.58 0.244696 0.261809 0.271060 96.08 12.20 Intl Bnk for Reconstr 459056JL2 01/07/86 02/15/13 6.323 0.000 10.4488 742.57 0.220109 0.235447 0.243709 0.259259 0.269838 86.40 95.66 Intl Bnk for Reconstr 459056JM0 01/07/86 02/15/14 5.865 0.000 10.3490 671.28 0.197551 0.211217 0.218525 0.232358 0.241725 77.50 85.72 Intl Bnk for Reconstr 459056JN8 01/07/86 02/15/15 5.604 0.000 10.1490 609.02 0.176645 0.188685 0.195028 0.207176 0.215323 69.21 76.41 Interval Acquisiti Corp. 46113VAA6 08/20/08 09/01/16 91.022 9.500 11.2256 18.87 0.024891 0.026288 0.027764 0.029322 0.030968 9.56 10.66 Interval Acquisiti Corp. 46113VAB4 08/20/08 09/01/16 91.022 9.500 11.2256 18.87 0.024891 0.026288 0.027764 0.029322 0.030968 9.56 10.66 Irvington Township, NJ 464080JN1 12/21/06 07/15/11 79.066 0.000 5.2093 182.03 0.137451 0.141031 27.31 Irvington Township, NJ 464080JP6 12/21/06 07/15/12 75.184 0.000 5.1894 172.37 0.130112 0.133488 0.136951 0.140505 48.58 27.21 Irvington Township, NJ 464080JQ4 12/21/06 07/15/13 71.337 0.000 5.2095 164.24 0.124021 0.127251 0.130566 0.133967 0.137457 46.32 48.76 Irvington Township, NJ 464080JR2 12/21/06 07/15/14 67.412 0.000 5.2795 157.49 0.119062 0.122205 0.125431 0.128742 0.132140 44.49 46.86 Irvington Township, NJ 464080JS0 12/21/06 07/15/15 63.882 0.000 5.2996 149.86 0.113335 0.116338 0.119421 0.122585 0.125833 42.35 44.63 Irvington Township, NJ 464080JT8 12/21/06 07/15/16 60.176 0.000 5.3796 143.51 0.108674 0.111597 0.114598 0.117681 0.120846 40.63 42.85 Irvington Township, NJ 464080JU5 12/21/06 07/15/17 56.947 0.000 5.3997 136.36 0.103298 0.106087 0.108951 0.111893 0.114914 38.63 40.74 Irvington Township, NJ 464080JV3 12/21/06 07/15/18 53.750 0.000 5.4396 129.75 0.098356 0.101031 0.103779 0.106602 0.109501 36.79 38.82 Itron Inc. 465741AJ5 08/04/06 08/01/26* 100.000 VARIES N/A 0.250419 0.257096 0.264019 69.37* Ivax Corporation 465823AK8 12/22/04 12/15/24 98.500 VARIES 5.7510 0.199850 0.204099 0.208471 0.212968 0.217594 72.85 76.00 Ivax Corporation 465823AN2 12/22/04 12/15/24 98.500 VARIES 5.7510 0.199850 0.204099 0.208471 0.212968 0.217594 72.85 76.00 Ivax Corporation 465823AP7 05/09/05 05/15/25 100.000 VARIES 6.9833 0.264102 0.271869 0.279907 0.288225 0.296495 97.20 103.03 Ivax Corporation 465823AQ5 05/09/05 05/15/25 100.000 VARIES 6.9833 0.264102 0.271869 0.279907 0.288225 0.296495 97.20 103.03 JP Morgan Chase & Co. 46623EBY4 11/01/04 11/01/11 100.000 VARIES 4.4004 0.122131 0.122182 36.65 JP Morgan Chase & Co. 46625H241 07/31/09 07/31/14 100.000 0.000 5.8937 0.173506 0.178619 0.183883 0.189301 0.194880 64.95 68.83 JP Morgan Chase & Co. 46625H266 05/29/09 05/29/15 100.000 1.500 5.0865 0.149090 0.151822 0.154624 0.157497 0.160442 54.34 56.37 JP Morgan Chase & Co. 46625H563 10/31/08 10/31/13 100.000 0.000 7.5853 0.244535 0.253809 0.263436 0.273427 0.283797 90.85 97.88 JP Morgan Chase & Co. 46625H647 07/31/08 07/31/13 100.000 0.000 5.9091 0.184418 0.189867 0.195477 0.201252 0.207198 69.04 73.18 JP Morgan Chase & Co. 46625HCF5 03/23/05 03/22/12 100.000 0.000 4.9619 0.180456 0.184933 0.189521 66.67 15.35 JP Morgan Chase & Co. 46625HCL2 05/31/05 05/31/12 100.000 0.000 4.6009 0.164134 0.167910 0.171773 60.00 25.59 JP Morgan Chase & Co. 46625HCQ1 06/22/05 06/22/11 100.000 0.000 4.6504 0.166344 28.44 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 46625HDP2 11/29/05 11/29/11 100.000 0.000 5.1216 0.183200 0.187892 60.93 JP Morgan Chase & Co. 46625HFT2 04/28/06 04/28/11 100.000 0.000 5.6132 0.200035 23.40 JP Morgan Chase & Co. 46625HFU9 04/26/06 04/26/13 100.000 0.000 5.6025 0.199558 0.205148 0.210895 0.216802 0.222876 73.58 77.76 JP Morgan Chase & Co. 4662A02C4 07/20/10 09/20/11 100.000 7.000 1.1426 0.031430 0.030499 7.97 JP Morgan Chase & Co. 46634E783 12/24/09 06/23/15 100.000 0.000 3.6045 0.103759 0.105629 0.107533 0.109471 0.111444 37.72 39.09 Jackson CNTYS SD#165, IL 466484EV0 06/28/07 12/01/11 78.317 0.000 5.5991 167.52 0.147176 0.151296 49.31 Jackson CNTYS SD#165, IL 466484EW8 06/28/07 12/01/12 74.109 0.000 5.5992 158.52 0.139271 0.143170 0.147178 0.151299 51.08 49.31 Jackson CNTYS SD#165, IL 466484EX6 06/28/07 12/01/13 69.690 0.000 5.6993 151.97 0.133754 0.137565 0.141485 0.145517 0.149664 49.07 51.91 Jackson CNTYS SD#165, IL 466484EY4 06/28/07 12/01/14 65.644 0.000 5.7494 144.51 0.127307 0.130967 0.134732 0.138605 0.142589 46.71 49.44 Jackson CNTYS SD#165, IL 466484EZ1 06/28/07 12/01/15 61.520 0.000 5.8495 138.00 0.121793 0.125355 0.129021 0.132795 0.136679 44.70 47.36 Jackson CNTYS SD#165, IL 466484FA5 06/28/07 12/01/16 57.808 0.000 5.8995 130.89 0.115614 0.119025 0.122536 0.126150 0.129871 42.44 44.98 Jackson CNTYS SD#165, IL 466484FB3 06/28/07 12/01/17 53.993 0.000 5.9995 124.51 0.110182 0.113487 0.116892 0.120398 0.124010 40.46 42.93 Jackson CNTYS SD#165, IL 466484FC1 06/28/07 12/01/18 50.612 0.000 6.0496 117.78 0.104318 0.107473 0.110724 0.114073 0.117524 38.31 40.67 Jackson CNTYS SD#165, IL 466484FD9 06/28/07 12/01/19 47.112 0.000 6.1496 111.62 0.099038 0.102083 0.105222 0.108457 0.111792 36.39 38.66 Jackson CNTYS SD#165, IL 466484FE7 06/28/07 12/01/20 44.055 0.000 6.1997 105.30 0.093521 0.096420 0.099409 0.102490 0.105667 34.37 36.53 Jackson CNTYS SD#165, IL 466484FF4 06/28/07 12/01/21 41.157 0.000 6.2496 99.25 0.088219 0.090976 0.093819 0.096750 0.099774 32.42 34.48 Jackson CNTYS SD#165, IL 466484FG2 06/28/07 12/01/22 38.700 0.000 6.2497 93.32 0.082954 0.085546 0.088220 0.090976 0.093819 30.49 32.42 Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23 36.102 0.000 6.2996 87.82 0.078133 0.080594 0.083132 0.085751 0.088452 28.72 30.56 Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24 33.931 0.000 6.2996 82.54 0.073434 0.075747 0.078133 0.080594 0.083132 26.99 28.72 Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25 31.890 0.000 6.2997 77.57 0.069018 0.071191 0.073434 0.075747 0.078133 25.37 26.99 Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26 29.691 0.000 6.3497 72.85 0.064877 0.066936 0.069061 0.071254 0.073516 23.85 25.39 Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27 28.707 0.000 6.3499 70.42 0.062880 0.064877 0.066936 0.069062 0.071254 23.06 24.55 Jackson, TN 468826GP1 07/09/98 07/01/12 40.347 0.000 6.5999 503.72 0.166317 0.171806 0.177475 60.86 31.95 Jarden Corporation 471109AC2 04/30/09 05/01/16 97.401 8.000 8.5000 4.90 0.008789 0.009162 0.009551 0.009957 0.010381 3.28 3.56 Jefferson CNTYS #521, IL 474070GC7 11/30/07 12/01/11 106.275 VARIES 4.8730 0.137486 0.136437 45.18 Jefferson CNTYS #521, IL 474070GD5 11/30/07 12/01/12 106.872 VARIES 4.9279 0.140681 0.139767 0.138831 0.137871 50.43 45.64 Jefferson CNTYS #521, IL 474070GE3 11/30/07 12/01/13 107.171 VARIES 5.0310 0.144825 0.144031 0.143217 0.142382 0.141527 51.95 51.36 Jefferson CNTYS #521, IL 474070GF0 11/30/07 12/01/14 105.427 VARIES 5.1337 0.147021 0.146517 0.146000 0.145469 0.144925 52.81 52.43 Jersey & Green County,IL 476538DL4 06/03/10 02/01/12 104.734 0.000 2.0437 0.059656 0.060265 0.060881 21.77 1.83 Jersey & Green County,IL 476538DM2 06/03/10 02/01/13 106.687 VARIES 2.3595 0.070192 0.071020 0.071858 0.067243 0.066398 25.67 24.22 Josephine County, OR 480890AA0 10/30/01 06/01/17 36.621 0.000 6.5496 295.15 0.119670 0.123589 0.127637 0.131817 0.136133 44.03 46.96 Josephine County, OR 480890AB8 10/30/01 06/01/18 33.518 0.000 6.6996 278.26 0.113528 0.117331 0.121262 0.125324 0.129522 41.79 44.63 Josephine County, OR 480890AL6 10/30/01 06/01/11 57.805 0.000 5.7994 398.47 0.156557 23.48 Josephine County, OR 480890AM4 10/30/01 06/01/12 54.034 0.000 5.8995 380.65 0.150189 0.154619 0.159180 55.14 23.88 Josephine County, OR 480890AN2 10/30/01 06/01/13 50.411 0.000 5.9995 362.82 0.143760 0.148072 0.152514 0.157089 0.161802 52.79 56.01 Josephine County, OR 480890AP7 10/30/01 06/01/14 46.941 0.000 6.0994 345.06 0.137297 0.141485 0.145799 0.150246 0.154828 50.44 53.56 Josephine County, OR 480890AQ5 10/30/01 06/01/15 43.624 0.000 6.1996 327.45 0.130840 0.134896 0.139078 0.143389 0.147833 48.08 51.11 Josephine County, OR 480890AR3 10/30/01 06/01/16 40.464 0.000 6.2995 310.06 0.124410 0.128329 0.132371 0.136541 0.140841 45.73 48.66 JP Morgan Chase & Co. 48121CU95 10/31/08 04/29/11 100.000 0.000 5.5425 0.169812 20.04 JP Morgan Chase & Co. 48121CV29 10/31/08 04/29/11 100.000 0.000 5.5425 0.169812 20.04 JP Morgan Chase & Co. 48121CV94 10/31/08 10/31/13 100.000 0.000 7.5164 0.240655 0.245628 0.257660 0.264437 0.278923 89.81 96.87 JP Morgan Chase & Co. 48123J2D0 09/19/07 09/19/12 100.000 0.000 5.3736 0.175008 0.179710 0.184538 0.189497 64.82 48.50 JP Morgan Chase & Co. 48123J2E8 09/19/07 09/19/12 100.000 0.000 5.3736 0.175008 0.179710 0.184538 0.189497 64.82 48.50 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 48123J3L1 08/27/07 08/27/12 100.000 0.000 5.6034 0.183720 0.188868 0.194159 0.199599 68.36 46.80 JP Morgan Chase & Co. 48123J3N7 09/19/07 03/19/13 100.000 0.000 5.4833 0.179152 0.184064 0.189110 0.194295 0.199622 66.39 70.09 JP Morgan Chase & Co. 48123J4P1 09/28/07 03/28/13 100.000 0.000 5.4134 0.176508 0.181285 0.186192 0.191232 0.196408 65.30 68.89 JP Morgan Chase & Co. 48123J4Q9 09/28/07 09/28/12 100.000 0.000 5.3437 0.173880 0.178526 0.183296 0.188193 64.31 49.82 JP Morgan Chase & Co. 48123JA25 07/20/07 07/20/11 100.000 0.000 5.6219 0.184425 0.189609 37.63 JP Morgan Chase & Co. 48123JBA6 06/30/06 06/28/11 100.000 0.000 5.8597 0.211013 37.35 JP Morgan Chase & Co. 48123JEY1 09/29/06 09/30/13 100.000 0.000 5.3723 0.184512 0.189468 0.194558 0.199784 0.205151 68.23 71.95 JP Morgan Chase & Co. 48123JGD5 10/31/06 10/31/11 100.000 0.000 5.2930 0.181199 0.185994 55.04 JP Morgan Chase & Co. 48123JGS2 10/31/06 04/30/14 100.000 0.000 5.3122 0.181992 0.186826 0.191788 0.196882 0.202112 66.98 70.59 JP Morgan Chase & Co. 48123JHN2 11/30/06 11/29/13 100.000 0.000 5.2614 0.179872 0.184603 0.189460 0.194444 0.199559 65.91 69.43 JP Morgan Chase & Co. 48123JHP7 11/30/06 11/30/11 100.000 0.000 5.0819 0.172546 0.176931 57.56 JP Morgan Chase & Co. 48123JKR9 12/29/06 05/30/14 100.000 0.000 5.2900 0.180324 0.185094 0.189989 0.195015 0.200173 66.07 69.62 JP Morgan Chase & Co. 48123JKT5 12/29/06 12/30/11 100.000 0.000 5.1198 0.174115 0.178572 63.31 JP Morgan Chase & Co. 48123JKV0 12/29/06 06/29/12 100.000 0.000 5.1597 0.175722 0.180256 0.184906 64.09 32.91 JP Morgan Chase & Co. 48123JMM8 01/31/07 01/30/15 100.000 0.000 5.6332 0.185902 0.194307 0.196522 0.204278 0.207749 71.02 75.08 JP Morgan Chase & Co. 48123JMQ9 01/31/07 07/31/12 100.000 0.000 5.4520 0.182821 0.187805 0.192924 0.198183 68.24 41.27 JP Morgan Chase & Co. 48123JPU7 02/28/07 02/27/15 100.000 0.000 5.3382 0.174410 0.182033 0.183844 0.190826 0.193790 66.24 69.82 JP Morgan Chase & Co. 48123JQ51 08/22/07 08/22/11 100.000 0.000 5.4140 0.176531 0.181310 41.64 JP Morgan Chase & Co. 48123JQ69 08/22/07 08/22/11 100.000 0.000 5.4140 0.176531 0.181310 41.64 JP Morgan Chase & Co. 48123JQ85 08/22/07 02/22/13 100.000 0.000 5.6831 0.186765 0.192072 0.197530 0.203143 0.208915 69.58 73.59 JP Morgan Chase & Co. 48123JQ93 07/31/07 07/29/11 100.000 0.000 5.3024 0.172304 0.176872 36.66 JP Morgan Chase & Co. 48123JRG6 02/28/07 02/28/13 100.000 0.000 5.3427 0.177501 0.179271 0.186083 0.188977 0.197241 66.17 70.01 JP Morgan Chase & Co. 48123JRJ0 02/28/07 02/28/14 100.000 0.000 5.3423 0.177486 0.179256 0.186066 0.188960 0.197223 66.16 70.00 JP Morgan Chase & Co. 48123JRK7 02/28/07 02/28/14 100.000 0.000 5.3423 0.177486 0.179256 0.186066 0.188960 0.197223 66.16 70.00 JP Morgan Chase & Co. 48123JSB6 03/30/07 09/28/12 100.000 0.000 5.1229 0.169818 0.174168 0.178629 0.183204 62.74 48.52 JP Morgan Chase & Co. 48123JSD2 03/30/07 09/30/14 100.000 0.000 5.2522 0.174923 0.179517 0.184231 0.189069 0.194034 64.65 68.09 JP Morgan Chase & Co. 48123JTG4 04/02/07 03/29/12 100.000 0.000 5.1330 0.170189 0.174557 0.179037 62.87 15.76 JP Morgan Chase & Co. 48123JUZ0 04/30/07 10/31/14 100.000 0.000 5.3122 0.177283 0.181992 0.186826 0.191788 0.196882 65.25 68.76 JP Morgan Chase & Co. 48123JVA4 04/30/07 04/30/12 100.000 0.000 5.1529 0.171038 0.175445 0.179965 62.91 21.42 JP Morgan Chase & Co. 48123JVB2 04/18/07 10/31/11 100.000 0.000 5.2734 0.176067 0.180710 53.48 JP Morgan Chase & Co. 48123JXK0 05/30/07 05/31/11 100.000 0.000 5.3526 0.178877 26.65 JP Morgan Chase & Co. 48123JXL8 05/30/07 11/30/12 100.000 0.000 5.4518 0.182810 0.187793 0.192912 0.198171 67.02 64.41 JP Morgan Chase & Co. 48123JXM6 05/30/07 05/31/11 100.000 0.000 5.3526 0.178877 26.65 JP Morgan Chase & Co. 48123JZV4 07/20/07 01/23/13 100.000 0.000 5.7512 0.189470 0.194918 0.200523 0.206289 0.212221 70.94 75.07 JP Morgan Chase & Co. 48123JZX0 07/20/07 07/20/11 100.000 0.000 5.6219 0.184425 0.189609 37.63 JP Morgan Chase & Co. 48123L2Z6 07/24/09 07/23/14 100.000 0.000 4.4937 0.130483 0.133415 0.136413 0.139478 0.142612 48.44 50.64 JP Morgan Chase & Co. 48123L3N2 07/02/09 07/02/14 100.000 VARIES 2.9362 0.081922 0.082770 0.083631 0.084110 0.084595 29.95 30.37 JP Morgan Chase & Co. 48123L3R3 07/20/09 07/20/14 100.000 VARIES 2.9075 0.080893 0.081559 0.082235 0.082400 0.082567 29.46 29.69 JP Morgan Chase & Co. 48123L4J0 08/31/09 08/31/12 100.000 0.000 2.6618 0.075502 0.075259 0.077099 0.077276 27.71 18.77 JP Morgan Chase & Co. 48123L6J8 09/30/09 09/28/12 100.000 0.000 2.5609 0.072962 0.073896 0.074842 0.075801 26.61 20.16 JP Morgan Chase & Co. 48123LAR5 06/13/08 12/13/12 100.000 0.000 5.2410 0.165685 0.170027 0.174483 0.179055 60.59 60.50 JP Morgan Chase & Co. 48123LC36 02/27/09 02/27/14 100.000 0.000 5.9738 0.181258 0.186672 0.192247 0.197990 0.203904 67.59 71.69 JP Morgan Chase & Co. 48123LC44 02/27/09 02/27/15 100.000 0.000 6.1636 0.187534 0.193313 0.199271 0.205412 0.211742 70.01 74.39 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 48123LDP6 07/31/08 08/02/12 100.000 0.000 5.4526 0.168720 0.173320 0.178046 0.182900 62.96 38.44 JP Morgan Chase & Co. 48123LDQ4 07/31/08 07/31/14 100.000 0.000 6.1320 0.192207 0.198100 0.204174 0.210434 0.216886 72.06 76.55 JP Morgan Chase & Co. 48123LDR2 07/31/08 01/31/11 100.000 0.000 4.7839 0.146067 4.24 JP Morgan Chase & Co. 48123LDS0 07/31/08 01/31/11 100.000 0.000 4.7839 0.146067 4.24 JP Morgan Chase & Co. 48123LDT8 07/31/08 07/31/13 100.000 0.000 5.9323 0.185227 0.190721 0.196378 0.202203 0.208200 69.35 73.53 JP Morgan Chase & Co. 48123LDX9 07/31/08 07/31/13 100.000 0.000 5.9323 0.185227 0.190721 0.196378 0.202203 0.208200 69.35 73.53 JP Morgan Chase & Co. 48123LED2 07/30/08 10/31/11 100.000 0.000 5.1358 0.159916 0.164023 48.55 JP Morgan Chase & Co. 48123LH31 03/31/09 03/31/14 100.000 0.000 6.8761 0.211389 0.218657 0.226174 0.233950 0.241994 78.75 84.26 JP Morgan Chase & Co. 48123LHH0 09/30/08 03/31/11 100.000 0.000 4.9162 0.150494 13.39 JP Morgan Chase & Co. 48123LLQ5 08/19/08 08/20/12 100.000 0.000 5.3068 0.163716 0.168060 0.172519 0.177096 60.87 40.33 JP Morgan Chase & Co. 48123LMF8 09/30/08 09/30/13 100.000 0.000 6.2147 0.195109 0.201172 0.207423 0.213868 0.220514 72.45 77.02 JP Morgan Chase & Co. 48123LMG6 09/30/08 09/30/14 100.000 0.000 6.3642 0.200384 0.206761 0.213340 0.220129 0.227134 74.47 79.28 JP Morgan Chase & Co. 48123LNS9 09/30/08 03/31/11 100.000 0.000 4.9162 0.150494 13.39 JP Morgan Chase & Co. 48123LNT7 09/30/08 03/31/11 100.000 0.000 4.9162 0.150494 13.39 JP Morgan Chase & Co. 48123LNU4 09/30/08 09/30/11 100.000 0.000 5.3259 0.164342 0.168718 45.00 JP Morgan Chase & Co. 48123LNV2 09/30/08 09/30/13 100.000 0.000 6.2147 0.195109 0.201172 0.207423 0.213868 0.220514 72.45 77.02 JP Morgan Chase & Co. 48123LP40 04/30/09 01/31/13 100.000 0.000 5.2314 0.155020 0.159075 0.163236 0.167505 0.171887 57.78 60.84 JP Morgan Chase & Co. 48123LPC2 09/12/08 03/10/14 100.000 0.000 5.2252 0.160875 0.165078 0.169391 0.173817 0.178358 59.62 62.77 JP Morgan Chase & Co. 48123LPE8 09/11/08 09/13/11 100.000 0.000 4.9289 0.150960 0.154680 38.71 JP Morgan Chase & Co. 48123LQ56 04/17/09 04/17/14 100.000 VARIES 2.9876 0.083398 0.083820 0.083913 0.084007 0.083866 30.14 30.22 JP Morgan Chase & Co. 48123LRT3 10/31/08 10/31/13 100.000 0.000 7.5661 0.243827 0.253051 0.262624 0.272559 0.282870 90.58 97.57 JP Morgan Chase & Co. 48123LRU0 10/31/08 10/31/14 100.000 0.000 7.7555 0.250843 0.260570 0.270674 0.281171 0.292074 93.26 100.64 JP Morgan Chase & Co. 48123LRY2 10/31/08 10/31/11 100.000 0.000 6.2970 0.198009 0.204244 60.33 JP Morgan Chase & Co. 48123LRZ9 10/31/08 10/31/11 100.000 0.000 6.2970 0.198009 0.204244 60.33 JP Morgan Chase & Co. 48123LS96 04/14/09 03/12/12 100.000 0.000 5.8751 0.177103 0.182306 0.187661 65.84 13.32 JP Morgan Chase & Co. 48123LUM4 10/31/08 10/30/15 100.000 0.000 7.9479 0.255131 0.263820 0.274304 0.285205 0.298168 95.92 103.89 JP Morgan Chase & Co. 48123LUN2 10/31/08 10/30/15 100.000 0.000 7.9479 0.255131 0.263820 0.274304 0.285205 0.298168 95.92 103.89 JP Morgan Chase & Co. 48123LVF8 11/28/08 05/31/11 100.000 0.000 5.3920 0.166646 24.83 JP Morgan Chase & Co. 48123LVG6 11/28/08 05/31/11 100.000 0.000 5.3920 0.166646 24.83 JP Morgan Chase & Co. 48123LVN1 11/28/08 11/28/14 100.000 0.000 6.9664 0.221915 0.229645 0.237644 0.245922 0.254488 81.80 87.60 JP Morgan Chase & Co. 48123LVP6 11/28/08 05/29/15 100.000 0.000 7.0456 0.224826 0.232746 0.240945 0.249433 0.258220 82.88 88.82 JP Morgan Chase & Co. 48123LWW0 12/29/08 06/29/11 100.000 0.000 4.3053 0.130230 23.18 JP Morgan Chase & Co. 48123LWX8 12/29/08 06/29/11 100.000 0.000 4.3053 0.130230 23.18 JP Morgan Chase & Co. 48123LXB5 12/29/08 12/30/13 100.000 0.000 5.5032 0.170427 0.175117 0.179935 0.184887 0.189974 62.21 65.68 JP Morgan Chase & Co. 48123LXC3 12/29/08 12/28/11 100.000 0.000 4.4642 0.135440 0.138463 48.90 JP Morgan Chase & Co. 48123LXM1 12/29/08 12/29/14 100.000 0.000 5.6426 0.175190 0.180133 0.185215 0.190441 0.195814 63.98 67.64 JP Morgan Chase & Co. 48123M4H2 05/22/08 05/23/11 100.000 0.000 4.3026 0.132955 18.88 JP Morgan Chase & Co. 48123M4N9 05/22/08 11/22/13 100.000 0.000 4.9518 0.155444 0.159292 0.163236 0.167278 0.171420 56.96 59.81 JP Morgan Chase & Co. 48123M5Y4 06/30/08 06/28/13 100.000 0.000 5.4798 0.174196 0.178969 0.183872 0.188910 0.194086 63.60 67.13 JP Morgan Chase & Co. 48123M5Z1 06/30/08 06/28/13 100.000 0.000 5.4798 0.174196 0.178969 0.183872 0.188910 0.194086 63.60 67.13 JP Morgan Chase & Co. 48123M6A5 06/30/08 06/30/14 100.000 0.000 5.6400 0.180039 0.185117 0.190337 0.195704 0.201223 65.74 69.50 JP Morgan Chase & Co. 48123M6L1 06/06/08 06/06/13 100.000 0.000 5.1615 0.162858 0.167062 0.171373 0.175796 0.180333 59.60 62.71 JP Morgan Chase & Co. 48123MDK5 11/21/07 05/21/13 100.000 0.000 5.4319 0.177207 0.182020 0.186963 0.192041 0.197257 65.05 68.63 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 48123MDL3 11/21/07 11/21/12 100.000 0.000 5.3523 0.174206 0.178868 0.183655 0.188570 63.93 59.65 JP Morgan Chase & Co. 48123MDM1 11/21/07 05/21/13 100.000 0.000 5.4319 0.177207 0.182020 0.186963 0.192041 0.197257 65.05 68.63 JP Morgan Chase & Co. 48123MER9 11/30/07 11/30/12 100.000 0.000 5.0116 0.161498 0.165544 0.169693 0.173945 59.12 56.59 JP Morgan Chase & Co. 48123MES7 11/30/07 05/31/13 100.000 0.000 5.1118 0.165210 0.169433 0.173763 0.178204 0.182759 60.50 63.63 JP Morgan Chase & Co. 48123MF80 04/25/08 04/25/13 100.000 0.000 5.0228 0.157945 0.161912 0.165978 0.170146 0.174419 58.10 61.06 JP Morgan Chase & Co. 48123MG97 04/30/08 10/31/12 100.000 0.000 4.8928 0.153371 0.157123 0.160967 0.164905 56.35 48.84 JP Morgan Chase & Co. 48123MH21 04/30/08 04/30/13 100.000 0.000 5.0426 0.158645 0.162645 0.166746 0.170950 0.175260 58.33 61.30 JP Morgan Chase & Co. 48123MH39 04/30/08 04/30/14 100.000 0.000 5.2026 0.164319 0.168593 0.172979 0.177479 0.182096 60.45 63.64 JP Morgan Chase & Co. 48123MHT2 11/30/07 11/30/12 100.000 0.000 5.0116 0.161498 0.165544 0.169693 0.173945 59.12 56.59 JP Morgan Chase & Co. 48123MHZ8 12/21/07 03/21/12 100.000 0.000 5.0099 0.159462 0.163456 0.167551 58.93 13.40 JP Morgan Chase & Co. 48123MJA1 12/21/07 03/21/12 100.000 0.000 5.0099 0.159462 0.163456 0.167551 58.93 13.40 JP Morgan Chase & Co. 48123MJN3 12/26/07 06/26/13 100.000 0.000 5.1101 0.165147 0.169367 0.173694 0.178132 0.182683 60.26 63.37 JP Morgan Chase & Co. 48123MMN9 01/31/08 04/30/12 100.000 0.000 4.2604 0.132902 0.135733 0.138625 48.70 16.50 JP Morgan Chase & Co. 48123MMS8 01/31/08 01/31/13 100.000 0.000 4.5315 0.140797 0.143987 0.147249 0.150586 0.153997 52.24 54.63 JP Morgan Chase & Co. 48123MPA4 01/31/08 01/31/14 100.000 0.000 4.7582 0.148663 0.152200 0.155821 0.159528 0.163323 55.24 57.90 JP Morgan Chase & Co. 48123MSA1 02/29/08 08/30/12 100.000 0.000 4.4026 0.134863 0.137079 0.140097 0.143181 50.28 34.47 JP Morgan Chase & Co. 48123MSD5 02/29/08 02/28/13 100.000 0.000 4.5721 0.141416 0.142290 0.147143 0.148871 0.154798 52.48 55.11 JP Morgan Chase & Co. 48123MSE3 02/29/08 02/28/14 100.000 0.000 4.8222 0.150063 0.151176 0.156522 0.158554 0.165068 55.77 58.71 JP Morgan Chase & Co. 48123MVT6 02/26/08 02/26/13 100.000 0.000 4.7223 0.147410 0.150891 0.154454 0.158101 0.161834 54.57 57.18 JP Morgan Chase & Co. 48123MW65 05/30/08 11/30/12 100.000 0.000 4.8222 0.150897 0.154535 0.158262 0.162077 55.21 52.75 JP Morgan Chase & Co. 48123MX31 05/30/08 05/31/13 100.000 0.000 4.9616 0.155788 0.159653 0.163613 0.167672 0.171832 57.02 59.89 JP Morgan Chase & Co. 48123MX49 05/30/08 05/30/14 100.000 0.000 5.1515 0.162503 0.166689 0.170982 0.175386 0.179904 59.52 62.62 JP Morgan Chase & Co. 48124A3Q8 12/20/10 12/21/15 100.000 0.000 3.3603 0.093353 0.094922 0.096516 0.098138 0.099787 33.92 35.07 JP Morgan Chase & Co. 48124A4S3 12/28/10 12/26/14 100.000 0.000 2.6121 0.072560 0.073497 0.074457 0.075429 0.076414 26.30 26.99 JP Morgan Chase & Co. 48124ACX3 12/28/09 12/31/14 100.000 0.000 3.5880 0.102736 0.102874 0.105870 0.106598 0.110309 37.53 38.89 JP Morgan Chase & Co. 48124ACY1 12/28/09 12/31/15 100.000 0.000 3.8782 0.111366 0.111674 0.115091 0.116047 0.120258 40.71 42.30 JP Morgan Chase & Co. 48124ACZ8 12/28/09 12/31/14 100.000 0.000 3.5880 0.102736 0.102874 0.105870 0.106598 0.110309 37.53 38.89 JP Morgan Chase & Co. 48124AD20 09/30/10 09/30/16 100.000 0.000 3.0410 0.084473 0.085757 0.087061 0.088385 0.089729 30.88 31.82 JP Morgan Chase & Co. 48124AGR2 02/05/10 02/07/12 100.000 0.000 1.4202 0.039734 0.040017 0.040301 14.44 1.45 JP Morgan Chase & Co. 48124AKU0 03/29/10 03/27/15 100.000 1.800 3.4731 0.097275 0.098096 0.098931 0.099781 0.100646 35.32 35.93 JP Morgan Chase & Co. 48124ALG0 04/08/10 04/08/14 100.000 0.000 3.0012 0.084620 0.085890 0.087179 0.088487 0.089815 30.90 31.84 JP Morgan Chase & Co. 48124ANY9 05/11/10 05/12/15 100.000 1.800 3.4048 0.095342 0.096114 0.096899 0.097698 0.098510 34.54 35.11 JP Morgan Chase & Co. 48124ARD1 06/09/10 06/09/15 100.000 0.000 3.8907 0.110178 0.112321 0.114506 0.116734 0.119005 40.15 41.72 JP Morgan Chase & Co. 48124ASD0 05/28/10 05/31/16 100.000 0.000 3.9190 0.109810 0.111350 0.113532 0.115757 0.118673 40.48 42.12 JP Morgan Chase & Co. 48124AUK1 06/15/10 06/15/15 100.000 1.650 3.6021 0.101036 0.102030 0.103042 0.104073 0.105122 36.58 37.31 JP Morgan Chase & Co. 48124AV38 11/30/10 11/30/16 100.000 0.000 3.1390 0.087195 0.088563 0.089953 0.091365 0.092799 31.72 32.73 JP Morgan Chase & Co. 48124AV46 11/30/10 11/28/14 100.000 0.000 2.2307 0.061966 0.062650 0.063349 0.064055 0.064770 22.48 22.98 JP Morgan Chase & Co. 48124AV95 11/30/10 11/30/16 100.000 0.000 3.0404 0.084457 0.085741 0.087044 0.088368 0.089711 30.72 31.66 JP Morgan Chase & Co. 48124AZC4 08/31/10 08/29/14 100.000 0.000 2.1822 0.059625 0.060600 0.060595 0.061930 0.062263 22.06 22.63 JP Morgan Chase & Co. 48124AZW0 09/15/10 09/15/25 100.000 VARIES 3.5831 0.099533 0.096837 0.094093 0.092669 0.091220 34.77 33.31 JP Morgan Chase & Co. 48125XCU8 02/17/11 02/17/26 100.000 VARIES 5.6348 0.156524 0.155607 0.154664 0.153694 49.03 55.59 JP Morgan Chase & Co. 48125XKB1 03/30/11 03/30/21 100.000 VARIES 5.0718 0.140884 0.142344 0.143840 0.145375 38.31 51.79 JP Morgan Chase & Co. 48125XKM7 04/08/11 04/08/22 100.000 VARIES 5.1602 0.143339 0.144171 0.145024 0.145899 37.77 52.20 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 48125XKS4 03/30/11 03/30/17 100.000 0.000 4.0116 0.111434 0.113669 0.115949 0.118275 30.40 41.75 JP Morgan Chase & Co. 48125XTB2 06/15/11 06/15/23 100.000 VARIES 5.0712 0.140868 0.141447 0.142040 0.142648 27.62 51.05 Justice Park Dist, IL 48214PAK1 06/07/11 12/01/12 103.617 0.000 2.4425 0.070303 0.071133 0.072002 14.37 23.63 Justice Park Dist, IL 48214PAL9 06/07/11 12/01/13 104.750 VARIES 2.9582 0.086076 0.087307 0.088598 0.083814 17.60 31.56 Justice Park Dist, IL 48214PAM7 06/07/11 12/01/14 104.211 VARIES 3.6619 0.106004 0.107880 0.109855 0.104322 21.68 39.09 Justice Park Dist, IL 48214PAN5 06/07/11 12/01/15 104.066 VARIES 3.9671 0.114681 0.116880 0.119198 0.113389 23.46 42.39 Justice Park Dist, IL 48214PAP0 06/07/11 12/01/16 102.404 VARIES 4.4687 0.127116 0.129861 0.132763 0.126523 26.01 47.17 Justice Park Dist, IL 48214PAQ8 06/07/11 12/01/17 101.380 VARIES 4.7209 0.132948 0.135982 0.139192 0.132752 27.21 49.43 Justice Park Dist, IL 48214PAR6 06/07/11 12/01/18 100.000 VARIES 4.9723 0.138121 0.141441 0.144957 0.138317 28.28 51.46 Justice Park Dist, IL 48214PAS4 06/07/11 12/01/19 97.305 VARIES 5.3724 0.145214 0.148984 0.152986 0.146028 29.74 54.27 Justice Park Dist, IL 48214PAT2 06/07/11 12/01/20 94.574 VARIES 5.7224 0.150331 0.154489 0.158909 0.151667 30.79 56.33 Justice Park Dist, IL 48214PAU9 06/07/11 12/01/21 92.300 VARIES 5.9725 0.153129 0.157550 0.162255 0.154796 31.37 57.48 KBC IFIMA NV 48240JAA5 06/27/08 06/27/13 100.000 6.000 4.7451 0.135666 0.134930 0.134177 0.133407 0.132617 48.70 48.16 KBC IFIMA NV 48240JAB3 08/07/08 08/07/12 100.000 0.000 4.5769 0.139183 0.142368 0.145626 0.148959 51.61 32.06 KFW 48245ABB6 06/22/07 06/22/37 12.693 0.000 7.0001 34.84 0.031402 0.032501 0.033638 0.034816 0.036034 11.52 12.34 Kendall, Kane & Will IL 488764NR8 04/22/03 10/01/11 106.125 VARIES 4.6066 0.129068 0.128521 34.75 Kendall, Kane & Will IL 488764NS6 04/22/03 10/01/12 100.093 VARIES 4.7793 0.132812 0.132800 0.132787 0.132774 47.81 35.85 Kendall, Kane & Will IL 488764NT4 04/22/03 10/01/13 100.778 VARIES 4.8954 0.136378 0.136316 0.136254 0.136189 0.136123 49.07 49.03 KFW 500769BR4 04/19/06 04/18/36 19.778 0.000 5.4761 57.19 0.038359 0.039410 0.040489 0.041597 0.042736 14.15 14.94 KFW 500769CH5 06/29/07 06/29/37 18.097 0.000 5.7800 40.01 0.035469 0.036494 0.037549 0.038634 0.039750 12.96 13.72 LTX-Credence Corporation 502403AA6 03/27/09 05/15/11 55.190 3.500 38.6963 0.983951 131.85 LTX-Credence Corporation 502403AB4 05/26/09 05/15/11 56.940 3.500 39.9143 1.009768 135.31 L-3 Commun Hldgs, Inc 502413AW7 07/29/05 08/01/35 100.000 VARIES 6.3295 0.209678 0.213676 0.217801 0.222057 0.226447 77.42 80.47 L-3 Commun Hldgs, Inc 502424AE4 07/29/05 08/01/35 100.000 VARIES 6.3295 0.209678 0.213676 0.217801 0.222057 0.226447 77.42 80.47 LaSalle CNTY SD# 112, IL 504498DB9 11/03/11 12/01/12 102.938 0.000 2.2191 0.063455 0.063565 0.064270 3.68 21.10 LaSalle Cnty, IL SD #125 504534CC0 03/06/08 12/01/11 106.222 VARIES 4.2744 0.120892 0.119825 39.70 LaSalle Cnty, IL SD #125 504534CD8 03/06/08 12/01/12 107.706 VARIES 4.2894 0.123356 0.122338 0.121298 0.120235 44.16 39.84 LaSalle Cnty, IL SD #125 504534CE6 03/06/08 12/01/13 108.599 VARIES 4.3978 0.128118 0.127178 0.126218 0.125237 0.124235 45.90 45.20 LaSalle Cnty, IL SD #141 504588EF7 11/30/10 12/01/11 103.043 0.000 1.9209 0.054986 0.055514 18.24 LaSalle Cnty, IL SD #141 504588EG5 11/30/10 12/01/12 105.252 VARIES 2.2326 0.065279 0.066008 0.063553 0.062790 23.58 20.84 LaSalle Cnty, IL SD #141 504588EH3 11/30/10 12/01/13 106.846 VARIES 2.6857 0.079716 0.080787 0.077871 0.077070 0.076259 28.84 27.84 LaSalle Cnty, IL SD #150 504597AW5 09/03/08 12/01/11 107.061 VARIES 4.8310 0.137328 0.135781 45.04 LaSalle Cnty, IL SD #150 504597AX3 09/03/08 12/01/12 107.048 VARIES 5.0510 0.145317 0.144111 0.142875 0.141608 52.02 46.92 LaSalle Cnty, IL SD #150 504597AY1 09/03/08 12/01/13 107.923 VARIES 5.1770 0.150807 0.149714 0.148592 0.147441 0.146260 54.03 53.22 Lake County IL SD #187 509262CV1 04/09/03 01/01/21 35.244 0.000 5.9694 202.88 0.092082 0.094831 0.097661 0.100576 33.64 35.68 Lamar Media Corporation 513075AN1 08/17/06 08/15/15 92.809 6.625 7.7500 28.91 0.021368 0.022196 0.023056 0.023949 0.024877 8.07 8.71 Lamar Media Corporation 513075AP6 08/17/06 08/15/15 92.809 6.625 7.7500 28.91 0.021368 0.022196 0.023056 0.023949 0.024877 8.07 8.71 Lamar Media Corporation 513075AQ4 08/17/06 08/15/15 92.809 6.625 7.7500 28.91 0.021368 0.022196 0.023056 0.023949 0.024877 8.07 8.71 Lamar Media Corporation 513075AV3 03/27/09 04/01/14 89.979 9.750 12.5008 28.60 0.049987 0.053111 0.056431 0.059958 0.063706 19.14 21.60 Lee & Dekalb Counties,IL 523351BP8 09/30/11 01/01/13 100.000 0.000 2.4987 0.069410 0.069849 0.070721 6.32 25.30 Lee & Dekalb Counties,IL 523351BQ6 09/30/11 01/01/14 100.000 0.000 2.9991 0.083311 0.083942 0.085201 7.58 30.45 Lee & Dekalb Counties,IL 523351BR4 09/30/11 01/01/15 100.000 0.000 3.4989 0.097193 0.098052 0.099768 8.84 35.61 Lee & Dekalb Counties,IL 523351BS2 09/30/11 01/01/16 100.000 0.000 3.9990 0.111085 0.112208 0.114452 10.11 40.80 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Lee & Dekalb Counties,IL 523351BT0 09/30/11 01/01/17 100.000 0.000 3.7493 0.104148 0.105135 0.107106 9.48 38.20 Lee & Dekalb Counties,IL 523351BU7 09/30/11 01/01/18 100.000 0.000 3.9993 0.111094 0.112217 0.114461 10.11 40.80 Lee & Dekalb Counties,IL 523351BV5 09/30/11 01/01/19 100.000 0.000 4.2492 0.118036 0.119304 0.121838 10.74 43.41 Lee & Dekalb Counties,IL 523351BW3 09/30/11 01/01/20 117.427 0.000 4.4992 0.146758 0.148427 0.151766 13.35 54.03 Lee & Ogle Counties, IL 523372AX8 06/09/05 04/01/11 68.268 0.000 6.6757 301.17 0.179448 16.15 Legg Mason, Inc. 524901303 05/12/08 06/30/21* 100.000 VARIES 6.9753 0.201325 36.04* Legg Mason, Inc. 524901AN5 05/12/08 06/30/21 100.000 VARIES 6.9753 0.201325 0.202922 0.202597 0.202262 0.201914 72.77 72.87 Lehman Bros Hldgs Inc 524908LS7 02/11/04 02/11/11 100.000 0.750 4.3200 0.151759 6.07 Lehman Bros Hldgs Inc 524908MJ6 10/06/04 10/06/11 100.000 0.250 4.4000 0.156623 0.159916 43.66 Lehman Bros Hldgs Inc 524908NM8 06/29/05 06/29/12 100.000 0.250 4.4344 0.154890 0.158171 0.161524 56.36 28.75 Lehman Bros Hldgs Inc 524908NX4 10/13/05 10/13/15 100.000 5.175 5.1749 0.143750 0.143750 0.143750 0.143750 0.143750 51.75 51.75 Lehman Bros Hldgs Inc 524908NY2 10/28/05 10/28/12 100.000 3.000 4.9995 0.154432 0.156209 0.158031 0.159898 56.14 47.27 Lehman Bros Hldgs Inc 524908PA2 11/17/05 11/17/12 100.000 3.000 5.2215 0.163184 0.165268 0.167407 0.169602 59.31 53.30 Lehman Bros Hldgs Inc 524908PG9 01/06/06 01/06/12 100.000 0.250 5.0450 0.173615 0.177820 0.182130 64.75 .91 Lehman Bros Hldgs Inc 524908PN4 03/29/06 03/29/13 100.000 1.500 5.4019 0.179437 0.183158 0.186980 0.190905 0.194936 65.96 68.75 Lehman Bros Hldgs Inc 524908SH4 08/01/06 08/01/13 100.000 2.000 5.4200 0.173215 0.176403 0.179678 0.183042 0.186497 63.90 66.31 Lehman Bros Hldgs Inc 524908TX8 10/12/06 10/12/11 100.000 0.250 5.5099 0.188541 0.193544 53.88 Lehman Bros Hldgs Inc 524908TZ3 10/17/06 10/17/13 100.000 1.000 5.3799 0.178229 0.182277 0.186433 0.190700 0.195083 65.50 68.52 Lehman Bros Hldgs Inc 524908UC2 12/12/06 12/12/13 100.000 0.250 5.0399 0.169313 0.173405 0.177599 0.181900 0.186309 61.85 64.88 Lehman Bros Hldgs Inc 524908UE8 12/11/06 12/11/11 104.625 0.000 5.0399 0.178744 0.183249 61.58 Lehman Bros Hldgs Inc 524908UH1 12/21/06 12/21/11 100.000 0.000 5.2200 0.178192 0.182843 63.20 Lehman Bros Hldgs Inc 524908UL2 12/27/06 12/27/13 100.000 0.450 5.1200 0.171296 0.175361 0.179530 0.183806 0.188192 62.43 65.44 Lehman Bros Hldgs Inc 524908UU2 02/06/07 02/06/14 100.000 1.250 5.5630 0.179894 0.183932 0.188082 0.192348 0.196732 66.68 69.73 Lehman Bros Hldgs Inc 524908UY4 02/16/07 02/16/12 100.000 0.250 5.3845 0.178720 0.183344 0.188093 66.44 8.46 Lehman Bros Hldgs Inc 524908VU1 03/29/07 03/29/14 100.000 1.000 5.6108 0.183228 0.187589 0.192072 0.196682 0.201420 67.56 70.84 Lehman Bros Hldgs Inc 52517P2E0 05/23/07 05/23/22 100.000 VARIES 5.3475 0.133233 0.133723 0.134227 0.134744 0.135274 48.09 48.45 Lehman Bros Hldgs Inc 52517P2J9 05/24/07 05/24/24 100.000 VARIES 5.5681 0.144190 0.144454 0.144725 0.145003 0.145290 51.98 52.17 Lehman Bros Hldgs Inc 52517P2V2 01/11/08 01/11/11 100.000 0.000 5.2399 0.165649 1.66 Lehman Bros Hldgs Inc 52517P4R9 11/14/07 11/14/12 100.000 0.000 5.9599 0.197452 0.203336 0.209395 0.215635 72.70 66.66 Lehman Bros Hldgs Inc 52517P4T5 