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 2016 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 2016 1st 2016 2nd 2017 2nd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period 2017 1st Period 2016 2017 ______________ _________ ________ ________ ___________ _______ _________ ________ ________ ________ ______ ______ Fannie Mae 313586RC5 10/09/84 10/09/19 3.200 0.000 658.78 0.190526 0.210791 0.232575 71.43 78.77 Sallie Mae 863871AM1 10/03/84 10/03/22 2.734 0.000 500.53 0.139874 0.154193 0.169512 52.48 57.66 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 2016 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ ABN Amro Bank N.V. 00079FHN5 01/13/05 01/13/20 100.000 VARIES 4.7500 0.133066 0.133162 0.133261 0.133106 0.132948 47.95 47.89 American Medical Systems 02744MAA6 06/27/06 07/01/36 100.000 VARIES 9.1005 0.464313 0.480829 0.497983 0.515917 170.13 182.50 American Medical Systems 02744MAB4 09/21/09 09/15/41 103.658 VARIES 14.0090 0.768246 0.814276 0.863529 0.912693 0.965302 294.95 330.51 Amgen Inc. 031162AK6 03/01/05 03/01/32 72.947 VARIES 4.4729 0.144220 0.147445 0.150743 0.153952 0.157232 53.28 55.62 Anoka CNTY HSG & REDEV 03622CAA3 12/15/10 05/01/17 97.561 8.000 8.5032 18.18 0.012337 0.012861 0.013408 4.60 1.61 Anoka City, MN 03633CAA0 11/30/11 11/01/16 97.000 6.750 7.4901 24.14 0.019102 0.019817 5.86 Ardagh MP Holdings Inc. 03968XAA9 01/26/12 10/15/20* 96.356 9.125 9.7549 12.80 0.010869 0.011399 1.81* Ares Capital Corporation 04010LAK9 07/19/13 01/15/19 98.500 4.375 4.6881 6.23 0.007395 0.007569 0.007746 0.007928 0.008114 2.75 2.88 Republic of Argentina 040114BD1 03/01/99 03/01/29 75.576 8.875 N/A 0.025158 0.025156 0.025152 0.025149 0.025145 9.06 9.05 Republic of Argentina 040114GB0 07/21/00 07/21/30 80.144 10.250 12.8669 28.30 0.011198 0.011919 0.012685 0.013502 0.014370 4.40 4.98 Republic of Argentina 040114GG9 06/19/01 06/19/18 75.375 0.000 N/A 0.715301 0.575262 0.436206 0.290875 0.147112 232.54 128.86 Republic of Argentina 040114GH7 06/19/01 06/19/31 75.250 12.000 N/A 0.600628 0.601595 0.605943 0.603742 0.608257 220.08 220.80 Armstrong Cnty Ind Dev 04233KAB2 07/29/99 08/20/34 6.955 0.000 7.7498 172.93 0.050767 0.052734 0.054778 0.056901 0.059105 19.16 20.67 BRE Properties, Inc. 05564EBM7 04/04/14 01/15/23 94.166 3.375 4.1753 9.96 0.016308 0.016648 0.016996 0.017351 0.017713 6.05 6.30 Banco de Galicia 059538AR9 07/19/16 07/19/26 100.000 VARIES 8.7499 0.243053 0.243660 0.244295 39.37 87.81 Banco Macro S.A. 05963GAA6 12/18/06 12/18/16 100.000 9.750 9.7499 0.270833 0.270833 93.98 Banco Macro S.A. 05963GAB4 12/18/06 12/18/16 100.000 9.750 9.7499 0.270833 0.270833 93.98 Bank of America Corp. 06048WAU4 02/22/10 02/22/17 100.000 VARIES 4.7710 0.134002 0.133662 0.133102 48.06 6.79 Bank of America Corp. 06048WBD1 03/19/10 03/19/20 100.000 VARIES 5.5724 0.157520 0.157379 0.157083 0.156779 0.156531 56.64 56.44 Bank of America Corp. 06048WBN9 04/13/10 04/13/17 100.000 VARIES 5.0917 0.143566 0.142954 0.142206 51.47 14.50 Bank of America Corp. 06048WBQ2 05/03/10 05/03/17 100.000 5.020 5.0199 0.139444 0.139444 0.139444 50.20 17.01 Bank of America Corp. 06048WBT6 05/03/10 05/03/17 100.000 VARIES 4.8505 0.136302 0.135890 0.135321 48.94 16.51 Bank of America Corp. 06048WCB4 05/28/10 05/28/30 100.000 VARIES 5.5513 0.133270 0.133750 0.134242 0.134749 0.135269 48.10 48.45 Bank of America Corp. 06048WCC2 05/28/10 05/28/20 100.000 VARIES 5.2405 0.147847 0.147718 0.147564 0.147407 0.147122 53.19 53.08 Bank of America Corp. 06048WCJ7 06/24/10 06/24/30 100.000 VARIES 5.5091 0.140565 0.140852 0.141146 0.141448 0.141759 50.66 50.87 Bank of America Corp. 06048WCQ1 06/29/10 06/29/20 100.000 VARIES 5.5309 0.156141 0.155998 0.155821 0.155640 0.155315 56.18 56.06 Bank of America Corp. 06048WCS7 07/12/10 07/12/30 100.000 VARIES 5.8002 0.149469 0.149718 0.149974 0.150237 0.150509 53.94 54.13 Bank of America Corp. 06048WCU2 06/28/10 06/28/30 100.000 VARIES 5.8695 0.154407 0.154600 0.154798 0.155003 0.155213 55.62 55.77 Bank of America Corp. 06048WCY4 08/12/10 08/12/30 100.000 VARIES 5.3993 0.138680 0.138929 0.139185 0.139448 0.139718 50.04 50.23 Bank of America Corp. 06048WDG2 08/17/10 08/17/20 100.000 VARIES 2.4229 0.007954 0.008050 0.008148 0.008247 0.008346 2.91 2.98 Bank of America Corp. 06048WDJ6 08/18/10 08/18/17 100.000 VARIES 2.2826 0.007502 0.007588 0.007674 0.007762 2.74 1.76 Bank of America Corp. 06048WDK3 08/25/10 08/25/20 100.000 VARIES 2.3834 0.008228 0.008326 0.008426 0.008526 0.008628 3.00 3.08 Bank of America Corp. 06048WDM9 09/03/10 09/03/20 100.000 VARIES 2.5928 0.013500 0.013675 0.013852 0.014032 0.014214 4.93 5.06 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. 06048WDT4 09/23/10 09/23/30 100.000 VARIES 5.3198 0.137844 0.138065 0.138291 0.138524 0.138762 49.71 49.87 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06048WDU1 09/08/10 09/08/20 100.000 VARIES 2.4733 0.014330 0.014507 0.014687 0.014868 0.015052 5.23 5.36 Bank of America Corp. 06048WDW7 09/28/10 09/28/20 100.000 VARIES 2.6604 0.014858 0.015056 0.015256 0.015459 0.015667 5.42 5.57 Bank of America Corp. 06048WDZ0 09/28/10 09/28/20 100.000 VARIES 2.4632 0.010400 0.010530 0.010659 0.010791 0.010923 3.79 3.89 Bank of America Corp. 06048WEB2 09/28/10 09/28/20 100.000 VARIES 2.6493 0.014840 0.015036 0.015236 0.015437 0.015642 5.41 5.56 Bank of America Corp. 06048WEE6 10/14/10 10/15/30 100.000 VARIES 5.2016 0.131635 0.131923 0.132219 0.132522 0.132833 47.48 47.70 Bank of America Corp. 06048WEJ5 11/19/10 11/19/30 100.000 VARIES 5.6998 0.145611 0.145885 0.146167 0.146456 0.146754 52.49 52.70 Bank of America Corp. 06048WEL0 11/18/10 11/18/20 100.000 VARIES 2.5529 0.013284 0.013454 0.013626 0.013800 0.013976 4.83 4.95 Bank of America Corp. 06048WEP1 11/19/10 11/19/20 100.000 VARIES 2.4291 0.018936 0.019166 0.019399 0.019635 0.019873 6.88 7.05 Bank of America Corp. 06048WEQ9 11/30/10 11/30/20 100.000 VARIES 1.9846 0.009680 0.009777 0.009874 0.009972 0.010070 3.51 3.58 Bank of America Corp. 06048WES5 12/01/10 12/01/20 100.000 VARIES 2.5893 0.009997 0.010127 0.010258 0.010391 0.010525 3.63 3.72 Bank of America Corp. 06048WET3 12/15/10 12/15/30 100.000 VARIES 5.9911 0.150768 0.151098 0.151437 0.151786 0.152146 54.35 54.59 Bank of America Corp. 06048WEX4 12/10/10 12/10/20 100.000 VARIES 2.5961 0.009916 0.010045 0.010175 0.010307 0.010441 3.60 3.69 Bank of America Corp. 06048WEY2 01/13/11 01/13/31 100.000 VARIES 5.1716 0.136190 0.136350 0.136514 0.136682 0.136855 49.11 49.23 Bank of America Corp. 06048WFA3 01/14/11 01/14/21 100.000 VARIES 5.4019 0.149447 0.149495 0.149545 0.149595 0.149647 53.83 53.86 Bank of America Corp. 06048WFC9 01/31/11 01/31/17 100.000 0.000 4.4000 0.148667 0.151937 0.155280 55.11 4.50 Bank of America Corp. 06048WFE5 02/18/11 02/18/21 100.000 VARIES 5.5089 0.152516 0.152557 0.152598 0.152640 0.152684 54.92 54.95 Bank of America Corp. 06048WFG0 02/24/11 02/24/31 100.000 VARIES 5.9293 0.158658 0.158780 0.158905 0.159034 0.159166 57.17 57.26 Bank of America Corp. 06048WFJ4 03/04/11 03/04/31 100.000 VARIES 5.6398 0.149123 0.149278 0.149438 0.149603 0.149772 53.75 53.87 Bank of America Corp. 06048WFK1 02/25/11 02/25/21 100.000 VARIES 5.2649 0.145524 0.145582 0.145641 0.145702 0.145764 52.41 52.46 Bank of America Corp. 06048WFM7 03/11/11 03/11/21 100.000 VARIES 5.0284 0.141854 0.141680 0.141501 0.141318 0.141131 51.00 50.87 Bank of America Corp. 06048WFT2 03/31/11 03/31/21 100.000 VARIES 5.2101 0.145739 0.145659 0.145576 0.145491 0.145404 52.44 52.38 Bank of America Corp. 06048WFU9 03/29/11 03/29/21 100.000 VARIES 2.3129 0.009373 0.009481 0.009591 0.009702 0.009814 3.41 3.49 Bank of America Corp. 06048WFW5 04/12/11 04/12/21 100.000 VARIES 5.3401 0.149104 0.149043 0.148981 0.148917 0.148850 53.66 53.61 Bank of America Corp. 06048WGC8 05/27/11 05/27/31 100.000 VARIES 5.1374 0.133977 0.134165 0.134357 0.134555 0.134757 48.28 48.42 Bank of America Corp. 06048WGE4 06/14/11 06/14/21 100.000 VARIES 2.2369 0.060566 0.060701 0.060837 0.060975 0.061115 21.83 21.93 Bank of America Corp. 06048WGF1 06/16/11 06/16/23 100.000 VARIES 4.8973 0.135875 0.135884 0.135893 0.135903 0.135913 48.92 48.92 Bank of America Corp. 06048WGG9 06/27/11 06/27/31 100.000 VARIES 5.5241 0.144541 0.144726 0.144917 0.145112 0.145314 52.07 52.21 Bank of America Corp. 06048WGN4 07/07/11 07/07/21 100.000 VARIES 5.1061 0.141947 0.141939 0.141931 0.141922 0.141914 51.10 51.09 Bank of America Corp. 06048WGP9 06/28/11 06/28/21 100.000 VARIES 2.3482 0.014722 0.014894 0.015069 0.015246 0.015425 5.33 5.46 Bank of America Corp. 06048WGQ7 07/14/11 07/14/31 100.000 VARIES 5.5581 0.145293 0.145473 0.145658 0.145848 0.146044 52.40 52.54 Bank of America Corp. 06048WGR5 07/14/11 07/14/23 100.000 VARIES 5.1475 0.142360 0.142392 0.142425 0.142459 0.142494 51.27 51.29 Bank of America Corp. 06048WGU8 07/14/11 07/14/26 100.000 VARIES 5.3899 0.143822 0.144022 0.144227 0.144438 0.144654 51.88 52.03 Bank of America Corp. 06048WGZ7 08/15/11 08/15/31 100.000 VARIES 5.2773 0.137606 0.137788 0.137975 0.138167 0.138364 49.62 49.76 Bank of America Corp. 06048WHA1 08/15/11 08/15/23 100.000 VARIES 4.7456 0.131410 0.131431 0.131454 0.131476 0.131499 47.32 47.33 Bank of America Corp. 06048WHF0 08/26/11 08/26/31 100.000 VARIES 5.0293 0.130218 0.130414 0.130616 0.130822 0.131034 46.96 47.11 Bank of America Corp. 06048WHN3 09/30/11 09/30/31 100.000 VARIES 5.3141 0.137266 0.137475 0.137690 0.137910 0.138137 49.49 49.65 Bank of America Corp. 06048WJA9 11/04/11 11/04/31 100.000 VARIES 5.9879 0.157133 0.157309 0.157489 0.157676 0.157867 56.62 56.75 Bank of America Corp. 06048WKG4 01/31/12 01/31/32 100.000 VARIES 5.8092 0.153537 0.153682 0.153832 0.153985 0.154144 55.34 55.45 Bank of America Corp. 06048WKR0 02/23/12 02/23/32 100.000 VARIES 5.1903 0.141754 0.141801 0.141850 0.141900 0.141951 51.05 51.09 Bank of America Corp. 06048WKU3 03/08/12 03/08/32 100.000 VARIES 5.6026 0.149243 0.149363 0.149486 0.149613 0.149744 53.78 53.87 Bank of America Corp. 06048WLF5 03/30/12 03/30/32 100.000 VARIES 5.3816 0.145846 0.145916 0.145988 0.146062 0.146138 52.53 52.58 Bank of America Corp. 06048WLN8 04/16/12 04/16/32 100.000 VARIES 5.1652 0.137037 0.137163 0.137292 0.137425 0.137561 49.38 49.47 Bank of America Corp. 06048WLP3 04/27/12 04/27/16 100.000 VARIES 2.7773 0.022119 2.57 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06048WLQ1 04/16/12 04/16/30 100.000 VARIES 5.4873 0.145774 0.145927 0.146085 0.146246 0.146412 52.53 52.64 Bank of America Corp. 06048WLX6 05/04/12 05/04/32 100.000 VARIES 5.6985 0.150086 0.150239 0.150396 0.150558 0.150725 54.08 54.19 Bank of America Corp. 06048WLY4 05/03/12 05/03/16 100.000 VARIES 2.6957 0.019892 2.43 Bank of America Corp. 06048WME7 05/18/12 05/18/16 100.000 VARIES 2.4625 0.013516 1.85 Bank of America Corp. 06048WMF4 05/17/12 05/17/17 100.000 VARIES 2.0467 0.015540 0.015700 0.015860 5.64 2.16 Bank of America Corp. 06048WMN7 06/15/12 06/15/16 100.000 VARIES 3.0325 0.022316 3.66 Bank of America Corp. 06048WMT4 06/28/12 06/28/16 100.000 VARIES 2.6529 0.021737 3.85 Bank of America Corp. 06048WNA4 08/22/12 08/22/19 100.000 VARIES 2.0565 0.009613 0.009712 0.009812 0.009913 0.010015 3.50 3.58 Bank of America Corp. 06048WNB2 08/22/12 08/22/18 100.000 0.000 3.2065 0.097988 0.099559 0.101156 0.102777 0.104425 35.97 37.13 Bank of America Corp. 06048WNH9 11/09/12 11/09/22 100.000 VARIES 1.6065 0.008781 0.008852 0.008923 0.008994 0.009066 3.18 3.23 Bank of America Corp. 06048WNK2 12/10/12 12/10/22 100.000 VARIES 1.4138 0.037543 0.037661 0.037780 0.037899 0.038020 13.54 13.63 Bank of America Corp. 06048WNZ9 07/11/13 07/11/33 100.000 VARIES 5.0043 0.131866 0.131991 0.132118 0.132249 0.132383 47.54 47.63 Bank of America Corp. 06048WPB0 08/06/13 08/06/33 100.000 VARIES 4.8452 0.127802 0.127922 0.128045 0.128172 0.128301 46.07 46.16 Bank of America Corp. 06048WPD6 08/30/13 08/30/33 100.000 VARIES 4.9958 0.129808 0.129924 0.130759 0.130167 0.131009 47.65 47.65 Bank of America Corp. 06048WPE4 09/23/13 09/23/33 100.000 VARIES 4.8734 0.128249 0.128375 0.128504 0.128636 0.128772 46.22 46.31 Bank of America Corp. 06048WPF1 10/10/13 10/10/33 100.000 VARIES 4.7033 0.123883 0.124005 0.124129 0.124257 0.124387 44.64 44.73 Bank of America Corp. 06048WPJ3 12/23/13 12/23/33 100.000 VARIES 4.8648 0.128344 0.128464 0.128587 0.128713 0.128842 46.23 46.32 Bank of America Corp. 06048WPM6 02/28/14 02/29/24 100.000 VARIES 3.7878 0.099846 0.098971 0.100829 0.099403 0.101277 36.50 36.60 Bank of America Corp. 06048WPN4 03/20/14 03/20/34 100.000 VARIES 4.4526 0.116866 0.116987 0.117110 0.117236 0.117365 42.12 42.21 Bank of America Corp. 06048WPP9 07/03/14 07/03/17 100.000 0.000 1.1927 0.033528 0.033728 0.033929 0.034132 12.18 6.21 Bank of America Corp. 06048WQJ2 02/20/15 02/20/18 109.390 0.250 1.4839 0.045376 0.045661 0.045948 0.046238 0.046529 16.46 16.67 Bank of America Corp. 06048WRU6 09/30/15 09/30/30 100.000 VARIES 2.8047 0.020409 0.019943 0.019471 0.018992 0.018507 7.18 6.84 Bank of America Corp. 06048WRV4 10/30/15 10/30/25 100.000 VARIES 2.4485 0.009959 0.009707 0.009452 0.009194 0.008932 3.51 3.32 Bank of America Corp. 06048WSA9 11/13/15 11/13/45* 100.000 0.000 5.0560 0.140447 0.143997 44.46* Bank of America Corp. 06050R122 04/01/11 03/29/16 100.000 0.000 3.4400 0.111387 9.80 Bank of America Corp. 06050R197 04/01/11 03/29/16 100.000 0.000 3.4499 0.111758 9.83 Bank of America Corp. 06050R205 04/01/11 04/04/17 100.000 3.958 3.9579 0.109944 0.109944 0.109944 39.58 10.22 Bank of America Corp. 06050R296 05/05/11 04/29/16 100.000 0.000 3.4948 0.113392 13.38 Bank of America Corp. 06050R403 05/05/11 05/05/17 100.000 3.979 3.9789 0.110528 0.110528 0.110528 39.79 13.71 Bank of America Corp. 06050R544 06/03/11 05/27/16 100.000 0.000 3.0781 0.098056 14.32 Bank of America Corp. 06050R585 06/03/11 06/01/16 100.000 0.000 3.1878 0.102077 15.31 Bank of America Corp. 06050R718 07/06/11 06/24/16 100.000 0.000 3.3893 0.109400 18.93 Bank of America Corp. 06050R783 07/01/11 06/30/17 100.000 3.855 3.8549 0.105907 0.104755 0.106492 38.55 19.17 Bank of America Corp. 06050R833 07/06/11 06/28/16 100.000 0.000 3.4408 0.111355 19.71 Bank of America Corp. 06051N112 07/01/11 06/30/17 100.000 0.000 3.8314 0.124852 0.125861 0.130398 45.89 23.47 Bank of America Corp. 06051N153 08/04/11 07/28/17 100.000 0.000 3.7886 0.122213 0.124528 0.126887 0.129291 45.13 26.70 Bank of America Corp. 06051N179 08/04/11 08/01/16 100.000 0.000 3.3768 0.107217 0.109027 22.84 Bank of America Corp. 06051N427 09/16/11 09/29/17 100.000 0.000 4.4513 0.147695 0.150983 0.154343 0.157778 54.37 41.98 Bank of America Corp. 06051N443 09/16/11 09/01/16 100.000 0.000 4.1772 0.136667 0.139521 33.31 Bank of America Corp. 06051N518 10/06/11 09/29/17 100.000 0.000 5.1703 0.175982 0.180532 0.185199 0.189986 65.02 50.50 Bank of America Corp. 06051N658 11/03/11 10/27/17 100.000 0.000 4.7610 0.159515 0.163313 0.167200 0.171181 58.60 50.21 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06051P273 01/11/12 12/23/16 100.000 0.000 5.0677 0.171546 0.175893 61.17 Bank of America Corp. 06051P448 02/02/12 01/27/17 100.000 0.000 4.0038 0.127702 0.130258 0.132866 47.23 3.45 Bank of America Corp. 06051P513 03/01/12 02/24/17 100.000 0.000 3.8487 0.122081 0.124430 0.126825 44.97 6.72 Bank of America Corp. 06051P521 03/01/12 02/23/17 100.000 0.000 3.8617 0.122534 0.124900 0.127312 45.15 6.62 Bank of America Corp. 06051P760 04/05/12 04/02/18 100.000 0.000 3.7915 0.120081 0.122357 0.124677 0.127041 0.129449 44.05 45.73 Bank of America Corp. 06051R345 07/06/12 06/29/18 100.000 0.000 3.5614 0.111864 0.113856 0.115884 0.117947 0.120048 40.64 42.10 Bank of America Corp. 06051R527 08/02/12 07/27/18 100.000 0.000 3.0742 0.093541 0.094978 0.096438 0.097921 0.099426 34.38 35.44 Bank of America Corp. 06051R774 05/03/12 04/27/18 100.000 0.000 3.9751 0.126650 0.129167 0.131735 0.134353 0.137024 46.37 48.23 Bank of America Corp. 06051R881 06/01/12 05/25/18 100.000 0.000 4.1954 0.134676 0.137501 0.140385 0.143330 0.146337 49.20 51.28 Bank of America Corp. 06052K703 10/01/10 09/30/16 100.000 4.040 4.0399 0.110383 0.110383 30.13 Bank of America Corp. 06052R120 11/04/10 11/04/16 100.000 3.694 3.6939 0.102611 0.102611 31.09 Bank of America Corp. 06052R278 12/01/10 12/01/16 100.000 4.030 4.0299 0.111944 0.111944 36.94 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 0.130207 3.65 Bank of America Corp. 06052R575 02/04/11 02/02/16 100.000 0.000 3.9799 0.131975 4.09 Bank of America Corp. 06052R625 01/18/11 01/18/23* 100.000 5.240 5.2399 0.145556 0.145556 2.62* Bank of America Corp. 06052R633 02/04/11 02/02/16 100.000 0.000 3.7599 0.123479 3.83 Bank of America Corp. 06052R658 01/31/11 01/31/23* 100.000 5.390 5.3899 0.149722 4.34* Bank of America Corp. 06052R666 02/03/11 02/02/18 100.000 0.000 4.4999 0.152693 0.156128 0.159641 0.163233 0.166906 56.62 59.20 Bank of America Corp. 06052R757 03/04/11 02/26/16 100.000 0.000 3.7898 0.124548 6.85 Bank of America Corp. 06052R781 02/17/11 02/17/23* 100.000 5.630 5.6299 0.156389 7.19* Bank of America Corp. 06052R807 02/17/11 02/17/16 100.000 4.091 4.0909 0.113639 5.23 Bank of America Corp. 06052R872 03/04/11 03/04/16 100.000 3.673 3.6729 0.102028 6.43 Bank of America Corp. 06053D195 09/07/12 08/31/18 100.000 0.000 2.8935 0.086600 0.086898 0.089616 0.089430 0.092228 32.12 33.00 Bank of America Corp. 06053D559 11/02/12 10/26/18 100.000 0.000 2.2130 0.065644 0.066370 0.067105 0.067847 0.068598 23.86 24.39 Bank of America Corp. 06053D872 01/10/13 12/26/18 100.000 0.000 2.0975 0.061980 0.062630 0.063287 0.063951 0.064622 22.44 22.91 Bank of America Corp. 06053E219 01/31/13 02/02/16 100.000 0.000 1.2331 0.035325 1.10 Bank of America Corp. 06053E391 02/28/13 02/22/19 100.000 0.000 2.1319 0.062417 0.063083 0.063755 0.064435 0.065122 22.76 23.25 Bank of America Corp. 06053E599 04/05/13 03/29/19 100.000 0.000 2.2115 0.064880 0.065597 0.066323 0.067056 0.067797 23.62 24.14 Bank of America Corp. 06053E755 06/06/13 05/31/19 100.000 0.000 2.3275 0.068480 0.069277 0.070083 0.070899 0.071724 24.85 25.43 Bank of America Corp. 06053E888 06/20/13 06/26/20 100.000 0.000 3.0532 0.091535 0.092933 0.094351 0.095792 0.097254 33.22 34.24 Bank of America Corp. 06053F638 10/04/13 09/24/19 100.000 0.000 2.9627 0.087214 0.088506 0.089817 0.091147 0.092497 31.88 32.83 Bank of America Corp. 06053M385 07/31/14 07/29/16 100.000 0.000 0.7052 0.019728 0.019798 4.12 Bank of America Corp. 06053M427 09/05/14 08/27/21 100.000 0.000 2.9178 0.083379 0.084596 0.085830 0.087082 0.088353 30.54 31.44 Bank of America Corp. 06053M518 10/02/14 09/24/21 100.000 0.000 3.1046 0.088877 0.090257 0.091658 0.093081 0.094526 32.51 33.53 Bank of America Corp. 06053M534 11/06/14 10/29/21 100.000 0.000 2.9615 0.084673 0.085927 0.087199 0.088490 0.089801 30.86 31.79 Bank of America Corp. 06053M674 12/03/14 11/24/21 100.000 0.000 2.8707 0.081992 0.083168 0.084362 0.085573 0.086801 29.82 30.68 Bank of America Corp. 06053M864 02/12/15 02/26/27 100.000 0.000 3.3491 0.094714 0.096300 0.097913 0.099553 0.101220 34.78 35.96 Bank of America Corp. 06053U106 02/05/15 01/28/22 100.000 0.000 2.5377 0.071352 0.072257 0.073174 0.074102 0.075043 26.13 26.80 Bank of America Corp. 06053W169 04/02/15 03/25/22 100.000 0.000 2.7072 0.076179 0.077210 0.078255 0.079315 0.080388 27.81 28.57 Bank of America Corp. 06053W359 06/04/15 05/27/22 100.000 0.000 2.8843 0.081231 0.082402 0.083591 0.084796 0.086019 29.53 30.39 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06053W458 07/02/15 06/24/22 100.000 0.000 3.1925 0.090034 0.091471 0.092931 0.094415 0.095922 32.69 33.74 Bank of America Corp. 06053W631 08/10/15 08/27/21 100.000 0.000 2.7829 0.077406 0.078483 0.079575 0.080683 0.081805 28.33 29.12 Bank of America Corp. 06053W649 08/10/15 08/26/22 100.000 0.000 3.0324 0.084349 0.085628 0.086926 0.088244 0.089582 30.92 31.86 Bank of America Corp. 06053W730 10/01/15 09/30/22 100.000 0.000 2.9205 0.079797 0.080956 0.082590 0.083338 0.085019 29.68 30.51 Bank of America Corp. 06053W888 10/23/15 10/28/22 100.000 0.000 2.9888 0.083058 0.084299 0.085559 0.086838 0.088136 30.28 31.19 Bank of America Corp. 06053Y330 12/02/15 11/30/18 100.000 0.000 1.8674 0.051023 0.051494 0.052260 0.052460 0.053241 18.80 19.14 Bank of Montreal 06366RVF9 07/08/14 09/30/16 100.000 0.000 0.8381 0.023522 0.023621 6.35 Barclays Bank PLC 067387HP8 02/28/14 02/29/20 100.000 0.000 2.6300 0.075142 0.075302 0.077557 0.077296 0.079610 27.83 28.51 Barclays Bank PLC 067387HW3 03/28/14 03/28/24 100.000 0.000 3.5500 0.103957 0.105802 0.107680 0.109591 0.111537 38.10 39.47 Barclays Bank PLC 067387HZ6 04/10/14 04/10/24 100.000 0.000 3.6100 0.105806 0.107716 0.109661 0.111640 0.113655 38.75 40.16 Barclays Bank PLC 06738CZX0 03/09/07 03/09/17 100.000 0.000 5.5899 0.248103 0.255038 0.262166 92.14 17.83 Barclays Bank PLC 06738JFL3 11/12/10 11/12/22 100.000 VARIES 3.8890 0.110046 0.110228 0.110414 0.110400 0.110386 39.67 39.75 Barclays Bank PLC 06738JHK3 09/30/10 09/30/20 100.000 VARIES 4.0513 0.116478 0.116406 0.116333 0.116040 0.115741 41.91 41.77 Barclays Bank PLC 06738JHL1 10/15/10 10/15/22 100.000 VARIES 4.2146 0.121907 0.122129 0.122356 0.122114 0.121867 43.96 43.97 Barclays Bank PLC 06738JJR6 10/07/10 10/07/20 100.000 VARIES 4.0416 0.116864 0.116737 0.116608 0.116243 0.115870 42.03 41.85 Barclays Bank PLC 06738JL28 03/24/11 03/24/21 100.000 VARIES 4.4415 0.126057 0.126389 0.126574 0.126764 0.126957 45.49 45.64 Barclays Bank PLC 06738JLF9 11/04/10 11/04/25 100.000 VARIES 4.5900 0.132310 0.132713 0.133125 0.133547 0.133602 47.75 48.03 Barclays Bank PLC 06738JLS1 10/21/10 10/21/20 100.000 VARIES 4.0316 0.116565 0.116452 0.116336 0.115987 0.115630 41.93 41.77 Barclays Bank PLC 06738JLX0 10/07/10 10/07/22 100.000 VARIES 4.2148 0.121951 0.122177 0.122407 0.122163 0.121914 43.98 43.98 Barclays Bank PLC 06738K3N9 04/25/12 04/25/17 100.000 0.000 3.1700 0.098305 0.099863 0.101446 35.88 11.56 Barclays Bank PLC 06738K3V1 05/16/12 05/16/16 100.000 0.000 2.8499 0.087409 11.80 Barclays Bank PLC 06738K5P2 05/29/12 11/29/16 100.000 VARIES 1.8279 0.050613 0.050695 16.62 Barclays Bank PLC 06738KAM3 02/25/11 02/25/31 100.000 VARIES 5.5650 0.123147 0.122208 0.122786 0.123380 0.123991 44.12 44.46 Barclays Bank PLC 06738KAP6 02/02/11 02/02/16 100.000 1.000 3.3894 0.104990 3.25 Barclays Bank PLC 06738KBW0 02/09/11 02/09/21 100.000 VARIES 4.8413 0.137157 0.137147 0.137013 0.136876 0.136649 49.35 49.25 Barclays Bank PLC 06738KCN9 03/16/11 03/16/21 100.000 VARIES 4.8210 0.136519 0.136538 0.136421 0.136301 0.136087 49.14 49.05 Barclays Bank PLC 06738KEA5 03/09/11 03/09/21 100.000 VARIES 5.1730 0.154419 0.153964 0.153498 0.152733 0.151949 55.41 54.95 Barclays Bank PLC 06738KEM9 04/08/11 04/08/21 100.000 VARIES 5.0806 0.144349 0.144472 0.144366 0.144257 0.143956 51.99 51.92 Barclays Bank PLC 06738KGC9 04/07/11 04/12/16 100.000 0.000 3.5299 0.114832 11.60 Barclays Bank PLC 06738KGD7 04/07/11 04/12/17 100.000 0.000 3.8999 0.128966 0.131481 0.134044 47.28 13.54 Barclays Bank PLC 06738KHK0 05/12/11 05/12/21 100.000 VARIES 4.6808 0.132362 0.132378 0.132303 0.132226 0.132046 47.65 47.60 Barclays Bank PLC 06738KK75 01/25/12 01/25/19 100.000 0.000 4.4000 0.142335 0.145467 0.148667 0.151938 0.155280 52.79 55.14 Barclays Bank PLC 06738KLP4 06/28/11 06/28/23 100.000 VARIES 4.8716 0.139863 0.140017 0.139958 0.139896 0.139674 50.38 50.37 Barclays Bank PLC 06738KMV0 07/28/11 07/28/21 100.000 VARIES 4.8122 0.137893 0.137798 0.137701 0.137448 0.137190 49.59 49.45 Barclays Bank PLC 06738KN56 02/29/12 02/28/18 100.000 0.000 3.1970 0.098143 0.098628 0.101866 0.101807 0.105149 36.47 37.57 Barclays Bank PLC 06738KN72 02/29/12 02/29/16 100.000 0.000 2.5881 0.077801 4.59 Barclays Bank PLC 06738KN98 02/29/12 02/28/22 100.000 VARIES 4.0103 0.110696 0.109670 0.111537 0.109768 0.111555 40.43 40.39 Barclays Bank PLC 06738KNF4 07/29/11 07/31/17 100.000 0.000 3.5900 0.114999 0.117063 0.119165 0.121304 42.40 25.29 Barclays Bank PLC 06738KNJ6 07/29/11 07/29/16 100.000 0.000 3.2800 0.103775 0.105477 21.89 Barclays Bank PLC 06738KQ53 02/14/12 02/14/22 100.000 0.500 4.1087 0.129467 0.131841 0.134264 0.136737 0.139261 47.69 49.46 Barclays Bank PLC 06738KQF1 08/31/11 08/31/17 100.000 0.000 3.9281 0.126084 0.127163 0.131810 0.132207 47.05 31.97 Barclays Bank PLC 06738KQS3 08/31/11 08/31/31 100.000 VARIES 6.1335 0.142052 0.139291 0.140323 0.139063 0.142445 51.27 51.25 Barclays Bank PLC 06738KQT1 08/05/11 08/05/21 100.000 VARIES 4.6123 0.133423 0.133617 0.133816 0.133672 0.133526 48.12 48.11 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06738KQU8 08/03/11 08/03/16 100.000 0.000 3.0700 0.096331 0.097809 20.69 Barclays Bank PLC 06738KR78 03/16/12 03/30/17 100.000 0.000 4.4000 0.142580 0.145716 0.148922 52.47 13.25 Barclays Bank PLC 06738KRA1 09/08/11 09/08/16 100.000 0.000 3.5399 0.113148 0.115151 28.31 Barclays Bank PLC 06738KTB7 09/30/11 09/30/31 100.000 VARIES 5.4569 0.135506 0.134875 0.134226 0.135188 0.136177 48.55 48.67 Barclays Bank PLC 06738KU33 03/06/12 03/06/17 100.000 0.000 2.8900 0.088760 0.090043 0.091344 32.48 5.94 Barclays Bank PLC 06738KUD1 09/30/11 09/29/17 100.000 0.000 3.9799 0.129416 0.131992 0.134618 0.137297 47.53 36.56 Barclays Bank PLC 06738KUK5 09/16/11 09/16/16 100.000 VARIES 3.6494 0.100598 0.100996 25.72 Barclays Bank PLC 06738KUQ2 10/12/11 10/12/16 100.000 0.000 3.6299 0.116436 0.118549 33.10 Barclays Bank PLC 06738KVE8 09/29/11 09/30/31 100.000 VARIES 5.2986 0.133535 0.133142 0.132738 0.133534 0.134351 47.93 48.08 Barclays Bank PLC 06738KW98 05/09/12 04/14/17 100.000 0.000 2.0400 0.060754 0.061373 0.061999 22.08 6.39 Barclays Bank PLC 06738KWV9 09/30/11 10/03/17 100.000 0.000 3.9899 0.129851 0.132442 0.135084 0.137779 47.67 37.23 Barclays Bank PLC 06738KWX5 10/31/11 11/01/31 100.000 VARIES 4.5597 0.114437 0.113436 0.115569 0.114637 0.117526 41.77 42.13 Barclays Bank PLC 06738KXV8 10/28/11 10/28/16 100.000 VARIES 3.8804 0.107512 0.107668 31.96 Barclays Bank PLC 06738KYG0 12/01/11 12/01/16 100.000 0.000 4.3799 0.144689 0.147857 48.32 Barclays Bank PLC 06739FJA0 12/18/15 12/19/22 100.000 0.125 2.3108 0.064194 0.064896 0.065605 0.066323 0.067049 23.25 23.76 Barclays Bank PLC 06739FJF9 03/11/16 03/13/23 100.000 0.125 2.2607 0.062799 0.062807 0.063477 0.064156 0.064842 18.29 23.12 Barclays Bank PLC 06739JYA5 09/30/09 09/30/19 100.000 VARIES 5.0571 0.131814 0.132668 0.133544 0.134398 0.135274 47.76 48.39 Barclays Bank PLC 06740AC49 09/30/13 09/27/19 100.000 0.000 2.5799 0.074591 0.074732 0.076950 0.076672 0.078948 27.55 28.23 Barclays Bank PLC 06740AE21 10/31/13 10/30/19 100.000 0.000 2.5111 0.072116 0.073021 0.074344 0.074867 0.076223 26.70 27.35 Barclays Bank PLC 06740AF38 11/29/13 11/26/19 100.000 0.000 2.5599 0.073983 0.074115 0.076308 0.076025 0.078274 27.19 27.87 Barclays Bank PLC 06740AH69 12/30/13 12/27/19 100.000 0.000 2.8198 0.081466 0.082614 0.084240 0.084960 0.086632 30.04 30.89 Barclays Bank PLC 06740AL80 02/28/14 02/27/20 100.000 0.000 2.6775 0.075715 0.077572 0.077756 0.080103 0.079852 28.31 29.07 Barclays Bank PLC 06740ASJ9 02/29/12 02/28/22 100.000 VARIES 3.2528 0.092058 0.091681 0.093474 0.092224 0.093716 33.80 33.92 Barclays Bank PLC 06740AWF2 10/31/12 10/30/19 100.000 0.000 2.2608 0.066078 0.066825 0.067952 0.068345 0.069497 24.44 24.97 Barclays Bank PLC 06740AYA1 02/28/13 02/27/20 100.000 0.000 2.1582 0.061879 0.063234 0.063222 0.064963 0.064594 23.06 23.57 Barclays Bank PLC 06740AYT0 04/30/13 04/29/20 100.000 0.000 2.0499 0.058938 0.059542 0.060483 0.060769 0.061729 21.78 22.21 Barclays Bank PLC 06740AZZ5 07/31/13 07/30/19 100.000 0.000 2.6011 0.074428 0.076224 0.076376 0.078652 0.078376 27.87 28.60 Barclays Bank PLC 06740D558 02/04/15 08/03/22 100.000 0.000 2.2499 0.063199 0.063910 0.064629 0.065356 0.066091 23.09 23.61 Barclays Bank PLC 06740H286 05/21/10 05/24/17 100.000 2.500 4.9967 0.160465 0.162739 0.165070 58.35 23.61 Barclays Bank PLC 06740JEY2 01/29/10 01/29/16 100.000 0.000 4.2199 0.147488 4.13 Barclays Bank PLC 06740JEZ9 01/29/10 01/29/16 100.000 0.000 4.2199 0.147488 4.13 Barclays Bank PLC 06740JFA3 01/29/10 01/29/16 100.000 0.000 4.2199 0.147488 4.13 Barclays Bank PLC 06740JL73 03/31/10 03/31/16 100.000 0.000 4.1299 0.143643 12.78 Barclays Bank PLC 06740JL81 03/31/10 03/31/16 100.000 0.000 4.1299 0.143643 12.78 Barclays Bank PLC 06740JL99 03/31/10 03/31/16 100.000 0.000 4.1299 0.143643 12.78 Barclays Bank PLC 06740JM98 03/10/10 03/10/17 100.000 VARIES 4.4514 0.124920 0.124588 0.124125 44.82 8.56 Barclays Bank PLC 06740JQW3 01/29/10 01/29/16 100.000 0.000 4.2199 0.147488 4.13 Barclays Bank PLC 06740JRD4 01/27/10 01/27/17 100.000 5.000 4.3944 0.127060 0.125771 0.123940 45.03 3.22 Barclays Bank PLC 06740JSM3 02/26/10 02/29/16 100.000 0.000 4.3199 0.150167 8.86 Barclays Bank PLC 06740JSN1 02/26/10 02/29/16 100.000 0.000 4.3199 0.150167 8.86 Barclays Bank PLC 06740JSP6 02/26/10 02/29/16 100.000 0.000 4.3199 0.150167 8.86 Barclays Bank PLC 06740JSY7 02/26/10 02/29/16 100.000 0.000 4.3199 0.150167 8.86 Barclays Bank PLC 06740JTK6 02/08/10 02/08/17 100.000 VARIES 4.5812 0.128327 0.128040 0.127654 46.05 4.72 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06740LBJ3 04/30/10 04/29/16 100.000 0.000 4.4899 0.159201 18.79 Barclays Bank PLC 06740LBK0 04/30/10 04/29/16 100.000 0.000 4.4899 0.159201 18.79 Barclays Bank PLC 06740LBL8 04/30/10 04/29/16 100.000 0.000 4.4899 0.159201 18.79 Barclays Bank PLC 06740LNW1 05/28/10 05/31/16 100.000 0.000 4.7600 0.168527 25.45 Barclays Bank PLC 06740LNY7 05/28/10 05/31/16 100.000 0.000 4.7600 0.168527 25.45 Barclays Bank PLC 06740LP90 06/30/10 06/30/16 100.000 0.000 4.3499 0.153101 27.41 Barclays Bank PLC 06740LQ24 06/30/10 06/30/16 100.000 0.000 4.3499 0.153101 27.41 Barclays Bank PLC 06740LQH1 05/28/10 05/31/16 100.000 0.000 4.7600 0.168527 25.45 Barclays Bank PLC 06740PA30 10/28/10 06/01/16 100.000 0.000 3.0699 0.099588 14.94 Barclays Bank PLC 06740PBC9 06/24/10 06/26/18 100.000 0.000 4.9699 0.180898 0.185394 0.190001 0.194722 0.199561 65.98 69.30 Barclays Bank PLC 06740PBE5 06/25/10 06/25/17 100.000 1.000 4.7051 0.160699 0.163826 0.167027 58.45 29.06 Barclays Bank PLC 06740PBF2 07/28/10 07/28/16 100.000 0.000 3.6099 0.119921 0.122085 25.21 Barclays Bank PLC 06740PBG0 07/28/10 07/28/16 100.000 0.000 3.6099 0.119921 0.122085 25.21 Barclays Bank PLC 06740PBX3 07/06/10 07/06/20 100.000 VARIES 5.0546 0.152866 0.152056 0.151224 0.150127 0.149002 54.60 53.85 Barclays Bank PLC 06740PC38 11/29/10 11/29/30 100.000 VARIES 4.9295 0.105805 0.105795 0.105784 0.105773 0.105761 38.09 38.08 Barclays Bank PLC 06740PHD1 08/31/10 08/31/16 100.000 0.000 3.3169 0.107416 0.108010 26.21 Barclays Bank PLC 06740PHE9 08/31/10 08/31/16 100.000 0.000 3.3169 0.107416 0.108010 26.21 Barclays Bank PLC 06740PHQ2 07/28/10 05/26/16 100.000 0.000 3.6099 0.121339 17.59 Barclays Bank PLC 06740PKG0 08/16/10 08/16/17 100.000 VARIES 3.6631 0.106831 0.105741 0.104631 0.103206 37.97 23.29 Barclays Bank PLC 06740PM37 11/30/10 11/30/20 100.000 VARIES 4.6823 0.135213 0.135136 0.135058 0.134690 0.134312 48.66 48.53 Barclays Bank PLC 06740PMM5 08/27/10 08/29/18 100.000 0.000 3.8100 0.125064 0.128847 0.130584 0.133802 0.135606 47.15 48.88 Barclays Bank PLC 06740PMQ6 09/16/10 09/16/25 100.000 VARIES 4.4379 0.105499 0.105913 0.106337 0.106769 0.107212 38.14 38.45 Barclays Bank PLC 06740PMT0 08/26/10 08/26/20 100.000 VARIES 4.3098 0.126984 0.126762 0.126535 0.125831 0.125112 45.62 45.25 Barclays Bank PLC 06740PQH2 09/30/10 09/29/17 100.000 0.000 3.3900 0.111394 0.113282 0.115202 0.117155 40.79 31.23 Barclays Bank PLC 06740PSZ0 10/13/10 10/13/17 100.000 0.750 3.3000 0.104263 0.105639 0.107039 0.108461 