08/29/07 08/29/22 100.000 VARIES 6.2092 0.145072 0.141442 0.135390 0.133025 0.128347 51.08 48.24 Lehman Bros Hldgs Inc 52517P4U2 07/01/08 07/02/12 100.000 0.000 6.2999 0.198148 0.204390 0.210828 0.217469 74.73 39.36 Lehman Bros Hldgs Inc 52517P4X6 08/21/07 08/21/37 100.000 VARIES 7.1259 0.200323 0.203006 0.205786 0.208664 0.211645 73.31 75.36 Lehman Bros Hldgs Inc 52517P5S6 09/26/07 09/26/22 100.000 VARIES 5.7211 0.134299 0.130195 0.126768 0.123243 0.119617 46.89 44.32 Lehman Bros Hldgs Inc 52517P7A3 10/11/07 10/11/11 80.899 0.000 5.3700 150.71 0.141469 0.145267 40.30 Lehman Bros Hldgs Inc 52517PAE1 10/15/93 10/15/23 100.000 VARIES 6.9789 0.206170 0.205872 0.205563 0.205244 0.204913 74.12 73.90 Lehman Bros Hldgs Inc 52517PC25 10/20/05 10/20/20 100.000 VARIES 5.2456 0.129868 0.126097 0.122955 0.119730 0.117060 46.21 43.98 Lehman Bros Hldgs Inc 52517PE98 03/15/06 03/15/11 100.000 0.000 5.2946 0.186063 13.77 Lehman Bros Hldgs Inc 52517PH46 05/17/06 05/17/21 100.000 VARIES 5.8803 0.165103 0.165670 0.166049 0.166439 0.166841 59.58 59.88 Lehman Bros Hldgs Inc 52517PK42 07/26/06 07/26/21 100.000 VARIES 4.6197 0.124884 0.125523 0.126016 0.126521 0.127037 45.25 45.61 Lehman Bros Hldgs Inc 52517PL66 09/14/06 09/14/21 95.000 VARIES 5.7713 0.149692 0.149322 0.148942 0.149032 0.149124 53.74 53.65 Lehman Bros Hldgs Inc 52517PL74 09/12/06 09/12/11 100.000 0.000 5.4399 0.187299 0.192394 47.93 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Lehman Bros Hldgs Inc 52517PM24 09/29/06 09/29/21 95.500 VARIES 5.8013 0.152401 0.152188 0.151970 0.152067 0.152168 54.79 54.74 Lehman Bros Hldgs Inc 52517PM99 10/27/06 10/27/16 94.650 VARIES 5.6132 0.148017 0.148078 0.148141 0.148401 0.148668 53.30 53.41 Lehman Bros Hldgs Inc 52517PN64 11/07/06 11/07/16 100.000 VARIES 5.5099 0.145537 0.145721 0.145909 0.146102 0.146301 52.45 52.58 Lehman Bros Hldgs Inc 52517PQ20 12/28/06 12/28/21 100.000 VARIES 5.1185 0.136696 0.135929 0.135142 0.134691 0.134228 49.07 48.57 Lehman Bros Hldgs Inc 52517PQ87 12/21/06 12/21/21 97.500 VARIES 5.3886 0.134616 0.134501 0.134382 0.134261 0.134136 48.44 48.35 Lehman Bros Hldgs Inc 52517PR37 01/12/07 01/12/22 100.000 VARIES 5.3883 0.139916 0.140168 0.140427 0.140693 0.140966 50.50 50.69 Lehman Bros Hldgs Inc 52517PT27 02/15/07 02/15/22 97.500 VARIES 5.4901 0.144940 0.144344 0.143731 0.143101 0.143407 51.91 51.59 Lehman Bros Hldgs Inc 52517PT68 02/16/07 02/16/17 100.000 VARIES 5.6999 0.149322 0.149896 0.150487 0.151095 0.151720 54.02 54.45 Lehman Bros Hldgs Inc 52517PU82 03/05/07 03/05/22 100.000 VARIES 5.5000 0.145478 0.145710 0.145948 0.146192 0.146444 52.47 52.64 Lehman Bros Hldgs Inc 52517PUL3 06/12/03 06/12/18 100.000 VARIES 5.2471 0.127627 0.123809 0.120605 0.117318 0.114571 45.74 43.42 Lehman Bros Hldgs Inc 52517PUP4 07/03/03 07/03/18 100.000 VARIES 4.7451 0.099855 0.099003 0.094864 0.096109 0.097319 35.38 35.39 Lehman Bros Hldgs Inc 52517PUR0 07/17/03 07/17/15 100.000 VARIES 4.3972 0.096135 0.099877 0.100408 0.103743 0.104872 36.48 38.11 Lehman Bros Hldgs Inc 52517PV40 06/19/07 06/19/17 100.000 VARIES 5.4394 0.148045 0.148233 0.148427 0.148626 0.148830 53.33 53.47 Lehman Bros Hldgs Inc 52517PVN8 12/17/03 12/17/18 100.000 VARIES 6.0028 0.181611 0.180990 0.181373 0.181273 0.182165 66.17 66.38 Lehman Bros Hldgs Inc 52517PVR9 01/13/04 01/13/11 100.000 0.250 4.3800 0.158986 1.91 Lehman Bros Hldgs Inc 52517PW80 04/20/07 04/20/22 100.000 VARIES 5.1283 0.135067 0.133900 0.132704 0.131477 0.131643 48.25 47.48 Lehman Bros Hldgs Inc 52517PWB3 04/08/04 04/08/14 100.000 VARIES 4.8469 0.113038 0.114707 0.117487 0.120335 0.123928 41.94 44.07 Lehman Bros Hldgs Inc 52517PWC1 04/08/04 04/08/11 100.000 VARIES 4.2283 0.113758 11.03 Lehman Bros Hldgs Inc 52517PWD9 04/14/04 04/14/11 100.000 VARIES 3.5801 0.098264 10.12 Lehman Bros Hldgs Inc 52517PWX5 07/07/04 07/07/11 100.000 0.250 5.0499 0.186787 0.191328 35.56 Lehman Bros Hldgs Inc 52517PX55 04/27/07 04/27/22 100.000 VARIES 5.3982 0.138258 0.138616 0.138983 0.139361 0.139749 49.88 50.15 Lehman Bros Hldgs Inc 52517PX71 04/17/07 04/17/37 100.000 VARIES 6.2486 0.167728 0.167762 0.167796 0.167831 0.167867 60.39 60.42 Lehman Bros Hldgs Inc 52517PXM8 10/25/04 10/25/17 100.000 VARIES 5.2494 0.142533 0.142247 0.142754 0.143274 0.144597 51.99 52.47 Lehman Bros Hldgs Inc 52517PXQ9 11/01/04 11/01/14 100.000 VARIES 4.9383 0.129987 0.130453 0.130931 0.131763 0.132616 46.94 47.39 Lehman Bros Hldgs Inc 52517PXS5 10/29/04 10/29/19 100.000 VARIES 5.4644 0.123519 0.120229 0.117541 0.114781 0.112560 44.10 42.20 Lehman Bros Hldgs Inc 52517PXV8 11/18/04 11/18/11 100.000 VARIES 5.0706 0.135668 0.135595 43.54 Lehman Bros Hldgs Inc 52517PXW6 11/22/04 11/22/19 100.000 VARIES 5.5393 0.151446 0.149716 0.152130 0.151257 0.154580 54.99 55.62 Lehman Bros Hldgs Inc 52517PXZ9 12/07/04 12/07/16 100.000 VARIES 5.2285 0.138144 0.138851 0.139576 0.140321 0.141084 49.89 50.42 Lehman Bros Hldgs Inc 52517PYD7 12/23/04 12/23/11 100.000 VARIES 4.7678 0.124957 0.127237 44.90 Lehman Bros Hldgs Inc 52517PYE5 12/23/04 12/23/19 100.000 VARIES 5.6986 0.151111 0.151064 0.151865 0.152689 0.154380 55.15 55.76 Lehman Bros Hldgs Inc 52517PYG0 12/30/04 12/30/19 100.000 VARIES 5.5380 0.145141 0.145544 0.145959 0.146386 0.146824 52.32 52.62 Lehman Bros Hldgs Inc 52517PYH8 01/06/05 01/06/20 100.000 VARIES 5.8754 0.149861 0.146919 0.143890 0.140773 0.137564 52.38 50.13 Lehman Bros Hldgs Inc 52517PYJ4 12/30/04 12/30/19 100.000 VARIES 5.8784 0.156832 0.157359 0.157902 0.158461 0.159036 56.56 56.95 Lehman Bros Hldgs Inc 52517PYM7 01/28/05 01/28/20 100.000 VARIES 5.9154 0.151289 0.148369 0.145363 0.142268 0.139082 53.03 50.81 Lehman Bros Hldgs Inc 52517PYR6 02/02/05 02/02/17 100.000 VARIES 5.4992 0.146362 0.149271 0.147139 0.149069 0.147767 54.07 54.30 Lehman Bros Hldgs Inc 52517PYT2 02/24/05 02/24/20 100.000 VARIES 5.1276 0.130751 0.131254 0.131628 0.132012 0.132405 47.27 47.55 Lehman Bros Hldgs Inc 52517PYU9 02/24/05 02/24/20 100.000 VARIES 5.0875 0.129372 0.130013 0.130423 0.130844 0.131275 46.82 47.14 Lehman Bros Hldgs Inc 52517PYW5 03/23/05 03/23/20 100.000 VARIES 5.1879 0.133907 0.134427 0.134887 0.135360 0.135845 48.40 48.74 Lehman Bros Hldgs Inc 52517PYX3 03/17/05 03/17/20 100.000 VARIES 5.2322 0.158250 0.159047 0.159865 0.160704 0.161566 57.28 57.88 Lehman Bros Hldgs Inc 52517PZ38 06/22/07 06/22/22 100.000 VARIES 5.7685 0.152764 0.152988 0.153218 0.153455 0.153699 55.04 55.21 Lehman Bros Hldgs Inc 52517PZ87 05/23/07 05/23/22 100.000 VARIES 5.5672 0.139164 0.139596 0.140041 0.140499 0.140969 50.21 50.53 Lehman Bros Hldgs Inc 52517PZA2 03/23/05 03/23/20 100.000 VARIES 5.7272 0.147579 0.148226 0.148493 0.148768 0.149051 53.33 53.56 Lehman Bros Hldgs Inc 52517PZJ3 05/11/05 05/11/15 100.000 VARIES 5.2579 0.135088 0.134437 0.133768 0.133082 0.132378 48.45 47.96 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Lehman Bros Hldgs Inc 52517PZL8 05/19/05 05/19/20 100.000 VARIES 5.8181 0.158932 0.157899 0.156836 0.155742 0.154616 56.94 56.17 Lehman Bros Hldgs Inc 52517PZM6 05/19/05 05/19/20 100.000 VARIES 5.8231 0.179260 0.179950 0.180660 0.181391 0.182143 64.72 65.23 Lehman Bros Hldgs Inc 52517PZN4 05/26/05 05/26/15 100.000 VARIES 5.1761 0.117317 0.117200 0.120233 0.123345 0.126537 42.32 44.06 Lehman Bros Hldgs Inc 52517PZS3 06/23/05 06/23/20 100.000 VARIES 5.4824 0.165795 0.166532 0.167290 0.168068 0.168868 59.83 60.38 Lehman Bros Hldgs Inc 52520W283 06/16/08 07/29/11 100.000 0.000 5.9599 0.187515 0.193103 40.01 Lehman Bros Hldgs Inc 52520W564 03/30/07 03/31/11 100.000 0.000 5.0675 0.167713 14.93 Lehman Bros Hldgs Inc 52520WAG6 06/23/06 06/23/11 100.000 0.250 5.8865 0.210223 36.16 Lehman Bros Hldgs Inc 5252M0AJ6 12/28/07 12/28/22 100.000 VARIES 5.6093 0.153234 0.153247 0.153260 0.153274 0.153287 55.17 55.18 Lehman Bros Hldgs Inc 5252M0AM9 11/19/07 11/19/37 100.000 VARIES 7.4282 0.198715 0.195514 0.197702 0.195595 0.198880 71.90 72.02 Lehman Bros Hldgs Inc 5252M0AP2 02/07/08 02/07/12 100.000 0.000 5.2100 0.164581 0.168868 0.173267 61.27 6.24 Lehman Bros Hldgs Inc 5252M0AV9 11/27/07 11/27/37 11.746 0.000 7.2677 29.05 0.029377 0.030444 0.031550 0.032697 0.033885 10.84 11.64 Lehman Bros Hldgs Inc 5252M0AY3 12/28/07 12/28/22 100.000 VARIES 5.8488 0.156899 0.157020 0.157144 0.157272 0.157403 56.51 56.60 Lehman Bros Hldgs Inc 5252M0BG1 01/11/08 01/11/12 100.000 0.000 5.3999 0.171373 0.176000 0.180752 64.12 1.81 Lehman Bros Hldgs Inc 5252M0BH9 12/27/07 12/27/11 100.000 0.000 5.7000 0.187413 0.192754 67.68 Lehman Bros Hldgs Inc 5252M0BJ5 12/28/07 12/28/22 100.000 VARIES 5.8954 0.157921 0.156845 0.155736 0.154595 0.153421 56.65 55.85 Lehman Bros Hldgs Inc 5252M0BK2 03/20/08 03/20/12 100.000 0.000 6.5800 0.214889 0.221959 0.229262 80.08 18.11 Lehman Bros Hldgs Inc 5252M0BR7 02/14/08 02/14/12 100.000 0.000 5.0900 0.160320 0.164400 0.168584 59.58 7.25 Lehman Bros Hldgs Inc 5252M0BU0 02/14/08 02/14/12 100.000 0.000 5.0900 0.160320 0.164400 0.168584 59.58 7.25 Lehman Bros Hldgs Inc 5252M0CH8 02/06/08 02/06/23 100.000 VARIES 5.6140 0.146107 0.143971 0.141774 0.139516 0.137195 51.59 49.97 Lehman Bros Hldgs Inc 5252M0CK1 02/12/08 02/12/38 100.000 VARIES 7.2994 0.200777 0.200789 0.200801 0.200813 0.200826 72.29 72.29 Lehman Bros Hldgs Inc 5252M0CV7 02/27/08 02/27/23 100.000 VARIES 5.1091 0.136093 0.136262 0.136436 0.136614 0.136797 49.07 49.19 Lehman Bros Hldgs Inc 5252M0DA2 02/29/08 02/28/11 100.000 0.000 6.6600 0.216720 12.57 Lehman Bros Hldgs Inc 5252M0DB0 05/21/08 05/21/12 100.000 0.000 5.1300 0.161738 0.165886 0.170141 59.31 23.82 Lehman Bros Hldgs Inc 5252M0DF1 02/28/08 02/28/12 100.000 0.000 5.1099 0.157528 0.161553 0.168426 59.58 9.77 Lehman Bros Hldgs Inc 5252M0DP9 03/31/08 03/31/23 100.000 VARIES 5.5588 0.147977 0.148159 0.148345 0.148537 0.148735 53.34 53.47 Lehman Bros Hldgs Inc 5252M0DQ7 03/20/08 09/20/12 100.000 0.000 6.9999 0.230939 0.239022 0.247387 0.256046 86.25 65.63 Lehman Bros Hldgs Inc 5252M0EC7 03/10/08 03/10/23 100.000 VARIES 7.2993 0.199831 0.199905 0.199981 0.200060 0.200143 71.97 72.03 Lehman Bros Hldgs Inc 5252M0EF0 03/28/08 03/28/12 100.000 0.000 5.2000 0.164224 0.168494 0.172875 60.69 15.04 Lehman Bros Hldgs Inc 5252M0EH6 03/13/08 03/13/23 100.000 VARIES 6.8587 0.184847 0.184994 0.185146 0.185303 0.185466 66.60 66.72 Lehman Bros Hldgs Inc 5252M0EM5 03/31/08 03/31/11 100.000 0.000 4.7900 0.149771 13.33 Lehman Bros Hldgs Inc 5252M0EN3 03/05/08 03/05/18 92.300 5.250 6.2995 17.15 0.018309 0.018886 0.019480 0.020094 0.020727 6.83 7.27 Lehman Bros Hldgs Inc 5252M0EP8 03/24/08 03/21/11 100.000 0.000 4.1948 0.129224 10.34 Lehman Bros Hldgs Inc 5252M0EQ6 03/31/08 04/01/13 100.000 0.000 7.0999 0.234848 0.243185 0.251818 0.260758 0.270014 87.57 93.90 Lehman Bros Hldgs Inc 5252M0ET0 03/17/08 03/17/23 100.000 VARIES 6.5597 0.181019 0.181051 0.181083 0.181117 0.181152 65.18 65.20 Lehman Bros Hldgs Inc 5252M0EW3 04/10/08 04/10/23 100.000 VARIES 7.4983 0.201339 0.201512 0.201691 0.201877 0.202069 72.54 72.67 Lehman Bros Hldgs Inc 5252M0EX1 04/30/08 04/29/11 100.000 0.000 5.5100 0.175307 20.69 Lehman Bros Hldgs Inc 5252M0EZ6 04/30/08 04/30/13 100.000 VARIES 5.9609 0.183867 0.185622 0.191154 0.193126 0.198882 66.95 69.64 Lehman Bros Hldgs Inc 5252M0FE2 05/22/08 11/23/12 100.000 0.000 5.8959 0.189415 0.194999 0.200748 0.206666 69.63 65.71 Lehman Bros Hldgs Inc 5252M0FN2 05/30/08 05/31/11 100.000 0.000 5.5600 0.175222 26.28 Lehman Bros Hldgs Inc 5252M0FV4 05/29/08 05/29/12 100.000 0.000 6.1184 0.197595 0.203640 0.209870 72.62 31.06 Lehman Bros Hldgs Inc 5252M0FW2 05/19/08 05/19/23 100.000 VARIES 7.2491 0.199196 0.198713 0.198214 0.197696 0.197159 71.58 71.22 Lehman Bros Hldgs Inc 5252M0FY8 05/30/08 05/30/13 100.000 0.000 6.1200 0.197652 0.203700 0.209933 0.216357 0.222977 72.62 77.14 Lehman Bros Hldgs Inc 5252M0GC5 06/30/08 06/30/11 100.000 0.000 6.0299 0.194320 34.78 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Lehman Bros Hldgs Inc 5252M0GD3 06/26/08 06/26/23 100.000 VARIES 8.0972 0.214371 0.214622 0.214884 0.215157 0.215440 77.22 77.41 Lehman Bros Hldgs Inc 5252M0GF8 08/14/08 08/15/11 100.000 0.000 7.5200 0.242173 0.251279 55.89 Lehman Bros Hldgs Inc 5252M0GG6 06/27/08 06/27/12 100.000 0.000 6.2000 0.200624 0.206844 0.213256 73.39 37.53 Lehman Bros Hldgs Inc 5252M0GJ0 08/07/08 08/07/12 100.000 0.000 7.7699 0.251379 0.261145 0.271291 0.281831 95.12 60.50 Lehman Bros Hldgs Inc 5252M0GN1 06/26/08 06/26/23 100.000 VARIES 8.2966 0.217866 0.218163 0.218471 0.218793 0.219128 78.49 78.71 Lehman Bros Hldgs Inc 5252M0GP6 06/24/08 06/24/11 100.000 0.000 6.0900 0.196540 34.00 Lehman Bros Hldgs Inc 5252M0GQ4 07/14/08 07/14/23 100.000 VARIES 8.3470 0.221316 0.221548 0.221790 0.222042 0.222304 79.79 79.98 Lehman Bros Hldgs Inc 5252M0GR2 06/30/08 12/30/11 100.000 0.000 6.1400 0.198394 0.204484 72.32 Lehman Bros Hldgs Inc 5252M0GX9 08/22/08 08/22/11 100.000 0.000 7.5600 0.243598 0.252806 57.93 Liberty Media Corp. 530715AF8 11/16/99 11/15/29 100.000 4.000 9.0689 0.484557 0.501490 0.519192 0.537697 0.557040 179.08 191.98 Liberty Media Corp. 530715AG6 11/16/99 11/15/29 100.000 4.000 9.0689 0.484557 0.501490 0.519192 0.537697 0.557040 179.08 191.98 Liberty Media Corp. 530715AK7 02/10/00 02/15/30 100.000 3.750 9.4298 0.519868 0.539468 0.559992 0.581484 0.603989 196.14 211.45 Liberty Media Corp. 530715AL5 02/10/00 02/15/30 100.000 3.750 9.4298 0.519868 0.539468 0.559992 0.581484 0.603989 196.14 211.45 Liberty Media Corp. 530715AM3 01/11/01 01/15/31 100.000 3.500 N/A 0.418743 0.432854 0.447524 0.462768 0.478599 158.07 169.01 Liberty Media Corp. 530715AN1 01/11/01 01/15/31 100.000 3.500 N/A 0.418743 0.432854 0.447524 0.462768 0.478599 158.07 169.01 Liberty Media Corp. 530715AP6 03/08/01 03/15/31 100.000 3.250 10.3696 0.608057 0.634903 0.663141 0.692843 0.724085 229.57 250.54 Liberty Media Corp. 530715AQ4 03/08/01 03/15/31 100.000 3.250 10.3696 0.608057 0.634903 0.663141 0.692843 0.724085 229.57 250.54 Liberty Media Corp. 530715AR2 03/08/01 03/15/31 100.000 3.250 10.3696 0.608057 0.634903 0.663141 0.692843 0.724085 229.57 250.54 Liberty Media Corp. 530718AB1 03/26/03 03/30/23 98.500 0.750 5.6006 0.221325 0.226939 0.232711 0.238644 0.244743 81.72 85.94 Liberty Media Corp. 530718AF2 03/26/03 03/30/23 98.500 0.750 N/A 0.281829 0.290217 0.298965 0.308090 0.317608 104.53 110.97 Linear Technology Corp. 535678AA4 04/24/07 05/01/27 100.000 VARIES 7.0000 0.224892 0.229847 0.234975 0.240282 0.245776 82.46 86.19 Linear Technology Corp. 535678AC0 04/24/07 05/01/27 100.000 VARIES 7.0000 0.224892 0.229847 0.234975 0.240282 0.245776 82.46 86.19 Lithia Motors, Inc. 536797AA1 05/03/04 05/01/14 100.000 VARIES 8.9998 0.379606 0.392241 0.405402 0.419110 0.433387 140.48 150.09 Lithia Motors, Inc. 536797AB9 05/03/04 05/01/14 100.000 VARIES 8.9998 0.379606 0.392241 0.405402 0.419110 0.433387 140.48 150.09 Livingston Counties, IL 538412AQ0 10/27/10 12/01/11 102.139 0.000 1.7298 0.049160 0.049586 16.30 Livingston Counties, IL 538412AR8 10/27/10 12/01/12 103.208 VARIES 2.0372 0.058519 0.059115 0.057407 0.057001 21.14 18.87 Livingston Counties, IL 538412AS6 10/27/10 12/01/13 103.968 VARIES 2.5380 0.073475 0.074408 0.072226 0.071804 0.071375 26.58 25.90 Livingston Counties, IL 538412AT4 10/27/10 12/01/14 105.289 VARIES 2.7890 0.081786 0.082927 0.080377 0.079910 0.079436 29.61 28.82 Livingston Counties, IL 538412AU1 10/27/10 12/01/15 104.254 VARIES 3.2393 0.094098 0.095622 0.092866 0.092526 0.092180 34.11 33.35 Lloyds TSB Bank PLC 5394E8AH2 07/28/11 07/28/16 100.000 VARIES 2.0468 0.008245 0.008125 0.008003 1.26 2.91 Lucent Tech Cap Tr I 549462208 03/19/02 03/15/17 100.000 7.750 7.7499 0.215278 0.215278 0.215278 0.215278 0.215278 77.50 77.50 Lucent Tech Cap Tr I 549462307 03/19/02 03/15/17 100.000 7.750 7.7499 0.215278 0.215278 0.215278 0.215278 0.215278 77.50 77.50 MTR Gaming Group, Inc. 553769AG5 08/12/09 07/15/14* 95.248 12.625 13.9919 10.37 0.022105 0.023652 0.025307 5.73* MTR Gaming Group, Inc. 553769AH3 08/12/09 07/15/14* 95.248 12.625 13.9919 10.37 0.022105 0.023652 0.025307 5.73* MTR Gaming Group, Inc. 553769AJ9 08/05/11 08/01/19 97.000 11.500 N/A 0.325924 0.326308 0.326723 47.58 117.52 MTR Gaming Group, Inc. 553769AK6 08/05/11 08/01/19 97.000 11.500 N/A 0.325924 0.326308 0.326723 47.58 117.52 MTR Gaming Group, Inc. 553769AL4 08/05/11 08/01/19 97.000 11.500 N/A 0.325924 0.326308 0.326723 47.58 117.52 Macon CNTYS DIST 537, IL 555545BM3 04/01/10 12/01/11 103.604 0.000 1.5184 0.044144 0.044479 14.63 Macon CNTYS DIST 537, IL 555545BN1 04/01/10 12/01/12 105.299 0.000 1.8728 0.055465 0.055984 0.056508 0.057038 20.09 18.74 Macon CNTYS DIST 537, IL 555545BP6 04/01/10 12/01/13 105.732 0.000 2.4439 0.072951 0.073843 0.074745 0.075658 0.076583 26.48 27.13 Macon CNTYS DIST 537, IL 555545BQ4 04/01/10 12/01/14 105.395 0.000 2.8119 0.083873 0.085052 0.086248 0.087460 0.088690 30.48 31.34 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Macon CNTYS DIST 537, IL 555545BR2 04/01/10 12/01/15 105.886 0.000 3.0211 0.090657 0.092026 0.093416 0.094827 0.096260 32.97 33.97 Macon CNTYS DIST 537, IL 555545BS0 04/01/10 12/01/16 106.138 0.000 3.2973 0.099361 0.101000 0.102665 0.104357 0.106078 36.16 37.37 Macon CNTYS DIST 537, IL 555545BT8 04/01/10 12/01/17 103.230 0.000 3.7059 0.108906 0.110924 0.112979 0.115073 0.117205 39.69 41.18 Macon CNTYS DIST 537, IL 555545BU5 04/01/10 12/01/18 105.024 0.000 3.5846 0.107088 0.109007 0.110961 0.112949 0.114974 39.01 40.42 Macoupin CNTY SD #1, IL 556003DN8 10/26/10 12/01/11 104.371 0.000 1.4738 0.042791 0.043106 14.18 Macoupin CNTY SD #1, IL 556003DP3 10/26/10 12/01/12 107.851 VARIES 1.9309 0.057956 0.058516 0.055577 0.054611 20.89 18.17 Marion County, OR 56913RAK4 03/28/02 06/01/11 53.951 0.000 6.8387 432.94 0.183684 27.55 Marion County, OR 56913RAL2 03/28/02 06/01/12 49.948 0.000 6.9388 408.48 0.173999 0.180036 0.186282 64.09 27.94 Marion County, OR 56913RAM0 03/28/02 06/01/13 46.303 0.000 7.0088 383.68 0.163889 0.169632 0.175577 0.181730 0.188099 60.38 64.69 Marion County, OR 56913RAN8 03/28/02 06/01/14 42.967 0.000 7.0588 359.37 0.153811 0.159239 0.164860 0.170678 0.176702 56.68 60.75 Marion County, OR 56913RAP3 03/28/02 06/01/15 39.329 0.000 7.2089 338.18 0.145601 0.150849 0.156286 0.161920 0.167756 53.68 57.62 Marion County, OR 56913RAQ1 03/28/02 06/01/16 36.142 0.000 7.3089 316.48 0.136800 0.141799 0.146981 0.152352 0.157920 50.45 54.21 Marion County, OR 56913RAR9 03/28/02 06/01/17 33.393 0.000 7.3590 295.07 0.127794 0.132496 0.137371 0.142425 0.147666 47.14 50.67 Marion County, OR 56913RAS7 03/28/02 06/01/18 31.307 0.000 7.3092 274.16 0.118506 0.122837 0.127326 0.131979 0.136803 43.71 46.96 Marion County, OR 56913RAT5 03/28/02 06/01/19 28.898 0.000 7.3592 255.36 0.110597 0.114666 0.118886 0.123260 0.127796 40.80 43.85 Marion County, OR 56913RAU2 03/28/02 06/01/20 26.649 0.000 7.4091 237.61 0.103111 0.106931 0.110892 0.115000 0.119260 38.04 40.91 Marquee Holdings, Inc. 57143VAA7 08/18/04 08/15/14* 55.894 VARIES 11.9996 0.333327 .67* Marquee Holdings, Inc. 57143VAB5 08/18/04 08/15/14* 55.894 VARIES 11.9996 0.333327 .67* Marquee Holdings, Inc. 57143VAC3 08/18/04 08/15/14* 55.894 VARIES 11.9996 0.333327 .67* Masco Corporation 574599AW6 07/20/01 07/20/31 39.445 VARIES 8.1251 0.179141 0.185672 0.192468 0.199540 0.206899 67.81 72.88 Masco Corporation 574599BB1 07/20/01 07/20/31 39.445 VARIES 8.1251 0.179141 0.185672 0.192468 0.199540 0.206899 67.81 72.88 Mason CNTYS SD #191, IL 574816BW3 07/02/10 12/01/18 106.295 VARIES 4.3308 0.130166 0.132985 0.126917 0.126508 0.126089 47.27 45.59 Mason CNTYS SD #191, IL 574816BX1 07/02/10 12/01/19 105.637 VARIES 4.7793 0.143016 0.146434 0.139495 0.139144 0.138785 52.00 50.13 Media General Inc. 584404AB3 02/12/10 02/15/17 97.690 11.750 12.2505 1.98 0.006419 0.006812 0.007229 0.007672 0.008142 2.49 2.81 Media General Inc. 584404AC1 02/12/10 02/15/17 97.690 11.750 12.2505 1.98 0.006419 0.006812 0.007229 0.007672 0.008142 2.49 2.81 Medicis Pharma Corp. 584690AB7 08/14/03 06/04/33 93.000 VARIES 9.1499 0.414779 0.431214 0.448400 0.466373 0.485168 153.19 165.65 Medtronic, Inc. 585055AA4 09/11/01 09/15/21* 100.000 VARIES 6.7187 0.293876 0.301426 76.00* Medtronic, Inc. 585055AB2 09/11/01 09/15/21* 100.000 VARIES 6.7187 0.293876 0.301426 76.00* Medtronic, Inc. 585055AD8 09/11/01 09/15/21* 100.000 VARIES 6.7187 0.293876 0.301426 76.00* Merisant Worldwide, Inc. 58985CAA8 11/12/03 05/15/14 55.131 VARIES 12.2495 0.340270 0.340270 0.340269 0.340268 0.340268 122.50 122.50 Merrill Lynch & Co.,Inc. 590188W46 03/13/02 03/13/32 100.000 VARIES 5.7132 0.256168 0.263486 0.271013 0.278754 0.286717 95.14 100.65 Merrill Lynch & Co.,Inc. 590188W79 12/30/04 01/02/14 100.000 0.000 4.6291 0.165435 0.169264 0.173182 0.177191 0.181292 61.63 64.52 Merrill Lynch & Co.,Inc. 59018FCR1 04/04/07 04/04/37 100.000 VARIES 5.7580 0.153830 0.153880 0.153932 0.153985 0.154040 55.40 55.43 Merrill Lynch & Co.,Inc. 59018YC66 05/02/07 05/02/17 100.000 VARIES 5.5833 0.149131 0.149518 0.149915 0.150324 0.150744 53.80 54.09 Merrill Lynch & Co.,Inc. 59018YD65 05/18/07 05/18/17 100.000 VARIES 5.6522 0.152960 0.153222 0.153491 0.153768 0.154053 55.14 55.33 Merrill Lynch & Co.,Inc. 59018YE49 06/06/07 06/06/17 100.000 VARIES 5.9091 0.159432 0.159735 0.160046 0.160367 0.160697 57.47 57.69 Merrill Lynch Bank USA 59020WA43 01/31/07 01/31/11 100.000 0.000 5.1147 0.169547 4.92 Merrill Lynch Bank USA 59020WA68 01/31/07 01/31/12 100.000 0.000 5.1060 0.169207 0.173527 0.177957 63.01 5.16 Merrill Lynch Bank USA 59020WA76 01/31/07 02/21/12 100.000 0.000 5.0982 0.169408 0.173727 0.178155 62.90 8.91 Merrill Lynch Bank USA 59020WA92 02/28/07 02/28/11 100.000 0.000 4.8250 0.157495 9.13 Merrill Lynch Bank USA 59020WB42 03/15/07 03/15/13 100.000 0.000 4.8033 0.157541 0.161324 0.165199 0.169166 0.173229 58.21 61.04 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Merrill Lynch Bank USA 59020WC66 03/30/07 03/31/11 100.000 0.000 4.8134 0.157925 14.06 Merrill Lynch Bank USA 59020WC74 03/30/07 03/30/12 100.000 0.000 4.8040 0.157566 0.161351 0.165226 58.10 14.71 Merrill Lynch Bank USA 59020WC82 03/30/07 03/31/11 100.000 0.000 4.8134 0.157925 14.06 Merrill Lynch Bank USA 59020WC90 04/30/07 04/30/12 100.000 0.000 4.7640 0.156043 0.159760 0.163566 57.30 19.46 Merrill Lynch Bank USA 59020WD24 04/30/07 04/30/12 100.000 0.000 4.8440 0.159096 0.162950 0.166896 58.44 19.86 Merrill Lynch Bank USA 59020WD32 04/30/07 04/29/11 100.000 0.000 4.8567 0.159563 18.83 Merrill Lynch Bank USA 59020WD57 04/30/07 01/28/11 100.000 0.000 4.8369 0.156908 4.24 Merrill Lynch Bank USA 59020WE64 06/29/07 06/30/11 100.000 0.000 5.1569 0.170271 30.65 Merrill Lynch Bank USA 59020WE98 06/29/07 06/30/11 100.000 0.000 5.1569 0.170271 30.65 Merrill Lynch Bank USA 59020WF55 07/31/07 07/29/11 100.000 0.000 4.9035 0.154053 0.160446 33.35 Merrill Lynch Bank USA 59020WF63 07/31/07 07/29/11 100.000 0.000 4.9035 0.154053 0.160446 33.35 Merrill Lynch Bank USA 59020WG47 09/28/07 09/28/11 100.000 0.000 4.7367 0.150578 0.151631 40.85 Merrill Lynch Bank USA 59020WWA5 09/30/05 03/30/11 100.000 0.000 4.3666 0.150539 13.40 Merrill Lynch Bank USA 59020WWC1 09/30/05 03/31/14 100.000 0.000 4.4692 0.154852 0.158312 0.161850 0.165467 0.169164 57.01 59.58 Merrill Lynch Bank USA 59020WWD9 10/28/05 04/28/11 100.000 0.000 4.6987 0.164637 19.26 Merrill Lynch Bank USA 59020WWG2 11/27/05 05/27/11 100.000 0.000 4.7139 0.165296 24.13 Merrill Lynch Bank USA 59020WWH0 11/28/05 05/27/11 100.000 0.000 4.7163 0.165377 24.15 Merrill Lynch Bank USA 59020WWP2 12/30/05 06/30/11 100.000 0.000 4.5788 0.159501 28.55 Merrill Lynch Bank USA 59020WWV9 02/28/06 02/28/11 100.000 0.000 4.8559 0.166470 9.66 Merrill Lynch Bank USA 59020WXK2 04/28/06 04/30/12 100.000 0.000 5.2512 0.184242 0.189079 0.194044 67.80 23.09 Merrill Lynch Bank USA 59020WXM8 05/31/06 05/31/12 100.000 0.000 5.2311 0.183322 0.188117 0.193037 67.16 28.76 Merrill Lynch Bank USA 59020WYD7 07/28/06 07/28/11 100.000 0.000 5.2152 0.177996 0.182638 37.68 Merrill Lynch Bank USA 59020WYG0 08/31/06 08/31/11 100.000 0.000 5.1359 0.173783 0.175340 42.34 Merrill Lynch Bank USA 59020WYV7 10/31/06 10/31/12 100.000 0.000 4.8867 0.164660 0.168683 0.172805 0.177027 60.50 52.43 Merrill Lynch Bank USA 59020WYW5 10/31/06 10/31/12 100.000 0.000 4.8867 0.164660 0.168683 0.172805 0.177027 60.50 52.43 Merrill Lynch Bank USA 59020WZD6 11/10/06 11/10/11 100.000 0.000 4.8559 0.163427 0.167395 51.21 Merrill Lynch Bank USA 59020WZE4 10/30/06 04/30/12 100.000 0.000 4.9187 0.165947 0.170028 0.174210 60.98 20.73 Merrill Lynch & Co.,Inc. 59021S265 09/29/05 11/19/12 100.000 0.000 4.3795 0.151995 0.155323 0.158725 0.162200 55.60 51.10 Merrill Lynch & Co.,Inc. 59021S489 05/10/05 05/10/12 100.000 4.200 4.1999 0.116667 0.116667 0.116667 42.00 15.05 Merrill Lynch & Co.,Inc. 59021V623 02/06/06 02/07/11 100.000 0.000 4.7259 0.162005 5.83 Merrill Lynch & Co.,Inc. 59021V748 01/04/06 01/04/11 100.000 4.510 4.5099 0.125278 .38 Merrill Lynch & Co.,Inc. 59021W183 11/01/04 04/30/12 100.000 0.000 3.9886 0.140407 0.143207 0.146063 51.40 17.38 Merrill Lynch & Co.,Inc. 59021W217 08/31/04 08/31/11 100.000 0.000 3.9615 0.138476 0.138916 33.59 Merrill Lynch & Co.,Inc. 59021W464 05/14/04 02/14/12 100.000 0.000 3.1804 0.107609 0.109320 0.111058 39.52 4.78 Merrill Lynch & Co.,Inc. 59021W555 07/30/04 07/29/11 100.000 0.000 4.1841 0.148991 0.152108 31.55 Merrill Lynch & Co.,Inc. 59021W571 03/01/04 03/28/11 100.000 0.000 3.5813 0.125634 10.93 Merrill Lynch & Co.,Inc. 59021W712 12/08/03 03/08/11 100.000 0.000 3.8789 0.139655 9.36 Merrill Lynch & Co.,Inc. 59021W795 01/30/04 01/31/11 100.000 0.000 3.6710 0.129174 3.75 Merrill Lynch & Co.,Inc. 59021WAA8 07/15/04 07/15/11 100.000 0.000 4.1324 0.146719 0.149750 29.01 Merrill Lynch & Co.,Inc. 59022C301 10/04/06 10/04/11 100.000 5.310 5.3099 0.147500 0.147500 40.27 Merrill Lynch & Co.,Inc. 59022C640 12/22/06 12/22/11 100.000 5.190 5.1899 0.144167 0.144167 50.60 Merrill Lynch & Co.,Inc. 59022W380 09/07/07 08/08/11 100.000 0.000 5.0756 0.163213 0.167355 36.16 Merrill Lynch & Co.,Inc. 59022W505 05/09/07 05/09/12 100.000 0.000 5.1563 0.171168 0.175581 0.180108 62.88 23.05 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Merrill Lynch & Co.,Inc. 59022W570 08/09/07 07/08/11 100.000 0.000 5.5011 0.179000 0.183924 34.36 Merrill Lynch & Co.,Inc. 59022W620 07/05/07 01/05/11 100.000 0.000 5.4003 0.176013 .70 Mexican States 593048BN0 03/30/01 12/30/19 89.000 8.125 9.3823 34.72 0.015303 0.016020 0.016772 0.017559 0.018383 5.64 6.18 Miami Dade County, FL 59333MXE0 12/15/09 12/15/26 73.673 5.760 8.7675 7.49 0.021167 0.022095 0.023063 0.024075 0.025130 7.82 8.52 Michaels Stores, Inc. 594087AN8 10/31/06 11/01/16 50.110 VARIES N/A 0.330419 0.353343 0.377857 0.219934 0.219933 125.92 98.13 Michaels Stores, Inc. 594087AP3 10/31/06 11/01/16 50.110 VARIES N/A 0.330419 0.353343 0.377857 0.219934 0.219933 125.92 98.13 Microchip Technology Inc 595017AA2 12/07/07 12/15/37 100.000 VARIES 9.1009 0.309174 0.318834 0.330701 0.343107 0.358034 114.98 123.77 Microchip Technology Inc 595017AB0 12/07/07 12/15/37 100.000 VARIES 9.1009 0.309174 0.318834 0.330701 0.343107 0.358034 114.98 123.77 Milagro Oil & Gas 59870WAA0 05/11/11 05/15/16 97.182 10.500 11.2509 0.012050 0.012067 0.012746 0.013463 0.014221 2.81 4.79 Milagro Oil & Gas, Inc. 59870WAB8 05/11/11 05/15/16 97.182 10.500 11.2509 0.012050 0.012067 0.012746 0.013463 0.014221 2.81 4.79 Mississippi Home Corp. 60535MCB3 07/21/93 09/15/16 19.775 0.000 7.1244 473.06 0.130027 0.134659 0.139456 0.144424 0.149568 48.64 52.17 Morgan Stanley 6174462G3 12/28/07 12/20/11 100.000 0.000 4.6540 0.148262 0.151712 52.36 Morgan Stanley 6174462H1 01/31/08 02/07/12 100.000 3.878 3.8779 0.107722 0.107722 0.107722 38.78 3.88 Morgan Stanley 6174462M0 01/31/08 03/31/11 100.000 0.000 3.9039 0.120224 10.70 Morgan Stanley 6174463E7 02/29/08 02/29/12 100.000 0.000 4.0950 0.125188 0.125669 0.129651 46.33 7.65 Morgan Stanley 6174463V9 03/31/08 04/06/12 100.000 3.806 3.8059 0.105722 0.105722 0.105722 38.06 10.04 Morgan Stanley 6174463X5 03/31/08 09/28/12 100.000 0.000 3.9245 0.120115 0.122472 0.124875 0.127326 44.11 33.78 Morgan Stanley 6174464D8 03/28/08 09/30/13 100.000 0.000 4.2223 0.128815 0.130815 0.133577 0.136397 0.140042 47.83 50.01 Morgan Stanley 6174464N6 03/24/08 02/24/14 100.000 0.000 4.6797 0.145375 0.148776 0.152258 0.155820 0.159466 53.82 56.37 Morgan Stanley 6174464P1 03/20/08 03/20/23 81.700 2.935 4.6422 0.108249 0.108869 0.109504 0.110153 0.110818 39.21 39.67 Morgan Stanley 6174464Q9 03/20/08 03/20/23 78.350 2.624 4.6439 0.104499 0.105233 0.105984 0.106752 0.107538 37.90 38.45 Morgan Stanley 6174464T3 03/28/08 12/07/12 100.000 0.000 3.5735 0.109198 0.111149 0.113135 0.115157 39.76 38.38 Morgan Stanley 6174464W6 03/31/08 04/26/13 100.000 0.000 4.0406 0.124407 0.126920 0.129484 0.132100 0.134769 45.57 47.43 Morgan Stanley 6174464Z9 04/30/08 04/29/11 100.000 0.000 5.2346 0.165435 19.52 Morgan Stanley 6174465F2 04/30/08 07/05/13 100.000 0.000 3.8715 0.116927 0.119191 0.121498 0.123850 0.126247 43.31 45.00 Morgan Stanley 6174465J4 04/25/08 10/25/13 100.000 0.000 5.0328 0.158299 0.162283 0.166366 0.170553 0.174845 58.24 61.20 Morgan Stanley 6174465N5 04/14/08 10/04/13 100.000 0.000 4.2160 0.129840 0.132577 0.135372 0.138226 0.141139 47.72 49.75 Morgan Stanley 6174465Q8 04/11/08 04/11/11 100.000 0.000 4.5349 0.140914 14.09 Morgan Stanley 6174465T2 05/30/08 11/30/11 100.000 5.437 5.4369 0.151028 0.151028 49.69 Morgan Stanley 6174465Y1 05/30/08 05/31/11 100.000 0.000 5.3781 0.170589 25.42 Morgan Stanley 6174466M6 05/23/08 05/23/11 100.000 0.000 4.8832 0.153034 21.73 Morgan Stanley 6174466S3 06/30/08 06/30/14 100.000 0.000 6.0285 0.194268 0.200124 0.206156 0.212370 0.218772 71.00 75.35 Morgan Stanley 6174466U8 06/30/08 03/30/11 100.000 0.000 5.3825 0.168511 15.00 Morgan Stanley 6174467G8 07/31/08 01/31/11 100.000 0.000 5.6636 0.175916 5.10 Morgan Stanley 6174467K9 07/31/08 01/31/11 100.000 0.000 5.6636 0.175916 5.10 Morgan Stanley 6174467L7 07/31/08 11/29/11 87.000 0.000 4.2238 92.66 0.112526 0.114903 37.34 Morgan Stanley 617446H28 04/27/07 04/27/37 100.000 VARIES 5.5782 0.140667 0.138392 0.136054 0.133651 0.133845 49.94 48.41 Morgan Stanley 617446H69 05/30/07 06/26/17 100.000 0.000 5.8001 0.197633 0.203365 0.209262 0.215331 0.221576 72.24 76.49 Morgan Stanley 617446J26 06/29/07 03/30/11 100.000 0.000 5.5052 0.182488 16.24 Morgan Stanley 617446J75 08/13/07 02/27/13 117.470 0.000 5.6319 0.217568 0.223694 0.229994 0.236470 0.243129 80.97 85.59 Morgan Stanley 617446K40 06/26/08 06/24/15 100.000 1.100 6.5992 0.210168 0.216095 0.222217 0.228541 0.235073 76.81 81.23 Morgan Stanley 617446MG1 01/21/04 07/30/11 100.000 0.300 4.1284 0.147179 0.150045 31.28 Morgan Stanley 617446MJ5 02/17/04 07/30/11 102.625 0.300 4.1929 0.153670 0.156717 32.67 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 617446MK2 03/29/04 06/30/11 100.000 1.500 3.7482 0.121923 21.82 Morgan Stanley 617446N47 08/31/07 02/28/11 100.000 0.000 5.1183 0.164537 9.54 Morgan Stanley 617446N54 07/26/07 07/26/11 100.000 0.000 5.4412 0.177560 0.182390 37.27 Morgan Stanley 617446Q85 11/30/07 12/05/11 100.000 4.389 4.3889 0.121917 0.121917 40.72 Morgan Stanley 617446R76 09/28/07 06/30/11 100.000 0.000 5.0267 0.164161 29.38 Morgan Stanley 617446SX8 12/06/04 12/30/11 100.000 0.500 4.4990 0.159397 0.162671 57.81 Morgan Stanley 617446X95 11/28/07 01/07/11 100.000 0.000 4.4074 0.137180 .82 Morgan Stanley 617446YM5 08/30/05 09/01/14 100.000 0.000 4.8471 0.171097 0.175243 0.179491 0.183841 0.188296 63.35 66.46 Morgan Stanley 617446Z28 12/31/07 10/07/11 100.000 0.000 4.8047 0.152233 0.155891 42.67 Morgan Stanley 617446Z77 02/07/08 06/06/14 100.000 0.000 4.6169 0.145944 0.149313 0.152760 0.156286 0.159894 53.32 55.81 Morgan Stanley 61745E2A8 04/30/09 04/30/24* 100.000 VARIES 4.6881 0.115607 13.76* Morgan Stanley 61745E2D2 01/24/11 01/24/20 100.000 VARIES 5.2661 0.146283 0.145746 0.145195 0.145819 49.21 52.38 Morgan Stanley 61745E2E0 07/11/11 07/11/23 100.000 VARIES 5.5160 0.153224 0.152853 0.152472 26.05 54.97 Morgan Stanley 61745E2G5 05/13/09 05/13/24* 100.000 VARIES 4.6721 0.115181 0.110085 25.11* Morgan Stanley 61745E2K6 01/21/11 01/21/26 100.000 VARIES 5.7295 0.159153 0.155755 0.152259 0.148663 53.57 54.31 Morgan Stanley 61745E2L4 07/07/11 07/07/20 100.000 VARIES 2.2423 0.013785 0.012665 0.011533 2.40 4.37 Morgan Stanley 61745E2M2 11/30/11 11/30/31 100.000 VARIES 6.5857 0.182937 0.179814 0.176588 5.67 65.10 Morgan Stanley 61745E2Q3 07/30/10 07/30/25 100.000 VARIES 5.4814 0.152262 0.151105 0.149918 0.148697 0.147444 54.25 53.38 Morgan Stanley 61745E2S9 07/13/11 07/13/31 100.000 VARIES 5.5541 0.154282 0.152395 0.150456 25.92 54.56 Morgan Stanley 61745E2U4 06/30/09 07/01/24* 100.000 VARIES 3.8188 0.094412 16.99* Morgan Stanley 61745E2V2 02/26/10 02/26/30 100.000 VARIES 6.1599 0.167824 0.164437 0.160946 0.157348 0.156173 58.95 56.70 Morgan Stanley 61745E2W0 08/12/10 08/12/30 100.000 VARIES 5.7343 0.159288 0.155095 0.150781 0.145319 0.139701 55.41 51.76 Morgan Stanley 61745E2Y6 07/15/11 07/15/17 100.000 VARIES 4.3803 0.121677 0.121300 0.120915 20.20 43.61 Morgan Stanley 61745E2Z3 11/30/11 11/30/31 100.000 VARIES 6.7333 0.187038 0.183983 0.180825 5.80 66.59 Morgan Stanley 61745E3D1 02/14/11 02/14/31 100.000 VARIES 6.0718 0.168663 0.165350 0.161937 0.158420 53.01 57.96 Morgan Stanley 61745E3H2 02/26/10 02/26/25* 100.000 VARIES 5.9431 0.161740 0.158292 37.39* Morgan Stanley 61745E3J8 07/28/10 07/28/17 100.000 VARIES 2.9665 0.020598 0.018942 0.017262 0.017518 0.017778 6.06 6.34 Morgan Stanley 61745E3R0 02/11/11 02/11/20 100.000 VARIES 5.7500 0.159724 0.160323 0.160940 0.161574 51.20 58.00 Morgan Stanley 61745E3S8 07/29/11 07/29/31 100.000 VARIES 5.6230 0.156197 0.153950 0.151640 23.74 55.13 Morgan Stanley 61745E3V1 03/16/10 03/16/25* 100.000 VARIES 5.8130 0.158092 0.154614 25.77* Morgan Stanley 61745E3W9 08/17/10 08/17/20 100.000 VARIES 2.7071 0.023748 0.022622 0.021480 0.020324 0.019151 8.04 7.21 Morgan Stanley 61745E3Y5 07/29/11 07/29/26 100.000 VARIES 5.4529 0.151471 0.146512 0.141419 23.02 52.11 Morgan Stanley 61745E4E8 07/29/11 07/29/26 100.000 VARIES 5.4932 0.152591 0.149153 0.145620 23.19 53.25 Morgan Stanley 61745E4K4 02/18/11 02/18/20 100.000 VARIES 2.8598 0.017983 0.017190 0.016385 0.015569 5.52 5.83 Morgan Stanley 61745E4L2 07/29/11 07/29/26 100.000 VARIES 5.5117 0.153103 0.148519 0.143809 23.27 52.88 Morgan Stanley 61745E4P3 03/15/10 03/15/25 100.000 VARIES 5.6291 0.152949 0.149436 0.147723 0.145961 0.144150 53.88 52.48 Morgan Stanley 61745E4Q1 08/24/10 08/24/30 100.000 VARIES 5.2836 0.146769 0.145510 0.144217 0.142890 0.141528 52.29 51.34 Morgan Stanley 61745E4U2 08/26/09 08/26/16 100.000 VARIES 5.1504 0.145459 0.146701 0.147975 0.148628 0.149297 52.90 53.55 Morgan Stanley 61745E4V0 03/18/10 03/18/25 100.000 VARIES 5.8931 0.160336 0.156876 0.153314 0.149646 0.148448 56.37 54.03 Morgan Stanley 61745E4W8 08/25/10 08/25/25 100.000 VARIES 5.0043 0.139009 0.135537 0.131977 0.128329 0.124590 48.53 45.92 Morgan Stanley 61745E5C1 08/27/10 08/27/15 100.000 VARIES 1.8388 0.007415 0.007154 0.006891 0.006955 0.007019 2.56 2.51 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61745E5H0 03/30/10 03/30/30 100.000 VARIES 5.9049 0.159028 0.153881 0.151773 0.149603 0.147369 55.66 53.85 Morgan Stanley 61745E5P2 03/30/10 03/30/30 100.000 VARIES 5.9384 0.160782 0.156483 0.152057 0.147499 0.146620 56.31 53.43 Morgan Stanley 61745E5R8 03/15/11 03/15/21 100.000 VARIES 5.2217 0.145048 0.145209 0.145374 0.145509 41.50 52.34 Morgan Stanley 61745E5S6 08/22/11 08/22/31 100.000 VARIES 5.6565 0.157125 0.152142 0.147017 20.27 54.36 Morgan Stanley 61745E5U1 09/30/09 09/30/29 100.000 VARIES 5.7074 0.151636 0.148037 0.144334 0.140526 0.136609 53.28 50.57 Morgan Stanley 61745E5W7 08/31/10 08/31/20 100.000 VARIES 2.8095 0.014197 0.012426 0.010984 0.011017 0.011357 4.86 4.07 Morgan Stanley 61745E5X5 03/22/11 03/22/31 100.000 VARIES 5.8739 0.163164 0.162653 0.162128 0.161586 45.47 58.35 Morgan Stanley 61745E6D8 03/23/11 03/23/26 100.000 VARIES 5.5646 0.154575 0.154238 0.153892 0.153542 42.94 55.40 Morgan Stanley 61745E6E6 08/24/11 08/24/23 100.000 VARIES 4.5799 0.127220 0.126949 0.126673 16.16 45.68 Morgan Stanley 61745E6J5 08/31/10 08/31/30 100.000 VARIES 5.4234 0.149818 0.143266 0.140573 0.137591 0.138354 52.34 50.63 Morgan Stanley 61745E6P1 04/22/10 04/20/30 100.000 VARIES 6.0247 0.162409 0.157260 0.151956 0.146492 0.140864 56.80 52.93 Morgan Stanley 61745E6R7 03/25/11 03/25/31 100.000 VARIES 5.9463 0.165176 0.161002 0.156704 0.152279 45.19 56.35 Morgan Stanley 61745E6V8 04/15/10 04/15/25 100.000 VARIES 5.5533 0.153143 0.151996 0.152006 0.152016 0.152026 54.84 54.73 Morgan Stanley 61745E6Y2 08/12/11 08/12/23 100.000 VARIES 5.0167 0.139354 0.139187 0.139017 19.37 50.09 Morgan Stanley 61745E7E5 08/31/11 08/31/26 100.000 VARIES 5.5215 0.151691 0.147808 0.147923 18.66 54.34 Morgan Stanley 61745E7G0 10/30/09 10/30/29 100.000 VARIES 5.8639 0.155224 0.151224 0.147106 0.147012 0.146915 54.67 52.93 Morgan Stanley 61745E7H8 04/23/10 04/23/25 100.000 VARIES 5.7579 0.156552 0.153062 0.149471 0.145777 0.143959 55.25 52.77 Morgan Stanley 61745E7K1 03/31/11 04/01/21 100.000 VARIES 5.3224 0.147844 0.147849 0.148457 0.149081 0.149722 40.12 53.67 Morgan Stanley 61745ED32 06/20/08 06/20/28* 100.000 VARIES 5.0572 0.124067 20.97* Morgan Stanley 61745ED65 04/08/11 04/08/26 100.000 VARIES 5.9065 0.164071 0.163584 0.163083 0.162567 43.11 58.72 Morgan Stanley 61745ED99 10/30/09 10/30/29 100.000 VARIES 5.8166 0.153077 0.148643 0.144079 0.143140 0.142174 53.76 51.58 Morgan Stanley 61745EE23 04/29/10 04/29/30 100.000 VARIES 6.0035 0.161766 0.156616 0.151311 0.145847 0.145417 56.66 53.12 Morgan Stanley 61745EE49 04/15/11 04/15/26 100.000 VARIES 5.7612 0.160036 0.156644 0.153154 0.152674 40.71 55.46 Morgan Stanley 61745EE64 06/27/08 06/27/18* 100.000 VARIES 6.1703 0.175633 31.09* Morgan Stanley 61745EE80 05/05/10 05/05/25 100.000 VARIES 5.6438 0.152576 0.148259 0.147379 0.146474 0.145543 53.86 52.79 Morgan Stanley 61745EE98 09/22/10 09/22/19 100.000 VARIES 2.8227 0.021760 0.021218 0.020668 0.020111 0.019546 7.63 7.23 Morgan Stanley 61745EF22 04/15/11 04/15/26 100.000 VARIES 5.8397 0.162215 0.162896 0.163597 0.164319 41.58 58.88 Morgan Stanley 61745EF30 08/30/11 08/30/15 100.000 VARIES 3.2415 0.011364 0.010846 0.010376 1.41 3.94 Morgan Stanley 61745EF48 07/07/08 07/07/23* 100.000 VARIES 6.0756 0.151373 0.146690 27.31* Morgan Stanley 61745EF63 05/18/10 05/18/25 100.000 VARIES 6.0398 0.166130 0.164436 0.164464 0.164494 0.164524 59.43 59.22 Morgan Stanley 61745EF71 09/22/10 09/22/25 100.000 VARIES 5.6905 0.158071 0.154665 0.151162 0.149175 0.147132 55.61 53.66 Morgan Stanley 61745EF89 04/15/11 04/15/21 100.000 VARIES 2.2565 0.007825 0.007509 0.007189 0.006866 1.98 2.59 Morgan Stanley 61745EF97 08/31/11 08/31/31 100.000 VARIES 5.6734 0.155865 0.150836 0.149849 19.17 55.38 Morgan Stanley 61745EG62 04/25/11 04/25/23 100.000 VARIES 5.6779 0.155135 0.154497 0.153841 0.154009 38.90 56.39 Morgan Stanley 61745EG70 08/31/11 08/31/15 100.000 VARIES 3.2288 0.011079 0.010461 0.010119 1.36 3.82 Morgan Stanley 61745EG88 07/28/08 07/28/23* 100.000 VARIES 5.9673 0.156979 0.154618 32.07* Morgan Stanley 61745EH20 05/12/10 05/12/25 100.000 VARIES 5.8071 0.156314 0.151175 0.150932 0.150683 0.150427 55.08 54.27 Morgan Stanley 61745EH38 09/30/10 09/30/25 100.000 VARIES 5.2659 0.146276 0.145739 0.145188 0.144623 0.144042 52.46 52.06 Morgan Stanley 61745EH46 04/26/11 04/26/26 100.000 VARIES 5.7524 0.157171 0.153047 0.148805 0.145616 39.02 54.74 Morgan Stanley 61745EH87 05/20/10 05/20/30 100.000 VARIES 5.8155 0.157355 0.153045 0.148611 0.144047 0.139351 55.51 52.30 Morgan Stanley 61745EJ28 04/29/11 04/29/26 100.000 VARIES 5.7371 0.159366 0.157562 0.155708 0.153800 38.45 56.16 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61745EJ36 09/16/11 09/16/15 100.000 VARIES 3.0131 0.018385 0.017602 0.016807 1.93 6.31 Morgan Stanley 61745EJ44 08/04/08 08/04/23* 100.000 VARIES 5.9469 0.147738 0.143045 30.62* Morgan Stanley 61745EJ77 09/30/10 09/30/17 100.000 VARIES 2.7147 0.015965 0.014781 0.013580 0.013765 0.013952 5.32 4.96 Morgan Stanley 61745EJ85 04/28/11 04/28/17 100.000 VARIES 1.7167 0.012325 0.011822 0.011315 0.011412 2.96 4.13 Morgan Stanley 61745EJ93 09/09/11 09/09/26 100.000 VARIES 5.8527 0.162576 0.159205 0.155735 18.21 57.15 Morgan Stanley 61745EL33 09/30/10 09/30/19 100.000 VARIES 2.8240 0.031503 0.030128 0.028735 0.027321 0.025888 10.84 9.83 Morgan Stanley 61745EL41 04/29/11 04/29/18 100.000 VARIES 1.6125 0.010821 0.010326 0.009827 0.009906 2.58 3.60 Morgan Stanley 61745EL58 09/16/11 09/16/31 100.000 VARIES 5.8547 0.162631 0.159260 0.155791 17.08 57.22 Morgan Stanley 61745EL82 05/27/10 05/27/30* 100.000 VARIES 6.1976 0.166731 0.161138 38.85* Morgan Stanley 61745EL90 10/15/10 10/15/19 100.000 VARIES 2.5025 0.019819 0.019042 0.018256 0.017459 0.016653 6.88 6.31 Morgan Stanley 61745EM24 04/29/11 04/29/16 100.000 VARIES 1.5929 0.008886 0.008614 0.008340 0.008406 2.13 3.03 Morgan Stanley 61745EM32 09/22/11 09/22/26 100.000 VARIES 5.5347 0.153744 0.150312 0.146784 15.22 54.04 Morgan Stanley 61745EM40 08/29/08 08/29/18* 100.000 VARIES 5.7096 0.162637 0.165931 39.63* Morgan Stanley 61745EM57 12/22/09 12/22/24* 100.000 VARIES 5.6398 0.149735 25.60* Morgan Stanley 61745EM73 10/29/10 10/29/30 100.000 VARIES 5.2869 0.146860 0.145602 0.144311 0.142986 0.141626 52.49 51.55 Morgan Stanley 61745EM81 05/17/11 05/17/23 100.000 VARIES 5.1511 0.143087 0.143195 0.143306 0.143420 32.06 51.58 Morgan Stanley 61745EM99 09/30/11 09/30/17 100.000 VARIES 3.3263 0.012558 0.011611 0.010648 1.14 4.18 Morgan Stanley 61745EN23 08/29/08 08/29/23* 100.000 VARIES 5.7316 0.149186 0.148006 35.59* Morgan Stanley 61745EN64 05/19/11 05/19/26 100.000 VARIES 5.5223 0.150065 0.150404 0.147437 0.148489 34.08 54.42 Morgan Stanley 61745EN72 09/30/11 09/30/31 100.000 VARIES 6.1251 0.170144 0.166848 0.163450 15.48 60.05 Morgan Stanley 61745EP47 05/12/11 05/12/21 100.000 VARIES 1.9922 0.014764 0.014008 0.013245 0.012474 3.34 4.83 Morgan Stanley 61745EP70 01/15/10 01/15/25 100.000 VARIES 5.4037 0.148119 0.146079 0.143984 0.141833 0.139623 52.27 50.72 Morgan Stanley 61745EP88 06/16/10 06/16/13 100.000 VARIES 2.1929 0.017782 0.017392 0.017583 0.017776 0.017971 6.33 6.37 Morgan Stanley 61745EP96 10/15/10 10/15/15 100.000 VARIES 1.8991 0.016945 0.016715 0.016483 0.016248 0.016011 6.02 5.86 Morgan Stanley 61745EQ38 09/30/11 09/30/15 100.000 VARIES 3.1371 0.021191 0.020879 0.020561 1.93 7.52 Morgan Stanley 61745EQ79 10/29/10 10/29/30 100.000 VARIES 5.1584 0.143290 0.139821 0.136263 0.132613 0.128869 50.52 47.94 Morgan Stanley 61745ER45 06/23/10 06/23/30 100.000 VARIES 6.3849 0.174153 0.170845 0.167431 0.163909 0.160446 62.05 59.59 Morgan Stanley 61745ER52 10/15/10 10/15/19 100.000 VARIES 2.6938 0.025132 0.024080 0.023014 0.021934 0.020839 8.70 7.93 Morgan Stanley 61745ER60 05/31/11 05/31/31 100.000 VARIES 5.6682 0.157450 0.155221 0.152928 0.150571 33.15 55.32 Morgan Stanley 61745ER94 01/25/10 01/25/25* 100.000 VARIES 5.1353 0.139178 0.135619 27.75* Morgan Stanley 61745ES28 06/24/10 06/24/20 100.000 VARIES 5.8922 0.163586 0.165188 0.166838 0.168073 0.169345 59.20 60.30 Morgan Stanley 61745ES51 10/27/11 10/27/14 100.000 VARIES 3.3202 0.008896 0.008615 0.008329 .57 3.12 Morgan Stanley 61745ES93 10/27/10 10/27/17 100.000 VARIES 2.4455 0.018263 0.017750 0.017231 0.016705 0.016173 6.42 6.04 Morgan Stanley 61745ET27 05/31/11 05/31/26 100.000 VARIES 5.5394 0.153872 0.151979 0.150034 0.150059 32.41 54.30 Morgan Stanley 61745ET43 12/03/08 12/03/23* 100.000 VARIES 6.0934 0.155421 0.155359 37.61* Morgan Stanley 61745ET68 06/22/10 06/22/15 100.000 VARIES 2.6966 0.009453 0.008944 0.009064 0.009187 0.009311 3.31 3.29 Morgan Stanley 61745ETG6 06/30/08 06/30/28* 100.000 VARIES 5.7070 0.145762 26.09* Morgan Stanley 61745ETH4 05/19/08 05/19/28* 100.000 VARIES 5.3131 0.133241 0.130139 30.10* Morgan Stanley 61745ETQ4 02/28/06 03/01/11 100.000 VARIES 5.0618 0.139619 8.24 Morgan Stanley 61745EU33 02/03/10 02/03/35 100.000 VARIES 5.3927 0.146348 0.142804 0.139735 0.136583 0.133346 51.07 48.79 Morgan Stanley 61745EU58 11/16/10 11/16/15 100.000 VARIES 1.5999 0.008765 0.008496 0.008224 0.008290 0.008356 3.08 2.98 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61745EU66 06/10/11 06/10/26 100.000 VARIES 5.3578 0.148830 0.148352 0.147862 0.148174 29.90 53.31 Morgan Stanley 61745EU90 03/17/10 03/17/30 100.000 VARIES 6.1264 0.165182 0.160031 0.154722 0.149251 0.143612 57.45 53.56 Morgan Stanley 61745EUH2 02/23/07 02/23/37 100.000 VARIES 5.5058 0.138435 0.136128 0.133758 0.131323 0.131418 48.82 47.42 Morgan Stanley 61745EUK5 05/19/08 05/19/23* 100.000 VARIES 5.2763 0.134114 18.51* Morgan Stanley 61745EUV1 02/22/08 02/22/23* 100.000 VARIES 4.3863 0.111932 0.109818 15.59* Morgan Stanley 61745EUX7 03/03/08 03/03/28* 100.000 VARIES 4.3854 0.114997 7.13* Morgan Stanley 61745EUY5 02/29/08 02/29/28* 100.000 VARIES 4.3844 0.103351 5.99* Morgan Stanley 61745EV32 11/23/10 05/23/16 100.000 VARIES 1.4641 0.010548 0.010214 0.009878 0.009950 0.010023 3.71 3.57 Morgan Stanley 61745EV40 06/14/11 06/14/21 100.000 VARIES 2.3141 0.015802 0.015149 0.014487 0.013821 3.10 5.31 Morgan Stanley 61745EV65 01/20/09 01/20/24 100.000 VARIES 5.9021 0.142175 0.134484 0.136201 0.137968 0.139787 48.84 49.93 Morgan Stanley 61745EVD0 03/14/08 03/14/28* 100.000 VARIES 4.2040 0.104471 7.63* Morgan Stanley 61745EVE8 04/07/08 04/07/23* 100.000 VARIES 4.3273 0.102404 9.83* Morgan Stanley 61745EVH1 03/31/08 03/30/23* 100.000 VARIES 4.2080 0.103251 9.09* Morgan Stanley 61745EVL2 04/25/08 04/25/28* 100.000 VARIES 4.8906 0.115847 13.21* Morgan Stanley 61745EVM0 04/25/08 04/25/23* 100.000 VARIES 5.3229 0.135963 0.133389 27.50* Morgan Stanley 61745EVP3 04/25/08 04/25/28* 100.000 VARIES 5.5441 0.133836 15.26* Morgan Stanley 61745EW23 06/23/11 06/23/26 100.000 VARIES 5.4880 0.152445 0.149006 0.145472 0.141842 28.63 52.95 Morgan Stanley 61745EW31 10/27/11 10/27/31 100.000 VARIES 6.4618 0.179494 0.179011 0.178513 11.49 64.47 Morgan Stanley 61745EW49 01/30/09 01/30/24 100.000 VARIES 6.4553 0.166692 0.162210 0.157583 0.152807 0.154499 57.83 55.40 Morgan Stanley 61745EW72 11/23/10 11/23/19 100.000 VARIES 2.3593 0.019583 0.018855 0.018118 0.017372 0.016618 6.86 6.33 Morgan Stanley 61745EW98 11/17/11 11/17/17 100.000 VARIES 3.9291 0.012492 0.011399 0.010284 .55 4.20 Morgan Stanley 61745EX22 03/31/09 03/31/24* 100.000 VARIES 5.5881 0.139877 12.45* Morgan Stanley 61745EX30 02/16/10 02/16/30 100.000 VARIES 5.7678 0.155225 0.150089 0.148271 0.146400 0.144475 54.02 52.53 Morgan Stanley 61745EX48 07/16/10 07/16/30 100.000 VARIES 6.0985 0.169405 0.164406 0.159255 0.158112 0.156935 58.41 56.74 Morgan Stanley 61745EX63 06/30/11 06/30/31 100.000 VARIES 5.7758 0.160441 0.157855 0.155194 0.152456 29.04 56.34 Morgan Stanley 61745EX71 11/17/11 11/17/15 100.000 VARIES 3.5087 0.014132 0.013438 0.012732 .62 4.90 Morgan Stanley 61745EX89 03/31/09 03/31/24* 100.000 VARIES 5.2808 0.131512 11.70* Morgan Stanley 61745EX97 02/16/10 02/16/30 100.000 VARIES 5.6112 0.152447 0.148930 0.145315 0.141599 0.140410 53.29 50.98 Morgan Stanley 61745EY21 07/15/10 07/15/20 100.000 VARIES 3.4515 0.025746 0.024243 0.022715 0.021161 0.019580 8.49 7.38 Morgan Stanley 61745EY39 12/15/10 12/15/19 100.000 VARIES 5.6449 0.156803 0.157700 0.158623 0.159572 0.160548 56.64 57.31 Morgan Stanley 61745EY47 06/30/11 06/30/26 100.000 VARIES 5.5719 0.154777 0.150576 0.146258 0.144007 28.01 53.42 Morgan Stanley 61745EY62 04/23/09 04/23/24 100.000 VARIES 5.9383 0.149505 0.144047 0.138427 0.132640 0.133060 52.09 48.43 Morgan Stanley 61745EY96 12/15/10 12/15/15 100.000 VARIES 1.7536 0.012550 0.012128 0.011703 0.011806 0.011909 4.43 4.23 Morgan Stanley 61745EZ46 05/01/09 05/01/14 100.000 VARIES 5.4528 0.153822 0.154410 0.154225 0.154018 0.153653 55.51 55.45 Morgan Stanley 61745EZ53 02/18/10 02/18/30 100.000 VARIES 5.4861 0.147431 0.142331 0.140862 0.139351 0.137800 51.28 50.03 Morgan Stanley 61745EZ79 12/15/10 12/15/19 100.000 VARIES 2.6578 0.034331 0.032912 0.031473 0.030015 0.028538 12.06 11.02 Morgan Stanley 61745EZ87 07/07/11 07/07/26 100.000 VARIES 5.7788 0.160524 0.156936 0.153244 27.93 55.88 Morgan Stanley 61745EZ95 11/29/11 11/29/19 100.000 VARIES 5.8963 0.163788 0.163703 0.163616 5.24 58.94 Morgan Stanley 61746BCS3 02/09/06 02/11/13 100.000 0.000 5.3494 0.188496 0.193538 0.198715 0.204030 0.209487 70.20 74.00 Morgan Stanley 61746BCT1 02/27/06 02/27/13 100.000 0.000 5.3615 0.188967 0.194033 0.199235 0.204576 0.210060 70.21 74.03 Morgan Stanley 61746S190 01/27/04 03/30/11 100.000 1.875 4.2069 0.137615 12.25 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61746S273 10/26/04 10/30/11 100.000 0.000 4.2472 0.151889 0.155115 46.00 Morgan Stanley 61746S422 09/28/04 09/30/12 100.000 1.300 4.4570 0.150385 0.152932 0.155535 0.158196 55.07 42.32 Morgan Stanley 61746S539 08/27/04 03/30/11 100.000 0.000 4.4434 0.161323 14.36 Morgan Stanley 61746S646 07/28/04 01/30/11 100.000 0.000 4.6243 0.169041 4.90 Morgan Stanley 61746S703 02/25/04 12/30/11 100.000 0.400 4.5064 0.165890 0.169377 60.18 Morgan Stanley 61746S778 04/28/04 12/30/11 100.000 0.000 4.8845 0.187235 0.191808 68.04 Morgan Stanley 61746S877 03/29/04 12/30/11 100.000 0.500 4.0511 0.143221 0.145840 51.89 Morgan Stanley 61746SBD0 11/30/04 12/30/11 100.000 0.250 4.4263 0.158360 0.161711 57.45 Morgan Stanley 61746SBU2 01/06/06 07/06/11 100.000 VARIES 5.1444 0.158792 0.160794 29.74 Morgan Stanley 61746SDC0 12/11/06 12/11/13 100.000 0.000 5.1239 0.174260 0.178724 0.183303 0.187999 0.192816 63.72 67.02 Morgan Stanley 61746Y288 06/28/05 06/30/11 100.000 0.500 4.2966 0.147162 26.34 Morgan Stanley 61746Y858 12/28/04 12/30/11 100.000 0.000 4.4273 0.159976 0.163517 58.07 Morgan Stanley 61746YAB2 12/30/04 12/30/12 100.000 0.000 4.7234 0.173622 0.177722 0.181920 0.186216 63.25 66.08 Morgan Stanley 617475116 11/30/07 02/20/13 100.000 0.000 4.6219 0.145402 0.148763 0.152200 0.155718 0.159316 53.84 56.36 Morgan Stanley 617475124 11/30/07 11/30/12 100.000 0.000 4.4317 0.140405 0.143516 0.146696 0.149947 51.30 48.85 Morgan Stanley 617475546 10/31/07 11/07/14 100.000 4.849 4.8489 0.134694 0.134694 0.134694 0.134694 0.134694 48.49 48.49 Morgan Stanley 617475579 07/31/07 07/27/12 100.000 5.518 5.5179 0.153278 0.153278 0.153278 0.153278 55.18 31.58 Morgan Stanley 617475652 08/31/07 02/20/12 100.000 0.000 5.2169 0.168890 0.173295 0.177816 62.76 8.71 Morgan Stanley 61747S371 06/29/07 12/20/12 100.000 5.363 5.3629 0.148972 0.148972 0.148972 0.148972 53.63 51.99 Morgan Stanley 61747S413 05/31/07 08/20/11 100.000 0.000 5.2996 0.174251 0.178869 40.73 Morgan Stanley 61747S561 10/31/06 10/28/11 100.000 5.433 5.4329 0.150917 0.150917 44.82 Morgan Stanley 61747S850 08/31/06 08/26/11 100.000 VARIES 5.4559 0.151560 0.151591 35.62 Morgan Stanley 61747W182 03/31/08 03/28/13 100.000 0.000 4.0410 0.124032 0.126538 0.129094 0.131703 0.134364 45.57 47.43 Morgan Stanley 61747W463 02/29/08 02/20/15 100.000 0.000 5.4016 0.167488 0.174862 0.176657 0.183422 0.186328 63.70 67.18 Morgan Stanley 61747W752 12/31/07 12/31/12 100.000 4.894 4.8939 0.135944 0.135944 0.135944 0.135944 48.94 48.80 Morgan Stanley 61747W794 12/31/07 12/31/12 100.000 0.000 4.8469 0.155440 0.159207 0.163066 0.167018 56.64 59.25 Morgan Stanley 61747Y162 06/30/06 06/24/11 100.000 5.771 5.7709 0.160306 27.73 Morgan Stanley 61747YBT1 05/29/07 09/01/14 100.000 0.000 5.6123 0.186699 0.191938 0.197324 0.202861 0.208554 69.43 73.38 Morgan Stanley 61747YDB8 05/27/11 05/29/15 100.000 0.000 3.0456 0.084600 0.084615 0.085903 0.087211 0.088539 18.15 31.24 Morgan Stanley 617480173 04/30/08 11/05/14 100.000 5.627 5.6269 0.156306 0.156306 0.156306 0.156306 0.156306 56.27 56.27 Morgan Stanley 617480199 04/30/08 01/30/15 100.000 0.000 6.0537 0.192329 0.198150 0.204148 0.210327 0.216694 72.07 76.50 Morgan Stanley 617480330 05/30/08 02/28/14 100.000 0.000 5.5930 0.174951 0.176911 0.183857 0.186944 0.195357 65.31 69.27 Morgan Stanley 617480496 06/30/08 12/30/13 100.000 0.000 5.6404 0.180055 0.185133 0.190355 0.195723 0.201243 65.74 69.50 Morgan Stanley 617480629 07/31/08 11/29/11 87.000 0.000 4.2238 92.66 0.112526 0.114903 37.34 Morgan Stanley 617480710 08/29/08 11/29/11 86.300 0.000 4.5833 96.59 0.121674 0.124462 40.41 Morgan Stanley 617482AA2 07/25/08 11/30/11 100.000 0.000 5.8223 0.185072 0.190460 61.86 Morgan Stanley 617482AL8 08/29/08 08/31/11 100.000 0.000 5.6318 0.173908 0.175890 42.45 Morgan Stanley 617482AM6 08/29/08 05/31/11 100.000 0.000 5.7855 0.182761 27.23 Morgan Stanley 617482AN4 07/28/08 07/28/14 100.000 0.000 6.2015 0.194644 0.200680 0.206902 0.213318 0.219932 73.03 77.63 Morgan Stanley 617482AP9 08/29/08 01/05/11 100.000 0.000 5.4658 0.167770 .67 Morgan Stanley 617482AQ7 08/29/08 08/31/11 100.000 VARIES 5.7662 0.173948 0.174947 42.28 Morgan Stanley 617482AR5 08/29/08 04/04/14 100.000 0.000 5.7350 0.179377 0.184520 0.189812 0.195255 0.200854 66.41 70.27 Morgan Stanley 617482AT1 08/29/08 11/29/11 86.300 0.000 4.5833 96.59 0.121674 0.124462 40.41 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 617482AY0 08/29/08 11/30/11 100.000 0.000 5.6758 0.178866 0.183942 59.76 Morgan Stanley 617482AZ7 08/29/08 11/30/11 100.000 0.000 5.7597 0.181845 0.187082 60.77 Morgan Stanley 617482BX1 09/30/08 11/30/11 94.000 0.000 6.4662 0.193825 0.200092 64.90 Morgan Stanley 617482CS1 10/20/08 10/20/11 73.000 0.000 10.7703 189.54 0.269382 0.283889 80.46 Morgan Stanley 617482CY8 10/31/08 10/31/11 83.000 0.000 6.3084 119.83 0.164682 0.169876 50.17 Morgan Stanley 617482D76 11/28/11 11/28/17 100.000 0.000 6.9072 0.191867 0.198493 0.205348 6.33 70.71 Morgan Stanley 617482D92 11/17/11 11/17/26 100.000 VARIES 6.4999 0.180554 0.179646 0.178708 7.94 64.75 Morgan Stanley 617482DC5 11/28/08 11/30/11 100.000 0.000 4.4417 0.134746 0.137739 44.87 Morgan Stanley 617482DL5 12/31/08 12/30/11 80.160 0.000 7.5159 127.66 0.191796 0.197916 70.74 Morgan Stanley 617482DX9 02/27/09 02/28/11 100.000 0.000 4.9651 0.147649 8.56 Morgan Stanley 617482EF7 02/27/09 02/27/24 100.000 VARIES 5.6208 0.140771 0.135359 0.129795 0.124075 0.124338 48.34 45.02 Morgan Stanley 617482EG5 03/03/09 02/27/24 100.000 VARIES 6.2075 0.159793 0.155269 0.150604 0.145795 0.145861 55.57 52.76 Morgan Stanley 617482EL4 03/31/09 03/31/11 100.000 0.000 5.5476 0.167285 14.89 Morgan Stanley 617482EN0 03/25/09 03/25/24* 100.000 VARIES 6.4376 0.163418 0.157949 42.16* Morgan Stanley 617482ES9 03/26/09 03/26/29 100.000 VARIES 5.8244 0.142615 0.135848 0.134995 0.134118 0.133216 49.40 48.27 Morgan Stanley 617482ET7 04/16/09 04/16/12 100.000 0.000 5.7696 0.174544 0.179579 0.184760 64.51 19.40 Morgan Stanley 617482EW0 04/30/09 04/30/12 100.000 0.000 5.5196 0.166371 0.170962 0.175681 61.29 20.91 Morgan Stanley 617482EX8 04/30/09 04/30/12 100.000 0.000 5.4582 0.164372 0.168858 0.173466 60.54 20.64 Morgan Stanley 617482FB5 04/16/09 04/16/29 100.000 VARIES 5.8955 0.147060 0.141159 0.140193 0.139197 0.138173 51.36 50.14 Morgan Stanley 617482FH2 05/29/09 05/29/12 100.000 0.000 4.8002 0.143173 0.146609 0.150128 52.38 22.22 Morgan Stanley 617482FJ8 05/29/09 05/29/12 100.000 0.000 4.8475 0.144686 0.148193 0.151785 52.95 22.46 Morgan Stanley 617482FM1 05/27/09 05/27/29 100.000 VARIES 3.6954 0.091196 0.087235 0.087102 0.086967 0.086829 31.98 31.32 Morgan Stanley 617482FQ2 06/30/09 06/28/13 100.000 0.000 4.0308 0.118851 0.121246 0.123690 0.126182 0.128726 43.23 44.99 Morgan Stanley 617482FR0 06/30/09 09/28/12 100.000 0.000 4.3979 0.128970 0.131806 0.134705 0.137667 47.47 36.50 Morgan Stanley 617482FW9 06/22/09 06/22/29* 100.000 VARIES 4.2479 0.103985 17.78* Morgan Stanley 617482FX7 06/26/09 06/26/24 100.000 VARIES 5.0455 0.129473 0.125731 0.121895 0.117963 0.113931 45.90 43.13 Morgan Stanley 617482FZ2 07/31/09 07/31/13 100.000 0.000 3.7618 0.108463 0.110503 0.112581 0.114699 0.116856 40.04 41.56 Morgan Stanley 617482GB4 07/31/09 10/31/12 100.000 0.000 4.0209 0.117398 0.119759 0.122166 0.124623 42.98 36.97 Morgan Stanley 617482GC2 07/31/09 10/31/11 100.000 0.000 3.3818 0.097967 0.099623 29.59 Morgan Stanley 617482GD0 07/06/09 07/06/12 100.000 0.000 3.9872 0.115216 0.117513 0.119856 0.122245 42.70 22.60 Morgan Stanley 617482GF5 07/16/09 07/16/29* 100.000 VARIES 4.2615 0.110315 0.106155 20.76* Morgan Stanley 617482GG3 07/29/09 07/29/24* 100.000 VARIES 5.6514 0.150061 0.146452 30.56* Morgan Stanley 617482GH1 07/31/09 07/31/29 100.000 VARIES 6.8887 0.183352 0.179143 0.174789 0.173468 0.172102 63.96 62.28 Morgan Stanley 617482GK4 08/31/09 02/28/13 100.000 0.000 3.5389 0.101250 0.101362 0.104289 0.104980 0.108609 37.35 38.83 Morgan Stanley 617482GL2 08/31/09 05/31/12 100.000 0.000 3.0328 0.087479 0.088805 0.090152 31.81 13.43 Morgan Stanley 617482GM0 08/31/09 08/30/13 100.000 0.000 4.0427 0.115587 0.117279 0.119650 0.122068 0.125220 43.00 44.93 Morgan Stanley 617482GQ1 08/18/09 08/17/12 100.000 0.000 3.1202 0.089392 0.090786 0.092203 0.093641 32.81 21.10 Morgan Stanley 617482GR9 09/30/09 03/29/13 100.000 0.000 3.2543 0.093357 0.094876 0.096420 0.097989 0.099583 34.16 35.28 Morgan Stanley 617482GV0 09/30/09 09/30/14 100.000 4.132 4.1319 0.114778 0.114778 0.114778 0.114778 0.114778 41.32 41.32 Morgan Stanley 617482HD9 10/30/09 04/30/13 100.000 0.000 3.4452 0.099028 0.100734 0.102469 0.104235 0.106030 36.17 37.42 Morgan Stanley 617482HE7 10/09/09 10/09/24 97.500 VARIES 5.4787 0.140836 0.136908 0.135452 0.133957 0.132421 49.55 48.25 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 617482HG2 10/19/09 10/19/29 100.000 VARIES 5.9196 0.157626 0.154069 0.150408 0.149448 0.148460 55.59 53.83 Morgan Stanley 617482HH0 10/30/09 01/31/13 100.000 0.000 3.2279 0.091848 0.093330 0.094837 0.096367 0.097923 33.78 34.88 Morgan Stanley 617482JB1 12/31/09 06/28/13 100.000 0.000 3.1055 0.087966 0.088844 0.090223 0.091624 0.093558 32.28 33.29 Morgan Stanley 617482JK1 11/30/09 05/30/13 100.000 0.000 2.8998 0.082904 0.084106 0.085325 0.086562 0.087817 30.14 31.02 Morgan Stanley 617482JL9 11/16/09 11/16/11 100.000 0.000 2.0182 0.057200 0.057777 18.12 Morgan Stanley 617482JN5 11/20/09 11/20/11 100.000 0.000 2.0285 0.057498 0.058081 18.45 Morgan Stanley 617482JP0 12/29/09 06/29/12 100.000 0.000 2.4717 0.070367 0.071237 0.072117 25.49 12.84 Morgan Stanley 617482JQ8 12/29/09 09/30/13 100.000 0.000 3.4574 0.097471 0.098614 0.100319 0.102053 0.104388 36.05 37.41 Morgan Stanley 617482JR6 12/11/09 12/12/11 100.000 0.000 2.1726 0.061675 0.062345 21.15 Morgan Stanley 617482JT2 01/28/10 07/29/13 100.000 0.000 2.8031 0.078963 0.080069 0.081192 0.082330 0.083484 28.96 29.78 Morgan Stanley 617482JX3 05/27/10 05/24/12 100.000 0.000 2.5278 0.071091 0.071990 0.072899 25.82 10.42 Morgan Stanley 617482KC7 07/30/10 07/30/12 100.000 0.000 2.6135 0.072599 0.073548 0.074509 0.075483 26.59 15.75 Morgan Stanley 617482KD5 11/29/10 05/22/15 100.000 2.000 3.0665 0.085181 0.085618 0.086078 0.086546 0.087022 30.78 31.11 Morgan Stanley 617482KF0 01/25/10 01/25/16 100.000 0.000 4.0787 0.115609 0.117966 0.120372 0.122827 0.125332 42.79 44.55 Morgan Stanley 617482KY9 03/08/10 03/13/15 100.000 0.000 4.0832 0.115805 0.118170 0.120582 0.123044 0.125556 42.63 44.39 Morgan Stanley 617482LA0 03/15/10 03/15/16 100.000 0.000 4.5963 0.130610 0.133612 0.136682 0.139824 0.143037 48.20 50.44 Morgan Stanley 617482MX9 08/09/10 08/09/20 100.000 VARIES 4.9489 0.137471 0.136749 0.136008 0.136052 0.136098 49.15 48.98 Morgan Stanley 617482NM2 09/30/10 09/30/16 100.000 0.000 3.8819 0.107832 0.109925 0.112059 0.114234 0.116451 39.58 41.13 Morgan Stanley 617482NP5 09/28/10 09/28/15 100.000 0.000 3.4261 0.095171 0.096802 0.098460 0.100147 0.101862 34.86 36.07 Morgan Stanley 617482NS9 09/30/10 09/30/15 100.000 0.000 3.4418 0.095607 0.097253 0.098926 0.100629 0.102361 35.02 36.23 Morgan Stanley 617482NW0 10/12/10 10/09/15 100.000 0.000 3.2213 0.089482 0.090899 0.092363 0.093851 0.095362 32.70 33.76 Morgan Stanley 617482PA6 10/28/10 05/29/12 100.000 0.000 0.8742 0.024303 0.024409 0.024516 8.78 3.63 Morgan Stanley 617482PB4 10/28/10 05/29/13 100.000 0.000 1.6525 0.045968 0.046348 0.046731 0.047117 0.047507 16.64 16.92 Morgan Stanley 617482PC2 10/28/10 05/29/14 100.000 0.000 2.5250 0.070294 0.071181 0.072080 0.072990 0.073912 25.52 26.17 Morgan Stanley 617482PD0 10/29/10 05/29/15 100.000 0.000 3.1816 0.088613 0.090022 0.091455 0.092909 0.094387 32.25 33.28 Morgan Stanley 617482PU2 12/22/10 12/22/25 100.000 VARIES 6.2468 0.173523 0.172002 0.170433 0.168815 0.167147 62.17 61.04 Morgan Stanley 617482QH0 01/28/11 01/27/17 100.000 0.000 4.1753 0.115981 0.118389 0.120861 0.123384 38.99 43.83 Morgan Stanley 617482QS6 01/28/11 01/28/14 100.000 0.000 2.2103 0.061398 0.062076 0.062762 0.063456 20.55 22.68 Morgan Stanley 617482QY3 02/08/11 12/22/20 100.000 VARIES N/A 0.151520 0.150977 0.150414 0.149982 48.86 54.11 Morgan Stanley 617482RB2 02/25/11 02/27/17 100.000 0.000 4.3449 0.120693 0.120722 0.123345 0.126024 0.128762 37.27 45.56 Morgan Stanley 617482RH9 02/28/11 02/27/26 100.000 VARIES 5.9550 0.165418 0.164568 0.163679 0.162763 49.69 58.86 Morgan Stanley 617482RL0 03/30/11 09/29/17 100.000 0.000 4.3132 0.119813 0.122383 0.125022 0.127718 32.71 45.02 Morgan Stanley 617482SD7 08/26/11 08/26/13 100.000 0.000 2.1981 0.061061 0.061732 0.062411 7.63 22.27 Morgan Stanley 617482SE5 09/02/11 09/03/13 100.000 0.000 2.4917 0.069213 0.069219 0.070081 0.070954 8.24 25.28 Morgan Stanley 617482SF2 10/14/11 10/15/13 100.000 0.000 4.6123 0.128120 0.128138 0.131093 0.134116 9.87 47.12 Morgan Stanley 617482SH8 11/23/11 11/21/14 100.000 0.000 5.5804 0.155014 0.159291 0.163736 5.89 56.92 Morgan Stanley 617482TA2 04/28/11 07/28/17 100.000 0.000 4.1507 0.115299 0.116496 0.118913 0.121381 28.20 43.12 Morgan Stanley 617482TN4 04/29/11 04/29/31 100.000 VARIES 5.9675 0.165766 0.164081 0.162347 0.161187 40.01 58.58 Morgan Stanley 617482TP9 05/13/11 05/13/14 100.000 0.000 2.4618 0.068386 0.069227 0.070080 0.070942 15.63 25.16 Morgan Stanley 617482TQ7 05/27/11 05/30/17 100.000 0.000 3.9013 0.108371 0.108407 0.110521 0.112677 0.114875 23.26 40.31 Morgan Stanley 617482TV6 05/11/11 11/12/14 100.000 0.000 2.7937 0.077604 0.077611 0.078695 0.079794 0.080909 17.90 28.64 Morgan Stanley 617482UH5 05/31/11 05/29/26 100.000 VARIES 5.3835 0.149543 0.147969 0.146344 0.146574 31.50 52.93 Morgan Stanley 617482UP7 06/29/11 06/29/17 100.000 0.000 3.6574 0.101595 0.103453 0.105345 0.107272 18.49 37.59 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 617482UY8 06/15/11 06/13/31 100.000 VARIES 5.5344 0.153735 0.151861 0.149914 0.147913 30.10 54.25 Morgan Stanley 617482VB7 06/30/11 06/30/31 100.000 VARIES 5.5330 0.153695 0.152184 0.150630 0.149034 27.82 54.50 Morgan Stanley 617482VG6 06/14/11 09/14/17 100.000 0.000 3.8913 0.108092 0.109144 0.111267 0.113432 21.41 40.13 Morgan Stanley 617482VQ4 08/31/11 08/31/17 100.000 0.000 4.9901 0.137091 0.138984 0.144813 16.86 51.47 Morgan Stanley 617482VU5 08/29/11 08/29/17 100.000 0.000 5.0291 0.136661 0.141637 0.144405 17.08 51.89 Morgan Stanley 617482VX9 09/29/11 09/29/17 100.000 0.000 6.0377 0.167717 0.172780 0.177996 15.43 62.24 Morgan Stanley 617482VZ4 10/28/11 10/28/16 100.000 0.000 5.1995 0.144432 0.148187 0.152039 9.10 53.15 Morgan Stanley 617482WA8 10/28/11 10/28/16 100.000 0.000 5.1995 0.144432 0.148187 0.152039 9.10 53.15 Morgan Stanley 617482WC4 07/28/11 07/28/17 100.000 0.000 4.3106 0.119740 0.122320 0.124957 18.32 44.37 Morgan Stanley 617482WK6 07/28/11 07/28/17 100.000 0.000 4.3106 0.119740 0.122320 0.124957 18.32 44.37 Morgan Stanley 617482XG4 08/30/11 08/29/31 100.000 VARIES 6.1188 0.166273 0.166528 0.163998 20.62 60.62 Morgan Stanley 617482XL3 08/26/11 08/25/17 100.000 0.000 4.9767 0.138244 0.141665 0.145190 17.28 51.26 Morgan Stanley 617482XT6 08/31/11 08/31/17 100.000 1.000 5.0228 0.137992 0.139237 0.144406 16.97 51.52 Morgan Stanley 617482XW9 09/29/11 09/29/17 100.000 0.000 6.0328 0.167579 0.172634 0.177841 15.42 62.18 Morgan Stanley 617482YD0 09/16/11 09/14/18 100.000 0.000 5.1470 0.142974 0.146612 0.150385 15.01 52.92 Morgan Stanley 617482YR9 10/14/11 10/14/26 100.000 VARIES 5.6319 0.156443 0.154982 0.153479 12.05 55.83 Morgan Stanley 617482YU2 10/28/11 10/28/16 100.000 0.000 5.1961 0.144337 0.148087 0.151935 9.09 53.12 Morgan Stanley 617482YW8 10/20/11 10/20/26 100.000 VARIES 5.7716 0.160323 0.159005 0.157649 11.38 57.29 Morgan Stanley 617483144 06/30/09 06/26/14 100.000 0.000 5.3758 0.161603 0.165947 0.170408 0.174988 0.179692 59.00 62.22 Morgan Stanley 617483169 06/30/09 06/28/11 100.000 0.000 3.6476 0.106949 18.93 Morgan Stanley 617483227 04/30/09 04/20/11 100.000 0.000 4.7205 0.140452 15.31 Morgan Stanley 617483235 04/30/09 04/21/14 100.000 0.000 5.6383 0.170012 0.174805 0.179733 0.184800 0.190010 62.75 66.34 Morgan Stanley 617483284 04/30/09 10/20/12 100.000 0.000 5.5171 0.166041 0.170621 0.175328 0.180164 61.26 51.54 Morgan Stanley 617483300 09/30/08 11/30/11 94.000 0.000 6.4662 0.193825 0.200092 64.90 Morgan Stanley 617483342 05/29/09 05/20/11 