38.00 30.44 Barclays Bank PLC 06740PV29 12/30/10 12/30/30 100.000 VARIES 5.2624 0.124497 0.124997 0.125511 0.126037 0.126578 44.91 45.28 Barclays Bank PLC 06740PVH6 10/20/10 10/20/25 100.000 VARIES 4.6202 0.128844 0.128956 0.129070 0.129188 0.129307 46.42 46.50 Barclays Bank PLC 06740PVZ6 09/30/10 09/30/25 100.000 VARIES 4.7398 0.107193 0.107416 0.107645 0.107879 0.108119 38.67 38.84 Barclays Bank PLC 06740PX43 12/17/10 12/19/18 100.000 0.000 4.6599 0.163013 0.166812 0.170698 0.174676 0.178745 59.46 62.26 Barclays Bank PLC 06740PX50 12/17/10 12/19/18 100.000 0.000 4.6599 0.163013 0.166812 0.170698 0.174676 0.178745 59.46 62.26 Barclays Bank PLC 06740PYE0 12/30/10 12/30/30 100.000 VARIES 5.6002 0.121319 0.122173 0.123050 0.123952 0.124879 43.83 44.46 Barclays Bank PLC 06740PYG5 01/14/11 01/14/21 100.000 VARIES 4.9824 0.143660 0.143805 0.143657 0.143506 0.143143 51.74 51.60 Barclays Bank PLC 06740PZ33 01/27/11 01/27/31 100.000 VARIES 5.5228 0.133053 0.133449 0.133856 0.134274 0.134704 48.09 48.39 Barclays Bank PLC 06741JS59 05/20/14 05/20/21 100.000 0.000 2.7399 0.079282 0.080368 0.081469 0.082585 0.083716 28.83 29.62 Barclays Bank PLC 06741JV30 07/23/14 07/23/21 100.000 0.000 2.8399 0.081144 0.082296 0.083465 0.084650 0.085852 29.79 30.64 Barclays Bank PLC 06741JV89 08/18/14 08/18/21 100.000 0.000 2.7999 0.079971 0.081090 0.082226 0.083377 0.084544 29.29 30.12 Barclays Bank PLC 06741L427 03/02/12 03/05/18 100.000 0.000 3.1999 0.099360 0.100950 0.102565 0.104206 0.105874 36.43 37.60 Barclays Bank PLC 06741RGQ8 04/18/13 04/18/30 100.000 VARIES 3.0512 0.087054 0.087534 0.087810 0.088091 0.088375 31.48 31.70 Barclays Bank PLC 06741T2A4 11/29/13 11/29/18 100.000 0.000 2.1200 0.061426 0.062077 0.062735 0.063400 0.064072 22.27 22.75 Barclays Bank PLC 06741T2W6 12/23/13 12/23/33 100.000 VARIES 4.3876 0.101169 0.098756 0.096290 0.093770 0.091194 35.95 34.17 Barclays Bank PLC 06741T3M7 12/27/13 12/27/28 100.000 VARIES 4.2828 0.102741 0.100653 0.098520 0.096341 0.094116 36.59 35.06 Barclays Bank PLC 06741T6B8 02/28/14 02/28/34 100.000 VARIES 4.0796 0.100146 0.094961 0.095055 0.092019 0.092003 35.07 33.76 Barclays Bank PLC 06741T6S1 03/28/14 03/28/34 100.000 VARIES 4.1532 0.105038 0.101451 0.097789 0.094051 0.090236 36.49 33.83 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06741T6U6 03/04/14 03/04/24 100.000 0.250 3.4336 0.100014 0.101612 0.103237 0.104890 0.106572 36.67 37.85 Barclays Bank PLC 06741TCJ4 07/11/12 07/11/16 100.000 0.000 2.4399 0.072892 0.073782 14.01 Barclays Bank PLC 06741TEH6 08/20/12 08/22/17 100.000 0.000 2.7099 0.081621 0.082727 0.083848 0.084984 29.87 19.57 Barclays Bank PLC 06741TFL6 10/30/12 10/30/17 100.000 0.000 1.7609 0.051557 0.052011 0.052469 0.052931 18.70 15.77 Barclays Bank PLC 06741TGD3 09/20/12 09/20/19 100.000 0.000 2.6499 0.079659 0.080714 0.081784 0.082867 0.083965 29.08 29.86 Barclays Bank PLC 06741TL70 09/19/13 09/21/20 100.000 0.000 3.1924 0.094494 0.096002 0.097535 0.099092 0.100673 34.59 35.71 Barclays Bank PLC 06741TM79 09/27/13 09/27/19 100.000 0.000 2.7612 0.081026 0.082145 0.083279 0.084428 0.085594 29.58 30.40 Barclays Bank PLC 06741TPR2 03/21/13 03/21/33 100.000 VARIES 3.9299 0.068841 0.063372 0.060301 0.059203 0.059718 22.94 21.45 Barclays Bank PLC 06741TRP4 03/28/13 03/28/33 100.000 VARIES 3.9299 0.068365 0.062937 0.059958 0.059008 0.059718 22.85 21.39 Barclays Bank PLC 06741TRR0 04/09/13 04/09/28 100.000 VARIES 3.5337 0.082839 0.080462 0.078043 0.075581 0.075382 29.00 27.43 Barclays Bank PLC 06741TRW9 04/30/13 04/30/20 100.000 0.000 2.1700 0.063620 0.064310 0.065008 0.065713 0.066426 23.11 23.62 Barclays Bank PLC 06741TSE8 04/19/13 04/19/33 100.000 VARIES 3.7861 0.083666 0.080344 0.076959 0.073510 0.072874 29.04 26.79 Barclays Bank PLC 06741TUA3 05/10/13 05/10/28 100.000 VARIES 3.2563 0.068452 0.065503 0.063992 0.063716 0.064436 23.88 23.01 Barclays Bank PLC 06741TUB1 05/03/13 05/03/33 100.000 VARIES 3.4200 0.064194 0.059687 0.057023 0.055944 0.056163 21.88 20.28 Barclays Bank PLC 06741TV38 10/31/13 10/31/18 100.000 0.000 2.1199 0.061425 0.062076 0.062734 0.063399 0.064071 22.31 22.79 Barclays Bank PLC 06741TVK0 05/31/13 05/31/33 100.000 VARIES 3.5100 0.065048 0.060437 0.057715 0.056619 0.056856 22.36 20.55 Barclays Bank PLC 06741TWH6 06/17/13 06/17/33 100.000 VARIES 3.6856 0.075478 0.071534 0.067517 0.063426 0.063275 26.35 23.51 Barclays Bank PLC 06741TXA0 06/28/13 06/30/20 100.000 0.000 2.9922 0.089539 0.090878 0.092238 0.093618 0.095019 32.48 33.46 Barclays Bank PLC 06741TXZ5 07/31/13 07/30/20 100.000 0.250 2.9338 0.084093 0.086163 0.086377 0.088996 0.088729 31.51 32.37 Barclays Bank PLC 06741TYX9 07/24/13 07/24/28 100.000 VARIES 3.9812 0.093560 0.087914 0.082156 0.079401 0.076591 30.87 28.21 Barclays Bank PLC 06741TZW0 08/15/13 08/15/33 100.000 VARIES 4.2111 0.095986 0.088689 0.081237 0.078918 0.076550 31.24 28.19 Barclays Bank PLC 06741TZX8 08/01/13 08/01/23 100.000 0.250 3.5547 0.105445 0.107196 0.108977 0.110791 0.112637 38.81 40.11 Barclays Bank PLC 06741U2A1 12/31/15 12/31/21 100.000 0.000 2.5800 0.071667 0.072591 0.073528 0.074476 0.075437 25.97 26.64 Barclays Bank PLC 06741UAU8 03/28/14 06/30/20 100.000 0.000 2.8996 0.084722 0.085951 0.087197 0.088461 0.089744 30.72 31.62 Barclays Bank PLC 06741UBA1 04/25/14 04/25/34 100.000 VARIES 3.4516 0.084834 0.081025 0.077360 0.073633 0.069841 29.36 26.68 Barclays Bank PLC 06741UBK9 04/30/14 04/30/29 100.000 VARIES 3.9398 0.100148 0.096927 0.096052 0.095159 0.094249 35.22 34.31 Barclays Bank PLC 06741UBX1 04/30/14 04/30/24 100.000 VARIES 3.4911 0.099245 0.099801 0.100041 0.100285 0.100310 35.88 36.08 Barclays Bank PLC 06741UDA9 05/30/14 05/30/34 100.000 VARIES 3.8794 0.097676 0.094183 0.091595 0.088957 0.086268 34.35 32.33 Barclays Bank PLC 06741UFK5 07/28/14 07/28/34 100.000 VARIES 3.8226 0.099562 0.096155 0.092684 0.089146 0.085541 34.18 31.64 Barclays Bank PLC 06741UFL3 07/08/14 09/30/16 100.000 0.000 0.9000 0.025278 0.025392 6.82 Barclays Bank PLC 06741UFM1 07/31/14 07/31/34 100.000 VARIES 3.8918 0.101440 0.098008 0.094510 0.092684 0.090822 34.85 33.14 Barclays Bank PLC 06741UFY5 07/30/14 07/29/21 100.000 0.000 2.8199 0.080551 0.081687 0.082839 0.084007 0.085192 29.55 30.39 Barclays Bank PLC 06741UGX6 08/29/14 08/28/29 100.000 VARIES 3.7703 0.100273 0.097974 0.095631 0.094219 0.092780 35.11 33.82 Barclays Bank PLC 06741UJW5 09/29/14 09/29/34 100.000 VARIES 3.7463 0.098548 0.095711 0.092821 0.091281 0.089713 34.44 32.85 Barclays Bank PLC 06741UKH6 09/26/14 09/28/16 100.000 0.000 1.0997 0.030888 0.031058 8.28 Barclays Bank PLC 06741UKP8 10/30/14 10/30/34 100.000 VARIES 3.5915 0.093314 0.091382 0.089414 0.087412 0.085373 33.01 31.58 Barclays Bank PLC 06741UMK7 12/04/14 12/06/21 100.000 0.000 2.6299 0.075000 0.075986 0.076986 0.077998 0.079024 27.23 27.95 Barclays Bank PLC 06741UQZ0 02/20/15 02/25/22 100.000 0.000 2.6399 0.074327 0.075308 0.076302 0.077309 0.078330 27.18 27.91 Barclays Bank PLC 06741UVZ4 05/19/15 02/18/20 100.000 0.000 2.2396 0.062557 0.063258 0.063966 0.064683 0.065407 22.83 23.35 Barclays Bank PLC 06741VAN2 09/30/16 09/29/23 100.000 0.000 2.2199 0.061667 0.062347 0.063039 5.61 22.45 Barclays Bank PLC 06741VAY8 09/30/16 09/30/21 100.000 0.000 2.0499 0.056944 0.057528 0.058118 5.18 20.71 Barclays Bank PLC 06742B329 03/17/14 03/18/19 100.000 0.000 2.2099 0.063450 0.064151 0.064860 0.065577 0.066302 23.11 23.63 Barclays Bank PLC 06742B634 03/05/14 03/05/21 100.000 0.000 2.8400 0.082298 0.083466 0.084652 0.085854 0.087073 30.11 30.97 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06742B808 02/06/14 01/29/16 100.000 0.000 0.7201 0.020219 .57 Barclays Bank PLC 06742W208 07/15/14 06/24/16 100.000 0.000 0.8700 0.024471 4.23 Barclays Bank PLC 06742W737 06/25/14 06/25/20 100.000 0.000 2.6600 0.076877 0.077900 0.078936 0.079986 0.081050 27.87 28.62 Barclays Bank PLC 06742W752 06/25/14 06/25/21 100.000 0.000 2.8299 0.081995 0.083155 0.084331 0.085525 0.086735 29.74 30.59 Barclays Bank PLC 06742W760 06/25/14 06/25/20 100.000 0.000 2.6600 0.076877 0.077900 0.078936 0.079986 0.081050 27.87 28.62 Bear Stearns Co., Inc. 073928G23 08/31/04 07/01/19 51.530 1.000 N/A 0.111783 0.115119 0.118555 0.122093 0.125736 41.05 43.53 BellSouth Telecomm 079867AS6 12/13/95 12/15/95 25.235 VARIES 6.8500 0.184748 0.184749 0.184749 0.184750 0.184751 66.51 66.51 Bexar Cnty Hsg Fin Corp 08837EAB7 09/28/05 04/01/22 39.225 0.000 5.7500 309.48 0.110494 0.113671 0.116939 0.120301 0.123760 40.93 43.32 Bond & Fayette CNTYS, IL 097850CR0 05/07/14 12/01/16 106.598 VARIES 1.3824 0.039395 0.038900 12.91 Bond & Fayette CNTYS, IL 097850CS8 05/07/14 12/01/17 107.812 VARIES 1.7340 0.050305 0.049778 0.049246 0.048710 17.98 16.15 Boston, MA 100853GH7 11/04/09 09/15/24 89.556 6.050 7.2062 30.63 0.016984 0.017596 0.018230 0.018887 0.019568 6.36 6.82 Bumble Bee Holdco S.C.A. 12046QAA1 03/10/11 03/15/18 98.138 9.625 10.0006 0.275538 0.275947 0.276376 0.276827 0.277300 99.36 99.67 Bumble Bee Holdco S.C.A. 12046QAB9 03/10/11 03/15/18 98.138 9.625 10.0006 0.275538 0.275947 0.276376 0.276827 0.277300 99.36 99.67 Bumble Bee Holdco S.C.A. 12046QAC7 03/10/11 03/15/18 98.138 9.625 10.0006 0.275538 0.275947 0.276376 0.276827 0.277300 99.36 99.67 Bureau County SD #84, IL 121012AM0 06/04/10 12/01/16 106.150 VARIES 4.6174 0.129666 0.128972 42.66 Bureau County SD #84, IL 121012AN8 06/04/10 12/01/17 105.324 VARIES 4.8691 0.137499 0.136958 0.136404 0.135836 49.37 44.91 Bureau County SD #84, IL 121012AP3 06/04/10 12/01/18 105.836 VARIES 5.1194 0.145650 0.145112 0.144560 0.143994 0.143414 52.30 51.91 Bureau County SD #84, IL 121012AQ1 06/04/10 12/01/19 106.299 VARIES 5.3692 0.153820 0.153288 0.152743 0.152182 0.151607 55.25 54.85 Bureau County SD #84, IL 121012AR9 06/04/10 12/01/20 104.349 VARIES 5.6693 0.161415 0.161069 0.160713 0.160348 0.159972 58.03 57.77 Bureau County SD #84, IL 121012AS7 06/04/10 12/01/21 104.162 VARIES 5.9680 0.170173 0.169863 0.169544 0.169215 0.168877 61.19 60.96 Bureau County SD #84, IL 121012AT5 06/04/10 12/01/22 104.788 VARIES 6.1675 0.176926 0.176600 0.176263 0.175917 0.175560 63.61 63.37 Bureau County SD #175,IL 121088AN8 09/15/10 12/01/16 107.815 VARIES 4.0822 0.114956 0.114184 37.80 Bureau County SD #175,IL 121088AP3 09/15/10 12/01/17 106.920 VARIES 4.4822 0.127141 0.126504 0.125853 0.125188 45.62 41.41 Bureau County SD #175,IL 121088AQ1 09/15/10 12/01/18 106.252 VARIES 4.8319 0.137625 0.137091 0.136545 0.135985 0.135411 49.42 49.02 Bureau County SD #175,IL 121088AR9 09/15/10 12/01/19 107.871 VARIES 5.0816 0.146554 0.145937 0.145305 0.144656 0.143991 52.61 52.15 Bureau County SD #175,IL 121088AS7 09/15/10 12/01/20 108.435 VARIES 5.2817 0.153524 0.152920 0.152301 0.151664 0.151011 55.12 54.68 Bureau County SD #502,IL 121133CK6 10/10/13 12/01/23 100.125 VARIES 4.9873 0.138652 0.138647 0.138640 0.138634 0.138628 49.91 49.91 Bureau County SD #205,IL 121133CL4 10/10/13 12/01/29 100.148 VARIES 5.8866 0.163724 0.163719 0.163714 0.163709 0.163704 58.94 58.94 Bureau CNTYS SD #340, IL 121158BN8 08/14/12 12/01/16 106.028 VARIES 2.3387 0.065897 0.065433 21.66 Bureau CNTYS SD #340, IL 121158BP3 08/14/12 12/01/17 106.030 VARIES 2.6392 0.075032 0.074611 0.074184 0.073752 26.91 24.40 Bureau CNTYS SD #340, IL 121158BQ1 08/14/12 12/01/18 105.273 VARIES 2.9397 0.083778 0.083438 0.083092 0.082741 0.082386 30.08 29.83 CBIZ, Inc. 124805AA0 05/30/06 06/01/26 100.000 VARIES 8.9994 0.458461 0.474580 0.491425 0.509027 0.527292 168.94 181.16 CBIZ, Inc. 124805AB8 05/30/06 06/01/26 100.000 VARIES 8.9994 0.458461 0.474580 0.491425 0.509027 0.527292 168.94 181.16 Caesars Entertainment 127693AC3 02/15/13 02/15/20 97.500 9.000 9.4970 8.37 0.009094 0.009526 0.009978 0.010452 0.010948 3.47 3.81 Caesars Entertainment 127693AF6 02/15/13 02/15/20 97.500 9.000 9.4970 8.37 0.009094 0.009526 0.009978 0.010452 0.010948 3.47 3.81 Caesars Entertainment 127693AG4 02/15/13 02/15/20 97.500 9.000 9.4970 8.37 0.009094 0.009526 0.009978 0.010452 0.010948 3.47 3.81 Caesars Entertainment 127693AH2 02/15/13 02/15/20 97.500 9.000 9.4970 8.37 0.009094 0.009526 0.009978 0.010452 0.010948 3.47 3.81 California Resources 13057QAG2 12/16/15 12/15/22 63.250 8.000 17.2411 1.21 0.080694 0.087612 0.095165 0.103369 0.112280 30.53 36.01 Carol Stream, IL 143735LM8 07/15/08 10/01/27 93.383 5.750 6.3510 16.93 0.007884 0.008135 0.008393 0.008660 0.008935 2.93 3.12 Carol Stream, IL 143735TQ1 12/30/11 11/01/16 83.951 0.000 3.6494 130.84 0.097773 0.099557 29.65 Carol Stream, IL 143735TR9 12/30/11 11/01/17 79.136 0.000 4.0492 137.82 0.103813 0.105915 0.108059 0.110247 38.01 32.81 Carol Stream, IL 143735TS7 12/30/11 11/01/18 74.017 0.000 4.4492 142.66 0.108306 0.110715 0.113178 0.115696 0.118270 39.72 41.50 Carol Stream, IL 143735TT5 12/30/11 11/01/19 68.693 0.000 4.8492 145.33 0.111208 0.113905 0.116667 0.119495 0.122393 40.85 42.85 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Carol Stream, IL 143735TU2 12/30/11 11/01/20 63.533 0.000 5.1992 145.02 0.111732 0.114637 0.117617 0.120674 0.123812 41.10 43.26 Carol Stream, IL 143735TV0 12/30/11 11/01/21 59.208 0.000 5.3992 140.85 0.108945 0.111886 0.114906 0.118008 0.121194 40.11 42.30 Carol Stream, IL 143735TW8 12/30/11 11/01/22 54.964 0.000 5.5992 136.09 0.105669 0.108627 0.111669 0.114795 0.118009 38.93 41.14 Carol Stream, IL 143735TX6 12/30/11 11/01/23 50.827 0.000 5.7993 130.81 0.101965 0.104922 0.107964 0.111095 0.114316 37.60 39.81 Carol Stream, IL 143735TY4 12/30/11 11/01/24 46.530 0.000 6.0492 125.47 0.098279 0.101251 0.104314 0.107469 0.110719 36.28 38.51 Carol Stream, IL 143735TZ1 12/30/11 11/01/25 42.963 0.000 6.1993 119.05 0.093519 0.096417 0.099406 0.102487 0.105664 34.54 36.72 Carol Stream, IL 143735UA4 12/30/11 11/01/26 39.556 0.000 6.3492 112.56 0.088678 0.091493 0.094398 0.097395 0.100487 32.77 34.89 Carol Stream, IL 143735UB2 12/30/11 11/01/27 36.593 0.000 6.4493 105.96 0.083639 0.086336 0.089120 0.091994 0.094960 30.92 32.95 Carol Stream, IL 143735UC0 12/30/11 11/01/28 33.512 0.000 6.5994 99.56 0.078818 0.081419 0.084106 0.086881 0.089748 29.16 31.12 Carol Stream, IL 143735UD8 12/30/11 11/01/29 30.868 0.000 6.6993 93.26 0.073973 0.076451 0.079012 0.081659 0.084394 27.38 29.24 Carol Stream, IL 143735UE6 12/30/11 11/01/30 28.377 0.000 6.7994 87.18 0.069277 0.071632 0.074068 0.076586 0.079189 25.65 27.42 Carol Stream, IL 143735UF3 12/30/11 11/01/31 26.288 0.000 6.8495 81.43 0.064770 0.066988 0.069282 0.071655 0.074109 23.99 25.66 Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29 100.000 VARIES 9.9395 1.063203 1.112854 1.164973 1.219682 1.277109 402.48 441.12 Central Euro Media ENT 153443AJ5 05/02/14 12/01/17* 55.350 15.000 N/A 0.840665 81.54* Central Euro Media ENT 153443AK2 05/02/14 12/01/17* 55.350 15.000 N/A 0.840665 81.54* Centrus Energy Corp. 15643UAA2 09/30/14 09/30/24 56.492 8.000 N/A 0.252966 0.266702 0.281328 0.296909 0.313512 96.12 107.01 Champaign & Piatt CNTYS 158087RN8 09/12/13 10/01/19 100.000 VARIES 3.7423 0.103984 0.103981 0.103977 0.103974 0.103970 37.43 37.43 Champaign County, IL 158199AZ2 11/04/15 12/01/19 99.418 VARIES 2.3671 0.065487 0.066262 0.067046 0.067265 0.067486 23.76 24.19 Champaign County, IL 158199BA6 11/04/15 12/01/23 124.115 VARIES N/A 0.134793 0.134793 0.131294 0.129598 0.127868 48.42 46.86 Champaign County, IL 158199BB4 11/04/15 12/01/26 98.267 VARIES 4.1631 0.113993 0.116366 0.113443 0.113318 0.113190 41.45 40.81 Cheniere Energy, Inc. 16411RAF6 11/28/14 05/28/21 100.000 4.875 N/A 0.142099 0.145562 0.149110 0.152745 0.156468 52.01 54.58 Cheniere Energy, Inc. 16411RAG4 03/09/15 03/15/45 80.000 4.250 5.6396 2.15 0.007401 0.007527 0.007867 0.007957 0.008317 2.78 2.94 Cheniere Energy, Inc. 16411RAH2 11/28/14 05/28/21 100.000 4.875 N/A 0.142099 0.145562 0.149110 0.152745 0.156468 52.01 54.58 Chesapeake Energy Corp. 165167BZ9 05/15/07 05/15/37 100.000 VARIES 6.7505 0.277047 0.284054 0.291298 0.298786 0.305911 101.65 106.89 Chesapeake Energy Corp. 165167CA3 08/14/07 05/15/37 97.625 VARIES 8.0008 0.351359 0.362637 0.374366 0.386564 0.398382 129.58 138.07 Chesapeake Energy Corp. 165167CB1 05/27/08 12/15/38 100.000 VARIES 8.0007 0.351356 0.362912 0.374929 0.387428 0.400426 128.95 137.63 Chesapeake Energy Corp. 165167CQ8 12/23/15 12/15/22 48.000 8.000 23.5158 .81 0.089825 0.099925 0.112288 0.124805 0.140246 35.11 43.75 Christian & Sangamon CNT 170592BC2 03/28/13 12/01/16 110.501 VARIES 1.9725 0.056361 0.055581 18.46 Christian & Sangamon CNT 170592BD0 03/28/13 12/01/17 111.388 VARIES 2.2261 0.064874 0.064127 0.063372 0.062609 23.18 20.78 Christian & Sangamon CNT 170592BE8 03/28/13 12/01/18 110.855 VARIES 2.4787 0.072855 0.072208 0.071554 0.070892 0.070221 26.07 25.60 Christian & Sangamon CNT 170592BF5 03/28/13 12/01/19 110.619 VARIES 2.7793 0.082199 0.081605 0.081002 0.080390 0.079770 29.45 29.01 Christian & Sangamon CNT 170592BG3 03/28/13 12/01/20 109.831 VARIES 3.0795 0.091134 0.090613 0.090083 0.089546 0.089000 32.68 32.30 Christian & Sangamon CNT 170592BH1 03/28/13 12/01/21 107.041 VARIES 3.3308 0.097115 0.096766 0.096412 0.096051 0.095685 34.88 34.62 Christian & Sangamon CNT 170592BJ7 03/28/13 12/01/22 99.442 VARIES 3.5341 0.097662 0.097695 0.097728 0.097761 0.097795 35.17 35.19 Christian & Sangamon CNT 170592BK4 03/28/13 12/01/23 99.390 VARIES 3.6840 0.101744 0.101776 0.101809 0.101842 0.101876 36.64 36.66 Citigroup Inc. 17298C2B3 09/30/15 09/29/22 100.000 0.000 3.0163 0.083787 0.085044 0.086327 0.087629 0.088950 30.62 31.55 Citigroup Inc. 17298C2C1 09/30/15 09/29/22 100.000 0.000 3.0163 0.083787 0.085044 0.086327 0.087629 0.088950 30.62 31.55 Citigroup Inc. 17298C2N7 10/02/15 10/02/20 100.000 0.000 2.5622 0.071173 0.072085 0.073009 0.073944 0.074891 25.95 26.62 Citigroup Inc. 17298C2U1 11/03/15 05/04/21 100.000 0.250 2.7771 0.077147 0.078122 0.079111 0.080113 0.081129 28.06 28.78 Citigroup Inc. 17298C2Z0 10/30/15 11/01/22 100.000 0.000 2.9688 0.082475 0.083699 0.084941 0.086202 0.087482 30.06 30.96 Citigroup Inc. 17298C3A4 10/30/15 11/01/22 100.000 0.000 2.9688 0.082475 0.083699 0.084941 0.086202 0.087482 30.06 30.96 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 17298C3F3 10/28/15 10/28/25 100.000 VARIES 2.3916 0.009850 0.009606 0.009359 0.009109 0.008856 3.47 3.29 Citigroup Inc. 17298C3R7 11/05/15 11/05/20 100.000 0.000 2.6408 0.073356 0.074325 0.075306 0.076300 0.077308 26.69 27.40 Citigroup Inc. 17298C3Z9 11/30/15 05/27/21 100.000 0.250 2.8049 0.077917 0.078895 0.079905 0.080928 0.081965 28.29 29.02 Citigroup Inc. 17298C4A3 11/30/15 11/30/22 100.000 0.000 3.0605 0.085014 0.086315 0.087636 0.088977 0.090339 30.92 31.87 Citigroup Inc. 17298C4B1 11/30/15 11/30/22 100.000 0.000 3.0605 0.085014 0.086315 0.087636 0.088977 0.090339 30.92 31.87 Citigroup Inc. 17298C4W5 12/31/15 01/05/23 100.000 0.000 3.1984 0.088845 0.088885 0.090306 0.091750 0.093218 32.25 33.28 Citigroup Inc. 17298C4Z8 12/28/15 06/25/21 100.000 0.250 2.8488 0.079133 0.080144 0.081187 0.082245 0.083317 28.68 29.43 Citigroup Inc. 17298C5L8 02/01/16 07/30/21 100.000 0.250 2.9079 0.080778 0.081845 0.082934 0.084039 26.82 29.99 Citigroup Inc. 17298C5U8 01/29/16 01/31/23 100.000 0.000 3.1492 0.087478 0.087493 0.088871 0.090270 0.091692 29.34 32.67 Citigroup Inc. 17298C6K9 01/29/16 01/29/26 100.000 VARIES 2.4179 0.014942 0.014568 0.014189 0.013806 4.90 5.06 Citigroup Inc. 17298C6X1 02/29/16 03/01/23 100.000 0.000 2.8955 0.080431 0.080439 0.081603 0.082784 0.083983 24.35 29.88 Citigroup Inc. 17298C6Y9 02/29/16 08/27/21 100.000 0.250 2.7864 0.077401 0.078367 0.079362 0.080371 23.42 28.64 Citigroup Inc. 17298C6Z6 02/29/16 03/01/23 100.000 0.000 2.8955 0.080431 0.080439 0.081603 0.082784 0.083983 24.35 29.88 Citigroup Inc. 17298CAF5 05/15/15 05/15/30 100.000 VARIES 2.6421 0.011471 0.011212 0.010951 0.010685 0.010417 4.06 3.87 Citigroup Inc. 17298CAP3 05/28/15 05/26/22 100.000 0.000 3.0094 0.084840 0.086117 0.087413 0.088728 0.090063 30.86 31.80 Citigroup Inc. 17298CAQ1 05/28/15 05/26/22 100.000 0.000 3.0094 0.084840 0.086117 0.087413 0.088728 0.090063 30.86 31.80 Citigroup Inc. 17298CAR9 05/28/15 05/28/35 100.000 VARIES 4.3834 0.118343 0.114849 0.111278 0.107629 0.106171 41.74 39.23 Citigroup Inc. 17298CAT5 05/27/15 05/27/25 100.000 VARIES 2.5639 0.007787 0.007573 0.007357 0.007138 0.006919 2.75 2.59 Citigroup Inc. 17298CBM9 06/30/15 12/30/20 100.000 0.250 2.7899 0.078484 0.079482 0.080494 0.081520 0.082560 28.44 29.16 Citigroup Inc. 17298CBT4 06/30/15 06/30/22 100.000 0.000 3.2000 0.090311 0.091756 0.093224 0.094716 0.096231 32.78 33.83 Citigroup Inc. 17298CBV9 06/30/15 06/30/22 100.000 0.000 3.2000 0.090311 0.091756 0.093224 0.094716 0.096231 32.78 33.83 Citigroup Inc. 17298CDH8 09/02/15 03/04/21 100.000 0.300 1.6119 0.044781 0.045074 0.045370 0.045669 0.045970 16.24 16.46 Citigroup Inc. 17298CDJ4 08/31/15 08/31/22 100.000 0.000 3.1498 0.086535 0.086943 0.089776 0.089703 0.092626 32.15 33.11 Citigroup Inc. 17298CDK1 08/31/15 08/31/22 100.000 0.000 3.1498 0.086535 0.086943 0.089776 0.089703 0.092626 32.15 33.11 Citigroup Inc. 17298CDV7 10/02/15 04/01/21 100.000 0.250 2.6649 0.074028 0.074917 0.075822 0.076740 0.077670 26.97 27.63 Citigroup Global Markets 17307EBE2 07/01/04 09/07/16 51.400 0.000 5.5371 449.45 0.145635 0.149667 36.55 Citigroup Funding, Inc. 17308CPQ3 05/24/10 05/24/16 100.000 0.000 4.5502 0.161886 23.15 Citigroup Funding, Inc. 17308CRW8 06/29/11 12/21/16 100.000 0.500 3.5733 0.113933 0.115721 40.20 Citigroup Inc. 1730T02B4 10/30/14 10/30/34 100.000 VARIES 4.5064 0.119182 0.116081 0.112911 0.112713 0.112511 41.96 40.59 Citigroup Inc. 1730T02D0 10/31/14 10/31/29 100.000 VARIES 4.0094 0.105759 0.102867 0.099918 0.098686 0.097429 37.20 35.60 Citigroup Inc. 1730T02E8 10/31/14 05/01/20 100.000 0.000 2.5468 0.072564 0.073488 0.074424 0.075372 0.076331 26.40 27.08 Citigroup Inc. 1730T02P3 10/31/14 10/31/34 100.000 VARIES 4.7455 0.127321 0.124992 0.122607 0.121536 0.120440 45.13 43.81 Citigroup Inc. 1730T02V0 11/26/14 11/26/34 100.000 VARIES 4.2545 0.111320 0.107779 0.104163 0.102418 0.100635 39.19 37.06 Citigroup Inc. 1730T02X6 11/26/14 11/26/29 100.000 VARIES 4.1216 0.111093 0.109342 0.107555 0.106972 0.106377 39.55 38.57 Citigroup Inc. 1730T03C1 11/28/14 05/29/20 100.000 0.000 2.6204 0.074716 0.075695 0.076687 0.077691 0.078709 27.14 27.85 Citigroup Inc. 1730T03G2 12/01/14 12/02/19 100.000 0.000 2.4381 0.069391 0.070237 0.071093 0.071960 0.072837 25.18 25.80 Citigroup Inc. 1730T03J6 12/29/14 12/29/34 100.000 VARIES 4.3207 0.114345 0.113361 0.112355 0.111327 0.110277 40.98 40.26 Citigroup Inc. 1730T03V9 01/30/15 02/01/22 100.000 0.000 2.8403 0.080027 0.081163 0.082316 0.083485 0.084671 29.36 30.20 Citigroup Inc. 1730T03W7 01/30/15 01/30/35 100.000 VARIES 3.9694 0.106937 0.103546 0.102549 0.101533 0.100496 37.22 36.42 Citigroup Inc. 1730T03Z0 01/30/15 02/01/22 100.000 0.000 2.8403 0.080027 0.081163 0.082316 0.083485 0.084671 29.36 30.20 Citigroup Inc. 1730T04J5 02/26/15 02/28/22 100.000 0.000 2.2326 0.062028 0.062039 0.063771 0.063431 0.065203 22.92 23.39 Citigroup Inc. 1730T04L0 02/26/15 02/28/22 100.000 0.000 2.2326 0.062028 0.062039 0.063771 0.063431 0.065203 22.92 23.39 Citigroup Inc. 1730T05X3 03/30/15 03/30/22 100.000 0.000 2.9237 0.082403 0.083607 0.084830 0.086070 0.087328 30.10 30.99 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 1730T05Y1 03/30/15 03/30/22 100.000 0.000 2.9237 0.082403 0.083607 0.084830 0.086070 0.087328 30.10 30.99 Citigroup Inc. 1730T06D6 03/27/15 03/27/25 100.000 VARIES 3.1774 0.089461 0.090678 0.091124 0.091578 0.091611 32.58 32.93 Citigroup Inc. 1730T06L8 03/23/15 03/23/22 100.000 0.000 2.8171 0.079355 0.080473 0.081607 0.082756 0.083922 28.99 29.81 Citigroup Inc. 1730T06V6 04/29/15 04/28/22 100.000 0.000 2.7394 0.077134 0.078190 0.079261 0.080347 0.081447 28.09 28.87 Citigroup Inc. 1730T06X2 04/29/15 04/28/22 100.000 0.000 2.7394 0.077134 0.078190 0.079261 0.080347 0.081447 28.09 28.87 Citigroup Inc. 1730T07D5 04/27/15 04/27/25 100.000 VARIES 2.3817 0.065914 0.065666 0.065414 0.065160 0.064903 23.65 23.47 Citigroup Inc. 1730T07K9 04/30/15 04/30/35 100.000 VARIES 4.1098 0.110800 0.107369 0.106553 0.105721 0.104871 39.01 38.11 Citigroup Inc. 1730T0A58 10/22/13 10/22/33 100.000 VARIES 4.6764 0.115579 0.112780 0.109916 0.106984 0.103984 40.71 38.63 Citigroup Inc. 1730T0A82 11/15/13 11/15/28 100.000 VARIES 4.5367 0.112315 0.110856 0.109364 0.107838 0.106278 40.04 38.95 Citigroup Inc. 1730T0A90 10/30/13 10/30/33 100.000 VARIES 4.6216 0.114146 0.112270 0.110350 0.108385 0.106375 40.52 39.13 Citigroup Funding, Inc. 1730T0AK5 05/15/06 05/15/36 11.570 0.000 7.3199 115.50 0.046575 0.048279 0.050046 0.051878 0.053777 17.23 18.52 Citigroup Inc. 1730T0B99 11/14/13 11/14/23 100.000 VARIES 4.0135 0.102329 0.100934 0.099511 0.098059 0.096578 36.45 35.42 Citigroup Funding, Inc. 1730T0BT5 02/14/07 02/14/37 100.000 VARIES 5.8403 0.156719 0.156785 0.156853 0.156923 0.156994 56.45 56.50 Citigroup Inc. 1730T0C23 11/12/13 11/12/33 100.000 VARIES 4.7620 0.120661 0.118010 0.115297 0.112518 0.109674 42.70 40.73 Citigroup Inc. 1730T0C56 11/26/13 11/26/33 100.000 VARIES 4.7711 0.118168 0.116224 0.114234 0.112197 0.110111 42.05 40.61 Citigroup Inc. 1730T0E88 01/29/14 01/29/29 100.000 VARIES 4.3351 0.109964 0.106326 0.104402 0.102435 0.100427 38.09 36.63 Citigroup Inc. 1730T0E96 01/29/14 01/29/34 100.000 VARIES 4.6110 0.115526 0.111144 0.108170 0.105127 0.102013 39.68 37.46 Citigroup Inc. 1730T0F38 01/31/14 08/01/19 100.000 0.000 2.5874 0.074704 0.075670 0.076649 0.077641 0.078645 27.36 28.07 Citigroup Inc. 1730T0G78 02/19/14 02/19/34 100.000 VARIES 4.7123 0.119265 0.115203 0.113433 0.111621 0.109767 41.43 40.03 Citigroup Funding, Inc. 1730T0GY9 04/28/09 04/28/24 100.000 VARIES 8.1831 0.201253 0.202345 0.203482 0.204666 0.205897 72.79 73.62 Citigroup Inc. 1730T0H36 02/28/14 08/29/19 100.000 0.000 2.6153 0.073894 0.075683 0.076254 0.077676 0.078261 27.67 28.34 Citigroup Funding, Inc. 1730T0HN2 04/29/10 04/29/30 100.000 VARIES 5.9941 0.139676 0.139845 0.140020 0.140200 0.140540 50.34 50.47 Citigroup Inc. 1730T0J83 02/28/14 02/28/19 100.000 VARIES 1.6995 0.045593 0.045079 0.045935 0.045293 0.046247 16.63 16.69 Citigroup Funding, Inc. 1730T0JH3 06/24/10 06/24/20 100.000 VARIES 5.3515 0.151610 0.151381 0.151046 0.150702 0.150351 54.53 54.31 Citigroup Inc. 1730T0K99 03/31/14 10/01/19 100.000 0.000 2.7120 0.078448 0.079512 0.080590 0.081683 0.082790 28.63 29.41 Citigroup Funding, Inc. 1730T0KE8 09/09/10 09/09/20 100.000 VARIES 4.7845 0.142176 0.141938 0.141296 0.140637 0.139737 51.04 50.57 Citigroup Funding, Inc. 1730T0KG3 09/14/10 09/14/17 100.000 VARIES 2.5063 0.018879 0.019115 0.019355 0.019597 6.89 4.94 Citigroup Funding, Inc. 1730T0KT5 11/04/10 11/04/20 100.000 VARIES 2.4350 0.022030 0.022298 0.022569 0.022844 0.023122 8.01 8.21 Citigroup Funding, Inc. 1730T0KU2 11/04/10 11/04/20 100.000 VARIES 2.5364 0.024402 0.024712 0.025025 0.025343 0.025664 8.88 9.10 Citigroup Funding, Inc. 1730T0KV0 11/19/10 11/19/30 100.000 VARIES 5.1245 0.129517 0.129806 0.130103 0.130407 0.130720 46.70 46.92 Citigroup Funding, Inc. 1730T0KW8 11/30/10 11/28/16 100.000 0.000 3.8990 0.131344 0.133905 43.41 Citigroup Funding, Inc. 1730T0KX6 11/23/10 11/23/16 100.000 VARIES 1.4929 0.019404 0.019548 6.27 Citigroup Funding, Inc. 1730T0KY4 11/19/10 11/19/20 100.000 VARIES 4.7108 0.131080 0.130913 0.130743 0.130668 0.130591 47.14 47.05 Citigroup Funding, Inc. 1730T0KZ1 11/09/10 11/09/30 100.000 VARIES 5.5698 0.124492 0.124405 0.124315 0.125122 0.125952 44.79 44.98 Citigroup Inc. 1730T0L23 03/28/14 03/28/29 100.000 VARIES 4.3742 0.111579 0.108124 0.107036 0.105923 0.104787 39.12 38.12 Citigroup Inc. 1730T0L31 03/28/14 03/28/34 100.000 VARIES 4.6421 0.118344 0.114643 0.112911 0.111138 0.109325 41.43 40.00 Citigroup Inc. 1730T0L49 03/10/14 03/10/19 100.000 VARIES 1.8993 0.051573 0.051498 0.051601 0.051705 0.051942 18.56 18.63 Citigroup Inc. 1730T0L64 03/12/14 03/12/34 100.000 VARIES 4.7152 0.119343 0.115280 0.112435 0.109522 0.106541 41.48 39.31 Citigroup Inc. 1730T0L72 03/28/14 03/28/21 100.000 VARIES 3.3141 0.091798 0.091708 0.091715 0.091722 0.091729 33.02 33.02 Citigroup Inc. 1730T0L98 03/21/14 03/21/24 100.000 VARIES 3.2460 0.082672 0.080370 0.079267 0.078146 0.077931 29.01 28.20 Citigroup Funding, Inc. 1730T0LB3 11/15/10 11/15/20 100.000 VARIES 2.2798 0.018449 0.018660 0.018872 0.019087 0.019305 6.70 6.85 Citigroup Funding, Inc. 1730T0LU1 03/30/11 09/21/16 100.000 0.500 3.9296 0.127283 0.129511 33.49 Citigroup Inc. 1730T0M63 03/26/14 03/26/29 100.000 VARIES 4.3729 0.114530 0.112114 0.110429 0.108707 0.106948 40.41 39.11 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 1730T0M97 04/30/14 10/30/19 100.000 0.000 2.7618 0.079940 0.081044 0.082163 0.083297 0.084447 29.11 29.92 Citigroup Funding, Inc. 1730T0MA4 04/01/11 04/01/21 100.000 VARIES 5.0031 0.138824 0.138836 0.138849 0.138861 0.138875 49.98 49.99 Citigroup Funding, Inc. 1730T0MB2 04/28/11 10/26/16 100.000 0.500 3.6902 0.118337 0.120264 35.26 Citigroup Funding, Inc. 1730T0ME6 04/26/11 04/26/21 100.000 VARIES 1.9784 0.017411 0.017584 0.017758 0.017933 0.018111 6.32 6.45 Citigroup Funding, Inc. 1730T0MQ9 06/29/11 06/27/18 100.000 0.000 3.9199 0.129645 0.132186 0.134777 0.137418 0.140112 47.15 49.02 Citigroup Funding, Inc. 1730T0MR7 06/20/11 06/20/21 100.000 VARIES 4.6545 0.128996 0.129020 0.129044 0.129070 0.129095 46.44 46.46 Citigroup Funding, Inc. 1730T0MU0 07/28/11 01/25/17 100.000 0.500 3.3819 0.105411 0.106959 0.108533 38.71 2.60 Citigroup Inc. 1730T0N39 04/29/14 04/29/29 100.000 VARIES 4.2731 0.108647 0.105153 0.103977 0.102776 0.101550 38.19 37.07 Citigroup Inc. 1730T0N62 04/29/14 04/29/34 100.000 VARIES 4.5422 0.115609 0.111926 0.109734 0.107493 0.105201 40.59 38.82 Citigroup Funding, Inc. 1730T0NH8 08/30/11 02/24/17 100.000 0.500 3.8048 0.120564 0.122593 0.124661 44.29 6.61 Citigroup Funding, Inc. 1730T0NK1 08/26/11 08/26/16 100.000 VARIES 1.7275 0.011346 0.011444 2.68 Citigroup Funding, Inc. 1730T0NM7 08/31/11 08/31/21 100.000 VARIES 2.3031 0.016551 0.016559 0.017028 0.016943 0.017422 6.18 6.25 Citigroup Funding, Inc. 1730T0NS4 09/29/11 09/27/17 100.000 0.500 4.1394 0.132962 0.135426 0.137942 0.140509 48.78 37.15 Citigroup Inc. 1730T0P78 05/30/14 05/30/29 100.000 VARIES 4.1424 0.105006 0.101512 0.100176 0.098812 0.097420 37.02 35.73 Citigroup Inc. 1730T0P86 05/30/14 05/30/34 100.000 VARIES 4.4254 0.112420 0.108761 0.106175 0.103531 0.100829 39.62 37.58 Citigroup Funding, Inc. 1730T0PD5 10/28/11 10/27/17 100.000 0.500 3.9008 0.124131 0.126282 0.128474 0.130709 45.35 38.43 Citigroup Funding, Inc. 1730T0QC6 11/28/11 11/28/17 100.000 0.500 4.2510 0.137178 0.139799 0.142475 0.145208 50.03 47.08 Citigroup Funding, Inc. 1730T0QM4 12/05/11 12/05/16 100.000 VARIES 2.9298 0.081065 0.081223 27.10 Citigroup Inc. 1730T0R50 06/18/14 06/18/34 100.000 VARIES 4.4513 0.113126 0.109461 0.107337 0.105166 0.102947 39.99 38.19 Citigroup Inc. 1730T0R76 06/27/14 06/27/34 100.000 VARIES 4.4526 0.113341 0.109739 0.108283 0.106794 0.105272 40.13 38.70 Citigroup Inc. 1730T0R92 07/02/14 01/02/20 100.000 0.000 2.5296 0.072056 0.072968 0.073891 0.074825 0.075772 26.43 27.11 Citigroup Inc. 1730T0RJ0 02/28/13 02/28/33* 100.000 VARIES 4.1678 0.112054 0.110506 16.45* Citigroup Inc. 1730T0RM3 02/22/13 02/22/33* 100.000 VARIES 4.2776 0.116229 0.115874 16.36* Citigroup Inc. 1730T0RN1 02/27/13 02/27/28 100.000 VARIES 3.2574 0.080364 0.078370 0.077582 0.076781 0.075967 28.23 27.59 Citigroup Inc. 1730T0S67 06/19/14 06/19/19 100.000 VARIES 0.8119 0.009056 0.009001 0.009037 0.009074 0.009111 3.25 3.26 Citigroup Inc. 1730T0SE0 03/27/13 03/27/18 100.000 VARIES 0.8304 0.008121 0.008155 0.008190 0.008223 0.008257 2.94 