100.000 0.000 3.8967 0.114584 15.93 Morgan Stanley 617483383 05/29/09 05/20/14 100.000 0.000 5.2382 0.157043 0.161156 0.165377 0.169709 0.174153 57.62 60.68 Morgan Stanley 617483482 01/30/09 01/30/12 100.000 0.000 6.1849 0.188242 0.194064 0.200065 70.60 5.80 Morgan Stanley 617483599 03/31/09 03/20/14 100.000 0.000 6.3536 0.192425 0.195301 0.203719 0.207906 0.218067 71.93 76.81 Morgan Stanley 617483615 03/31/09 03/20/11 100.000 0.000 5.5984 0.167733 13.08 Morgan Stanley 617483714 10/20/08 10/20/11 73.000 0.000 10.7703 189.54 0.269382 0.283889 80.46 Morgan Stanley 617483748 10/31/08 10/31/11 83.000 0.000 6.3084 119.83 0.164682 0.169876 50.17 Morgan Stanley 617483821 12/31/08 12/30/11 80.160 0.000 7.5159 127.66 0.191796 0.197916 70.74 Morgan Stanley 617484217 07/31/09 07/27/11 100.000 0.000 3.2408 0.090912 0.093917 19.36 Morgan Stanley 617484282 08/31/09 02/25/15 100.000 0.000 4.7184 0.134240 0.139684 0.140649 0.145549 0.147363 50.81 53.24 Morgan Stanley 617484381 03/09/10 01/07/16 100.000 0.000 4.4482 0.125364 0.128152 0.131002 0.133916 0.136894 46.61 48.71 Morgan Stanley 617484506 08/31/09 08/29/11 100.000 0.000 2.2311 0.062322 0.063363 15.15 Morgan Stanley 617484530 11/30/09 05/28/15 100.000 0.000 3.9207 0.113199 0.115418 0.117681 0.119988 0.122340 41.30 42.93 Morgan Stanley 617484605 08/25/09 08/27/12 100.000 0.000 3.3592 0.096490 0.098111 0.099759 0.101434 35.43 23.84 Morgan Stanley 617484621 11/06/09 11/06/14 100.000 0.000 4.0719 0.117762 0.120160 0.122606 0.125102 0.127649 43.09 44.86 Morgan Stanley 617484654 12/04/09 12/04/13 100.000 0.000 3.4578 0.099402 0.101120 0.102869 0.104647 0.106456 36.19 37.45 Morgan Stanley 617484753 09/30/09 09/28/11 100.000 0.000 1.7533 0.049556 0.049990 13.31 Morgan Stanley 617484779 09/30/09 03/27/15 100.000 0.000 4.2843 0.124120 0.126778 0.129494 0.132268 0.135102 45.67 47.64 Morgan Stanley 61748A221 12/29/06 12/23/11 100.000 5.081 5.0809 0.141139 0.141139 49.68 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61748A296 11/06/06 11/30/11 100.000 0.000 5.4050 0.186514 0.191555 62.27 Morgan Stanley 61748A742 06/01/04 03/30/12 100.000 2.800 5.2533 0.172413 0.174899 0.177450 62.97 15.79 Morgan Stanley 61748AAC0 04/30/04 12/30/11 100.000 0.000 4.8871 0.187316 0.191893 68.07 Morgan Stanley 61748AAD8 04/30/04 12/30/11 100.000 0.000 4.8871 0.187316 0.191893 68.07 Morgan Stanley 61748AAF3 11/29/05 11/30/12 100.000 0.000 5.2402 0.188554 0.193495 0.198565 0.203767 69.08 66.26 Morgan Stanley 61748AAG1 11/29/05 11/30/12 100.000 0.000 5.2402 0.188554 0.193495 0.198565 0.203767 69.08 66.26 Morgan Stanley 61748AAL0 12/12/06 11/30/11 100.000 0.000 4.8724 0.162031 0.165071 54.51 Morgan Stanley 61750V188 05/31/07 05/25/12 100.000 5.318 5.3179 0.147722 0.147722 0.147722 53.18 21.27 Morgan Stanley 61750V220 04/20/07 04/20/11 100.000 0.000 5.1825 0.172193 18.77 Morgan Stanley 61750V295 04/30/07 04/27/12 100.000 5.055 5.0549 0.140417 0.140417 0.140417 50.55 16.29 Morgan Stanley 61750V642 02/28/07 02/20/11 100.000 0.000 5.1739 0.167932 8.40 Morgan Stanley 61750V733 01/30/07 07/29/11 100.000 0.000 5.3487 0.178698 0.183477 38.03 Morgan Stanley 61750V840 01/31/07 01/27/12 100.000 5.280 5.2799 0.146667 0.146667 0.146667 52.80 3.81 Morgan Stanley 61750VAG0 07/29/10 07/29/25 100.000 VARIES 5.9967 0.166577 0.163243 0.159809 0.156271 0.152628 58.34 55.80 Morgan Stanley 61759G273 02/01/11 02/02/15 100.000 0.000 3.1466 0.087407 0.087416 0.088791 0.090188 0.091607 29.05 32.64 Morgan Stanley 61759G570 07/22/10 07/21/18* 100.000 VARIES 4.8833 0.135650 0.134897 26.99* Morgan Stanley 61759G588 07/23/10 07/22/16 100.000 0.000 4.6755 0.129876 0.132896 0.136003 0.139182 0.142436 48.27 50.56 Morgan Stanley 61759G612 08/30/10 08/25/16 100.000 0.000 4.0488 0.112468 0.114682 0.117003 0.119372 0.121789 41.46 43.15 Morgan Stanley 61759G653 07/30/10 03/30/17 100.000 0.000 5.0431 0.141266 0.144828 0.148480 0.152224 0.156063 52.15 54.82 Morgan Stanley 61759G844 06/29/10 06/24/16 100.000 0.000 5.4889 0.156538 0.160834 0.165248 0.169783 0.174443 57.19 60.37 Morgan Stanley 61760E119 07/12/11 07/10/14 100.000 0.000 2.5371 0.070477 0.071361 0.072266 11.91 25.84 Morgan Stanley 61760E226 08/31/11 08/31/17 100.000 0.000 5.0772 0.139484 0.141470 0.147466 17.16 52.40 Morgan Stanley 61760E309 02/25/11 02/22/18 100.000 0.000 4.9086 0.136350 0.139641 0.143068 0.146580 42.15 51.78 Morgan Stanley 61760E341 06/29/11 06/24/26 100.000 1.000 5.3273 0.147982 0.151094 0.154379 0.157751 26.95 55.03 Morgan Stanley 61760E366 06/30/11 06/30/17 100.000 0.000 3.7941 0.105393 0.107393 0.109430 0.111506 19.08 39.03 Morgan Stanley 61760E481 07/29/11 07/29/16 100.000 0.000 3.9112 0.108645 0.110770 0.112936 16.51 40.15 Morgan Stanley 61760E499 07/29/11 07/31/17 100.000 0.000 4.2685 0.118572 0.118600 0.121131 0.123716 18.15 43.92 Morgan Stanley 61760E630 05/27/11 05/24/17 100.000 0.000 3.9896 0.110825 0.112999 0.115253 0.117552 23.80 41.25 Morgan Stanley 61760P650 09/29/11 12/22/17 100.000 0.000 6.0586 0.168295 0.170646 0.175815 0.181141 15.50 62.46 Morgan Stanley 61760P692 09/30/11 09/29/17 100.000 1.000 6.0171 0.167144 0.171313 0.175632 15.21 61.70 Morgan Stanley 61760P825 09/30/11 09/29/17 100.000 1.000 6.0418 0.167829 0.172036 0.176394 15.27 61.96 Morgan Stanley 61760T132 10/31/11 10/31/17 100.000 1.000 5.8164 0.161568 0.165459 0.169463 9.86 59.35 Morgan Stanley 61760T173 11/28/11 11/24/17 100.000 0.000 6.9071 0.191865 0.198344 0.205194 6.33 70.73 Morgan Stanley 61760T199 11/18/11 11/21/17 100.000 1.000 6.1790 0.171639 0.171713 0.176160 0.180745 7.38 62.98 Morris CNTY Improv Auth 618027AP1 02/18/10 08/15/11 100.000 0.000 1.2156 0.033969 0.034176 7.65 Morris CNTY Improv Auth 618027AQ9 02/18/10 08/15/12 100.000 0.000 1.3546 0.037879 0.038135 0.038393 0.038653 13.75 8.65 Morris CNTY Improv Auth 618027AR7 02/18/10 08/15/13 100.000 0.000 2.1177 0.059438 0.060067 0.060703 0.061346 0.061995 21.68 22.14 Morris CNTY Improv Auth 618027AS5 02/18/10 08/15/14 100.000 0.000 2.8538 0.080387 0.081534 0.082697 0.083877 0.085074 29.46 30.31 Morris CNTY Improv Auth 618027AT3 02/18/10 08/15/15 100.000 0.000 3.0318 0.085472 0.086768 0.088083 0.089418 0.090774 31.36 32.32 Morris CNTY Improv Auth 618027AU0 02/18/10 08/15/16 100.000 0.000 3.4140 0.096426 0.098072 0.099746 0.101449 0.103181 35.46 36.68 Morris CNTY Improv Auth 618027AV8 02/18/10 08/15/17 100.000 0.000 3.6588 0.103462 0.105355 0.107282 0.109245 0.111243 38.11 39.51 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morris CNTY Improv Auth 618027AW6 02/18/10 08/15/18 100.000 0.000 3.8475 0.108899 0.110994 0.113129 0.115305 0.117523 40.16 41.72 Morris CNTY Improv Auth 618027AX4 02/18/10 08/15/19 100.000 0.000 3.8535 0.109072 0.111173 0.113315 0.115499 0.117724 40.22 41.79 Morris CNTY Improv Auth 618027AY2 02/18/10 08/15/20 100.000 0.000 3.8574 0.109184 0.111289 0.113436 0.115624 0.117854 40.26 41.83 Morris CNTY Improv Auth 618027AZ9 02/18/10 08/15/21 100.000 0.000 3.8593 0.109240 0.111348 0.113496 0.115686 0.117919 40.28 41.85 Morris CNTY Improv Auth 618027BA3 02/18/10 08/15/22 100.000 0.000 3.8595 0.109244 0.111352 0.113501 0.115692 0.117924 40.29 41.86 Morris CNTY Improv Auth 618027BB1 02/18/10 08/15/23 100.000 0.000 3.8580 0.109202 0.111308 0.113455 0.115644 0.117875 40.27 41.84 Morris CNTY Improv Auth 618027BC9 02/18/10 08/15/24 100.000 0.000 3.8550 0.109116 0.111219 0.113363 0.115548 0.117775 40.24 41.80 Morris CNTY Improv Auth 618027BD7 02/18/10 08/15/25 100.000 0.000 3.8507 0.108990 0.111088 0.113227 0.115407 0.117629 40.19 41.75 Multnomah County, OR 625506HH6 12/08/99 06/01/13 36.019 0.000 7.7198 472.62 0.177446 0.184295 0.191409 0.198797 0.206471 65.53 70.69 Multnomah County, OR 625506HJ2 12/08/99 06/01/14 33.298 0.000 7.7399 438.57 0.164818 0.171197 0.177822 0.184704 0.191852 60.87 65.68 Multnomah County, OR 625506HK9 12/08/99 06/01/15 30.863 0.000 7.7399 406.49 0.152766 0.158678 0.164818 0.171197 0.177822 56.42 60.87 Multnomah County, OR 625506HL7 12/08/99 06/01/16 28.606 0.000 7.7399 376.77 0.141594 0.147074 0.152766 0.158678 0.164819 52.30 56.42 Multnomah County, OR 625506HN3 12/08/99 06/01/20 21.112 0.000 7.7400 278.07 0.104503 0.108547 0.112748 0.117111 0.121643 38.60 41.64 Multnomah County, OR 625506HP8 12/08/99 06/01/21 19.568 0.000 7.7400 257.73 0.096860 0.100609 0.104503 0.108547 0.112748 35.77 38.60 Multnomah County, OR 625506HQ6 12/08/99 06/01/22 18.137 0.000 7.7400 238.89 0.089777 0.093252 0.096861 0.100609 0.104503 33.16 35.77 Multnomah County, OR 625506HR4 12/08/99 06/01/23 16.811 0.000 7.7399 221.42 0.083212 0.086432 0.089777 0.093251 0.096860 30.73 33.16 Multnomah County, OR 625506HS2 12/08/99 06/01/24 15.582 0.000 7.7399 205.23 0.077127 0.080112 0.083212 0.086432 0.089777 28.49 30.73 Multnomah County, OR 625506HT0 12/08/99 06/01/25 14.442 0.000 7.7400 190.22 0.071487 0.074253 0.077127 0.080112 0.083212 26.40 28.49 Multnomah County, OR 625506HU7 12/08/99 06/01/26 13.386 0.000 7.7400 176.31 0.066259 0.068823 0.071487 0.074253 0.077127 24.47 26.40 Multnomah County, OR 625506HV5 12/08/99 06/01/27 12.407 0.000 7.7400 163.41 0.061413 0.063790 0.066259 0.068823 0.071487 22.68 24.47 Multnomah County, OR 625506HW3 12/08/99 06/01/28 11.500 0.000 7.7399 151.47 0.056923 0.059125 0.061414 0.063790 0.066259 21.02 22.68 Multnomah County, OR 625506HX1 12/08/99 06/01/29 10.659 0.000 7.7399 140.39 0.052760 0.054802 0.056923 0.059125 0.061414 19.49 21.02 Multnomah County, OR 625506HY9 12/08/99 06/01/30 9.879 0.000 7.7401 130.12 0.048901 0.050794 0.052759 0.054801 0.056922 18.06 19.49 Nash Finch Company 631158AC6 03/15/05 03/15/35 46.611 VARIES 8.0045 0.135113 0.138706 0.142443 0.146329 0.150371 50.06 52.82 Nash Finch Company 631158AD4 03/15/05 03/15/35 46.611 VARIES 8.0045 0.135113 0.138706 0.142443 0.146329 0.150371 50.06 52.82 National Rural Utilities 637432KV6 02/06/08 12/15/23 87.915 0.000 0.8138 20.97 0.020341 0.020424 0.020507 0.020591 0.020674 7.34 7.40 National Rural Utilities 637432KZ7 02/06/08 12/15/11 96.997 0.000 0.7917 22.51 0.021820 0.021907 7.52 National Rural Utilities 637432LA1 02/06/08 12/15/12 96.936 0.000 0.6415 18.19 0.017594 0.017650 0.017707 0.017764 6.35 6.10 National Rural Utilities 637432LB9 02/06/08 12/15/13 96.036 0.000 0.6915 19.44 0.018817 0.018882 0.018947 0.019013 0.019079 6.79 6.83 National Rural Utilities 637432LC7 02/06/08 12/15/14 93.808 0.000 0.9341 25.73 0.024999 0.025116 0.025233 0.025351 0.025469 9.02 9.11 National Rural Utilities 637432LD5 02/06/08 12/15/15 93.011 0.000 0.9240 25.23 0.024513 0.024626 0.024740 0.024854 0.024969 8.85 8.93 National Rural Utilities 637432LE3 02/06/08 12/15/16 92.647 0.000 0.8640 23.48 0.022790 0.022889 0.022988 0.023087 0.023187 8.23 8.30 National Rural Utilities 637432LF0 02/06/08 12/15/17 92.124 0.000 0.8338 22.52 0.021852 0.021943 0.022034 0.022126 0.022219 7.89 7.95 National Rural Utilities 637432LG8 02/06/08 12/15/18 91.459 0.000 0.8238 22.09 0.021429 0.021517 0.021606 0.021695 0.021784 7.73 7.80 National Rural Utilities 637432LH6 02/06/08 12/15/19 90.603 0.000 0.8339 22.15 0.021492 0.021582 0.021672 0.021762 0.021853 7.76 7.82 National Rural Utilities 637432LJ2 02/06/08 12/15/20 90.083 0.000 0.8138 21.49 0.020844 0.020929 0.021014 0.021099 0.021185 7.52 7.58 National Rural Utilities 637432LK9 02/06/08 12/15/21 89.231 0.000 0.8238 21.55 0.020906 0.020992 0.021079 0.021166 0.021253 7.54 7.61 National Rural Utilities 637432LL7 02/06/08 12/15/22 88.108 0.000 0.8538 22.07 0.021414 0.021505 0.021597 0.021689 0.021782 7.73 7.79 Navistar Intl Corp. 63934EAL2 10/28/09 10/15/14 78.000 3.000 8.5279 44.28 0.109947 0.114636 0.119524 0.124620 0.129934 41.15 44.74 Network Associates, Inc. 640938AA4 02/13/98 02/13/18 39.106 0.000 4.7500 324.96 0.092786 0.094990 0.097246 0.099555 0.101920 34.42 36.07 NJ Econ Dev Auth 64578JAA4 12/22/05 07/01/15 60.170 0.000 5.4048 184.94 0.118101 0.121293 0.124571 0.127937 43.09 45.45 NJ Econ Dev Auth 64578JAB2 12/22/05 07/01/16 56.811 0.000 5.4449 176.07 0.112557 0.115622 0.118769 0.122003 41.07 43.34 NJ Econ Dev Auth 64578JAC0 12/22/05 07/01/17 53.569 0.000 5.4898 167.57 0.107245 0.110188 0.113213 0.116321 39.14 41.32 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ NJ Econ Dev Auth 64578JAD8 12/22/05 07/01/18 50.436 0.000 5.5399 159.39 0.102144 0.104973 0.107881 0.110869 37.28 39.37 NJ Econ Dev Auth 64578JAE6 12/22/05 07/01/19 47.535 0.000 5.5748 151.29 0.097040 0.099745 0.102526 0.105383 35.42 37.42 NJ Econ Dev Auth 64578JAF3 09/07/07 07/01/15 62.947 0.000 6.0088 136.65 0.127875 0.131717 0.135675 0.139751 46.73 49.58 NJ Econ Dev Auth 64578JAG1 09/07/07 07/01/16 59.024 0.000 6.0689 129.53 0.121340 0.125022 0.128816 0.132725 44.35 47.08 NJ Econ Dev Auth 64578JAH9 09/07/07 07/01/17 55.019 0.000 6.1789 123.12 0.115565 0.119135 0.122816 0.126610 42.25 44.90 NJ Econ Dev Auth 64578JAJ5 09/07/07 07/01/18 51.284 0.000 6.2689 116.58 0.109606 0.113042 0.116585 0.120239 40.08 42.63 NJ Econ Dev Auth 64578JAK2 09/07/07 07/01/19 47.828 0.000 6.3391 110.05 0.103598 0.106881 0.110269 0.113764 37.89 40.33 NJ Econ Dev Auth 64578JAL0 09/07/07 07/01/20 44.269 0.000 6.4592 103.97 0.098084 0.101251 0.104521 0.107897 35.88 38.24 NJ Econ Dev Auth 64578JAM8 09/07/07 07/01/21 41.265 0.000 6.5092 97.74 0.092284 0.095288 0.098389 0.101591 33.76 36.00 NJ Econ Dev Auth 64578JAN6 09/07/07 07/01/22 38.760 0.000 6.4992 91.65 0.086522 0.089334 0.092237 0.095234 31.65 33.74 NJ Econ Dev Auth 64578JAP1 09/07/07 07/01/23 36.303 0.000 6.5092 85.98 0.081188 0.083830 0.086559 0.089376 29.70 31.67 NJ Econ Dev Auth 645913AP9 06/30/97 02/15/11 37.204 0.000 7.3892 619.25 0.197943 8.71 NJ Econ Dev Auth 645913AQ7 06/30/97 02/15/12 34.381 0.000 7.4342 577.65 0.185090 0.191970 0.199106 69.78 8.76 NJ Econ Dev Auth 645913AR5 06/30/97 02/15/13 31.673 0.000 7.4942 538.82 0.173200 0.179690 0.186423 0.193409 0.200656 65.32 70.31 NJ Econ Dev Auth 645913AS3 06/30/97 02/15/14 29.262 0.000 7.5292 501.41 0.161474 0.167553 0.173861 0.180406 0.187198 60.91 65.58 NJ Econ Dev Auth 645913AT1 06/30/97 02/15/15 27.085 0.000 7.5492 466.02 0.150238 0.155909 0.161794 0.167902 0.174239 56.68 61.04 NJ Econ Dev Auth 645913AU8 06/30/97 02/15/16 25.082 0.000 7.5644 432.91 0.139676 0.144959 0.150442 0.156132 0.162037 52.70 56.76 NJ Econ Dev Auth 645913AV6 06/30/97 02/15/17 23.177 0.000 7.5895 402.09 0.129907 0.134836 0.139953 0.145264 0.150776 49.02 52.81 NJ Econ Dev Auth 645913AW4 06/30/97 02/15/18 21.450 0.000 7.6043 373.26 0.120688 0.125276 0.130040 0.134984 0.140116 45.55 49.07 NJ Econ Dev Auth 645913AX2 06/30/97 02/15/19 19.886 0.000 7.6095 346.41 0.112037 0.116299 0.120724 0.125318 0.130086 42.28 45.56 NJ Econ Dev Auth 645913AY0 06/30/97 02/15/20 18.435 0.000 7.6144 321.47 0.103995 0.107954 0.112064 0.116331 0.120760 39.25 42.29 NJ Econ Dev Auth 645913AZ7 06/30/97 02/15/21 17.088 0.000 7.6194 298.28 0.096521 0.100198 0.104016 0.107978 0.112092 36.43 39.26 NJ Econ Dev Auth 645913BA1 06/30/97 02/15/22 15.838 0.000 7.6244 276.75 0.089576 0.092991 0.096536 0.100216 0.104036 33.81 36.44 NJ Econ Dev Auth 645913BB9 06/30/97 02/15/23 14.678 0.000 7.6294 256.74 0.083122 0.086293 0.089585 0.093002 0.096550 31.37 33.81 NJ Econ Dev Auth 645913BC7 06/30/97 02/15/24 13.601 0.000 7.6346 238.15 0.077126 0.080070 0.083127 0.086300 0.089594 29.11 31.38 NJ Econ Dev Auth 645913BD5 06/30/97 02/15/25 12.602 0.000 7.6397 220.89 0.071555 0.074289 0.077126 0.080073 0.083131 27.01 29.11 NJ Econ Dev Auth 645913BE3 06/30/97 02/15/26 11.676 0.000 7.6446 204.86 0.066381 0.068918 0.071552 0.074287 0.077127 25.06 27.01 New Omaha Holdings Corp. 647579AA9 09/24/07 09/30/16 100.000 VARIES 11.4999 0.447619 0.473357 0.500575 0.529358 0.559796 170.59 190.78 New Plan Excel Realty TR 64806QAA2 10/30/09 01/15/14 67.500 7.970 19.6685 66.65 0.168525 0.185098 0.203301 0.223294 0.245253 69.42 83.75 New Plan Excel Realty TR 64806QAD6 10/30/09 01/15/14 67.500 7.650 19.2575 67.08 0.169421 0.185734 0.203618 0.223224 0.244717 69.60 83.65 New Plan Excel Realty TR 64806QAF1 10/30/09 01/15/14 67.500 7.680 19.2960 67.04 0.169337 0.185674 0.203588 0.223230 0.244768 69.59 83.66 New Plan Excel Realty TR 64806QAG9 10/30/09 01/15/14 67.500 7.680 19.2960 67.04 0.169337 0.185674 0.203588 0.223230 0.244768 69.59 83.66 New Plan Excel Realty TR 64806QAK0 10/30/09 01/15/14 67.500 6.900 18.2959 68.11 0.171530 0.187221 0.204348 0.223042 0.243446 70.02 83.42 New Plan Excel Realty TR 64806QAL8 10/30/09 01/15/14 67.500 6.900 18.2959 68.11 0.171530 0.187221 0.204348 0.223042 0.243446 70.02 83.42 NY State Dorm Auth 649902ZR7 10/20/09 09/15/25 86.380 5.800 7.2575 5.78 0.013896 0.014401 0.014923 0.015465 0.016026 5.20 5.59 Newark, NJ 6503667S0 04/10/03 04/01/22 30.037 0.000 6.4399 189.83 0.086300 0.089079 0.091948 0.094908 0.097964 32.08 34.18 Newark, NJ 6503667T8 04/10/03 04/01/23 28.029 0.000 6.4699 178.17 0.081082 0.083705 0.086413 0.089209 0.092095 30.14 32.12 Newark, NJ 6503667U5 04/10/03 04/01/24 26.193 0.000 6.4899 167.14 0.076116 0.078586 0.081136 0.083769 0.086488 28.30 30.16 Newark, NJ 6503667V3 04/10/03 04/01/25 24.468 0.000 6.5099 156.73 0.071426 0.073751 0.076152 0.078630 0.081190 26.56 28.31 Newark, NJ 6503667W1 04/10/03 04/01/26 22.848 0.000 6.5299 146.92 0.066998 0.069186 0.071445 0.073777 0.076186 24.91 26.57 Newark, NJ 6503667X9 04/10/03 04/01/27 21.327 0.000 6.5498 137.66 0.062820 0.064877 0.067002 0.069196 0.071462 23.36 24.92 Newark, NJ 6503667Y7 04/10/03 04/01/28 19.947 0.000 6.5600 129.00 0.058889 0.060820 0.062815 0.064876 0.067004 21.90 23.36 Newark, NJ 6503667Z4 04/10/03 04/01/29 18.653 0.000 6.5700 120.86 0.055193 0.057006 0.058879 0.060813 0.062811 20.53 21.90 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Newark, NJ 6503668A8 04/10/03 04/01/30 17.440 0.000 6.5799 113.22 0.051719 0.053421 0.055178 0.056994 0.058869 19.24 20.52 Newark, NJ 6503668B6 04/10/03 04/01/31 16.302 0.000 6.5900 106.03 0.048454 0.050051 0.051700 0.053403 0.055163 18.02 19.23 Newark, NJ 6503668C4 04/10/03 04/01/32 15.279 0.000 6.5899 99.38 0.045412 0.046909 0.048454 0.050051 0.051700 16.89 18.02 Newark, NJ 6503668D2 04/10/03 04/01/33 14.320 0.000 6.5899 93.14 0.042561 0.043964 0.045412 0.046909 0.048454 15.83 16.89 Nexstar Fin Hldgs Inc 65335BAD6 03/27/03 04/01/13* 57.442 VARIES 11.3746 0.315964 0.315964 42.34* Nexstar Fin Hldgs Inc 65335BAE4 03/27/03 04/01/13* 57.442 VARIES 11.3746 0.315964 0.315964 42.34* Nexstar Fin Hldgs Inc 65335BAF1 03/27/03 04/01/13* 57.442 VARIES 11.3746 0.315964 0.315964 42.34* Nextera Energy Inc. 65339F309 05/26/09 06/01/14 98.500 VARIES 4.3841 0.121309 0.121776 0.122253 0.122741 0.122509 43.78 44.11 Nomura America Finance 65539AAD2 11/24/10 11/24/15 100.000 VARIES 2.0066 0.013117 0.012616 0.012111 0.012232 0.012355 4.59 4.39 Nomura America Finance 65539AAG5 11/24/10 11/24/25 100.000 VARIES 5.5492 0.154147 0.149946 0.145628 0.141191 0.136630 54.42 51.29 Nomura America Finance 65539AAK6 01/20/11 01/20/26 97.250 VARIES 6.0424 0.163231 0.158091 0.152797 0.147343 54.83 54.23 Nomura America Finance 65539AAL4 12/22/10 12/22/25 100.000 VARIES 5.9586 0.165519 0.161347 0.157051 0.152626 0.148070 58.76 55.66 Nomura America Finance 65539AAM2 12/29/10 12/29/25 100.000 VARIES 5.9958 0.166552 0.161552 0.156402 0.151097 0.145634 59.04 55.33 Nomura America Finance 65539AAU4 06/08/11 06/08/26 100.000 VARIES 5.4351 0.148500 0.148126 0.147740 0.148266 30.73 54.15 Nomura America Finance 65539AAX8 06/29/11 06/29/21 100.000 VARIES 2.3554 0.016922 0.016212 0.015494 0.014767 3.08 5.70 Novellus Systems, Inc. 670008AC5 05/10/11 05/15/41 100.000 VARIES 8.1004 0.225013 0.225185 0.231352 0.237769 0.244446 52.30 85.04 Novellus Systems, Inc. 670008AD3 05/10/11 05/15/41 100.000 VARIES 8.1004 0.225013 0.225185 0.231352 0.237769 0.244446 52.30 85.04 Omnicom Group, Inc. 681919AH9 02/07/01 02/07/31 100.000 VARIES 6.7111 0.341008 0.351220 0.361776 0.372685 0.383960 127.59 135.40 Omnicom Group, Inc. 681919AJ5 02/07/01 02/07/31 100.000 VARIES 6.7111 0.341008 0.351220 0.361776 0.372685 0.383960 127.59 135.40 Omnicom Group, Inc. 681919AK2 02/07/01 02/07/31 100.000 VARIES 6.7111 0.341008 0.351220 0.361776 0.372685 0.383960 127.59 135.40 Omnicom Group, Inc. 681919AL0 03/06/02 07/31/32 102.250 VARIES 6.6935 0.316658 0.331457 0.335761 0.349594 0.356163 121.20 128.55 Omnicom Group, Inc. 681919AM8 03/06/02 07/31/32 102.250 VARIES 6.6935 0.316658 0.331457 0.335761 0.349594 0.356163 121.20 128.55 Omnicom Group, Inc. 681919AN6 06/10/03 06/15/33 100.000 VARIES 4.6001 0.179839 0.183975 0.188207 0.192536 0.196964 65.62 68.67 Omnicom Group, Inc. 681919AP1 06/10/03 06/15/33 100.000 VARIES 4.6001 0.179839 0.183975 0.188207 0.192536 0.196964 65.62 68.67 Omnicom Group, Inc. 681919AQ9 06/30/06 07/01/38 100.000 VARIES 7.3396 0.282054 0.292405 0.303136 0.314261 103.40 111.13 Omnicom Group, Inc. 681919AR7 06/10/03 06/15/33 100.000 VARIES 4.6001 0.179839 0.183975 0.188207 0.192536 0.196964 65.62 68.67 Omnicom Group, Inc. 681919AT3 06/30/06 07/01/38 100.000 VARIES 7.3396 0.282054 0.292405 0.303136 0.314261 103.40 111.13 Omnicom Group, Inc. 681919AU0 06/30/06 07/01/38 100.000 VARIES 7.3396 0.282054 0.292405 0.303136 0.314261 103.40 111.13 Orange County, CA 68428LAV6 06/12/96 09/01/11 29.734 0.000 8.1288 651.09 0.208507 0.216982 51.57 Orange County, CA 68428LAW4 06/12/96 09/01/12 27.201 0.000 8.1888 602.94 0.193736 0.201669 0.209926 0.218521 73.12 51.93 Orange County, CA 68428LAX2 06/12/96 09/01/13 25.020 0.000 8.2089 556.86 0.179130 0.186482 0.194136 0.202105 0.210400 67.61 73.28 Orange County, CA 68428LAZ7 06/12/96 09/01/14 23.005 0.000 8.2290 514.10 0.165560 0.172372 0.179464 0.186848 0.194536 62.50 67.74 Orange County, CA 68428LBA1 06/12/96 09/01/15 21.183 0.000 8.2391 474.36 0.152847 0.159143 0.165699 0.172525 0.179633 57.70 62.55 Orange County, CA 68428LBB9 06/12/96 09/01/16 19.464 0.000 8.2591 437.63 0.141171 0.147001 0.153071 0.159392 0.165975 53.30 57.79 Orange County, CA 68428LBT0 03/03/97 09/01/11 34.929 0.000 7.3901 603.62 0.190913 0.197967 47.09 Orange County, CA 68428LBU7 04/01/97 09/01/12 30.602 0.000 7.8293 573.98 0.186516 0.193818 0.201405 0.209290 70.25 49.76 Orange County, CA 68428LBV5 04/01/97 09/01/13 28.339 0.000 7.8295 531.55 0.172731 0.179493 0.186520 0.193822 0.201409 65.05 70.25 Orange County, CA 68428LBW3 01/17/97 09/01/14 26.499 0.000 7.6793 493.71 0.157802 0.163861 0.170153 0.176686 0.183471 59.38 64.03 Orange County, CA 68428LBX1 04/01/97 09/01/15 24.175 0.000 7.8595 456.21 0.148489 0.154325 0.160389 0.166692 0.173243 55.93 60.42 Orange County, CA 68428LBY9 01/17/97 09/01/16 22.492 0.000 7.7493 425.15 0.136410 0.141696 0.147186 0.152889 0.158813 51.35 55.41 Orange County, CA 68428LBZ6 01/17/97 09/01/17 20.762 0.000 7.7695 394.08 0.126580 0.131498 0.136606 0.141913 0.147426 47.66 51.43 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Orange County, CA 68428LCA0 01/17/97 09/01/18 19.198 0.000 7.7795 365.14 0.117351 0.121916 0.126658 0.131585 0.136703 44.18 47.69 Orange County, CA 68428LCB8 01/17/97 09/01/19 17.826 0.000 7.7696 338.36 0.108683 0.112905 0.117291 0.121847 0.126581 40.92 44.16 Orange County, CA 68428LCC6 01/17/97 09/01/20 16.480 0.000 7.7796 313.45 0.100739 0.104657 0.108729 0.112958 0.117352 37.93 40.94 Orange County, CA 68428LCD4 01/17/97 09/01/21 15.306 0.000 7.7694 290.51 0.093315 0.096940 0.100706 0.104618 0.108682 35.13 37.92 Oregon Community College 68583RAH5 04/23/03 06/30/11 68.075 0.000 4.7525 296.17 0.128950 23.08 Oregon Community College 68583RAJ1 04/23/03 06/30/12 63.740 0.000 4.9623 291.84 0.128073 0.131250 0.134507 46.68 24.08 Oregon Community College 68583RAK8 04/23/03 06/30/13 59.557 0.000 5.1521 285.14 0.126025 0.129272 0.132602 0.136018 0.139522 45.96 48.36 Oregon Community College 68583RAL6 04/23/03 06/30/14 55.504 0.000 5.3320 276.87 0.123198 0.126482 0.129854 0.133316 0.136870 44.95 47.38 Oregon Community College 68583RAM4 04/23/03 06/30/15 51.363 0.000 5.5419 268.42 0.120373 0.123708 0.127136 0.130659 0.134280 43.94 46.41 Oregon Community College 68583RAN2 04/23/03 06/30/16 47.583 0.000 5.7117 257.92 0.116398 0.119722 0.123141 0.126658 0.130275 42.51 44.97 Oregon Community College 68583RAP7 04/23/03 06/30/17 44.239 0.000 5.8317 245.94 0.111487 0.114738 0.118084 0.121527 0.125071 40.73 43.14 Oregon Community College 68583RAQ5 04/23/03 06/30/18 40.975 0.000 5.9616 234.01 0.106590 0.109767 0.113039 0.116409 0.119879 38.95 41.31 Oregon Community College 68583RAR3 04/23/03 06/30/19 37.976 0.000 6.0714 221.80 0.101437 0.104516 0.107689 0.110958 0.114327 37.08 39.36 Oregon Community College 68583RAS1 04/23/03 06/30/20 35.297 0.000 6.1514 209.50 0.096096 0.099051 0.102098 0.105238 0.108475 35.13 37.33 Oregon Community College 68583RAT9 04/23/03 06/30/21 32.815 0.000 6.2213 197.50 0.090825 0.093650 0.096563 0.099567 0.102664 33.21 35.31 Oregon Community College 68583RAU6 04/23/03 06/30/22 30.636 0.000 6.2613 185.86 0.085594 0.088274 0.091037 0.093887 0.096827 31.30 33.29 Oregon Community College 68583RAV4 04/23/03 06/30/23 28.748 0.000 6.2713 174.75 0.080507 0.083032 0.085635 0.088320 0.091090 29.44 31.32 Oregon Sch Brds Assoc 686053AJ8 10/31/02 06/30/11 66.180 0.000 4.8194 314.80 0.130722 23.40 Oregon Sch Brds Assoc 686053AK5 10/31/02 06/30/12 62.040 0.000 4.9992 308.34 0.128955 0.132178 0.135482 47.01 24.25 Oregon Sch Brds Assoc 686053AL3 10/31/02 06/30/13 57.955 0.000 5.1793 300.57 0.126606 0.129884 0.133248 0.136699 0.140239 46.17 48.60 Oregon Sch Brds Assoc 686053AM1 10/31/02 06/30/14 53.950 0.000 5.3594 291.64 0.123715 0.127030 0.130434 0.133930 0.137519 45.14 47.59 Oregon Sch Brds Assoc 686053AN9 10/31/02 06/30/15 50.233 0.000 5.5093 280.83 0.119835 0.123137 0.126529 0.130014 0.133595 43.74 46.18 Oregon Sch Brds Assoc 686053AP4 10/31/02 06/30/16 46.574 0.000 5.6694 269.67 0.115797 0.119080 0.122455 0.125927 0.129496 42.28 44.72 Oregon Sch Brds Assoc 686053AQ2 10/31/02 06/30/17 43.110 0.000 5.8193 257.77 0.111337 0.114577 0.117911 0.121342 0.124872 40.67 43.07 Oregon Sch Brds Assoc 686053AR0 10/31/02 06/30/18 40.030 0.000 5.9294 244.97 0.106264 0.109414 0.112658 0.115998 0.119437 38.83 41.16 Oregon Sch Brds Assoc 686053AS8 10/31/02 06/30/19 37.212 0.000 6.0194 232.03 0.101001 0.104041 0.107172 0.110397 0.113720 36.91 39.17 Oregon Sch Brds Assoc 686053AT6 10/31/02 06/30/20 34.591 0.000 6.0995 219.26 0.095741 0.098661 0.101670 0.104771 0.107966 35.00 37.17 Oregon Sch Brds Assoc 686053CA5 04/21/03 06/30/11 68.075 0.000 4.7492 296.18 0.128863 23.07 Oregon Sch Brds Assoc 686053CB3 04/21/03 06/30/12 63.740 0.000 4.9593 291.88 0.128000 0.131174 0.134426 46.66 24.06 Oregon Sch Brds Assoc 686053CC1 04/21/03 06/30/13 59.557 0.000 5.1493 285.20 0.125964 0.129207 0.132534 0.135946 0.139446 45.94 48.33 Oregon Sch Brds Assoc 686053CD9 04/21/03 06/30/14 55.504 0.000 5.3293 276.95 0.123147 0.126428 0.129797 0.133256 0.136807 44.93 47.36 Oregon Sch Brds Assoc 686053CE7 04/21/03 06/30/15 51.363 0.000 5.5394 268.50 0.120330 0.123663 0.127088 0.130608 0.134226 43.93 46.39 Oregon Sch Brds Assoc 686053CF4 04/21/03 06/30/16 47.583 0.000 5.7092 258.02 0.116363 0.119685 0.123102 0.126616 0.130230 42.50 44.96 Oregon Sch Brds Assoc 686053CG2 04/21/03 06/30/17 44.239 0.000 5.8294 246.05 0.111459 0.114708 0.118051 0.121492 0.125033 40.72 43.12 Oregon Sch Brds Assoc 686053CH0 04/21/03 06/30/18 40.975 0.000 5.9593 234.12 0.106568 0.109743 0.113013 0.116381 0.119848 38.94 41.30 Oregon Sch Brds Assoc 686053CJ6 04/21/03 06/30/19 37.976 0.000 6.0693 221.91 0.101419 0.104497 0.107668 0.110936 0.114302 37.07 39.36 Oregon Sch Brds Assoc 686053CK3 04/21/03 06/30/20 35.297 0.000 6.1494 209.61 0.096082 0.099036 0.102081 0.105220 0.108455 35.13 37.32 Oregon Sch Brds Assoc 686053CL1 04/21/03 06/30/21 32.815 0.000 6.2193 197.61 0.090815 0.093639 0.096550 0.099553 0.102649 33.21 35.30 Oregon Sch Brds Assoc 686053CM9 04/21/03 06/30/22 30.636 0.000 6.2594 185.96 0.085587 0.088265 0.091028 0.093877 0.096815 31.30 33.29 Oregon Sch Brds Assoc 686053CN7 04/21/03 06/30/23 28.748 0.000 6.2695 174.85 0.080502 0.083025 0.085628 0.088312 0.091081 29.44 31.31 Paterson, City of 7031302A1 04/11/03 04/01/15 51.501 0.000 5.6199 275.20 0.121650 0.125068 0.128582 0.132195 0.135910 45.03 47.60 Paterson, City of 7031302B9 04/11/03 04/01/16 47.811 0.000 5.7699 263.80 0.117219 0.120600 0.124079 0.127659 0.131342 43.42 45.97 Paterson, City of 7031302C7 04/11/03 04/01/17 44.317 0.000 5.9099 251.78 0.112425 0.115747 0.119168 0.122689 0.126314 41.68 44.18 SECTION I-B OID per Daily OID Per $1,000 $1,000 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Paterson, City of 703130Z64 04/11/03 04/01/11 68.193 0.000 4.8599 306.21 0.131796 11.86 Paterson, City of 703130Z72 04/11/03 04/01/12 63.812 0.000 5.0698 301.29 0.130641 0.133953 0.137349 48.23 12.36 Paterson, City of 703130Z80 04/11/03 04/01/13 59.701 0.000 5.2398 293.20 0.127897 0.131247 0.134686 0.138215 0.141836 47.26 49.77 Paterson, City of 703130Z98 04/11/03 04/01/14 55.492 0.000 5.4399 285.08 0.125230 0.128637 0.132135 0.135729 0.139421 46.32 48.87 Penn Virginia Corp. 707882AB2 06/15/09 06/15/16 97.003 10.375 11.0000 4.83 0.009635 0.010165 0.010724 0.011313 0.011936 3.58 3.99 Peoria, IL SD #150 713040FB4 08/15/05 01/01/12 73.711 0.000 4.8393 216.20 0.128149 0.131249 46.69 Peoria, IL SD #150 713040FC2 08/15/05 01/01/13 69.865 0.000 4.9194 208.73 0.123993 0.127043 0.130168 0.133370 45.19 47.44 Peoria County, IL 713168AU6 10/05/11 12/01/13 104.730 VARIES 2.7264 0.079317 0.079653 0.080739 0.077422 6.83 28.80 Peoria County, IL 713168AV4 10/05/11 12/01/14 105.259 VARIES 3.2307 0.094464 0.094938 0.096472 0.092795 8.14 34.39 Peoria County, IL 713168AW2 10/05/11 12/01/15 105.584 VARIES 3.7319 0.109453 0.110088 0.112142 0.107946 9.43 39.94 Peoria County, IL 713168AX0 10/05/11 12/01/16 105.823 VARIES 3.9840 0.117113 0.117839 0.120187 0.115802 10.09 42.78 Peoria County, IL 713168AY8 10/05/11 12/01/17 106.762 VARIES 4.2347 0.125587 0.126414 0.129091 0.124276 10.83 45.93 Peoria County, IL 713168AZ5 10/05/11 12/01/18 106.114 VARIES 4.4856 0.132219 0.133141 0.136127 0.131185 11.40 48.41 Peoria County, IL 713168BA9 10/05/11 12/01/19 106.753 VARIES 4.7356 0.140429 0.141463 0.144813 0.139417 12.11 51.47 Peoria County, IL 713168BB7 10/05/11 12/01/20 105.512 VARIES 4.9860 0.146134 0.147268 0.150939 0.145411 12.60 53.62 Peoria County, IL 71319RBB2 05/13/10 12/01/11 103.559 0.000 1.3244 0.038377 0.038632 12.71 Peoria County, IL 71319RBD8 11/10/10 12/01/11 102.712 0.000 0.9903 0.028273 0.028413 9.36 Peoria County, IL 71319RBM8 05/13/11 12/01/12 103.558 0.000 1.5194 0.043708 0.043741 0.044074 0.044408 9.98 14.60 Peoria County, IL 71319RBP1 11/10/11 12/01/12 103.250 0.000 1.4807 0.042468 0.042504 0.042819 2.17 14.08 Petro Stopping Centers 71646DAJ1 02/09/04 04/30/14 93.312 5.000 N/A 0.191420 0.188948 0.186347 0.183612 0.180735 68.15 66.25 Petro Stopping Centers 71646DAK8 02/09/04 04/30/14 100.000 5.000 N/A 0.191420 0.188948 0.186347 0.183612 0.180735 68.15 66.25 Philadelphia Authority 71781LAP4 02/03/99 04/15/24 19.046 0.000 6.6895 226.70 0.076437 0.078994 0.081636 0.084366 0.087188 28.37 30.30 Philadelphia Authority 71781LAQ2 02/03/99 04/15/12 43.760 0.000 6.3590 484.99 0.160810 0.165923 0.171198 59.60 17.80 Philadelphia Authority 71781LAR0 02/03/99 04/15/13 40.766 0.000 6.4191 457.80 0.152257 0.157144 0.162187 0.167393 0.172766 56.45 60.13 Philadelphia Authority 71781LAS8 02/03/99 04/15/14 37.933 0.000 6.4792 431.59 0.143978 0.148642 0.153458 0.158429 0.163562 53.39 56.91 Philadelphia Authority 71781LAT6 02/03/99 04/15/15 35.256 0.000 6.5392 406.37 0.135979 0.140425 0.145017 0.149758 0.154655 50.44 53.79 Philadelphia Authority 71781LAU3 02/03/99 04/15/16 32.784 0.000 6.5893 381.97 0.128140 0.132362 0.136722 0.141227 0.145880 47.54 50.73 Philadelphia Authority 71781LAV1 02/03/99 04/15/17 30.618 0.000 6.6093 358.26 0.120309 0.124284 0.128392 0.132635 0.137018 44.64 47.64 Philadelphia Authority 71781LAW9 02/03/99 04/15/18 28.637 0.000 6.6193 335.80 0.112823 0.116557 0.120415 0.124401 0.128518 41.87 44.68 Philadelphia Authority 71781LAX7 02/03/99 04/15/19 26.727 0.000 6.6393 314.74 0.105855 0.109369 0.113000 0.116751 0.120627 39.28 41.93 Philadelphia Authority 71781LAY5 02/03/99 04/15/20 24.985 0.000 6.6494 294.87 0.099221 0.102520 0.105928 0.109450 0.113089 36.82 39.31 Philadelphia Authority 71781LAZ2 02/03/99 04/15/21 23.403 0.000 6.6494 276.20 0.092938 0.096028 0.099221 0.102520 0.105928 34.49 36.82 Philadelphia Authority 71781LBA6 02/03/99 04/15/22 21.872 0.000 6.6594 258.68 0.087087 0.089987 0.092983 0.096080 0.099279 32.32 34.51 Philadelphia