2.96 Citigroup Inc. 1730T0SM2 04/29/13 04/29/33 100.000 VARIES 3.4969 0.086174 0.084589 0.084239 0.083882 0.083520 30.62 30.22 Citigroup Inc. 1730T0SX8 04/22/13 04/22/23 100.000 VARIES 1.4141 0.007198 0.007249 0.007300 0.007352 0.007404 2.61 2.64 Citigroup Inc. 1730T0T41 06/19/14 12/19/17 100.000 VARIES 1.7691 0.048395 0.048378 0.048592 0.048807 17.42 16.95 Citigroup Inc. 1730T0T58 06/27/14 06/27/34 100.000 VARIES 4.3618 0.111661 0.108355 0.107666 0.106963 0.106244 39.59 38.63 Citigroup Inc. 1730T0TE9 05/30/13 05/30/33* 100.000 VARIES 4.1969 0.113793 0.113368 27.16* Citigroup Inc. 1730T0TH2 05/30/13 05/30/33 100.000 VARIES 4.1915 0.105364 0.103178 0.102080 0.100958 0.099813 37.44 36.48 Citigroup Inc. 1730T0TK5 05/30/13 05/30/33 100.000 VARIES 4.1925 0.101153 0.098414 0.097941 0.097459 0.096966 35.82 35.14 Citigroup Inc. 1730T0TN9 06/28/13 06/28/33* 100.000 VARIES 4.5765 0.113456 20.08* Citigroup Inc. 1730T0TQ2 06/11/13 06/11/33 100.000 VARIES 4.2944 0.107595 0.105552 0.105145 0.104728 0.104303 38.32 37.76 Citigroup Inc. 1730T0TT6 06/28/13 06/28/33 100.000 VARIES 4.5397 0.110427 0.108847 0.107231 0.105579 0.106117 39.46 38.30 Citigroup Inc. 1730T0TZ2 06/27/13 06/27/33 100.000 VARIES 4.6404 0.116170 0.114901 0.113603 0.112274 0.112679 41.58 40.65 Citigroup Inc. 1730T0U23 07/31/14 01/31/20 100.000 0.000 2.5817 0.073578 0.074528 0.075490 0.076464 0.077451 26.95 27.65 Citigroup Inc. 1730T0U49 07/31/14 07/31/34 100.000 VARIES 4.3416 0.114431 0.111244 0.107988 0.107330 0.106658 39.65 38.56 Citigroup Inc. 1730T0U56 07/30/14 07/30/29 100.000 VARIES 4.2647 0.114797 0.112903 0.110970 0.110268 0.109552 40.41 39.61 Citigroup Inc. 1730T0U64 07/09/14 09/30/16 100.000 0.000 1.1704 0.032982 0.033175 8.91 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 1730T0U98 07/30/14 07/30/34 100.000 VARIES 4.5842 0.122654 0.120230 0.117750 0.116651 0.115527 42.98 41.86 Citigroup Inc. 1730T0UB3 07/09/13 07/09/33 100.000 VARIES 4.7564 0.121532 0.119677 0.117778 0.117829 0.117882 42.77 42.43 Citigroup Inc. 1730T0UG2 07/09/13 07/09/28 100.000 VARIES 4.4998 0.113009 0.112128 0.111227 0.110306 0.109364 40.22 39.56 Citigroup Inc. 1730T0UK3 07/30/13 07/30/33 100.000 VARIES 4.8332 0.122239 0.120017 0.117742 0.115411 0.113024 42.93 41.26 Citigroup Inc. 1730T0UP2 08/28/13 08/28/18 100.000 VARIES 0.9242 0.011140 0.011192 0.011244 0.011296 0.011348 4.03 4.07 Citigroup Inc. 1730T0V71 08/28/14 02/29/20 100.000 0.000 2.4723 0.069627 0.069721 0.071753 0.071456 0.073538 25.76 26.35 Citigroup Inc. 1730T0V89 08/29/14 08/29/34 100.000 VARIES 4.6276 0.120851 0.119616 0.116355 0.116073 0.114502 43.44 42.19 Citigroup Inc. 1730T0VC0 09/27/13 09/27/20 100.000 VARIES 3.3025 0.092306 0.092461 0.092619 0.092647 0.092677 33.29 33.35 Citigroup Inc. 1730T0VD8 09/18/13 09/18/33 100.000 VARIES 5.1092 0.127502 0.125247 0.122935 0.120565 0.118133 45.02 43.34 Citigroup Inc. 1730T0VK2 10/08/13 10/08/23 100.000 VARIES 3.9666 0.101597 0.100536 0.099453 0.098350 0.097224 36.21 35.42 Citigroup Funding, Inc. 1730T0VR7 01/23/12 01/23/16 100.000 VARIES 3.3341 0.021125 .46 Citigroup Inc. 1730T0W21 08/28/14 08/28/34 100.000 VARIES 4.2432 0.113245 0.110860 0.108423 0.108234 0.108041 39.75 38.95 Citigroup Inc. 1730T0W70 08/28/14 08/30/19 100.000 0.000 2.4762 0.069351 0.070210 0.071469 0.071959 0.073250 25.80 26.40 Citigroup Funding, Inc. 1730T0WC9 02/15/12 02/14/16 100.000 VARIES 2.0055 0.009612 .41 Citigroup Funding, Inc. 1730T0WF2 02/24/12 02/24/20 100.000 VARIES 2.8625 0.009032 0.009161 0.009292 0.009425 0.009560 3.31 3.40 Citigroup Funding, Inc. 1730T0WK1 03/29/12 03/30/16 100.000 1.000 2.5858 0.075978 6.76 Citigroup Funding, Inc. 1730T0WR6 03/30/12 03/30/22 100.000 VARIES 3.8302 0.106824 0.107066 0.107207 0.107352 0.107393 38.53 38.64 Citigroup Funding, Inc. 1730T0WU9 04/02/12 04/02/16 100.000 VARIES 1.4378 0.010047 .91 Citigroup Funding, Inc. 1730T0XG9 05/30/12 06/07/18 100.000 0.500 3.6727 0.114067 0.115906 0.117780 0.119688 0.121631 41.48 42.84 Citigroup Funding, Inc. 1730T0XX2 08/06/12 08/04/16 100.000 0.000 2.5430 0.076192 0.077161 16.40 Citigroup Inc. 1730T0Y37 10/02/14 04/02/20 100.000 0.000 2.8849 0.082466 0.083656 0.084862 0.086086 0.087328 30.12 30.99 Citigroup Funding, Inc. 1730T0YD5 08/30/12 03/02/18 100.000 0.750 2.7849 0.082259 0.083114 0.083981 0.084861 0.085752 29.97 30.60 Citigroup Inc. 1730T0Z28 10/07/14 10/07/21 100.000 1.000 3.1429 0.089191 0.090156 0.091137 0.092132 0.093144 32.45 33.16 Citigroup Inc. 1730T0Z85 10/08/14 10/07/21 100.000 1.000 3.0937 0.087746 0.088673 0.089615 0.090572 0.091543 31.91 32.60 Citigroup Funding, Inc. 1730T0ZJ1 11/27/12 11/27/22 100.000 VARIES 1.5728 0.015754 0.015877 0.016002 0.016128 0.016255 5.70 5.79 Citigroup Funding, Inc. 1730T0ZV4 12/20/12 12/20/32* 100.000 VARIES 4.2025 0.113279 19.14* Citigroup Inc. 1730T3AV5 08/31/15 08/31/35 100.000 VARIES 4.4143 0.121272 0.116604 0.115056 0.110167 0.108863 42.76 40.33 Citigroup Inc. 1730T3AW3 08/31/15 08/31/35 100.000 VARIES 4.4099 0.121153 0.116487 0.114938 0.110796 0.110276 42.72 40.62 Citigroup Inc. 1730T3AX1 09/30/15 09/30/35 100.000 VARIES 4.3723 0.121453 0.118036 0.114543 0.110975 0.107328 42.48 39.94 Citigroup Inc. 1730T3AY9 10/30/15 10/30/35 100.000 VARIES 4.3036 0.119545 0.116141 0.112662 0.109109 0.105480 42.00 39.48 Citigroup Inc. 1730T3AZ6 11/30/15 11/30/35 100.000 VARIES 4.3523 0.120898 0.117649 0.114329 0.110936 0.107470 42.73 40.33 Citigroup Funding, Inc. 17314V346 05/27/10 05/26/16 100.000 0.000 4.4491 0.157409 22.82 Citigroup Funding, Inc. 17316G784 10/28/10 10/27/16 100.000 0.000 3.6054 0.119733 0.121892 35.83 Citigroup Funding, Inc. 17317U717 08/30/11 11/23/16 100.000 0.000 3.7251 0.120969 0.123222 39.36 Citigroup Funding, Inc. 17318Q574 10/02/12 09/27/18 100.000 0.000 2.4948 0.074626 0.075557 0.076499 0.077453 0.078420 27.21 27.89 Citigroup Inc. 17321F755 11/05/13 11/03/22 100.000 0.000 3.6499 0.108974 0.110962 0.112987 0.115049 0.117149 39.82 41.29 Citigroup Inc. 17323P140 03/03/16 09/01/23 100.000 0.000 3.0321 0.084227 0.085490 0.086786 0.088102 25.25 31.32 Citigroup Inc. 17323P249 02/03/16 08/03/23 100.000 0.000 2.9606 0.082240 0.083457 0.084693 0.085946 27.15 30.64 Citigroup Inc. 17323P314 11/24/15 11/26/21 100.000 0.000 2.8521 0.079240 0.080370 0.081516 0.082678 0.083857 28.81 29.64 Citigroup Inc. 17323P363 02/03/16 08/03/23 100.000 0.000 2.9606 0.082240 0.083457 0.084693 0.085946 27.15 30.64 Citigroup Inc. 17323P496 01/05/16 07/06/23 100.000 0.000 3.1941 0.088725 0.088734 0.090151 0.091591 0.093054 31.84 33.22 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 17323Q643 10/05/15 04/04/23 100.000 0.000 3.1922 0.088674 0.090081 0.091519 0.092980 0.094464 32.42 33.47 Citigroup Inc. 17323Q692 09/18/15 03/20/23 100.000 0.000 3.1459 0.087402 0.088776 0.090173 0.091591 0.093032 31.99 33.01 Citigroup Global Markets 17324C2F2 04/29/16 10/29/21 100.000 0.025 N/A 0.072951 0.073817 0.074696 0.075585 17.71 26.84 Citigroup Global markets 17324C2G0 04/29/16 10/29/21 100.000 0.250 2.6262 0.072950 0.073817 0.074695 0.075585 17.71 26.84 Citigroup Global Markets 17324C2J4 05/24/16 05/24/21 100.000 VARIES 2.5076 0.069656 0.069050 0.068435 0.068500 15.09 24.73 Citigroup Global Markets 17324C2U9 04/28/16 04/28/31 100.000 VARIES 4.2284 0.117457 0.117240 0.117018 0.116791 28.53 42.14 Citigroup Global Markets 17324C2W5 04/28/16 04/28/26 100.000 VARIES 3.4898 0.095350 0.096239 0.096082 0.097032 23.70 35.15 Citigroup Global Markets 17324C2Z8 04/29/16 04/30/21 100.000 0.000 2.4477 0.067993 0.067998 0.068831 0.069673 0.070526 16.51 25.03 Citigroup Global Markets 17324C3D6 05/31/16 12/01/21 100.000 0.400 2.6322 0.073118 0.073123 0.073940 0.074767 0.075604 15.45 26.82 Citigroup Global Markets 17324C3E4 05/27/16 05/27/21 100.000 0.000 2.5424 0.070625 0.071523 0.072432 0.073353 15.14 25.97 Citigroup Global Markets 17324C3Y0 07/05/16 01/03/22 100.000 0.400 2.3786 0.066075 0.066721 0.067383 11.63 24.14 Citigroup Global Markets 17324C3Z7 07/05/16 07/02/21 100.000 0.000 2.2350 0.062085 0.062767 0.063469 10.93 22.72 Citigroup Global Markets 17324C6F8 06/27/16 06/27/36 100.000 VARIES 4.1313 0.114760 0.114171 0.113570 0.112956 21.11 40.99 Citigroup Global Markets 17324C6L5 08/30/16 08/30/21 100.000 0.000 2.1695 0.059602 0.059919 0.060902 7.39 21.97 Citigroup Global Markets 17324C6M3 08/02/16 02/02/22 100.000 0.300 2.3124 0.064233 0.064880 0.065534 9.57 23.43 Citigroup Global Markets 17324CA55 09/02/16 03/03/22 100.000 0.300 2.2649 0.062916 0.062920 0.063538 0.064163 7.49 22.91 Citigroup Global Markets 17324CAQ9 09/30/16 03/31/22 100.000 0.250 2.2317 0.061992 0.062606 0.063227 5.64 22.54 Citigroup Global Markets 17324P156 05/05/16 11/03/23 100.000 0.000 2.9323 0.081455 0.082636 0.083848 0.085077 19.29 30.11 Citigroup Global Markets 17324P248 06/03/16 12/05/23 100.000 0.000 2.8709 0.079748 0.079761 0.080906 0.082067 0.083246 16.62 29.40 Citigroup Global Markets 17324P396 08/03/16 02/05/24 100.000 0.000 2.5904 0.071956 0.071967 0.072899 0.073843 10.65 26.35 Citigroup Global Markets 17324P784 10/05/16 04/03/24 100.000 0.000 2.6554 0.073763 0.074731 0.075723 6.34 26.90 Clark CNTY SCH DIST, NV 181059QF6 07/08/10 06/15/24 91.490 5.510 6.4444 24.91 0.015140 0.015628 0.016131 0.016651 0.017188 5.55 5.92 Clark CNTY SCH DIST, NV 181059QG4 07/08/10 06/15/20 94.976 5.510 6.1946 23.94 0.014452 0.014899 0.015361 0.015836 0.016327 5.30 5.63 Clark CNTY SCH DIST, NV 181059QH2 07/08/10 06/15/20 94.976 5.510 6.1946 23.94 0.014452 0.014899 0.015361 0.015836 0.016327 5.30 5.63 Clinton Counties, IL 187327AX9 09/10/15 12/01/18 100.000 VARIES 2.4410 0.068179 0.069011 0.067818 0.067815 0.067812 24.68 24.41 Kaskaskia Comm Colle, IL 187350EV1 02/19/16 12/01/17 103.892 3.875 1.6518 0.047672 0.047391 0.046893 0.046392 14.80 15.38 Kaskaskia Comm Colle, IL 187350EW9 02/19/16 12/01/18 105.525 4.000 1.9513 0.057199 0.056900 0.056372 0.055837 0.055298 17.77 20.17 Kaskaskia Comm Colle, IL 187350EX7 02/19/16 12/01/19 106.497 4.000 2.2011 0.065114 0.064828 0.064318 0.063803 0.063283 20.24 23.03 Coles Counties, IL 193792ER5 11/26/13 12/01/18 99.308 VARIES N/A 0.087128 0.087188 0.087248 0.087310 0.087373 31.38 31.42 Coles Counties, IL 193792ET1 11/26/13 12/01/20 99.346 VARIES N/A 0.106625 0.106673 0.106721 0.106770 0.106821 38.40 38.43 Coles Counties, IL 193792EU8 11/26/13 12/01/21 105.395 VARIES 4.2403 0.122484 0.122136 0.121781 0.121418 0.121048 44.01 43.75 Coles Counties, IL 193792EV6 11/26/13 12/01/22 104.771 VARIES 4.3908 0.126405 0.126131 0.125851 0.125564 0.125272 45.44 45.24 Coles Counties, IL 193792EW4 11/26/13 12/01/23 99.115 VARIES 4.5918 0.126352 0.126415 0.126479 0.126545 0.126612 45.50 45.55 Coles Counties, IL 193792EX2 11/26/13 12/01/23 99.043 VARIES 4.7528 0.130693 0.130762 0.130833 0.130906 0.130980 47.07 47.12 Coles Counties, IL 193792EY0 11/26/13 12/01/23 98.985 VARIES 4.9627 0.136388 0.136464 0.136541 0.136621 0.136703 49.12 49.17 Coles Counties, IL 193792EZ7 11/26/13 12/01/23 98.936 VARIES 5.1716 0.142059 0.142141 0.142225 0.142311 0.142400 51.16 51.22 Coles Counties, IL 193792FA1 11/26/13 12/01/23 98.886 VARIES 5.3301 0.146342 0.146429 0.146519 0.146611 0.146706 52.70 52.77 Coles Counties, IL 193792FB9 11/26/13 12/01/23 99.347 VARIES 5.4215 0.149423 0.149483 0.149544 0.149607 0.149671 53.81 53.85 Coles Counties, IL 193792FC7 11/26/13 12/01/23 99.318 VARIES 5.5264 0.152270 0.152333 0.152397 0.152464 0.152532 54.83 54.88 Coles Counties, IL 193792FD5 11/26/13 12/01/23 99.293 VARIES 5.6307 0.155108 0.155173 0.155241 0.155310 0.155381 55.85 55.90 Coles Counties, IL 193792FE3 11/26/13 12/01/23 99.301 VARIES 5.9329 0.163424 0.163493 0.163564 0.163636 0.163711 58.85 58.90 Coles Counties, IL 193792FF0 11/26/13 12/01/23 99.314 VARIES 6.2343 0.171728 0.171799 0.171873 0.171948 0.172027 61.84 61.89 Coles Counties, IL 193792FG8 11/26/13 12/01/23 99.331 VARIES 6.5351 0.180022 0.180096 0.180171 0.180249 0.180330 64.83 64.88 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Coles Counties, IL 193792FH6 11/26/13 12/01/23 118.448 VARIES 6.4777 0.207373 0.206037 0.204659 0.203235 0.201765 74.33 73.33 Coles Counties, IL 193792FQ6 11/03/15 12/01/16 100.478 0.000 1.5418 0.043087 0.043419 14.28 Comcast Corporation 200300507 10/15/99 10/15/29 100.000 2.000 10.5154 1.274631 1.338726 1.406191 1.477204 1.551950 480.40 530.09 Comcast Corporation 200300606 11/15/99 11/15/29 100.000 2.000 10.3810 1.231136 1.292155 1.356341 1.423859 1.494882 459.95 506.81 CompuCredit Corporation 20478NAA8 05/27/05 05/30/25 100.000 VARIES 9.1300 0.482258 0.493750 0.519721 0.529475 0.557627 179.82 192.71 CompuCredit Corporation 20478NAB6 05/27/05 05/30/25 100.000 VARIES 9.1300 0.482258 0.493750 0.519721 0.529475 0.557627 179.82 192.71 CompuCredit Corporation 20478NAC4 11/23/05 01/31/36 100.000 5.875 N/A 0.361050 0.373492 0.378172 0.393700 0.396777 137.05 143.71 CompuCredit Corporation 20478NAD2 11/23/05 01/31/36 100.000 5.875 N/A 0.361050 0.373492 0.378172 0.399370 0.396777 137.05 143.71 Convergys Corporation 212485AE6 10/13/09 09/15/29 114.396 VARIES 14.1017 0.806241 0.851826 0.900626 0.952866 1.008789 308.46 345.09 Cook County, Illinois 213309KR7 04/28/05 12/01/16 52.896 0.000 5.5696 421.98 0.146442 0.150520 49.06 Cook County, Illinois 213309KS5 04/28/05 12/01/17 49.824 0.000 5.6095 401.20 0.139500 0.143413 0.147435 0.151571 51.16 49.40 Cook County, Illinois 213309KT3 04/28/05 12/01/18 46.339 0.000 5.7396 384.51 0.134541 0.138402 0.142373 0.146459 0.150662 49.36 52.24 Cook County, Illinois 213309KU0 04/28/05 12/01/19 43.603 0.000 5.7697 364.30 0.127656 0.131338 0.135127 0.139026 0.143036 46.84 49.58 Cook County, Illinois 213309KV8 04/28/05 12/01/20 40.881 0.000 5.8197 345.47 0.121347 0.124878 0.128512 0.132252 0.136100 44.54 47.17 Cook County, IL SD #88 214183KP9 06/15/10 06/01/30 25.818 0.000 6.8998 117.93 0.071674 0.074147 0.076705 0.079351 0.082088 26.40 28.25 Cook County, IL SD #88 214183KR5 06/15/10 12/01/26 33.796 0.000 6.6997 149.12 0.090144 0.093164 0.096285 0.099510 0.102844 33.18 35.44 Cook County, IL SD #88 214183KS3 06/15/10 12/01/27 31.374 0.000 6.7498 139.65 0.084533 0.087386 0.090335 0.093384 0.096536 31.12 33.26 Cook County, IL SD #88 214183KT1 06/15/10 12/01/28 29.098 0.000 6.7998 130.65 0.079190 0.081882 0.084666 0.087545 0.090522 29.16 31.17 Cook County, IL SD #88 214183KU8 06/15/10 12/01/29 26.961 0.000 6.8498 122.10 0.074109 0.076647 0.079273 0.081988 0.084796 27.29 29.19 Cook County, IL SD #89 214201GD1 12/13/07 12/01/16 59.629 0.000 5.8497 352.28 0.153389 0.157875 51.43 Cook County, IL SD #89 214201GE9 12/13/07 12/01/17 55.745 0.000 5.9498 336.31 0.146987 0.151360 0.155863 0.160500 53.97 52.27 Cook County, IL SD #89 214201GF6 12/13/07 12/01/18 52.014 0.000 6.0498 320.34 0.140536 0.144787 0.149167 0.153679 0.158328 51.62 54.79 Cook County, IL SD #89 214201GG4 12/13/07 12/01/19 48.439 0.000 6.1497 304.46 0.134071 0.138193 0.142443 0.146823 0.151337 49.26 52.33 Cook County, IL SD #89 214201GH2 12/13/07 12/01/20 45.022 0.000 6.2498 288.74 0.127623 0.131611 0.135724 0.139965 0.144339 46.91 49.88 Cook County, IL SD #89 214201GJ8 12/13/07 12/01/21 41.765 0.000 6.3498 273.23 0.121220 0.125068 0.129039 0.133136 0.137363 44.57 47.44 Cook County, IL SD #89 214201GK5 12/13/07 12/01/22 38.951 0.000 6.3998 257.33 0.114381 0.118041 0.121819 0.125717 0.129739 42.06 44.79 Cook County, IL SD #89 214201GL3 12/13/07 12/01/23 36.291 0.000 6.4498 242.12 0.107819 0.111296 0.114885 0.118590 0.122414 39.65 42.25 Cook County, IL SD #89 214201GM1 12/13/07 12/01/24 33.947 0.000 6.4698 227.36 0.101324 0.104602 0.107986 0.111479 0.115085 37.27 39.72 Cook County, IL SD #89 214201GP4 11/29/10 12/15/24 34.234 0.000 7.7796 162.54 0.108728 0.112958 0.117352 0.121916 0.126659 40.04 43.22 Cook County, IL SD #89 214201GQ2 11/29/10 12/15/25 30.724 0.000 7.9996 150.78 0.101418 0.105475 0.109694 0.114081 0.118644 37.37 40.42 Cook County, IL SD #89 214201GR0 11/29/10 12/15/26 109.444 VARIES 7.6950 0.230285 0.229793 0.229283 0.228753 0.228203 82.80 82.43 Cook County, IL SD #89 214201GS8 11/29/10 12/15/26 27.332 0.000 8.2496 139.15 0.094176 0.098060 0.102105 0.106317 0.110702 34.73 37.65 Cook County, IL SD #104 214471HQ0 12/30/02 12/01/22 21.989 0.000 7.7496 371.20 0.126426 0.131324 0.136413 0.141699 0.147189 46.69 50.38 Cook County, IL SD #123 214651JY8 10/15/07 12/01/16 58.297 0.000 5.9991 364.35 0.157078 0.161790 52.68 Cook County, IL SD #123 214651JZ5 10/15/07 12/01/17 54.681 0.000 6.0492 345.30 0.149153 0.153665 0.158312 0.163101 54.78 53.10 Cook County, IL SD #123 214651KA8 10/15/07 12/01/18 51.240 0.000 6.0992 326.91 0.141479 0.145794 0.150240 0.154822 0.159543 51.97 55.19 Cook County, IL SD #123 214651KB6 10/15/07 12/01/19 48.025 0.000 6.1392 308.92 0.133897 0.138007 0.142243 0.146609 0.151110 49.19 52.26 Cook County, IL SD #123 214651KC4 10/15/07 12/01/20 44.691 0.000 6.2294 292.77 0.127332 0.131298 0.135388 0.139605 0.143953 46.80 49.76 Cook County, IL SD #123 214651KD2 10/15/07 12/01/21 41.802 0.000 6.2694 276.05 0.120245 0.124015 0.127902 0.131911 0.136046 44.20 47.01 Cook County, IL SD #123 214651KE0 10/15/07 12/01/22 39.242 0.000 6.2794 259.66 0.113150 0.116703 0.120367 0.124146 0.128044 41.59 44.24 Cook County, IL SD #123 214651KF7 10/15/07 12/01/23 36.831 0.000 6.2895 244.20 0.106454 0.109801 0.113254 0.116816 0.120489 39.13 41.63 Cook County, IL SD #123 214651KG5 10/15/07 12/01/24 34.562 0.000 6.2995 229.62 0.100133 0.103287 0.106540 0.109896 0.113357 36.81 39.16 Cook County, IL SD #123 214651KH3 10/15/07 12/01/25 32.426 0.000 6.3095 215.86 0.094170 0.097140 0.100205 0.103366 0.106627 34.62 36.84 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, IL SD #123 214651KJ9 10/15/07 12/01/26 30.417 0.000 6.3195 202.88 0.088543 0.091341 0.094227 0.097204 0.100275 32.55 34.64 Cook County, IL SD #123 214651KK6 10/15/07 06/01/27 29.429 0.000 6.3295 196.69 0.085871 0.088589 0.091392 0.094285 0.097269 31.57 33.60 Cook County, IL SD #127 214723CV8 09/07/05 12/01/19 46.971 0.000 5.3794 342.61 0.120841 0.124092 0.127429 0.130857 0.134377 44.29 46.70 Cook County, IL SD #127 214723CW6 09/07/05 12/01/20 44.082 0.000 5.4494 326.93 0.115692 0.118844 0.122082 0.125408 0.128826 42.41 44.75 Cook County, IL SD #127 214723CX4 09/07/05 12/01/21 41.315 0.000 5.5194 311.48 0.110591 0.113643 0.116779 0.120002 0.123313 40.55 42.82 Cook County, IL SD #127 214723CY2 09/07/05 12/01/22 38.734 0.000 5.5794 296.13 0.105437 0.108378 0.111402 0.114510 0.117704 38.67 40.85 Cook County, IL SD #127 214723CZ9 09/07/05 12/01/23 36.271 0.000 5.6395 281.17 0.100396 0.103227 0.106138 0.109131 0.112208 36.82 38.93 Cook County, IL SD #127 214723DA3 09/07/05 12/01/24 33.990 0.000 5.6895 266.52 0.095388 0.098101 0.100892 0.103762 0.106714 34.99 37.01 Cook County, IL SD #133 214813BZ9 06/26/12 12/15/16 97.998 4.250 4.7524 15.38 0.013316 0.013633 4.64 Cook County, IL SD #133 214813CA3 06/26/12 12/15/20 97.998 5.000 5.2964 7.25 0.006340 0.006508 0.006680 0.006857 0.007038 2.32 2.44 Cook County, IL SD #148 215075FA5 07/09/08 12/01/27 94.524 6.000 6.6229 0.011704 0.012091 0.012492 0.012905 0.013333 4.31 4.60 Cook County, IL SD #153 215183GM0 05/14/08 12/15/16 59.694 0.000 6.0984 347.42 0.156909 0.161693 55.64 Cook County, IL SD #153 215183GN8 05/14/08 12/15/17 55.331 0.000 6.2694 333.01 0.153924 0.158749 0.163726 0.168858 56.44 57.25 Cook County, IL SD #153 215183GP3 05/14/08 12/15/18 51.329 0.000 6.3994 316.87 0.147153 0.151862 0.156721 0.161736 0.166911 53.98 57.49 Cook County, IL SD #153 215183GQ1 05/14/08 12/15/19 47.338 0.000 6.5593 301.34 0.140748 0.145364 0.150131 0.155055 0.160141 51.65 55.09 Cook County, IL SD #155 215219FN1 06/30/03 12/01/18 44.637 0.000 5.2998 412.17 0.125836 0.129171 0.132594 0.136107 0.139714 46.10 48.58 Cook County, IL SD #155 215219FP6 06/30/03 12/01/19 41.690 0.000 5.3998 394.79 0.121204 0.124476 0.127837 0.131288 0.134833 44.42 46.85 Cook County, IL SD #155 215219FQ4 06/30/03 12/01/20 39.193 0.000 5.4498 375.80 0.115697 0.118849 0.122088 0.125415 0.128832 42.41 44.75 Cook County, IL SD #155 215219FR2 06/30/03 12/01/21 36.482 0.000 5.5497 358.55 0.111001 0.114081 0.117246 0.120500 0.123843 40.70 42.99 Cook County, IL SD #155 215219FS0 06/30/03 12/01/22 33.892 0.000 5.6497 341.32 0.106256 0.109257 0.112344 0.115517 0.118780 38.97 41.21 Cook County, IL SD #155 215219GB6 06/02/05 12/01/16 55.669 0.000 5.1601 397.73 0.136217 0.139731 45.58 Cook County, IL SD #155 215219GC4 06/02/05 12/01/17 52.327 0.000 5.2501 382.22 0.131478 0.134929 0.138471 0.142106 48.16 46.35 Cook County, IL SD #155 215219GD2 06/02/05 12/01/18 49.294 0.000 5.3100 365.35 0.126043 0.129389 0.132825 0.136351 0.139971 46.18 48.67 Cook County, IL SD #155 215219GE0 06/02/05 12/01/19 46.448 0.000 5.3600 348.44 0.120498 0.123728 0.127044 0.130449 0.133945 44.16 46.56 Cook County, IL SD #155 215219GF7 06/02/05 12/01/20 43.922 0.000 5.3801 331.08 0.114606 0.117689 0.120854 0.124106 0.127444 42.00 44.29 Cook County, IL SD #155 215219GG5 06/02/05 12/01/21 41.054 0.000 5.4700 316.16 0.109917 0.112923 0.116012 0.119184 0.122444 40.29 42.53 Cook County, IL SD #155 215219GH3 06/02/05 12/01/22 38.699 0.000 5.5000 300.14 0.104500 0.107373 0.110326 0.113360 0.116478 38.31 40.45 Cook County, IL SD #155 215219GQ3 06/02/05 12/01/23 36.261 0.000 5.5600 285.23 0.099595 0.102364 0.105210 0.108135 0.111141 36.52 38.58 Cook County, IL SD #155 215219GR1 06/02/05 12/01/24 34.002 0.000 5.6100 270.59 0.094712 0.097369 0.100100 0.102908 0.105795 34.74 36.71 Cook County, IL SD #155 215219HB5 06/29/06 12/01/16 54.002 0.000 5.9995 407.29 0.157088 0.161801 52.69 Cook County, IL SD #155 215219HC3 06/29/06 12/01/17 50.621 0.000 6.0495 385.90 0.149160 0.153672 0.158320 0.163109 54.78 53.11 Cook County, IL SD #155 215219HD1 06/29/06 12/01/18 47.405 0.000 6.0996 365.25 0.141487 0.145802 0.150249 0.154831 0.159553 51.97 55.19 Cook County, IL SD #155 215219HE9 06/29/06 12/01/19 44.524 0.000 6.1196 344.52 0.133571 0.137658 0.141870 0.146211 0.150685 49.07 52.12 Cook County, IL SD #155 215219HF6 06/29/06 12/01/20 41.744 0.000 6.1496 325.06 0.126189 0.130069 0.134069 0.138191 0.142440 46.36 49.26 Cook County, IL SD #155 215219HG4 06/29/06 12/01/21 39.173 0.000 6.1696 306.32 0.119021 0.122692 0.126477 0.130379 0.134401 43.73 46.47 Cook County, IL SD #155 215219HH2 06/29/06 12/01/22 36.688 0.000 6.1996 288.70 0.112319 0.115801 0.119390 0.123091 0.126907 41.27 43.87 Cook County, IL SD #155 215219HJ8 06/29/06 12/01/23 34.398 0.000 6.2197 271.82 0.105844 0.109136 0.112530 0.116029 0.119638 38.90 41.35 Cook County, IL SD #155 215219HK5 06/29/06 12/01/24 32.181 0.000 6.2498 255.90 0.099775 0.102893 0.106108 0.109424 0.112843 36.67 39.00 Cook County, IL SD #155 215219HL3 06/29/06 12/01/25 30.147 0.000 6.2697 240.72 0.093937 0.096882 0.099919 0.103051 0.106282 34.53 36.73 Cook County, IL SD #155 215219HM1 06/29/06 06/01/26 29.062 0.000 6.2996 233.50 0.091238 0.094112 0.097076 0.100134 0.103288 33.54 35.68 Cook County, IL SD #155 215219JK3 06/29/06 12/01/16 54.002 0.000 5.9995 407.29 0.157088 0.161801 52.69 Cook County, IL SD #155 215219JL1 06/29/06 12/01/17 50.621 0.000 6.0495 385.90 0.149160 0.153672 0.158320 0.163109 54.78 53.11 Cook County, IL SD #155 215219JM9 06/29/06 12/01/18 47.405 0.000 6.0996 365.25 0.141487 0.145802 0.150249 0.154831 0.159553 51.97 55.19 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, IL SD #155 215219JN7 06/29/06 12/01/19 44.524 0.000 6.1196 344.52 0.133571 0.137658 0.141870 0.146211 0.150685 49.07 52.12 Cook County, IL SD #155 215219JR8 10/08/09 12/01/23 39.094 0.000 6.7493 200.36 0.110238 0.113958 0.117804 0.121780 0.125889 40.58 43.37 Cook County, IL SD #155 215219JS6 10/08/09 12/01/24 36.316 0.000 6.7993 187.78 0.103471 0.106989 0.110626 0.114387 0.118276 38.10 40.73 Cook County, IL SD #155 215219JT4 10/08/09 12/01/25 33.703 0.000 6.8493 175.82 0.097021 0.100343 0.103780 0.107334 0.111010 35.73 38.22 Cook County, IL SD #155 215219JU1 10/08/09 12/01/26 31.248 0.000 6.8993 164.44 0.090879 0.094014 0.097257 0.100612 0.104083 33.47 35.82 Cook County, IL SD #155 215219JV9 10/08/09 12/01/27 28.691 0.000 6.9993 153.64 0.085157 0.088137 0.091221 0.094414 0.097718 31.37 33.61 Cook County, IL SD #155 215219JW7 10/08/09 12/01/28 26.292 0.000 7.0994 143.23 0.079625 0.082451 0.085378 0.088409 0.091547 29.35 31.47 Cook County, IL SD #155 215219JX5 10/08/09 06/01/29 25.151 0.000 7.1494 138.19 0.076934 0.079684 0.082533 0.085483 0.088539 28.36 30.42 Cook County, IL SD #162 215291LG8 06/30/11 12/01/16 78.988 0.000 4.3994 171.05 0.117003 0.119577 39.07 Cook County, IL SD #162 215291LH6 06/30/11 12/01/17 73.981 0.000 4.7494 174.19 0.120108 0.122960 0.125880 0.128869 43.93 42.08 Cook County, IL SD #162 215291LJ2 06/30/11 12/01/18 69.321 0.000 4.9995 172.69 0.119755 0.122749 0.125817 0.128962 0.132186 43.83 46.05 Cook County, IL SD #162 215291LK9 06/30/11 12/01/19 64.641 0.000 5.2494 169.94 0.118521 0.121632 0.124825 0.128101 0.131464 43.42 45.73 Cook County, IL SD #162 215291LL7 06/30/11 12/01/20 59.985 0.000 5.4994 166.06 0.116469 0.119672 0.122963 0.126344 0.129818 42.70 45.08 Cook County, IL SD #162 215291LM5 06/30/11 12/01/21 55.395 0.000 5.7496 161.15 0.113665 0.116933 0.120294 0.123753 0.127310 41.71 44.14 Cook County, IL SD #162 215291LP8 06/30/11 12/01/23 47.270 0.000 6.1246 147.61 0.104998 0.108213 0.111527 0.114942 0.118462 38.57 40.97 Cook County, IL SD #162 215291LQ6 06/30/11 12/01/24 43.785 0.000 6.2495 139.88 0.099773 0.102890 0.106105 0.109421 0.112840 36.67 39.00 Cook County, IL SD #162 215291LT0 06/30/11 12/01/27 33.620 0.000 6.7497 117.20 0.084533 0.087386 0.090335 0.093383 0.096535 31.12 33.26 Cook County, IL SD #162 215291LU7 06/30/11 12/01/28 30.805 0.000 6.8747 109.65 0.079312 0.082038 0.084858 0.087775 0.090792 29.21 31.25 Cook County, IL SD #162 215291LV5 06/30/11 12/01/29 28.410 0.000 6.9496 102.39 0.074180 0.076758 0.079425 0.082185 0.085041 27.33 29.26 Cook County, IL SD #162 215291LW3 06/30/11 12/01/30 26.286 0.000 6.9996 95.51 0.069276 0.071701 0.074210 0.076808 0.079496 25.52 27.34 Corvallie, Benton County 2208855M5 03/12/02 01/01/17 37.109 0.000 6.8092 564.14 0.176895 0.182918 64.77 Corvallie, Benton County 2208855N3 03/12/02 01/01/18 34.442 0.000 6.8591 529.40 0.166489 0.172199 0.178105 0.184213 60.96 65.22 Corvallie, Benton County 2208855P8 03/12/02 01/01/19 31.935 0.000 6.9091 496.30 0.156540 0.161948 0.167542 0.173330 57.33 61.36 Corvallie, Benton County 2208855Q6 03/12/02 01/01/20 29.582 0.000 6.9592 464.79 0.147034 0.152151 0.157445 0.162923 53.85 57.67 Corvallie, Benton County 2208855R4 03/12/02 01/01/21 27.475 0.000 6.9893 434.53 0.137707 0.142519 0.147500 0.152654 50.44 54.03 Corvallie, Benton County 2208855S2 03/12/02 01/01/22 25.504 0.000 7.0193 406.00 0.128891 0.133415 0.138097 0.142944 47.22 50.59 Corvallie, Benton County 2208855T0 03/12/02 01/01/23 23.613 0.000 7.0594 379.17 0.120658 0.124917 0.129326 0.133891 44.20 47.38 Costco Companies, Inc. 22160QAA0 08/19/97 08/19/17 49.960 0.000 3.5000 445.33 0.090705 0.092292 0.093907 0.095550 33.36 21.71 Costco Companies, Inc. 22160QAB8 08/19/97 08/19/17 49.960 0.000 3.5000 445.33 0.090705 0.092292 0.093907 0.095550 33.36 21.71 Costco Companies, Inc. 22160QAC6 08/19/97 08/19/17 49.960 0.000 3.5000 445.33 0.090705 0.092292 0.093907 0.095550 33.36 21.71 Crawford CNTY, IL 224759EU0 10/30/14 12/01/16 109.531 VARIES 1.3393 0.038920 0.038065 12.69 Crawford CNTY, IL 224759EV8 10/30/14 12/01/17 113.034 VARIES 1.6409 0.049476 0.048514 0.047545 0.046568 17.58 15.51 Crawford CNTY, IL 224759EW6 10/30/14 12/01/18 114.429 VARIES 2.0418 0.062807 0.061817 0.060818 0.059808 0.058788 22.37 21.65 Crawford CNTY, IL 224759EX4 10/30/14 12/01/19 115.947 VARIES 2.3920 0.074909 0.073895 0.072869 0.071830 0.070779 26.72 25.98 Crawford CNTY, IL 224759EY2 10/30/14 12/01/20 99.160 VARIES 2.6464 0.073010 0.073058 0.073105 0.073154 0.073203 26.30 26.33 Crawford CNTY, IL 224759EZ9 10/30/14 12/01/21 99.043 VARIES 2.8962 0.079808 0.079857 0.079908 0.079959 0.080010 28.74 28.78 Crawford CNTY, IL 224759FB1 10/30/14 12/01/23 98.821 VARIES 2.9354 0.080514 0.080473 0.080431 0.080388 0.080345 28.98 28.94 Credit Suisse USA, Inc. 22539T431 03/05/15 02/25/22 100.000 0.000 1.9373 0.054307 0.054833 0.055364 0.055900 0.056441 19.78 20.16 Credit Suisse USA, Inc. 22541HCU4 03/04/11 03/01/16 100.000 0.000 3.0020 0.095332 5.72 Credit Suisse USA, Inc. 22541HCW0 06/23/11 06/22/18 100.000 0.000 3.6401 0.118927 0.121091 0.123295 0.125539 0.127824 43.24 44.83 Credit Suisse USA, Inc. 22541HDC3 01/18/13 01/21/20 100.000 0.000 1.3160 0.037780 0.038029 0.038279 0.038531 0.038784 13.73 13.91 Credit Suisse USA, Inc. 22541HDD1 07/03/13 07/06/20 100.000 0.125 2.1480 0.062131 0.062761 0.063398 0.064041 0.064692 22.70 23.17 Credit Suisse USA, Inc. 22545F136 01/02/15 12/28/21 100.000 0.000 2.1699 0.061577 0.062245 0.062920 0.063603 0.064293 22.29 22.78 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse USA, Inc. 22546E4R2 04/29/11 04/29/16 100.000 0.000 3.1146 0.099427 11.73 Credit Suisse USA, Inc. 22546E6C3 05/31/11 05/31/16 100.000 0.000 2.8780 0.090918 13.55 Credit Suisse USA, Inc. 22546E6E9 05/31/11 05/31/16 100.000 0.000 2.7670 0.086979 12.96 Credit Suisse USA, Inc. 22546EB94 10/28/10 10/28/30 100.000 VARIES 3.9512 0.112465 0.112218 0.111965 0.111708 0.111445 40.41 40.23 Credit Suisse USA, Inc. 22546TAL5 06/30/11 06/30/16 100.000 0.000 3.0499 0.097084 17.38 Credit Suisse USA, Inc. 22546TNB3 03/26/12 03/24/17 100.000 0.000 1.3843 0.040352 0.040632 0.040913 14.63 3.40 Credit Suisse USA, Inc. 22546TQX2 05/07/12 05/05/17 100.000 0.000 1.1036 0.031860 0.032036 0.032212 11.52 3.99 Credit Suisse USA, Inc. 22546TRE3 04/26/12 04/25/16 100.000 0.000 0.9090 0.026065 2.97 Credit Suisse USA, Inc. 22546VMW3 10/30/15 10/31/25 100.000 1.500 2.5532 0.070146 0.069749 0.071282 0.070494 0.072049 25.67 25.92 Credit Suisse USA, Inc. 22546VP42 10/29/15 10/29/21 100.000 0.000 1.6599 0.046109 0.046492 0.046878 0.047267 0.047659 16.72 16.99 Credit Suisse USA, Inc. 22546VPQ3 11/30/15 11/28/25 100.000 1.500 2.5441 0.070672 0.071037 0.071410 0.071788 0.072172 25.53 25.80 Credit Suisse USA, Inc. 22546VPR1 11/30/15 11/28/23 100.000 0.000 1.9529 0.054248 0.054772 0.055307 0.055847 0.056392 19.66 20.04 Credit Suisse USA, Inc. 22546VPW0 11/30/15 05/30/23 100.000 0.000 1.9020 0.052834 0.053336 0.053843 0.054355 0.054872 19.14 19.51 Credit Suisse USA, Inc. 22546VQM1 11/24/15 11/19/20 100.000 0.000 1.6254 0.045153 0.045510 0.045879 0.046252 0.046628 16.35 16.62 Credit Suisse USA, Inc. 22546VR73 12/31/15 07/02/20 100.000 0.000 1.6700 0.046389 0.046393 0.046781 0.047171 0.047565 16.77 17.05 Credit Suisse USA, Inc. 22546VRL2 12/23/15 12/23/25 100.000 VARIES 2.4835 0.009543 0.009123 0.008698 0.008268 0.007833 3.35 3.05 Credit Suisse USA, Inc. 22546VRM0 12/28/15 12/27/22 100.000 0.500 1.9027 0.052855 0.053224 0.053598 0.053976 0.054357 19.10 19.37 Credit Suisse USA, Inc. 22546VTS5 01/29/16 01/29/21 100.000 0.000 1.7999 0.049998 0.050448 0.050902 0.051360 16.67 18.38 Credit Suisse USA, Inc. 22546VTT3 01/29/16 07/30/20 100.000 0.000 1.7999 0.049998 0.050001 0.050451 0.050905 0.051363 16.67 18.38 Credit Suisse USA, Inc. 22546VTU0 02/05/16 11/01/19 100.000 0.000 1.8097 0.050270 0.050487 0.050944 0.051405 0.051870 16.47 18.48 Credit Suisse USA, Inc. 22546VU79 01/22/16 04/22/21 100.000 0.000 1.7997 0.049992 0.050217 0.050669 0.051125 0.051585 17.03 18.39 Credit Suisse USA, Inc. 22546VUX2 02/10/16 02/10/26 100.000 VARIES 2.2723 0.017823 0.017401 0.016974 0.016542 5.66 6.07 Credit Suisse USA, Inc. 22546VW77 02/26/16 02/26/21 100.000 0.000 1.8100 0.050280 0.050735 0.051194 0.051657 15.39 18.46 Credit Suisse USA, Inc. 22546VY91 03/28/16 03/25/21 100.000 0.000 1.4700 0.040834 0.041129 0.041432 0.041736 11.18 14.92 Credit Suisse USA, Inc. 22546VYY6 03/18/16 03/18/21 100.000 VARIES 1.9747 0.009299 0.008950 0.008596 0.008681 2.60 3.13 Credit Suisse USA, Inc. 22547QER3 12/27/13 12/28/21 100.000 0.000 2.6360 0.077167 0.078184 0.079214 0.080259 0.081316 27.97 28.71 Credit Suisse USA, Inc. 22547QQF6 07/08/14 07/08/19 100.000 0.000 1.7799 0.050328 0.050776 0.051228 0.051684 0.052144 18.35 18.68 Credit Suisse USA, Inc. 22547QXM3 01/30/15 01/29/21 100.000 0.000 1.5401 0.043110 0.043442 0.043777 0.044114 0.044454 15.68 15.92 Credit Suisse USA, Inc. 22547QY83 12/29/14 06/28/22 100.000 0.000 2.2049 0.062602 0.063292 0.063990 0.064695 0.065409 22.67 23.17 Credit Suisse USA, Inc. 22547QZ66 12/31/14 12/31/20 100.000 0.000 1.9589 0.055486 0.056030 0.056579 0.057133 0.057692 20.07 20.47 Credit Suisse USA, Inc. 22547QZ82 12/12/14 12/14/22 100.000 0.000 2.1597 0.061304 0.061966 0.062635 0.063312 0.063995 22.21 22.69 Credit Suisse USA, Inc. 22547W5D1 02/07/14 02/05/21 100.000 0.000 2.0912 0.059924 0.060551 0.061184 0.061823 0.062470 21.87 22.33 Credit Suisse USA, Inc. 22547WKH5 06/12/15 06/14/22 100.000 0.000 2.2645 0.063625 0.064346 0.065074 0.065811 0.066556 23.06 23.58 Credit Suisse USA, Inc. 22547WPN7 12/29/15 12/29/22 100.000 0.000 1.9233 0.053425 0.053939 0.054458 0.054981 0.055510 19.33 19.70 Credit Suisse USA, Inc. 22547WQ22 02/11/16 02/10/23 100.000 0.000 1.8032 0.050089 0.050539 0.050994 0.051454 16.09 18.40 Credit Suisse USA, Inc. 22547WQ89 04/27/16 05/01/23 100.000 0.000 1.5174 0.042151 0.042159 0.042478 0.042801 0.043126 10.31 15.39 Credit Suisse USA, Inc. 22547WQA4 06/20/16 06/16/21 100.000 0.000 1.8619 0.051720 0.052191 0.052677 0.053167 9.89 18.89 Credit Suisse USA, Inc. 22547WQB2 06/23/16 06/21/21 100.000 0.000 2.0800 0.056831 0.057731 0.058012 0.058938 10.92 21.14 Credit Suisse USA, Inc. 22547WQE6 08/12/16 08/14/23 100.000 VARIES N/A 0.010453 0.010453 0.010568 0.010685 1.45 3.82 Credit Suisse USA, Inc. 22548Q2Q7 04/28/16 04/28/26 100.000 VARIES 2.7488 0.027356 0.026590 0.025813 0.025025 6.60 9.33 Credit Suisse USA, Inc. 22548Q5R2 05/27/16 05/27/21 100.000 0.000 2.5649 0.071250 0.072164 0.073089 0.074026 15.28 26.21 Credit Suisse USA, Inc. 22548Q6L4 05/20/16 05/20/31 100.000 VARIES 3.7259 0.103498 0.103499 0.103500 0.103501 22.87 37.26 Credit Suisse USA, Inc. 22548QHX6 09/28/16 09/26/24 100.000 0.000 1.3289 0.036915 0.037158 0.037405 3.43 13.38 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse USA, Inc. 22548QKG9 10/28/16 10/30/23 100.000 0.000 1.6003 0.044454 0.044458 0.044813 0.045172 2.80 16.11 Credit Suisse USA, Inc. 22548QL37 10/20/16 10/20/26 100.000 VARIES 2.2704 0.018902 0.018455 0.018002 1.34 6.66 Credit Suisse USA, Inc. 2254M0CR5 02/18/11 02/18/21 100.000 VARIES 2.0492 0.010869 0.010980 0.011093 0.011206 0.011321 3.96 4.04 Credit Suisse USA, Inc. 2254M0GM2 07/29/11 07/29/16 100.000 VARIES 0.9093 0.001658 0.001653 .34 Credit Suisse USA, Inc. 2254M0H58 08/17/11 08/17/17 100.000 VARIES 1.2913 0.026819 0.026784 0.026749 9.64 6.04 Credit Suisse USA, Inc. 2254M0HK5 08/18/11 08/18/16 100.000 VARIES 1.4617 0.004812 0.004847 1.10 Credit Suisse USA, Inc. 2254M0HP4 09/06/11 09/06/18 100.000 VARIES 1.6149 0.000079 0.000079 0.000080 0.000081 0.000081 .29 .29 Credit Suisse USA, Inc. 2254M0HV1 09/13/11 09/13/16 100.000 VARIES 1.4720 0.003917 0.003946 .99 City of Crest Hill, IL 225903BX0 12/01/10 05/01/23 94.618 4.800 5.4004 17.86 0.011185 0.011487 0.011797 0.012115 0.012443 4.12 4.34 Deutsche Bank AG 25152RAT0 12/20/12 12/20/22 100.000 0.000 1.6453 0.048007 0.048402 0.048800 0.049201 0.049606 17.36 17.65 Deutsche Bank AG 25152RKC6 05/14/14 11/15/17 100.000 0.000 1.6315 0.046442 0.046821 0.047203 0.047588 16.82 14.89 Deutsche Bank AG 25152RLC5 06/18/14 06/16/17 100.000 0.000 1.5017 0.042658 0.042979 0.043301 15.42 7.14 Deutsche Bank AG 25152RUV3 01/31/13 01/31/33 100.000 VARIES 2.3744 0.060306 0.059538 0.059411 0.059282 0.059152 21.44 21.33 Deutsche Bank AG 25152RUY7 03/15/13 03/15/33 100.000 VARIES 2.5035 0.062951 0.062133 0.062040 0.061945 0.061849 22.42 22.30 Deutsche Bank AG 25152RUZ4 03/28/13 03/28/18 100.000 VARIES 1.5000 0.041870 0.041970 0.041962 0.041954 0.041811 15.10 15.09 Deutsche Bank AG 25152RVB6 05/23/13 05/23/18 100.000 VARIES 1.6237 0.045367 0.045487 0.045467 0.045447 0.045276 16.36 16.36 Deutsche Bank AG 25152RVD2 06/28/13 06/28/33 100.000 VARIES 2.0551 0.051887 0.051377 0.051386 0.051396 0.051405 18.59 18.50 Deutsche Bank AG 25152RVT7 03/31/14 03/31/34 100.000 VARIES 1.1015 0.026868 0.026170 0.025898 0.025624 0.025646 9.46 9.25 Deutsche Bank AG 25152RVV2 05/07/14 05/05/17 100.000 0.000 1.0113 0.028521 0.028665 0.028810 10.31 3.57 Deutsche Bank AG 25152RXB4 06/30/14 06/30/34 100.000 VARIES 1.0463 0.025856 0.025253 0.024989 0.024725 0.024683 9.20 8.95 Deutsche Bank AG 25152RXC2 08/28/14 08/28/34 100.000 VARIES 0.8843 0.021768 0.021502 0.021235 0.021203 0.021171 7.72 7.63 Deutsche Bank AG 25152RXE8 09/30/14 09/30/29 100.000 VARIES 1.1688 0.030245 0.029690 0.029132 0.028938 0.028743 10.69 10.42 Deutsche Bank AG 2515A0FC2 09/05/07 09/05/17 100.000 VARIES 5.2125 0.136803 0.138724 0.140695 0.142718 50.05 34.69 Deutsche Bank AG 2515A1NH0 04/27/16 04/25/19 100.000 0.000 2.6295 0.073044 0.073993 0.074966 0.075952 17.89 26.94 Deutsche Bank AG 2515A1NS6 05/04/16 05/07/19 100.000 0.000 2.4159 0.067110 0.067124 0.067935 0.068755 0.069586 15.95 24.69 Deutsche Bank AG 2515A1PE5 05/06/11 05/06/19 100.000 VARIES 4.4256 0.125892 0.125708 0.125521 0.125329 0.124750 45.27 45.11 Deutsche Bank AG 2515A1PH8 11/30/12 11/30/17 100.000 VARIES 1.3034 0.036333 0.036347 0.036360 0.036284 13.08 11.95 Domtar Corporation 257559AG9 06/09/09 06/01/17 96.157 10.750 11.4987 28.90 0.017588 0.018599 0.019668 6.58 2.95 Douglas Cnty SD #302, IL 258741BS5 11/30/10 12/01/16 109.259 VARIES 3.5892 0.101314 0.100515 33.29 Downtown Dallas Dev Auth 261149BJ6 11/07/07 08/15/16 59.688 0.000 5.9687 367.26 0.156329 0.160994 35.86 Downtown Dallas Dev Auth 261149BK3 11/07/07 08/15/17 55.746 0.000 6.0689 350.18 0.149583 0.154122 0.158799 0.163618 55.92 36.44 Downtown Dallas Dev Auth 261149BL1 11/07/07 08/15/18 52.073 0.000 6.1490 332.50 0.142429 0.146808 0.151321 0.155974 0.160769 53.27 56.60 Downtown Dallas Dev Auth 261149BM9 11/07/07 08/15/19 48.734 0.000 6.1989 314.34 0.134886 0.139067 0.143377 0.147821 0.152403 50.47 53.64 Downtown Dallas Dev Auth 261149BN7 11/07/07 08/15/20 45.395 0.000 6.2791 297.55 0.128039 0.132059 0.136205 0.140481 0.144892 47.93 50.98 DuPage County SD #12, IL 262777CU7 06/28/12 01/01/17 100.000 VARIES 1.9976 0.055491 0.055491 19.98 DuPage County SD #12, IL 262777CV5 06/28/12 01/01/18 100.000 VARIES 2.3971 0.066592 0.066591 0.066590 0.066589 23.97 23.97 DuPage County SD #12, IL 262777CW3 06/28/12 01/01/19 100.000 VARIES 2.6969 0.074921 0.074920 0.074919 0.074918 26.97 26.97 DuPage County SD #12, IL 262777CX1 06/28/12 01/01/20 100.000 VARIES 2.8968 0.080478 0.080477 0.080475 0.080474 28.97 28.97 DuPage County SD #12, IL 262777CY9 06/28/12 01/01/21 100.000 VARIES 3.2464 0.090193 0.090192 0.090191 0.090189 32.47 32.47 DuPage County SD #12, IL 262777CZ6 06/28/12 01/01/22 100.000 VARIES 3.7455 0.104069 0.104067 0.104065 0.104063 37.46 37.46 Dune Energy, Inc. 265338AD5 12/22/11 12/15/16 100.000 14.500 N/A 0.578411 0.609453 204.56 East Orange NJ 274137WT1 04/14/03 04/01/22 29.893 0.000 6.4698 372.84 0.118808 0.122652 0.126619 0.130715 0.134944 44.17 47.07 East Orange NJ 274137WU8 04/14/03 04/01/23 27.886 0.000 6.4999 350.14 0.111753 0.115385 0.119135 0.123007 0.127005 41.55 44.29 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ East Orange NJ 274137WV6 04/14/03 04/01/24 26.105 0.000 6.5100 328.50 0.104904 0.108318 0.111844 0.115484 0.119243 39.00 41.59 East Orange NJ 274137WW4 04/14/03 04/01/25 24.381 0.000 6.5300 308.17 0.098515 0.101731 0.105053 0.108483 0.112025 36.63 39.06 East Orange NJ 274137WX2 04/14/03 04/01/26 22.763 0.000 6.5498 288.98 0.092478 0.095506 0.098634 0.101864 0.105200 34.39 36.68 East Orange NJ 274137WY0 04/14/03 04/01/27 21.292 0.000 6.5600 270.91 0.086742 0.089587 0.092525 0.095560 0.098695 32.26 34.41 East Orange NJ 274137WZ7 04/14/03 04/01/28 19.913 0.000 6.5699 253.92 0.081345 0.084017 0.086777 0.089628 0.092572 30.25 32.27 Eclipse Resources Corp. 27890GAA8 07/06/15 07/15/23 97.903 8.875 9.2509 .89 0.005065 0.005299 0.005545 0.005801 0.006069 1.95 2.13 Eclipse Resources Corp. 27890GAB6 07/06/15 07/15/23 97.903 8.875 9.2509 .89 0.005065 0.005299 0.005545 0.005801 0.006069 1.95 2.13 Edgar Counties SD #3, IL 279713CK5 10/10/13 12/01/16 103.073 VARIES 2.9854 0.083752 0.083344 27.56 Eksportfinans ASA 282645UV0 05/03/10 02/05/16 100.000 0.000 2.8500 0.091864 3.12 EL Paso Corporation 28336LBT5 02/09/09 02/15/16 95.535 8.250 9.1255 43.63 0.023260 1.02 Electronic Data SYS Corp 285661AB0 10/10/01 10/10/21* 77.941 VARIES N/A 0.227959 5.70* Electronic Data SYS Corp 285661AE4 06/30/03 07/15/23* 100.000 VARIES N/A 0.208781 0.211029 5.24* Electronic Data SYS Corp 285661AF1 06/30/03 07/15/23* 100.000 VARIES N/A 0.208781 0.211029 5.24* Euronet Worldwide, Inc. 298736AG4 10/30/14 10/01/44 100.000 VARIES 6.9990 0.204406 0.210101 0.215995 0.222096 0.228410 75.65 79.97 Euronet Worldwide, Inc. 298736AH2 10/30/14 10/01/44 100.000 VARIES 6.9990 0.204406 0.210101 0.215995 0.222096 0.228410 75.65 79.97 European Investment Bank 298785DW3 03/10/06 03/10/21 44.672 0.000 5.4449 309.96 0.112557 0.115621 0.118769 0.122002 0.125324 41.76 44.07 Exelon Corporation 30161N127 06/17/14 06/01/24 100.000 VARIES 4.8845 0.140504 0.142240 0.144017 0.145839 0.145222 51.00 52.21 Exelon Corporation 30161NAE1 06/17/14 06/01/24 100.000 VARIES 4.8845 0.140504 0.142240 0.144017 0.145839 0.145222 51.00 52.21 Freddie Mac 3128X0AZ2 10/03/02 01/02/34 19.160 0.000 5.3582 194.39 0.055960 0.057460 0.058999 0.060580 0.062203 20.96 22.10 Freddie Mac 3128X2SP1 01/30/04 04/01/16 54.741 0.000 5.0126 440.36 0.135835 12.23 Freddie Mac 3128X2SQ9 01/30/04 10/01/16 52.987 0.000 5.0758 433.31 0.134102 0.137505 36.82 Freddie Mac 3128X2SR7 01/30/04 04/01/17 51.299 0.000 5.1327 425.70 0.132140 0.135531 0.139009 48.80 12.51 Freddie Mac 3128X2SS5 01/30/04 10/01/17 49.661 0.000 5.1861 417.76 0.130037 0.133409 0.136868 0.140417 48.04 37.59 Freddie Mac 3128X2ST3 01/30/04 04/01/18 48.064 0.000 5.2374 409.62 0.127844 0.131192 0.134628 0.138153 0.141771 47.24 49.74 Freddie Mac 3128X2SU0 01/30/04 10/01/18 46.530 0.000 5.2834 401.17 0.125509 0.128824 0.132227 0.135720 0.139306 46.38 48.87 Freddie Mac 3128X2SV8 01/30/04 04/01/19 45.040 0.000 5.3272 392.60 0.123108 0.126387 0.129753 0.133209 0.136758 45.51 47.96 Freddie Mac 3128X2SW6 01/30/04 10/01/19 43.600 0.000 5.3679 383.91 0.120638 0.123876 0.127200 0.130614 0.134120 44.60 47.03 Freddie Mac 3128X2SX4 01/30/04 04/01/20 42.215 0.000 5.4047 375.12 0.118099 0.121291 0.124569 0.127935 0.131392 43.67 46.06 Freddie Mac 3128X2SY2 01/30/04 10/01/20 40.880 0.000 5.4384 366.28 0.115519 0.118660 0.121887 0.125201 0.128606 42.73 45.08 Freddie Mac 3128X4AE1 04/19/05 04/15/17 56.285 0.000 4.8518 377.30 0.125422 0.128464 0.131581 46.17 13.68 Freddie Mac 3128X4S77 03/24/06 06/20/16 59.540 0.000 5.1280 381.13 0.138886 23.47 Freddie Mac 3128X52H0 04/03/07 04/02/37 21.177 0.000 5.2421 121.21 0.047867 0.049121 0.050409 0.051730 0.053086 17.68 18.62 Freddie Mac 3128X55E4 05/04/07 05/04/37 16.728 0.000 6.0499 113.01 0.046657 0.048069 0.049523 0.051021 0.052564 17.21 18.27 Freddie Mac 3128X5LK2 10/02/06 10/02/34 24.784 0.000 5.0446 145.06 0.054379 0.055750 0.057156 0.058598 0.060076 20.07 21.10 Freddie Mac 3128X6HU3 07/20/07 09/28/18 54.270 0.000 5.5370 318.31 0.130561 0.134176 0.137890 0.141708 0.145631 48.33 51.05 Freddie Mac 3128X6WP7 12/21/07 12/21/37 22.860 0.000 4.9802 110.70 0.046875 0.048042 0.049238 0.050465 0.051721 17.11 17.97 Freddie Mac 3128X74S0 11/04/08 11/15/38 26.387 0.000 4.4860 98.65 0.044917 0.045925 0.046955 0.048008 0.049085 16.45 17.19 Freddie Mac 3128X75U4 11/24/08 11/15/38 27.529 0.000 4.3499 98.44 0.044909 0.045886 0.046884 0.047903 0.048945 16.43 17.16 Freddie Mac 3128X7N59 06/30/08 06/30/38 21.820 0.000 5.1394 101.10 0.045578 0.046749 0.047950 0.049182 0.050446 16.62 17.49 Freddie Mac 3128X8DG4 12/29/08 02/15/39 40.774 0.000 2.9999 94.60 0.041392 0.042012 0.042643 0.043282 0.043931 15.18 15.64 Freddie Mac 3128X9MF4 11/10/09 09/15/36 29.930 0.000 4.5438 95.16 0.049131 0.050247 0.051388 0.052556 0.053750 18.13 18.96 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Freddie Mac 3128X9MG2 11/10/09 12/15/36 29.600 0.000 4.5433 94.07 0.049130 0.050246 0.051388 0.052555 0.053749 17.92 18.75 Freddie Mac 312902LX5 12/17/99 12/17/29 14.255 0.000 6.6001 261.37 0.073864 0.076302 0.078820 0.081421 0.084108 27.10 28.92 Freddie Mac 312902VG1 04/25/00 01/04/21 25.643 0.000 6.6857 462.95 0.129348 0.133672 0.138141 0.142759 0.147531 48.90 52.22 Freddie Mac 312902VH9 04/25/00 01/04/22 24.042 0.000 6.6795 433.42 0.121051 0.125094 0.129271 0.133589 0.138050 45.76 48.87 Freddie Mac 312902VJ5 04/25/00 01/04/23 22.536 0.000 6.6749 405.82 0.113312 0.117094 0.121002 0.125041 0.129214 42.83 45.74 Freddie Mac 312902VK2 04/25/00 01/04/24 21.145 0.000 6.6664 380.01 0.106050 0.109585 0.113238 0.117012 0.120913 40.09 42.80 Freddie Mac 312902VL0 04/25/00 01/04/25 20.007 0.000 6.6235 355.93 0.099070 0.102351 0.105740 0.109242 0.112860 37.44 39.96 Freddie Mac 312902VM8 04/25/00 01/04/26 18.780 0.000 6.6160 333.50 0.092785 0.095855 0.099026 0.102301 0.105686 35.06 37.42 Freddie Mac 312902VN6 04/25/00 01/04/27 17.654 0.000 6.6033 312.57 0.086895 0.089764 0.092727 0.095789 0.098952 32.83 35.03 Freddie Mac 312902VV8 04/25/00 01/04/18 31.141 0.000 6.7034 564.57 0.157910 0.163203 0.168673 0.174326 0.180169 59.71 63.77 Freddie Mac 312902VW6 04/25/00 01/04/19 29.163 0.000 6.7017 528.50 0.147804 0.152757 0.157876 0.163166 0.168634 55.88 59.69 Freddie Mac 312902VX4 04/25/00 01/04/20 27.313 0.000 6.6997 494.74 0.138346 0.142981 0.147770 0.152720 0.157836 52.31 55.87 Freddie Mac 312902WL9 04/25/00 01/04/16 35.607 0.000 6.6893 643.39 0.179802 .54 Freddie Mac 312902WM7 04/25/00 01/04/17 33.256 0.000 6.7048 603.11 0.168704 0.174360 0.180205 63.79 .54 Federal Home Loan Banks 3130A0JE1 01/07/14 01/07/19* 100.000 VARIES 1.6244 0.044550 0.044630 8.30* Federal Home Loan Banks 3130A0MR8 01/22/14 01/22/21 100.000 VARIES 2.3228 0.065932 0.066291 0.066474 0.066659 0.066665 23.89 23.99 Federal Home Loan Banks 3130A0N63 01/23/14 01/23/20 100.000 VARIES 1.9611 0.055370 0.055585 0.055660 0.055736 0.055671 20.02 20.05 Federal Home Loan Banks 3130A1DD7 03/26/14 03/26/21 100.000 VARIES 2.2862 0.064896 0.065250 0.065431 0.065614 0.065627 23.48 23.61 Federal Home Loan Banks 3130A1DV7 03/26/14 03/26/21 100.000 VARIES 2.3281 0.066088 0.066450 0.066635 0.066822 0.066831 23.91 24.04 Federal Home Loan Banks 3130A1RY6 05/15/14 05/15/19 100.000 VARIES 1.7090 0.046736 0.046838 0.046942 0.047046 0.047152 16.85 16.93 Federal Home Loan Banks 3130A1S25 05/07/14 05/07/19 100.000 VARIES 1.6633 0.045558 0.045648 0.045739 0.045830 0.045923 16.43 16.49 Federal Home Loan Banks 3130A1S90 05/13/14 05/13/19 100.000 VARIES 1.6985 0.046467 0.046567 0.046667 0.046769 0.046871 16.76 16.83 Federal Home Loan Banks 3130A1TH1 05/22/14 05/22/19* 100.000 VARIES 1.7677 0.048245 6.80* Federal Home Loan Banks 3130A1UN6 05/22/14 05/22/19* 100.000 VARIES 1.7182 0.046972 6.62* Federal Home Loan Banks 3130A2SK3 08/20/14 08/20/19* 100.000 VARIES 1.7102 0.046666 0.046768 6.50* Federal Home Loan Banks 3130A2ST4 08/27/14 08/28/19* 100.000 VARIES 1.7859 0.048684 0.048796 7.17* Federal Home Loan Banks 3130A2SV9 08/27/14 08/28/19 100.000 VARIES 1.7926 0.048852 0.048967 0.049082 0.049198 0.049315 17.64 17.72 Federal Home Loan Banks 3130A2XS0 10/02/14 10/02/19* 100.000 VARIES 1.7547 0.047798 0.047912 8.66* Federal Home Loan Banks 3130A2YR1 09/26/14 09/26/19 100.000 VARIES 1.7203 0.046886 0.046996 0.047106 0.047217 0.047330 16.92 17.00 Federal Home Loan Banks 3130A2ZS8 10/09/14 10/09/19* 100.000 VARIES 1.8004 0.048954 0.049082 9.21* Federal Home Loan Banks 3130A3NY6 12/30/14 12/30/19* 100.000 VARIES 1.7251 0.047275 8.46* Federal Home Loan Banks 3130A3R63 12/23/14 12/23/19 100.000 VARIES 1.7764 0.048584 0.048676 0.048769 0.048863 0.048958 17.51 17.58 Federal Home Loan Banks 3130A4EV0 03/18/15 03/18/20 100.000 VARIES 1.7025 0.046883 0.046469 0.046569 0.046670 0.046772 16.77 16.80 Federal Home Loan Banks 3130A4JD5 03/30/15 03/30/20 100.000 VARIES 1.6373 0.045143 0.044802 0.044884 0.044968 0.045052 16.17 16.19 Federal Home Loan Banks 3130A4LE0 04/02/15 04/02/20 100.000 VARIES 1.6894 0.046533 0.046134 0.046230 0.046328 0.046426 16.65 16.68 Federal Home Loan Banks 3130A5CB3 05/27/15 05/27/20 100.000 VARIES 1.6121 0.044248 0.044156 0.044232 0.044309 0.044386 15.91 15.94 Federal Home Loan Banks 3130A5DC0 05/27/15 05/27/20 100.000 VARIES 1.7632 0.048797 0.048615 0.048432 0.048247 0.048366 17.52 17.40 Federal Home Loan Banks 3130A5LZ0 06/30/15 06/30/20 100.000 VARIES 1.7430 0.047570 0.047501 0.047612 0.047724 0.047838 17.11 17.16 Federal Home Loan Banks 3130A5M22 06/26/15 06/25/20 100.000 VARIES 1.7664 0.048312 0.048187 0.048293 0.048401 0.048509 17.37 17.41 Federal Home Loan Banks 3130A6XT9 01/08/16 01/08/21 100.000 VARIES 1.7928 0.049802 0.049626 0.049449 0.049269 17.55 17.77 Federal Home Loan Banks 3130A6Y92 01/20/16 01/20/21 100.000 VARIES 1.8818 0.052273 0.052112 0.051949 0.051784 17.80 18.68 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan Banks 3133734F6 04/15/11 04/15/16 100.000 VARIES 2.5160 0.070512 7.33 Federal Home Loan Banks 3133736X5 03/30/11 03/30/16 100.000 VARIES 2.4313 0.068084 6.06 Federal Home Loan Banks 3133737L0 04/13/11 04/13/17 100.000 VARIES 2.7757 0.079121 0.078662 0.077888 28.30 7.94 Federal Home Loan Banks 313373B84 04/13/11 04/13/17 100.000 VARIES 2.7757 0.079121 0.078662 0.077888 28.30 7.94 Federal Home Loan Banks 313373D74 04/21/11 04/21/16 100.000 VARIES 2.4737 0.069298 7.62 Federal Home Loan Banks 313374CU2 07/06/11 07/06/18* 100.000 VARIES 2.0867 0.058758 0.058364 10.80* Federal Home Loan Banks 313379HU6 06/05/12 06/05/17 100.000 VARIES 0.8042 0.022240 0.022274 0.022307 8.01 3.44 Federal Home Loan Banks 3133836A4 05/22/13 05/22/19 100.000 VARIES 1.0915 0.030018 0.030061 0.030104 0.030147 0.030190 10.82 10.85 Federal Home Loan Banks 313383JM4 06/27/13 06/27/19 100.000 VARIES 1.3128 0.036079 0.036134 0.036189 0.036244 0.036299 13.00 13.04 Federal Home Loan Banks 313383MU2 07/11/13 07/11/19* 100.000 VARIES 1.7140 0.046946 0.047027 4.70* Federal Home Loan Banks 313383NN7 07/17/13 07/17/19* 100.000 VARIES 1.7803 0.048635 0.048734 5.16* Freddie Mac 3134A1BU3 09/25/96 06/01/16 23.214 0.000 7.5580 737.51 0.202301 30.35 Freddie Mac 3134A1CT5 10/21/96 09/15/16 23.550 0.000 7.3996 714.68 0.191140 0.198212 49.82 Freddie Mac 3134A1DL1 11/01/96 02/01/16 25.038 0.000 7.3237 743.73 0.196250 5.89 Freddie Mac 3134A1FK1 11/20/96 09/03/19 20.641 0.000 7.0454 569.18 0.148361 0.153587 0.158997 0.164598 0.170397 55.61 59.59 Freddie Mac 3134A1H60 10/22/97 06/03/24 16.813 0.000 6.8126 400.71 0.107081 0.110729 0.114500 0.118401 0.122434 39.41 42.14 Freddie Mac 3134A1HU7 12/27/96 12/02/19 19.720 0.000 7.2067 560.54 0.150815 0.156249 0.161879 0.167712 0.173756 55.59 59.67 Freddie Mac 3134A1MY3 02/12/97 02/01/20 19.238 0.000 7.3061 553.70 0.146942 0.152309 0.157873 0.163641 0.169618 55.50 59.63 Freddie Mac 3134A1MZ0 02/12/97 03/01/16 25.716 0.000 7.2560 731.17 0.194501 11.67 Freddie Mac 3134A1NA4 02/12/97 01/02/19 20.877 0.000 7.2857 597.87 0.157542 0.163281 0.169229 0.175394 0.181783 59.84 64.28 Freddie Mac 3134A2G77 12/28/98 11/15/28 20.230 0.000 5.4198 300.13 0.075121 0.077157 0.079248 0.081396 0.083601 27.60 29.12 Freddie Mac 3134A2HG6 06/30/98 12/11/25 19.896 0.000 5.9699 358.17 0.092086 0.094834 0.097665 0.100580 0.103583 33.76 35.80 Freddie Mac 3134A3D29 09/09/99 08/15/27 14.928 0.000 6.9258 304.02 0.084984 0.087927 0.090971 0.094122 0.097381 31.94 34.19 Freddie Mac 3134A3ZU3 08/02/99 12/14/29 15.469 0.000 6.2410 269.55 0.073332 0.075620 0.077980 0.080413 0.082923 26.89 28.59 Freddie Mac 3134G2CV2 04/01/11 04/01/16 100.000 VARIES 2.1989 0.061702 5.55 Freddie Mac 3134G2JE3 05/18/11 02/15/16 91.147 0.000 1.9642 86.15 0.054032 2.38 Freddie Mac 3134G35Q9 02/19/13 02/01/16 98.624 0.000 0.4702 13.37 0.013031 .39 Freddie Mac 3134G3D80 08/03/12 03/01/16 98.331 0.000 0.4709 15.91 0.013052 .78 Freddie Mac 3134G3D98 08/03/12 08/01/16 97.750 0.000 0.5705 19.18 0.015758 0.015803 3.32 Freddie Mac 3134G3G87 09/05/12 02/01/16 97.910 0.000 0.6211 20.38 0.017201 .52 Freddie Mac 3134G3H60 08/29/12 02/12/16 98.330 0.000 0.4883 16.15 0.013532 .55 Freddie Mac 3134G3TF7 03/20/12 03/01/16 96.961 0.000 0.7833 29.09 0.021675 1.30 Freddie Mac 3134G3WS5 06/28/12 02/01/16 97.180 0.000 0.7979 27.54 0.022078 .66 Freddie Mac 3134G4HH4 10/02/13 09/30/16 97.752 0.000 0.7607 16.83 0.020627 0.020706 5.65 Freddie Mac 3134G4JD1 11/07/13 04/29/16 98.527 0.000 0.5997 12.77 0.016611 1.96 Freddie Mac 3134G4JS8 10/18/13 03/01/16 98.742 0.000 0.5348 11.70 0.014654 .88 Freddie Mac 3134G4S25 12/20/13 01/29/16 99.140 0.000 0.4100 8.28 0.011368 .32 Freddie Mac 3134G4TJ7 01/07/14 11/09/16 97.897 0.000 0.7500 14.65 0.020679 0.020756 6.38 Freddie Mac 3134G5PA7 11/06/14 01/30/17 98.473 0.000 0.6901 7.85 0.018973 0.019039 0.019104 6.86 .55 Freddie Mac 3134G5R56 12/03/14 09/01/16 99.098 0.000 0.5200 5.56 0.014371 0.014408 3.46 Freddie Mac 3134G5R64 12/03/14 09/01/17 97.435 0.000 0.9489 10.00 0.025865 0.025988 0.026111 0.026235 9.36 6.29 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Freddie Mac 3134G5R98 12/18/14 02/15/17 98.503 0.000 0.6999 7.16 0.019242 0.019309 0.019377 6.96 .85 Freddie Mac 3134G5UK9 12/30/14 06/15/16 99.295 0.000 0.4857 4.84 0.013459 2.21 Freddie Mac 3134G5VS1 12/19/14 08/01/16 99.132 0.000 0.5399 5.54 0.014918 0.014958 3.14 Freddie Mac 3134G5VZ5 12/19/14 07/01/16 99.222 0.000 0.5100 5.24 0.014131 2.54 Freddie Mac 3134G6JM6 03/12/15 05/01/17 98.351 0.000 0.7798 6.17 0.021411 0.021494 0.021578 7.73 2.59 Freddie Mac 3134G6NP4 04/16/15 02/01/18 97.254 0.000 0.9997 6.90 0.027088 0.027223 0.027359 0.027496 0.027634 9.82 9.92 Freddie Mac 3134G6RW5 04/08/15 07/14/17 98.320 0.000 0.7487 5.38 0.020491 0.020568 0.020645 0.020722 7.42 4.00 Freddie Mac 3134G6RX3 04/08/15 07/13/18 96.583 0.000 1.0679 7.55 0.028732 0.028886 0.029040 0.029195 0.029351 10.42 10.53 Freddie Mac 3134G6X81 05/20/15 08/30/18 96.333 0.000 1.1425 6.81 0.030169 0.030342 0.030683 0.030689 0.031034 11.14 11.24 Freddie Mac 3134G8HU6 01/20/16 07/01/20* 100.000 VARIES N/A 0.017767 2.86* Freddie Mac 3134G9D61 06/30/16 06/30/21 100.000 VARIES 1.3049 0.036249 0.036123 0.036042 0.036050 6.56 12.99 Freddie Mac 3134G9E37 06/30/16 06/30/21 100.000 VARIES 1.3049 0.036249 0.036123 0.036042 0.036050 6.56 12.99 Freddie Mac 3134G9XE2 06/30/16 06/30/21 100.000 VARIES 1.3815 0.038377 0.038258 0.038138 0.038114 6.95 13.75 Freddie Mac 3134G9XF9 06/30/16 06/30/21 100.000 VARIES 1.4307 0.039742 0.039629 0.039515 0.039524 7.19 14.25 Freddie Mac 3134G9XL6 06/29/16 06/29/21 100.000 VARIES 1.3914 0.038652 0.038534 0.038416 0.038398 7.03 13.85 Freddie Mac 3134G9XM4 06/30/16 06/30/21 100.000 VARIES 1.3944 0.038735 0.038606 0.038476 0.038453 7.01 13.87 Freddie Mac 3134G9XP7 06/30/16 06/30/21 100.000 VARIES 1.4320 0.039780 0.039667 0.039553 0.039438 7.20 14.26 Freddie Mac 3134G9XQ5 06/30/16 06/30/21 100.000 VARIES 1.3944 0.038735 0.038606 0.038476 0.038453 7.01 13.87 Freddie Mac 3134G9XT9 06/30/16 06/30/21 100.000 VARIES 1.4688 0.040802 0.040681 0.040559 0.040561 7.39 14.62 Freddie Mac 3134G9XV4 06/30/16 06/30/21 100.000 VARIES 1.3871 0.038533 0.038357 0.038238 0.038238 6.97 13.79 Freddie Mac 3134G9XX0 06/30/16 06/30/21 100.000 VARIES 1.5059 0.041833 0.041730 0.041626 0.041626 7.57 15.00 Freddie Mac 3134G9ZG5 06/30/16 06/30/21 100.000 VARIES 1.4587 0.040520 0.040411 0.040300 0.040189 7.33 14.53 Freddie Mac 3134G9ZM2 06/30/16 06/30/21 100.000 VARIES 1.4984 0.041623 0.041519 0.041414 0.041308 7.53 14.93 Freddie Mac 3134G9ZP5 06/30/16 06/30/21 100.000 VARIES 1.4965 0.041571 0.041456 0.041340 0.041338 7.52 14.90 Freddie Mac 3134GAQC1 09/30/16 09/30/21 100.000 VARIES 1.3156 0.036547 0.036376 0.036296 3.33 13.10 Freddie Mac 3134GAQE7 09/30/16 09/30/21 100.000 VARIES 1.3431 0.037310 0.037188 0.037111 3.40 13.39 Freddie Mac 3134GAQK3 09/30/16 09/30/21 100.000 VARIES 1.2929 0.035914 0.035789 0.035664 3.27 12.88 Fannie Mae 31359MEL3 01/29/99 06/01/17 34.790 0.000 5.8405 573.83 0.148815 0.153161 0.157634 54.62 23.65 Fannie Mae 3136F1EQ9 12/27/01 03/17/31 16.751 0.000 6.2082 227.10 0.066851 0.068926 0.071066 0.073272 0.075546 24.88 26.45 Fannie Mae 3136F3LA2 04/04/03 10/03/33 20.285 0.000 5.2999 192.22 0.057418 0.058940 0.060502 0.062105 0.063751 21.22 22.36 Fannie Mae 3136F3ZC3 06/09/03 12/15/33 23.674 0.000 N/A 0.057264 0.058640 0.060049 0.061492 0.062969 20.91 21.92 Fannie Mae 3136F4R55 01/07/04 12/15/34 18.268 0.000 5.5708 170.24 0.054478 0.055995 0.057555 0.059158 0.060806 19.93 21.06 Fannie Mae 3136F7NM5 11/15/05 11/15/30 26.938 0.000 5.3159 188.93 0.067220 0.069007 0.070841 0.072724 0.074657 24.69 26.02 Fannie Mae 3136G04C2 11/15/12 03/01/16 98.378 0.000 0.4969 15.39 0.013771 .83 Fannie Mae 3136G1SZ3 08/15/13 07/01/18 95.481 0.000 0.9502 21.77 0.025777 0.025900 0.026023 0.026147 9.30 9.39 Fannie Mae 3136G1ZJ1 03/21/14 01/26/19 97.874 0.000 N/A 0.024750 0.024788 0.024863 0.024875 0.024954 8.93 89.67 First Data Corporation. 319963AZ7 12/17/10 01/15/22* 95.625 VARIES N/A 0.178401 2.50* Forney Independent SD,TX 3464242U7 02/18/14 08/15/39 16.888 0.000 7.1001 23.55 0.036961 0.038273 0.039632 0.041039 0.042496 13.91 14.91 Forney Independent SD,TX 3464242V5 02/18/14 08/15/40 15.550 0.000 7.1500 21.85 0.034297 0.035523 0.036793 0.038108 0.039471 12.91 13.85 Forney Independent SD,TX 3464242W3 02/18/14 08/15/41 14.304 0.000 7.2000 20.24 0.031792 0.032937 0.034122 0.035351 0.036623 11.97 12.85 Forney Independent SD,TX 3464242X1 02/18/14 08/15/42 13.145 0.000 7.2501 18.74 0.029440 0.030508 0.031614 0.032760 0.033947 11.09 11.90 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Forney Independent SD,TX 3464242Y9 02/18/14 08/15/43 12.068 0.000 7.3002 17.33 0.027235 0.028229 0.029259 0.030327 0.031434 10.26 11.02 Forney Independent SD,TX 3464242Z6 02/18/14 08/15/44 11.069 0.000 7.3502 16.01 0.025170 0.026095 0.027054 0.028048 0.029079 9.48 10.19 Forney Independent SD,TX 3464243A0 02/18/14 08/15/45 10.143 0.000 7.4002 14.77 0.023237 0.024097 0.024989 0.025914 0.026872 8.76 9.42 Forney Independent SD,TX 3464243B8 02/18/14 08/15/46 9.141 0.000 7.5003 13.50 0.021256 0.022053 0.022880 0.023738 0.024628 8.02 8.63 Forney Independent SD,TX 3464243C6 02/18/14 08/15/47 8.223 0.000 7.6000 12.32 0.019403 0.020141 0.020906 0.021700 0.022525 7.32 7.89 Forney Independent SD,TX 3464243D4 02/18/14 08/15/48 7.382 0.000 7.7003 11.21 0.017674 0.018354 0.019061 0.019795 0.020557 6.67 7.20 Forney Independent SD,TX 3464243E2 02/18/14 08/15/49 6.615 0.000 7.8002 10.18 0.016066 0.016693 0.017344 0.018020 0.018723 6.07 6.55 Forney Independent SD,TX 3464243F9 02/18/14 08/15/50 6.021 0.000 7.8502 9.33 0.014728 0.015306 0.015907 0.016531 0.017180 5.57 6.01 Forney Independent SD,TX 3464243G7 02/18/14 08/15/51 5.475 0.000 7.9003 8.54 0.013487 0.014020 0.014574 0.015150 0.015748 5.10 5.51 Forney Independent SD,TX 3464243H5 02/18/14 08/15/52 4.974 0.000 7.9502 7.81 0.012339 0.012830 0.013340 0.013870 0.014422 4.67 5.04 Forney Independent SD,TX 3464243J1 02/18/14 08/15/53 4.514 0.000 8.0005 7.14 0.011277 0.011728 0.012198 0.012685 0.013193 4.27 4.61 Forney Independent SD,TX 346424X90 08/27/13 08/15/38 17.946 0.000 6.9999 31.44 0.039952 0.041351 0.042798 0.044296 0.045846 15.02 16.09 Forney Independent SD,TX 346424Y24 08/27/13 08/15/39 16.544 0.000 7.0499 29.21 0.037129 0.038438 0.039793 0.041196 0.042648 13.96 14.97 Forney Independent SD,TX 346424Y32 08/27/13 08/15/40 15.436 0.000 7.0500 27.25 0.034643 0.035865 0.037129 0.038438 0.039793 13.03 13.96 Forney Independent SD,TX 346424Y40 08/27/13 08/15/41 14.210 0.000 7.0999 25.28 0.032148 0.033289 0.034471 0.035695 0.036962 12.09 12.97 Forney Independent SD,TX 346424Y57 08/27/13 08/15/42 13.252 0.000 7.1000 23.57 0.029981 0.031045 0.032148 0.033289 0.034471 11.28 12.09 Forney Independent SD,TX 346424Y65 08/27/13 08/15/43 12.359 0.000 7.1000 21.98 0.027961 0.028953 0.029981 0.031046 0.032148 10.52 11.28 Franklin Cnty SD #47, IL 352730CJ2 02/15/07 12/01/16 57.942 0.000 5.6491 370.85 0.148418 0.152610 49.73 College District #534 IL 360395FG7 07/22/10 12/01/16 105.839 VARIES 4.0773 0.114385 0.113829 37.65 College District #534 IL 360395FH5 07/22/10 12/01/17 105.580 VARIES 4.4767 0.126409 0.125912 0.125404 0.124885 45.39 41.29 College District #534 IL 360395FJ1 07/22/10 12/01/18 103.358 VARIES 4.9260 0.138623 0.138343 0.138056 0.137761 0.137460 49.84 49.63 College District #534 IL 360395FK8 07/22/10 12/01/19 103.249 VARIES 5.2255 0.147353 0.147102 0.146845 0.146581 0.146310 52.99 52.80 College District #534 IL 360395FL6 07/22/10 12/01/20 101.888 VARIES 5.4261 0.152186 0.152057 0.151925 0.151789 0.151649 54.76 54.66 GS Finance Corp. 362273AG9 12/17/15 06/19/23 100.000 0.000 2.9198 0.081120 0.082305 0.083506 0.084725 0.085962 29.45 30.31 General Cable Corp. 369300AL2 12/18/09 11/15/29 100.000 VARIES 12.5014 0.580130 0.608579 0.638806 0.670923 0.705047 216.67 238.80 Goldman Sachs Group,Inc. 38141GFF6 12/28/07 12/28/17 100.000 0.000 5.8500 0.257743 0.265282 0.273042 0.281028 94.19 98.91 Goldman Sachs Group,Inc. 38141GGV0 10/30/12 10/30/27 100.000 VARIES 4.6427 0.118527 0.118102 0.117668 0.117224 0.116769 42.54 42.23 Goldman Sachs Group,Inc. 38141GGX6 11/30/12 12/04/19 100.000 0.000 3.2000 0.097806 0.099371 0.100961 0.102576 0.104218 35.58 36.72 Goldman Sachs Group,Inc. 38141GHQ0 11/19/12 11/19/27 100.000 VARIES 4.0948 0.104820 0.104512 0.104198 0.103878 0.103551 37.65 37.43 Goldman Sachs Group,Inc. 38141GJY1 12/10/12 12/10/17 100.000 VARIES 1.7365 0.008750 0.008826 0.008903 0.008980 3.17 3.03 Goldman Sachs Group,Inc. 38141GKC7 12/31/12 01/02/20 100.000 0.000 2.7999 0.083389 0.084556 0.085740 0.086940 0.088157 30.65 31.52 Goldman Sachs Group,Inc. 38141GLQ5 01/31/13 02/03/20 100.000 0.000 3.2298 0.097226 0.098796 0.100391 0.102012 0.103660 35.75 36.92 Goldman Sachs Group,Inc. 38141GMD3 01/23/13 01/23/28 100.000 VARIES 4.3420 0.110593 0.108913 0.108435 0.107947 0.107449 39.17 38.79 Goldman Sachs Group,Inc. 38141GMG6 01/25/13 01/24/20 100.000 0.000 3.1498 0.094598 0.096088 0.097602 0.099139 0.100700 34.80 35.90 Goldman Sachs Group,Inc. 38141GMR2 02/11/13 02/11/28 100.000 VARIES 4.2924 0.109085 0.107529 0.107165 0.106793 0.106414 38.72 38.41 Goldman Sachs Group,Inc. 38141GNB6 02/28/13 03/02/20 100.000 0.000 2.9677 0.088752 0.090069 0.091406 0.092762 0.094138 32.50 33.48 Goldman Sachs Group,Inc. 38141GPC2 02/28/13 02/29/28 100.000 VARIES 4.2914 0.107152 0.104221 0.105341 0.103014 0.104089 38.46 37.87 Goldman Sachs Group,Inc. 38141GPU2 03/06/13 03/06/28 100.000 VARIES 4.1925 0.105936 0.104348 0.103866 0.103373 0.102871 37.61 37.19 Goldman Sachs Group,Inc. 38141GPV0 03/28/13 03/31/20 100.000 0.000 3.1233 0.093774 0.095238 0.096726 0.098236 0.099770 34.29 35.37 Goldman Sachs Group,Inc. 38141GPW8 03/06/13 03/06/18 100.000 VARIES 1.3286 0.007912 0.007964 0.008017 0.008070 0.008124 2.87 2.91 Goldman Sachs Group,Inc. 38141GQL1 03/22/13 03/22/28 100.000 VARIES 4.6901 0.119659 0.118730 0.117780 0.116806 0.116759 42.72 42.12 Goldman Sachs Group,Inc. 38141GQW7 03/27/13 03/27/28 100.000 VARIES 4.6888 0.119338 0.118437 0.117514 0.116569 0.116547 42.63 42.04 Goldman Sachs Group,Inc. 38141GRR7 