Authority 71781LBB4 02/03/99 04/15/23 20.437 0.000 6.6695 242.22 0.081589 0.084310 0.087121 0.090027 0.093029 30.28 32.34 Philadelphia Authority 71781LBC2 02/03/99 04/15/25 17.878 0.000 6.6796 212.35 0.071563 0.073953 0.076423 0.078975 0.081613 26.56 28.37 Philadelphia Authority 71781LBD0 02/03/99 04/15/26 16.697 0.000 6.6896 198.74 0.067012 0.069253 0.071569 0.073963 0.076437 24.87 26.57 Pioneer Drilling Company 723655AA4 03/11/10 03/15/18 95.750 9.875 10.6775 2.87 0.010218 0.010764 0.011338 0.011943 0.012581 3.90 4.32 Pioneer Drilling Company 723655AB2 03/11/10 03/15/18 95.750 9.875 10.6775 2.87 0.010218 0.010764 0.011338 0.011943 0.012581 3.90 4.32 Plains Expl & Prodtn Co. 726505AG5 03/06/09 03/01/16 92.373 10.000 11.6241 14.51 0.024234 0.025643 0.027133 0.028710 0.030379 9.33 10.44 Playboy Enterprises,Inc. 728117AA0 03/15/05 03/15/25 100.000 VARIES 7.7502 0.283802 0.291570 0.299640 0.308022 0.316374 105.25 111.15 Playboy Enterprises,Inc. 728117AB8 03/15/05 03/15/25 100.000 VARIES 7.7502 0.283802 0.291570 0.299640 0.308022 0.316374 105.25 111.15 Ply Gem Industries, Inc. 729416AM9 01/11/10 07/15/14 97.139 13.125 14.0016 4.79 0.014172 0.015164 0.016226 0.017362 0.018577 5.62 6.44 Ply Gem Industries, Inc. 729416AN7 01/11/10 07/15/14 97.139 13.125 14.0016 4.79 0.014172 0.015164 0.016226 0.017362 0.018577 5.62 6.44 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Pope & Talbot, Inc. 732827AC4 07/30/02 06/01/13 86.415 8.375 10.5037 91.46 0.045780 0.048184 0.050715 0.053379 0.056182 17.06 18.90 Pope & Talbot, Inc. 732827AD2 07/30/02 06/01/13 86.415 8.375 10.5037 91.46 0.045780 0.048184 0.050715 0.053379 0.056182 17.06 18.90 Presidio ISD 741020DW8 05/14/98 02/15/12 38.054 0.000 7.1489 543.76 0.178722 0.185111 0.191727 67.26 8.44 Presidio ISD 741020DX6 05/14/98 02/15/13 35.472 0.000 7.1490 506.89 0.166603 0.172558 0.178726 0.185114 0.191732 62.70 67.26 Presidio ISD 741020DY4 05/14/98 02/15/14 33.066 0.000 7.1490 472.50 0.155301 0.160852 0.166602 0.172557 0.178725 58.44 62.70 Presidio ISD 741020DZ1 05/14/98 02/15/15 30.822 0.000 7.1492 440.46 0.144770 0.149945 0.155304 0.160856 0.166606 54.48 58.45 Presidio ISD 741020EA5 05/14/98 02/15/16 28.486 0.000 7.1992 411.31 0.135533 0.140412 0.145466 0.150702 0.156127 51.02 54.76 Presidio ISD 741020EB3 05/14/98 02/15/17 26.541 0.000 7.1992 383.22 0.126278 0.130823 0.135533 0.140411 0.145465 47.54 51.02 Presidio ISD 741020EC1 05/14/98 02/15/18 24.728 0.000 7.1993 357.05 0.117656 0.121892 0.126279 0.130825 0.135534 44.29 47.54 Presidio ISD 741020ED9 05/14/98 02/15/19 22.810 0.000 7.2493 332.77 0.109931 0.113916 0.118045 0.122324 0.126758 41.40 44.45 Presidio ISD 741020EE7 05/14/98 02/15/20 21.242 0.000 7.2493 309.89 0.102376 0.106086 0.109932 0.113916 0.118045 38.55 41.40 Presidio ISD 741020EF4 05/14/98 02/15/21 19.782 0.000 7.2493 288.59 0.095339 0.098795 0.102375 0.106086 0.109932 35.90 38.55 Presidio ISD 741020EG2 05/14/98 02/15/22 18.422 0.000 7.2494 268.76 0.088786 0.092004 0.095339 0.098795 0.102376 33.43 35.90 Primus Telecom IHC, Inc. 74163XAE5 07/01/09 05/20/13* 73.521 14.250 25.3448 0.565553 0.587060 123.82* Pride International Inc. 741932AE7 01/16/01 01/16/21 60.841 0.000 2.5000 170.79 0.053499 0.054168 0.054845 0.055530 0.056225 19.60 20.10 Providian Financial Corp 74406AAD4 03/19/04 03/15/16 100.000 VARIES 9.4998 0.418800 0.435065 0.452231 0.470149 0.488849 157.24 169.91 QBE Funding Trust II 747271AA2 09/10/02 04/15/22 55.100 0.000 3.0644 158.43 0.060002 0.060921 0.061855 0.062803 0.063765 21.91 22.58 QBE Funding Trust 74729CAA6 04/15/02 04/15/22 59.358 0.000 2.6249 151.41 0.054023 0.054732 0.055450 0.056178 0.056915 19.68 20.20 QBE Funding Trust III 74729LAA6 09/24/04 09/24/24 67.165 0.000 2.0000 89.26 0.042047 0.042467 0.042892 0.043321 0.043754 15.29 15.60 Quebecor Media, Inc. 74819RAH9 10/05/07 03/15/16 93.750 7.750 8.8148 18.82 0.018405 0.019216 0.020063 0.020948 0.021871 6.95 7.57 Quicksilver Resources 74837RAA2 11/01/04 11/01/24 98.500 VARIES 6.7504 0.249582 0.256247 0.263137 0.270259 0.277622 91.86 96.88 Quicksilver Resources 74837RAB0 11/01/04 11/01/24 98.500 VARIES 6.7504 0.249582 0.256247 0.263137 0.270259 0.277622 91.86 96.88 Quicksilver Resources 74837RAF1 06/25/09 01/01/16 96.717 11.750 12.5012 5.51 0.011381 0.012093 0.012849 0.013652 4.23 4.77 Range Resources Corp. 75281AAK5 05/14/09 05/15/19 95.067 8.000 8.7501 5.46 0.010062 0.010502 0.010962 0.011442 0.011942 3.74 4.08 Readers Digest Assn,Inc. 755267AJ0 02/11/10 02/15/17 97.340 9.500 10.0374 2.46 0.007899 0.008296 0.008712 0.009149 0.009609 3.03 3.34 Regal Beloit Corporation 758750AA1 04/05/04 03/15/24 100.000 VARIES 8.7503 0.365055 0.377289 0.390058 0.403317 0.417156 136.27 145.68 Regal Beloit Corporation 758750AB9 04/05/04 03/15/24 100.000 VARIES 8.7503 0.365055 0.377289 0.390058 0.403317 0.417156 136.27 145.68 Reliant Energy, Inc. 75952J207 09/21/99 09/15/29 100.000 2.000 9.8183 0.677902 0.708454 0.740506 0.774131 0.809407 256.18 279.94 Richland CNTYS CD#529,IL 763536DW6 08/04/10 12/01/11 101.846 0.000 2.0715 0.059000 0.059612 19.58 Richland CNTYS SD#529,IL 763536DX4 08/04/10 12/01/12 102.728 VARIES 2.2816 0.065590 0.066339 0.064138 0.063760 23.70 21.10 Richland CNTYS SD#529,IL 763536DY2 08/04/10 12/01/13 102.554 VARIES 2.6844 0.077140 0.078176 0.075745 0.075457 0.075165 27.91 27.20 Rock Island CNTY, IL 772453CF1 11/08/11 12/01/12 102.865 0.000 1.8268 0.052199 0.052260 0.052737 2.77 17.33 Rock Island County, IL 772453CG9 11/08/11 12/01/13 105.109 VARIES 2.1356 0.062353 0.062438 0.063105 0.060790 3.31 22.55 Rock Island County, IL 772453CH7 11/08/11 12/01/14 106.992 VARIES 2.3888 0.070997 0.071106 0.071955 0.069400 3.77 25.70 Rock Island County, IL 772453CJ3 11/08/11 12/01/15 107.914 VARIES 2.7899 0.083631 0.083780 0.084949 0.082062 4.44 30.32 Roper Industries, Inc. 776696AA4 12/29/03 01/15/34 39.502 1.482 7.0003 0.101568 0.105123 0.108803 0.112611 0.116414 38.41 41.12 Rosemont, IL 777543TC3 12/15/11 12/01/13 99.518 1.250 1.5003 0.006752 0.006799 0.006850 .11 2.44 Rosemont, IL 777543TE9 12/15/11 12/01/15 99.115 2.125 2.3603 0.005956 0.006022 0.006093 .10 2.16 Rotech Healthcare, Inc. 778669AC5 10/06/10 10/15/15 97.189 10.750 11.5019 1.01 0.011942 0.012628 0.013355 0.014123 0.014935 4.53 5.07 Rotech Healthcare, Inc. 778669AD3 10/06/10 10/15/15 97.189 10.750 11.5019 1.01 0.011942 0.012628 0.013355 0.014123 0.014935 4.53 5.07 Rotech Healthcare, Inc. 778669AE1 10/06/10 10/15/15 97.189 10.750 11.5019 1.01 0.011942 0.012628 0.013355 0.014123 0.014935 4.53 5.07 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Rotech Healthcare, Inc. 778669AF8 03/17/11 03/15/18 98.197 10.500 10.8747 0.004963 0.005230 0.005514 0.005814 1.44 2.00 Rotech Healthcare, Inc. 778669AG6 03/17/11 03/15/18 98.197 10.500 10.8747 0.004963 0.005230 0.005514 0.005814 1.44 2.00 Rotech Healthcare, Inc. 778669AH4 03/17/11 03/15/18 98.197 10.500 10.8747 0.004963 0.005230 0.005514 0.005814 1.44 2.00 Royal Bank of Canada 78008E3H8 03/31/08 03/28/13 100.000 0.000 4.2547 0.131274 0.134067 0.136919 0.139832 0.142807 48.29 50.36 Royal Bank of Canada 78008E3L9 02/29/08 02/28/14 100.000 0.000 4.7399 0.147208 0.148240 0.153421 0.155350 0.161668 54.69 57.52 Royal Bank of Canada 78008E4D6 03/31/08 09/28/12 100.000 0.000 3.9648 0.121468 0.123876 0.126332 0.128836 44.61 34.18 Royal Bank of Canada 78008E6V4 04/30/08 04/29/11 100.000 0.000 3.8934 0.119085 14.05 Royal Bank of Canada 78008E6Y8 03/31/08 03/29/12 100.000 0.000 3.7626 0.114713 0.116872 0.119070 42.09 10.48 Royal Bank of Canada 78008E7D3 04/30/08 04/30/13 100.000 0.000 4.4900 0.139365 0.142494 0.145693 0.148964 0.152308 51.12 53.44 Royal Bank of Canada 78008EAM9 01/31/06 01/31/11 100.000 0.000 4.9599 0.171764 4.98 Royal Bank of Canada 78008EAX5 03/31/06 03/31/11 100.000 0.000 5.2699 0.184998 16.46 Royal Bank of Canada 78008EBC0 04/28/06 04/29/11 100.000 0.000 5.4968 0.194920 23.00 Royal Bank of Canada 78008EBE6 05/31/06 05/31/11 100.000 0.000 5.4699 0.193709 28.86 Royal Bank of Canada 78008EBN6 06/30/06 06/30/11 100.000 0.000 5.7700 0.207034 37.06 Royal Bank of Canada 78008EBT3 08/31/06 08/31/11 100.000 0.000 5.2799 0.179663 0.181399 43.80 Royal Bank of Canada 78008EBW6 10/31/06 10/31/13 100.000 0.000 5.2200 0.178191 0.182842 0.187614 0.192511 0.197535 65.56 69.03 Royal Bank of Canada 78008ECA3 09/29/06 09/30/11 100.000 0.000 5.0371 0.170750 0.175051 46.71 Royal Bank of Canada 78008ECC9 10/31/06 10/31/11 100.000 0.000 5.1199 0.174097 0.178554 52.86 Royal Bank of Canada 78008ECD7 10/31/06 04/29/11 100.000 0.000 5.1231 0.174202 20.56 Royal Bank of Canada 78008ECE5 10/31/06 10/31/11 100.000 0.000 5.1199 0.174097 0.178554 52.86 Royal Bank of Canada 78008ECH8 11/27/06 11/29/13 100.000 0.000 5.0359 0.170725 0.175023 0.179430 0.183948 0.188580 62.51 65.70 Royal Bank of Canada 78008ECK1 11/27/06 11/30/11 100.000 0.000 4.9914 0.168948 0.173165 56.34 Royal Bank of Canada 78008EDG9 02/07/07 02/07/11 100.000 0.000 5.2200 0.173659 6.25 Royal Bank of Canada 78008EDM6 02/28/07 02/28/11 100.000 0.000 5.0199 0.164952 9.57 Royal Bank of Canada 78008EE37 11/26/07 11/26/12 100.000 0.000 4.8999 0.157383 0.161239 0.165190 0.169237 57.63 54.42 Royal Bank of Canada 78008EE45 11/26/07 11/26/12 100.000 0.000 4.8999 0.157383 0.161239 0.165190 0.169237 57.63 54.42 Royal Bank of Canada 78008EFG7 04/30/07 04/29/11 100.000 0.000 5.0935 0.168699 19.91 Royal Bank of Canada 78008EFH5 04/30/07 04/30/12 100.000 0.000 5.1100 0.169362 0.173689 0.178127 62.28 21.20 Royal Bank of Canada 78008EH59 12/31/07 12/31/13 100.000 0.000 4.7699 0.152626 0.156266 0.159993 0.163809 0.167716 55.61 58.29 Royal Bank of Canada 78008EJV0 06/29/07 06/29/12 100.000 0.000 5.5299 0.185926 0.191066 0.196349 67.88 34.95 Royal Bank of Canada 78008EJW8 06/29/07 06/29/12 100.000 VARIES 5.5339 0.171156 0.175892 0.180759 62.49 32.18 Royal Bank of Canada 78008EJX6 06/29/07 06/29/12 100.000 0.000 5.5299 0.185926 0.191066 0.196349 67.88 34.95 Royal Bank of Canada 78008EJY4 06/29/07 06/29/12 100.000 0.000 5.5299 0.185926 0.191066 0.196349 67.88 34.95 Royal Bank of Canada 78008ELR6 07/06/07 07/09/12 100.000 VARIES 5.6200 0.172450 0.177296 0.182278 0.187400 64.64 35.19 Royal Bank of Canada 78008EPA9 07/31/07 07/29/11 100.000 0.000 5.2536 0.170476 0.174954 36.27 Royal Bank of Canada 78008EPB7 07/31/07 07/31/12 100.000 0.000 5.3300 0.173364 0.177984 0.182728 0.187597 64.66 39.07 Royal Bank of Canada 78008EPH4 08/31/07 08/31/12 100.000 0.000 5.1899 0.167192 0.168734 0.175015 0.177605 62.27 43.01 Royal Bank of Canada 78008EPL5 08/31/07 08/31/12 100.000 0.000 5.1899 0.167192 0.168734 0.175015 0.177605 62.27 43.01 Royal Bank of Canada 78008EPN1 08/31/07 08/31/11 100.000 0.000 5.0800 0.163123 0.164539 39.74 Royal Bank of Canada 78008ER58 01/31/08 01/31/14 100.000 0.000 4.6199 0.143857 0.147180 0.150579 0.154058 0.157617 53.40 55.90 Royal Bank of Canada 78008EWF0 10/31/07 10/31/12 100.000 0.000 4.7100 0.150443 0.153986 0.157613 0.161324 55.23 47.79 Royal Bank of Canada 78008G3K6 06/30/09 06/30/14 100.000 0.000 3.9699 0.116976 0.119298 0.121666 0.124081 0.126544 42.53 44.24 Royal Bank of Canada 78008G3L4 06/30/09 06/29/12 100.000 0.000 3.0462 0.088538 0.089886 0.091255 32.12 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Canada 78008G5L2 06/26/09 12/26/14 100.000 VARIES 3.9701 0.111497 0.111918 0.111314 0.110763 0.110351 40.21 39.97 Royal Bank of Canada 78008G5R9 08/12/09 08/12/16 100.000 VARIES 4.2505 0.119564 0.120334 0.121121 0.121924 0.122744 43.40 43.97 Royal Bank of Canada 78008G5S7 07/20/09 04/20/15 100.000 VARIES 4.0008 0.112548 0.113132 0.113728 0.114336 0.114082 40.71 41.08 Royal Bank of Canada 78008GBJ0 04/30/08 10/31/12 100.000 0.000 4.3499 0.134558 0.137485 0.140475 0.143530 49.33 42.55 Royal Bank of Canada 78008GBV3 05/30/08 11/30/12 100.000 0.000 4.6199 0.143857 0.147180 0.150580 0.154058 52.59 50.17 Royal Bank of Canada 78008GBX9 05/30/08 05/31/11 100.000 0.000 4.1200 0.126728 18.88 Royal Bank of Canada 78008GDW9 05/27/08 08/24/11 100.000 0.000 4.0799 0.124080 0.126611 29.37 Royal Bank of Canada 78008GEN8 06/30/08 06/30/14 100.000 0.000 4.8299 0.151169 0.154819 0.158558 0.162388 0.166309 55.09 57.78 Royal Bank of Canada 78008GGU0 06/30/08 06/30/11 100.000 0.000 4.1200 0.126728 22.68 Royal Bank of Canada 78008GH39 03/31/09 03/31/15 100.000 0.000 5.2300 0.156976 0.161081 0.165294 0.169616 0.174052 58.01 61.08 Royal Bank of Canada 78008GH47 03/31/09 03/31/14 100.000 0.000 5.0300 0.150532 0.154318 0.158199 0.162178 0.166257 55.57 58.40 Royal Bank of Canada 78008GHD7 07/31/08 01/31/13 100.000 0.000 4.3700 0.132351 0.135243 0.138198 0.141218 0.144303 49.05 51.22 Royal Bank of Canada 78008GHH8 07/31/08 07/29/11 100.000 0.000 4.0200 0.120906 0.123336 25.59 Royal Bank of Canada 78008GL83 04/30/09 04/30/12 100.000 0.000 2.9229 0.084807 0.086046 0.087304 30.91 10.39 Royal Bank of Canada 78008GLE0 07/29/08 01/29/14 100.000 0.000 4.7199 0.143933 0.147330 0.150807 0.154366 0.158009 53.47 56.03 Royal Bank of Canada 78008GLJ9 07/25/08 07/25/12 100.000 0.000 4.5600 0.138620 0.141781 0.145013 0.148320 51.47 30.18 Royal Bank of Canada 78008GLV2 08/05/08 08/06/12 100.000 0.000 4.3999 0.133354 0.136288 0.139286 0.142350 49.40 30.50 Royal Bank of Canada 78008GMC3 08/29/08 09/28/12 100.000 0.000 4.2399 0.128525 0.131250 0.134032 0.136874 47.27 36.30 Royal Bank of Canada 78008GPA4 09/30/08 09/30/13 100.000 0.000 3.6499 0.108995 0.110985 0.113010 0.115072 0.117173 39.96 41.43 Royal Bank of Canada 78008GPD8 09/30/08 09/30/11 100.000 0.000 3.2500 0.096291 0.097855 26.18 Royal Bank of Canada 78008GS45 04/30/09 04/30/29 100.000 VARIES 5.2899 0.141546 0.140147 0.138711 0.137237 0.135724 50.53 49.49 Royal Bank of Canada 78008GSC7 10/31/08 10/31/13 100.000 0.000 3.3799 0.100398 0.102095 0.103821 0.105575 0.107359 36.66 37.91 Royal Bank of Canada 78008HBH2 08/14/09 08/14/29* 100.000 VARIES 5.1500 0.135304 0.135427 30.19* Royal Bank of Canada 78008HHA1 09/30/09 09/30/14 100.000 0.000 3.0100 0.086147 0.087443 0.088760 0.090095 0.091451 31.48 32.44 Royal Bank of Canada 78008HHK9 09/28/09 09/28/29* 100.000 VARIES 4.6900 0.121962 0.122100 32.59* Royal Bank of Canada 78008HKB5 10/30/09 10/31/12 100.000 0.000 2.1099 0.059854 0.060486 0.061124 0.061769 21.74 18.39 Royal Bank of Canada 78008HLM0 10/30/09 10/30/14 100.000 0.000 3.1599 0.090573 0.092004 0.093458 0.094935 0.096435 33.04 34.09 Royal Bank of Canada 78008HNN6 11/30/09 11/28/14 100.000 0.000 2.8231 0.080637 0.081776 0.082930 0.084101 0.085288 29.31 30.14 Royal Bank of Canada 78008HQJ2 11/27/09 11/27/12 100.000 0.000 1.8099 0.051192 0.051655 0.052122 0.052594 18.54 17.08 Royal Bank of Canada 78008HQQ6 11/25/09 11/25/14 100.000 0.000 2.9000 0.082909 0.084111 0.085331 0.086568 0.087823 30.15 31.03 Royal Bank of Canada 78008HRB8 12/31/09 06/30/15 100.000 0.000 3.3099 0.095013 0.096585 0.098184 0.099809 0.101461 34.49 35.64 Royal Bank of Canada 78008HUA6 01/28/10 01/28/20 100.000 VARIES 4.5517 0.127418 0.128422 0.129448 0.130497 0.131571 46.36 47.11 Royal Bank of Canada 78008HWF3 02/16/10 02/16/17 100.000 VARIES 3.8707 0.108393 0.109281 0.110186 0.111109 0.112050 39.42 40.08 Royal Bank of Canada 78008HZE3 03/31/10 03/31/14 100.000 0.000 2.7599 0.077725 0.078797 0.079885 0.080987 0.082105 28.37 29.16 Royal Bank of Canada 78008K3K7 04/20/11 04/20/16 100.000 0.000 2.7665 0.076847 0.077910 0.078988 0.080081 19.36 28.40 Royal Bank of Canada 78008KDT7 07/15/10 07/16/15 100.000 0.000 2.3886 0.066356 0.067148 0.067950 0.068762 0.069583 24.29 24.88 Royal Bank of Canada 78008KN33 03/31/11 03/31/21 100.000 VARIES 4.1702 0.115841 0.116519 0.117211 0.117147 31.45 42.13 Royal Bank of Canada 78008KPH0 10/29/10 10/30/15 100.000 0.000 1.8491 0.051368 0.051843 0.052322 0.052806 0.053294 18.64 18.98 Royal Bank of Canada 78008KRQ8 11/30/10 11/30/15 100.000 0.000 2.1099 0.058611 0.059229 0.059854 0.060486 0.061124 21.25 21.70 Royal Bank of Canada 78008KWY5 12/30/10 12/30/31* 100.000 0.000 5.5237 0.153437 0.157674 55.85* Royal Bank of Canada 78008KYV9 01/27/11 01/27/31 100.000 VARIES 4.9792 0.138312 0.135531 0.132681 0.132772 45.77 47.85 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Canada 78008TAV6 05/27/11 05/27/26 100.000 4.370 4.3699 0.121389 0.121389 0.121389 0.121389 25.98 43.70 Royal Bank of Canada 78008TLZ5 08/18/11 08/18/31 100.000 VARIES 4.0299 0.111944 0.109722 0.107455 14.89 39.30 Royal Bank of Scotland 78009KAA0 07/16/03 01/16/14 100.000 0.000 4.1274 0.152607 0.155756 0.158970 0.162251 0.165600 56.56 58.91 Royal Bank of Scotland 78009KAB8 01/13/05 01/13/20 100.000 VARIES 4.7500 0.129865 0.130144 0.130430 0.130723 0.131062 46.90 47.11 Royal Bank of Scotland 78009KEF5 03/31/10 03/31/14 100.000 0.000 2.6710 0.075186 0.076190 0.077207 0.078238 0.079283 27.43 28.17 Royal Bank of Scotland 78009KFP2 04/30/10 04/30/14 100.000 0.000 2.6792 0.075419 0.076430 0.077454 0.078491 0.079543 27.46 28.20 Royal Bank of Scotland 78009KLF7 08/11/10 08/11/20 100.000 VARIES 4.9855 0.138487 0.138996 0.139518 0.140053 0.140602 50.09 50.47 Royal Bank of Scotland 78009KMB5 08/19/10 08/19/17 100.000 VARIES 2.6315 0.021988 0.020402 0.018795 0.019043 0.019294 7.21 6.88 Royal Bank of Scotland 78009KME9 09/16/10 09/16/20 100.000 VARIES 3.6714 0.024957 0.024064 0.023154 0.022228 0.021285 8.64 7.97 Royal Bank of Scotland 78009KMF6 09/20/10 09/20/17 100.000 VARIES 2.5212 0.020312 0.018904 0.017477 0.017697 0.017921 6.77 6.38 Royal Bank of Scotland 78009KMG4 09/30/10 09/28/18 100.000 VARIES N/A 0.019139 0.018239 0.017544 0.016840 0.016214 6.67 6.17 Royal Bank of Scotland 78009KMV1 10/29/10 10/29/20 100.000 VARIES 2.4406 0.012239 0.011046 0.009839 0.009959 0.010080 4.04 3.58 Royal Bank of Scotland 78009KNB4 10/27/10 10/27/17 100.000 VARIES 2.4218 0.024552 0.023868 0.023176 0.022476 0.021768 8.63 8.13 Royal Bank of Scotland 78009KNQ1 11/16/10 11/16/30 100.000 VARIES 5.5208 0.153358 0.149923 0.146394 0.146500 0.146609 54.28 52.73 Royal Bank of Scotland 78009KNR9 11/16/10 11/16/20 100.000 VARIES 4.5134 0.125373 0.125695 0.126024 0.126360 0.126704 45.22 45.46 Royal Bank of Scotland 78009KPH9 12/13/10 12/13/28 100.000 VARIES 5.3208 0.147801 0.145082 0.142291 0.139425 0.136483 52.62 50.60 Royal Bank of Scotland 78009KPR7 12/30/10 12/30/30 100.000 VARIES 5.7103 0.158622 0.154426 0.150111 0.150238 0.150369 56.34 54.06 Royal Bank of Scotland 78009KQW5 02/25/11 02/25/31 100.000 VARIES 5.4493 0.151372 0.146414 0.141321 0.141475 45.70 51.17 Royal Bank of Scotland 78009KRJ3 03/15/11 03/15/21 100.000 VARIES 5.5246 0.153463 0.153099 0.152724 0.152756 43.85 55.01 Royal Bank of Scotland 78009KRL8 03/15/11 03/15/16 100.000 VARIES 4.1566 0.115462 0.115553 0.115645 0.115624 33.03 41.62 Royal Bank of Scotland 78009KRY0 03/31/11 03/31/18 100.000 VARIES 4.3799 0.121665 0.121288 0.120902 0.120959 32.94 43.56 Royal Bank of Scotland 78009KSD5 04/12/11 04/12/26 100.000 VARIES 4.8417 0.134494 0.131025 0.127473 0.127651 34.56 46.26 Royal Bank of Scotland 78009PAF8 04/29/11 04/29/16 100.000 0.000 3.8637 0.107328 0.109401 0.111515 0.113669 26.10 40.03 Royal Bank of Scotland 78009PAG6 05/16/11 08/16/16 100.000 0.000 3.5178 0.097719 0.098578 0.100312 0.102077 22.10 36.27 Royal Bank of Scotland 78009PAL5 05/31/11 11/30/16 100.000 0.000 3.6087 0.100242 0.102050 0.103892 0.105766 21.21 37.18 Royal Bank of Scotland 78009PAM3 05/25/11 05/25/21 100.000 VARIES 4.4728 0.124246 0.124540 0.124841 0.125148 26.85 44.91 Royal Bank of Scotland 78009PAN1 06/15/11 12/15/16 100.000 0.000 3.5863 0.099621 0.101407 0.103225 0.105076 19.55 36.89 Royal Bank of Scotland 78009PAP6 06/14/11 06/14/21 100.000 VARIES 2.5504 0.016680 0.015930 0.015169 0.014399 3.27 5.57 Royal Bank of Scotland 78009PAX9 07/29/11 07/29/16 100.000 0.000 3.8218 0.106162 0.108191 0.110258 16.14 39.21 Royal Bank of Scotland 78009PBD2 07/21/11 07/21/21 100.000 VARIES 2.8321 0.023116 0.021976 0.020820 3.70 7.75 Royal Bank of Scotland 78009PBG5 08/31/11 02/28/17 100.000 0.000 4.0027 0.109966 0.110948 0.115044 13.53 41.05 Royal Bank of Scotland 78009PBK6 08/26/11 08/26/31 100.000 VARIES 4.7434 0.131763 0.126982 0.122088 16.47 45.36 Royal Bank of Scotland 78009PBM2 08/31/11 03/01/16 100.000 0.000 3.5003 0.097231 0.097242 0.098944 0.100676 11.77 35.73 Royal Bank of Scotland 78009PBR1 09/30/11 03/30/17 100.000 0.000 3.8461 0.106838 0.108893 0.110987 9.72 39.21 Royal Bank of Scotland 78009PBV2 09/30/11 09/30/16 100.000 VARIES 2.7074 0.009373 0.008899 0.008417 .85 3.20 Royal Bank of Scotland 78009PCD1 12/06/11 06/07/17 100.000 0.000 5.2976 0.147155 0.147178 0.151076 0.155078 3.68 53.88 Royal Bank of Scotland 78011PAA5 11/30/11 11/30/26 100.000 VARIES 5.2303 0.145289 0.144003 0.142684 4.50 51.99 Royal Caribbean Cruises 780153AT9 07/06/09 07/15/15 97.399 11.875 12.5022 4.78 0.009501 0.010095 0.010726 0.011397 0.012109 3.73 4.21 Ryerson Holding Corp. 783754AA2 01/29/10 02/01/15 45.598 0.000 N/A 0.206433 0.224006 0.259822 0.285519 0.314049 85.49 106.30 Ryerson Holding Corp. 783754AB0 01/29/10 02/01/15 45.598 0.000 N/A 0.206433 0.224006 0.259822 0.285519 0.314049 85.49 106.30 SG Structured Prods,Inc. 78423A2D3 07/29/11 07/29/31 100.000 VARIES 3.8135 0.105933 0.099213 0.092366 16.10 34.86 SG Structured Prods,Inc. 78423A2E1 07/29/11 07/29/31 100.000 VARIES 3.8227 0.106187 0.101315 0.096349 16.14 35.86 SG Structured Prods,Inc. 78423A2P6 07/29/11 07/29/31 100.000 VARIES 3.8133 0.105926 0.100928 0.095834 16.10 35.70 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SG Structured Prods,Inc. 78423A3B6 08/31/11 08/29/31 100.000 VARIES 3.8090 0.103506 0.099887 0.094468 12.73 36.09 SG Structured Prods,Inc. 78423AA28 11/10/10 11/06/40 100.000 3.632 3.6319 0.100889 0.100889 0.100889 0.100889 0.100889 36.32 36.32 SG Structured Prods,Inc. 78423AC34 12/30/10 12/30/13 100.000 0.000 1.3654 0.037930 0.038189 0.038450 0.038712 0.038976 13.70 13.89 SG Sreuctured Prods,Inc. 78423AC42 12/31/10 12/31/30 100.000 VARIES 4.1615 0.115599 0.111069 0.106444 0.105394 0.104322 40.79 38.13 SG Structured Prods,Inc. 78423AD90 01/31/11 01/31/31 100.000 VARIES 4.1899 0.116387 0.111842 0.107202 0.102464 37.84 38.01 SG Structured Prods,Inc. 78423AE99 02/25/11 02/25/26 100.000 VARIES 3.9927 0.110910 0.106358 0.101716 0.101964 33.36 36.90 SG Structured Prods,Inc. 78423AF80 02/28/11 02/28/31 100.000 VARIES 4.1578 0.112985 0.108605 0.101749 0.102375 34.15 37.72 SG Structured Prods,Inc. 78423AG63 03/18/11 03/18/21 100.000 VARIES 4.1693 0.115816 0.114756 0.113674 0.113914 32.67 41.03 SG Structured Prods,Inc. 78423AH62 03/09/11 03/09/16 100.000 0.000 2.4340 0.067613 0.068436 0.069269 0.070112 19.84 24.97 SG Structured Prods,Inc. 78423AJ45 03/31/11 03/31/26 100.000 VARIES 3.9820 0.110612 0.106730 0.102772 0.098734 29.62 36.98 SG Structured Prods,Inc. 78423AK43 03/31/11 03/31/31 100.000 VARIES 4.2707 0.118633 0.114048 0.109366 0.108403 31.73 39.70 SG Structured Prods,Inc. 78423AL75 03/31/11 03/31/31 100.000 VARIES 4.2878 0.119106 0.112131 0.105006 0.104073 31.64 38.35 SG Structured Prods,Inc. 78423AM74 04/29/11 08/02/13 100.000 0.000 0.7726 0.021463 0.021506 0.021589 0.021672 5.20 7.78 SG Structured Prods,Inc. 78423AP48 04/29/11 04/29/31 100.000 VARIES 4.1591 0.115532 0.108114 0.100542 0.099535 27.50 37.03 SG Structured Prods,Inc. 78423AR20 04/29/11 04/30/26 100.000 VARIES 4.1342 0.114839 0.114821 0.111453 0.108015 0.106393 27.58 39.20 SG Structured Prods,Inc. 78423AR46 04/29/11 04/30/12 100.000 0.000 0.5526 0.015352 0.015353 0.015395 3.72 1.83 SG Structured Prods,Inc. 78423AT93 05/31/11 05/30/31 100.000 VARIES 4.0970 0.111332 0.107293 0.100786 0.101066 23.81 37.87 SG Structured Prods,Inc. 78423AU26 05/31/11 05/30/23 100.000 VARIES 4.1099 0.111684 0.111289 0.108432 0.110304 24.00 40.17 SG Structured Prods,Inc. 78423AU75 05/31/11 05/30/31 100.000 VARIES 4.0953 0.111286 0.108086 0.102423 0.101650 23.82 38.31 SG Structured Prods,Inc. 78423AU83 05/31/11 05/29/26 100.000 VARIES 4.1202 0.111963 0.109902 0.105349 0.103610 24.00 39.18 SG Structured Prods,Inc. 78423AV90 06/17/11 06/16/17 100.000 0.000 2.1964 0.061014 0.061680 0.062357 0.063042 11.85 22.35 SG Structured Prods,Inc. 78423AW65 06/30/11 06/30/31 100.000 VARIES 4.0039 0.111221 0.106497 0.101677 0.099099 20.13 37.46 SG Structured Prods,Inc. 78423AW73 06/30/11 06/30/31 100.000 VARIES 4.0072 0.108894 0.104039 0.096803 0.096903 20.14 36.74 SG Structured Prods,Inc. 78423AW81 06/30/11 06/30/23 100.000 VARIES 3.9769 0.110471 0.108803 0.107103 0.107395 19.99 38.86 SG Structured Prods,Inc. 78423AW99 06/30/11 06/30/26 100.000 VARIES 3.9853 0.108298 0.106195 0.101719 0.102340 20.03 38.04 SG Structured Prods,Inc. 78423AY55 06/30/11 07/30/12 100.000 0.000 0.4618 0.012828 0.012833 0.012862 2.32 2.69 SG Structured Prods,Inc. 78423AYJ5 08/31/10 08/29/25 100.000 7.380 3.6971 0.101015 0.099720 0.096753 0.095876 0.093387 36.10 34.83 SG Structured Prods,Inc. 78423AYN6 09/30/10 09/30/15 100.000 0.000 1.9321 0.053672 0.054191 0.054714 0.055243 0.055777 19.51 19.89 SG Structured Prods,Inc. 78423AZA3 10/29/10 04/29/16 100.000 0.000 1.7220 0.047836 0.048248 0.048663 0.049082 0.049505 17.35 17.65 SG Structured Prods,Inc. 78423AZY1 11/10/10 11/06/40 100.000 3.632 3.6319 0.100889 0.100889 0.100889 0.100889 0.100889 36.32 36.32 SG Structured Prods,Inc. 78423AZZ8 11/10/10 11/06/40 100.000 3.632 3.6319 0.100889 0.100889 0.100889 0.100889 0.100889 36.32 36.32 SLM Corporation 78442FCY2 10/01/04 10/01/14 100.000 VARIES 5.0009 0.138213 0.138294 0.138376 0.138461 0.138547 49.79 49.85 Sabine Pass LNG, LP 785583AG0 09/15/08 11/30/16 79.000 7.500 11.5231 40.89 0.057060 0.060348 0.063825 0.067502 0.071391 21.34 23.87 Sabine Pass LNG, LP 785583AH8 09/15/08 11/30/16 79.000 7.500 11.5231 40.89 0.057060 0.060348 0.063825 0.067502 0.071391 21.34 23.87 SCH DIST Clair CNTY, IL 788550JJ1 06/15/11 01/01/15 102.478 VARIES 3.4880 0.099290 0.099444 0.101179 0.098643 19.49 35.97 SCH DIST Clair CNTY, IL 788550JK8 06/15/11 01/01/16 103.086 VARIES 3.9878 0.114192 0.114395 0.116676 0.113506 22.42 41.43 SCH DIST Clair CNTY, IL 788550JL6 06/15/11 01/01/17 103.641 VARIES 4.4873 0.129187 0.129444 0.132349 0.128483 25.37 46.95 SCH DIST Clair CNTY, IL 788550JM4 06/15/11 01/01/18 102.758 VARIES 4.9870 0.142348 0.142664 0.146221 0.141910 27.96 51.86 San Luis Obispo County 798703AQ7 07/02/03 09/01/18 45.439 0.000 5.2695 216.81 0.096551 0.099095 0.101706 0.104386 0.107136 35.83 37.75 San Luis Obispo County 798703AR5 07/02/03 09/01/19 42.462 0.000 5.3695 207.20 0.092582 0.095068 0.097620 0.100241 0.102932 34.38 36.25 San Luis Obispo County 798703AS3 07/02/03 09/01/20 39.603 0.000 5.4695 197.57 0.088573 0.090995 0.093484 0.096040 0.098667 32.91 34.74 San Luis Obispo County 798703AT1 07/02/03 09/01/21 37.061 0.000 5.5395 187.74 0.084360 0.086696 0.089097 0.091565 0.094101 31.36 33.12 San Luis Obispo County 798703AU8 07/02/03 09/01/22 34.700 0.000 5.5995 178.07 0.080175 0.082420 0.084727 0.087099 0.089538 29.81 31.51 SECTION I-B OID per Daily OID Per $1,000 $1,000 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ San Luis Obispo County 798703AV6 07/02/03 09/01/23 32.578 0.000 5.6397 168.63 0.076024 0.078168 0.080372 0.082639 0.084969 28.28 29.89 San Luis Obispo County 798703AW4 07/02/03 09/01/24 30.563 0.000 5.6796 159.55 0.072028 0.074074 0.076177 0.078341 0.080565 26.80 28.34 San Luis Obispo County 798703AX2 07/02/03 09/01/25 28.774 0.000 5.6997 150.85 0.068146 0.070088 0.072085 0.074140 0.076253 25.35 26.82 San Luis Obispo County 798703AY0 07/02/03 09/01/26 27.018 0.000 5.7297 142.55 0.064459 0.066306 0.068206 0.070160 0.072170 23.99 25.38 San Luis Obispo County 798703AZ7 07/02/03 09/01/27 25.534 0.000 5.7297 134.72 0.060919 0.062664 0.064459 0.066306 0.068206 22.67 23.99 San Luis Obispo County 798703BA1 07/02/03 09/01/28 24.132 0.000 5.7296 127.32 0.057573 0.059222 0.060919 0.062664 0.064459 21.42 22.67 San Luis Obispo County 798703BB9 07/02/03 09/01/29 22.806 0.000 5.7297 120.33 0.054411 0.055969 0.057573 0.059222 0.060919 20.25 21.42 San Luis Obispo County 798703BC7 07/02/03 09/01/30 21.553 0.000 5.7298 113.72 0.051422 0.052895 0.054411 0.055969 0.057573 19.14 20.25 Service Master, Co. 81760NAE9 07/24/08 07/15/15 97.266 10.750 11.3274 0.307857 0.308380 0.308934 0.309518 0.310136 111.10 111.52 Service Master, Co. 81760NAF6 07/24/08 07/15/15 97.266 10.750 11.3274 0.307857 0.308380 0.308934 0.309518 0.310136 111.10 111.52 Service Master, Co. 81760NAG4 07/24/08 07/15/15 97.266 10.750 11.3274 0.307857 0.308380 0.308934 0.309518 0.310136 111.10 111.52 Shelby CNTYS, SD #21, IL 821510AP9 06/08/10 12/01/11 104.598 0.000 1.9519 0.057245 0.057803 18.99 Shelby CNTYS, SD #21, IL 821510AQ7 06/08/10 12/01/12 106.675 VARIES 2.4625 0.073834 0.074743 0.070277 0.069346 26.64 23.02 Shelby CNTYS, SD #21, IL 821510AR5 06/08/10 12/01/13 107.980 VARIES 2.9663 0.090242 0.091581 0.086265 0.085319 0.084360 32.61 30.83 Shelby CNTYS, SD #21, IL 821510AS3 06/08/10 12/01/14 108.333 VARIES 3.4682 0.106109 0.107949 0.101873 0.100990 0.100092 38.40 36.46 Silgan Holdings Inc. 827048AM1 05/12/09 08/15/16 97.280 7.250 7.7468 4.90 0.008747 0.009086 0.009438 0.009803 0.010183 3.30 3.56 Sinclair Broadcast Group 829226AS8 05/20/03 07/15/18 100.000 VARIES 9.2480 0.367380 0.378107 0.393021 0.407992 0.423654 138.44 149.27 Sinclair Broadcast Group 829226AU3 05/20/03 07/15/18 100.000 VARIES 9.2480 0.367380 0.378107 0.393021 0.407992 0.423654 138.44 149.27 Sinclair Broadcast Group 829226AV1 06/15/05 09/15/12* 81.000 6.000 9.7100 133.04 0.085256 0.089395 8.99* Sinclair Broadcast Group 829226AW9 05/10/07 05/15/27 100.000 VARIES 7.7902 0.257391 0.264171 0.271215 0.278533 0.286136 94.52 99.64 Solectron Corporation 834182AK3 05/08/00 05/08/20 57.912 0.000 2.7499 195.47 0.058930 0.059741 0.060562 0.061395 0.062239 21.45 22.04 Solo Cup Company 83427BAA4 07/02/09 11/01/13 97.928 10.500 11.1154 6.12 0.012357 0.013044 0.013769 0.014534 0.015342 4.66 5.19 Southern CMNTY CAP II 842633208 12/31/10 12/31/33 100.000 7.950 7.9499 0.220833 0.229612 0.238739 0.248228 0.258095 81.10 87.67 Sovereign Bancorp, Inc. 846048205 02/26/04 03/01/34 100.000 VARIES 7.4512 0.259151 0.264278 0.269596 0.275113 0.280835 95.47 99.40 Spartan Stores, Inc. 846822AD6 05/29/07 05/15/27 100.000 VARIES 8.2501 0.272906 0.280296 0.287992 0.296004 0.304347 100.27 105.87 Spartan Stores, Inc. 846822AE4 05/29/07 05/15/27 100.000 VARIES 8.2501 0.272906 0.280296 0.287992 0.296004 0.304347 100.27 105.87 Spectrum Brands, Inc. 84762LAE5 08/28/09 08/28/19 86.000 12.000 N/A 0.420648 0.424154 0.427927 0.431987 0.436356 152.96 155.82 Spirit Aerosystems, Inc. 85205TAA8 09/30/09 10/01/17 97.804 7.500 7.8750 2.61 0.006068 0.006307 0.006555 0.006813 0.007081 2.27 2.45 Spirit Aerosystems, Inc. 85205TAB6 09/30/09 10/01/17 97.804 7.500 7.8750 2.61 0.006068 0.006307 0.006555 0.006813 0.007081 2.27 2.45 St. Clair CNTY SD#522,IL 85227XCS2 07/01/10 12/01/11 98.192 0.000 1.2918 6.35 0.035426 0.035655 11.73 St. Clair CNTY SD#522,IL 85227XCT0 07/01/10 12/01/12 100.590 VARIES 1.7284 0.048645 0.049065 0.048137 0.048075 17.57 15.87 St. Clair CNTY SD#522,IL 85227XCU7 07/01/10 12/01/13 100.650 VARIES 2.2805 0.064366 0.065100 0.063599 0.063538 0.063475 23.28 22.88 St. Clair CNTY SD#522,IL 85227XCV5 07/01/10 12/01/14 101.031 VARIES 2.7378 0.077711 0.078774 0.076621 0.076529 0.076436 28.13 27.56 St. Clair CNTY SD#522,IL 85227XCW3 07/01/10 12/01/15 100.491 VARIES 3.1869 0.090143 0.091579 0.088900 0.088856 0.088811 32.67 31.99 Stephenson Ogle ETC CNTY 859103CE1 11/04/09 01/01/12 99.809 VARIES 2.4893 0.069088 0.069118 24.88 Stephenson Ogle ETC CNTY 859103CF8 11/04/09 01/01/13 99.722 VARIES 2.9892 0.082891 0.082926 0.082962 0.082998 29.85 29.87 Stephenson Ogle ETC CNTY 859103CG6 11/04/09 01/01/14 103.872 VARIES 3.4851 0.099587 0.099144 0.098693 0.098235 35.77 35.45 Stephenson Ogle ETC CNTY 859103CH4 11/04/09 01/01/15 102.111 VARIES 3.9859 0.112603 0.112383 0.112159 0.111931 40.50 40.34 STMicroelectronics N.V. 861012AF9 02/23/06 02/23/16 100.000 0.000 1.4999 0.044564 0.044898 0.045235 0.045574 0.045916 16.19 16.43 Sunsource, Inc. 867948AA9 09/30/97 09/30/27 110.000 11.600 10.4989 0.316852 0.316570 0.316273 0.315961 0.315632 113.96 113.74 Symbion, Inc. 871507AE9 06/14/11 06/15/16 98.492 8.000 8.3751 0.006890 0.006914 0.007204 0.007505 0.007820 1.37 2.66 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Synovus Financial Corp. 87161C204 05/04/10 05/15/13 100.000 13.000 N/A 0.294342 0.239554 0.181147 0.118881 0.052502 90.89 48.09 Synovus Financial Corp. 87161C303 05/04/10 05/15/13 100.000 13.000 N/A 0.294342 0.239554 0.181147 0.118881 0.052502 90.89 48.09 