04/30/13 04/30/20 100.000 0.000 2.8400 0.084654 0.085856 0.087075 0.088312 0.089566 30.84 31.72 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38141GSM7 04/30/13 04/30/28 100.000 VARIES 4.3924 0.113163 0.111632 0.111279 0.110918 0.110549 40.35 39.95 Goldman Sachs Group,Inc. 38141GSQ8 04/30/13 04/30/20 100.000 VARIES 1.6754 0.003862 0.003894 0.003927 0.003956 0.003993 1.40 1.42 Goldman Sachs Group,Inc. 38141GST2 05/31/13 06/03/21 100.000 0.000 3.4201 0.103439 0.105208 0.107007 0.108837 0.110698 37.66 38.96 Goldman Sachs Group,Inc. 38141GTV6 05/21/13 05/21/20 100.000 VARIES 2.7012 0.077065 0.077249 0.077205 0.077160 0.076966 27.78 27.78 Goldman Sachs Group,Inc. 38141GTW4 05/30/13 05/30/28 100.000 VARIES 4.3919 0.112172 0.110515 0.110207 0.109893 0.109572 40.02 39.60 Goldman Sachs Group,Inc. 38141GTZ7 05/23/13 05/23/28 100.000 VARIES 4.4916 0.114094 0.112357 0.112009 0.111652 0.111288 40.68 40.23 Goldman Sachs Group,Inc. 38141GUF9 06/06/13 06/06/28 100.000 VARIES 4.4920 0.114468 0.112966 0.112719 0.112466 0.112208 40.89 40.52 Goldman Sachs Group,Inc. 38143ADM4 12/30/11 12/30/16 100.000 0.000 2.0503 0.060784 0.061407 22.24 Goldman Sachs Group,Inc. 38143AFY6 01/31/12 01/29/16 100.000 0.000 1.4011 0.039979 1.12 Goldman Sachs Group,Inc. 38143AGB5 01/31/12 01/31/19 100.000 0.000 2.2999 0.067706 0.069237 0.069272 0.071230 0.070874 25.30 25.89 Goldman Sachs Group,Inc. 38143AJG1 02/29/12 02/28/19 100.000 0.000 2.2001 0.065254 0.065254 0.067066 0.066698 0.068549 24.11 24.59 Goldman Sachs Group,Inc. 38143ALM5 03/30/12 04/01/19 100.000 0.000 2.2483 0.066438 0.067185 0.068313 0.068704 0.069858 24.63 25.15 Goldman Sachs Group,Inc. 38143APY5 04/30/12 04/30/19 100.000 0.000 2.2498 0.066844 0.066861 0.068734 0.068374 0.070289 24.59 25.12 Goldman Sachs Group,Inc. 38143ARV9 05/31/12 05/31/19 100.000 0.000 2.2497 0.066475 0.067222 0.068352 0.068743 0.069898 24.53 25.07 Goldman Sachs Group,Inc. 38143AUA1 06/29/12 07/01/19 100.000 0.000 2.1501 0.063668 0.063653 0.065404 0.065029 23.30 23.80 Goldman Sachs Group,Inc. 38143AWH4 07/31/12 07/31/19 100.000 0.000 2.1499 0.062294 0.063656 0.063641 0.065391 0.065016 23.25 23.76 Goldman Sachs Group,Inc. 38143AXC4 08/30/12 08/31/17 100.000 0.000 1.6987 0.049101 0.048980 0.050215 0.049816 18.09 10.53 Goldman Sachs Group,Inc. 38143AYM1 08/31/12 09/03/19 100.000 0.000 2.1004 0.061448 0.061418 0.063092 0.062715 0.064424 22.68 23.12 Goldman Sachs Group,Inc. 38143AYN9 08/30/12 08/30/19 100.000 0.250 2.0903 0.060349 0.060908 0.061811 0.062045 0.062966 22.37 22.75 Goldman Sachs Group,Inc. 38143AYS8 08/23/12 08/23/17 100.000 0.000 1.7918 0.051367 0.052397 0.052292 0.053635 19.11 12.48 Goldman Sachs Group,Inc. 38143U2A8 04/30/12 01/31/18 100.000 0.000 4.2501 0.135359 0.138236 0.141173 0.144173 0.147237 50.12 52.28 Goldman Sachs Group,Inc. 38143U2S9 05/31/12 09/01/16 100.000 0.000 4.2500 0.135371 0.138248 33.01 Goldman Sachs Group,Inc. 38143U3A7 05/31/12 06/02/17 100.000 0.000 4.6997 0.153638 0.157249 0.160944 56.17 24.30 Goldman Sachs Group,Inc. 38143U3T6 05/14/12 05/14/17 100.000 VARIES 2.9895 0.013802 0.014009 0.014218 5.03 1.89 Goldman Sachs Group,Inc. 38143U4D0 07/31/12 02/01/18 100.000 0.000 3.8502 0.119926 0.122235 0.124588 0.126987 0.129431 44.29 46.01 Goldman Sachs Group,Inc. 38143U5H0 08/31/12 09/04/18 100.000 0.000 3.4598 0.106565 0.108409 0.110284 0.112192 0.114133 39.13 40.50 Goldman Sachs Group,Inc. 38143U6M8 08/31/12 08/31/18 100.000 0.000 3.5002 0.106712 0.107399 0.111090 0.111191 0.115013 39.72 41.05 Goldman Sachs Group,Inc. 38143U6V8 09/28/12 12/31/18 100.000 0.000 3.1501 0.095815 0.096266 0.099403 0.099323 0.102559 35.15 36.27 Goldman Sachs Group,Inc. 38143U7M7 11/02/12 11/01/19 100.000 0.000 3.0101 0.091450 0.092826 0.094223 0.095641 0.097081 33.34 34.35 Goldman Sachs Group,Inc. 38143UB91 09/01/11 09/01/16 100.000 VARIES 2.6249 0.008280 0.008389 2.01 Goldman Sachs Group,Inc. 38143UC58 09/30/11 09/30/16 100.000 0.000 4.3397 0.143135 0.146241 39.06 Goldman Sachs Group,Inc. 38143UD99 09/20/11 09/20/16 100.000 VARIES 2.6408 0.008033 0.008139 2.10 Goldman Sachs Group,Inc. 38143UEZ0 10/29/09 10/29/16 100.000 1.000 4.6747 0.162466 0.165615 48.98 Goldman Sachs Group,Inc. 38143UF63 10/31/11 05/01/17 100.000 0.000 3.8999 0.126446 0.128912 0.131426 46.26 15.77 Goldman Sachs Group,Inc. 38143UH53 12/30/11 07/03/17 100.000 0.000 4.7823 0.156801 0.160550 0.164389 0.168320 58.47 30.63 Goldman Sachs Group,Inc. 38143UJE2 05/26/10 05/26/16 100.000 0.000 5.1358 0.188553 27.34 Goldman Sachs Group,Inc. 38143UJX0 06/24/10 06/24/16 100.000 0.000 4.3999 0.155274 26.86 Goldman Sachs Group,Inc. 38143UKX8 08/31/10 08/31/17 100.000 0.000 4.4059 0.150514 0.152158 0.158087 0.158935 56.32 38.41 Goldman Sachs Group,Inc. 38143UL25 01/31/12 07/31/17 100.000 0.000 4.0496 0.129438 0.132059 0.134733 0.137461 47.87 28.65 Goldman Sachs Group,Inc. 38143ULK5 07/28/10 07/28/17 100.000 VARIES 2.6534 0.016904 0.017128 0.017355 0.017586 6.19 3.63 Goldman Sachs Group,Inc. 38143ULM1 07/28/10 07/28/17 100.000 VARIES 2.6469 0.016733 0.016955 0.017179 0.017406 6.13 3.60 Goldman Sachs Group,Inc. 38143ULN9 08/06/10 08/06/20 100.000 VARIES 2.8170 0.019926 0.020207 0.020491 0.020780 0.021073 7.31 7.51 Goldman Sachs Group,Inc. 38143ULV1 08/26/10 08/26/20 100.000 VARIES 2.6793 0.021966 0.022260 0.022558 0.022861 0.023167 8.03 8.25 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38143UM65 01/20/12 03/28/16 99.500 0.000 4.2189 0.136031 11.83 Goldman Sachs Group,Inc. 38143UMA6 08/20/10 08/20/20 100.000 VARIES 2.6781 0.013767 0.013951 0.014138 0.014327 0.014519 5.04 5.17 Goldman Sachs Group,Inc. 38143UME8 09/08/10 09/08/17 100.000 VARIES 2.3458 0.014471 0.014640 0.014812 0.014986 5.28 3.69 Goldman Sachs Group,Inc. 38143UMH1 09/08/10 09/08/20 100.000 VARIES 2.6543 0.023332 0.023642 0.023956 0.024274 0.024596 8.53 8.75 Goldman Sachs Group,Inc. 38143UMJ7 09/10/10 09/10/20 100.000 VARIES 2.6625 0.014956 0.015155 0.015357 0.015561 0.015769 5.46 5.61 Goldman Sachs Group,Inc. 38143UMQ1 09/29/10 09/28/17 100.000 0.000 4.0718 0.138347 0.141163 0.144037 0.146970 50.84 38.99 Goldman Sachs Group,Inc. 38143UMU2 09/21/10 09/21/20 100.000 VARIES 2.7708 0.020016 0.020293 0.020574 0.020860 0.021149 7.31 7.52 Goldman Sachs Group,Inc. 38143UMW8 09/21/10 09/21/17 100.000 VARIES 2.3116 0.019093 0.019313 0.019537 0.019762 6.96 5.12 Goldman Sachs Group,Inc. 38143UNH0 10/29/10 10/31/17 100.000 2.000 3.7647 0.114637 0.115749 0.116882 0.118036 41.61 35.16 Goldman Sachs Group,Inc. 38143UNT4 10/29/10 10/29/20 100.000 VARIES 2.0301 0.018633 0.018822 0.019013 0.019206 0.019401 6.77 6.90 Goldman Sachs Group,Inc. 38143UNU1 10/29/10 10/29/20 100.000 VARIES 2.3763 0.023160 0.023435 0.023713 0.023995 0.024280 8.42 8.62 Goldman Sachs Group,Inc. 38143UNY3 11/01/10 11/01/17 100.000 VARIES 1.9534 0.044094 0.044525 0.044960 0.045400 1.60 1.36 Goldman Sachs Group,Inc. 38143UP54 02/29/12 08/31/17 100.000 0.000 4.3504 0.138946 0.140426 0.145858 0.146601 51.98 35.43 Goldman Sachs Group,Inc. 38143UPF2 11/15/10 11/15/17 100.000 VARIES 2.1778 0.013087 0.013229 0.013372 0.013519 4.75 4.23 Goldman Sachs Group,Inc. 38143UPG0 11/29/10 11/29/16 100.000 0.000 3.4000 0.111787 0.113687 37.01 Goldman Sachs Group,Inc. 38143UQC8 11/30/10 11/30/17 100.000 VARIES 2.2520 0.012433 0.012573 0.012715 0.012858 4.51 4.21 Goldman Sachs Group,Inc. 38143UQJ3 12/28/10 12/28/16 100.000 0.000 3.5998 0.119525 0.121676 43.06 Goldman Sachs Group,Inc. 38143UQP9 12/22/10 12/22/20 100.000 VARIES 2.3885 0.023103 0.023379 0.023658 0.023940 0.024226 8.37 8.57 Goldman Sachs Group,Inc. 38143UQQ7 01/31/11 01/31/17 100.000 0.000 3.6501 0.119318 0.121496 0.123713 44.01 3.59 Goldman Sachs Group,Inc. 38143UQZ7 01/31/11 01/31/18 100.000 VARIES 1.9815 0.017916 0.018093 0.018272 0.018453 6.54 6.67 Goldman Sachs Group,Inc. 38143URA1 01/31/11 01/31/16 100.000 VARIES 1.6251 0.008849 .26 Goldman Sachs Group,Inc. 38143URD5 02/28/11 02/28/17 100.000 0.000 4.0298 0.132483 0.133683 0.138637 49.47 8.04 Goldman Sachs Group,Inc. 38143URX1 03/31/11 03/31/17 100.000 0.000 3.9998 0.132782 0.135437 0.138146 48.77 12.30 Goldman Sachs Group,Inc. 38143US77 03/30/12 01/03/18 100.000 0.000 4.1997 0.133586 0.136391 0.139256 0.142180 0.145165 49.61 51.71 Goldman Sachs Group,Inc. 38143USM4 03/18/11 03/18/21 100.000 VARIES 5.2913 0.151831 0.151914 0.151732 0.151545 0.151161 54.66 54.53 Goldman Sachs Group,Inc. 38143UST9 03/18/11 03/18/16 100.000 1.000 3.6798 0.116003 8.93 Goldman Sachs Group,Inc. 38143USV4 03/23/11 03/23/16 100.000 VARIES 1.6343 0.008992 .74 Goldman Sachs Group,Inc. 38143UTC5 03/25/11 03/28/16 100.000 0.000 3.6702 0.120117 10.45 Goldman Sachs Group,Inc. 38143UTJ0 04/29/11 05/01/17 100.000 0.000 3.7497 0.123139 0.125448 0.127800 45.03 15.34 Goldman Sachs Group,Inc. 38143UTN1 04/13/11 04/13/21 100.000 VARIES 5.2207 0.148594 0.148531 0.148357 0.148178 0.147858 53.46 53.34 Goldman Sachs Group,Inc. 38143UTY7 04/27/11 04/27/16 100.000 VARIES 1.6045 0.009165 1.06 Goldman Sachs Group,Inc. 38143UUA7 04/29/11 04/29/21 100.000 VARIES 2.1672 0.015870 0.016042 0.016216 0.016392 0.016569 5.77 5.89 Goldman Sachs Group,Inc. 38143UUF6 05/11/11 05/11/16 100.000 0.000 3.3748 0.108983 14.17 Goldman Sachs Group,Inc. 38143UUJ8 05/31/11 05/31/17 100.000 0.000 3.9998 0.132782 0.135437 0.138146 48.45 20.58 Goldman Sachs Group,Inc. 38143UUY5 07/20/11 07/20/21 100.000 0.000 5.1298 0.174499 0.178975 0.183565 0.188274 0.193103 65.08 68.47 Goldman Sachs Group,Inc. 38143UVG3 06/07/11 06/07/21 100.000 VARIES 2.2754 0.016469 0.016656 0.016846 0.017037 0.017231 5.97 6.11 Goldman Sachs Group,Inc. 38143UVH1 06/30/11 06/30/17 100.000 0.000 3.7799 0.124269 0.126617 0.129010 45.16 23.09 Goldman Sachs Group,Inc. 38143UVS7 06/13/11 06/13/16 100.000 0.000 3.6198 0.118169 19.14 Goldman Sachs Group,Inc. 38143UVT5 06/13/11 06/13/17 100.000 0.000 4.0901 0.136320 0.139108 0.141953 49.68 23.00 Goldman Sachs Group,Inc. 38143UVV0 06/17/11 06/17/16 100.000 VARIES 2.0754 0.013071 2.18 Goldman Sachs Group,Inc. 38143UW23 06/29/12 06/30/17 100.000 0.000 4.0999 0.131285 0.133977 0.136723 47.75 24.47 Goldman Sachs Group,Inc. 38143UWM9 08/04/11 07/31/17 100.000 0.000 3.7994 0.119971 0.123593 0.124572 0.129043 45.28 27.09 Goldman Sachs Group,Inc. 38143UXG1 08/31/11 01/31/17 100.000 0.000 3.7498 0.120479 0.122738 0.125039 44.47 3.63 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38143UY47 06/18/12 06/18/17 100.000 VARIES 3.6370 0.011034 0.011235 0.011439 4.01 1.91 Goldman Sachs Group,Inc. 38143UZJ3 11/30/11 06/02/17 100.000 0.000 5.4499 0.187770 0.192887 0.198143 68.82 29.92 Goldman Sachs Group,Inc. 381470JN4 08/30/13 09/02/20 100.000 0.000 3.8497 0.115438 0.117660 0.119924 0.122233 0.124586 42.49 44.14 Goldman Sachs Group,Inc. 38147Q2D7 04/30/14 05/03/21 100.000 0.000 3.0001 0.087168 0.088475 0.089802 0.091149 0.092517 31.77 32.73 Goldman Sachs Group,Inc. 38147Q2G0 04/30/14 11/02/21 100.000 0.000 3.1299 0.091105 0.092531 0.093979 0.095449 0.096943 33.22 34.27 Goldman Sachs Group,Inc. 38147Q2H8 04/14/14 04/14/29 100.000 VARIES 4.5254 0.116691 0.113548 0.112749 0.111932 0.111096 41.14 40.32 Goldman Sachs Group,Inc. 38147Q2Z8 04/21/14 04/21/29 100.000 VARIES 4.5486 0.121612 0.119960 0.119370 0.118766 0.118148 43.33 42.78 Goldman Sachs Group,Inc. 38147Q4M5 05/30/14 12/02/21 100.000 0.000 2.9999 0.087154 0.088462 0.089788 0.091135 0.092502 31.69 32.64 Goldman Sachs Group,Inc. 38147Q5E2 12/13/13 12/13/28 100.000 VARIES 4.9490 0.124038 0.122314 0.120547 0.118736 0.116881 44.28 43.01 Goldman Sachs Group,Inc. 38147Q5K8 05/30/14 09/02/20 100.000 0.000 2.5499 0.073122 0.074055 0.074999 0.075955 0.076924 26.72 27.40 Goldman Sachs Group,Inc. 38147Q5M4 05/21/14 05/21/29 100.000 VARIES 4.4103 0.114901 0.112253 0.111881 0.111500 0.111111 40.77 40.18 Goldman Sachs Group,Inc. 38147Q5P7 05/16/14 05/16/17 100.000 0.000 1.5599 0.044353 0.044699 0.045048 16.06 6.08 Goldman Sachs Group,Inc. 38147Q6D3 05/23/14 05/23/17 100.000 0.000 1.4896 0.042311 0.042626 0.042943 15.31 6.10 Goldman Sachs Group,Inc. 38147Q6M3 05/28/14 05/28/19 100.000 0.000 2.3798 0.068495 0.069310 0.070134 0.070969 0.071813 24.86 25.45 Goldman Sachs Group,Inc. 38147Q6R2 06/02/14 06/02/17 100.000 0.000 1.6956 0.048310 0.048719 0.049132 17.49 7.42 Goldman Sachs Group,Inc. 38147Q7D2 06/30/14 12/30/21 100.000 0.000 3.0000 0.087142 0.088450 0.089776 0.091123 0.092490 31.61 32.56 Goldman Sachs Group,Inc. 38147QA89 06/26/14 06/26/29 100.000 VARIES 4.3665 0.115169 0.113038 0.112736 0.112428 0.112113 41.06 40.53 Goldman Sachs Group,Inc. 38147QAH9 06/12/14 06/12/29 100.000 VARIES 4.2455 0.114951 0.113915 0.113648 0.113375 0.113096 41.17 40.85 Goldman Sachs Group,Inc. 38147QAK2 01/10/14 01/10/29 100.000 VARIES 4.9699 0.128471 0.125117 0.123464 0.121769 0.120033 44.79 43.56 Goldman Sachs Group,Inc. 38147QAS5 06/28/13 12/31/20 100.000 0.000 3.9899 0.122364 0.124805 0.127295 0.129834 0.132424 44.50 46.29 Goldman Sachs Group,Inc. 38147QB39 06/18/14 06/17/21 100.000 0.000 3.2499 0.094741 0.096281 0.097846 0.099436 0.101051 34.43 35.56 Goldman Sachs Group,Inc. 38147QB54 06/27/14 06/27/29 100.000 VARIES 4.0950 0.110893 0.109900 0.109633 0.109360 0.109081 39.74 39.42 Goldman Sachs Group,Inc. 38147QB96 06/27/14 06/27/17 100.000 0.000 1.6003 0.045529 0.045893 0.046260 16.46 8.14 Goldman Sachs Group,Inc. 38147QBB1 01/31/14 02/03/21 100.000 0.000 3.2501 0.094782 0.096323 0.097888 0.099479 0.101095 34.86 36.00 Goldman Sachs Group,Inc. 38147QBC9 06/30/14 06/30/29 100.000 VARIES 4.3156 0.112950 0.110539 0.110260 0.109976 0.109685 40.23 39.64 Goldman Sachs Group,Inc. 38147QC20 10/25/13 10/25/28 100.000 VARIES 4.8589 0.123388 0.122470 0.121530 0.120567 0.119580 44.13 43.45 Goldman Sachs Group,Inc. 38147QC46 07/31/14 08/03/21 100.000 0.000 3.1496 0.090293 0.091715 0.093159 0.094626 0.096116 33.19 34.24 Goldman Sachs Group,Inc. 38147QCN4 06/19/13 06/19/28 100.000 VARIES 4.6926 0.120708 0.119324 0.119111 0.118893 0.118670 43.19 42.84 Goldman Sachs Group,Inc. 38147QDF0 01/23/14 01/23/29 100.000 VARIES 4.9793 0.129037 0.125789 0.125057 0.124307 0.123538 45.24 44.65 Goldman Sachs Group,Inc. 38147QDL7 08/18/14 08/18/29 100.000 VARIES 4.3046 0.114770 0.112290 0.109757 0.109443 0.109122 40.20 39.37 Goldman Sachs Group,Inc. 38147QDV5 08/29/14 09/01/21 100.000 0.000 3.0001 0.085870 0.087158 0.088465 0.089792 0.091139 31.46 32.41 Goldman Sachs Group,Inc. 38147QES1 07/31/13 08/03/20 100.000 0.000 3.9197 0.117711 0.120018 0.122370 0.124768 0.127214 43.48 45.20 Goldman Sachs Group,Inc. 38147QEX0 01/24/14 01/24/29 100.000 VARIES 4.8384 0.124602 0.121177 0.119771 0.118332 0.116857 43.48 42.40 Goldman Sachs Group,Inc. 38147QFG6 09/15/14 09/15/29 100.000 VARIES 4.2975 0.115798 0.113951 0.112064 0.111840 0.111612 40.96 40.25 Goldman Sachs Group,Inc. 38147QFL5 09/30/14 09/30/21 100.000 0.000 3.0001 0.085857 0.087145 0.088452 0.089779 0.091126 31.38 32.32 Goldman Sachs Group,Inc. 38147QFR2 06/04/14 06/04/29 100.000 VARIES 3.8461 0.104217 0.103310 0.103039 0.102762 0.102481 37.32 37.03 Goldman Sachs Group,Inc. 38147QGA8 07/22/13 07/22/28 100.000 VARIES 4.9006 0.127207 0.125509 0.123769 0.123588 0.123402 44.94 44.47 Goldman Sachs Group,Inc. 38147QGP5 02/05/14 02/05/29 100.000 VARIES 4.7103 0.122331 0.119358 0.118695 0.118017 0.117322 42.97 42.41 Goldman Sachs Group,Inc. 38147QGV2 09/23/14 12/19/19 100.000 0.000 2.8658 0.082467 0.083649 0.084847 0.086063 0.087296 29.93 30.79 Goldman Sachs Group,Inc. 38147QH58 10/10/14 02/10/22 100.000 0.000 3.4943 0.099913 0.101659 0.103435 0.105242 0.107081 36.78 38.08 Goldman Sachs Group,Inc. 38147QH74 10/10/14 02/10/22 100.000 0.000 3.4943 0.099913 0.101659 0.103435 0.105242 0.107081 36.78 38.08 Goldman Sachs Group,Inc. 38147QHH2 10/08/14 02/06/20 100.000 0.000 2.7915 0.079345 0.080453 0.081576 0.082714 0.083869 29.09 29.90 Goldman Sachs Group,Inc. 38147QHL3 09/30/14 09/30/29 100.000 VARIES 4.2677 0.115168 0.113423 0.111642 0.111517 0.111390 40.83 40.15 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38147QHS8 08/02/13 08/02/28 100.000 VARIES 4.8903 0.126797 0.125037 0.123235 0.123079 0.122920 44.80 44.29 Goldman Sachs Group,Inc. 38147QHT6 02/28/14 03/03/21 100.000 0.000 3.0000 0.087164 0.088471 0.089799 0.091146 0.092513 31.93 32.89 Goldman Sachs Group,Inc. 38147QHU3 10/30/14 11/01/21 100.000 2.000 3.0160 0.084640 0.085078 0.085524 0.085976 0.086434 30.60 30.92 Goldman Sachs Group,Inc. 38147QHX7 02/28/14 08/31/21 100.000 0.000 3.1499 0.090692 0.091119 0.094088 0.094012 0.097075 33.69 34.70 Goldman Sachs Group,Inc. 38147QHY5 10/30/14 11/01/21 100.000 0.000 3.0011 0.085895 0.087183 0.088492 0.089820 0.091167 31.31 32.26 Goldman Sachs Group,Inc. 38147QJU1 10/16/14 10/16/29 100.000 VARIES 3.7998 0.101583 0.099542 0.097462 0.097385 0.097305 35.89 35.06 Goldman Sachs Group,Inc. 38147QJW7 08/12/13 08/10/18 100.000 0.000 2.6999 0.079119 0.080187 0.081269 0.082366 0.083478 28.98 29.77 Goldman Sachs Group,Inc. 38147QK21 11/13/13 11/13/28 100.000 VARIES 4.9003 0.124205 0.123181 0.122132 0.121058 0.119957 44.43 43.67 Goldman Sachs Group,Inc. 38147QLJ3 08/15/13 08/15/28 100.000 VARIES 4.8879 0.125541 0.123166 0.120732 0.120216 0.119687 44.11 43.23 Goldman Sachs Group,Inc. 38147QLV6 11/28/14 05/27/22 100.000 0.000 3.1502 0.090279 0.091701 0.093145 0.094613 0.096103 32.85 33.90 Goldman Sachs Group,Inc. 38147QLX2 02/19/14 02/19/21 100.000 0.000 3.4636 0.101298 0.103052 0.104836 0.106652 0.108499 37.25 38.55 Goldman Sachs Group,Inc. 38147QM60 11/29/13 12/01/20 100.000 0.000 3.0003 0.088472 0.089800 0.091147 0.092514 0.093902 32.17 33.14 Goldman Sachs Group,Inc. 38147QM78 11/21/14 11/21/29 100.000 VARIES 3.9468 0.105737 0.103731 0.101685 0.101578 0.101469 37.54 36.58 Goldman Sachs Group,Inc. 38147QMB9 02/24/14 02/24/29 100.000 VARIES 4.6770 0.121440 0.118481 0.117267 0.116024 0.114752 42.66 41.67 Goldman Sachs Group,Inc. 38147QMC7 11/26/14 05/26/22 100.000 0.000 3.1498 0.090274 0.091696 0.093140 0.094607 0.096097 32.86 33.90 Goldman Sachs Group,Inc. 38147QME3 08/12/13 08/12/20 100.000 0.000 3.9699 0.119296 0.121664 0.124079 0.126542 0.129054 44.04 45.80 Goldman Sachs Group,Inc. 38147QMF0 02/13/14 02/16/21 100.000 0.000 3.4814 0.101875 0.103648 0.105453 0.107288 0.109156 37.48 38.79 Goldman Sachs Group,Inc. 38147QMJ2 08/15/13 08/15/28 100.000 VARIES 4.8903 0.126899 0.125191 0.123442 0.123154 0.122860 44.91 44.31 Goldman Sachs Group,Inc. 38147QNU6 12/30/14 06/29/22 100.000 0.000 2.9499 0.084373 0.085617 0.086880 0.088162 0.089462 30.60 31.51 Goldman Sachs Group,Inc. 38147QNV4 12/10/14 12/10/18 100.000 0.000 2.2404 0.063636 0.064349 0.065070 0.065798 0.066536 23.07 23.59 Goldman Sachs Group,Inc. 38147QNY8 12/29/14 06/28/22 100.000 0.000 2.9498 0.084370 0.085614 0.086877 0.088158 0.089458 30.60 31.51 Goldman Sachs Group,Inc. 38147QNZ5 11/28/14 11/29/19 100.000 1.000 2.5067 0.070691 0.071229 0.071774 0.072325 0.072883 25.58 25.97 Goldman Sachs Group,Inc. 38147QPN0 08/30/13 08/30/23 100.000 VARIES 4.5507 0.125925 0.126222 0.127220 0.126594 0.127360 46.30 46.34 Goldman Sachs Group,Inc. 38147QQ25 11/13/13 11/13/23 100.000 VARIES 4.2198 0.109050 0.108675 0.108293 0.107902 0.107503 39.15 38.88 Goldman Sachs Group,Inc. 38147QQJ8 09/05/13 09/05/28 100.000 VARIES 5.0554 0.128426 0.125845 0.123200 0.122787 0.122363 45.16 44.18 Goldman Sachs Group,Inc. 38147QQM1 01/30/15 08/01/22 100.000 0.000 2.4699 0.069461 0.070319 0.071187 0.072066 0.072956 25.42 26.05 Goldman Sachs Group,Inc. 38147QQQ2 12/31/14 12/29/17 100.000 0.000 2.1580 0.061243 0.061904 0.062572 0.063247 22.17 22.52 Goldman Sachs Group,Inc. 38147QQR0 01/30/15 08/01/22 100.000 0.000 2.5000 0.070320 0.071199 0.072089 0.072990 0.073902 25.74 26.39 Goldman Sachs Group,Inc. 38147QQV1 01/29/15 07/29/22 100.000 0.000 2.4698 0.069454 0.070312 0.071180 0.072059 0.072949 25.42 26.05 Goldman Sachs Group,Inc. 38147QRT5 03/12/14 03/12/29 100.000 VARIES 4.6443 0.125456 0.124216 0.123694 0.123160 0.122613 44.75 44.32 Goldman Sachs Group,Inc. 38147QS31 01/30/15 01/30/30 100.000 VARIES 3.6879 0.100234 0.097984 0.098000 0.098015 0.098031 35.34 35.29 Goldman Sachs Group,Inc. 38147QSE7 09/30/13 10/01/20 100.000 0.000 3.6699 0.109647 0.111659 0.113708 0.115794 0.117919 40.20 41.69 Goldman Sachs Group,Inc. 38147QST4 03/19/14 03/19/29 100.000 VARIES 4.6202 0.120114 0.117244 0.116656 0.116055 0.115439 42.37 41.76 Goldman Sachs Group,Inc. 38147QT89 02/27/15 02/28/23 100.000 0.000 2.9998 0.083658 0.083990 0.086662 0.086528 0.089282 31.05 31.93 Goldman Sachs Group,Inc. 38147QT97 02/26/15 02/28/23 100.000 0.000 3.0001 0.083672 0.084004 0.086677 0.086543 0.089297 31.05 31.93 Goldman Sachs Group,Inc. 38147QTP1 03/31/14 09/30/21 100.000 0.000 3.1500 0.091703 0.093147 0.094614 0.096104 0.097618 33.54 34.60 Goldman Sachs Group,Inc. 38147QTT3 03/31/14 04/01/21 100.000 0.000 2.9997 0.087141 0.088448 0.089774 0.091121 0.092487 31.84 32.81 Goldman Sachs Group,Inc. 38147QTV8 02/27/15 08/29/22 100.000 0.000 2.9999 0.082750 0.084914 0.085717 0.087481 0.088308 31.05 31.93 Goldman Sachs Group,Inc. 38147QTX4 03/21/14 03/21/29 100.000 VARIES 4.6241 0.117849 0.114151 0.113601 0.113039 0.112463 41.34 40.68 Goldman Sachs Group,Inc. 38147QU79 02/17/15 02/17/30 100.000 VARIES 3.4968 0.096416 0.095684 0.094938 0.094180 0.094074 34.38 33.93 Goldman Sachs Group,Inc. 38147QUR5 02/27/15 02/27/30 100.000 VARIES 3.6523 0.098995 0.096491 0.096479 0.096466 0.096454 34.88 34.73 Goldman Sachs Group,Inc. 38147QUW4 09/20/13 09/20/28 100.000 VARIES 5.0883 0.131962 0.129719 0.127419 0.126947 0.126462 46.64 45.69 Goldman Sachs Group,Inc. 38147QV45 02/27/15 02/27/30 100.000 VARIES 3.4810 0.094028 0.091313 0.091185 0.091054 0.090921 33.01 32.77 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38147QV78 03/30/15 03/30/23 100.000 0.000 2.8001 0.078870 0.079974 0.081094 0.082229 0.083380 28.79 29.61 Goldman Sachs Group,Inc. 38147QV86 02/27/15 02/28/25 100.000 0.000 2.9501 0.082249 0.082555 0.085162 0.085009 0.087692 30.52 31.37 Goldman Sachs Group,Inc. 38147QV94 03/27/15 03/27/23 100.000 0.000 3.1001 0.087450 0.088806 0.090182 0.091580 0.093000 31.98 32.98 Goldman Sachs Group,Inc. 38147QVJ2 09/27/13 09/27/19 100.000 0.000 3.0000 0.088448 0.089775 0.091121 0.092488 0.093875 32.33 33.31 Goldman Sachs Group,Inc. 38147QVM5 03/31/15 09/29/22 100.000 0.000 2.8501 0.080292 0.081436 0.082596 0.083774 0.084967 29.32 30.16 Goldman Sachs Group,Inc. 38147QVU7 03/12/15 03/12/21 100.000 0.000 2.7498 0.077436 0.078501 0.079580 0.080674 0.081783 28.30 29.09 Goldman Sachs Group,Inc. 38147QW77 03/31/15 04/01/21 100.000 0.000 2.1497 0.060362 0.061010 0.061666 0.062329 0.062999 21.96 22.44 Goldman Sachs Group,Inc. 38147QWX0 03/31/14 03/31/29 100.000 VARIES 4.5514 0.118949 0.116342 0.116035 0.115721 0.115400 42.09 41.66 Goldman Sachs Group,Inc. 38147QXA9 10/31/13 11/03/20 100.000 0.000 3.3502 0.098391 0.098951 0.102277 0.102294 0.105732 36.34 37.54 Goldman Sachs Group,Inc. 38147QXD3 04/24/15 04/24/23 100.000 0.000 3.0000 0.084585 0.085853 0.087141 0.088448 0.089775 30.85 31.78 Goldman Sachs Group,Inc. 38147QXF8 03/31/14 03/31/29 100.000 VARIES 4.5507 0.117508 0.114405 0.113627 0.112831 0.112017 41.39 40.62 Goldman Sachs Group,Inc. 38147QXK7 03/28/14 06/30/20 100.000 0.000 2.7498 0.080140 0.081242 0.082359 0.083491 0.084639 29.05 29.86 Goldman Sachs Group,Inc. 38147QXQ4 03/27/15 09/27/22 100.000 0.000 2.9998 0.084580 0.085848 0.087136 0.088443 0.089769 30.92 31.85 Goldman Sachs Group,Inc. 38147QXX9 03/31/15 03/31/25 100.000 VARIES 3.3914 0.094156 0.094104 0.094051 0.093997 0.093942 33.88 33.84 Goldman Sachs Group,Inc. 38147QXY7 04/30/15 05/02/23 100.000 0.000 2.5998 0.073168 0.074119 0.075083 0.076059 0.077048 26.62 27.32 Goldman Sachs Group,Inc. 38147QY34 04/30/15 11/02/22 100.000 0.000 2.9999 0.084597 0.085866 0.087154 0.088462 0.089788 30.83 31.77 Goldman Sachs Group,Inc. 38147QY59 04/03/15 04/03/20 100.000 VARIES 2.4873 0.069261 0.069431 0.069511 0.069592 0.069576 24.99 25.04 Goldman Sachs Group,Inc. 38147QYN0 10/17/13 10/17/23 100.000 VARIES 3.9815 0.111614 0.111921 0.112234 0.112369 0.112506 40.28 40.45 Goldman Sachs Group,Inc. 38147QYV2 05/08/15 05/08/23 100.000 0.000 2.9999 0.084582 0.085850 0.087138 0.088445 0.089772 30.81 31.74 Goldman Sachs Group,Inc. 38147QZ25 12/31/13 12/31/20 100.000 0.000 3.1011 0.091613 0.093033 0.094476 0.095941 0.097429 33.24 34.28 Goldman Sachs Group,Inc. 38147QZQ2 06/01/15 05/30/23 100.000 0.000 3.1501 0.088876 0.090276 0.091698 0.093142 0.094609 32.33 33.36 Goldman Sachs Group,Inc. 38147QZR0 04/30/15 04/30/30 100.000 VARIES 3.7833 0.010694 0.010464 0.010520 0.010231 0.010278 3.86 3.77 Goldman Sachs Group,Inc. 38148T2C2 05/29/15 06/01/23 100.000 0.000 3.2499 0.091760 0.093251 0.094766 0.096306 0.097871 33.39 34.49 Goldman Sachs Group,Inc. 38148T2E8 05/07/15 05/07/25 100.000 VARIES 3.7599 0.014430 0.014702 0.014978 0.015259 0.015546 5.27 5.47 Goldman Sachs Group,Inc. 38148T2H1 05/29/15 12/01/22 100.000 0.000 3.1002 0.087467 0.088823 0.090200 0.091598 0.093018 31.81 32.81 Goldman Sachs Group,Inc. 38148T2V0 05/11/15 05/11/30 100.000 VARIES 3.7442 0.102759 0.101487 0.100190 0.098870 0.098403 36.64 35.74 Goldman Sachs Group,Inc. 38148T3L1 05/29/15 05/30/25 100.000 0.000 3.4999 0.098932 0.100663 0.102425 0.104217 0.106041 36.04 37.31 Goldman Sachs Group,Inc. 38148T3N7 06/10/15 06/10/25 100.000 VARIES 3.9249 0.012036 0.012273 0.012514 0.012759 0.012909 4.39 4.56 Goldman Sachs Group,Inc. 38148T3V9 06/30/15 06/29/23 100.000 0.000 3.3498 0.094600 0.096185 0.097796 0.099434 0.101099 34.35 35.51 Goldman Sachs Group,Inc. 38148T3Z0 06/05/15 06/05/20 100.000 0.000 2.3999 0.067466 0.068275 0.069095 0.069924 0.070763 24.48 25.07 Goldman Sachs Group,Inc. 38148T4E6 06/30/15 12/30/22 100.000 0.000 3.2498 0.091739 0.093230 0.094745 0.096285 0.097849 33.30 34.39 Goldman Sachs Group,Inc. 38148T4F3 06/26/15 06/26/23 100.000 0.000 3.2499 0.091744 0.093235 0.094750 0.096290 0.097854 33.31 34.40 Goldman Sachs Group,Inc. 38148T4Y2 06/15/15 06/15/25 100.000 VARIES 4.3491 0.119207 0.117571 0.117158 0.116736 0.116801 42.59 42.10 Goldman Sachs Group,Inc. 38148T5T2 07/07/15 07/07/23 100.000 0.000 3.3501 0.093059 0.094618 0.096202 0.097814 0.099452 34.33 35.49 Goldman Sachs Group,Inc. 38148T5U9 07/07/15 07/08/25 100.000 0.000 3.6499 0.101398 0.103248 0.105133 0.107051 0.109005 37.48 38.86 Goldman Sachs Group,Inc. 38148T6A2 06/26/15 06/28/18 100.000 0.000 2.2506 0.063228 0.063940 0.064659 0.065387 0.066123 22.89 23.41 Goldman Sachs Group,Inc. 38148T6B0 06/26/15 06/27/19 100.000 0.000 2.5500 0.071743 0.072658 0.073584 0.074522 0.075472 26.00 26.67 Goldman Sachs Group,Inc. 38148T6Q7 07/31/15 01/31/23 100.000 0.000 3.2500 0.090279 0.091746 0.093236 0.094752 0.096291 33.21 34.30 Goldman Sachs Group,Inc. 38148T6S3 07/31/15 02/02/23 100.000 0.000 3.2488 0.090262 0.091729 0.093219 0.094733 0.096272 33.20 34.29 Goldman Sachs Group,Inc. 38148T7B9 07/30/15 08/01/23 100.000 0.000 3.3498 0.093059 0.094618 0.096202 0.097814 0.099452 34.25 35.41 Goldman Sachs Group,Inc. 38148T7C7 07/31/15 02/02/23 100.000 0.000 3.2488 0.090262 0.091729 0.093219 0.094733 0.096272 33.20 34.29 Goldman Sachs Group,Inc. 38148TA58 07/31/15 07/31/20 100.000 0.000 2.5001 0.069449 0.070317 0.071196 0.072086 0.072987 25.42 26.06 Goldman Sachs Group,Inc. 38148TAE9 07/31/15 07/31/25 100.000 0.000 3.7000 0.102778 0.104680 0.106616 0.108589 0.110597 37.92 39.34 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38148TAG4 07/22/15 07/21/22 100.000 0.000 3.1499 0.087499 0.088870 0.090269 0.091691 0.093135 32.19 33.21 Goldman Sachs Group,Inc. 38148TAK5 07/29/15 07/29/27 100.000 VARIES 3.9238 0.010189 0.010148 0.010105 0.010062 0.010018 3.65 3.62 Goldman Sachs Group,Inc. 38148TAY5 08/04/15 08/04/21 100.000 0.000 2.8500 0.079167 0.080295 0.081439 0.082600 0.083777 29.04 29.87 Goldman Sachs Group,Inc. 38148TB57 08/31/15 03/02/23 100.000 0.000 3.1988 0.088872 0.090293 0.091737 0.093204 0.094695 32.59 33.64 Goldman Sachs Group,Inc. 38148TB65 08/31/15 08/29/25 100.000 0.000 3.5990 0.099973 0.101762 0.104172 0.105457 0.107955 36.82 38.19 Goldman Sachs Group,Inc. 38148TB73 08/31/15 03/02/23 100.000 0.000 3.1988 0.088872 0.090293 0.091737 0.093204 0.094695 32.59 33.64 Goldman Sachs Group,Inc. 38148TB81 08/28/15 08/30/23 100.000 0.000 3.3013 0.090218 0.091707 0.093733 0.094759 0.096853 33.73 34.79 Goldman Sachs Group,Inc. 38148TBA6 08/28/15 02/28/23 100.000 0.000 3.1965 0.087839 0.088273 0.091170 0.091117 0.094108 32.64 33.63 Goldman Sachs Group,Inc. 38148TBN8 08/26/15 08/26/25 100.000 VARIES 3.9131 0.008003 0.008160 0.008320 0.008483 0.008648 2.95 3.07 Goldman Sachs Group,Inc. 38148TCH0 09/02/15 09/03/25 100.000 2.000 3.6170 0.100478 0.101290 0.102117 0.102959 0.103817 36.51 37.11 Goldman Sachs Group,Inc. 38148TCK3 09/30/15 10/11/22* 100.000 0.000 3.0986 0.086155 0.087490 24.36* Goldman Sachs Group,Inc. 38148TD63 09/25/15 09/25/23 100.000 0.000 3.2498 0.090274 0.091741 0.093232 0.094747 0.096287 33.05 34.13 Goldman Sachs Group,Inc. 38148TD89 09/30/15 07/03/23 100.000 0.000 3.2489 0.090249 0.091007 0.092485 0.093988 0.095515 33.02 34.10 Goldman Sachs Group,Inc. 38148TD97 09/30/15 09/28/23 100.000 0.000 3.2992 0.091644 0.093139 0.094676 0.096238 0.097825 33.54 34.66 Goldman Sachs Group,Inc. 38148TDA4 09/30/15 09/30/25 100.000 0.000 3.6000 0.100002 0.101803 0.103635 0.105501 0.107400 36.66 37.99 Goldman Sachs Group,Inc. 38148TDB2 09/29/15 09/28/23 100.000 0.000 3.3000 0.091667 0.093171 0.094708 0.096271 0.097860 33.55 34.67 Goldman Sachs Group,Inc. 38148TDE6 09/08/15 09/07/22 100.000 0.000 3.0999 0.086110 0.087438 0.088793 0.090169 0.091567 31.54 32.53 Goldman Sachs Group,Inc. 38148TEP0 09/30/15 09/30/25 100.000 VARIES 3.7871 0.009366 0.009544 0.009724 0.009909 0.010096 3.44 3.57 Goldman Sachs Group,Inc. 38148TF46 09/24/15 09/24/22 100.000 0.500 3.2798 0.091108 0.092375 0.093662 0.094970 0.096300 33.27 34.21 Goldman Sachs Group,Inc. 38148TFK0 10/30/15 10/30/23 100.000 0.000 3.1501 0.087505 0.088883 0.090283 0.091705 0.093150 31.92 32.93 Goldman Sachs Group,Inc. 38148TFN4 10/30/15 11/01/23 100.000 0.000 3.1490 0.087482 0.088859 0.090258 0.091680 0.093123 31.91 32.92 Goldman Sachs Group,Inc. 38148TFP9 10/30/15 10/30/25 100.000 0.000 3.4498 0.095829 0.097482 0.099163 0.100874 0.102614 35.00 36.22 Goldman Sachs Group,Inc. 38148TFQ7 10/30/15 11/10/22* 100.000 0.000 9.4859 0.264193 0.276724 83.89* Goldman Sachs Group,Inc. 38148TFV6 10/29/15 10/31/23 100.000 0.000 3.1500 0.087516 0.088895 0.090295 0.091717 0.093162 31.92 32.94 Goldman Sachs Group,Inc. 38148TGL7 10/30/15 10/30/25 100.000 VARIES 3.6654 0.007981 0.008040 0.008099 0.008160 0.008222 2.89 2.93 Goldman Sachs Group,Inc. 38148TGM5 10/22/15 10/22/27 100.000 VARIES 3.9046 0.013658 0.013471 0.013280 0.013085 0.012887 4.86 4.72 Goldman Sachs Group,Inc. 38148TGT0 11/30/15 11/28/25 100.000 0.000 3.4490 0.095806 0.097440 0.099120 0.100829 0.102568 34.89 36.10 Goldman Sachs Group,Inc. 38148TGU7 11/30/15 12/09/22 100.000 0.000 2.9488 0.081972 0.083181 0.084407 0.085652 0.086914 29.78 30.67 Goldman Sachs Group,Inc. 38148TGX1 11/10/15 11/10/26 100.000 VARIES 3.8760 0.010556 0.010544 0.010530 0.010517 0.010503 3.80 3.79 Goldman Sachs Group,Inc. 38148TGZ6 11/27/15 11/29/23 100.000 0.000 3.1499 0.087514 0.088892 0.090292 0.091714 0.093158 31.84 32.85 Goldman Sachs Group,Inc. 38148TH44 11/30/15 11/28/23 100.000 0.000 3.1488 0.087467 0.088829 0.090227 0.091648 0.093091 31.82 32.83 Goldman Sachs Group,Inc. 38148THG7 11/10/15 11/10/21 100.000 1.750 2.8620 0.079500 0.079942 0.080390 0.080845 0.081306 28.74 29.07 Goldman Sachs Group,Inc. 38148THX0 11/18/15 11/18/25 100.000 VARIES 3.7094 0.007124 0.007232 0.007342 0.007454 0.007568 2.59 2.67 Goldman Sachs Group,Inc. 38148TJ26 11/30/15 11/29/23 100.000 0.000 3.1488 0.087469 0.088839 0.090238 0.091658 0.093102 31.82 32.83 Goldman Sachs Group,Inc. 38148TJ59 11/27/15 11/27/30 100.000 VARIES 3.8941 0.108170 0.106952 0.105710 0.104444 0.103154 38.64 37.74 Goldman Sachs Group,Inc. 38148TJN0 12/31/15 07/03/24 100.000 0.000 3.2988 0.091634 0.091660 0.093172 0.094708 0.096270 33.27 34.37 Goldman Sachs Group,Inc. 38148TJP5 12/31/15 01/02/26 100.000 0.000 3.4990 0.097196 0.097215 0.098915 0.100646 0.102407 35.30 36.55 Goldman Sachs Group,Inc. 38148TJT7 12/31/15 01/12/23 100.000 0.000 2.7989 0.077749 0.077821 0.078910 0.080015 0.081134 28.20 28.98 Goldman Sachs Group,Inc. 38148TJU4 12/29/15 12/29/23 100.000 0.000 3.0000 0.083335 0.084585 0.085853 0.087141 0.088448 30.23 31.14 Goldman Sachs Group,Inc. 38148TJY6 12/28/15 12/26/23 100.000 0.000 3.1999 0.088888 0.090295 0.091739 0.093207 0.094699 32.27 33.31 Goldman Sachs Group,Inc. 38148TKG3 12/31/15 12/31/30 100.000 VARIES 3.9931 0.110922 0.109645 0.108342 0.107014 0.105659 39.70 38.76 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group,Inc. 38148TLJ6 02/16/16 02/16/26 100.000 VARIES 3.7569 0.018278 0.018151 0.018022 0.017890 5.74 6.48 Great Plains Energy,Inc. 391164AF7 03/22/12 06/15/22 103.480 5.292 4.8564 0.135878 0.135667 0.136194 0.135228 0.135743 49.70 49.53 Greene & Scott CUNTS, IL 394290CD0 06/01/16 12/01/18 104.620 VARIES 1.8303 0.053191 0.053677 0.054169 0.051805 11.18 19.36 Greene & Scott CUNTS, IL 394290CE8 06/01/16 12/01/19 107.218 VARIES N/A 0.062000 0.062645 0.063297 0.060270 13.04 22.60 Grundy Counties, IL 400186AF9 06/30/16 12/01/17 100.000 0.000 1.9323 0.053676 0.054111 0.054634 9.73 17.95 Grundy Counties, IL 400186AG7 06/30/16 12/01/18 100.000 VARIES 2.2360 0.062112 0.062694 0.063395 0.062120 11.26 22.68 Grundy CNTY SD #72-C, IL 400292BE7 11/01/12 12/01/16 106.789 VARIES 2.2434 0.063393 0.062858 20.82 Grundy CNTY SD #72-C, IL 400292BF4 11/01/12 12/01/17 107.117 VARIES 2.4939 0.071298 0.070802 0.070299 0.069790 25.55 23.11 Grundy CNTY SD #72-C, IL 400292BG2 11/01/12 12/01/18 108.347 VARIES 2.7441 0.079510 0.078981 0.078445 0.077901 0.077350 28.50 28.11 Grundy CNTY SD #72-C, IL 400292BH0 11/01/12 12/01/19 107.921 VARIES 2.9942 0.087083 0.086619 0.086149 0.085671 0.085186 31.24 30.90 GS Finance Corp. 40054CAB0 12/31/15 01/03/23 100.000 0.000 2.7988 0.077745 0.077764 0.078852 0.079955 0.081074 28.19 28.98 GS Finance Corp. 40054CAD6 01/29/16 07/31/24 100.000 0.000 3.3497 0.093049 0.093067 0.094625 0.096210 0.097822 31.23 34.83 GS Finance Corp. 40054CAE4 01/29/16 01/29/26 100.000 0.000 3.6000 0.100002 0.101803 0.103635 0.105501 33.47 37.54 GS Finance Corp. 40054CAF1 01/29/16 01/29/24 100.000 0.000 3.0501 0.084726 0.086018 0.087330 0.088662 28.33 31.60 GS Finance Corp. 40054CAH7 01/29/16 02/09/23 100.000 0.000 3.1497 0.087494 0.087571 0.088950 0.090351 0.091774 29.27 32.68 GS Finance Corp. 40054CAM6 01/28/16 07/28/23 100.000 0.000 2.9499 0.081944 0.083153 0.084379 0.085624 27.47 30.53 GS Finance Corp. 40054CBT0 02/18/16 02/17/22 100.000 0.000 2.8500 0.079168 0.080290 0.081434 0.082594 24.93 29.42 GS Finance Corp. 40054CBU7 02/26/16 02/28/23 100.000 0.000 2.7499 0.075549 0.074745 0.077028 0.076814 0.079161 23.45 28.34 GS Finance Corp. 40054CCA0 02/29/16 03/10/23 100.000 0.000 3.0996 0.086103 0.086177 0.087513 0.088869 0.090246 26.09 32.05 GS Finance Corp. 40054CCB8 02/29/16 02/29/24 100.000 0.000 3.3000 0.089675 0.092666 0.092659 0.095749 27.90 34.20 GS Finance Corp. 40054K2A3 02/29/16 02/27/26 100.000 0.000 3.6001 0.100005 0.101775 0.103607 0.105472 30.32 37.43 GS Finance Corp. 40054K2B1 02/29/16 03/01/22 100.000 0.000 2.8997 0.079665 0.078805 0.081273 0.081107 0.083647 24.50 29.92 GS Finance Corp. 40054K2C9 02/29/16 08/29/19 100.000 0.000 2.2479 0.061756 0.062109 0.063152 0.063513 19.00 23.03 GS Finance Corp. 40054K2H8 02/26/16 08/28/23 100.000 0.000 3.1999 0.088888 0.088904 0.090327 0.091772 0.093240 27.29 33.14 GS Finance Corp. 40054K2W5 02/29/16 02/28/31 100.000 VARIES 3.9927 0.108500 0.109096 0.106110 0.106618 33.38 38.97 GS Finance Corp. 40054K3B0 02/12/16 02/12/31 100.000 VARIES 4.0931 0.113700 0.112341 0.110954 0.109538 36.08 39.80 GS Finance Corp. 40054K7D2 04/29/16 05/01/23 100.000 0.000 2.8501 0.079171 0.079183 0.080312 0.081456 0.082617 19.23 29.26 GS Finance Corp. 40054K7G5 04/29/16 07/30/20 100.000 0.000 2.1997 0.061103 0.061443 0.062119 0.062802 14.84 22.45 GS Finance Corp. 40054K7H3 04/29/16 04/29/22 100.000 0.000 2.5999 0.072222 0.073160 0.074112 0.075075 17.54 26.63 GS Finance Corp. 40054K7J9 04/29/16 05/01/24 100.000 0.000 3.0000 0.083334 0.083348 0.084598 0.085867 0.087155 20.25 30.84 GS Finance Corp. 40054K7K6 04/29/16 04/30/26 100.000 0.000 3.2998 0.091663 0.091672 0.093185 0.094722 0.096285 22.28 34.01 GS Finance Corp. 40054K7L4 04/28/16 04/30/24 100.000 0.000 3.0000 0.083334 0.083348 0.084598 0.085867 0.087155 20.33 30.84 GS Finance Corp. 40054KA89 04/29/16 05/10/23 100.000 0.000 2.8500 0.079168 0.079237 0.080366 0.081511 0.082673 19.23 29.26 GS Finance Corp. 40054KAB2 04/29/16 04/27/23 100.000 1.250 2.8316 0.078656 0.079271 0.079902 0.080542 19.07 28.73 GS Finance Corp. 40054KAE6 04/28/16 01/28/22 100.000 0.000 2.5498 0.070829 0.071281 0.072189 0.073110 17.28 26.10 GS Finance Corp. 40054KAG1 04/29/16 04/30/20 100.000 0.000 2.1495 0.059708 0.059712 0.060354 0.061002 0.061658 14.49 21.92 GS Finance Corp. 40054KB21 04/28/16 04/28/26 100.000 VARIES 3.2493 0.090261 0.089574 0.088876 0.088550 21.89 32.06 GS Finance Corp. 40054KB62 05/31/16 05/31/23 100.000 0.000 2.8999 0.080553 0.081721 0.082906 0.084108 17.03 29.71 GS Finance Corp. 40054KB70 05/31/16 05/28/21 100.000 0.000 2.4002 0.066675 0.067466 0.068276 0.069095 14.09 24.49 GS Finance Corp. 40054KBA3 05/27/16 05/30/24 100.000 0.000 2.8997 0.080548 0.080568 0.081736 0.082921 0.084124 17.28 29.71 GS Finance Corp. 40054KBP0 05/27/16 05/30/23 100.000 0.000 2.8997 0.079664 0.078817 0.081285 0.081119 0.083659 17.34 29.71 GS Finance Corp. 40054KBQ8 05/31/16 12/01/20 100.000 0.000 2.2999 0.063887 0.063892 0.064627 0.065370 0.066122 13.50 23.44 GS Finance Corp. 40054KBR6 05/31/16 08/30/22 100.000 0.000 N/A 0.074236 0.073914 0.076154 0.075925 15.92 27.64 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054KBS4 05/31/16 05/31/24 100.000 0.000 3.0499 0.084721 0.086013 0.087324 0.088656 17.92 31.28 GS Finance Corp. 40054KBT2 05/31/16 05/29/26 100.000 0.000 3.2988 0.091636 0.093139 0.094675 0.096237 19.38 33.91 GS Finance Corp. 40054KBV7 05/31/16 06/09/23 100.000 0.000 2.9001 0.080561 0.080619 0.081788 0.082974 0.084177 17.04 29.71 GS Finance Corp. 40054KBW5 05/31/16 05/29/23 100.000 1.250 2.9087 0.080799 0.081466 0.082145 0.082835 17.07 29.49 GS Finance Corp. 40054KCL8 05/19/16 05/19/31 100.000 VARIES 3.5943 0.099844 0.098771 0.097678 0.096565 22.12 35.27 GS Finance Corp. 40054KD29 06/29/16 06/27/24 100.000 0.000 2.7999 0.077776 0.078852 0.079956 0.081076 14.16 28.59 GS Finance Corp. 40054KD78 06/02/16 06/01/20 100.000 0.000 2.2000 0.061113 0.061781 0.062461 0.063148 12.79 22.40 GS Finance Corp. 40054KD86 06/24/16 06/26/23 100.000 0.000 2.6498 0.073607 0.073618 0.074594 0.075582 0.076583 13.77 27.04 GS Finance Corp. 40054KD94 06/30/16 09/30/22 100.000 0.000 2.4487 0.068021 0.068438 0.069276 0.070124 12.35 24.94 GS Finance Corp. 40054KDA1 06/03/16 06/05/23 100.000 0.000 3.0002 0.083339 0.083353 0.084604 0.085873 0.087161 17.37 30.75 GS Finance Corp. 40054KDD5 06/30/16 12/31/20 100.000 0.000 1.9908 0.055302 0.055852 0.056408 0.056970 10.01 20.21 GS Finance Corp. 40054KDE3 06/30/16 07/02/24 100.000 0.000 2.7498 0.076386 0.076398 0.077448 0.078513 13.83 28.07 GS Finance Corp. 40054KDF0 06/30/16 07/02/26 100.000 0.000 3.0000 0.083333 0.083347 0.084598 0.085867 15.09 30.68 GS Finance Corp. 40054KDJ2 06/30/16 06/28/23 100.000 1.250 2.6030 0.072307 0.072791 0.073286 0.073788 13.09 26.30 GS Finance Corp. 40054KDK9 06/30/16 07/01/21 100.000 0.000 2.1387 0.058758 0.058122 0.059718 0.059372 10.75 21.73 GS Finance Corp. 40054KDL7 06/30/16 09/30/22 100.000 0.000 2.4487 0.068021 0.068438 0.069276 0.070124 12.35 24.94 GS Finance Corp. 40054KDM5 06/30/16 07/12/23 100.000 0.000 2.6002 0.072230 0.072293 0.073233 0.074185 13.08 26.51 GS Finance Corp. 40054KDT0 06/09/16 06/09/23 100.000 0.000 2.9998 0.083328 0.084578 0.085847 0.087134 16.86 30.73 GS Finance Corp. 40054KDV5 06/17/16 06/15/23 100.000 2.000 2.6612 0.073924 0.074166 0.074414 0.074665 14.35 26.75 GS Finance Corp. 40054KDX1 06/30/16 07/02/20 100.000 0.000 1.9105 0.053070 0.053076 0.053583 0.054095 9.61 19.38 GS Finance Corp. 40054KEY8 07/29/16 05/01/23 100.000 0.000 2.4799 0.068887 0.069324 0.070183 0.071054 10.50 25.22 GS Finance Corp. 40054KEZ5 07/29/16 04/29/21 100.000 0.000 2.0499 0.056944 0.057235 0.057822 0.058415 8.67 20.78 GS Finance Corp. 40054KF27 07/29/16 05/01/25 100.000 0.000 2.7700 0.076945 0.077489 0.078563 0.079651 11.73 28.22 GS Finance Corp. 40054KF35 07/29/16 07/30/26 100.000 0.000 2.9298 0.081383 0.081390 0.082582 0.083792 12.37 29.88 GS Finance Corp. 40054KF43 07/29/16 07/29/21 100.000 0.000 2.1199 0.057608 0.059183 0.058836 8.99 21.50 GS Finance Corp. 40054KF50 07/29/16 08/09/23 100.000 0.000 2.5300 0.070280 0.070329 0.071219 0.072120 10.69 25.73 GS Finance Corp. 40054KF84 07/29/16 07/31/23 100.000 0.000 2.6502 0.073617 0.073628 0.074604 0.075592 11.27 26.98 GS Finance Corp. 40054KFB7 07/28/16 07/30/24 100.000 0.000 2.6502 0.073617 0.073628 0.074603 0.075592 11.27 26.98 GS Finance Corp. 40054KFC5 07/26/16 07/24/20 100.000 0.000 2.0961 0.058225 0.058829 0.059445 9.02 21.26 GS Finance Corp. 40054KG26 07/12/16 08/04/17 100.000 0.000 1.2497 0.034716 0.034742 0.034959 5.87 7.44 GS Finance Corp. 40054KGJ9 08/31/16 06/01/21 100.000 0.000 1.9501 0.054172 0.054439 0.054970 0.055506 6.56 19.73 GS Finance Corp. 40054KGK6 08/31/16 06/01/22 100.000 0.000 2.1998 0.061106 0.061446 0.062122 0.062805 7.40 22.28 GS Finance Corp. 40054KGL4 08/31/16 06/01/23 100.000 0.000 2.3999 0.066665 0.067069 0.067874 0.068688 8.08 24.34 GS Finance Corp. 40054KGM2 08/31/16 05/30/25 100.000 0.000 2.6499 0.073608 0.074096 0.075078 0.076073 8.92 26.91 GS Finance Corp. 40054KGN0 08/31/16 09/12/23 100.000 0.000 2.4501 0.068060 0.068116 0.068950 0.069795 8.24 24.85 GS Finance Corp. 40054KGP5 08/31/16 08/31/26 100.000 0.000 2.8001 0.077352 0.077156 0.079533 9.51 28.47 GS Finance Corp. 40054KGQ3 08/31/16 08/31/21 100.000 0.000 2.0001 0.055253 0.054895 0.056363 6.80 20.24 GS Finance Corp. 40054KGR1 08/04/16 08/06/26 100.000 0.000 2.8502 0.079173 0.079186 0.080314 0.081459 11.64 29.04 GS Finance Corp. 40054KGT7 08/26/16 08/28/23 100.000 0.000 2.5001 0.069448 0.069457 0.070326 0.071205 8.68 25.38 GS Finance Corp. 40054KH41 08/30/16 08/29/24 100.000 0.000 2.5993 0.071019 0.072332 0.072872 8.81 26.39 GS Finance Corp. 40054KHR0 08/24/16 08/24/26 100.000 0.000 2.8997 0.080550 0.081718 0.082903 10.23 29.51 HSBC USA, Inc. 4042K04V4 08/17/10 08/17/16 100.000 2.350 2.3499 0.065278 0.065278 14.75 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 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 4042K0R49 03/31/10 03/31/16 100.000 3.250 3.2499 0.090278 8.03 HSBC USA, Inc. 4042K0W84 05/27/10 05/27/16 100.000 0.000 2.8554 0.092702 13.53 HSBC USA, Inc. 4042K14V2 09/28/12 09/28/18 100.000 0.000 2.1876 0.064867 0.065576 0.066293 0.067019 0.067752 23.61 24.13 HSBC USA, Inc. 4042K14W0 09/28/12 09/28/18 100.000 0.000 2.1876 0.064867 0.065576 0.066293 0.067019 0.067752 23.61 24.13 HSBC USA, Inc. 4042K15X7 10/31/12 10/31/18 100.000 0.000 2.0692 0.061141 0.061774 0.062413 0.063059 0.063711 22.20 22.66 HSBC USA, Inc. 4042K15Y5 10/31/12 10/31/18 100.000 0.000 2.2257 0.066071 0.066807 0.067550 0.068302 0.069062 24.01 24.55 HSBC USA, Inc. 4042K1B28 03/27/12 03/27/19 100.000 0.000 3.6762 0.116003 0.118136 0.120307 0.122519 0.124771 42.55 44.13 HSBC USA, Inc. 4042K1BQ5 01/24/11 01/24/18 100.000 0.000 3.6480 0.119235 0.121410 0.123625 0.125880 0.128176 44.01 45.63 HSBC USA, Inc. 4042K1D59 04/05/12 04/05/18 100.000 0.000 3.2441 0.100860 0.102496 0.104158 0.105848 0.107565 36.89 38.09 HSBC USA, Inc. 4042K1E58 04/26/12 10/26/18 100.000 0.000 3.3063 0.103014 0.104717 0.106449 0.108208 0.109997 37.61 38.87 HSBC USA, Inc. 4042K1E66 04/26/12 04/27/17 100.000 0.000 2.7102 0.082730 0.083852 0.084988 30.13 9.86 HSBC USA, Inc. 4042K1ED1 03/04/11 03/03/16 100.000 3.210 3.2099 0.089167 5.53 HSBC USA, Inc. 4042K1FE8 03/24/11 03/24/18 100.000 VARIES 3.9708 0.110411 0.110390 0.110369 0.110347 0.110324 39.74 39.72 HSBC USA, Inc. 4042K1GG2 05/04/11 05/04/18 100.000 VARIES 3.6984 0.102595 0.102622 0.102649 0.102677 0.102705 36.94 36.96 HSBC USA, Inc. 4042K1GP2 05/06/11 05/06/16 100.000 2.990 2.9899 0.083056 10.38 HSBC USA, Inc. 4042K1HX4 06/10/11 06/10/19 100.000 VARIES 3.5773 0.099147 0.099178 0.099209 0.099240 0.099272 35.70 35.72 HSBC USA, Inc. 4042K1JT1 06/13/11 06/13/18 100.000 VARIES 3.3850 0.093248 0.093399 0.093552 0.093708 0.093867 33.60 33.71 HSBC USA, Inc. 4042K1K77 05/29/12 11/28/18 100.000 0.000 3.0538 0.094313 0.095753 0.097215 0.098700 0.100207 34.31 35.36 HSBC USA, Inc. 4042K1KE2 07/29/11 07/31/17 100.000 0.000 2.9725 0.092932 0.094313 0.095715 0.097138 34.12 20.26 HSBC USA, Inc. 4042K1KG7 07/29/11 07/31/17 100.000 0.000 2.9725 0.092932 0.094313 0.095715 0.097138 34.12 20.26 HSBC USA, Inc. 4042K1TC7 11/30/11 11/30/21 100.000 VARIES 4.1952 0.113368 0.113603 0.113842 0.114087 0.114337 40.87 41.04 HSBC USA, Inc. 4042K1TZ6 12/20/11 12/20/21 100.000 VARIES 4.3009 0.116948 0.117135 0.117325 0.117520 0.117719 42.14 42.28 HSBC USA, Inc. 4042K1U43 06/29/12 06/29/18 100.000 0.000 2.6048 0.079218 0.080250 0.081295 0.082354 0.083427 28.71 29.46 HSBC USA, Inc. 4042K1XC2 02/29/12 03/01/18 100.000 0.000 3.1254 0.096781 0.098293 0.099829 0.101389 0.102974 35.48 36.60 HSBC USA, Inc. 4042K1XD0 02/29/12 03/01/17 100.000 0.000 2.9015 0.089157 0.090451 0.091763 32.64 5.51 HSBC USA, Inc. 4042K1XE8 02/07/12 02/07/17 100.000 0.000 2.7410 0.083751 0.084899 0.086063 30.69 3.10 HSBC USA, Inc. 4042K1XF5 02/29/12 03/01/19 100.000 0.000 3.4939 0.109574 0.111488 0.113436 0.115417 0.117434 40.25 41.67 HSBC USA, Inc. 4042K1Z30 08/30/12 08/30/18 100.000 0.000 2.4720 0.072707 0.073606 0.074925 0.075437 0.076789 27.05 27.67 HSBC USA, Inc. 4042K1Z48 08/30/12 02/28/18 100.000 0.000 2.2077 0.064785 0.064788 0.066589 0.066226 0.068067 23.93 24.42 HSBC USA, Inc. 4042K1Z63 08/08/12 08/08/19 100.000 0.000 2.6152 0.078535 0.079561 0.080602 0.081656 0.082724 28.75 29.51 HSBC USA, Inc. 4042K1ZD8 03/30/12 03/30/17 100.000 0.000 2.8298 0.086731 0.087958 0.089203 31.67 7.94 HSBC USA, Inc. 4042K1ZE6 04/04/12 04/04/18 100.000 0.000 3.2440 0.100855 0.102491 0.104153 0.105843 0.107559 36.89 38.10 HSBC USA, Inc. 4042K1ZK2 04/02/12 04/02/19 100.000 0.000 3.4236 0.107101 0.108934 0.110799 0.112696 0.114625 39.22 40.57 HSBC USA, Inc. 40432X2M2 11/27/12 11/27/18 100.000 0.000 2.0105 0.059302 0.059898 0.060501 0.061109 0.061723 21.50 21.93 HSBC USA, Inc. 40432X2N0 11/27/12 11/27/18 100.000 0.000 2.1491 0.063653 0.064337 0.065028 0.065727 0.066433 23.08 23.58 HSBC USA, Inc. 40432X3T6 11/26/12 11/25/19 100.000 0.000 2.2776 0.067712 0.068483 0.069263 0.070052 0.070850 24.57 25.13 HSBC USA, Inc. 40432X4M0 12/24/12 12/24/18 100.000 0.000 2.0972 0.062019 0.062669 0.063326 0.063990 0.064661 22.45 22.93 HSBC USA, Inc. 40432X4N8 12/26/12 12/26/18 100.000 0.000 2.0970 0.062014 0.062664 0.063321 0.063985 0.064656 22.45 22.92 HSBC USA, Inc. 40432X5F4 12/21/12 12/21/22 100.000 VARIES 1.3475 0.010558 0.010629 0.010701 0.010773 0.010845 3.82 3.87 HSBC USA, Inc. 40432X5M9 01/29/13 01/29/19 100.000 0.000 2.1341 0.062514 0.063181 0.063855 0.064537 0.065225 22.83 23.32 HSBC USA, Inc. 40432X5N7 01/30/13 01/30/19 100.000 0.000 2.1341 0.062514 0.063181 0.063855 0.064537 0.065225 22.83 23.32 HSBC USA, Inc. 40432X5T4 01/15/13 01/15/43 100.000 0.000 4.5776 0.142389 0.145648 0.148982 0.152392 0.155880 52.94 55.39 HSBC USA, Inc. 40432X5Z0 01/04/13 12/24/18 100.000 0.000 2.0803 0.061455 0.062094 0.062740 0.063393 0.064052 22.25 22.71 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 40432X7E5 01/29/13 01/29/43 100.000 0.000 4.6460 0.144760 0.148122 0.151563 0.155084 0.158687 53.75 56.28 HSBC USA, Inc. 40432XAC5 02/26/13 02/26/19 100.000 0.000 2.2385 0.065742 0.066478 0.067222 0.067974 0.068735 23.98 24.52 HSBC USA, Inc. 40432XAD3 02/27/13 02/27/19 100.000 0.000 2.2385 0.065742 0.066478 0.067222 0.067974 0.068735 23.98 24.52 HSBC USA, Inc. 40432XBQ3 02/28/13 08/28/18 100.000 0.000 1.9403 0.056565 0.057113 0.057667 0.058227 0.058792 20.60 21.00 HSBC USA, Inc. 40432XCD1 03/28/13 03/28/19 100.000 0.000 2.2310 0.065509 0.066239 0.066978 0.067725 0.068481 23.85 24.39 HSBC USA, Inc. 40432XGU9 06/26/13 06/26/19 100.000 0.000 2.6968 0.080102 0.081183 0.082277 0.083387 0.084511 29.04 29.83 HSBC USA, Inc. 40432XGZ8 07/08/13 07/08/20 100.000 VARIES 1.3420 0.007068 0.007115 0.007163 0.007211 0.007259 2.57 2.60 HSBC USA, Inc. 40432XHX2 07/23/13 07/23/18 100.000 0.000 2.1557 0.062506 0.063180 0.063861 0.064550 0.065245 22.84 23.33 HSBC USA, Inc. 40432XHZ7 07/26/13 07/26/23 100.000 VARIES 1.5824 0.007651 0.007712 0.007773 0.007834 0.007896 2.78 2.83 HSBC USA, Inc. 40432XJY8 08/23/13 08/23/23 98.875 VARIES 1.6689 0.009945 0.010028 0.010112 0.010196 0.010282 3.62 3.68 HSBC USA, Inc. 40432XKQ3 09/26/13 09/26/23 100.000 VARIES 3.9578 0.109397 0.109426 0.109456 0.109486 0.109517 39.39 39.42 HSBC USA, Inc. 40432XKX8 09/12/13 09/12/23 98.875 VARIES 1.6700 0.009971 0.010054 0.010138 0.010223 0.010308 3.62 3.68 HSBC USA, Inc. 40432XLT6 09/30/13 10/02/23 100.000 VARIES 1.5393 0.007110 0.007165 0.007220 0.007276 0.007332 2.58 2.62 HSBC USA, Inc. 40432XNT4 12/04/13 12/04/28 100.000 VARIES 3.4249 0.089186 0.089370 0.089557 0.089747 0.089940 32.15 32.28 HSBC USA, Inc. 40432XQU8 12/31/13 07/01/19 100.000 0.000 2.4756 0.072243 0.073137 0.074043 0.074959 26.17 26.82 HSBC USA, Inc. 40432XS69 02/03/14 02/03/17 100.000 0.000 1.1820 0.033421 0.033618 0.033817 12.13 1.08 HSBC USA, Inc. 40432XZ79 05/21/14 05/21/29 100.000 VARIES 3.9809 0.106216 0.106340 0.106466 0.106595 0.106726 38.27 38.36 HSBC USA, Inc. 40433BEJ3 06/27/14 06/27/29 100.000 VARIES 4.0230 0.108481 0.108573 0.108667 0.108763 0.108861 39.07 39.14 HSBC USA, Inc. 40433BH50 03/31/15 03/31/20 100.000 0.000 2.5278 0.071106 0.072005 0.072915 0.073837 0.074770 25.92 26.58 HSBC USA, Inc. 40433BKW7 08/28/14 08/30/19 100.000 0.000 2.1921 0.061223 0.061894 0.062916 0.063259 0.064303 22.74 23.20 HSBC USA, Inc. 40433BN61 04/08/15 04/08/20 100.000 0.000 1.6948 0.047479 0.047881 0.048287 0.048696 0.049109 17.23 17.53 HSBC USA, Inc. 40433BNR5 09/29/14 09/30/19 100.000 0.000 2.3491 0.066802 0.067586 0.068380 0.069183 0.069996 24.33 24.91 HSBC USA, Inc. 40433BUB2 12/03/14 12/04/23 100.000 0.000 2.9962 0.085748 0.087032 0.088336 0.089659 0.091003 31.17 32.11 HSBC USA, Inc. 40433BVF2 12/10/14 12/11/17 100.000 0.000 1.7132 0.048411 0.048825 0.049243 0.049665 17.52 16.82 HSBC USA, Inc. 40433UFF8 12/31/15 01/02/24 100.000 0.000 1.6730 0.046472 0.046477 0.046865 0.047257 0.047653 16.80 17.08 HSBC USA, Inc. 40433UQV1 07/29/16 07/31/23 100.000 0.000 2.6251 0.072921 0.072932 0.073889 0.074859 11.16 26.72 HSBC USA, Inc. 40433UQZ2 07/29/16 07/31/23 100.000 0.000 2.6251 0.072922 0.072932 0.073890 0.074860 11.16 26.72 HSBC USA, Inc. 40433UUA2 09/30/16 10/02/23 100.000 0.000 2.3971 0.066588 0.066597 0.067395 0.068203 6.06 24.26 HSBC USA, Inc. 40433X316 08/12/13 08/14/23 100.000 0.000 3.8455 0.115301 0.117518 0.119778 0.122081 0.124428 42.52 44.17 HSBC USA, Inc. 40434B131 04/03/14 03/26/21 100.000 0.000 3.2029 0.093256 0.094749 0.096267 0.097808 0.099375 34.13 35.23 HSBC USA, Inc. 40434B545 02/06/14 01/29/21 100.000 0.000 3.0855 0.089685 0.091068 0.092473 0.093900 0.095349 32.96 33.98 HSBC USA, Inc. 40434B610 12/26/13 06/28/21 100.000 0.000 3.3584 0.099735 0.101410 0.103113 0.104845 0.106605 36.22 37.44 HSBC USA, Inc. 40434B636 12/31/13 01/04/21 100.000 0.000 3.4305 0.100319 0.102039 0.103790 0.105570 0.107381 37.04 38.32 HSBC USA, Inc. 40434B867 12/03/13 11/25/20 100.000 0.000 3.1082 0.091772 0.093198 0.094647 0.096117 0.097611 33.40 34.44 HSBC USA, Inc. 40434C188 07/31/14 07/30/21 100.000 0.000 2.8870 0.080727 0.082792 0.083075 0.085671 0.085490 30.29 31.17 HSBC USA, Inc. 40434C386 06/16/14 12/16/22 100.000 0.000 3.2385 0.094403 0.095931 0.097485 0.099063 0.100667 34.31 35.43 HSBC USA, Inc. 40434C659 06/05/14 05/28/21 100.000 0.000 2.9289 0.084941 0.086185 0.087447 0.088727 0.090027 30.89 31.80 HSBC USA, Inc. 40434E127 03/03/16 02/24/23 100.000 0.000 2.1214 0.058929 0.059523 0.060155 0.060793 17.64 21.70 HSBC USA, Inc. 40434E267 02/04/16 01/27/23 100.000 0.000 1.8122 0.050340 0.050778 0.051239 0.051703 16.53 18.51 HSBC USA, Inc. 40434G775 04/30/15 05/02/22 100.000 0.000 2.2886 0.064308 0.065044 0.065788 0.066541 0.067302 23.37 23.91 HSBC USA, Inc. 40434K354 12/30/15 12/23/22 100.000 0.000 1.6730 0.046475 0.046848 0.047240 0.047635 0.048034 16.80 17.08 HSBC USA, Inc. 40434N283 06/03/16 05/26/23 100.000 0.000 2.4858 0.069050 0.069875 0.070744 0.071623 14.39 25.37 HSBC USA, Inc. 40434V780 07/13/16 06/30/23 100.000 0.000 2.5155 0.069877 0.070697 0.071587 0.072487 11.81 25.61 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 40435B304 10/06/16 09/29/23 100.000 0.000 2.5060 0.069613 0.070451 0.071334 5.92 25.37 Hancock County SD 316,IL 409792DJ4 05/01/14 12/01/16 105.570 VARIES 1.2858 0.036501 0.036111 11.98 Hancock County SD 316,IL 409792DK1 05/01/14 12/01/17 107.276 VARIES 1.6361 0.047330 0.046865 0.046397 0.045924 16.93 15.23 Hancock County SD 316,IL 409792DL9 05/01/14 12/01/18 107.805 VARIES 2.1841 0.063855 0.063338 0.062817 0.062289 0.061756 22.86 22.49 Hancock County SD 316,IL 409792DM7 05/01/14 12/01/19 106.961 VARIES 2.6340 0.076938 0.076488 0.076032 0.075570 0.075102 27.59 27.26 Hancock County SD 316,IL 409792DN5 05/01/14 12/01/20 105.881 VARIES 3.2316 0.093958 0.093568 0.093173 0.092771 0.092362 33.73 33.45 Hancock County SD 325,IL 409828AQ3 06/28/13 12/01/16 107.747 VARIES 1.7351 0.049276 0.048740 16.16 Hancock County SD 325,IL 409828AR1 06/28/13 12/01/17 109.800 VARIES 1.9860 0.057606 0.057006 0.056399 0.055787 20.59 18.50 Caesars Entertainment 413626AR3 07/25/14 10/31/16 99.000 10.500 11.0098 6.07 0.012723 0.013423 3.93 Caesars Entertainment 413626AS1 07/25/14 03/01/17 92.600 5.950 9.2133 38.74 0.079193 0.082841 0.086657 30.06 5.20 Caesars Entertainment 413626AU6 07/25/14 03/01/17 93.100 6.950 10.0284 35.96 0.073838 0.077541 0.081429 28.16 4.89 Caesars Entertainment 413626AV4 07/25/14 03/01/17 89.010 9.750 15.0047 55.68 0.117489 0.126303 0.135779 46.08 8.15 Harrisburg, PA 414738NX8 12/28/95 04/01/16 24.047 0.000 7.1593 742.25 0.191997 17.28 Harrisburg, PA 414738NY6 12/28/95 04/01/17 22.322 0.000 7.1792 692.53 0.179403 0.185843 0.192514 66.92 17.33 Harrisburg, PA 414738NZ3 12/28/95 04/01/18 20.535 0.000 7.2393 646.92 0.168339 0.174433 0.180747 0.187289 0.194068 62.82 67.45 Harrisburg, PA 414738PA6 12/28/95 04/01/19 19.125 0.000 7.2394 602.52 0.156785 0.162461 0.168341 0.174435 0.180749 58.50 62.82 Hartford Life Insurance 41659LAS0 08/16/07 08/16/17 100.000 0.000 5.7021 0.248356 0.255437 0.262720 0.270210 92.62 60.46 Helix Energy Solutions 42330PAG2 03/12/12 03/15/32 100.000 VARIES 7.5037 0.243284 0.249025 0.254981 0.261160 0.267571 89.86 94.24 Hoboken, NJ 434110QH8 08/28/03 04/01/27 19.107 0.000 7.1397 263.20 0.088514 0.091674 0.094946 0.098336 0.101846 33.01 35.41 Hoboken, NJ 434110QJ4 08/28/03 04/01/28 17.813 0.000 7.1396 245.37 0.082517 0.085463 0.088514 0.091673 0.094946 30.78 33.01 Hoboken, NJ 434110QK1 08/28/03 04/01/29 16.606 0.000 7.1397 228.74 0.076927 0.079673 0.082517 0.085463 0.088514 28.69 30.78 Hoboken, NJ 434110QL9 08/28/03 04/01/30 15.481 0.000 7.1397 213.25 0.071715 0.074275 0.076927 0.079673 0.082517 26.75 28.69 Hoboken, NJ 434110QM7 08/28/03 04/01/31 14.432 0.000 7.1397 198.80 0.066856 0.069243 0.071715 0.074275 0.076927 24.94 26.75 Hoboken, NJ 434110QN5 08/28/03 04/01/32 13.454 0.000 7.1398 185.33 0.062327 0.064552 0.066856 0.069243 0.071715 23.25 24.94 Hoboken, NJ 434110QP0 08/28/03 04/01/33 12.543 0.000 7.1396 172.78 0.058105 0.060179 0.062327 0.064552 0.066856 21.67 23.25 Horizon Lines, Inc. 44044KAC5 10/05/11 04/15/17 92.470 6.000 N/A 0.257541 0.267152 0.277121 95.93 28.82 Horizon Lines, Inc. 44044KAG6 10/05/11 04/15/17 92.470 6.000 N/A 0.257541 0.267152 0.277121 95.93 28.82 Horizon Lines, Inc. 44044KAH4 04/26/12 04/15/17 100.000 6.000 N/A 0.166667 0.166667 0.166667 60.00 17.33 Hovnanian Enterprises 442488BL5 11/01/11 11/01/21 53.000 5.000 13.8062 125.05 0.109800 0.117380 0.125483 0.134145 0.143405 41.83 47.81 Hovnanian Enterprises 442488BM3 11/01/11 11/01/21 42.000 2.000 12.1926 0.194737 0.203222 0.212224 0.221775 0.231908 72.68 79.30 Hovnanian Enterprises 442488BP6 10/02/12 12/01/17 76.851 0.000 5.1630 138.45 0.129517 0.132860 0.136290 0.139808 47.43 45.61 Illinois Stud Asst Comm. 452281JD1 10/27/10 04/25/23 95.305 1.200 N/A 0.012927 0.013037 0.013148 0.013261 0.013374 4.69 4.77 Indiana Finance Auth 45506DVJ1 12/30/15 12/01/19* 98.304 6.500 7.0021 .01 0.010650 1.36* Insignia Financing I 45766X304 11/01/96 09/30/16 100.000 6.500 6.4999 0.177596 0.177596 48.48 Intl Bnk for Reconstr 459056HY6 01/07/86 02/15/16 5.299 0.000 9.9989 935.36 0.258773 11.64 Irvington Township, NJ 464080JT8 12/21/06 07/15/16 60.176 0.000 5.3796 370.06 0.141709 0.145521 28.18 Irvington Township, NJ 464080JU5 12/21/06 07/15/17 56.947 0.000 5.3997 351.83 0.134832 0.138472 0.142210 0.146050 50.42 28.28 Irvington Township, NJ 464080JV3 12/21/06 07/15/18 53.750 0.000 5.4396 335.14 0.128631 0.132129 0.135723 0.139414 0.143206 48.11 50.77 JP Morgan Chase & Co. 46625HME7 07/31/15 07/31/35 100.000 VARIES 4.4624 0.123957 0.122627 0.121268 0.119878 0.118457 43.98 42.98 JP Morgan Chase & Co. 46634X187 06/29/11 06/29/17 100.000 0.000 3.2582 0.104676 0.106382 0.108115 38.00 19.24 Jackson CNTYS SD#165, IL 466484FA5 06/28/07 12/01/16 57.808 0.000 5.8995 370.07 0.154620 0.159181 51.85 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Jackson CNTYS SD#165, IL 466484FB3 06/28/07 12/01/17 53.993 0.000 5.9995 353.01 0.148072 0.152514 0.157089 0.161802 54.38 52.69 Jackson CNTYS SD#165, IL 466484FC1 06/28/07 12/01/18 50.612 0.000 6.0496 334.37 0.140532 0.144783 0.149163 0.153675 0.158323 51.62 54.79 Jackson CNTYS SD#165, IL 466484FD9 06/28/07 12/01/19 47.112 0.000 6.1496 317.74 0.134069 0.138191 0.142440 0.146820 0.151335 49.26 52.33 Jackson CNTYS SD#165, IL 466484FE7 06/28/07 12/01/20 44.055 0.000 6.1997 300.17 0.126908 0.130842 0.134898 0.139079 0.143391 46.63 49.57 Jackson CNTYS SD#165, IL 466484FF4 06/28/07 12/01/21 41.157 0.000 6.2496 283.29 0.120004 0.123754 0.127621 0.131609 0.135721 44.10 46.90 Jackson CNTYS SD#165, IL 466484FG2 06/28/07 12/01/22 38.700 0.000 6.2497 266.38 0.112842 0.116369 0.120005 0.123755 0.127622 41.47 44.11 Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23 36.102 0.000 6.2996 251.02 0.106542 0.109897 0.113359 0.116930 0.120613 39.16 41.67 Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24 33.931 0.000 6.2996 235.92 0.100134 0.103288 0.106541 0.109897 0.113359 36.81 39.16 Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25 31.890 0.000 6.2997 221.73 0.094112 0.097077 0.100134 0.103288 0.106542 34.59 36.81 Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26 29.691 0.000 6.3497 208.52 0.088680 0.091496 0.094401 0.097398 0.100490 32.60 34.71 Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27 28.707 0.000 6.3499 201.59 0.085952 0.088681 0.091497 0.094402 0.097399 31.52 33.56 Jefferson CNTYS #521, IL 474070HN2 05/30/13 12/01/16 99.746 VARIES 1.1968 0.033213 0.033229 10.96 Jefferson CNTYS #521, IL 474070HP7 05/30/13 12/01/17 99.674 VARIES 1.4462 0.040097 0.040116 0.040134 0.040154 14.44 13.25 Jefferson CNTYS #521, IL 474070HQ5 05/30/13 12/01/18 99.605 VARIES 1.6956 0.046971 0.046992 0.047014 0.047036 0.047058 16.91 16.93 Jefferson CNTYS #521, IL 474070HR3 05/30/13 12/01/22 107.317 VARIES 2.8894 0.084612 0.084330 0.084043 0.083752 0.083457 30.39 30.19 Jefferson CNTYS #521, IL 474070HS1 05/30/13 12/01/23 105.651 VARIES 3.0399 0.088076 0.087874 0.087668 0.087460 0.087248 31.66 31.51 Johnson CNTYS, IL 478167HD4 07/03/14 10/01/16 105.492 VARIES 1.8348 0.052234 0.051604 13.99 Johnson CNTYS, IL 478167HE2 07/03/14 10/01/17 106.717 VARIES 2.1873 0.063317 0.062687 0.062052 0.061409 22.57 16.64 Johnson CNTYS, IL 478167HF9 07/03/14 10/01/18 107.426 VARIES 2.4887 0.072828 0.072231 0.071626 0.071014 0.070394 26.00 25.56 Johnson CNTYS, IL 478167HG7 07/03/14 10/01/19 107.279 VARIES 2.8391 0.083342 0.082809 0.082270 0.081722 0.081167 29.81 29.42 Johnson CNTYS, IL 478167HH5 07/03/14 10/01/20 107.066 VARIES 3.0899 0.090808 0.090344 0.089873 0.089395 0.088909 32.52 32.18 Johnson CNTYS, IL 478167HJ1 07/03/14 10/01/21 105.766 VARIES 3.3403 0.097343 0.096997 0.096645 0.096288 0.095924 34.92 34.66 Johnson CNTYS, IL 478167HK8 07/03/14 10/01/22 104.620 VARIES 3.5909 0.103786 0.103530 0.103269 0.103004 0.102734 37.27 37.08 Johnson CNTYS, IL 478167HL6 07/03/14 10/01/23 103.105 VARIES 3.8407 0.109670 0.109509 0.109345 0.109178 0.109007 39.42 39.30 Josephine County, OR 480890AA0 10/30/01 06/01/17 36.621 0.000 6.5496 546.60 0.165170 0.170579 0.176165 60.76 26.42 Josephine County, OR 480890AB8 10/30/01 06/01/18 33.518 0.000 6.6996 517.66 0.157835 0.163122 0.168586 0.174234 0.180070 58.09 62.05 Josephine County, OR 480890AR3 10/30/01 06/01/16 40.464 0.000 6.2995 569.91 0.169645 25.45 J2 Global, Inc. 48123VAC6 06/17/14 06/15/29 100.000 VARIES 8.0003 0.238644 0.244579 0.250751 0.257170 0.263846 87.17 91.64 JP Morgan Chase & Co. 48124AD20 09/30/10 09/30/16 100.000 0.000 3.0410 0.098232 0.099726 26.69 JP Morgan Chase & Co. 48124ASD0 05/28/10 05/31/16 100.000 0.000 3.9190 0.132599 20.02 JP Morgan Chase & Co. 48124AV38 11/30/10 11/30/16 100.000 0.000 3.1390 0.101888 0.103487 33.81 JP Morgan Chase & Co. 48124AV95 11/30/10 11/30/16 100.000 0.000 3.0404 0.098211 0.099704 32.58 JP Morgan Chase & Co. 48124AZW0 09/15/10 09/15/25 100.000 VARIES 3.5831 0.087354 0.087749 0.088151 0.088560 0.088976 31.60 31.90 JP Morgan Chase & Co. 48124JAD0 04/04/12 04/04/32* 100.000 VARIES 2.6982 0.069441 0.069174 12.82* JP Morgan Chase & Co. 48125UCH3 02/27/15 02/27/30 100.000 VARIES 3.9804 0.110559 0.110548 0.110536 0.110525 0.110554 39.80 39.79 JP Morgan Chase & Co. 48125UCP5 03/31/15 03/29/30 100.000 VARIES 3.9445 0.107081 0.104605 0.104978 0.101902 0.103117 38.54 37.58 JP Morgan Chase & Co. 48125UDK5 03/30/15 03/30/25 100.000 VARIES 3.4192 0.093754 0.092507 0.092172 0.091831 0.091767 33.38 33.08 JP Morgan Chase & Co. 48125UDL3 04/22/15 04/22/30 100.000 VARIES 3.9342 0.108044 0.106779 0.105489 0.104174 0.103740 38.49 37.62 JP Morgan Chase & Co. 48125UKN1 03/31/15 12/31/20 100.000 0.000 2.9102 0.082613 0.083815 0.085034 0.086272 0.087527 29.96 30.84 JP Morgan Chase & Co. 48125UL59 08/17/15 02/18/21 100.000 1.000 2.8256 0.078493 0.079210 0.079936 0.080673 0.081421 28.58 29.11 JP Morgan Chase & Co. 48125URP9 05/14/15 05/16/19 100.000 0.000 2.2907 0.064370 0.065108 0.065853 0.066608 0.067371 23.37 23.91 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 48125UTC6 06/26/15 06/26/30 100.000 VARIES 4.4665 0.123121 0.122149 0.121154 0.120138 0.119479 44.14 43.42 JP Morgan Chase & Co. 48125UTF9 06/30/15 06/30/30 100.000 VARIES 4.4796 0.120999 0.117488 0.115745 0.113963 0.112141 42.92 41.34 JP Morgan Chase & Co. 48125UTG7 06/30/15 06/30/30 100.000 VARIES 4.4809 0.121036 0.117525 0.116163 0.114770 0.113346 42.94 41.57 JP Morgan Chase & Co. 48125UTH5 06/30/15 06/30/30 100.000 VARIES 4.4852 0.123646 0.122682 0.121695 0.120687 0.119772 44.34 43.63 JP Morgan Chase & Co. 