Tabletop Holdings, Inc. 87336NAA9 11/12/03 05/15/14 55.131 VARIES 12.2495 0.340270 0.340270 0.340269 0.340268 0.340268 122.50 122.50 Tabletop Holdings, Inc. 87336NAB7 11/12/03 05/15/14 55.131 VARIES 12.2495 0.340270 0.340270 0.340269 0.340268 0.340268 122.50 122.50 Tazewell CNTY SD#102, IL 877741BX5 04/07/10 12/01/13 100.040 VARIES 2.3840 0.067279 0.068081 0.066244 0.066239 0.066234 24.33 23.85 Tenet Healthcare Corp. 88033GBD1 03/03/09 05/01/15 89.500 9.000 11.4189 24.13 0.040766 0.043093 0.045554 0.048155 0.050904 15.38 17.19 Tenet Healthcare Corp. 88033GBE9 03/03/09 05/01/15 89.500 9.000 11.4189 24.13 0.040766 0.043093 0.045554 0.048155 0.050904 15.38 17.19 Tenet Healthcare Corp. 88033GBF6 03/03/09 05/01/18 89.500 10.000 11.9135 13.15 0.022315 0.023645 0.025053 0.026546 0.028127 8.44 9.47 Tenet Healthcare Corp. 88033GBG4 03/03/09 05/01/18 89.500 10.000 11.9135 13.15 0.022315 0.023645 0.025053 0.026546 0.028127 8.44 9.47 Tenet Healthcare Corp. 88033GBH2 06/15/09 07/01/19 95.229 8.875 9.6265 4.75 0.009388 0.009840 0.010314 0.010810 3.46 3.80 Tenet Healthcare Corp. 88033GBJ8 06/15/09 07/01/19 95.229 8.875 9.6265 4.75 0.009388 0.009840 0.010314 0.010810 3.46 3.80 Terex Corporation 880779AW3 06/03/09 06/01/16 97.633 10.875 11.3747 3.87 0.007554 0.007984 0.008438 0.008918 0.009425 2.82 3.15 Tesoro Corporation 881609AW1 06/05/09 06/01/19 96.172 9.750 10.3745 3.78 0.007343 0.007724 0.008125 0.008546 0.008989 2.74 3.03 Thermwood Corporation 883672AC1 04/27/99 04/27/14 45.454 12.000 27.1328 227.69 0.172532 0.195938 0.222520 0.252708 0.286992 69.52 89.67 3M Company 88579YAA9 11/21/02 11/21/32* 86.087 VARIES N/A 0.155573 0.159106 38.80* 3M Company 88579YAB7 11/21/02 11/21/32* 86.087 VARIES N/A 0.155573 0.159106 38.80* 3M Company 88579YAC5 11/21/02 11/21/32* 86.087 VARIES N/A 0.155573 0.159106 38.80* Time Warner Inc. 887315AZ2 01/17/96 01/15/36 17.038 VARIES 8.8000 0.145117 0.151502 0.158168 0.165128 0.172393 55.56 60.55 Toyota Motor Credit Corp 89233PA22 12/12/06 12/12/16 100.000 0.000 4.9609 0.167647 0.171805 0.176067 0.180434 0.184910 61.26 64.34 Toyota Motor Credit Corp 89233PA97 01/18/07 01/20/37 13.723 0.000 6.7298 41.05 0.032354 0.033442 0.034568 0.035731 0.036933 12.20 13.03 Toyota Motor Credit Corp 89233PR32 02/01/08 02/01/23* 100.000 VARIES 5.1590 0.134489 0.132570 27.90* Toyota Motor Credit Corp 89233PS72 02/28/08 02/28/28* 100.000 VARIES 5.9780 0.154782 0.153469 36.76* Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38 24.099 0.000 4.8000 33.71 0.036178 0.037046 0.037935 0.038845 0.039778 13.34 13.99 Toyota Motor Credit Corp 89233PZQ2 10/24/06 10/24/16 100.000 VARIES 6.2020 0.161742 0.162480 0.163241 0.164026 0.164835 58.46 59.01 Toyota Motor Credit Corp 89233PZU3 11/29/06 11/29/13 100.000 0.500 5.0554 0.168398 0.172304 0.176308 0.180414 0.184623 61.58 64.48 Trenton, City of 895130J60 03/13/03 04/01/11 69.016 0.000 4.6597 298.45 0.126491 11.38 Trenton, City of 895130J78 03/13/03 04/01/12 64.697 0.000 4.8697 294.73 0.125851 0.128915 0.132054 46.42 11.88 Trenton, City of 895130J86 03/13/03 04/01/13 60.578 0.000 5.0498 288.14 0.123831 0.126958 0.130163 0.133450 0.136819 45.71 48.05 Trenton, City of 895130J94 03/13/03 04/01/14 56.464 0.000 5.2397 280.70 0.121447 0.124629 0.127894 0.131244 0.134683 44.87 47.26 Trenton, City of 895130K27 03/13/03 04/01/15 52.558 0.000 5.4098 271.52 0.118184 0.121381 0.124664 0.128036 0.131499 43.70 46.10 Trenton, City of 895130K35 03/13/03 04/01/22 31.423 0.000 6.1698 190.62 0.085208 0.087837 0.090547 0.093340 0.096220 31.63 33.61 Trinity Industries, Inc. 896522AF6 06/07/06 06/01/36 100.000 VARIES 8.5854 0.298383 0.306571 0.315110 0.324017 0.333305 109.39 115.59 UBS AG 90261J533 02/13/07 05/14/12 100.000 0.000 5.1800 0.173346 0.174936 0.181439 63.95 24.31 UBS AG 90261J772 11/30/06 05/31/11 100.000 0.000 4.9842 0.168586 25.12 UBS AG 90261JCJ0 09/22/08 09/22/11 100.000 0.000 3.2414 0.096021 0.097577 25.34 UBS AG 90261JCM3 10/30/08 10/31/11 100.000 0.000 3.1851 0.094248 0.095749 28.45 UBS AG 90261JEC3 10/13/09 10/15/24* 100.000 VARIES 4.7485 0.123512 0.121529 23.54* UBS AG 90261JEJ8 10/29/09 10/29/24 100.000 VARIES 4.7011 0.121605 0.119362 0.117067 0.114718 0.112313 43.09 41.43 UBS AG 90261JER0 10/30/09 10/29/12 100.000 0.000 2.8210 0.080584 0.081721 0.082873 0.084042 29.36 24.91 UBS AG 90261JFX6 08/06/10 08/06/25 100.000 VARIES 4.7391 0.131644 0.129654 0.127616 0.125531 0.123395 46.45 44.95 UBS AG 90261JGA5 10/14/10 10/14/25 100.000 VARIES 3.8934 0.108153 0.106886 0.105595 0.104278 0.102936 38.51 37.57 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ UBS AG 90261JGE7 11/24/10 11/24/25 100.000 VARIES 4.2920 0.119224 0.117707 0.116158 0.114576 0.112960 42.53 41.41 UBS AG 90261JGR8 03/25/11 03/25/21 100.000 VARIES 4.6496 0.129156 0.129802 0.130463 0.131138 35.71 46.98 UBS AG 90261JHP1 09/21/11 09/21/21 100.000 VARIES 2.4224 0.067289 0.066422 0.065544 6.73 23.89 UBS AG 90261JHQ9 09/23/11 09/23/19 100.000 VARIES 2.3047 0.005410 0.005012 0.004608 .53 1.80 UBS AG 90261JHS5 09/29/11 09/29/21 100.000 VARIES 2.5378 0.011607 0.010436 0.009250 1.07 3.75 UBS AG 90261KBZ2 12/24/02 10/07/11 100.000 0.000 4.4124 0.172181 0.175980 48.21 UBS AG 90261KFS4 10/31/03 01/31/12 100.000 0.000 4.3914 0.163556 0.167147 0.170817 60.62 4.95 UBS AG 90261KHK9 02/27/04 05/31/11 100.000 0.000 3.9738 0.144036 21.46 UBS AG 90261KHL7 03/31/04 01/03/12 100.000 0.000 3.7505 0.131466 0.133931 0.136442 48.66 .27 UBS AG 90261KHS2 05/28/04 05/31/11 100.000 0.000 4.8441 0.183740 27.38 UBS AG 90261KJE1 10/29/04 11/07/12 100.000 2.810 4.0782 0.122304 0.121206 0.123463 0.123054 44.50 38.32 UBS AG 90261KJW1 02/28/05 05/31/11 100.000 0.000 4.5353 0.163052 24.29 UBS AG 90261KKW9 06/30/05 12/30/11 100.000 0.000 4.1500 0.144499 0.147497 52.41 UBS AG 90261KLN8 07/25/05 04/29/11 100.000 0.000 4.7399 0.168478 19.88 UBS AG 90261XCT7 01/12/07 01/12/47 7.389 0.000 6.6201 21.80 0.017067 0.017632 0.018215 0.018818 0.019441 6.44 6.87 UBS AG 90261XDU3 07/20/07 07/20/27 100.000 VARIES 5.7801 0.141545 0.138216 0.134792 0.131269 0.127643 49.27 46.74 UBS AG 90261XEE8 10/09/07 10/09/37 12.693 0.000 7.0001 31.59 0.030340 0.031402 0.032501 0.033638 0.034816 11.29 12.09 UBS AG 90261XEU2 03/06/08 03/06/18 100.000 VARIES 4.6051 0.124559 0.123711 0.123105 0.122486 0.122149 44.52 44.10 UBS AG 902644525 05/30/08 05/31/11 100.000 0.000 3.6277 0.109048 16.36 UBS AG 902644707 06/30/08 06/30/11 100.000 0.000 4.0855 0.125563 22.48 UBS AG 90264M350 09/30/08 03/31/11 100.000 0.000 3.8118 0.114192 10.16 UBS AG 90264M863 01/30/09 01/31/11 100.000 0.000 1.4325 0.039772 1.19 UBS AG 90265G162 02/27/09 02/28/11 100.000 0.000 4.1150 0.120852 7.01 UBS AG 90265G329 03/31/09 03/31/11 100.000 0.000 4.1678 0.123165 10.96 UBS AG 90265G535 04/30/09 04/29/11 100.000 0.000 4.1266 0.121857 14.38 UBS AG 90265G659 06/10/09 06/11/12 100.000 0.000 4.9453 0.147837 0.151492 0.155238 54.03 24.84 UBS AG 90265G691 06/23/09 06/25/12 100.000 0.000 4.5858 0.136385 0.139513 0.142712 49.70 24.83 UBS AG 902669233 11/30/10 11/30/12 100.000 0.000 0.7458 0.020717 0.020794 0.020872 0.020950 7.48 6.88 UBS AG 902669258 01/31/11 01/31/13 100.000 0.000 0.6468 0.017968 0.018026 0.018085 0.018143 5.96 6.52 US Oncology Holdings,Inc 90342DAC3 03/13/07 03/15/12* 98.000 9.797 N/A 0.258422 7.49* US Oncology Holdings,Inc 90342DAD1 03/13/07 03/15/12* 98.000 9.797 N/A 0.258422 7.49* Union CNTY SD #531, IL 904842CU3 05/17/11 12/01/16 99.662 VARIES 3.6779 0.101820 0.101965 0.103840 0.105750 0.101871 22.89 37.67 Union CNTY SD #531, IL 904842CV1 05/17/11 12/01/17 108.762 VARIES 4.1179 0.124411 0.124610 0.127176 0.129794 0.122235 27.99 46.11 Union CNTY SD #531, IL 904842CW9 05/17/11 12/01/18 107.234 VARIES 4.3707 0.130193 0.130414 0.133264 0.136176 0.128578 29.30 48.36 Union City, NJ 905734MC0 02/07/07 11/01/13 69.720 0.000 5.4276 162.08 0.128392 0.131877 0.135456 0.139132 0.142907 47.27 49.87 Union City, NJ 905734MD8 02/07/07 11/01/14 65.880 0.000 5.4688 154.43 0.122424 0.125771 0.129210 0.132743 0.136373 45.08 47.58 Union City, NJ 905734ME6 02/07/07 11/01/15 62.150 0.000 5.5197 147.17 0.116784 0.120007 0.123319 0.126722 0.130220 43.01 45.42 Union City, NJ 905734MF3 02/07/07 11/01/16 58.640 0.000 5.5586 139.93 0.111121 0.114210 0.117384 0.120647 0.124000 40.94 43.24 Union City, NJ 905734MG1 02/07/07 11/01/17 55.340 0.000 5.5882 132.83 0.105540 0.108489 0.111520 0.114636 0.117839 38.88 41.09 Unisys Corporation 909214BM9 07/31/09 10/15/14 83.461 12.750 17.7426 31.98 0.069490 0.075241 0.081916 0.089183 0.097628 27.39 32.54 Unisys Corporation 909214BN7 07/31/09 09/15/15 80.450 14.250 19.9112 27.78 0.060538 0.065480 0.072790 0.079166 0.088491 24.33 29.51 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ United Refining Co. 911358AJ8 03/08/11 02/28/18 96.444 10.500 11.2489 0.009482 0.010102 0.010555 0.011333 2.91 3.93 United Refining Co. 911358AK5 03/08/11 02/28/18 96.444 10.500 11.2489 0.009482 0.010102 0.010555 0.011333 2.91 3.93 United Technologies Corp 913017AR0 11/13/89 11/15/19 98.974 8.875 8.9741 4.28 0.001243 0.001278 0.001350 0.001395 0.001482 .47 .51 Univ of NC-Chap Hill 914713KS0 08/14/91 02/15/11 17.000 0.000 9.2951 819.14 0.246732 10.86 Univ of NC-Chap Hill 914713KT8 08/14/91 02/15/12 16.000 0.000 9.1409 744.73 0.222055 0.232204 0.242816 84.59 10.68 Univ of NC-Chap Hill 914713KU5 08/14/91 02/15/13 14.000 0.000 9.3557 683.78 0.206776 0.216449 0.226574 0.237173 0.248268 78.87 86.42 Univ of NC-Chap Hill 914713KV3 08/14/91 02/15/14 13.000 0.000 9.2751 623.60 0.187588 0.196287 0.205390 0.214915 0.224882 71.52 78.31 Univ of NC-Chap Hill 914713KW1 08/14/91 02/15/15 12.000 0.000 9.2278 569.57 0.170802 0.178683 0.186927 0.195552 0.204574 65.10 71.25 Uruguay, Republic 917288AT9 05/29/03 03/25/14 76.000 7.875 11.8705 135.34 0.074130 0.078529 0.083190 0.088128 0.093358 28.35 31.81 Uruguay, Republic 917288AU6 05/29/03 05/04/14 73.000 7.250 11.6875 150.17 0.082828 0.087669 0.092792 0.098214 0.103954 31.26 35.02 Uruguay, Republic 917288AV4 05/29/03 06/22/15 76.000 8.750 12.6875 108.64 0.062880 0.066869 0.071111 0.075623 0.080420 23.43 26.50 Uruguay, Republic 917288AX0 05/29/03 01/20/17 73.000 7.625 11.6165 99.89 0.053222 0.056313 0.059584 0.063044 0.066706 20.74 23.22 Uruguay, Republic 917288AY8 05/29/03 02/15/11 76.500 7.250 12.0060 229.52 0.124632 5.48 Uruguay, Republic 917288AZ5 05/29/03 03/15/15 71.500 7.500 12.0979 136.94 0.075284 0.079838 0.084668 0.089789 0.095220 28.92 32.52 Uruguay, Republic 917288BA9 05/29/03 01/15/33 100.000 7.875 N/A 0.132637 0.133218 0.133835 0.134491 0.135187 48.05 48.52 Utah ST Charter SCH FIN 91754TCN1 12/21/10 07/15/15 98.130 8.000 8.5025 .10 0.009542 0.009597 0.010005 0.010431 0.010874 3.52 3.82 Utah Charter School 91754TDG5 05/10/11 05/15/14 97.408 8.000 9.0009 0.021320 0.021350 0.022311 0.023315 0.024364 4.98 8.31 Ventas Realty LP 92276MAR6 04/13/09 06/01/16* 84.250 6.500 9.5994 28.95 0.051406 0.053874 10.24* Ventas Realty LP 92276MAS4 04/13/09 06/01/16* 84.250 6.500 9.5994 28.95 0.051406 0.053874 10.24* Ventas Realty LP 92276MAU9 04/13/09 06/01/16* 84.250 6.500 9.5994 28.95 0.051406 0.053874 10.24* Vermilion & Edg Cntys IL 923439CQ4 07/07/04 12/01/11 103.596 VARIES 5.7572 0.160755 0.160345 52.98 Vermilion & Edg Cntys IL 923439CR2 07/07/04 12/01/12 102.910 VARIES 6.0085 0.168118 0.167827 0.167528 0.167221 60.45 55.23 Vermilion & Edg Cntys IL 923439CS0 07/07/04 12/01/13 103.470 VARIES 6.1103 0.171749 0.171437 0.171116 0.170786 0.170445 61.75 61.52 Vermilion & Edg Cntys IL 923439CT8 07/07/04 12/01/14 103.682 VARIES 6.2118 0.175193 0.174897 0.174592 0.174277 0.173953 63.00 62.78 VeriSign, Inc. 92343EAC6 08/20/07 08/15/37 100.000 VARIES 8.5008 0.277306 0.285255 0.293543 0.302182 0.311189 103.47 109.63 VeriSign, Inc. 92343EAD4 08/20/07 08/15/37 100.000 VARIES 8.5008 0.277306 0.285255 0.293543 0.302182 0.311189 103.47 109.63 Veritas Capital Trust 92343W300 12/22/97 01/01/28 100.000 10.000 9.9999 0.277778 0.277778 0.277778 0.277778 100.00 100.00 Vermilion Cnty IL SD 118 923613CZ4 02/24/06 12/01/12 103.452 VARIES 5.3855 0.151321 0.150907 0.150483 0.150047 54.38 49.58 Vermilion Cnty IL SD #7 92407PAD2 05/10/06 12/01/11 106.419 VARIES 6.3192 0.177932 0.176752 58.51 Virgin Media Finance PLC 92769VAA7 06/03/09 08/15/16 95.574 9.500 10.3878 7.17 0.013433 0.014130 0.014864 0.015636 0.016448 5.16 5.71 Viginia Pub School Auth 92817SPA0 11/13/09 09/15/26 90.643 6.050 7.0049 3.48 0.008816 0.009125 0.009444 0.009775 0.010117 3.30 3.53 WMG Holdings Corp. 92930MAE3 12/23/04 12/15/14* 63.002 VARIES 9.4995 0.263879 0.263879 60.16* WMG Holdings Corp. 92930MAF0 12/23/04 12/15/14* 63.002 VARIES 9.4995 0.263879 0.263879 60.16* WMG Acquisition Corp. 92933BAA2 05/28/09 06/15/16 96.289 9.500 10.2522 6.26 0.012058 0.012676 0.013325 0.014009 0.014727 4.47 4.94 Wachovia Corporation 929903342 07/06/07 01/05/11 100.000 0.000 5.3883 0.175534 .70 Wachovia Corporation 929903623 07/07/06 07/07/11 100.000 2.000 5.6798 0.183442 0.187074 34.77 Wachovia Corporation 929903664 07/03/06 04/30/12 100.000 0.000 5.7522 0.204253 0.210127 0.216171 75.32 25.72 Wachovia Corporation 929903714 04/06/06 04/01/11 100.000 0.000 5.2167 0.182573 16.43 Wachovia Corporation 929903763 03/06/06 03/01/11 100.000 0.000 4.9696 0.172055 10.32 Wachovia Corporation 929903BB7 02/09/06 02/15/12 100.000 0.000 4.8130 0.165733 0.169722 0.173806 61.48 7.65 Wachovia Corporation 929903BC5 02/09/06 02/15/12 100.000 2.000 4.8189 0.152651 0.154990 0.157386 56.02 6.92 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Wachovia Corporation 929903DD1 04/05/07 04/15/11 100.000 0.000 4.8580 0.159849 16.62 Walter Industries, Inc. 93317QAB1 04/20/04 05/01/24 100.000 VARIES 7.7498 0.286728 0.293802 0.301151 0.308245 0.315615 105.36 110.56 Walter Industries, Inc. 93317QAC9 04/20/04 05/01/24 100.000 VARIES 7.7498 0.286728 0.293802 0.301151 0.308245 0.315615 105.36 110.56 Wells Fargo & Company 949746FU0 04/30/04 05/05/11 100.000 0.000 3.1299 0.106437 13.20 Wells Fargo & Company 949746FW6 05/25/04 10/25/12 100.000 2.350 5.3000 0.179913 0.182951 0.186069 0.189270 65.72 55.28 Wells Fargo & Company 949746HZ7 07/07/04 10/07/11 100.000 2.900 5.1067 0.164569 0.166714 45.81 Wells Fargo & Company 949746JK8 12/07/04 12/07/11 100.000 0.000 4.4897 0.162789 0.166443 55.35 Wells Fargo & Company 949746ND9 02/07/06 02/07/11 100.000 0.000 5.0600 0.176000 6.34 Wells Fargo & Company 94986RBC4 11/05/10 05/06/16 100.000 0.000 1.7322 0.048120 0.048536 0.048957 0.049381 0.049808 17.44 17.75 Wells Fargo & Company 94986RBH3 11/05/10 11/05/17 100.000 VARIES 2.5030 0.069528 0.070004 0.070485 0.070910 0.071340 25.17 25.50 Wells Fargo & Company 94986RBP5 12/07/10 12/07/16 100.000 0.000 2.2309 0.061970 0.062661 0.063360 0.064067 0.064781 22.47 22.97 Wells Fargo & Company 94986RBQ3 12/07/10 06/07/17 100.000 0.000 2.4501 0.068060 0.068894 0.069738 0.070593 0.071457 24.69 25.30 Wells Fargo & Company 94986RBY6 01/05/11 01/06/17 100.000 0.000 2.6501 0.073614 0.073620 0.074596 0.075584 0.076586 26.38 27.38 Wells Fargo & Company 94986RBZ3 01/05/11 07/07/17 100.000 0.000 2.7699 0.076943 0.076955 0.078021 0.079102 0.080197 27.58 28.66 Wells Fargo & Company 94986RCG4 02/07/11 02/07/17 100.000 1.250 2.5699 0.071387 0.071858 0.072335 0.072819 23.20 26.09 Wells Fargo & Company 94986RCP4 02/07/11 02/07/18 100.000 1.500 2.9500 0.081945 0.082539 0.083142 0.083753 26.64 30.00 Wells Fargo & Company 94986RCW9 03/07/11 03/07/17 100.000 1.250 2.5500 0.070834 0.071294 0.071760 0.072233 20.88 25.86 Wells Fargo & Company 94986RDD0 03/31/11 03/31/21 100.000 VARIES 4.1708 0.115858 0.115957 0.116058 0.116161 31.41 41.78 Wells Fargo & Company 94986RDL2 04/29/11 04/30/21 100.000 VARIES 4.3018 0.119495 0.119497 0.119678 0.119862 0.120050 28.93 43.14 Wells Fargo & Company 94986RDU2 06/07/11 06/07/17 100.000 0.000 2.3099 0.064166 0.064907 0.065656 0.066415 13.11 23.54 Wells Fargo & Company 94986RDV0 05/31/11 05/28/21 100.000 VARIES 4.1140 0.114280 0.114627 0.114985 0.115351 24.12 41.35 Wells Fargo & Company 94986RDX6 07/06/11 01/08/18 100.000 0.000 1.9900 0.055279 0.055285 0.055835 0.056391 9.67 20.19 Wells Fargo & Company 94986REQ0 08/05/11 02/07/18 100.000 0.000 2.4202 0.067230 0.067239 0.068053 0.068876 9.82 24.59 Wells Fargo & Company 94986RFA4 09/08/11 03/07/18 100.000 0.000 2.2999 0.063889 0.064620 0.065363 7.22 23.30 Wells Fargo & Company 94986RFL0 10/05/11 10/05/18 100.000 0.000 2.4700 0.068611 0.069459 0.070317 5.90 25.00 Wells Fargo & Company 94986RFS5 10/05/11 04/06/18 100.000 0.000 2.3000 0.063889 0.063894 0.064629 0.065372 5.49 23.26 Wells Fargo & Company 94986RFX4 11/08/11 05/07/18 100.000 0.000 2.3199 0.064444 0.065187 0.065944 3.42 23.41 Wendy's Restaurants, LLC 95058TAA5 06/23/09 07/15/16 97.533 10.000 10.5034 3.93 0.007567 0.007964 0.008382 0.008822 0.009286 2.93 3.25 Wendy's Restaurants, LLC 95058TAB3 06/23/09 07/15/16 97.533 10.000 10.5034 3.93 0.007567 0.007964 0.008382 0.008822 0.009286 2.93 3.25 Wesco International,Inc. 95082PAF2 11/02/06 11/15/26 100.000 VARIES 8.0002 0.286909 0.296442 0.306355 0.316665 0.327388 105.90 113.11 Wesco International,Inc. 95082PAG0 11/02/06 11/15/26 100.000 VARIES 8.0002 0.286909 0.296442 0.306355 0.316665 0.327388 105.90 113.11 Wesco International,Inc. 95082PAH8 08/27/09 09/15/29 100.000 VARIES 13.8738 0.418517 0.435987 0.454670 0.474648 0.496013 157.64 171.66 Westmoreland Coal Co. 960887AA5 02/04/11 02/01/18 95.000 10.750 11.8206 0.013324 0.014098 0.014931 0.015814 4.47 5.48 Westmoreland Coal Co. 960887AB3 02/04/11 02/01/18 95.000 10.750 11.8206 0.013324 0.014098 0.014931 0.015814 4.47 5.48 White CNTYS SD #533, IL 963806DF8 08/04/10 12/01/14 109.473 VARIES 3.1287 0.096111 0.097614 0.092768 0.091829 0.090876 34.77 33.17 White CNTYS SD #533, IL 963806DG6 08/04/10 12/01/15 108.920 VARIES 3.6292 0.111099 0.113115 0.107775 0.106959 0.106127 40.26 38.60 White CNTYS SD #533, IL 963806DH4 08/04/10 12/01/16 108.932 VARIES 3.8808 0.118911 0.121218 0.115665 0.114945 0.114211 43.13 41.47 White CNTYS SD #533, IL 963806DJ0 08/04/10 12/01/17 108.163 VARIES 4.1816 0.127347 0.130010 0.124210 0.123613 0.123003 46.23 44.57 White CNTYS SD #533, IL 963806DK7 08/04/10 12/01/18 105.851 VARIES 4.6311 0.138219 0.141420 0.135261 0.134855 0.134440 50.25 48.60 White CNTYS SD #533, IL 963806DL5 08/04/10 12/01/19 102.631 VARIES 4.8822 0.141394 0.144845 0.138888 0.138718 0.138545 51.45 49.96 Wild Oats Markets, Inc. 96808BAA5 05/25/04 05/15/34 100.000 VARIES 8.2511 0.324732 0.334404 0.347409 0.360950 0.375051 119.69 128.78 Wild Oats Markets, Inc. 96808BAB3 05/25/04 05/15/34 100.000 VARIES 8.2511 0.324732 0.334404 0.347409 0.360950 0.375051 119.69 128.78 Will & Kankakee IL 207-U 968631MK4 06/23/10 10/01/11 100.494 0.000 2.3746 0.066717 0.067509 18.16 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Will & Kankakee IL 207-U 968631ML2 06/23/10 10/01/12 100.833 VARIES 2.8790 0.081271 0.082441 0.080263 0.080119 29.38 21.65 Will CNTY SD #88, IL 968794ED5 03/03/09 10/01/28 93.191 5.500 N/A 0.012226 0.012616 0.012198 0.012587 0.012169 4.47 4.46 Will County SD #122, IL 968852FG3 11/19/97 11/01/16 23.888 0.000 7.6998 404.79 0.135927 0.141160 0.146594 0.152238 0.158099 50.52 54.48 Will County SD #122, IL 968852FH1 11/19/97 11/01/17 22.150 0.000 7.6997 375.33 0.126035 0.130887 0.135926 0.141159 0.146593 46.84 50.52 Will County SD #122, IL 968852TN3 03/15/07 10/01/25 34.635 0.000 5.7999 83.97 0.068338 0.070320 0.072359 0.074458 0.076617 25.32 26.81 Will County SD #122, IL 968852TP8 03/15/07 10/01/26 32.402 0.000 5.8498 79.30 0.064593 0.066482 0.068427 0.070428 0.072488 23.94 25.36 Will County SD #122, IL 968852WL3 04/02/09 10/01/23 92.349 5.250 6.0500 6.12 0.010240 0.010550 0.010869 0.011198 0.011537 3.80 4.03 Will County SD #122, IL 968852WM1 04/02/09 10/01/28 24.364 0.000 7.3750 32.91 0.055630 0.057681 0.059808 0.062014 0.064300 20.77 22.33 Will CNTY SD #365, IL 969078QM9 03/17/09 11/01/27 23.731 0.000 7.8743 35.24 0.058844 0.061161 0.063569 0.066071 0.068673 21.88 23.64 Will CNTY SD #365, IL 969078QN7 03/17/09 11/01/28 21.864 0.000 7.8992 32.58 0.054407 0.056556 0.058790 0.061112 0.063526 20.24 21.87 Woodford CNTY SD #60, IL 979319AW0 07/02/10 12/01/11 103.897 0.000 1.9113 0.055598 0.056129 18.44 Woodford CNTY SD #60, IL 979319AX8 07/02/10 12/01/12 105.490 VARIES 2.3712 0.070166 0.070998 0.067407 0.066642 25.33 22.11 Woodford CNTY SD #60, IL 979319AY6 07/02/10 12/01/13 106.305 VARIES 2.8744 0.085890 0.087124 0.082890 0.082145 0.081390 31.05 29.66 Woodford CNTY SD #60, IL 979319AZ3 07/02/10 12/01/14 106.517 VARIES 3.3754 0.101269 0.102978 0.098074 0.097386 0.096685 36.67 35.14 Woodford CNTY SD #60, IL 979319BA7 07/02/10 12/01/15 107.046 VARIES 3.7759 0.114032 0.116185 0.110577 0.109912 0.109233 41.34 39.65 Woodford CNTY SD #60, IL 979319BB5 07/02/10 12/01/16 105.573 VARIES 4.2263 0.126111 0.128776 0.122765 0.122278 0.121780 45.78 44.08 Woodford CNTY SD #60, IL 979319BC3 07/02/10 12/01/17 104.694 VARIES 4.4776 0.132630 0.135599 0.129384 0.129016 0.128640 48.18 46.49 Wynn Las Vegas, LLC 983130AL9 10/19/09 11/01/17 97.823 7.875 8.2509 2.43 0.005930 0.006175 0.006430 0.006695 0.006971 2.21 2.39 Wynn Las Vegas, LLC 983130AN5 10/19/09 11/01/17 97.823 7.875 8.2509 2.43 0.005930 0.006175 0.006430 0.006695 0.006971 2.21 2.39 Xilinx, Inc. 983919AC5 03/05/07 03/15/37 100.000 VARIES 7.2004 0.232105 0.237337 0.242756 0.248371 0.254187 85.63 89.61 Xilinx, Inc. 983919AD3 03/05/07 03/15/37 100.000 VARIES 7.2004 0.232105 0.237337 0.242756 0.248371 0.254187 85.63 89.61 York County, PA 986812LW3 12/28/95 02/01/11 35.767 0.000 6.9294 636.75 0.186038 5.58 York County, PA 986812LX1 12/28/95 02/01/12 33.049 0.000 6.9995 597.76 0.175369 0.181506 0.187859 66.11 5.64 York County, PA 986812LY9 12/28/95 02/01/13 30.649 0.000 7.0395 559.35 0.164484 0.170273 0.176267 0.182471 0.188893 62.02 66.47 York County, PA 986812LZ6 12/28/95 02/01/14 28.302 0.000 7.0994 523.50 0.154483 0.159967 0.165645 0.171525 0.177614 58.28 62.49 York County, PA 986812MA0 12/28/95 02/01/15 26.297 0.000 7.1196 488.61 0.144356 0.149494 0.154816 0.160327 0.166035 54.46 58.41 York County, PA 986812MB8 12/28/95 02/01/16 24.378 0.000 7.1496 455.99 0.134953 0.139778 0.144775 0.149950 0.155310 50.92 54.63 York County, PA 986812MC6 12/28/95 02/01/17 22.586 0.000 7.1795 425.29 0.126089 0.130615 0.135304 0.140161 0.145192 47.59 51.07 York County, PA 986812MD4 12/28/95 02/01/18 20.780 0.000 7.2396 396.52 0.117970 0.122240 0.126665 0.131250 0.136001 44.54 47.83 York County, PA 986812ME2 12/28/95 02/01/19 19.353 0.000 7.2397 369.30 0.109872 0.113850 0.117971 0.122241 0.126666 41.48 44.54 York County, PA 986812MF9 12/28/95 02/01/20 18.025 0.000 7.2396 343.95 0.102329 0.106033 0.109872 0.113849 0.117970 38.64 41.48 York County, PA 986812MG7 12/28/95 02/01/21 16.787 0.000 7.2397 320.33 0.095305 0.098755 0.102330 0.106034 0.109873 35.98 38.64 York County, PA 986812MH5 12/28/95 02/01/22 15.635 0.000 7.2396 298.35 0.088763 0.091976 0.095305 0.098755 0.102330 33.51 35.98 York County, PA 986812MJ1 12/28/95 02/01/23 14.561 0.000 7.2398 277.86 0.082669 0.085662 0.088763 0.091976 0.095306 31.21 33.51 York County, PA 986812MK8 12/28/95 02/01/24 13.562 0.000 7.2396 258.79 0.076994 0.079781 0.082669 0.085662 0.088763 29.07 31.21 York County, PA 986812QD0 12/28/95 02/01/20 18.025 0.000 7.2396 343.95 0.102329 0.106033 0.109872 0.113849 0.117970 38.64 41.48 York County, PA 986812RC1 12/28/95 02/01/20 18.025 0.000 7.2396 343.95 0.102329 0.106033 0.109872 0.113849 0.117970 38.64 41.48 Zions Bancorporation 989701AX5 09/23/09 09/23/14 86.888 7.750 11.2499 26.97 0.062752 0.066282 0.070010 0.073948 0.078108 23.94 26.71 Quebecor Media, Inc. C7603NAD4 10/05/07 03/15/16 93.750 7.750 8.8148 18.82 0.018405 0.019216 0.020063 0.020948 0.021871 6.95 7.57 QBE Funding Trust G7303WAA9 04/15/02 04/15/22 59.358 0.000 2.6249 151.41 0.054023 0.054732 0.055450 0.056178 0.056915 19.68 20.20 UBS AG G91654585 04/28/06 04/28/11 100.000 0.000 5.4584 0.193202 22.60 UBS AG G91654627 05/31/06 06/30/11 100.000 0.000 5.4442 0.192381 34.63 UBS AG G91654718 05/31/06 09/30/11 100.000 0.000 5.4466 0.188883 0.192966 52.12 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 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ UBS AG G91654825 07/31/06 08/31/11 100.000 0.000 5.5653 0.192388 0.194518 46.95 UBS AG G91659279 10/31/06 02/28/11 100.000 0.000 5.1978 0.174798 10.14 UBS AG G9183D252 12/29/05 11/30/11 100.000 0.000 4.9267 0.171978 0.175252 57.87 UBS AG G9183D526 01/31/06 01/31/12 100.000 0.000 4.8995 0.165541 0.172407 0.173751 62.93 5.21 UBS AG G9183D641 01/27/06 06/30/11 100.000 0.000 4.7775 0.166537 29.98 UBS AG G9213L852 11/30/05 02/28/11 100.000 0.000 4.8489 0.168180 9.75 Bumble Bee Holdco S.C.A. L13008AA2 03/10/11 03/15/18 98.138 9.625 N/A 0.272624 0.272632 0.272895 0.273172 0.273463 79.36 98.35 STMicroelectronics N.V. N8357EAF3 02/23/06 02/23/16 100.000 0.000 1.4999 0.044564 0.044898 0.045235 0.045574 0.045916 16.19 16.43 ACL I Corporation U00461AA8 02/15/11 02/15/16 98.250 VARIES N/A 0.304552 0.321545 0.322082 0.322648 98.55 116.00 Alliance One Intl, Inc. U0187PAE6 07/02/09 07/15/16 95.177 10.000 11.0023 7.47 0.014644 0.015449 0.016299 0.017196 0.018142 5.69 6.33 Alliance One Intl, Inc. U0187PAF3 07/02/09 07/15/16 95.177 10.000 11.0023 7.47 0.014644 0.015449 0.016299 0.017196 0.018142 5.69 6.33 Anixter International U03525AB5 07/07/03 07/07/33* 38.016 VARIES 7.2998 0.127335 0.131982 24.52* Apria Healthcare Group U03846AB5 05/27/09 11/01/14 97.050 11.250 12.0051 6.85 0.013158 0.013947 0.014785 0.015672 0.016613 4.98 5.59 Ashland Inc. U04428AB1 05/27/09 06/01/17 96.577 9.125 9.7504 4.91 0.009358 0.009814 0.010292 0.010794 0.011320 3.48 3.83 Bank of America Corp. U0662KBL4 03/18/02 01/04/17 38.300 0.000 6.5924 294.26 0.120129 0.124089 0.128179 0.132404 0.136769 45.38 48.43 Burlington Coat Factory U10676AA9 04/13/06 10/15/14* 75.522 VARIES 14.4995 0.402770 27.39* Cardinal Health 409, Inc U14147AA7 04/10/07 04/15/15 100.000 9.500 9.4999 0.260989 0.259563 0.259563 0.259563 0.260989 94.89 95.11 Crosstex Energy, L.P. U19163AA9 02/10/10 02/15/18 97.907 8.875 9.2505 1.66 0.005294 0.005539 0.005796 0.006064 0.006344 2.02 2.21 HCA Inc. U24788AC2 11/17/06 11/15/16* 100.000 9.625 N/A 0.282264 0.282313 66.34* Diamond Resorts Corp. U2526PAA0 08/13/10 08/15/18 97.513 12.000 12.5004 .73 0.005270 0.005599 0.005949 0.006321 0.006716 2.05 2.31 Drummond Company, Inc. U2644RAB1 10/20/09 10/15/14* 98.053 9.000 9.4992 3.90 0.009567 0.010022 0.010498 3.15* FelCor Lodging Limited U31522AK8 10/01/09 10/01/14 87.750 10.000 13.4435 23.69 0.056843 0.060664 0.064741 0.069093 0.073737 21.86 24.90 Da-Lite Screen Co., Inc. U3194CAB6 03/24/10 04/01/15 97.305 12.500 13.2520 3.11 0.011727 0.012504 0.013332 0.014216 0.015158 4.51 5.12 First Data Corporation. U3198DAA2 10/24/07 09/24/15 94.796 9.875 10.8718 15.94 0.016310 0.017196 0.018131 0.019117 0.020156 6.21 6.90 First Data Corporation. U3198DAC8 12/17/10 01/15/21 94.750 8.250 9.0551 .13 0.009159 0.009225 0.009643 0.010079 0.010536 3.39 3.70 First Data Corporation. U3198DAG9 12/17/10 01/15/22 95.625 VARIES N/A 0.257690 0.259635 0.272229 0.285433 0.299279 95.53 104.87 First Data Corporation. U3198DAH7 12/15/10 01/15/21 91.875 12.625 14.1624 .17 0.010743 0.010870 0.011640 0.012464 0.013347 4.04 4.62 GATX Financial Corp. U3697RAA7 10/25/04 06/15/11 95.703 6.273 7.0956 39.35 0.022069 3.62 GWR Operating Partnershp U40382AA8 04/07/10 04/01/17 95.347 10.875 11.8737 3.34 0.013109 0.013887 0.014711 0.015585 0.016510 5.00 5.62 Graphic Packaging Intl U41508AC3 06/16/09 06/15/17 97.292 9.500 9.9998 3.72 0.007363 0.007732 0.008118 0.008524 0.008950 2.73 3.01 Hornbeck Offshore SVCS U44070AC1 08/17/09 09/01/17 97.123 8.000 8.5012 3.66 0.007774 0.008104 0.008449 0.008808 0.009182 2.94 3.19 Interface, Inc. U45841AE0 06/05/09 11/01/13 96.301 11.375 12.4916 11.04 0.021564 0.022911 0.024342 0.025863 0.027478 8.17 9.22 Interval Acquisiti Corp. U46077AA8 08/20/08 09/01/16 91.022 9.500 11.2256 18.87 0.024891 0.026288 0.027764 0.029322 0.030968 9.56 10.66 Hovnanian Enterprises U48654AL8 10/20/09 10/15/16 98.208 10.625 10.9992 2.21 0.005468 0.005768 0.006086 0.006420 0.006773 2.07 2.30 Hovnanian Enterprises U48654AM6 11/01/11 11/01/21 53.000 5.000 13.8062 0.203258 0.207702 0.212452 12.20 74.52 Hovnanian Enterpirses U48654AN4 11/01/11 11/01/21 42.000 2.000 12.1926 0.142247 0.147532 0.153140 8.53 52.81 Lamar Media Corporation U51260AD6 08/17/06 08/15/15 92.809 6.625 7.7500 28.91 0.021368 0.022196 0.023056 0.023949 0.024877 8.07 8.71 Liberty Media Corp. U52892AD5 01/11/01 01/15/31 100.000 3.500 N/A 0.418743 0.432854 0.447524 0.462768 0.478599 158.07 169.01 Linear Technology Corp. U53476AA2 04/24/07 05/01/27 100.000 VARIES 7.0000 0.224892 0.229847 0.234975 0.240282 0.245776 82.46 86.19 Marquee Holdings, Inc. U57131AA9 08/18/04 08/15/14* 55.894 VARIES 11.9996 0.333327 .67* Media General Inc. U58292AA8 02/12/10 02/15/17 97.690 11.750 12.2505 1.98 0.006419 0.006812 0.007229 0.007672 0.008142 2.49 2.81 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2011 1st 2011 2nd 2011 3rd 2012 2nd 2012 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/11 Period Period 2012 1st Period Period 2011 2012 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Michaels Stores, Inc. U59329AE9 10/31/06 11/01/16 50.110 VARIES N/A 0.330419 0.353343 0.377857 0.319934 0.219933 125.92 116.13 Milagro Gas & Oil, Inc. U6004KAA3 05/11/11 05/15/16 97.182 10.500 11.2509 0.012050 0.012067 0.012746 0.013463 0.014221 2.81 4.79 MTR Gaming Group, Inc. U60753AC1 08/12/09 07/15/14* 95.248 12.625 13.9919 10.37 0.022105 0.023652 0.025307 5.73* Nexstar Finance, Inc. U6497BAC3 03/27/03 04/01/13* 57.442 VARIES 11.3746 0.315964 0.315964 42.34* New Omaha Holdings Corp. U65169AA9 09/24/07 09/30/16 100.000 VARIES 11.4999 0.447619 0.473357 0.500575 0.529358 0.559796 170.59 190.78 Omnicom Group, Inc. U68191AF9 02/07/01 02/07/31 100.000 VARIES 6.7111 0.341008 0.351220 0.361776 0.372685 0.383960 127.59 135.40 Pioneer Drilling Company U72356AA3 03/11/10 03/15/18 95.750 9.875 10.6775 2.87 0.010218 0.010764 0.011338 0.011943 0.012581 3.90 4.32 Ply Gem Industries, Inc. U7264EAE2 01/11/10 07/15/14 97.139 13.125 14.0016 4.79 0.014172 0.015164 0.016226 0.017362 0.018577 5.62 6.44 Pope & Talbot, Inc. U7316MAA0 07/30/02 06/01/13 86.415 8.375 10.5037 91.46 0.045780 0.048184 0.050715 0.053379 0.056182 17.06 18.90 Roche Holdings, Inc. U75000AE6 01/19/00 01/19/15 66.386 0.000 2.7499 231.43 0.067553 0.068482 0.069424 0.070378 0.071346 24.79 25.48 Ryerson Holding Corp. U75042AA6 01/29/10 02/01/15 45.598 0.000 N/A 0.206433 0.224006 0.259822 0.285519 0.314049 85.49 106.30 Rotech Healthcare, Inc. U77790AB6 10/06/10 10/15/15 97.189 10.750 11.5019 1.01 0.011942 0.012628 0.013355 0.014123 0.014935 4.53 5.07 Rotech Healthcare, Inc. U77790AC4 03/17/11 03/15/18 98.197 10.500 10.8747 0.004963 0.005230 0.005514 0.005814 1.44 2.00 The Service Master, Co. U8151CAA8 07/24/08 07/15/15 97.266 10.750 11.3274 0.307857 0.308380 0.308934 0.309518 0.310136 111.10 111.52 Tabletop Holdings, Inc. U81965AA0 11/12/03 05/15/14 55.131 VARIES 12.2495 0.340270 0.340270 0.340269 0.340268 0.340268 122.50 122.50 Sinclair Brdcast Grp Inc U82751AE5 05/20/03 07/15/18 100.000 VARIES 9.2480 0.367380 0.378107 0.393021 0.407992 0.423654 138.44 149.27 Solo Cup Company U83440AA2 07/02/09 11/01/13 97.928 10.500 11.1154 6.12 0.012357 0.013044 0.013769 0.014534 0.015342 4.66 5.19 Spirit Aerosystems, Inc. U84591AA1 09/30/09 10/01/17 97.804 7.500 7.8750 2.61 0.006068 0.006307 0.006555 0.006813 0.007081 2.27 2.45 Sabine Pass LNG, LP U8596QAC6 09/15/08 11/30/16 79.000 7.500 11.5231 40.89 0.057060 0.060348 0.063825 0.067502 0.071391 21.34 23.87 Tenet Healthcare Corp. U88030AF5 06/15/09 07/01/19 95.229 8.875 9.6265 4.75 0.009388 0.009840 0.010314 0.010810 3.46 3.80 Tenet Healthcare Corp. U88030AG3 03/03/09 05/01/15 89.500 9.000 11.4189 24.13 0.040766 0.043093 0.045554 0.048155 0.050904 15.38 17.19 Tenet Healthcare Corp. U88030AH1 03/03/09 05/01/18 89.500 10.000 11.9135 13.15 0.022315 0.023645 0.025053 0.026546 0.028127 8.44 9.47 Unisys Corporation U90921AC8 07/31/09 10/15/14 83.461 12.750 17.7426 31.98 0.069490 0.075241 0.081916 0.089183 0.097628 27.39 32.54 Unisys Corporation U90921AD6 07/31/09 09/15/15 80.450 14.250 19.9112 27.78 0.060538 0.065480 0.072790 0.079166 0.088491 24.33 29.51 United Refining Co. U9112YAF5 03/08/11 02/28/18 96.444 10.500 11.2489 0.009482 0.010102 0.010555 0.011333 2.91 3.93 US Oncology Holdings,Inc U91245AB3 03/13/07 03/15/12* 98.000 9.797 N/A 0.258422 7.49* Ventas Realty LP U92200AG6 04/13/09 06/01/16* 84.250 6.500 9.5994 28.95 0.051406 0.053874 10.24* Wendy's Restaurants, LLC U95238AA6 06/23/09 07/15/16 97.533 10.000 10.5034 3.93 0.007567 0.007964 0.008382 0.008822 0.009286 2.93 3.25 Westmoreland Coal Co. U96068AA6 02/04/11 02/01/18 95.000 10.750 11.8206 0.013324 0.014098 0.014931 0.015814 4.47 5.48 WMG Acquisition Corp. U97128AA7 05/28/09 06/15/16 96.289 9.500 10.2522 6.26 0.012058 0.012676 0.013325 0.014009 0.014727 4.47 4.94 WMG Holdings Corp. U97137AC4 12/23/04 12/15/14* 63.002 VARIES 9.4995 0.263879 0.263879 60.16* Wynn Las Vegas, LLC U98347AE4 10/19/09 11/01/17 97.823 7.875 8.2509 2.43 0.005930 0.006175 0.006430 0.006695 0.006971 2.21 2.39 ----------------------------- * Called in 2011; reportable OID is computed to call date. SECTION I-C Inflation Indexed Debt Instruments Inflation-Adj Stated Issue Maturity Principal on Interest Total OID 2011 1st 2011 2nd 2011 3rd Calendar Year Name of Issuer CUSIP No. Date Date Issue Date Rate to 1/1/11 Period Period Period 2011 ______________ _________ ________ _________ ___________ ________ _________ ________ ________ ________ _____________ U.S. Treasury 912810FD5 04/15/98 04/15/28 100.000 3.625% 352.24 0.120017 0.184927 0.017252 47.67 U.S. Treasury 912810FH6 04/15/99 04/15/29 100.000 3.875% 330.41 0.118080 0.181943 0.016973 46.90 U.S. Treasury 9128276R8 01/15/01 01/15/11 100.000 3.500% 256.63 0.017052 0.24 U.S. Treasury 912810FQ6 10/15/01 04/15/32 100.000 3.375% 232.17 0.109361 0.168508 0.015720 43.44 U.S. Treasury 9128277J5 01/15/02 01/15/12 100.000 3.375% 231.73 0.016714 0.206329 0.034360 43.42 U.S. Treasury 912828AF7 07/15/02 07/15/12 100.000 3.000% 216.41 0.016506 0.203764 0.033933 42.88 U.S. Treasury 912828BD1 07/15/03 07/15/13 100.000 1.875% 190.82 0.016158 0.199477 0.033219 41.98 U.S. Treasury 912828BW9 01/15/04 01/15/14 100.000 2.000% 183.67 0.016061 0.198279 0.033019 41.73 U.S. Treasury 912810FR4 07/15/04 01/15/25 100.000 2.375% 160.29 0.015744 0.194363 0.032367 40.90 U.S. Treasury 912828CP3 07/15/04 07/15/14 100.000 2.000% 160.29 0.015744 0.194363 0.032367 40.90 U.S. Treasury 912828DH0 01/15/05 01/15/15 100.000 1.625% 145.41 0.015542 0.191871 0.031952 40.38 U.S. Treasury 912828EA4 07/15/05 07/15/15 100.000 1.875% 124.42 0.015258 0.188355 0.031367 39.64 U.S. Treasury 912810FS2 01/15/06 01/15/26 100.000 2.000% 101.94 0.014953 0.184589 0.030740 38.85 U.S. Treasury 912828ET3 01/15/06 01/15/16 100.000 2.000% 101.94 0.014953 0.184589 0.030740 38.85 U.S. Treasury 912828FB1 04/15/06 04/15/11 100.000 2.375% 101.89 0.097798 10.17 U.S. Treasury 912828FL9 07/15/06 07/15/16 100.000 2.500% 82.99 0.014695 0.181414 0.030211 38.18 U.S. Treasury 912810PS1 01/15/07 01/15/27 100.000 2.375% 84.53 0.014716 0.181672 0.030254 38.23 U.S. Treasury 912828GD6 01/15/07 01/15/17 100.000 2.375% 84.53 0.014716 0.181672 0.030254 38.23 U.S. Treasury 912828GN4 04/15/07 04/15/12 100.000 2.000% 77.81 0.095660 0.147398 0.013751 38.00 U.S. Treasury 912828GX2 07/15/07 07/15/17 100.000 2.625% 55.27 0.014319 0.176770 0.029438 37.20 U.S. Treasury 912810PV4 01/15/08 01/15/28 100.000 1.750% 43.98 0.014166 0.174880 0.029123 36.80 U.S. Treasury 912828HN3 01/15/08 01/15/18 100.000 1.625% 43.98 0.014166 0.174880 0.029123 36.80 U.S. Treasury 912828HW3 04/15/08 04/15/13 100.000 0.625% 34.75 0.091838 0.141509 0.013201 36.48 U.S. Treasury 912828JE1 07/15/08 07/15/18 100.000 0.375% 14.24 0.013762 0.169898 0.028293 35.75 U.S. Treasury 912810PZ5 01/15/09 01/15/29 100.000 2.500% 18.68 0.013823 0.170642 0.028417 35.91 U.S. Treasury 912828JX9 01/15/09 01/15/19 100.000 2.125% 18.68 0.013823 0.170642 0.028417 35.91 U.S. Treasury 912828KM1 04/15/09 04/15/14 100.000 1.250% 33.44 0.091723 0.141330 0.013185 36.43 U.S. Treasury 912828LA6 07/15/09 07/15/19 100.000 1.875% 24.32 0.013899 0.171586 0.028574 36.11 U.S. Treasury 912828MF4 01/15/10 01/15/20 100.000 1.375% 11.40 0.013724 0.169422 0.028214 35.65 U.S. Treasury 912810QF8 02/15/10 02/15/40 100.000 2.125% 11.90 0.028788 0.175447 0.018849 35.67 U.S. Treasury 912828MY3 04/15/10 04/15/15 100.000 0.500% 9.22 0.089573 0.138018 0.012876 35.58 U.S. Treasury 912828NM8 07/15/10 07/15/20 100.000 1.250% 2.87 0.013608 0.167993 0.027976 35.35 U.S. Treasury 912828PP9 01/15/11 01/15/21 100.000 1.125% 0.167480 0.027891 35.06 U.S. Treasury 912810QP6 02/15/11 02/15/41 100.000 2.125% 0.173163 0.018604 33.93 U.S. Treasury 912828QD5 04/15/11 04/15/16 100.000 0.125% 0.135506 0.012641 25.78 U.S. Treasury 912828QV5 07/15/11 07/15/21 100.000 0.625% 0.027070 4.60 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 2011). Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 01/01/11 03/31/11 0.30 07/01/19 09/30/19 24.62 04/01/11 06/30/11 0.95 10/01/19 12/31/19 24.73 07/01/11 09/30/11 1.79 01/01/20 03/31/20 24.77 10/01/11 12/31/11 2.89 04/01/20 06/30/20 24.79 01/01/12 03/31/12 3.59 07/01/20 09/30/20 24.81 04/01/12 06/30/12 4.28 10/01/20 12/31/20 24.76 07/01/12 09/30/12 5.17 01/01/21 03/31/21 24.77 10/01/12 12/31/12 6.05 04/01/21 06/30/21 24.71 01/01/13 03/31/13 6.92 07/01/21 09/30/21 24.69 04/01/13 06/30/13 7.88 10/01/21 12/31/21 24.62 07/01/13 09/30/13 8.93 01/01/22 03/31/22 24.54 10/01/13 12/31/13 9.97 04/01/22 06/30/22 24.51 01/01/14 03/31/14 11.00 07/01/22 09/30/22 24.42 04/01/14 06/30/14 12.10 10/01/22 12/31/22 24.33 07/01/14 09/30/14 13.28 01/01/23 03/31/23 24.23 10/01/14 12/31/14 14.43 04/01/23 06/30/23 24.12 01/01/15 03/31/15 15.56 07/01/23 09/30/23 24.01 04/01/15 06/30/15 16.67 10/01/23 12/31/23 23.86 07/01/15 09/30/15 17.65 01/01/24 03/31/24 23.74 10/01/15 12/31/15 18.62 04/01/24 06/30/24 23.58 01/01/16 03/31/16 19.37 07/01/24 09/30/24 23.45 04/01/16 06/30/16 20.19 10/01/24 12/31/24 23.28 07/01/16 09/30/16 20.82 01/01/25 03/31/25 23.11 10/01/16 12/31/16 21.50 04/01/25 06/30/25 22.94 01/01/17 03/31/17 22.00 07/01/25 09/30/25 22.77 04/01/17 06/30/17 22.48 10/01/25 12/31/25 22.60 07/01/17 09/30/17 22.86 01/01/26 03/31/26 22.42 10/01/17 12/31/17 23.22 04/01/26 06/30/26 22.24 01/01/18 03/31/18 23.50 07/01/26 09/30/26 22.06 04/01/18 06/30/18 23.75 10/01/26 12/31/26 21.88 07/01/18 09/30/18 24.00 01/01/27 03/31/27 21.67 10/01/18 12/31/18 24.22 04/01/27 06/30/27 21.49 01/01/19 03/31/19 24.37 07/01/27 09/30/27 21.30 04/01/19 06/30/19 24.50 10/01/27 12/31/27 21.09 01/01/28 03/31/28 20.91 04/01/36 06/30/36 14.58 04/01/28 06/30/28 20.70 07/01/36 09/30/36 14.41 07/01/28 09/30/28 20.51 10/01/36 12/31/36 14.24 10/01/28 12/31/28 20.30 01/01/37 03/31/37 14.07 01/01/29 03/31/29 20.10 04/01/37 06/30/37 13.91 04/01/29 06/30/29 19.89 07/01/37 09/30/37 13.74 07/01/29 09/30/29 19.69 10/01/37 12/31/37 13.59 10/01/29 12/31/29 19.48 01/01/38 03/31/38 13.42 01/01/30 03/31/30 19.28 04/01/38 06/30/38 13.27 04/01/30 06/30/30 19.07 07/01/38 09/30/38 13.10 (continued) Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 07/01/30 09/30/30 18.87 10/01/38 12/31/38 12.95 10/01/30 12/31/30 18.67 01/01/39 03/31/39 12.81 01/01/31 03/31/31 18.47 04/01/39 06/30/39 12.64 04/01/31 06/30/31 18.27 07/01/39 09/30/39 12.50 07/01/31 09/30/31 18.07 10/01/39 12/31/39 12.34 10/01/31 12/31/31 17.87 01/01/40 03/31/40 12.20 01/01/32 03/31/32 17.68 04/01/40 06/30/40 12.06 04/01/32 06/30/32 17.48 07/01/40 09/30/40 11.92 07/01/32 09/30/32 17.29 10/01/40 12/31/40 11.76 10/01/32 12/31/32 17.10 01/01/41 03/31/41 11.63 01/01/33 03/31/33 16.91 04/01/41 06/30/41 11.50 04/01/33 06/30/33 16.72 07/01/41 09/30/41 11.37 07/01/33 09/30/33 16.54 10/01/41 12/31/41 11.24 10/01/33 12/31/33 16.35 01/01/42 03/31/42 11.11 01/01/34 03/31/34 16.17 04/01/42 06/30/42 10.98 04/01/34 06/30/34 15.98 07/01/42 09/30/42 10.86 07/01/34 09/30/34 15.81 10/01/42 12/31/42 10.74 10/01/34 12/31/34 15.62 01/01/43 03/31/43 10.62 01/01/35 03/31/35 15.44 04/01/43 06/30/43 10.50 04/01/35 06/30/35 15.27 07/01/43 09/30/43 10.38 07/01/35 09/30/35 15.09 10/01/43 12/31/43 10.26 10/01/35 12/31/35 14.92 01/01/44 03/31/44 10.15 01/01/36 03/31/36 14.75 04/01/44 06/30/44 10.03 07/01/44 09/30/44 9.92 04/01/48 06/30/48 8.38 10/01/44 12/31/44 9.81 07/01/48 09/30/48 8.29 01/01/45 03/31/45 9.70 10/01/48 12/31/48 8.19 04/01/45 06/30/45 9.59 01/01/49 03/31/49 8.10 07/01/45 09/30/45 9.48 04/01/49 06/30/49 8.01 10/01/45 12/31/45 9.37 07/01/49 09/30/49 7.92 01/01/46 03/31/46 9.27 10/01/49 12/31/49 7.83 04/01/46 06/30/46 9.17 01/01/50 03/31/50 7.75 07/01/46 09/30/46 9.06 04/01/50 06/30/50 7.66 10/01/46 12/31/46 8.96 07/01/50 09/30/50 7.58 01/01/47 03/31/47 8.86 10/01/50 12/31/50 7.49 04/01/47 06/30/47 8.76 01/01/51 03/31/51 7.41 07/01/47 09/30/47 8.67 04/01/51 06/30/51 7.33 10/01/47 12/31/47 8.57 07/01/51 09/30/51 7.25 01/01/48 03/31/48 8.47 10/01/51 12/31/51 7.17 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 2011, 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 2011 - September 2012 Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912795X71 01/06/11 07/08/10 99.896 1.04 912795UX7 01/13/11 01/14/10 99.661 3.39 912795X89 01/20/11 07/22/10 99.901 0.99 912795X97 01/27/11 07/29/10 99.899 1.01 912795Y21 02/03/11 08/05/10 99.901 0.99 912795V40 02/10/11 02/11/10 99.676 3.24 9127952B6 02/17/11 08/19/10 99.906 0.94 9127952C4 02/24/11 08/26/10 99.906 0.94 9127952D2 03/03/11 09/02/10 99.904 0.96 912795V99 03/10/11 03/11/10 99.621 3.79 9127952G5 03/17/11 09/16/10 99.904 0.96 9127952H3 03/24/11 09/23/10 99.901 0.99 9127952J9 03/31/11 09/30/10 99.904 0.96 912795VD0 04/07/11 04/08/10 99.510 4.90 9127952L4 04/14/11 10/14/10 99.917 0.83 9127956Q9 04/15/11 02/25/11 99.983 0.17 9127952M2 04/21/11 10/21/10 99.914 0.86 9127952N0 04/28/11 10/28/10 99.914 0.86 912795VE8 05/05/11 05/06/10 99.575 4.25 9127952Q3 05/12/11 11/12/10 99.920 0.80 9127952R1 05/19/11 11/18/10 99.909 0.91 9127952S9 05/26/11 11/26/10 99.902 0.98 912795W64 06/02/11 06/03/10 99.631 3.69 9127952U4 06/09/11 12/09/10 99.906 0.94 9127957J4 06/15/11 06/09/11 99.999 0.01 9127952V2 06/16/11 12/16/10 99.904 0.96 9127952W0 06/23/11 12/23/10 99.906 0.94 912795X22 06/30/11 07/01/10 99.676 3.24 9127952X8 07/07/11 01/06/11 99.904 0.96 9127952Z3 07/14/11 01/13/11 99.909 0.91 9127953A7 07/21/11 01/20/11 99.906 0.94 912795X63 07/28/11 07/29/10 99.702 2.98 912795Z79 08/02/11 07/28/11 100.000 0.00 9127953B5 08/04/11 02/03/11 99.914 0.86 9127953D1 08/11/11 02/10/11 99.912 0.88 912796AC3 08/15/11 08/05/11 100.000 0.00 9127953E9 08/18/11 02/17/11 99.917 0.83 9127952A8 08/25/11 08/26/10 99.737 2.63 9127953F6 09/01/11 03/03/11 99.914 0.86 9127953J8 09/08/11 03/10/11 99.922 0.78 9127953K5 09/15/11 03/17/11 99.932 0.68 9127952F7 09/22/11 09/23/10 99.732 2.68 9127953L3 09/29/11 03/31/11 99.914 0.86 9127953M1 10/06/11 04/07/11 99.934 0.66 9127953P4 10/13/11 04/14/11 99.944 0.56 9127952K6 10/20/11 10/21/10 99.773 2.28 Section III-A (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 9127953Q2 10/27/11 04/28/11 99.942 0.58 9127953R0 11/03/11 05/05/11 99.949 0.51 9127953T6 11/10/11 05/12/11 99.967 0.33 9127952P5 11/17/11 11/18/10 99.717 2.83 9127953U3 11/25/11 05/26/11 99.949 0.51 9127953V1 12/01/11 06/02/11 99.942 0.58 9127953X7 12/08/11 06/09/11 99.947 0.53 9127952T7 12/15/11 12/16/10 99.702 2.98 9127953Y5 12/22/11 06/23/11 99.949 0.51 9127953Z2 12/29/11 06/30/11 99.952 0.48 Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912796AD1 08/31/11 08/19/11 99.9995 0.005 Discount to be Issue Price Reported as 2012 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 9127954A6 01/05/12 07/07/11 99.960 0.40 9127952Y6 01/12/12 01/13/11 99.722 2.78 912795Y62 01/19/12 07/21/11 99.970 0.30 912795Y70 01/26/12 07/28/11 99.949 0.51 912795Y88 02/02/12 08/04/11 99.924 0.76 9127953C3 02/09/12 02/10/11 99.692 3.08 912795Z20 02/16/12 08/18/11 99.960 0.40 912795Z38 02/23/12 08/25/11 99.977 0.23 912795Z46 03/01/12 09/01/11 99.977 0.23 9127953G4 03/08/12 03/10/11 99.737 2.63 9127955D9 03/15/12 09/15/11 99.975 0.25 9127955E7 03/22/12 09/22/11 99.985 0.15 9127955F4 03/29/12 09/29/11 99.982 0.18 9127953H2 04/05/12 04/07/11 99.717 2.83 9127953N9 05/03/12 05/05/11 99.798 2.02 9127953S8 05/31/12 06/02/11 99.818 1.82 9127953W9 06/28/12 06/30/11 99.798 2.02 9127954B4 07/26/12 07/28/11 99.798 2.02 912795Y96 08/23/12 08/25/11 99.899 1.01 9127955C1 09/20/12 09/22/11 99.909 0.91 Section III-B FEDERAL HOME LOAN BANKS Short-Term Obligations Issued at a Discount and Maturing in 2011 Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384AC3 01/03/11 01/07/10 99.579 4.21 313384AD1 01/04/11 01/07/10 99.588 4.12 313384AE9 01/05/11 01/14/10 99.664 3.36 313384AF6 01/06/11 01/08/10 99.607 3.93 313384AG4 01/07/11 01/08/10 99.605 3.95 313384AK5 01/10/11 01/11/10 99.596 4.04 313384AL3 01/11/11 01/12/10 99.626 3.74 313384AM1 01/12/11 01/13/10 99.616 3.84 313384AN9 01/13/11 06/08/10 99.848 1.52 313384AP4 01/14/11 01/14/10 99.655 3.45 313384AT6 01/18/11 01/27/10 99.703 2.97 313384AU3 01/19/11 01/25/10 99.671 3.29 313384AV1 01/20/11 01/21/10 99.646 3.54 313384AW9 01/21/11 01/25/10 99.669 3.31 313384AZ2 01/24/11 01/26/10 99.667 3.33 313384BA6 01/25/11 05/28/10 99.758 2.42 313384BB4 01/26/11 01/27/10 99.666 3.34 313384BC2 01/27/11 02/02/10 99.661 3.39 313384BD0 01/28/11 02/01/10 99.659 3.41 313384BG3 01/31/11 04/20/10 99.801 1.99 313384BH1 02/01/11 02/04/10 99.638 3.62 313384BJ7 02/02/11 02/11/10 99.664 3.36 313384BK4 02/03/11 02/12/10 99.664 3.36 313384BL2 02/04/11 05/07/10 99.697 3.03 313384BP3 02/07/11 07/27/10 99.892 1.08 313384BQ1 02/08/11 02/11/10 99.638 3.62 313384BR9 02/09/11 10/28/10 99.962 0.38 313384BS7 02/10/11 02/12/10 99.657 3.43 313384BT5 02/11/11 02/11/10 99.655 3.45 313384BW8 02/14/11 05/10/10 99.689 3.11 313384BX6 02/15/11 02/17/10 99.657 3.43 313384BY4 02/16/11 05/17/10 99.710 2.90 313384BZ1 02/17/11 05/27/10 99.712 2.88 313384CA5 02/18/11 05/18/10 99.793 2.07 313384CE7 02/22/11 05/13/10 99.707 2.93 313384CF4 02/23/11 05/27/10 99.705 2.95 313384CG2 02/24/11 02/25/10 99.646 3.54 313384CH0 02/25/11 02/26/10 99.646 3.54 313384CL1 02/28/11 06/02/10 99.714 2.86 313384CM9 03/01/11 03/01/10 99.655 3.45 313384CN7 03/02/11 06/02/10 99.712 2.88 313384CP2 03/03/11 08/13/10 99.905 0.95 313384CQ0 03/04/11 03/04/10 99.645 3.55 313384CT4 03/07/11 03/08/10 99.565 4.35 Section III-B (Continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384CU1 03/08/11 11/15/10 99.962 0.38 313384CV9 03/09/11 03/10/10 99.596 4.04 313384CW7 03/10/11 07/15/10 99.861 1.39 313384CX5 03/11/11 09/07/10 99.918 0.82 313384DA4 03/14/11 09/03/10 99.920 0.80 313384DB2 03/15/11 05/14/10 99.653 3.47 313384DC0 03/16/11 03/23/10 99.602 3.98 313384DD8 03/17/11 05/18/10 99.655 3.45 313384DE6 03/18/11 05/19/10 99.655 3.45 313384DH9 03/21/11 05/12/10 99.652 3.48 313384DJ5 03/22/11 03/23/10 99.596 4.04 313384DK2 03/23/11 03/23/10 99.594 4.06 313384DL0 03/24/11 05/25/10 99.655 3.45 313384DM8 03/25/11 09/10/10 99.897 1.03 313384DQ9 03/28/11 05/26/10 99.660 3.40 313384DR7 03/29/11 06/01/10 99.666 3.34 313384DS5 03/30/11 06/02/10 99.657 3.43 313384DT3 03/31/11 07/08/10 99.837 1.63 313384DU0 04/01/11 04/09/10 99.603 3.97 313384DX4 04/04/11 07/16/10 99.840 1.60 313384DY2 04/05/11 07/14/10 99.831 1.69 313384DZ9 04/06/11 07/01/10 99.814 1.86 313384EA3 04/07/11 09/09/10 99.918 0.82 313384EB1 04/08/11 11/03/10 99.935 0.65 313384EE5 04/11/11 05/12/10 99.601 3.99 313384EF2 04/12/11 12/08/10 99.951 0.49 313384EG0 04/13/11 07/13/10 99.825 1.75 313384EH8 04/14/11 05/13/10 99.589 4.11 313384EJ4 04/15/11 04/16/10 99.565 4.35 313384EM7 04/18/11 04/21/10 99.548 4.52 313384EN5 04/19/11 05/18/10 99.589 4.11 313384EP0 04/20/11 05/18/10 99.551 4.49 313384EQ8 04/21/11 05/20/10 99.608 3.92 313384EU9 04/25/11 05/24/10 99.580 4.20 313384EV7 04/26/11 05/10/10 99.503 4.97 313384EW5 04/27/11 05/26/10 99.552 4.48 313384EX3 04/28/11 05/10/10 99.500 5.00 313384EY1 04/29/11 07/01/10 99.799 2.01 313384FB0 05/02/11 05/24/10 99.571 4.29 313384FC8 05/03/11 01/06/11 99.958 0.42 313384FD6 05/04/11 05/05/10 99.545 4.55 313384FE4 05/05/11 05/05/10 99.544 4.56 313384FF1 05/06/11 05/06/10 99.544 4.56 313384FJ3 05/09/11 08/27/10 99.880 1.20 313384FK0 05/10/11 08/17/10 99.823 1.77 313384FL8 05/11/11 05/12/10 99.504 4.96 313384FM6 05/12/11 05/20/10 99.584 4.16 313384FN4 05/13/11 07/19/10 99.810 1.90 Section III-B (Continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384FR5 05/16/11 05/19/10 99.527 4.73 313384FS3 05/17/11 05/17/10 99.554 4.46 313384FT1 05/18/11 05/20/10 99.526 4.74 313384FU8 05/19/11 05/20/10 99.525 4.75 313384FV6 05/20/11 05/20/10 99.523 4.77 313384FY0 05/23/11 05/24/10 99.494 5.06 313384FZ7 05/24/11 05/24/10 99.493 5.07 313384GA1 05/25/11 05/25/10 99.493 5.07 313384GB9 05/26/11 05/27/10 99.494 5.06 313384GC7 05/27/11 05/27/10 99.493 5.07 313384GG8 05/31/11 10/29/10 99.893 1.07 313384GH6 06/01/11 06/01/10 99.473 5.27 313384GJ2 06/02/11 06/03/10 99.494 5.06 313384GK9 06/03/11 06/04/10 99.515 4.85 313384GN3 06/06/11 06/28/10 99.705 2.95 313384GP8 06/07/11 01/20/11 99.931 0.69 313384GQ6 06/08/11 12/06/10 99.898 1.02 313384GR4 06/09/11 01/07/11 99.941 0.60 313384GS2 06/10/11 06/15/10 99.550 4.50 313384GV5 06/13/11 09/24/10 99.884 1.16 313384GW3 06/14/11 06/17/10 99.548 4.52 313384GX1 06/15/11 06/18/10 99.578 4.22 313384GY9 06/16/11 10/15/10 99.892 1.08 313384GZ6 06/17/11 07/01/10 99.698 3.02 313384HC6 06/20/11 09/21/10 99.819 1.81 313384HD4 06/21/11 06/22/10 99.575 4.25 313384HE2 06/22/11 06/22/10 99.574 4.26 313384HF9 06/23/11 06/23/10 99.574 4.26 313384HG7 06/24/11 06/25/10 99.575 4.25 313384HK8 06/27/11 06/28/10 99.575 4.25 313384HL6 06/28/11 06/28/10 99.574 4.26 313384HM4 06/29/11 07/07/10 99.693 3.07 313384HN2 06/30/11 07/20/10 99.645 3.55 313384HP7 07/01/11 07/16/10 99.689 3.11 313384HT9 07/05/11 12/15/10 99.910 0.90 313384HU6 07/06/11 07/07/10 99.646 3.54 313384HV4 07/07/11 12/30/10 99.895 1.05 313384HW2 07/08/11 07/08/10 99.564 4.36 313384HZ5 07/11/11 01/11/11 99.904 0.96 313384JA8 07/12/11 07/12/10 99.564 4.36 313384JB6 07/13/11 01/12/11 99.896 1.04 313384JC4 07/14/11 12/01/10 99.856 1.44 313384JD2 07/15/11 07/19/10 99.609 3.91 313384JG5 07/18/11 09/29/10 99.870 1.30 313384JH3 07/19/11 01/12/11 99.901 0.99 313384JJ9 07/20/11 01/19/11 99.896 1.04 313384JK6 07/21/11 08/13/10 99.782 2.19 313384JL4 07/22/11 01/21/11 99.899 1.01 Section III-B (Continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384JQ3 07/26/11 04/21/11 99.987 0.13 313384JR1 07/27/11 07/30/10 99.698 3.02 313384JS9 07/28/11 08/10/10 99.775 2.25 313384JT7 07/29/11 08/03/10 99.760 2.40 313384JW0 08/01/11 08/05/10 99.759 2.41 313384JX8 08/02/11 01/27/11 99.917 0.83 313384JY6 08/03/11 01/14/11 99.888 1.12 313384JZ3 08/04/11 08/05/10 99.757 2.43 313384KA6 08/05/11 11/09/10 99.888 1.12 313384KD0 08/08/11 11/08/10 99.841 1.59 313384KE8 08/09/11 05/05/11 99.989 0.11 313384KF5 08/10/11 01/20/11 99.910 0.90 313384KG3 08/11/11 08/23/10 99.765 2.35 313384KH1 08/12/11 08/24/10 99.765 2.35 313384KL2 08/15/11 08/17/10 99.687 3.13 313384KM0 08/16/11 12/29/10 99.891 1.09 313384KN8 08/17/11 08/17/10 99.686 3.14 313384KP3 08/18/11 01/21/11 99.907 0.93 313384KQ1 08/19/11 12/03/10 99.892 1.08 313384KT5 08/22/11 12/01/10 99.817 1.83 313384KU2 08/23/11 11/05/10 99.830 1.70 313384KV0 08/24/11 08/26/10 99.768 2.32 313384KW8 08/25/11 02/18/11 99.932 0.68 313384KX6 08/26/11 02/25/11 99.913 0.87 313384LA5 08/29/11 11/10/10 99.878 1.22 313384LB3 08/30/11 01/31/11 99.912 0.88 313384LC1 08/31/11 11/19/10 99.881 1.19 313384LD9 09/01/11 09/02/10 99.818 1.82 313384LE7 09/02/11 09/14/10 99.706 2.94 313384LJ6 09/06/11 09/14/10 99.693 3.07 313384LK3 09/07/11 03/03/11 99.932 0.68 313384LL1 09/08/11 04/19/11 99.965 0.35 313384LM9 09/09/11 03/07/11 99.912 0.88 313384LQ0 09/12/11 09/13/10 99.697 3.03 313384LR8 09/13/11 09/14/10 99.687 3.13 313384LS6 09/14/11 09/20/10 99.791 2.09 313384LT4 09/15/11 11/02/10 99.850 1.50 313384LU1 09/16/11 12/16/10 99.795 2.05 313384LX5 09/19/11 09/21/10 99.698 3.02 313384LY3 09/20/11 09/21/10 99.697 3.03 313384LZ0 09/21/11 09/21/10 99.696 3.04 313384MA4 09/22/11 09/23/10 99.717 2.83 313384MB2 09/23/11 09/23/10 99.716 2.84 313384ME6 09/26/11 09/30/10 99.719 2.81 313384MF3 09/27/11 12/10/10 99.790 2.10 313384MG1 09/28/11 03/01/11 99.924 0.76 313384MH9 09/29/11 02/09/11 99.897 1.03 313384MJ5 09/30/11 10/01/10 99.717 2.83 Section III-B (Continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384MM8 10/03/11 10/12/10 99.792 2.08 313384MN6 10/04/11 10/28/10 99.830 1.70 313384MP1 10/05/11 10/07/10 99.808 1.92 313384MQ9 10/06/11 12/15/10 99.771 2.29 313384MR7 10/07/11 10/07/10 99.736 2.64 313384MV8 10/11/11 10/14/10 99.749 2.51 313384MW6 10/12/11 10/19/10 99.751 2.49 313384MX4 10/13/11 10/14/10 99.767 2.33 313384MY2 10/14/11 10/18/10 99.749 2.51 313384NB1 10/17/11 02/15/11 99.864 1.36 313384NC9 10/18/11 01/19/11 99.819 1.81 313384ND7 10/19/11 04/13/11 99.937 0.63 313384NE5 10/20/11 01/21/11 99.819 1.81 313384NF2 10/21/11 10/26/10 99.820 1.80 313384NJ4 10/24/11 11/01/10 99.762 2.38 313384NK1 10/25/11 01/25/11 99.810 1.90 313384NL9 10/26/11 10/27/10 99.818 1.82 313384NM7 10/27/11 12/13/10 99.832 1.68 313384NN5 10/28/11 10/29/10 99.818 1.82 313384NR6 10/31/11 04/13/11 99.933 0.67 313384NS4 11/01/11 05/05/11 99.971 0.29 313384NT2 11/02/11 11/09/10 99.821 1.79 313384NU9 11/03/11 07/11/11 99.987 0.13 313384NV7 11/04/11 11/08/10 99.817 1.83 313384NY1 11/07/11 11/15/10 99.752 2.48 313384NZ8 11/08/11 05/05/11 99.969 0.31 313384PA1 11/09/11 12/08/10 99.813 1.87 313384PB9 11/10/11 11/18/10 99.822 1.78 313384PF0 11/14/11 11/17/10 99.708 2.92 313384PG8 11/15/11 11/19/10 99.769 2.31 313384PH6 11/16/11 11/17/10 99.717 2.83 313384PJ2 11/17/11 07/20/11 99.983 0.17 313384PK9 11/18/11 01/27/11 99.787 2.13 313384PN3 11/21/11 12/08/10 99.807 1.93 313384PP8 11/22/11 05/05/11 99.967 0.33 313384PQ6 11/23/11 11/29/10 99.731 2.69 313384PS2 11/25/11 11/29/10 99.699 3.01 313384PV5 11/28/11 11/29/10 99.707 2.93 313384PW3 11/29/11 11/29/10 99.696 3.04 313384PX1 11/30/11 11/30/10 99.696 3.04 313384PY9 12/01/11 12/01/10 99.696 3.04 313384PZ6 12/02/11 12/02/10 99.696 3.04 313384QC6 12/05/11 12/08/10 99.668 3.32 313384QD4 12/06/11 12/09/10 99.668 3.32 313384QE2 12/07/11 02/07/11 99.806 1.94 313384QF9 12/08/11 12/08/10 99.665 3.35 313384QG7 12/09/11 12/15/10 99.671 3.29 313384QK8 12/12/11 12/16/10 99.669 3.31 Section III-B (Continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384QL6 12/13/11 12/14/10 99.666 3.34 313384QM4 12/14/11 12/14/10 99.665 3.35 313384QN2 12/15/11 12/17/10 99.677 3.23 313384QP7 12/16/11 12/20/10 99.669 3.31 313384QS1 12/19/11 12/20/10 99.687 3.13 313384QT9 12/20/11 12/20/10 99.686 3.14 313384QU6 12/21/11 02/11/11 99.826 1.74 313384QV4 12/22/11 07/18/11 99.974 0.26 313384QW2 12/23/11 06/21/11 99.954 0.46 313384RA9 12/27/11 02/01/11 99.799 2.01 313384RB7 12/28/11 12/29/10 99.788 2.12 313384RC5 12/29/11 03/29/11 99.863 1.37 313384RD3 12/30/11 01/06/11 99.791 2.09 Section III-C FEDERAL NATIONAL MORTGAGE ASSOCIATION Short-Term Obligations Issued at a Discount and Maturing in 2011 Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588AC9 01/03/11 02/22/10 99.694 3.06 313588AD7 01/04/11 01/22/10 99.682 3.18 313588AE5 01/05/11 01/26/10 99.685 3.15 313588AF2 01/06/11 01/25/10 99.683 3.17 313588AG0 01/07/11 03/04/10 99.717 2.83 313588AK1 01/10/11 03/31/10 99.699 3.01 313588AL9 01/11/11 02/18/10 99.682 3.18 313588AM7 01/12/11 01/22/10 99.675 3.25 313588AN5 01/13/11 01/22/10 99.674 3.26 313588AP0 01/14/11 01/29/10 99.679 3.21 313588AT2 01/18/11 02/02/10 99.669 3.31 313588AU9 01/19/11 02/03/10 99.669 3.31 313588AV7 01/20/11 03/02/10 99.694 3.06 313588AW5 01/21/11 02/04/10 99.669 3.31 313588AZ8 01/24/11 02/17/10 99.659 3.41 313588BA2 01/25/11 02/12/10 99.653 3.47 313588BB0 01/26/11 02/08/10 99.648 3.52 313588BC8 01/27/11 02/02/10 99.661 3.39 313588BD6 01/28/11 02/05/10 99.663 3.37 313588BG9 01/31/11 02/08/10 99.653 3.47 313588BH7 02/01/11 02/19/10 99.634 3.66 313588BJ3 02/02/11 02/24/10 99.647 3.53 313588BK0 02/03/11 02/22/10 99.635 3.65 313588BL8 02/04/11 04/13/10 99.687 3.13 313588BP9 02/07/11 03/03/10 99.659 3.41 313588BQ7 02/08/11 03/22/10 99.641 3.59 313588BR5 02/09/11 03/15/10 99.632 3.68 313588BS3 02/10/11 03/31/10 99.640 3.60 313588BT1 02/11/11 02/19/10 99.623 3.77 313588BW4 02/14/11 02/22/10 99.623 3.77 313588BX2 02/15/11 02/22/10 99.622 3.78 313588BY0 02/16/11 03/02/10 99.639 3.61 313588BZ7 02/17/11 02/24/10 99.622 3.78 313588CA1 02/18/11 03/24/10 99.614 3.86 313588CE3 02/22/11 03/11/10 99.613 3.87 313588CF0 02/23/11 03/18/10 99.601 3.99 313588CG8 02/24/11 03/25/10 99.599 4.01 313588CH6 02/25/11 03/09/10 99.608 3.92 313588CL7 02/28/11 03/09/10 99.595 4.05 313588CM5 03/01/11 03/08/10 99.572 4.28 313588CN3 03/02/11 03/09/10 99.572 4.28 313588CP8 03/03/11 03/09/10 99.571 4.29 313588CQ6 03/04/11 03/15/10 99.548 4.52 313588CT0 03/07/11 03/15/10 99.544 4.56 Section III-C (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588CU7 03/08/11 03/17/10 99.555 4.45 313588CV5 03/09/11 03/16/10 99.543 4.57 313588CW3 03/10/11 03/16/10 99.511 4.89 313588CX1 03/11/11 03/23/10 99.549 4.51 313588DA0 03/14/11 03/29/10 99.543 4.57 313588DB8 03/15/11 03/29/10 99.542 4.58 313588DC6 03/16/11 05/06/10 99.669 3.31 313588DD4 03/17/11 03/29/10 99.539 4.61 313588DE2 03/18/11 06/09/10 99.734 2.66 313588DH5 03/21/11 03/30/10 99.525 4.75 313588DJ1 03/22/11 04/01/10 99.527 4.73 313588DK8 03/23/11 03/29/10 99.531 4.69 313588DL6 03/24/11 06/03/10 99.706 2.94 313588DM4 03/25/11 03/30/10 99.520 4.80 313588DQ5 03/28/11 04/05/10 99.504 4.96 313588DR3 03/29/11 04/05/10 99.503 4.97 313588DS1 03/30/11 04/05/10 99.501 4.99 313588DT9 03/31/11 04/05/10 99.500 5.00 313588DU6 04/01/11 04/12/10 99.518 4.82 313588DX0 04/04/11 04/19/10 99.572 4.28 313588DY8 04/05/11 04/14/10 99.515 4.85 313588DZ5 04/06/11 04/13/10 99.513 4.87 313588EA9 04/07/11 04/13/10 99.511 4.89 313588EB7 04/08/11 07/01/10 99.742 2.58 313588EE1 04/11/11 04/20/10 99.555 4.45 313588EF8 04/12/11 05/05/10 99.535 4.65 313588EG6 04/13/11 05/05/10 99.533 4.67 313588EH4 04/14/11 04/19/10 99.560 4.40 313588EJ0 04/15/11 06/09/10 99.673 3.27 313588EM3 04/18/11 04/26/10 99.524 4.76 313588EN1 04/19/11 04/28/10 99.525 4.75 313588EP6 04/20/11 04/27/10 99.523 4.77 313588EQ4 04/21/11 04/26/10 99.520 4.80 313588ER2 04/22/11 02/14/11 99.978 0.22 313588EU5 04/25/11 05/05/10 99.497 5.03 313588EV3 04/26/11 05/05/10 99.496 5.04 313588EW1 04/27/11 05/04/10 99.523 4.77 313588EX9 04/28/11 05/03/10 99.520 4.80 313588EY7 04/29/11 05/05/10 99.491 5.09 313588FB6 05/02/11 05/10/10 99.504 4.96 313588FC4 05/03/11 05/10/10 99.503 4.97 313588FD2 05/04/11 05/10/10 99.501 4.99 313588FE0 05/05/11 05/10/10 99.500 5.00 313588FF7 05/06/11 05/13/10 99.493 5.07 313588FJ9 05/09/11 06/03/10 99.566 4.34 313588FK6 05/10/11 05/19/10 99.515 4.85 313588FL4 05/11/11 05/17/10 99.511 4.89 313588FM2 05/12/11 06/16/10 99.624 3.76 Section III-C (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588FN0 05/13/11 06/10/10 99.597 4.03 313588FR1 05/16/11 06/03/10 99.547 4.53 313588FS9 05/17/11 08/10/10 99.782 2.18 313588FT7 05/18/11 06/09/10 99.581 4.19 313588FU4 05/19/11 07/21/10 99.706 2.94 313588FV2 05/20/11 07/22/10 99.723 2.77 313588FY6 05/23/11 08/24/10 99.834 1.66 313588FZ3 05/24/11 09/15/10 99.854 1.46 313588GA7 05/25/11 06/07/10 99.540 4.60 313588GB5 05/26/11 06/16/10 99.599 4.01 313588GC3 05/27/11 06/04/10 99.534 4.66 313588GG4 05/31/11 10/01/10 99.879 1.21 313588GH2 06/01/11 06/08/10 99.503 4.97 313588GJ8 06/02/11 06/08/10 99.501 4.99 313588GK5 06/03/11 06/08/10 99.500 5.00 313588GN9 06/06/11 07/01/10 99.613 3.87 313588GP4 06/07/11 07/14/10 99.663 3.37 313588GQ2 06/08/11 10/15/10 99.862 1.38 313588GR0 06/09/11 07/29/10 99.729 2.71 313588GS8 06/10/11 06/18/10 99.564 4.36 313588GV1 06/13/11 06/21/10 99.584 4.16 313588GW9 06/14/11 06/28/10 99.591 4.09 313588GX7 06/15/11 06/23/10 99.584 4.16 313588GY5 06/16/11 09/23/10 99.830 1.70 313588GZ2 06/17/11 06/25/10 99.584 4.16 313588HC2 06/20/11 06/29/10 99.575 4.25 313588HD0 06/21/11 07/01/10 99.576 4.24 313588HE8 06/22/11 07/19/10 99.634 3.66 313588HF5 06/23/11 06/29/10 99.571 4.29 313588HG3 06/24/11 07/15/10 99.627 3.73 313588HK4 06/27/11 07/02/10 99.570 4.30 313588HL2 06/28/11 07/08/10 99.576 4.24 313588HM0 06/29/11 07/12/10 99.619 3.81 313588HN8 06/30/11 07/09/10 99.604 3.96 313588HP3 07/01/11 07/07/10 99.571 4.29 313588HT5 07/05/11 07/13/10 99.603 3.97 313588HU2 07/06/11 07/13/10 99.602 3.98 313588HV0 07/07/11 07/15/10 99.574 4.26 313588HW8 07/08/11 07/13/10 99.600 4.00 313588HZ1 07/11/11 07/19/10 99.584 4.16 313588JA4 07/12/11 07/19/10 99.582 4.18 313588JB2 07/13/11 07/19/10 99.581 4.19 313588JC0 07/14/11 07/19/10 99.590 4.10 313588JD8 07/15/11 07/22/10 99.622 3.78 313588JG1 07/18/11 08/19/10 99.741 2.59 313588JH9 07/19/11 09/03/10 99.770 2.30 313588JJ5 07/20/11 08/05/10 99.690 3.10 313588JK2 07/21/11 07/26/10 99.640 3.60 Section III-C (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588JL0 07/22/11 07/28/10 99.641 3.59 313588JP1 07/25/11 08/23/10 99.739 2.61 313588JR7 07/27/11 08/23/10 99.737 2.63 313588JS5 07/28/11 08/31/10 99.743 2.57 313588JT3 07/29/11 08/12/10 99.708 2.92 313588JW6 08/01/11 08/11/10 99.684 3.16 313588JX4 08/02/11 10/26/10 99.844 1.56 313588JY2 08/03/11 11/02/10 99.855 1.45 313588JZ9 08/04/11 08/11/10 99.682 3.18 313588KA2 08/05/11 08/12/10 99.682 3.18 313588KD6 08/08/11 08/19/10 99.705 2.95 313588KE4 08/09/11 08/26/10 99.710 2.90 313588KF1 08/10/11 08/24/10 99.717 2.83 313588KG9 08/11/11 08/23/10 99.716 2.84 313588KH7 08/12/11 08/20/10 99.712 2.88 313588KL8 08/15/11 08/24/10 99.713 2.87 313588KM6 08/16/11 10/21/10 99.809 1.91 313588KN4 08/17/11 08/26/10 99.703 2.97 313588KP9 08/18/11 09/03/10 99.719 2.81 313588KQ7 08/19/11 08/24/10 99.710 2.90 313588KT1 08/22/11 10/26/10 99.833 1.67 313588KU8 08/23/11 03/23/11 99.936 0.64 313588KV6 08/24/11 02/23/11 99.913 0.87 313588KW4 08/25/11 09/01/10 99.712 2.88 313588KX2 08/26/11 11/23/10 99.854 1.46 313588LA1 08/29/11 09/14/10 99.719 2.81 313588LB9 08/30/11 02/15/11 99.913 0.87 313588LC7 08/31/11 09/14/10 99.717 2.83 313588LD5 09/01/11 09/10/10 99.713 2.87 313588LE3 09/02/11 09/10/10 99.712 2.88 313588LJ2 09/06/11 09/20/10 99.708 2.92 313588LK9 09/07/11 09/21/10 99.708 2.92 313588LL7 09/08/11 10/28/10 99.825 1.75 313588LM5 09/09/11 09/20/10 99.705 2.95 313588LQ6 09/12/11 10/12/10 99.767 2.33 313588LR4 09/13/11 04/08/11 99.943 0.57 313588LS2 09/14/11 10/12/10 99.766 2.34 313588LT0 09/15/11 10/13/10 99.766 2.34 313588LU7 09/16/11 12/21/10 99.843 1.57 313588LX1 09/19/11 05/05/11 99.973 0.27 313588LY9 09/20/11 04/14/11 99.951 0.49 313588LZ6 09/21/11 03/23/11 99.917 0.83 313588MA0 09/22/11 10/08/10 99.758 2.42 313588MB8 09/23/11 10/04/10 99.764 2.36 313588ME2 09/26/11 10/12/10 99.758 2.42 313588MF9 09/27/11 10/12/10 99.757 2.43 313588MG7 09/28/11 10/13/10 99.757 2.43 313588MH5 09/29/11 10/14/10 99.757 2.43 Section III-C (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588MJ1 09/30/11 10/08/10 99.762 2.38 313588MM4 10/03/11 10/18/10 99.747 2.53 313588MN2 10/04/11 01/07/11 99.835 1.65 313588MP7 10/05/11 10/18/10 99.746 2.54 313588MQ5 10/06/11 10/26/10 99.799 2.01 313588MR3 10/07/11 10/15/10 99.742 2.58 313588MV4 10/11/11 10/21/10 99.753 2.47 313588MW2 10/12/11 01/03/11 99.828 1.72 313588MX0 10/13/11 10/18/10 99.740 2.60 313588MY8 10/14/11 12/15/10 99.815 1.85 313588NB7 10/17/11 01/12/11 99.822 1.78 313588NC5 10/18/11 01/13/11 99.822 1.78 313588ND3 10/19/11 02/23/11 99.894 1.06 313588NE1 10/20/11 01/20/11 99.833 1.67 313588NF8 10/21/11 11/02/10 99.794 2.06 313588NJ0 10/24/11 01/13/11 99.819 1.81 313588NK7 10/25/11 04/06/11 99.921 0.79 313588NL5 10/26/11 12/03/10 99.791 2.09 313588NM3 10/27/11 01/28/11 99.849 1.51 313588NN1 10/28/11 12/09/10 99.785 2.15 313588NR2 10/31/11 11/12/10 99.774 2.26 313588NS0 11/01/11 11/15/10 99.776 2.24 313588NT8 11/02/11 01/24/11 99.812 1.88 313588NU5 11/03/11 03/28/11 99.890 1.10 313588NV3 11/04/11 11/12/10 99.772 2.28 313588NY7 11/07/11 12/21/10 99.795 2.05 313588NZ4 11/08/11 01/19/11 99.805 1.95 313588PA7 11/09/11 05/11/11 99.951 0.49 313588PB5 11/10/11 12/08/10 99.766 2.34 313588PF6 11/14/11 01/11/11 99.787 2.13 313588PG4 11/15/11 12/08/10 99.772 2.28 313588PH2 11/16/11 04/29/11 99.933 0.67 313588PJ8 11/17/11 04/27/11 99.926 0.74 313588PK5 11/18/11 12/06/10 99.769 2.31 313588PN9 11/21/11 01/25/11 99.800 2.00 313588PP4 11/22/11 01/19/11 99.795 2.05 313588PQ2 11/23/11 01/24/11 99.798 2.02 313588PS8 11/25/11 01/21/11 99.795 2.05 313588PV1 11/28/11 01/12/11 99.769 2.31 313588PW9 11/29/11 01/20/11 99.791 2.09 313588PX7 11/30/11 01/20/11 99.791 2.09 313588PY5 12/01/11 12/20/10 99.760 2.40 313588PZ2 12/02/11 01/20/11 99.781 2.19 313588QC2 12/05/11 12/14/10 99.753 2.47 313588QD0 12/06/11 12/29/10 99.763 