48125UTL6 06/30/15 06/30/30 100.000 VARIES 4.4865 0.124305 0.123978 0.123644 0.123302 0.122952 44.69 44.45 JP Morgan Chase & Co. 48125UTT9 07/31/15 07/31/30 100.000 VARIES 4.3052 0.119589 0.118576 0.117540 0.116483 0.115403 42.56 41.80 JP Morgan Chase & Co. 48125UUL4 08/31/15 08/31/35 100.000 VARIES 4.2124 0.117666 0.115424 0.115080 0.112145 0.111695 41.64 40.49 JP Morgan Chase & Co. 48125UUN0 08/31/15 08/31/30 100.000 VARIES 4.2249 0.116070 0.113789 0.114617 0.111686 0.112434 41.88 41.03 JP Morgan Chase & Co. 48125UUS9 08/21/15 08/21/30 100.000 VARIES 4.2080 0.116890 0.116427 0.115955 0.115472 0.114979 41.88 41.53 JP Morgan Chase & Co. 48125UUT7 08/31/15 08/31/25 100.000 VARIES 2.5711 0.009071 0.008736 0.008636 0.008252 0.008138 3.20 3.02 JP Morgan Chase & Co. 48125UY48 09/30/15 09/30/30 100.000 VARIES 4.2752 0.118756 0.117734 0.116690 0.115623 0.114534 42.38 41.62 JP Morgan Chase & Co. 48125UY71 09/18/15 09/18/30 100.000 VARIES 2.6024 0.013932 0.013632 0.013327 0.013019 0.012707 4.90 4.68 JP Morgan Chase & Co. 48125V2G4 08/31/12 08/31/18 100.000 0.000 2.4104 0.071157 0.071231 0.073285 0.072959 0.075062 26.32 26.91 JP Morgan Chase & Co. 48125V4Q0 09/28/12 09/29/17 100.000 0.000 1.9604 0.057742 0.058308 0.058879 0.059456 20.99 15.88 JP Morgan Chase & Co. 48125V5R7 09/28/12 09/28/18 100.000 VARIES 2.2733 0.065417 0.065911 0.066411 0.066933 0.067460 23.73 24.10 JP Morgan Chase & Co. 48125V7F1 09/18/12 09/18/19 100.000 0.500 2.6369 0.078103 0.078950 0.079807 0.080677 0.081557 28.45 29.07 JP Morgan Chase & Co. 48125V7G9 09/28/12 03/29/18 100.000 0.000 2.0907 0.061820 0.062466 0.063119 0.063779 0.064445 22.49 22.96 JP Morgan Chase & Co. 48125VA67 06/29/12 06/30/16 100.000 0.000 2.5495 0.077394 13.85 JP Morgan Chase & Co. 48125VC40 06/20/12 12/20/17 100.000 0.000 3.2200 0.100026 0.101637 0.103273 0.104936 36.34 36.34 JP Morgan Chase & Co. 48125VC57 06/29/12 06/29/18 100.000 0.000 3.0497 0.094183 0.095619 0.097077 0.098557 0.100060 34.17 35.22 JP Morgan Chase & Co. 48125VEL0 12/30/11 12/29/17 100.000 0.000 3.8400 0.124184 0.126569 0.128999 0.131476 45.15 46.63 JP Morgan Chase & Co. 48125VHH6 01/31/12 01/31/18 100.000 0.000 3.5407 0.111209 0.113178 0.115181 0.117220 0.119296 40.99 42.45 JP Morgan Chase & Co. 48125VJ35 07/31/12 07/31/27* 100.000 VARIES 4.0733 0.105345 0.105468 12.44* JP Morgan Chase & Co. 48125VJ50 07/30/12 07/30/27 100.000 VARIES 4.0727 0.100085 0.099600 0.099105 0.098600 0.098085 35.80 35.43 JP Morgan Chase & Co. 48125VL24 07/05/12 01/04/18 100.000 0.000 2.9500 0.089464 0.090783 0.092123 0.093481 0.094860 32.92 33.89 JP Morgan Chase & Co. 48125VM72 06/29/12 06/28/19 100.000 0.000 3.2698 0.101741 0.103404 0.105095 0.106813 0.108559 36.94 38.15 JP Morgan Chase & Co. 48125VMA5 02/29/12 02/29/16 100.000 0.000 2.4510 0.073328 4.33 JP Morgan Chase & Co. 48125VMC1 02/29/12 02/28/18 100.000 0.000 3.1994 0.098224 0.098711 0.101952 0.101894 0.105240 36.50 37.61 JP Morgan Chase & Co. 48125VPV6 03/30/12 06/30/16 100.000 0.000 2.3101 0.069944 12.52 JP Morgan Chase & Co. 48125VPZ7 03/30/12 09/28/18 100.000 0.000 3.1110 0.096261 0.097758 0.099279 0.100823 0.102391 35.20 36.31 JP Morgan Chase & Co. 48125VQ60 07/31/12 07/31/18 100.000 VARIES 2.6423 0.075786 0.076406 0.077035 0.077684 0.078342 27.58 28.05 JP Morgan Chase & Co. 48125VRA0 03/07/12 03/07/17 100.000 0.000 2.6907 0.082072 0.083176 0.084295 30.00 5.56 JP Morgan Chase & Co. 48125VSN1 03/27/12 03/27/20 100.000 0.000 3.7709 0.119381 0.121631 0.123925 0.126261 0.128642 43.81 45.48 JP Morgan Chase & Co. 48125VTK6 04/30/12 07/29/16 100.000 0.000 2.3703 0.071080 0.071922 14.94 JP Morgan Chase & Co. 48125VTP5 04/30/12 04/30/18 100.000 0.000 3.0309 0.093542 0.094960 0.096399 0.097860 0.099343 34.10 35.15 JP Morgan Chase & Co. 48125VUN8 05/21/12 05/21/27* 100.000 VARIES 4.5682 0.110778 0.108938 15.73* JP Morgan Chase & Co. 48125VWQ9 05/18/12 08/18/16 100.000 0.000 2.4102 0.072376 0.073248 16.59 JP Morgan Chase & Co. 48125VY20 08/31/12 08/31/16 100.000 0.000 1.7203 0.049753 0.049636 12.07 JP Morgan Chase & Co. 48125VYW4 06/13/12 06/13/27* 100.000 VARIES 4.6582 0.112708 8.23* JP Morgan Chase & Co. 48125VYX2 07/05/12 07/05/27* 100.000 VARIES 4.3956 0.117026 0.116170 10.92* JP Morgan Chase & Co. 48125VZ52 08/31/12 08/31/18 100.000 VARIES 2.6679 0.077662 0.077912 0.079487 0.079324 0.080953 28.22 28.76 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 48125VZ94 08/31/12 08/31/17 100.000 VARIES 1.7166 0.048435 0.048142 0.049181 0.048794 17.77 11.83 JP Morgan Chase & Co. 48125X4L7 10/21/11 10/22/18 100.000 0.000 4.1614 0.136315 0.139152 0.142047 0.145003 0.148020 49.98 52.08 JP Morgan Chase & Co. 48125X4M5 10/21/11 10/22/18 100.000 0.000 4.1614 0.136315 0.139152 0.142047 0.145003 0.148020 49.98 52.08 JP Morgan Chase & Co. 48125XKB1 03/30/11 03/30/21 100.000 VARIES 5.0718 0.146527 0.146366 0.146063 0.145753 0.145267 52.68 52.45 JP Morgan Chase & Co. 48125XKM7 04/08/11 04/08/22 100.000 VARIES 5.1602 0.147661 0.147623 0.147447 0.147267 0.147001 53.13 53.01 JP Morgan Chase & Co. 48125XKS4 03/30/11 03/30/17 100.000 0.000 4.0116 0.133243 0.135915 0.138641 48.94 12.34 JP Morgan Chase & Co. 48125XTB2 06/15/11 06/15/23 100.000 VARIES 5.0712 0.144434 0.144465 0.144377 0.144288 0.144113 52.00 51.96 JP Morgan Chase & Co. 48126D3U1 05/31/13 05/31/19 100.000 0.000 2.4505 0.072346 0.073232 0.074129 0.075038 0.075957 26.26 26.91 JP Morgan Chase & Co. 48126D3W7 05/31/13 05/29/20 100.000 VARIES 2.8293 0.081369 0.081969 0.082593 0.083226 0.083894 29.44 29.89 JP Morgan Chase & Co. 48126D3X5 05/31/13 05/31/23 100.000 VARIES 3.5785 0.101662 0.102201 0.102749 0.103308 0.103965 36.73 37.13 JP Morgan Chase & Co. 48126D6Y0 09/20/13 09/20/23 100.000 VARIES 4.4963 0.117286 0.116872 0.116449 0.116574 0.116702 42.06 41.97 JP Morgan Chase & Co. 48126D7M5 10/09/13 10/09/28* 100.000 VARIES 4.6916 0.115312 0.112659 0.109944 31.80* JP Morgan Chase & Co. 48126DAQ2 10/05/12 10/05/17 100.000 0.000 1.9305 0.056808 0.057356 0.057910 0.058469 20.64 15.97 JP Morgan Chase & Co. 48126DBB4 11/02/12 10/31/18 100.000 0.000 2.2804 0.067797 0.068570 0.069352 0.070143 0.070942 24.64 25.21 JP Morgan Chase & Co. 48126DBC2 10/31/12 10/31/18 100.000 VARIES 2.2312 0.065268 0.065778 0.066293 0.066826 0.067364 23.65 24.03 JP Morgan Chase & Co. 48126DBJ7 10/31/12 10/31/17 100.000 0.000 2.0204 0.059612 0.060214 0.060823 0.061437 21.64 18.30 JP Morgan Chase & Co. 48126DF20 03/27/13 09/27/17 100.000 0.000 1.6905 0.048979 0.049393 0.049811 0.050232 17.79 13.33 JP Morgan Chase & Co. 48126DFM6 11/30/12 02/28/18 100.000 0.000 1.9910 0.057762 0.057703 0.059243 0.058858 0.060429 21.31 21.70 JP Morgan Chase & Co. 48126DFN4 11/30/12 11/30/18 100.000 VARIES 2.1918 0.063692 0.064194 0.064701 0.065221 0.065747 23.05 23.42 JP Morgan Chase & Co. 48126DGZ6 11/30/12 11/30/18 100.000 0.000 2.1501 0.063685 0.064370 0.065062 0.065762 0.066469 23.09 23.59 JP Morgan Chase & Co. 48126DH28 04/30/13 04/30/19 100.000 VARIES 2.0021 0.057828 0.058289 0.058761 0.059237 0.059717 20.96 21.30 JP Morgan Chase & Co. 48126DH36 04/30/13 04/30/19 100.000 VARIES 2.0723 0.059936 0.060431 0.060937 0.061448 0.061963 21.73 22.09 JP Morgan Chase & Co. 48126DJ83 04/30/13 10/31/18 100.000 0.000 1.9003 0.055344 0.055870 0.056401 0.056937 0.057478 20.08 20.47 JP Morgan Chase & Co. 48126DJ91 04/30/13 04/28/23 100.000 VARIES 3.1389 0.088916 0.089337 0.089765 0.090199 0.090710 32.14 32.45 JP Morgan Chase & Co. 48126DKC2 12/31/12 12/31/18 100.000 0.000 2.1108 0.062448 0.063107 0.063773 0.064446 0.065127 22.60 23.08 JP Morgan Chase & Co. 48126DKD0 12/31/12 12/31/18 100.000 VARIES 2.0821 0.060416 0.060874 0.061338 0.061813 0.062293 21.83 22.17 JP Morgan Chase & Co. 48126DKE8 12/31/12 03/29/18 100.000 0.000 1.8649 0.054516 0.055024 0.055538 0.056055 0.056578 19.81 20.18 JP Morgan Chase & Co. 48126DLU1 12/14/12 12/14/27 100.000 VARIES 3.7338 0.097197 0.096778 0.096351 0.096400 0.096451 34.90 34.70 JP Morgan Chase & Co. 48126DLY3 12/21/12 12/21/27 100.000 VARIES 3.6432 0.089928 0.089440 0.088943 0.088437 0.087922 32.28 31.92 JP Morgan Chase & Co. 48126DMA4 12/27/12 12/27/27* 100.000 VARIES 3.6581 0.098950 17.42* JP Morgan Chase & Co. 48126DMB2 12/31/12 12/31/27 100.000 VARIES 3.7027 0.091925 0.091039 0.090136 0.089216 0.088279 32.93 32.28 JP Morgan Chase & Co. 48126DMD8 01/18/13 01/18/28* 100.000 VARIES 3.7931 0.097864 0.096754 19.08* JP Morgan Chase & Co. 48126DME6 01/18/13 01/18/28* 100.000 VARIES 3.7909 0.096167 0.094852 18.71* JP Morgan Chase & Co. 48126DMF3 01/30/13 01/30/28* 100.000 VARIES 3.7914 0.096043 0.094643 0.093217 19.91* JP Morgan Chase & Co. 48126DMP1 02/13/13 02/13/28* 100.000 VARIES 3.7911 0.096048 0.094691 0.093309 21.27* JP Morgan Chase & Co. 48126DMW6 02/27/13 02/27/28* 100.000 VARIES 3.9927 0.102456 0.101078 14.83* JP Morgan Chase & Co. 48126DNB1 03/13/13 03/13/28* 100.000 VARIES 3.8423 0.098236 0.096872 24.51* JP Morgan Chase & Co. 48126DNE5 03/27/13 03/27/28* 100.000 VARIES 3.9606 0.099921 0.098612 17.47* JP Morgan Chase & Co. 48126DQL6 01/31/13 01/31/23 100.000 VARIES 3.1822 0.089764 0.090100 0.090471 0.090848 0.091272 32.48 32.76 JP Morgan Chase & Co. 48126DRL5 01/31/13 07/31/18 100.000 0.000 1.9802 0.057785 0.058357 0.058935 0.059519 0.060108 21.08 21.50 JP Morgan Chase & Co. 48126DRM3 01/31/13 01/31/19 100.000 VARIES 2.1525 0.062079 0.062559 0.063049 0.063544 0.064050 22.58 22.94 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 48126DRW1 01/31/13 01/31/19 100.000 0.000 2.1601 0.063314 0.063998 0.064689 0.065388 0.066094 23.12 23.63 JP Morgan Chase & Co. 48126DS59 04/30/13 04/30/28 100.000 VARIES 3.8927 0.099945 0.098651 0.097331 0.095986 0.095696 35.59 34.70 JP Morgan Chase & Co. 48126DV89 05/17/13 05/17/28 100.000 VARIES 3.8747 0.096685 0.095594 0.094481 0.093347 0.093449 34.51 33.76 JP Morgan Chase & Co. 48126DVG1 02/28/13 02/28/23 100.000 VARIES 3.2856 0.091720 0.091058 0.092964 0.091845 0.093815 33.60 33.83 JP Morgan Chase & Co. 48126DVH9 02/28/13 02/28/19 100.000 VARIES 2.1918 0.062554 0.062358 0.063896 0.063355 0.064927 23.02 23.35 JP Morgan Chase & Co. 48126DVW6 02/28/13 02/28/19 100.000 0.000 2.1003 0.060796 0.060766 0.062422 0.062049 0.063740 22.45 22.88 JP Morgan Chase & Co. 48126DVX4 02/28/13 08/31/18 100.000 0.000 2.0204 0.058367 0.058316 0.059881 0.059500 0.061097 21.54 21.94 JP Morgan Chase & Co. 48126DVY2 02/11/13 02/10/20 100.000 0.000 2.6402 0.078306 0.079340 0.080387 0.081448 0.082523 28.67 29.43 JP Morgan Chase & Co. 48126DZF9 03/28/13 03/29/19 100.000 VARIES 2.2418 0.064869 0.065411 0.065966 0.066527 0.067100 23.55 23.95 JP Morgan Chase & Co. 48126DZG7 03/28/13 03/29/19 100.000 0.000 2.2503 0.066111 0.066855 0.067607 0.068368 0.069137 24.07 24.62 JP Morgan Chase & Co. 48126DZP7 03/28/13 09/28/18 100.000 0.000 2.0503 0.059933 0.060548 0.061169 0.061796 0.062429 21.80 22.25 JP Morgan Chase & Co. 48126DZQ5 03/28/13 03/31/23 100.000 VARIES 3.3453 0.095039 0.095522 0.096048 0.096584 0.097172 34.39 34.78 JP Morgan Chase & Co. 48126N3B1 02/28/14 02/29/20 100.000 0.000 2.8178 0.080733 0.080980 0.083483 0.083278 0.085852 29.93 30.72 JP Morgan Chase & Co. 48126N5L7 03/28/14 03/28/29 100.000 VARIES 4.4199 0.118338 0.116793 0.116506 0.116212 0.115911 42.15 41.83 JP Morgan Chase & Co. 48126N6E2 05/07/14 05/05/17 100.000 0.000 1.5702 0.044649 0.044999 0.045352 16.18 5.62 JP Morgan Chase & Co. 48126N6F9 05/07/14 05/05/17 100.000 0.150 1.5618 0.044308 0.044621 0.044937 16.04 5.57 JP Morgan Chase & Co. 48126N6J1 05/14/14 05/12/17 100.000 0.000 1.4801 0.042032 0.042344 0.042657 15.22 5.59 JP Morgan Chase & Co. 48126N6K8 05/14/14 05/12/17 100.000 0.150 1.4777 0.041870 0.042149 0.042429 15.15 5.56 JP Morgan Chase & Co. 48126NCU9 06/28/13 06/28/19 100.000 0.000 3.2501 0.097861 0.099451 0.101067 0.102710 0.104379 35.53 36.69 JP Morgan Chase & Co. 48126NCV7 06/28/13 06/30/20 100.000 VARIES 3.6188 0.102997 0.103575 0.104212 0.104861 0.105576 37.18 37.63 JP Morgan Chase & Co. 48126NCW5 06/28/13 06/30/23 100.000 VARIES 4.3048 0.121714 0.122442 0.123185 0.123944 0.124852 43.95 44.48 JP Morgan Chase & Co. 48126NGN1 07/02/13 07/03/19 100.000 0.000 3.2114 0.095086 0.096613 0.098164 0.099741 0.101342 35.05 36.19 JP Morgan Chase & Co. 48126NHE0 07/31/13 07/31/19 100.000 VARIES 2.9571 0.084835 0.085565 0.086306 0.087074 0.087853 30.89 31.44 JP Morgan Chase & Co. 48126NHH3 07/31/13 07/31/18 100.000 0.000 2.5902 0.075753 0.076734 0.077728 0.078735 0.079755 27.75 28.47 JP Morgan Chase & Co. 48126NHJ9 07/31/13 07/31/23 100.000 VARIES 3.9756 0.111766 0.112428 0.113104 0.113792 0.114495 40.56 41.05 JP Morgan Chase & Co. 48126NHK6 07/11/13 07/11/19 100.000 0.000 3.3903 0.100726 0.102434 0.104170 0.105936 0.107732 37.15 38.42 JP Morgan Chase & Co. 48126NJJ7 07/31/13 07/31/19 100.000 0.000 2.9705 0.087529 0.088829 0.090148 0.091487 0.092846 32.14 33.10 JP Morgan Chase & Co. 48126NLK1 08/05/13 08/03/17 100.000 0.000 2.1505 0.062340 0.063011 0.063688 0.064373 22.76 13.63 JP Morgan Chase & Co. 48126NMG9 08/30/13 08/30/19 100.000 0.000 3.2508 0.094739 0.096279 0.098381 0.099434 0.101606 35.41 36.50 JP Morgan Chase & Co. 48126NMH7 08/30/13 08/31/23 100.000 VARIES 4.2968 0.118844 0.118268 0.120971 0.119745 0.122505 43.65 44.12 JP Morgan Chase & Co. 48126NNA1 08/30/13 08/30/19 100.000 VARIES 3.2354 0.091419 0.092234 0.093574 0.093926 0.095324 33.88 34.44 JP Morgan Chase & Co. 48126NQB6 08/29/13 08/31/20 100.000 0.000 3.7493 0.110972 0.111823 0.115808 0.116055 0.120191 41.37 42.85 JP Morgan Chase & Co. 48126NQX8 09/30/13 09/30/19 100.000 VARIES 2.9713 0.084451 0.084994 0.085545 0.086147 0.086758 30.60 31.02 JP Morgan Chase & Co. 48126NQZ3 09/30/13 09/28/18 100.000 0.000 2.5208 0.073611 0.074539 0.075478 0.076430 0.077393 26.84 27.52 JP Morgan Chase & Co. 48126NRP4 09/30/13 03/29/18 100.000 0.000 2.2910 0.066603 0.067366 0.068137 0.068918 0.069707 24.26 24.81 JP Morgan Chase & Co. 48126NSK4 09/18/13 09/18/20 100.000 0.000 3.8712 0.116106 0.118354 0.120645 0.122980 0.125360 42.67 44.34 JP Morgan Chase & Co. 48126NSW8 10/18/13 10/18/28* 100.000 VARIES 4.7118 0.115460 0.112911 32.68* JP Morgan Chase & Co. 48126NSZ1 10/31/13 10/31/28 100.000 VARIES 4.4384 0.113300 0.113047 0.112788 0.112523 0.112253 40.71 40.52 JP Morgan Chase & Co. 48126NT64 01/31/14 01/31/20 100.000 0.000 2.7907 0.080810 0.081938 0.083081 0.084241 0.085416 29.64 30.47 JP Morgan Chase & Co. 48126NTC1 11/20/13 11/20/28 100.000 VARIES 4.6982 0.119871 0.119541 0.119204 0.118859 0.118505 43.07 42.82 JP Morgan Chase & Co. 48126NU21 01/14/14 01/12/18 100.000 0.000 2.0000 0.057234 0.057807 0.058385 0.058969 0.059558 20.90 21.32 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 48126NU96 01/24/14 01/26/21 100.000 0.000 3.3004 0.096312 0.097902 0.099517 0.101160 0.102829 35.46 36.64 JP Morgan Chase & Co. 48126NWU7 10/31/13 10/31/19 100.000 0.000 2.7408 0.080395 0.081496 0.082613 0.083745 0.084893 29.28 30.08 JP Morgan Chase & Co. 48126NWV5 10/31/13 10/31/23 100.000 VARIES 3.8579 0.108287 0.108854 0.109431 0.110020 0.110620 39.16 39.57 JP Morgan Chase & Co. 48126NXS1 10/21/13 10/21/20 100.000 0.000 3.5611 0.106156 0.108047 0.109970 0.111929 0.113922 38.82 40.22 JP Morgan Chase & Co. 48126NZY6 11/29/13 11/29/19 100.000 0.000 2.8103 0.082545 0.083705 0.084881 0.086074 0.087283 30.00 30.85 JP Morgan Chase & Co. 48126NZZ3 11/29/13 11/29/19 100.000 0.000 2.8103 0.082545 0.083705 0.084881 0.086074 0.087283 30.00 30.85 JP Morgan Chase & Co. 48127A351 12/26/13 06/24/21 100.000 0.000 3.6699 0.109612 0.111623 0.113672 0.115757 0.117881 39.85 41.33 JP Morgan Chase & Co. 48127D3H9 12/17/14 12/17/20 100.000 VARIES 2.7852 0.077680 0.077922 0.078167 0.078468 0.078774 28.02 28.20 JP Morgan Chase & Co. 48127D4A3 12/31/14 12/31/20 100.000 0.000 1.7100 0.048318 0.048731 0.049148 0.049568 0.049992 17.47 17.77 JP Morgan Chase & Co. 48127DCY2 04/30/14 04/30/20 100.000 0.000 2.8708 0.083229 0.084423 0.085635 0.086864 0.088111 30.32 31.20 JP Morgan Chase & Co. 48127DFJ2 04/23/14 04/22/20 100.000 VARIES 2.8446 0.079686 0.079953 0.080281 0.080613 0.081001 28.78 29.01 JP Morgan Chase & Co. 48127DKP2 06/04/14 06/05/18 100.000 0.000 1.9100 0.053698 0.054211 0.055030 0.055252 0.056086 19.78 20.15 JP Morgan Chase & Co. 48127DMP0 06/30/14 09/30/20 100.000 0.000 2.7897 0.080226 0.081345 0.082480 0.083631 0.084797 29.29 30.11 JP Morgan Chase & Co. 48127DNW4 10/31/14 10/31/29 100.000 VARIES 2.8582 0.078604 0.078200 0.077789 0.077809 0.077830 28.18 28.01 JP Morgan Chase & Co. 48127DPA0 11/21/14 11/21/29 100.000 VARIES 4.0316 0.108685 0.106982 0.105245 0.104973 0.104697 38.68 37.82 JP Morgan Chase & Co. 48127DPG7 12/24/14 12/24/29 100.000 VARIES 4.0345 0.109991 0.108920 0.107827 0.107763 0.107698 39.39 38.81 JP Morgan Chase & Co. 48127DPH5 12/24/14 12/24/29 100.000 VARIES 2.8705 0.079778 0.079799 0.079821 0.079833 0.079847 28.72 28.74 JP Morgan Chase & Co. 48127DQH4 02/27/15 02/27/30 100.000 VARIES 4.0540 0.111275 0.109910 0.108517 0.107097 0.106583 39.47 38.57 JP Morgan Chase & Co. 48127DVW5 08/29/14 08/31/20 100.000 0.000 2.8192 0.079664 0.079909 0.082379 0.082178 0.084718 29.54 30.32 JP Morgan Chase & Co. 48127DYS1 09/30/14 09/30/20 100.000 0.000 2.9909 0.085586 0.086866 0.088165 0.089484 0.090822 31.28 32.22 JP Morgan Chase & Co. 48127F731 04/30/14 04/30/24 100.000 0.000 3.8108 0.112023 0.114158 0.116333 0.118550 0.120809 40.98 42.55 Justice Park Dist, IL 48214PAP0 06/07/11 12/01/16 102.404 VARIES 4.4687 0.124769 0.124454 41.12 Justice Park Dist, IL 48214PAQ8 06/07/11 12/01/17 101.380 VARIES 4.7209 0.131829 0.131663 0.131492 0.131318 47.42 43.36 Justice Park Dist, IL 48214PAR6 06/07/11 12/01/18 100.000 VARIES 4.9723 0.138227 0.138210 0.138193 0.138176 0.138158 49.76 49.75 Justice Park Dist, IL 48214PAS4 06/07/11 12/01/19 97.305 VARIES 5.3724 0.147258 0.147483 0.147714 0.147951 0.148195 53.07 53.23 Justice Park Dist, IL 48214PAT2 06/07/11 12/01/20 94.574 VARIES 5.7224 0.154024 0.154457 0.154902 0.155360 0.155831 55.55 55.88 Justice Park Dist, IL 48214PAU9 06/07/11 12/01/21 92.300 VARIES 5.9725 0.157867 0.158434 0.159018 0.159619 0.160238 56.97 57.39 Kansas City Southern 485170AJ3 12/09/15 05/15/43 90.810 4.300 4.9135 .10 0.004500 0.004596 0.004709 0.004824 0.004943 1.65 1.73 Kansas City Southern 485170AN4 12/09/15 05/15/20 97.300 2.350 3.0049 .35 0.015940 0.016148 0.016391 0.016637 0.016887 5.80 5.97 Kansas City Southern 485170AP9 12/09/15 05/15/23 95.360 3.000 3.7202 .33 0.015210 0.015456 0.015743 0.016036 0.016335 5.54 5.75 Kansas City Southern 485170AQ7 12/09/15 05/15/43 90.810 4.300 4.9135 .10 0.004500 0.004596 0.004709 0.004824 0.004943 1.65 1.73 Kansas City Southern 485170AU8 12/09/15 05/15/20 97.300 2.350 3.0049 .35 0.015940 0.016148 0.016391 0.016637 0.016887 5.80 5.97 Kansas City Southern 485170AV6 12/09/15 05/15/23 95.360 3.000 3.7202 .33 0.015210 0.015456 0.015743 0.016036 0.016335 5.54 5.75 Kansas City Southern 485170AX2 12/09/15 05/15/43 90.810 4.300 4.9135 .10 0.004500 0.004596 0.004709 0.004824 0.004943 1.65 1.73 Kansas City Southern 485170AZ7 12/09/15 05/15/20 97.300 2.350 3.0049 .35 0.015940 0.016148 0.016391 0.016637 0.016887 5.80 5.97 KFW 500769BR4 04/19/06 04/18/36 19.778 0.000 5.4761 136.27 0.050256 0.051632 0.053045 0.054498 0.055990 18.54 19.57 KFW 500769CH5 06/29/07 06/29/37 18.097 0.000 5.7800 112.86 0.047161 0.048524 0.049926 0.051369 0.052853 17.23 18.24 LaSalle CNTY SD #141, IL 504588FC3 06/01/12 12/01/16 106.786 VARIES 2.3843 0.067283 0.066761 22.11 Lake County IL SD #187 509262CV1 04/09/03 01/01/21 35.244 0.000 5.9694 392.76 0.123568 0.127256 0.131054 0.134966 45.15 47.88 Lakewood Township, NJ 512678QV8 08/22/12 04/01/16 98.453 2.000 2.4505 14.36 0.012363 1.11 Lakewood Township, NJ 512678QW6 08/22/12 04/01/17 98.381 2.250 2.6252 11.61 0.010024 0.010155 0.010289 3.66 .93 Lakewood Township, NJ 512678QX4 08/22/12 04/01/18 98.460 2.700 3.0003 8.91 0.007745 0.007861 0.007979 0.008099 0.008220 2.83 2.92 Lee & Dekalb Counties,IL 523351BT0 09/30/11 01/01/17 100.000 0.000 3.7493 0.121977 0.124263 44.32 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Lee & Dekalb Counties,IL 523351BU7 09/30/11 01/01/18 100.000 0.000 3.9993 0.131477 0.134106 0.136788 0.139523 47.81 49.74 Lee & Dekalb Counties,IL 523351BV5 09/30/11 01/01/19 100.000 0.000 4.2492 0.141156 0.144155 0.147218 0.150345 51.36 53.56 Lee & Dekalb Counties,IL 523351BW3 09/30/11 01/01/20 117.427 0.000 4.4992 0.177340 0.181330 0.185409 0.189580 64.56 67.50 Liberty Interactive Corp 530610AA2 04/09/13 03/30/43 100.000 2.984 6.0292 0.180879 0.183833 0.186876 0.190011 0.193240 66.19 68.42 Liberty Interactive Corp 530610AB0 09/09/13 09/30/43 100.000 1.000 2.5054 0.071795 0.072346 0.072904 0.073470 0.074042 26.05 26.45 Liberty Interactive Corp 530610AD6 08/23/16 09/30/46 100.000 1.750 5.2775 0.146600 0.147131 0.149731 0.152399 18.81 53.91 Liberty Media Corp. 530715AF8 11/16/99 11/15/29 100.000 4.000 9.0689 0.692978 0.719363 0.746944 0.775776 0.805915 256.70 276.80 Liberty Media Corp. 530715AG6 11/16/99 11/15/29 100.000 4.000 9.0689 0.692978 0.719363 0.746944 0.775776 0.805915 256.70 276.80 Liberty Media Corp. 530715AK7 02/10/00 02/15/30 100.000 3.750 9.4298 0.763139 0.794209 0.826744 0.860813 0.896488 288.97 313.25 Liberty Media Corp. 530715AL5 02/10/00 02/15/30 100.000 3.750 9.4298 0.763139 0.794209 0.826744 0.860813 0.896488 288.97 313.25 Liberty Media Corp. 530715AM3 01/11/01 01/15/31 100.000 3.500 N/A 0.586621 0.606880 0.627793 0.649355 0.671560 221.66 237.15 Liberty Media Corp. 530715AN1 01/11/01 01/15/31 100.000 3.500 N/A 0.586621 0.606880 0.627793 0.649355 0.671560 221.66 237.15 Liberty Media Corp. 531229AC6 08/17/16 09/30/46 100.000 2.250 4.1930 0.116474 0.116745 0.117882 0.119043 15.63 42.44 Lloyds TSB Bank PLC 5394E8AH2 07/28/11 07/28/16 100.000 VARIES 2.0468 0.008079 0.008162 1.69 Lloyds TSB Bank PLC 5394E8AN9 04/26/12 04/26/27 100.000 VARIES 4.6791 0.116504 0.115703 0.114882 0.114042 0.114409 41.69 41.18 Lloyds TSB Bank PLC 5394E8AP4 04/27/12 04/27/20 100.000 VARIES 2.7870 0.019303 0.019572 0.019845 0.020121 0.020402 7.03 7.23 Lloyds TSB Bank PLC 5394E8AV1 06/08/12 06/08/27 95.000 8.000 8.5995 6.90 0.006324 0.006596 0.006880 0.007175 0.007484 2.34 2.54 Lloyds TSB Bank PLC 5394E8AX7 06/29/12 06/29/32* 100.000 VARIES 4.7441 0.124602 22.18* Lloyds TSB Bank PLC 5394E8AY5 06/29/12 06/29/27 95.000 8.000 8.5995 6.77 0.006324 0.006596 0.006880 0.007175 0.007484 2.33 2.53 Lloyds TSB Bank PLC 5394E8BB4 07/23/12 07/23/22 100.000 VARIES 2.8121 0.007131 0.007231 0.007332 0.007436 0.007540 2.62 2.69 Lloyds TSB Bank PLC 5394E8BC2 07/20/12 07/20/17 98.250 VARIES 2.8582 0.022524 0.022846 0.023173 0.023504 8.27 4.67 Lloyds TSB Bank PLC 5394E8BE8 07/23/12 07/23/24 96.000 4.200 4.6384 9.31 0.008060 0.008247 0.008439 0.008634 0.008835 3.00 3.14 Lloyds TSB Bank PLC 5394E8BG3 09/19/12 09/19/32 100.000 VARIES 4.3107 0.113551 0.113033 0.112502 0.111961 0.111408 40.68 40.29 Lloyds TSB Bank PLC 5394E8BK4 01/31/13 01/31/33 100.000 VARIES 3.6033 0.090338 0.088851 0.088186 0.087510 0.086821 31.93 31.42 Lloyds TSB Bank PLC 5394E8BN8 02/22/13 02/22/33 100.000 VARIES 3.6891 0.091094 0.089984 0.088853 0.087701 0.087045 32.30 31.55 Lloyds TSB Bank PLC 5394E8BR9 04/26/13 04/26/33 100.000 VARIES 3.6254 0.080723 0.076934 0.075591 0.074225 0.072833 28.04 26.79 Lloyds TSB Bank PLC 5394E8BT5 07/05/13 07/05/33 100.000 VARIES 4.1638 0.098158 0.094457 0.090679 0.090181 0.089672 33.35 32.38 Lloyds TSB Bank PLC 5394E8BV0 07/26/13 07/26/33 100.000 VARIES 4.0718 0.096731 0.094519 0.092261 0.089957 0.087607 33.73 32.08 Lloyds TSB Bank PLC 5394E8BW8 07/26/13 07/26/28 100.000 VARIES 4.0225 0.105519 0.104046 0.102544 0.101897 0.101237 37.26 36.60 Lloyds TSB Bank PLC 5394E8BY4 07/29/13 07/29/33 100.000 VARIES 4.1864 0.102695 0.099116 0.095463 0.091732 0.087924 35.23 32.55 Lloyds TSB Bank PLC 5394E8BZ1 08/28/13 08/28/33 100.000 VARIES 4.7627 0.123471 0.122038 0.120570 0.119068 0.117530 43.83 42.76 Lloyds TSB Bank PLC 5394E8CA5 09/26/13 09/26/33 100.000 VARIES 5.0069 0.125382 0.123759 0.122095 0.120390 0.118641 44.53 43.32 Lloyds TSB Bank PLC 5394E8CB3 10/17/13 10/17/33 100.000 VARIES 5.0356 0.126402 0.124942 0.123446 0.121913 0.120340 45.02 43.93 Lloyds TSB Bank PLC 5394E8CC1 10/25/13 10/25/33 100.000 VARIES 5.0339 0.125410 0.123116 0.120764 0.118353 0.115881 44.43 42.72 Lloyds TSB Bank PLC 5394E8CD9 11/27/13 11/27/28 97.000 VARIES 4.3735 0.118452 0.118613 0.118777 0.118945 0.119116 42.68 42.80 Lloyds TSB Bank PLC 5394E8CE7 11/27/13 11/27/33 100.000 VARIES 4.4796 0.110345 0.108352 0.106315 0.104233 0.102104 39.23 37.76 Lloyds TSB Bank PLC 5394E8CF4 12/27/13 12/27/28 100.000 VARIES 4.0354 0.101526 0.100949 0.100361 0.099761 0.099149 36.44 36.02 Lloyds TSB Bank PLC 5394E8CG2 01/29/14 01/29/34 100.000 VARIES 4.7509 0.121245 0.117498 0.115951 0.114367 0.112745 42.17 40.97 Lloyds TSB Bank PLC 5394E8CK3 04/10/14 04/10/34 100.000 VARIES 4.6720 0.119856 0.116393 0.115347 0.114277 0.113182 42.16 41.16 Lloyds TSB Bank PLC 5394E8CL1 04/25/14 04/25/34 100.000 VARIES 3.7158 0.093307 0.089880 0.087411 0.084896 0.082334 32.58 30.68 Macon CNTYS SD #11, IL 555495DQ0 05/06/15 12/01/16 104.270 0.000 0.9818 0.028598 0.028738 9.46 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Macon CNTYS SD #11, IL 555495DR8 05/06/15 12/01/17 105.649 VARIES 1.4828 0.043884 0.044210 0.042113 0.041653 15.80 13.81 Macon CNTYS SD #11, IL 555495DS6 05/06/15 12/01/18 107.392 VARIES 1.8335 0.055267 0.055774 0.053088 0.052556 0.052019 19.92 18.98 Macon CNTYS SD #11, IL 555495DT4 05/06/15 12/01/19 109.091 VARIES 2.1340 0.065456 0.066155 0.062906 0.062318 0.061723 23.61 22.50 Macon CNTYS SD #11, IL 555495DU1 05/06/15 12/01/20 109.863 VARIES 2.3354 0.072220 0.073064 0.069590 0.069024 0.068451 26.07 24.92 Macon CNTYS DIST 537, IL 555545BS0 04/01/10 12/01/16 106.138 VARIES 3.7230 0.104500 0.103963 34.39 Macon CNTYS DIST 537, IL 555545BT8 04/01/10 12/01/17 103.230 VARIES 4.2717 0.119850 0.119562 0.119267 0.118967 43.08 39.30 Macon CNTYS DIST 537, IL 555545BU5 04/01/10 12/01/18 105.024 VARIES 4.2243 0.119720 0.119344 0.118961 0.118569 0.118169 43.01 42.73 Macon CNTYS SD #9, IL 555864AF4 05/24/13 12/01/16 106.008 VARIES 1.5380 0.043446 0.043086 14.27 Macon CNTYS SD #9, IL 555864AG2 05/24/13 12/01/17 106.698 VARIES 1.7393 0.049743 0.049391 0.049035 0.048676 17.82 16.12 Macon CNTYS SD #9, IL 555864AH0 05/24/13 12/01/18 106.171 VARIES 2.0893 0.059985 0.059669 0.059349 0.059026 0.058700 21.52 21.29 Macon CNTYS SD #9, IL 555864AJ6 05/24/13 12/01/19 106.514 VARIES 2.4384 0.070460 0.070134 0.069803 0.069469 0.069131 25.29 25.05 Macon CNTYS SD #9, IL 555864AK3 05/24/13 12/01/20 105.634 VARIES 2.6887 0.077504 0.077239 0.076970 0.076698 0.076422 27.84 27.64 Marion County, IL 56884PAQ0 06/02/16 12/01/21 106.954 3.550 2.2000 0.065362 0.064998 0.064628 0.064254 13.65 23.31 Marion CNTY SD #133, IL 568870BJ7 05/05/15 12/01/19 113.641 VARIES 2.7710 0.088863 0.090094 0.084081 0.082937 0.081777 32.07 29.99 Marion CNTY SD #133, IL 568870BK4 05/05/15 12/01/20 116.003 VARIES 3.0724 0.100747 0.102295 0.095480 0.094280 0.093061 36.39 34.08 Marion CNTY SD #133, IL 568870BL2 05/05/15 12/01/21 116.656 VARIES 3.3737 0.111440 0.113320 0.106023 0.104883 0.103723 40.29 37.89 Marion CNTY SD #133, IL 568870BM0 05/05/15 12/01/22 117.424 VARIES 3.5754 0.119015 0.121142 0.113549 0.112475 0.111382 43.06 40.62 Marion CNTY SD #133, IL 568870BN8 05/05/15 12/01/23 119.592 VARIES 3.7759 0.128154 0.130573 0.122320 0.121220 0.120100 46.40 43.77 Marion County, OR 56913RAQ1 03/28/02 06/01/16 36.142 0.000 7.3089 609.20 0.195869 29.38 Marion County, OR 56913RAR9 03/28/02 06/01/17 33.393 0.000 7.3590 568.84 0.183416 0.190165 0.197162 67.66 29.57 Marion County, OR 56913RAS7 03/28/02 06/01/18 31.307 0.000 7.3092 527.73 0.169679 0.175880 0.182308 0.188970 0.195876 62.58 67.24 Marion County, OR 56913RAT5 03/28/02 06/01/19 28.898 0.000 7.3592 492.29 0.158736 0.164577 0.170633 0.176912 0.183421 58.55 62.94 Marion County, OR 56913RAU2 03/28/02 06/01/20 26.649 0.000 7.4091 458.77 0.148349 0.153844 0.159544 0.165454 0.171583 54.73 58.86 Mashantucket Western 574754AL1 07/01/13 07/01/26 53.461 7.350 N/A 0.250448 0.255867 0.261637 0.267782 0.274332 92.15 96.45 Mashantucket Western 574754AM9 07/01/13 03/31/36 14.695 6.500 N/A 0.120560 0.130065 0.140492 0.151935 0.164501 46.93 54.82 Mason CNTYS SD #191, IL 574816BW3 07/02/10 12/01/18 106.295 VARIES 4.3308 0.123381 0.122895 0.122398 0.121890 0.121372 44.30 43.94 Mason CNTYS SD #191, IL 574816BX1 07/02/10 12/01/19 105.637 VARIES 4.7793 0.136444 0.136020 0.135587 0.135143 0.134688 49.02 48.70 Mclean County, IL 582001FB4 06/30/14 12/01/18 99.601 VARIES 2.2167 0.060741 0.060643 0.060544 0.060671 0.060799 21.84 21.83 Mclean County, IL 582001FD0 06/30/14 12/01/20 99.401 VARIES 3.1536 0.086761 0.086706 0.086649 0.086592 0.086534 31.22 31.18 Mclean County, IL 582001FE8 06/30/14 12/01/21 112.369 VARIES 3.6289 0.110893 0.110133 0.109359 0.108571 0.107769 39.74 39.18 Mclean County, IL 582001FF5 06/30/14 12/01/22 111.828 VARIES 3.8796 0.118384 0.117716 0.117036 0.116343 0.115636 42.46 41.97 Mclean County, IL 582001FG3 06/30/14 12/01/23 110.876 VARIES 4.1299 0.125337 0.124770 0.124192 0.123602 0.122999 44.98 44.57 Mclean County, IL 582001FH1 06/30/14 12/01/24 109.553 VARIES 4.3801 0.131715 0.131254 0.130783 0.130301 0.129809 47.31 46.97 Menard Cass Counties, IL 586362FC4 10/30/15 12/01/16 102.309 0.000 1.3375 0.038055 0.038309 12.60 Menard Cass Counties, IL 586362FD2 10/30/15 12/01/17 104.287 VARIES 1.6414 0.047619 0.048010 0.046547 0.046074 17.18 15.28 Menard Cass Counties, IL 586362FE0 10/30/15 12/01/18 105.955 VARIES 1.9922 0.058737 0.059322 0.057509 0.056975 0.056436 21.21 20.57 Merrill Lynch & Co.,Inc. 590188W46 03/13/02 03/13/32 100.000 VARIES 5.7132 0.339506 0.348390 0.356560 0.364963 0.373607 125.66 131.72 Merrill Lynch & Co.,Inc. 59018YC66 05/02/07 05/02/17 100.000 VARIES 5.5833 0.153522 0.154032 0.154555 55.42 18.70 Merrill Lynch & Co.,Inc. 59018YD65 05/18/07 05/18/17 100.000 VARIES 5.6522 0.155938 0.156284 0.156640 56.23 21.46 Merrill Lynch & Co.,Inc. 59018YE49 06/06/07 06/06/17 100.000 VARIES 5.9091 0.162893 0.163297 0.163714 58.73 25.38 Mexican States 593048BN0 03/30/01 12/30/19 89.000 8.125 9.3823 68.88 0.024203 0.025338 0.026527 0.027771 0.029074 8.92 9.78 Miami Dade County, FL 59333MXE0 12/15/09 12/15/26 73.673 5.760 8.7675 54.23 0.032508 0.033933 0.035421 0.036973 0.038594 12.01 13.08 Microchip Technology Inc 595017AA2 12/07/07 12/15/37 100.000 VARIES 9.1009 0.447282 0.464994 0.486168 0.502871 0.525986 167.61 181.18 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Microchip Technology Inc 595017AB0 12/07/07 12/15/37 100.000 VARIES 9.1009 0.447282 0.464994 0.486168 0.502871 0.525986 167.61 181.18 Milagro Oil & Gas, Inc. 59870WAA0 05/11/11 05/15/16 97.182 10.500 11.2509 25.53 0.019748 2.65 Milagro Oil & Gas, Inc. 59870WAB8 05/11/11 05/15/16 97.182 10.500 11.2509 25.53 0.019748 2.65 Molina Healthcare Inc. 60855RAD2 09/05/14 08/15/44 100.500 VARIES 7.5077 0.221459 0.228078 0.234945 0.242070 0.249463 82.75 87.84 Molina Healthcare Inc. 60855RAE0 09/05/14 08/15/44 100.500 VARIES 7.5077 0.221459 0.228078 0.234945 0.242070 0.249463 82.75 87.84 Morgan Stanley 6174464P1 03/20/08 03/20/23 81.700 2.935 4.6422 0.115141 0.115921 0.116719 0.117536 0.118372 41.75 42.33 Morgan Stanley 6174464Q9 03/20/08 03/20/23 78.350 2.624 4.6439 0.112655 0.113578 0.114523 0.115490 0.116479 40.91 41.60 Morgan Stanley 617446H69 05/30/07 06/26/17 100.000 0.000 5.8001 0.263036 0.270665 0.278514 96.14 48.74 Morgan Stanley 61745E2D2 01/24/11 01/24/20 100.000 VARIES 5.2661 0.147540 0.147614 0.147586 0.147558 0.147437 53.13 53.10 Morgan Stanley 61745E2E0 07/11/11 07/11/23 100.000 VARIES 5.5160 0.155292 