2.37 313588QE8 12/07/11 01/07/11 99.759 2.41 313588QF5 12/08/11 04/20/11 99.897 1.03 313588QG3 12/09/11 12/29/10 99.760 2.40 Section III-C (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588QK4 12/12/11 01/20/11 99.774 2.26 313588QL2 12/13/11 12/29/10 99.758 2.42 313588QM0 12/14/11 04/08/11 99.882 1.18 313588QN8 12/15/11 01/10/11 99.755 2.45 313588QP3 12/16/11 01/13/11 99.757 2.43 313588QS7 12/19/11 01/20/11 99.769 2.31 313588QT5 12/20/11 01/25/11 99.772 2.28 313588QU2 12/21/11 06/06/11 99.934 0.66 313588QV0 12/22/11 06/09/11 99.940 0.60 313588QW8 12/23/11 01/11/11 99.750 2.50 313588RA5 12/27/11 01/25/11 99.767 2.33 313588RB3 12/28/11 01/24/11 99.765 2.35 313588RC1 12/29/11 01/10/11 99.745 2.55 313588RD9 12/30/11 01/20/11 99.761 2.39 Section III-D FEDERAL FARM CREDIT BANKS Short-Term Obligations Issued at a Discount and Maturing in 2011 Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312AC4 01/03/11 01/26/10 99.668 3.33 313312AD2 01/04/11 10/14/10 99.959 0.41 313312AE0 01/05/11 10/13/10 99.958 0.42 313312AF7 01/06/11 06/30/10 99.852 1.48 313312AG5 01/07/11 06/30/10 99.851 1.49 313312AK6 01/10/11 05/04/10 99.770 2.30 313312AL4 01/11/11 01/11/10 99.564 4.36 313312AM2 01/12/11 07/12/10 99.857 1.43 313312AN0 01/13/11 05/13/10 99.769 2.31 313312AP5 01/14/11 01/28/10 99.639 3.61 313312AT7 01/18/11 12/17/10 99.989 0.11 313312AU4 01/19/11 12/22/10 99.991 0.09 313312AW0 01/21/11 01/07/11 99.994 0.06 313312AZ3 01/24/11 07/28/10 99.870 1.30 313312BA7 01/25/11 01/25/10 99.635 3.65 313312BB5 01/26/11 07/30/10 99.880 1.20 313312BC3 01/27/11 07/30/10 99.879 1.21 313312BD1 01/28/11 11/26/10 99.965 0.35 313312BG4 01/31/11 07/30/10 99.877 1.23 313312BH2 02/01/11 02/02/10 99.636 3.64 313312BJ8 02/02/11 02/04/10 99.617 3.83 313312BK5 02/03/11 02/03/10 99.615 3.85 313312BL3 02/04/11 06/17/10 99.787 2.13 313312BP4 02/07/11 02/22/10 99.601 3.99 313312BQ2 02/08/11 01/11/11 99.986 0.14 313312BS8 02/10/11 02/10/10 99.615 3.85 313312BT6 02/11/11 05/10/10 99.708 2.92 313312BW9 02/14/11 06/22/10 99.796 2.04 313312BX7 02/15/11 08/04/10 99.859 1.41 313312BY5 02/16/11 08/04/10 99.858 1.42 313312BZ2 02/17/11 07/20/10 99.829 1.71 313312CA6 02/18/11 07/19/10 99.828 1.72 313312CE8 02/22/11 08/03/10 99.853 1.47 313312CF5 02/23/11 02/02/11 99.990 0.11 313312CH1 02/25/11 08/26/10 99.883 1.17 313312CL2 02/28/11 05/20/10 99.677 3.23 313312CM0 03/01/11 03/03/10 99.617 3.83 313312CN8 03/02/11 08/06/10 99.850 1.50 313312CP3 03/03/11 07/02/10 99.776 2.24 313312CQ1 03/04/11 08/03/10 99.834 1.66 313312CT5 03/07/11 02/03/11 99.984 0.16 313312CU2 03/08/11 08/11/10 99.861 1.39 313312CV0 03/09/11 08/11/10 99.860 1.40 313312CW8 03/10/11 08/12/10 99.854 1.46 Section III-D (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312CX6 03/11/11 04/07/10 99.549 4.51 313312DA5 03/14/11 08/17/10 99.849 1.51 313312DB3 03/15/11 03/15/10 99.524 4.77 313312DC1 03/16/11 08/03/10 99.825 1.75 313312DD9 03/17/11 03/17/10 99.534 4.66 313312DE7 03/18/11 05/04/10 99.611 3.89 313312DH0 03/21/11 04/19/10 99.599 4.01 313312DJ6 03/22/11 08/18/10 99.850 1.50 313312DK3 03/23/11 12/30/10 99.956 0.44 313312DL1 03/24/11 02/03/11 99.974 0.26 313312DM9 03/25/11 08/31/10 99.863 1.37 313312DQ0 03/28/11 09/15/10 99.876 1.24 313312DR8 03/29/11 03/01/11 99.988 0.12 313312DS6 03/30/11 06/07/10 99.663 3.37 313312DT4 03/31/11 06/04/10 99.642 3.58 313312DU1 04/01/11 08/31/10 99.858 1.42 313312DX5 04/04/11 09/17/10 99.873 1.27 313312DY3 04/05/11 07/19/10 99.740 2.60 313312DZ0 04/06/11 07/12/10 99.739 2.61 313312EA4 04/07/11 04/08/10 99.494 5.06 313312EF3 04/12/11 04/12/10 99.483 5.17 313312EG1 04/13/11 09/23/10 99.877 1.23 313312EH9 04/14/11 09/24/10 99.877 1.23 313312EJ5 04/15/11 09/07/10 99.853 1.47 313312EM8 04/18/11 08/03/10 99.778 2.22 313312EN6 04/19/11 09/30/10 99.883 1.17 313312EP1 04/20/11 04/22/10 99.516 4.84 313312EU0 04/25/11 05/24/10 99.571 4.29 313312EV8 04/26/11 08/06/10 99.781 2.19 313312EW6 04/27/11 10/08/10 99.877 1.23 313312EX4 04/28/11 10/08/10 99.877 1.23 313312EY2 04/29/11 08/03/10 99.761 2.39 313312FB1 05/02/11 08/03/10 99.751 2.49 313312FC9 05/03/11 03/08/11 99.978 0.22 313312FD7 05/04/11 08/03/10 99.749 2.51 313312FE5 05/05/11 09/30/10 99.867 1.33 313312FF2 05/06/11 01/21/11 99.942 0.58 313312FJ4 05/09/11 12/30/10 99.928 0.72 313312FK1 05/10/11 02/03/11 99.949 0.51 313312FL9 05/11/11 10/18/10 99.869 1.31 313312FM7 05/12/11 05/12/10 99.473 5.27 313312FN5 05/13/11 10/18/10 99.868 1.32 313312FR6 05/16/11 08/06/10 99.756 2.44 313312FS4 05/17/11 08/06/10 99.755 2.45 313312FT2 05/18/11 05/13/11 99.999 0.01 313312FV7 05/20/11 05/21/10 99.535 4.65 313312FY1 05/23/11 10/20/10 99.863 1.37 313312FZ8 05/24/11 12/31/10 99.920 0.80 Section III-D (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312FV7 05/20/11 05/21/10 99.535 4.65 313312FY1 05/23/11 10/20/10 99.863 1.37 313312FZ8 05/24/11 12/31/10 99.920 0.80 313312GA2 05/25/11 07/19/10 99.673 3.27 313312GB0 05/26/11 10/21/10 99.855 1.45 313312GC8 05/27/11 11/05/10 99.882 1.18 313312GG9 05/31/11 08/24/10 99.806 1.94 313312GH7 06/01/11 11/04/10 99.872 1.28 313312GJ3 06/02/11 08/06/10 99.725 2.75 313312GK0 06/03/11 10/18/10 99.848 1.52 313312GN4 06/06/11 11/08/10 99.878 1.23 313312GP9 06/07/11 06/17/10 99.576 4.24 313312GQ7 06/08/11 06/21/10 99.550 4.50 313312GR5 06/09/11 06/15/10 99.531 4.69 313312GS3 06/10/11 06/22/10 99.559 4.41 313312GV6 06/13/11 10/28/10 99.848 1.52 313312GW4 06/14/11 08/06/10 99.714 2.86 313312GX2 06/15/11 09/07/10 99.789 2.11 313312GY0 06/16/11 06/16/10 99.524 4.77 313312GZ7 06/17/11 03/18/11 99.965 0.35 313312HC7 06/20/11 12/29/10 99.880 1.20 313312HD5 06/21/11 01/06/11 99.899 1.01 313312HE3 06/22/11 11/05/10 99.866 1.34 313312HF0 06/23/11 12/29/10 99.878 1.22 313312HG8 06/24/11 10/18/10 99.834 1.66 313312HK9 06/27/11 10/13/10 99.829 1.71 313312HL7 06/28/11 12/06/10 99.870 1.30 313312HM5 06/29/11 12/06/10 99.869 1.31 313312HN3 06/30/11 09/17/10 99.770 2.30 313312HP8 07/01/11 01/04/11 99.881 1.19 313312HT0 07/05/11 04/19/11 99.979 0.21 313312HU7 07/06/11 12/15/10 99.865 1.35 313312HV5 07/07/11 12/15/10 99.864 1.36 313312HW3 07/08/11 07/08/10 99.534 4.66 313312HZ6 07/11/11 12/27/10 99.853 1.47 313312JA9 07/12/11 04/19/11 99.977 0.23 313312JB7 07/13/11 12/30/10 99.865 1.35 313312JC5 07/14/11 07/14/10 99.554 4.46 313312JH4 07/19/11 12/27/10 99.847 1.53 313312JJ0 07/20/11 03/11/11 99.938 0.62 313312JK7 07/21/11 06/15/11 99.994 0.06 313312JL5 07/22/11 02/18/11 99.914 0.86 313312JP6 07/25/11 10/13/10 99.802 1.98 313312JQ4 07/26/11 12/27/10 99.842 1.58 313312JR2 07/27/11 11/29/10 99.827 1.73 313312JS0 07/28/11 06/30/11 99.997 0.03 313312JT8 07/29/11 10/20/10 99.804 1.96 313312JW1 08/01/11 10/21/10 99.803 1.97 Section III-D (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312JY7 08/03/11 01/05/11 99.860 1.40 313312JZ4 08/04/11 01/04/11 99.847 1.53 313312KA7 08/05/11 09/21/10 99.735 2.65 313312KD1 08/08/11 10/13/10 99.784 2.16 313312KE9 08/09/11 10/21/10 99.789 2.11 313312KF6 08/10/11 08/31/10 99.704 2.96 313312KG4 08/11/11 10/21/10 99.788 2.12 313312KH2 08/12/11 08/12/10 99.645 3.55 313312KL3 08/15/11 01/28/11 99.878 1.22 313312KM1 08/16/11 07/29/11 99.990 0.11 313312KN9 08/17/11 07/20/11 99.997 0.03 313312KP4 08/18/11 12/31/10 99.828 1.73 313312KQ2 08/19/11 06/24/11 99.992 0.08 313312KT6 08/22/11 01/05/11 99.841 1.59 313312KU3 08/23/11 01/05/11 99.840 1.60 313312KV1 08/24/11 01/19/11 99.855 1.45 313312KW9 08/25/11 01/28/11 99.867 1.34 313312KX7 08/26/11 08/27/10 99.666 3.34 313312LA6 08/29/11 01/31/11 99.866 1.34 313312LB4 08/30/11 03/11/11 99.909 0.91 313312LC2 08/31/11 11/30/10 99.787 2.13 313312LD0 09/01/11 10/21/10 99.755 2.45 313312LE8 09/02/11 05/19/11 99.974 0.27 313312LJ7 09/06/11 03/02/11 99.901 0.99 313312LK4 09/07/11 01/31/11 99.860 1.40 313312LL2 09/08/11 09/09/10 99.697 3.03 313312LM0 09/09/11 03/07/11 99.897 1.03 313312LQ1 09/12/11 01/05/11 99.813 1.88 313312LR9 09/13/11 09/13/10 99.665 3.35 313312LS7 09/14/11 01/05/11 99.811 1.89 313312LT5 09/15/11 03/11/11 99.896 1.04 313312LU2 09/16/11 11/05/10 99.790 2.10 313312LX6 09/19/11 11/17/10 99.762 2.38 313312LY4 09/20/11 03/24/11 99.905 0.95 313312LZ1 09/21/11 03/24/11 99.905 0.96 313312MA5 09/22/11 09/22/10 99.676 3.24 313312MB3 09/23/11 09/23/10 99.696 3.04 313312ME7 09/26/11 04/04/11 99.908 0.92 313312MF4 09/27/11 07/20/11 99.989 0.12 313312MG2 09/28/11 04/04/11 99.907 0.93 313312MH0 09/29/11 04/04/11 99.906 0.94 313312MJ6 09/30/11 12/23/10 99.750 2.50 313312MM9 10/03/11 06/30/11 99.982 0.19 313312MN7 10/04/11 04/01/11 99.886 1.14 313312MP2 10/05/11 10/05/10 99.686 3.14 313312MQ0 10/06/11 04/01/11 99.885 1.15 313312MR8 10/07/11 04/07/11 99.903 0.97 313312MV9 10/11/11 04/08/11 99.907 0.93 Section III-D (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312MW7 10/12/11 10/12/10 99.716 2.84 313312MX5 10/13/11 10/13/10 99.716 2.84 313312MY3 10/14/11 10/14/10 99.716 2.84 313312NB2 10/17/11 04/12/11 99.916 0.84 313312NC0 10/18/11 11/04/10 99.758 2.42 313312ND8 10/19/11 04/13/11 99.916 0.84 313312NE6 10/20/11 01/05/11 99.768 2.32 313312NF3 10/21/11 10/22/10 99.697 3.03 313312NJ5 10/24/11 02/11/11 99.830 1.70 313312NK2 10/25/11 01/13/11 99.778 2.22 313312NL0 10/26/11 04/29/11 99.925 0.75 313312NM8 10/27/11 12/28/10 99.739 2.61 313312NN6 10/28/11 04/29/11 99.924 0.76 313312NR7 10/31/11 05/02/11 99.924 0.76 313312NS5 11/01/11 05/04/11 99.930 0.70 313312NT3 11/02/11 11/02/10 99.726 2.74 313312NU0 11/03/11 09/16/11 99.995 0.05 313312NV8 11/04/11 11/04/10 99.726 2.74 313312NY2 11/07/11 01/11/11 99.758 2.42 313312NZ9 11/08/11 11/08/10 99.736 2.64 313312PA2 11/09/11 05/18/11 99.942 0.58 313312PB0 11/10/11 11/12/10 99.718 2.82 313312PF1 11/14/11 01/13/11 99.746 2.54 313312PG9 11/15/11 01/03/11 99.719 2.81 313312PH7 11/16/11 06/20/11 99.950 0.50 313312PJ3 11/17/11 01/05/11 99.728 2.72 313312PK0 11/18/11 11/18/10 99.676 3.24 313312PN4 11/21/11 01/18/11 99.744 2.56 313312PP9 11/22/11 02/11/11 99.795 2.05 313312PQ7 11/23/11 01/11/11 99.728 2.72 313312PS3 11/25/11 09/29/11 99.994 0.06 313312PV6 11/28/11 12/30/10 99.704 2.96 313312PW4 11/29/11 06/13/11 99.934 0.66 313312PX2 11/30/11 01/28/11 99.762 2.38 313312PY0 12/01/11 06/22/11 99.937 0.63 313312PZ7 12/02/11 12/06/10 99.689 3.11 313312QC7 12/05/11 06/29/11 99.947 0.53 313312QD5 12/06/11 01/11/11 99.689 3.11 313312QE3 12/07/11 05/27/11 99.925 0.75 313312QF0 12/08/11 12/08/10 99.665 3.35 313312QG8 12/09/11 10/14/11 99.992 0.08 313312QK9 12/12/11 06/06/11 99.916 0.84 313312QL7 12/13/11 10/17/11 99.991 0.10 313312QN3 12/15/11 10/18/11 99.990 0.10 313312QP8 12/16/11 12/17/10 99.636 3.64 313312QS2 12/19/11 07/11/11 99.955 0.45 313312QT0 12/20/11 10/24/11 99.992 0.08 313312QU7 12/21/11 07/13/11 99.960 0.40 Section III-D (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312QV5 12/22/11 06/24/11 99.935 0.65 313312QW3 12/23/11 12/23/10 99.635 3.65 313312RA0 12/27/11 01/03/11 99.652 3.48 313312RB8 12/28/11 12/28/10 99.635 3.65 313312RC6 12/29/11 01/04/11 99.651 3.49 313312RD4 12/30/11 01/28/11 99.720 2.80 Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312AV2 01/20/11 01/19/11 99.9996 0.004 313312BR0 02/09/11 02/08/11 99.9997 0.003 313312CG3 02/24/11 02/23/11 99.9998 0.002 313312EB2 04/08/11 04/07/11 99.9999 0.001 313312EE6 04/11/11 04/08/11 99.9996 0.004 313312EQ9 04/21/11 04/20/11 99.9999 0.001 313312FU9 05/19/11 05/18/11 99.9999 0.001 313312JD3 07/15/11 07/14/11 99.9999 0.001 313312JG6 07/18/11 07/15/11 99.9997 0.003 313312JX9 08/02/11 08/01/11 99.9999 0.001 313312QM5 12/14/11 12/13/11 99.9999 0.001 Section III-E FEDERAL HOME LOAN MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2011 Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396AC7 01/03/11 01/22/10 99.692 3.08 313396AD5 01/04/11 06/03/10 99.821 1.79 313396AE3 01/05/11 06/25/10 99.876 1.24 313396AG8 01/07/11 06/03/10 99.818 1.82 313396AK9 01/10/11 01/11/10 99.589 4.11 313396AL7 01/11/11 04/06/10 99.704 2.96 313396AM5 01/12/11 04/13/10 99.726 2.74 313396AN3 01/13/11 04/09/10 99.729 2.71 313396AP8 01/14/11 02/24/10 99.676 3.24 313396AT0 01/18/11 02/05/10 99.653 3.47 313396AU7 01/19/11 03/23/10 99.664 3.36 313396AV5 01/20/11 02/23/10 99.660 3.40 313396AW3 01/21/11 01/28/10 99.652 3.48 313396AZ6 01/24/11 07/26/10 99.878 1.22 313396BA0 01/25/11 06/11/10 99.816 1.84 313396BB8 01/26/11 06/28/10 99.847 1.53 313396BC6 01/27/11 06/16/10 99.819 1.81 313396BD4 01/28/11 03/09/10 99.675 3.25 313396BG7 01/31/11 04/13/10 99.699 3.01 313396BH5 02/01/11 03/08/10 99.661 3.39 313396BJ1 02/02/11 08/30/10 99.909 0.91 313396BK8 02/03/11 07/21/10 99.869 1.31 313396BL6 02/04/11 02/04/10 99.645 3.55 313396BP7 02/07/11 08/09/10 99.884 1.16 313396BQ5 02/08/11 07/21/10 99.860 1.40 313396BR3 02/09/11 08/30/10 99.905 0.95 313396BS1 02/10/11 07/22/10 99.859 1.41 313396BT9 02/11/11 02/11/10 99.615 3.85 313396BW2 02/14/11 03/02/10 99.641 3.59 313396BX0 02/15/11 03/04/10 99.662 3.38 313396BY8 02/16/11 03/03/10 99.660 3.40 313396BZ5 02/17/11 10/04/10 99.936 0.64 313396CA9 02/18/11 02/22/10 99.599 4.01 313396CE1 02/22/11 02/24/10 99.597 4.03 313396CF8 02/23/11 03/01/10 99.631 3.69 313396CG6 02/24/11 04/28/10 99.673 3.27 313396CH4 02/25/11 03/04/10 99.632 3.68 313396CL5 02/28/11 04/14/10 99.627 3.73 313396CM3 03/01/11 07/20/10 99.832 1.68 313396CN1 03/02/11 07/20/10 99.831 1.69 313396CP6 03/03/11 07/15/10 99.827 1.73 313396CQ4 03/04/11 07/19/10 99.829 1.71 313396CT8 03/07/11 03/08/10 99.555 4.45 313396CU5 03/08/11 06/01/10 99.704 2.96 Section III-E (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396CV3 03/09/11 08/30/10 99.883 1.17 313396CW1 03/10/11 08/06/10 99.844 1.56 313396CX9 03/11/11 07/19/10 99.817 1.83 313396DA8 03/14/11 09/13/10 99.897 1.03 313396DB6 03/15/11 04/22/10 99.628 3.72 313396DC4 03/16/11 09/01/10 99.886 1.14 313396DD2 03/17/11 07/29/10 99.820 1.80 313396DE0 03/18/11 04/21/10 99.623 3.77 313396DH3 03/21/11 07/29/10 99.811 1.89 313396DJ9 03/22/11 07/26/10 99.821 1.79 313396DK6 03/23/11 08/02/10 99.825 1.75 313396DL4 03/24/11 12/06/10 99.955 0.45 313396DM2 03/25/11 07/28/10 99.813 1.87 313396DQ3 03/28/11 04/07/10 99.507 4.93 313396DS9 03/30/11 07/21/10 99.797 2.03 313396DT7 03/31/11 04/23/10 99.573 4.27 313396DU4 04/01/11 04/29/10 99.579 4.21 313396DX8 04/04/11 10/04/10 99.892 1.08 313396DY6 04/05/11 08/16/10 99.845 1.55 313396DZ3 04/06/11 09/09/10 99.878 1.22 313396EA7 04/07/11 04/16/10 99.565 4.35 313396EB5 04/08/11 04/26/10 99.566 4.34 313396EE9 04/11/11 10/12/10 99.904 0.96 313396EF6 04/12/11 08/19/10 99.843 1.57 313396EG4 04/13/11 09/01/10 99.869 1.31 313396EH2 04/14/11 02/09/11 99.977 0.23 313396EJ8 04/15/11 08/20/10 99.841 1.59 313396EM1 04/18/11 10/13/10 99.901 0.99 313396EN9 04/19/11 06/23/10 99.700 3.00 313396EP4 04/20/11 06/24/10 99.700 3.00 313396EQ2 04/21/11 05/03/10 99.539 4.61 313396ER0 04/22/11 07/01/10 99.713 2.87 313396EU3 04/25/11 10/25/10 99.900 1.00 313396EV1 04/26/11 07/26/10 99.772 2.28 313396EW9 04/27/11 07/26/10 99.771 2.29 313396EX7 04/28/11 07/29/10 99.765 2.35 313396EY5 04/29/11 07/20/10 99.748 2.52 313396FB4 05/02/11 05/18/10 99.544 4.56 313396FC2 05/03/11 05/19/10 99.554 4.46 313396FD0 05/04/11 06/22/10 99.649 3.51 313396FE8 05/05/11 06/03/10 99.580 4.20 313396FF5 05/06/11 06/08/10 99.585 4.15 313396FJ7 05/09/11 11/08/10 99.910 0.90 313396FK4 05/10/11 06/11/10 99.593 4.07 313396FL2 05/11/11 06/17/10 99.617 3.83 313396FM0 05/12/11 05/20/10 99.544 4.56 313396FN8 05/13/11 05/19/10 99.541 4.59 313396FR9 05/16/11 08/03/10 99.762 2.38 Section III-E (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396FS7 05/17/11 06/23/10 99.626 3.74 313396FT5 05/18/11 08/05/10 99.762 2.38 313396FU2 05/19/11 08/26/10 99.815 1.85 313396FV0 05/20/11 07/21/10 99.731 2.69 313396FY4 05/23/11 09/27/10 99.848 1.52 313396FZ1 05/24/11 08/20/10 99.808 1.92 313396GA5 05/25/11 09/01/10 99.815 1.85 313396GB3 05/26/11 06/03/10 99.524 4.76 313396GC1 05/27/11 08/30/10 99.820 1.80 313396GG2 05/31/11 08/19/10 99.802 1.98 313396GH0 06/01/11 06/03/10 99.516 4.84 313396GJ6 06/02/11 07/08/10 99.662 3.38 313396GK3 06/03/11 06/14/10 99.567 4.33 313396GN7 06/06/11 06/16/10 99.556 4.44 313396GP2 06/07/11 06/16/10 99.555 4.45 313396GQ0 06/08/11 06/16/10 99.554 4.46 313396GR8 06/09/11 06/16/10 99.553 4.47 313396GS6 06/10/11 06/16/10 99.551 4.49 313396GV9 06/13/11 07/08/10 99.622 3.78 313396GW7 06/14/11 07/12/10 99.654 3.46 313396GX5 06/15/11 07/07/10 99.619 3.81 313396GY3 06/16/11 11/17/10 99.889 1.11 313396GZ0 06/17/11 07/20/10 99.677 3.23 313396HC0 06/20/11 06/21/10 99.560 4.40 313396HD8 06/21/11 07/08/10 99.613 3.87 313396HE6 06/22/11 08/02/10 99.712 2.88 313396HF3 06/23/11 10/05/10 99.841 1.59 313396HG1 06/24/11 07/12/10 99.634 3.66 313396HK2 06/27/11 12/27/10 99.879 1.21 313396HL0 06/28/11 07/16/10 99.672 3.28 313396HM8 06/29/11 07/01/10 99.556 4.44 313396HN6 06/30/11 07/01/10 99.555 4.45 313396HP1 07/01/11 07/01/10 99.554 4.46 313396HT3 07/05/11 07/22/10 99.669 3.31 313396HU0 07/06/11 08/19/10 99.759 2.41 313396HV8 07/07/11 07/20/10 99.648 3.52 313396HW6 07/08/11 07/19/10 99.646 3.54 313396HZ9 07/11/11 07/28/10 99.662 3.38 313396JA2 07/12/11 09/20/10 99.779 2.21 313396JB0 07/13/11 09/20/10 99.778 2.22 313396JC8 07/14/11 11/12/10 99.878 1.22 313396JD6 07/15/11 08/05/10 99.685 3.15 313396JG9 07/18/11 11/08/10 99.867 1.33 313396JH7 07/19/11 08/04/10 99.680 3.20 313396JJ3 07/20/11 12/07/10 99.863 1.37 313396JK0 07/21/11 12/03/10 99.859 1.41 313396JL8 07/22/11 08/19/10 99.747 2.53 313396JP9 07/25/11 11/29/10 99.822 1.78 Section III-E (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396JQ7 07/26/11 11/24/10 99.851 1.49 313396JR5 07/27/11 11/23/10 99.850 1.50 313396JS3 07/28/11 12/01/10 99.841 1.59 313396JT1 07/29/11 12/02/10 99.841 1.59 313396JW4 08/01/11 01/31/11 99.907 0.93 313396JX2 08/02/11 08/16/10 99.708 2.92 313396JY0 08/03/11 09/28/10 99.785 2.15 313396JZ7 08/04/11 08/18/10 99.708 2.92 313396KA0 08/05/11 08/16/10 99.705 2.95 313396KD4 08/08/11 02/07/11 99.904 0.96 313396KE2 08/09/11 09/02/10 99.725 2.75 313396KF9 08/10/11 09/10/10 99.731 2.69 313396KG7 08/11/11 09/20/10 99.738 2.62 313396KH5 08/12/11 09/01/10 99.722 2.78 313396KL6 08/15/11 08/16/10 99.666 3.34 313396KM4 08/16/11 11/04/10 99.842 1.58 313396KN2 08/17/11 11/10/10 99.852 1.48 313396KP7 08/18/11 11/05/10 99.841 1.59 313396KQ5 08/19/11 11/02/10 99.839 1.61 313396KT9 08/22/11 02/22/11 99.915 0.85 313396KU6 08/23/11 12/21/10 99.837 1.63 313396KV4 08/24/11 01/10/11 99.862 1.38 313396KW2 08/25/11 12/30/10 99.855 1.45 313396KX0 08/26/11 12/22/10 99.835 1.65 313396LA9 08/29/11 08/30/10 99.697 3.03 313396LB7 08/30/11 01/28/11 99.881 1.19 313396LC5 08/31/11 01/18/11 99.875 1.25 313396LD3 09/01/11 09/10/10 99.703 2.97 313396LE1 09/02/11 02/03/11 99.895 1.05 313396LJ0 09/06/11 09/09/10 99.698 3.02 313396LK7 09/07/11 09/09/10 99.698 3.02 313396LL5 09/08/11 09/09/10 99.697 3.03 313396LM3 09/09/11 01/04/11 99.842 1.58 313396LQ4 09/12/11 03/14/11 99.920 0.80 313396LR2 09/13/11 09/23/10 99.714 2.86 313396LS0 09/14/11 09/22/10 99.712 2.88 313396LT8 09/15/11 09/23/10 99.717 2.83 313396LU5 09/16/11 09/23/10 99.714 2.86 313396LX9 09/19/11 03/07/11 99.913 0.87 313396LY7 09/20/11 01/13/11 99.847 1.53 313396LZ4 09/21/11 02/23/11 99.901 0.99 313396MA8 09/22/11 02/11/11 99.895 1.05 313396MB6 09/23/11 01/10/11 99.836 1.64 313396ME0 09/26/11 03/28/11 99.912 0.88 313396MF7 09/27/11 04/20/11 99.947 0.53 313396MG5 09/28/11 10/22/10 99.782 2.18 313396MH3 09/29/11 10/07/10 99.742 2.58 313396MJ9 09/30/11 10/06/10 99.741 2.59 Section III-E (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396MM2 10/03/11 10/06/10 99.739 2.61 313396MN0 10/04/11 10/08/10 99.749 2.51 313396MP5 10/05/11 02/03/11 99.864 1.36 313396MQ3 10/06/11 03/22/11 99.912 0.88 313396MR1 10/07/11 10/19/10 99.745 2.55 313396MV2 10/11/11 04/11/11 99.929 0.71 313396MW0 10/12/11 03/14/11 99.906 0.94 313396MX8 10/13/11 01/21/11 99.831 1.69 313396MY6 10/14/11 12/01/10 99.771 2.29 313396NB5 10/17/11 04/18/11 99.928 0.72 313396NC3 10/18/11 11/05/10 99.788 2.12 313396ND1 10/19/11 10/27/10 99.782 2.18 313396NE9 10/20/11 11/18/10 99.767 2.33 313396NF6 10/21/11 11/03/10 99.795 2.05 313396NJ8 10/24/11 03/17/11 99.902 0.98 313396NK5 10/25/11 01/27/11 99.823 1.77 313396NL3 10/26/11 01/28/11 99.842 1.58 313396NM1 10/27/11 10/28/10 99.767 2.33 313396NN9 10/28/11 02/18/11 99.867 1.33 313396NR0 10/31/11 04/01/11 99.894 1.06 313396NS8 11/01/11 11/24/10 99.744 2.56 313396NT6 11/02/11 11/30/10 99.738 2.62 313396NU3 11/03/11 11/09/10 99.766 2.34 313396NV1 11/04/11 11/29/10 99.745 2.55 313396NY5 11/07/11 05/09/11 99.955 0.45 313396NZ2 11/08/11 04/18/11 99.926 0.74 313396PA5 11/09/11 11/10/10 99.762 2.38 313396PB3 11/10/11 06/10/11 99.958 0.42 313396PF4 11/14/11 11/16/10 99.748 2.52 313396PG2 11/15/11 11/18/10 99.739 2.61 313396PH0 11/16/11 03/17/11 99.892 1.08 313396PJ6 11/17/11 02/22/11 99.844 1.56 313396PK3 11/18/11 03/08/11 99.865 1.35 313396PN7 11/21/11 01/26/11 99.792 2.08 313396PP2 11/22/11 02/23/11 99.849 1.51 313396PQ0 11/23/11 05/05/11 99.950 0.50 313396PS6 11/25/11 07/05/11 99.968 0.32 313396PV9 11/28/11 05/31/11 99.936 0.64 313396PW7 11/29/11 12/01/10 99.647 3.53 313396PX5 11/30/11 12/02/10 99.698 3.02 313396PY3 12/01/11 12/02/10 99.697 3.03 313396PZ0 12/02/11 02/09/11 99.794 2.06 313396QC0 12/05/11 12/06/10 99.717 2.83 313396QD8 12/06/11 12/10/10 99.719 2.81 313396QE6 12/07/11 12/09/10 99.718 2.82 313396QF3 12/08/11 04/18/11 99.909 0.91 313396QG1 12/09/11 12/29/10 99.722 2.78 313396QK2 12/12/11 12/13/10 99.656 3.44 Section III-E (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396QL0 12/13/11 03/09/11 99.845 1.55 313396QM8 12/14/11 03/15/11 99.863 1.37 313396QN6 12/15/11 12/22/10 99.692 3.08 313396QP1 12/16/11 02/17/11 99.799 2.01 313396QS5 12/19/11 06/20/11 99.932 0.68 313396QT3 12/20/11 02/09/11 99.782 2.18 313396QU0 12/21/11 05/04/11 99.917 0.83 313396QV8 12/22/11 01/06/11 99.708 2.92 313396QW6 12/23/11 05/04/11 99.916 0.84 313396RA3 12/27/11 01/11/11 99.728 2.72 313396RB1 12/28/11 03/29/11 99.840 1.60 313396RC9 12/29/11 06/21/11 99.936 0.64 313396RD7 12/30/11 06/20/11 99.936 0.64 Section III-F FEDERAL AGRICULTURAL MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2011 Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KAC4 01/03/11 07/01/10 99.861 1.39 31315KAD2 01/04/11 10/08/10 99.954 0.46 31315KAE0 01/05/11 12/23/10 99.997 0.03 31315KAF7 01/06/11 04/20/10 99.746 2.54 31315KAG5 01/07/11 01/14/10 99.632 3.68 31315KAK6 01/10/11 01/07/11 99.999 0.01 31315KAL4 01/11/11 10/14/10 99.956 0.44 31315KAM2 01/12/11 10/12/10 99.951 0.49 31315KAN0 01/13/11 01/20/10 99.632 3.68 31315KAP5 01/14/11 10/21/10 99.955 0.45 31315KAT7 01/18/11 10/22/10 99.954 0.46 31315KAU4 01/19/11 11/01/10 99.956 0.44 31315KAV2 01/20/11 10/29/10 99.956 0.44 31315KAW0 01/21/11 12/30/10 99.995 0.05 31315KAZ3 01/24/11 12/15/10 99.983 0.17 31315KBA7 01/25/11 12/29/10 99.993 0.08 31315KBB5 01/26/11 11/19/10 99.968 0.32 31315KBC3 01/27/11 01/06/11 99.991 0.09 31315KBD1 01/28/11 01/29/10 99.636 3.64 31315KBG4 01/31/11 01/26/11 99.998 0.02 31315KBH2 02/01/11 08/26/10 99.907 0.93 31315KBJ8 02/02/11 01/11/11 99.989 0.11 31315KBK5 02/03/11 01/10/11 99.988 0.12 31315KBL3 02/04/11 01/06/11 99.986 0.14 31315KBP4 02/07/11 11/10/10 99.953 0.47 31315KBS8 02/10/11 02/17/10 99.602 3.98 31315KBT6 02/11/11 01/19/11 99.989 0.11 31315KBW9 02/14/11 01/20/11 99.987 0.13 31315KBX7 02/15/11 01/18/11 99.985 0.15 31315KBY5 02/16/11 01/27/11 99.990 0.10 31315KBZ2 02/17/11 11/09/10 99.947 0.53 31315KCE8 02/22/11 02/23/10 99.585 4.15 31315KCF5 02/23/11 01/25/11 99.986 0.14 31315KCG3 02/24/11 02/26/10 99.587 4.13 31315KCL2 02/28/11 12/28/10 99.971 0.29 31315KCM0 03/01/11 12/08/10 99.959 0.41 31315KCP3 03/03/11 01/24/11 99.981 0.19 31315KCQ1 03/04/11 12/14/10 99.958 0.42 31315KCT5 03/07/11 02/15/11 99.992 0.08 31315KCW8 03/10/11 12/10/10 99.953 0.48 31315KCX6 03/11/11 02/10/11 99.988 0.12 31315KDA5 03/14/11 02/17/11 99.990 0.10 31315KDB3 03/15/11 06/21/10 99.726 2.74 31315KDC1 03/16/11 12/10/10 99.949 0.51 Section III-F (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KDD9 03/17/11 02/10/11 99.984 0.16 31315KDE7 03/18/11 06/10/10 99.707 2.93 31315KDH0 03/21/11 03/18/11 99.999 0.01 31315KDK3 03/23/11 03/01/11 99.990 0.10 31315KDL1 03/24/11 12/23/10 99.949 0.51 31315KDM9 03/25/11 04/29/10 99.533 4.67 31315KDQ0 03/28/11 06/10/10 99.677 3.23 31315KDS6 03/30/11 06/16/10 99.689 3.11 31315KDT4 03/31/11 03/04/11 99.988 0.12 31315KDU1 04/01/11 05/20/10 99.614 3.86 31315KDX5 04/04/11 12/28/10 99.946 0.54 31315KDY3 04/05/11 03/01/11 99.983 0.17 31315KDZ0 04/06/11 07/09/10 99.729 2.71 31315KEA4 04/07/11 12/29/10 99.945 0.55 31315KEB2 04/08/11 01/31/11 99.966 0.34 31315KEF3 04/12/11 01/12/11 99.950 0.50 31315KEG1 04/13/11 10/04/10 99.883 1.17 31315KEJ5 04/15/11 06/10/10 99.644 3.56 31315KEM8 04/18/11 04/15/11 99.999 0.01 31315KEQ9 04/21/11 01/10/11 99.944 0.56 31315KEX4 04/28/11 01/28/11 99.953 0.48 31315KFB1 05/02/11 03/28/11 99.990 0.10 31315KFC9 05/03/11 02/17/11 99.967 0.33 31315KFD7 05/04/11 03/31/11 99.990 0.10 31315KFE5 05/05/11 02/09/11 99.955 0.45 31315KFF2 05/06/11 02/25/11 99.969 0.31 31315KFK1 05/10/11 04/13/11 99.995 0.05 31315KFM7 05/12/11 02/10/11 99.952 0.48 31315KFN5 05/13/11 04/19/11 99.995 0.05 31315KFR6 05/16/11 04/15/11 99.993 0.07 31315KFY1 05/23/11 04/12/11 99.990 0.10 31315KGA2 05/25/11 05/28/10 99.467 5.33 31315KGB0 05/26/11 04/29/11 99.995 0.05 31315KGC8 05/27/11 05/06/11 99.998 0.02 31315KGG9 05/31/11 07/09/10 99.647 3.53 31315KGH7 06/01/11 09/09/10 99.794 2.06 31315KGJ3 06/02/11 03/01/11 99.956 0.44 31315KGK0 06/03/11 04/28/11 99.992 0.08 31315KGN4 06/06/11 05/05/11 99.996 0.04 31315KGP9 06/07/11 06/09/10 99.456 5.44 31315KGQ7 06/08/11 05/03/11 99.994 0.06 31315KGS3 06/10/11 03/29/11 99.974 0.26 31315KGV6 06/13/11 05/16/11 99.996 0.04 31315KGW4 06/14/11 12/02/10 99.865 1.35 31315KGX2 06/15/11 03/25/11 99.968 0.32 31315KGY0 06/16/11 03/07/11 99.952 0.48 31315KHE3 06/22/11 06/22/10 99.523 4.77 31315KHF0 06/23/11 08/26/10 99.766 2.34 Section III-F (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KHG8 06/24/11 06/25/10 99.535 4.65 31315KHK9 06/27/11 12/30/10 99.881 1.19 31315KHM5 06/29/11 12/27/10 99.882 1.18 31315KHN3 06/30/11 07/09/10 99.575 4.25 31315KHP8 07/01/11 07/01/10 99.523 4.77 31315KHT0 07/05/11 04/01/11 99.958 0.42 31315KHU7 07/06/11 04/04/11 99.972 0.28 31315KHV5 07/07/11 06/08/11 99.994 0.06 31315KJA9 07/12/11 10/20/10 99.809 1.91 31315KJC5 07/14/11 10/21/10 99.808 1.92 31315KJG6 07/18/11 04/20/11 99.973 0.27 31315KJH4 07/19/11 06/15/11 99.992 0.08 31315KJK7 07/21/11 04/12/11 99.967 0.33 31315KJL5 07/22/11 04/25/11 99.973 0.27 31315KJQ4 07/26/11 06/21/11 99.993 0.07 31315KJR2 07/27/11 07/28/10 99.596 4.04 31315KJS0 07/28/11 11/08/10 99.833 1.67 31315KJT8 07/29/11 05/23/11 99.987 0.13 31315KJW1 08/01/11 08/06/10 99.630 3.70 31315KJX9 08/02/11 06/29/11 99.995 0.05 31315KJZ4 08/04/11 07/06/11 99.997 0.03 31315KKA7 08/05/11 07/01/11 99.994 0.06 31315KKD1 08/08/11 06/13/11 99.988 0.12 31315KKE9 08/09/11 05/06/11 99.982 0.18 31315KKG4 08/11/11 05/16/11 99.981 0.19 31315KKH2 08/12/11 07/15/11 99.996 0.04 31315KKL3 08/15/11 05/20/11 99.978 0.22 31315KKM1 08/16/11 06/10/11 99.981 0.19 31315KKN9 08/17/11 07/11/11 99.994 0.06 31315KKP4 08/18/11 06/10/11 99.983 0.17 31315KKQ2 08/19/11 07/15/11 99.995 0.05 31315KKW9 08/25/11 07/20/11 99.995 0.05 31315KKX7 08/26/11 08/03/11 99.994 0.06 31315KLA6 08/29/11 07/27/11 99.994 0.06 31315KLB4 08/30/11 07/28/11 99.994 0.06 31315KMF4 09/27/11 08/31/11 99.996 0.04 31315KMN7 10/04/11 09/08/11 99.995 0.05 31315KMQ0 10/06/11 09/12/11 99.997 0.03 31315KMV9 10/11/11 09/27/11 99.998 0.02 31315KMW7 10/12/11 09/15/11 99.997 0.03 31315KMX5 10/13/11 09/14/11 99.997 0.03 31315KNN6 10/28/11 10/04/11 99.997 0.03 31315KNR7 10/31/11 10/05/11 99.997 0.03 31315KNZ9 11/08/11 09/27/11 99.995 0.05 31315KPB0 11/10/11 10/14/11 99.996 0.04 31315KPG9 11/15/11 10/07/11 99.996 0.04 31315KPH7 11/16/11 10/14/11 99.995 0.05 31315KPN4 11/21/11 10/24/11 99.997 0.03 Section III-F (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KPV6 11/28/11 11/23/11 99.999 0.01 31315KPW4 11/29/11 10/27/11 99.995 0.05 31315KPY0 12/01/11 09/01/11 99.985 0.15 31315KPZ7 12/02/11 09/15/11 99.985 0.15 31315KQF0 12/08/11 09/21/11 99.985 0.15 31315KQL7 12/13/11 11/30/11 99.998 0.02 31315KQM5 12/14/11 09/15/11 99.983 0.17 31315KQN3 12/15/11 09/20/11 99.986 0.14 31315KQT0 12/20/11 09/20/11 99.982 0.18 31315KQU7 12/21/11 09/21/11 99.985 0.15 31315KQV5 12/22/11 09/28/11 99.986 0.14 31315KRA0 12/27/11 09/28/11 99.985 0.15 Section III-F (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KBQ2 02/08/11 02/07/11 99.9997 0.003 31315KBR0 02/09/11 02/08/11 99.9997 0.003 31315KCA6 02/18/11 02/17/11 99.9997 0.003 31315KCH1 02/25/11 02/24/11 99.9998 0.002 31315KCN8 03/02/11 03/01/11 99.9997 0.003 31315KCU2 03/08/11 03/07/11 99.9998 0.002 31315KCV0 03/09/11 03/08/11 99.9998 0.002 31315KDJ6 03/22/11 03/21/11 99.9997 0.003 31315KDR8 03/29/11 03/28/11 99.9999 0.001 31315KEE6 04/11/11 04/08/11 99.9996 0.004 31315KEH9 04/14/11 04/13/11 99.9999 0.001 31315KEN6 04/19/11 04/18/11 99.9999 0.001 31315KEP1 04/20/11 04/19/11 99.9999 0.001 31315KEU0 04/25/11 04/21/11 99.9996 0.004 31315KEV8 04/26/11 04/25/11 99.9999 0.001 31315KEW6 04/27/11 04/26/11 99.9999 0.001 31315KEY2 04/29/11 04/28/11 99.9999 0.001 31315KFJ4 05/09/11 05/06/11 99.9997 0.003 31315KFL9 05/11/11 05/10/11 99.9999 0.001 31315KFS4 05/17/11 05/16/11 99.9999 0.001 31315KFT2 05/18/11 05/17/11 99.9999 0.001 Section III-F (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KFU9 05/19/11 05/18/11 99.9999 0.001 31315KFV7 05/20/11 05/19/11 99.9998 0.002 31315KFZ8 05/24/11 05/23/11 99.9999 0.001 31315KGR5 06/09/11 06/08/11 99.9999 0.001 31315KGZ7 06/17/11 06/16/11 99.9999 0.001 31315KHC7 06/20/11 06/17/11 99.9995 0.005 31315KHD5 06/21/11 06/20/11 99.9999 0.001 31315KHL7 06/28/11 06/27/11 99.9999 0.001 31315KHW3 07/08/11 07/07/11 99.9999 0.001 31315KHZ6 07/11/11 07/08/11 99.9997 0.003 31315KJB7 07/13/11 07/12/11 99.9999 0.001 31315KJD3 07/15/11 07/14/11 99.9999 0.001 31315KJJ0 07/20/11 07/19/11 99.9999 0.001 31315KJP6 07/25/11 07/22/11 99.9997 0.003 31315KJY7 08/03/11 08/02/11 99.9999 0.001 31315KKF6 08/10/11 08/09/11 99.9999 0.001 31315KKT6 08/22/11 08/18/11 99.9996 0.004 31315KKU3 08/23/11 08/22/11 99.9999 0.001 31315KKV1 08/24/11 08/23/11 99.9999 0.001 31315KLC2 08/31/11 08/30/11 99.9999 0.001 31315KLD0 09/01/11 08/31/11 99.9999 0.001 31315KLE8 09/02/11 09/01/11 99.9999 0.001 31315KLJ7 09/06/11 09/02/11 99.9996 0.004 31315KLK4 09/07/11 09/06/11 99.9999 0.001 31315KLL2 09/08/11 09/07/11 99.9999 0.001 31315KLM0 09/09/11 09/08/11 99.9999 0.001 31315KLQ1 09/12/11 09/09/11 99.9997 0.003 31315KLR9 09/13/11 09/12/11 99.9999 0.001 31315KLS7 09/14/11 09/13/11 99.9999 0.001 31315KLT5 09/15/11 09/14/11 99.9999 0.001 31315KLU2 09/16/11 09/15/11 99.9999 0.001 31315KLX6 09/19/11 09/16/11 99.9997 0.003 31315KLY4 09/20/11 09/19/11 99.9999 0.001 31315KLZ1 09/21/11 09/20/11 99.9999 0.001 31315KMA5 09/22/11 09/21/11 99.9999 0.001 31315KMB3 09/23/11 09/22/11 99.9999 0.001 31315KME7 09/26/11 09/23/11 99.9997 0.003 31315KMG2 09/28/11 09/27/11 99.9999 0.001 31315KMH0 09/29/11 09/28/11 99.9999 0.001 31315KMJ6 09/30/11 09/29/11 99.9999 0.001 31315KMM9 10/03/11 09/30/11 99.9997 0.003 31315KMP2 10/05/11 10/04/11 99.9999 0.001 31315KMR8 10/07/11 10/06/11 99.9999 0.001 31315KMY3 10/14/11 10/13/11 99.9999 0.001 31315KNB2 10/17/11 10/14/11 99.9997 0.003 31315KNC0 10/18/11 10/17/11 99.9999 0.001 31315KND8 10/19/11 10/18/11 99.9999 0.001 Section III-F (continued) Discount to be Issue Price Reported as 2011 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KNE6 10/20/11 10/19/11 99.9999 0.001 31315KNF3 10/21/11 10/20/11 99.9999 0.001 31315KNJ5 10/24/11 10/21/11 99.9997 0.003 31315KNK2 10/25/11 10/24/11 99.9999 0.001 31315KNL0 10/26/11 10/25/11 99.9999 0.001 31315KNM8 10/27/11 10/26/11 99.9999 0.001 31315KNS5 11/01/11 10/31/11 99.9999 0.001 31315KNT3 11/02/11 11/01/11 99.9999 0.001 31315KNU0 11/03/11 11/02/11 99.9999 0.001 31315KNV8 11/04/11 11/01/11 99.9996 0.004 31315KNY2 11/07/11 11/04/11 99.9997 0.003 31315KPA2 11/09/11 11/08/11 99.9999 0.001 31315KPF1 11/14/11 11/10/11 99.9996 0.004 31315KPJ3 11/17/11 11/16/11 99.9999 0.001 31315KPK0 11/18/11 11/17/11 99.9999 0.001 31315KPP9 11/22/11 11/21/11 99.9999 0.001 31315KPQ7 11/23/11 11/22/11 99.9999 0.001 31315KPX2 11/30/11 11/29/11 99.9999 0.001 31315KQC7 12/05/11 12/02/11 99.9997 0.003 31315KQD5 12/06/11 12/05/11 99.9999 0.001 31315KQE3 12/07/11 12/06/11 99.9999 0.001 31315KQG8 12/09/11 12/08/11 99.9999 0.001 31315KQK9 12/12/11 12/09/11 99.9997 0.003 118 87 116 119