0.155377 0.155465 0.155491 0.155517 55.95 55.98 Morgan Stanley 61745E2F7 11/28/11 11/28/26 100.000 VARIES 6.0157 0.140452 0.140603 0.140760 0.141719 0.142708 50.60 50.91 Morgan Stanley 61745E2K6 01/21/11 01/21/26 100.000 VARIES 5.7295 0.129519 0.129008 0.128483 0.127943 0.128482 46.37 46.16 Morgan Stanley 61745E2L4 07/07/11 07/07/20 100.000 VARIES 2.2423 0.012330 0.012469 0.012608 0.012750 0.012893 4.51 4.61 Morgan Stanley 61745E2M2 11/30/11 11/30/31 100.000 VARIES 6.5857 0.162500 0.161926 0.161334 0.160722 0.160090 58.36 57.93 Morgan Stanley 61745E2S9 07/13/11 07/13/31 100.000 VARIES 5.5541 0.139931 0.138777 0.137591 0.137093 0.136581 49.77 49.27 Morgan Stanley 61745E2Y6 07/15/11 07/15/17 100.000 VARIES 4.3803 0.122078 0.122054 0.122029 0.121855 43.94 23.64 Morgan Stanley 61745E2Z3 11/30/11 11/30/31 100.000 VARIES 6.7333 0.159516 0.155535 0.151419 0.152087 0.152777 56.46 54.67 Morgan Stanley 61745E3D1 02/14/11 02/14/31 100.000 VARIES 6.0718 0.138421 0.137651 0.136858 0.136040 0.136306 49.48 49.05 Morgan Stanley 61745E3F6 11/30/11 12/01/16 100.000 VARIES 5.1660 0.011184 0.011107 3.68 Morgan Stanley 61745E3J8 07/28/10 07/28/17 100.000 VARIES 2.9665 0.019420 0.019708 0.020000 0.020297 7.13 4.19 Morgan Stanley 61745E3R0 02/11/11 02/11/20 100.000 VARIES 5.7500 0.163004 0.162935 0.162676 0.162410 0.162045 58.62 58.43 Morgan Stanley 61745E3S8 07/29/11 07/29/31 100.000 VARIES 5.6230 0.139630 0.138534 0.137408 0.137036 0.136654 49.73 49.29 Morgan Stanley 61745E3T6 12/27/11 12/27/26 100.000 VARIES 6.9291 0.165761 0.161880 0.157864 0.159079 0.160336 58.94 57.06 Morgan Stanley 61745E3W9 08/17/10 08/17/20 100.000 VARIES 2.7071 0.020760 0.021041 0.021326 0.021615 0.021901 7.60 7.81 Morgan Stanley 61745E3Y5 07/29/11 07/29/26 100.000 VARIES 5.4529 0.124899 0.123840 0.122752 0.123147 0.123553 44.45 44.38 Morgan Stanley 61745E4E8 07/29/11 07/29/26 100.000 VARIES 5.4932 0.133642 0.133361 0.133072 0.133541 0.134023 47.97 48.13 Morgan Stanley 61745E4K4 02/18/11 02/18/20 100.000 VARIES 2.8598 0.015826 0.016052 0.016282 0.016515 0.016751 5.80 5.97 Morgan Stanley 61745E4L2 07/29/11 07/29/26 100.000 VARIES 5.5117 0.127022 0.126339 0.125638 0.125975 0.126322 45.39 45.39 Morgan Stanley 61745E4M0 12/23/11 12/23/18 100.000 VARIES 4.9659 0.026324 0.026073 0.025815 0.025552 0.025281 9.43 9.24 Morgan Stanley 61745E4T5 01/13/12 01/13/32 100.000 VARIES 6.1786 0.146434 0.142376 0.138193 0.133881 0.134344 50.60 48.33 Morgan Stanley 61745E4U2 08/26/09 08/26/16 100.000 VARIES 5.1504 0.146769 0.144942 34.16 Morgan Stanley 61745E5R8 03/15/11 03/15/21 100.000 VARIES 5.2217 0.146913 0.147151 0.147183 0.147216 0.147028 52.96 52.98 Morgan Stanley 61745E5S6 08/22/11 08/22/31 100.000 VARIES 5.6565 0.134934 0.134915 0.134896 0.135504 0.136130 48.57 48.83 Morgan Stanley 61745E5W7 08/31/10 08/31/20 100.000 VARIES 2.8095 0.012280 0.012318 0.012698 0.012666 0.013057 4.55 4.67 Morgan Stanley 61745E5X5 03/22/11 03/22/31 100.000 VARIES 5.8739 0.158666 0.158700 0.158735 0.158771 0.159019 57.13 57.18 Morgan Stanley 61745E5Z0 01/31/12 01/31/32 100.000 VARIES 5.6271 0.134324 0.134342 0.134360 0.134379 0.134569 48.37 48.40 Morgan Stanley 61745E6D8 03/23/11 03/23/26 100.000 VARIES 5.5646 0.151876 0.151681 0.151907 0.152139 0.152377 54.64 54.77 Morgan Stanley 61745E6E6 08/24/11 08/24/23 100.000 VARIES 4.5799 0.128161 0.128294 0.128431 0.128503 0.128577 46.20 46.27 Morgan Stanley 61745E6M8 02/15/12 02/15/19 100.000 VARIES 5.4091 0.151413 0.151642 0.151594 0.151544 0.151306 54.57 54.53 Morgan Stanley 61745E6R7 03/25/11 03/25/31 100.000 VARIES 5.9463 0.141437 0.141639 0.141846 0.142059 0.142696 50.99 51.18 Morgan Stanley 61745E6V8 04/15/10 04/15/25 100.000 VARIES 5.5533 0.151859 0.151855 0.151850 0.151846 0.151911 54.67 54.67 Morgan Stanley 61745E6Y2 08/12/11 08/12/23 100.000 VARIES 5.0167 0.140284 0.140324 0.140365 0.140387 0.140410 50.52 50.54 Morgan Stanley 61745E7E5 08/31/11 08/31/26 100.000 VARIES 5.5215 0.126883 0.124070 0.124628 0.122676 0.124792 45.64 45.15 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61745E7K1 03/31/11 04/01/21 100.000 VARIES 5.3224 0.150787 0.150824 0.150748 0.150669 0.150446 54.29 54.23 Morgan Stanley 61745ED65 04/08/11 04/08/26 100.000 VARIES 5.9065 0.161253 0.161369 0.161614 0.161866 0.162126 58.10 58.27 Morgan Stanley 61745EE49 04/15/11 04/15/26 100.000 VARIES 5.7612 0.151245 0.151279 0.151511 0.151750 0.151996 54.47 54.62 Morgan Stanley 61745EE98 09/22/10 09/22/19 100.000 VARIES 2.8227 0.019452 0.019726 0.020005 0.020287 0.020573 7.11 7.31 Morgan Stanley 61745EF22 04/15/11 04/15/26 100.000 VARIES 5.8397 0.169112 0.169994 0.170044 0.170095 0.170148 61.11 61.23 Morgan Stanley 61745EF63 05/18/10 05/18/25 100.000 VARIES 6.0398 0.163919 0.163822 0.163723 0.163620 0.163600 58.99 58.92 Morgan Stanley 61745EF89 04/15/11 04/15/21 100.000 VARIES 2.2565 0.006917 0.006995 0.007074 0.007153 0.007234 2.52 2.57 Morgan Stanley 61745EF97 08/31/11 08/31/31 100.000 VARIES 5.6734 0.134068 0.132571 0.134726 0.133024 0.135745 48.87 48.99 Morgan Stanley 61745EG62 04/25/11 04/25/23 100.000 VARIES 5.6779 0.154495 0.154872 0.156005 0.155442 0.156417 56.72 56.87 Morgan Stanley 61745EH46 04/26/11 04/26/26 100.000 VARIES 5.7524 0.130181 0.129481 0.130621 0.130346 0.131516 47.55 47.69 Morgan Stanley 61745EJ28 04/29/11 04/29/26 100.000 VARIES 5.7371 0.143133 0.142403 0.141653 0.140881 0.140913 51.30 50.81 Morgan Stanley 61745EJ77 09/30/10 09/30/17 100.000 VARIES 2.7147 0.015127 0.015332 0.015541 0.015752 5.52 4.22 Morgan Stanley 61745EJ85 04/28/11 04/28/17 100.000 VARIES 1.7167 0.012013 0.012117 0.012221 4.36 1.43 Morgan Stanley 61745EJ93 09/09/11 09/09/26 100.000 VARIES 5.8527 0.140415 0.140480 0.140548 0.140618 0.140689 50.58 50.63 Morgan Stanley 61745EL33 09/30/10 09/30/19 100.000 VARIES 2.8240 0.028160 0.028558 0.028961 0.029370 0.029784 10.28 10.57 Morgan Stanley 61745EL41 04/29/11 04/29/18 100.000 VARIES 1.6125 0.010395 0.010479 0.010564 0.010649 0.010735 3.77 3.83 Morgan Stanley 61745EL58 09/16/11 09/16/31 100.000 VARIES 5.8547 0.132734 0.133245 0.133771 0.134312 0.134870 47.99 48.37 Morgan Stanley 61745EL90 10/15/10 10/15/19 100.000 VARIES 2.5025 0.017943 0.018167 0.018394 0.018625 0.018858 6.53 6.70 Morgan Stanley 61745EM24 04/29/11 04/29/16 100.000 VARIES 1.5929 0.008816 1.04 Morgan Stanley 61745EM32 09/22/11 09/22/26 100.000 VARIES 5.5347 0.131604 0.131569 0.131533 0.132210 0.132905 47.36 47.61 Morgan Stanley 61745EM81 05/17/11 05/17/23 100.000 VARIES 5.1511 0.144240 0.144347 0.144378 0.144409 0.144378 51.95 51.98 Morgan Stanley 61745EM99 09/30/11 09/30/17 100.000 VARIES 3.3263 0.011756 0.011951 0.012150 0.012352 4.30 3.30 Morgan Stanley 61745EN64 05/19/11 05/19/26 100.000 VARIES 5.5223 0.140493 0.137993 0.140062 0.137557 0.139606 50.94 50.64 Morgan Stanley 61745EN72 09/30/11 09/30/31 100.000 VARIES 6.1251 0.140766 0.136570 0.132246 0.133193 0.134169 49.15 47.95 Morgan Stanley 61745EP47 05/12/11 05/12/21 100.000 VARIES 1.9922 0.013239 0.013371 0.013504 0.013638 0.013774 4.80 4.90 Morgan Stanley 61745ER52 10/15/10 10/15/19 100.000 VARIES 2.6938 0.022581 0.022885 0.023193 0.023506 0.023822 8.23 8.45 Morgan Stanley 61745ER60 05/31/11 05/31/31 100.000 VARIES 5.6682 0.140516 0.139708 0.138876 0.138021 0.137779 50.39 49.81 Morgan Stanley 61745ES28 06/24/10 06/24/20 100.000 VARIES 5.8922 0.169698 0.169286 0.168861 0.168308 0.167739 61.01 60.68 Morgan Stanley 61745ES93 10/27/10 10/27/17 100.000 VARIES 2.4455 0.017397 0.017609 0.017825 0.018043 6.33 5.32 Morgan Stanley 61745ET27 05/31/11 05/31/26 100.000 VARIES 5.5394 0.149884 0.149795 0.149750 0.149703 0.149655 53.94 53.90 Morgan Stanley 61745EU66 06/10/11 06/10/26 100.000 VARIES 5.3578 0.148832 0.148715 0.148467 0.148212 0.147951 53.55 53.39 Morgan Stanley 61745EUH2 02/23/07 02/23/37* 100.000 VARIES 5.5058 0.132146 0.132312 30.69* Morgan Stanley 61745EV32 11/23/10 05/23/16 100.000 VARIES 1.4641 0.010471 1.49 Morgan Stanley 61745EV40 06/14/11 06/14/21 100.000 VARIES 2.3141 0.013923 0.014084 0.014247 0.014412 0.014579 5.05 5.16 Morgan Stanley 61745EV65 01/20/09 01/20/24 100.000 VARIES 5.9021 0.148405 0.149542 0.150713 0.151918 0.152923 54.00 54.83 Morgan Stanley 61745EW23 06/23/11 06/23/26 100.000 VARIES 5.4880 0.126835 0.125602 0.125920 0.126248 0.126584 45.43 45.40 Morgan Stanley 61745EW31 10/27/11 10/27/31 100.000 VARIES 6.4618 0.175692 0.175346 0.174989 0.175060 0.175134 63.14 63.02 Morgan Stanley 61745EW49 01/30/09 01/30/24 100.000 VARIES 6.4553 0.163539 0.164863 0.166230 0.167450 0.168711 59.52 60.44 Morgan Stanley 61745EW72 11/23/10 11/23/19 100.000 VARIES 2.3593 0.017829 0.018040 0.018253 0.018468 0.018686 6.47 6.63 Morgan Stanley 61745EW98 11/17/11 11/17/17 100.000 VARIES 3.9291 0.011557 0.011784 0.012015 0.012252 4.22 3.84 Morgan Stanley 61745EX63 06/30/11 06/30/31 100.000 VARIES 5.7758 0.141464 0.140543 0.139594 0.138619 0.138362 50.76 50.08 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61745EY21 07/15/10 07/15/20 100.000 VARIES 3.4515 0.021697 0.022071 0.022452 0.022839 0.023234 8.00 8.28 Morgan Stanley 61745EY39 12/15/10 12/15/19 100.000 VARIES 5.6449 0.161469 0.161131 0.160785 0.160264 0.159728 58.06 57.77 Morgan Stanley 61745EY47 06/30/11 06/30/26 100.000 VARIES 5.5719 0.136598 0.136503 0.137135 0.137785 0.138453 49.16 49.49 Morgan Stanley 61745EZ79 12/15/10 12/15/19 100.000 VARIES 2.6578 0.030890 0.031301 0.031717 0.032138 0.032566 11.21 11.51 Morgan Stanley 61745EZ87 07/07/11 07/07/26 100.000 VARIES 5.7788 0.139457 0.140262 0.141090 0.141943 0.142820 50.63 51.25 Morgan Stanley 61745EZ95 11/29/11 11/29/19 100.000 VARIES 5.8963 0.164999 0.164939 0.164877 0.164732 0.164582 59.38 59.32 Morgan Stanley 61746BDP8 02/04/14 02/04/19 100.000 0.000 2.5695 0.074162 0.075114 0.076079 0.077057 0.078047 27.15 27.85 Morgan Stanley 6174822B9 09/28/12 03/28/16 100.000 0.000 2.4304 0.072587 6.32 Morgan Stanley 6174822C7 09/28/12 09/28/27 100.000 VARIES 4.7924 0.132419 0.132735 0.133059 0.133426 0.133801 47.79 48.04 Morgan Stanley 6174822D5 09/28/12 09/28/32 100.000 VARIES 5.0081 0.136454 0.136394 0.136333 0.136455 0.136579 49.10 49.12 Morgan Stanley 6174822E3 09/28/12 09/28/32 100.000 VARIES 5.0051 0.133741 0.133404 0.133058 0.133016 0.132973 48.02 47.89 Morgan Stanley 6174822F0 09/28/12 09/28/32 100.000 VARIES 4.9982 0.128390 0.127312 0.126207 0.125653 0.125085 45.82 45.23 Morgan Stanley 6174822J2 09/28/12 09/28/32 100.000 VARIES 5.0415 0.135316 0.135142 0.134963 0.135106 0.135253 48.65 48.64 Morgan Stanley 6174822R4 10/31/12 10/31/19 100.000 0.000 3.3498 0.102805 0.104526 0.106277 0.108057 0.109867 37.53 38.80 Morgan Stanley 6174822S2 10/31/12 10/31/17 100.000 0.000 2.8337 0.085650 0.086864 0.088095 0.089343 31.20 26.56 Morgan Stanley 6174822X1 10/31/12 10/29/32 100.000 VARIES 4.6665 0.120202 0.119357 0.118493 0.118152 0.117803 43.01 42.55 Morgan Stanley 6174822Y9 10/31/12 10/29/32 100.000 VARIES 4.6741 0.125570 0.125398 0.125222 0.125417 0.125617 45.15 45.14 Morgan Stanley 6174823M4 11/30/12 11/29/19 100.000 0.000 3.2126 0.098187 0.099764 0.101367 0.102995 0.104650 35.73 36.89 Morgan Stanley 6174823N2 11/30/12 11/30/17 100.000 0.000 2.8394 0.085836 0.087055 0.088291 0.089544 31.20 29.27 Morgan Stanley 6174824H4 04/30/13 04/28/23 100.000 VARIES 3.0092 0.080376 0.080446 0.080603 0.080762 0.080935 28.96 29.07 Morgan Stanley 6174824W1 05/30/13 05/30/28 100.000 VARIES 3.5683 0.094264 0.094358 0.094454 0.094552 0.094702 33.96 34.03 Morgan Stanley 6174824Z4 07/03/13 06/29/20 100.000 0.000 3.7328 0.113690 0.115812 0.117974 0.120175 0.122418 41.32 42.88 Morgan Stanley 617482D76 11/28/11 11/28/17 100.000 0.000 6.9072 0.251747 0.260442 0.269436 0.278742 92.78 89.78 Morgan Stanley 617482E59 12/28/11 12/28/16 100.000 0.000 5.6804 0.197418 0.203025 71.49 Morgan Stanley 617482F41 01/30/12 01/30/18 100.000 0.000 4.7546 0.155682 0.159383 0.163172 0.167051 0.171022 57.84 60.63 Morgan Stanley 617482F66 01/31/12 01/29/27 100.000 VARIES 5.2919 0.139567 0.139060 0.138540 0.138006 0.137868 50.00 49.68 Morgan Stanley 617482F90 02/28/12 02/28/19 100.000 0.000 5.2371 0.172415 0.175006 0.182565 0.184292 0.192252 64.83 68.15 Morgan Stanley 617482G73 03/30/12 03/29/18 100.000 0.000 4.9522 0.163230 0.167271 0.171413 0.175658 0.180007 60.24 63.26 Morgan Stanley 617482H23 03/16/12 03/16/27 100.000 VARIES 6.4023 0.170130 0.169463 0.168775 0.168064 0.167741 60.98 60.52 Morgan Stanley 617482H56 03/30/12 03/30/27 100.000 VARIES 6.3037 0.163738 0.163175 0.162594 0.161995 0.161777 58.74 58.35 Morgan Stanley 617482H64 04/02/12 04/02/27 100.000 VARIES 6.2400 0.162804 0.162107 0.161389 0.160648 0.160532 58.36 57.89 Morgan Stanley 617482J62 04/30/12 04/28/17 100.000 0.000 4.8877 0.160727 0.164655 0.168679 59.07 19.74 Morgan Stanley 617482J96 04/30/12 04/28/17 100.000 0.000 4.8877 0.160727 0.164655 0.168679 59.07 19.74 Morgan Stanley 617482K45 04/25/12 04/26/27 100.000 VARIES 6.3672 0.165678 0.164664 0.164284 0.163893 0.163489 59.37 59.02 Morgan Stanley 617482K60 11/28/11 11/28/16 100.000 0.000 6.6454 0.239766 0.247732 79.84 Morgan Stanley 617482KF0 01/25/10 01/25/16 100.000 0.000 4.0787 0.141471 3.40 Morgan Stanley 617482L69 01/30/12 01/30/17 100.000 0.000 4.4801 0.145326 0.148581 0.151910 53.90 4.41 Morgan Stanley 617482L85 01/31/12 01/31/17 100.000 0.000 4.4376 0.143737 0.146926 0.150186 53.29 4.36 Morgan Stanley 617482L93 01/31/12 01/31/18 100.000 0.000 4.6980 0.153534 0.157141 0.160832 0.164610 0.168477 57.02 59.73 Morgan Stanley 617482LA0 03/15/10 03/15/16 100.000 0.000 4.5963 0.163929 12.13 Morgan Stanley 617482M27 02/28/12 02/28/18 100.000 0.000 5.1562 0.169282 0.171759 0.179108 0.180730 0.188462 63.62 66.82 Morgan Stanley 617482M68 03/30/12 03/29/18 100.000 0.000 4.9684 0.163855 0.167925 0.172097 0.176372 0.180753 60.48 63.52 Morgan Stanley 617482M84 03/30/12 03/27/17 100.000 0.000 4.7958 0.157194 0.160963 0.164823 57.99 14.17 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 617482N26 04/30/12 04/30/18 100.000 0.000 5.1859 0.172327 0.176795 0.181380 0.186083 0.190908 63.39 66.72 Morgan Stanley 617482N83 07/05/12 07/03/19 100.000 0.000 5.1922 0.168158 0.172524 0.177003 0.181598 0.186312 62.90 66.21 Morgan Stanley 617482NM2 09/30/10 09/30/16 100.000 0.000 3.8819 0.130688 0.133225 35.61 Morgan Stanley 617482P32 09/04/12 08/30/16 100.000 0.000 3.5949 0.109252 0.111216 26.80 Morgan Stanley 617482P73 10/03/12 10/03/18 100.000 0.000 3.2792 0.100426 0.102073 0.103746 0.105447 0.107176 36.74 37.96 Morgan Stanley 617482PU2 12/22/10 12/22/25 100.000 VARIES 6.2468 0.162902 0.162509 0.162103 0.162069 0.162034 58.57 58.35 Morgan Stanley 617482Q23 10/31/12 10/31/19 100.000 0.000 3.3724 0.103567 0.105314 0.107090 0.108895 0.110732 37.81 39.10 Morgan Stanley 617482Q72 05/30/12 11/30/17 100.000 0.000 5.8534 0.195749 0.201478 0.208514 0.213444 73.10 70.34 Morgan Stanley 617482QH0 01/28/11 01/27/17 100.000 0.000 4.1753 0.139668 0.142584 0.145561 51.71 3.78 Morgan Stanley 617482QY3 02/08/11 12/22/20 100.000 VARIES N/A 0.148551 0.148523 0.148559 0.148596 0.148804 53.47 53.52 Morgan Stanley 617482R55 05/31/12 05/28/32 100.000 VARIES 6.7095 0.165396 0.162891 0.160302 0.157627 0.156056 58.92 57.09 Morgan Stanley 617482R63 06/04/12 06/04/27 100.000 VARIES 6.4699 0.179393 0.179371 0.179307 0.179242 0.179175 64.58 64.54 Morgan Stanley 617482R71 06/15/12 06/15/27 100.000 VARIES 6.6026 0.181444 0.181871 0.182313 0.182768 0.183170 65.41 65.73 Morgan Stanley 617482R97 06/29/12 06/29/17 100.000 0.000 4.7647 0.156068 0.159787 0.163593 56.87 29.12 Morgan Stanley 617482RB2 02/25/11 02/27/17 100.000 0.000 4.3449 0.146484 0.149667 0.152918 54.10 8.56 Morgan Stanley 617482RH9 02/28/11 02/27/26 100.000 VARIES 5.9550 0.158349 0.157814 0.157540 0.157259 0.156969 56.81 56.59 Morgan Stanley 617482RL0 03/30/11 09/29/17 100.000 0.000 4.3132 0.145162 0.148293 0.151491 0.154758 53.40 41.19 Morgan Stanley 617482S70 06/29/12 06/29/32 100.000 VARIES 6.4088 0.159905 0.157837 0.156711 0.155549 0.154349 57.19 56.20 Morgan Stanley 617482S88 06/29/12 06/29/27 100.000 VARIES 6.1368 0.169211 0.169532 0.169642 0.169755 0.169872 60.97 61.09 Morgan Stanley 617482T95 07/31/12 07/31/18 100.000 0.000 4.8288 0.154778 0.158515 0.162342 0.166262 0.170276 57.53 60.35 Morgan Stanley 617482TA2 04/28/11 07/28/17 100.000 0.000 4.1507 0.137302 0.140152 0.143061 0.146030 50.82 30.15 Morgan Stanley 617482TQ7 05/27/11 05/30/17 100.000 0.000 3.9013 0.128993 0.131509 0.134075 47.05 19.98 Morgan Stanley 617482U36 07/31/12 07/29/16 100.000 0.000 4.2660 0.134483 0.137351 28.49 Morgan Stanley 617482U44 07/31/12 07/30/27 100.000 VARIES 5.9206 0.160416 0.162491 0.161044 0.164306 0.162227 59.19 59.55 Morgan Stanley 617482U51 07/31/12 07/30/32 100.000 VARIES 6.0840 0.158727 0.160059 0.157900 0.160291 0.157449 58.21 58.00 Morgan Stanley 617482UH5 05/31/11 05/29/26 100.000 VARIES 5.3835 0.146495 0.146211 0.145934 0.145650 0.145358 52.67 52.47 Morgan Stanley 617482UP7 06/29/11 06/29/17 100.000 0.000 3.6574 0.119593 0.121780 0.124007 43.46 22.07 Morgan Stanley 617482UY8 06/15/11 06/13/31 100.000 VARIES 5.5344 0.140881 0.140246 0.139594 0.138924 0.138631 50.58 50.12 Morgan Stanley 617482V50 07/31/12 07/30/32 100.000 VARIES 6.0491 0.148710 0.149183 0.146378 0.147565 0.143903 54.15 53.26 Morgan Stanley 617482V68 08/17/12 08/17/27 100.000 VARIES 5.8776 0.164373 0.165109 0.165866 0.166359 0.166867 59.51 59.93 Morgan Stanley 617482V76 08/31/12 08/31/32 100.000 VARIES 5.8050 0.154028 0.152047 0.154246 0.151571 0.153917 56.04 55.77 Morgan Stanley 617482V84 08/31/12 08/31/32 100.000 VARIES 5.7934 0.145347 0.142336 0.143198 0.140108 0.141640 52.38 51.51 Morgan Stanley 617482VB7 06/30/11 06/30/31 100.000 VARIES 5.5330 0.141919 0.141196 0.140814 0.140422 0.140020 50.96 50.62 Morgan Stanley 617482VG6 06/14/11 09/14/17 100.000 0.000 3.8913 0.127335 0.129813 0.132339 0.134914 46.82 33.95 Morgan Stanley 617482VQ4 08/31/11 08/31/17 100.000 0.000 4.9901 0.166967 0.169273 0.176372 0.177825 62.69 42.95 Morgan Stanley 617482VU5 08/29/11 08/29/17 100.000 0.000 5.0291 0.166697 0.172767 0.176143 0.181565 63.30 43.26 Morgan Stanley 617482VX9 09/29/11 09/29/17 100.000 0.000 6.0377 0.212770 0.219194 0.225811 0.232628 78.95 61.74 Morgan Stanley 617482VZ4 10/28/11 10/28/16 100.000 0.000 5.1995 0.177351 0.181962 53.50 Morgan Stanley 617482W75 08/31/12 08/31/18 100.000 0.000 4.3348 0.135440 0.136871 0.142155 0.142869 0.148384 50.66 52.78 Morgan Stanley 617482W91 08/31/12 08/31/16 100.000 0.000 3.6382 0.111369 0.112163 27.21 Morgan Stanley 617482WA8 10/28/11 10/28/16 100.000 0.000 5.1995 0.177351 0.181962 53.50 Morgan Stanley 617482WC4 07/28/11 07/28/17 100.000 0.000 4.3106 0.142012 0.145073 0.148200 0.151394 52.62 31.25 Morgan Stanley 617482WK6 07/28/11 07/28/17 100.000 0.000 4.3106 0.142012 0.145073 0.148200 0.151394 52.62 31.25 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 617482X25 08/31/12 08/31/27 100.000 VARIES 5.6218 0.153107 0.151657 0.154394 0.152397 0.155467 55.93 56.12 Morgan Stanley 617482X41 08/31/12 08/31/32 100.000 VARIES 5.8551 0.156877 0.155074 0.157541 0.155118 0.157842 57.17 57.09 Morgan Stanley 617482X90 09/28/12 09/28/18 100.000 0.000 3.2592 0.099754 0.101380 0.103032 0.104711 0.106417 36.51 37.71 Morgan Stanley 617482XG4 08/30/11 08/29/31 100.000 VARIES 6.1188 0.154636 0.155533 0.153862 0.154256 0.152950 56.66 56.12 Morgan Stanley 617482XL3 08/26/11 08/25/17 100.000 0.000 4.9767 0.168261 0.172448 0.176739 0.181137 62.40 42.15 Morgan Stanley 617482XT6 08/31/11 08/31/17 100.000 1.000 5.0228 0.162250 0.163834 0.170039 0.170785 60.63 41.29 Morgan Stanley 617482XW9 09/29/11 09/29/17 100.000 0.000 6.0328 0.212554 0.218966 0.225571 0.232375 78.87 61.68 Morgan Stanley 617482Y99 11/30/12 11/30/27 100.000 VARIES 4.1468 0.113775 0.114029 0.114289 0.114569 0.114856 41.02 41.21 Morgan Stanley 617482YD0 09/16/11 09/14/18 100.000 0.000 5.1470 0.175153 0.179660 0.184284 0.189027 0.193891 64.84 68.22 Morgan Stanley 617482YU2 10/28/11 10/28/16 100.000 0.000 5.1961 0.177211 0.181816 53.46 Morgan Stanley 617482Z23 11/30/12 11/30/32 100.000 VARIES 4.3509 0.112469 0.111691 0.110896 0.110593 0.110282 40.30 39.85 Morgan Stanley 617482Z31 11/30/12 11/30/32 100.000 VARIES 4.3570 0.117076 0.116908 0.116736 0.116902 0.117071 42.11 42.07 Morgan Stanley 617484381 03/09/10 01/07/16 100.000 0.000 4.4482 0.156209 .94 Morgan Stanley 61755S172 06/04/12 05/30/17 100.000 0.000 5.5376 0.186120 0.191274 0.196570 68.25 29.29 Morgan Stanley 61755S354 07/03/12 02/27/17 100.000 0.000 4.7356 0.152450 0.156060 0.159755 56.44 8.95 Morgan Stanley 61755S412 08/02/12 07/30/18 100.000 0.000 4.5511 0.144657 0.147949 0.151316 0.154759 0.158281 53.67 56.15 Morgan Stanley 61755S552 08/17/12 10/17/17 100.000 0.000 4.2529 0.134984 0.137854 0.140785 0.143779 49.54 40.80 Morgan Stanley 61758S260 09/04/14 02/28/22 100.000 0.000 3.2753 0.092921 0.093416 0.096520 0.096501 0.099707 34.54 35.62 Morgan Stanley 61758S559 09/02/14 07/03/23 100.000 0.000 3.4567 0.098815 0.100523 0.102260 0.104028 0.105826 36.49 37.77 Morgan Stanley 61758S625 10/03/14 03/31/22 100.000 0.000 3.6906 0.106314 0.108276 0.110274 0.112309 0.114382 38.99 40.44 Morgan Stanley 61759G588 07/23/10 07/22/16 100.000 0.000 4.6755 0.163619 0.167444 33.58 Morgan Stanley 61759G612 08/30/10 08/25/16 100.000 0.000 4.0488 0.137351 0.140131 32.64 Morgan Stanley 61759G653 07/30/10 03/30/17 100.000 0.000 5.0431 0.181214 0.185783 0.190468 66.90 16.95 Morgan Stanley 61759G844 06/29/10 06/24/16 100.000 0.000 5.4889 0.205212 35.50 Morgan Stanley 61760E226 08/31/11 08/31/17 100.000 0.000 5.0772 0.170460 0.172888 0.180215 0.181777 64.03 43.90 Morgan Stanley 61760E309 02/25/11 02/22/18 100.000 0.000 4.9086 0.169533 0.173694 0.177957 0.182325 0.186799 62.87 65.99 Morgan Stanley 61760E341 06/29/11 06/24/26 100.000 1.000 5.3273 0.179957 0.184011 0.188172 0.192445 0.196831 65.57 68.57 Morgan Stanley 61760E366 06/30/11 06/30/17 100.000 0.000 3.7941 0.124815 0.127183 0.129596 45.36 23.20 Morgan Stanley 61760E481 07/29/11 07/29/16 100.000 0.000 3.9112 0.126853 0.129333 26.83 Morgan Stanley 61760E499 07/29/11 07/31/17 100.000 0.000 4.2685 0.140429 0.143426 0.146487 0.149614 52.01 31.18 Morgan Stanley 61760E630 05/27/11 05/24/17 100.000 0.000 3.9896 0.132343 0.134983 0.137675 48.32 19.69 Morgan Stanley 61760P650 09/29/11 12/22/17 100.000 0.000 6.0586 0.216661 0.223224 0.229987 0.236954 79.30 81.98 Morgan Stanley 61760P692 09/30/11 09/29/17 100.000 1.000 6.0171 0.204412 0.209726 0.215200 0.220839 75.54 58.69 Morgan Stanley 61760P825 09/30/11 09/29/17 100.000 1.000 6.0418 0.205449 0.210817 0.216346 0.222043 75.93 59.01 Morgan Stanley 61760QAB0 02/29/12 02/29/32 100.000 VARIES 5.1013 0.117926 0.116374 0.118021 0.115813 0.118158 42.89 42.69 Morgan Stanley 61760QAC8 02/29/12 02/29/32 100.000 VARIES 5.1024 0.132355 0.130121 0.132024 0.129615 0.131497 47.99 47.68 Morgan Stanley 61760QAE4 02/28/12 02/28/17 100.000 VARIES 3.1265 0.016430 0.016505 0.017041 6.10 .99 Morgan Stanley 61760QAG9 03/15/12 03/15/32 100.000 VARIES 5.5709 0.132058 0.131397 0.130717 0.130018 0.130174 47.28 46.87 Morgan Stanley 61760QAK0 03/30/12 03/30/32 100.000 VARIES 5.8740 0.137425 0.133302 0.133264 0.133224 0.133182 48.35 47.96 Morgan Stanley 61760QAM6 03/16/12 03/16/17 100.000 VARIES 3.6245 0.029600 0.030136 0.030683 10.87 2.30 Morgan Stanley 61760QAN4 03/30/12 03/30/32 100.000 VARIES 6.0912 0.153420 0.151482 0.150727 0.149948 0.149147 54.64 53.98 Morgan Stanley 61760QAP9 03/30/12 03/30/27 100.000 VARIES 5.8450 0.139801 0.138010 0.138132 0.138258 0.138387 49.85 49.77 Morgan Stanley 61760QAR5 03/30/12 03/30/17 100.000 VARIES 3.2447 0.019711 0.020031 0.020356 7.21 1.81 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61760QAU8 03/30/12 03/30/17 100.000 VARIES 3.2451 0.019723 0.020043 0.020368 7.22 1.81 Morgan Stanley 61760QAW4 04/30/12 04/30/32 100.000 VARIES 5.9580 0.139888 0.135781 0.135845 0.135912 0.135980 49.37 48.92 Morgan Stanley 61760QAX2 04/16/12 04/16/16 100.000 VARIES 2.9299 0.019553 2.05 Morgan Stanley 61760QAY0 04/16/12 04/16/19 100.000 VARIES 3.3327 0.014418 0.014658 0.014903 0.015151 0.015404 5.27 5.45 Morgan Stanley 61760QBA1 04/30/12 04/30/17 100.000 VARIES 3.6147 0.029345 0.029875 0.030415 10.73 3.62 Morgan Stanley 61760QBB9 04/30/12 04/30/32 100.000 VARIES 6.3756 0.153213 0.151111 0.148943 0.146705 0.146017 54.52 53.04 Morgan Stanley 61760QBC7 04/30/12 04/30/17 100.000 VARIES 3.3427 0.022275 0.022648 0.023026 8.13 2.74 Morgan Stanley 61760QBE3 05/21/12 05/21/21 100.000 VARIES 3.6558 0.014928 0.015201 0.015479 0.015762 0.016050 5.45 5.65 Morgan Stanley 61760QBG8 05/16/12 05/16/22 100.000 VARIES 3.9370 0.020876 0.021287 0.021706 0.022133 0.022569 7.63 7.93 Morgan Stanley 61760QBH6 05/31/12 05/31/27 100.000 VARIES 6.1477 0.147715 0.145920 0.144070 0.142164 0.142144 52.74 51.46 Morgan Stanley 61760QBJ2 05/31/12 05/31/27 100.000 VARIES 6.1477 0.147715 0.145920 0.144070 0.142164 0.142144 52.74 51.46 Morgan Stanley 61760QBK9 05/30/12 05/30/17 100.000 VARIES 3.9102 0.036963 0.037685 0.038422 13.48 5.72 Morgan Stanley 61760QBM5 06/15/12 06/15/19 100.000 VARIES 4.3021 0.019967 0.020396 0.020835 0.021283 0.021741 7.28 7.60 Morgan Stanley 61760QBP8 06/20/12 06/20/17 100.000 VARIES 4.3857 0.010039 0.010259 0.010484 3.66 1.77 Morgan Stanley 61760QBR4 08/02/12 08/02/19 100.000 VARIES 3.6421 0.015439 0.015720 0.016006 0.016297 0.016594 5.69 5.90 Morgan Stanley 61760QBS2 07/20/12 07/20/17 100.000 VARIES 3.6336 0.016379 0.016676 0.016979 0.017288 6.05 3.43 Morgan Stanley 61760QBU7 08/14/12 08/14/17 100.000 VARIES 3.5375 0.013922 0.014168 0.014419 0.014674 5.12 3.26 Morgan Stanley 61760QBV5 08/31/12 09/01/19 100.000 VARIES 3.6020 0.014499 0.014760 0.015026 0.015296 0.015572 5.33 5.52 Morgan Stanley 61760QBW3 08/28/12 02/29/16 100.000 VARIES 2.4781 0.028640 1.69 Morgan Stanley 61760QBY9 10/15/12 10/15/24 100.000 VARIES 4.4801 0.124374 0.124544 0.124717 0.124707 0.124696 44.83 44.89 Morgan Stanley 61760QBZ6 10/10/12 10/10/24 100.000 VARIES 4.6394 0.128543 0.128694 0.128849 0.128866 0.128883 46.33 46.39 Morgan Stanley 61760QCB8 11/28/12 11/28/27 100.000 VARIES 4.4678 0.133540 0.135120 0.136735 0.137510 0.138302 48.46 49.42 Morgan Stanley 61760QCD4 12/28/12 12/28/22 100.000 VARIES 2.1576 0.008359 0.008449 0.008540 0.008632 0.008725 3.03 3.09 Morgan Stanley 61760QCG7 01/31/13 01/31/23 100.000 VARIES 2.1325 0.009064 0.009161 0.009259 0.009357 0.009457 3.31 3.38 Morgan Stanley 61760QCJ1 02/15/13 02/15/18 100.000 VARIES 1.6302 0.009070 0.009147 0.009222 0.009297 0.009373 3.30 3.35 Morgan Stanley 61760QCK8 02/28/13 03/01/23 100.000 VARIES 1.9098 0.008980 0.009065 0.009152 0.009328 0.009417 3.27 3.33 Morgan Stanley 61760QCQ5 06/28/13 06/28/28 100.000 VARIES 3.9695 0.098231 0.097612 0.096981 0.096337 0.096577 35.25 34.80 Morgan Stanley 61760QCR3 06/07/13 06/07/20 100.000 VARIES 1.7753 0.011292 0.011392 0.011493 0.011595 0.011698 4.09 4.16 Morgan Stanley 61760QCS1 06/07/13 06/07/28 100.000 VARIES 4.0271 0.099727 0.099041 0.098341 0.097627 0.097386 35.74 35.25 Morgan Stanley 61760QCT9 06/28/13 06/28/28 100.000 VARIES 4.5851 0.110969 0.110148 0.109309 0.108450 0.108749 39.80 39.19 Morgan Stanley 61760QCV4 06/28/13 06/28/28 100.000 VARIES 4.3010 0.109445 0.108351 0.108477 0.108605 0.108737 39.20 39.08 Morgan Stanley 61760QCW2 06/28/13 06/28/28 100.000 VARIES 4.2810 0.108923 0.107838 0.107978 0.108120 0.108266 39.01 38.90 Morgan Stanley 61760QCY8 07/31/13 07/31/28 100.000 VARIES 4.5083 0.115696 0.114361 0.112997 0.113040 0.113085 41.00 40.70 Morgan Stanley 61760QCZ5 07/31/13 07/31/33 100.000 VARIES 4.4981 0.113676 0.111443 0.109159 0.108722 0.108275 39.84 39.09 Morgan Stanley 61760QDB7 08/19/13 08/19/33 100.000 VARIES 4.7352 0.119842 0.119378 0.118903 0.118416 0.117918 42.94 42.59 Morgan Stanley 61760QDD3 08/19/13 08/19/33 100.000 VARIES 4.5465 0.112042 0.110661 0.109248 0.107803 0.106325 39.72 38.68 Morgan Stanley 61760QDE1 08/28/13 08/28/33 100.000 VARIES 4.4981 0.110729 0.109099 0.107432 0.105728 0.103985 39.16 37.94 Morgan Stanley 61760QDH4 09/06/13 09/06/21 100.000 VARIES 2.3953 0.009519 0.009633 0.009749 0.009865 0.009983 3.47 3.56 Morgan Stanley 61760QDL5 09/26/13 09/26/33 100.000 VARIES 4.6879 0.115891 0.114692 0.113466 0.112210 0.110925 41.27 40.38 Morgan Stanley 61760QDR2 11/27/13 11/27/33 100.000 VARIES 4.4301 0.111010 0.108781 0.106503 0.104174 0.101794 39.41 37.76 Morgan Stanley 61760QEC4 03/31/14 03/31/34 100.000 VARIES 4.3148 0.113070 0.110709 0.109291 0.107842 0.106363 39.94 38.82 Morgan Stanley 61760QEZ3 09/17/14 09/17/34 100.000 VARIES 2.6674 0.013538 0.012913 0.012280 0.011639 0.010988 4.63 4.17 Morgan Stanley 61760QFH2 10/30/14 10/30/24 100.000 VARIES 2.1051 0.056839 0.056007 0.055166 0.055357 0.055550 20.21 19.92 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61760QGA6 05/27/15 05/27/30 100.000 VARIES 2.7018 0.011222 0.010965 0.010704 0.010439 0.010171 3.98 3.79 Morgan Stanley 61760QGB4 05/20/15 05/20/25 100.000 VARIES 2.6352 0.008952 0.008700 0.008445 0.008187 0.007925 3.16 2.97 Morgan Stanley 61760QGM0 06/25/15 06/25/20 100.000 0.000 2.4626 0.069250 0.070103 0.070966 0.071840 0.072725 25.09 25.72 Morgan Stanley 61760QGP3 06/30/15 06/30/22 100.000 VARIES 1.5572 0.010785 0.010869 0.010954 0.011039 0.011125 3.90 3.96 Morgan Stanley 61760QGV0 07/31/15 07/31/27 100.000 VARIES 2.7159 0.011167 0.010779 0.010386 0.009987 0.009584 3.83 3.55 Morgan Stanley 61760QGW8 07/31/15 07/31/27 100.000 VARIES 2.7281 0.012467 0.012032 0.011592 0.011145 0.010693 4.28 3.96 Morgan Stanley 61760QHA5 08/28/15 08/28/25 100.000 VARIES 2.5292 0.008896 0.008665 0.008430 0.008192 0.007952 3.10 2.93 Morgan Stanley 61760QHQ0 09/30/15 09/30/22 100.000 VARIES 1.6929 0.010220 0.009920 0.009619 0.009315 0.009393 3.57 3.39 Morgan Stanley 61760QHT4 10/07/15 10/07/25 100.000 VARIES 2.4402 0.010952 0.010676 0.010396 0.010113 0.009826 3.85 3.64 Morgan Stanley 61760QHZ0 11/10/15 11/10/25 100.000 VARIES 2.5656 0.009907 0.009645 0.009381 0.009113 0.008841 3.49 3.30 Morgan Stanley 61760QJA3 11/25/15 11/25/25 100.000 VARIES 2.4581 0.009781 0.009533 0.009281 0.009027 0.008769 3.46 3.28 Morgan Stanley 61760QJJ4 01/28/16 01/28/23 100.000 VARIES 2.2364 0.009874 0.009261 0.008641 0.008737 3.19 3.14 Morgan Stanley 61760QJK1 02/17/16 02/17/26 100.000 VARIES 2.3885 0.019292 0.018814 0.018331 0.017841 5.99 6.56 Morgan Stanley 61760QKA1 09/30/16 09/30/26 100.000 VARIES 2.5378 0.020157 0.019630 0.019097 1.83 7.07 Morgan Stanley 61760S126 02/05/14 07/31/19 100.000 0.000 2.4498 0.070565 0.071430 0.072304 0.073190 0.074087 25.82 26.46 Morgan Stanley 61760S134 02/05/14 01/29/21 100.000 0.000 3.2801 0.095620 0.097188 0.098782 0.100402 0.102049 35.19 36.35 Morgan Stanley 61760S282 03/04/14 02/26/21 100.000 0.000 3.1843 0.092682 0.094158 0.095657 0.097180 0.098727 34.00 35.09 Morgan Stanley 61760S522 04/03/14 03/31/21 100.000 0.000 3.3224 0.096941 0.098551 0.100188 0.101852 0.103544 35.48 36.67 Morgan Stanley 61760S613 03/18/14 09/20/21 100.000 0.000 3.4353 0.100449 0.102175 0.103930 0.105715 0.107531 36.82 38.10 Morgan Stanley 61760S621 03/18/14 07/18/22 100.000 0.000 3.7451 0.109312 0.111359 0.113445 0.115569 0.117733 40.39 41.92 Morgan Stanley 61760S738 05/05/14 10/29/21 100.000 0.000 3.5626 0.104285 0.106142 0.108033 0.109957 0.111916 38.11 39.48 Morgan Stanley 61760T132 10/31/11 10/31/17 100.000 1.000 5.8164 0.196055 0.200949 0.205985 0.211168 72.07 62.52 Morgan Stanley 61760T173 11/28/11 11/24/17 100.000 0.000 6.9071 0.251558 0.260246 0.269233 0.278532 92.78 88.64 Morgan Stanley 61760T199 11/18/11 11/21/17 100.000 1.000 6.1790 0.211383 0.217055 0.222903 0.228931 77.58 72.41 Morgan Stanley 61760T439 02/21/12 02/21/18 100.000 0.000 4.6585 0.152035 0.155576 0.159200 0.162908 0.166703 56.30 58.95 Morgan Stanley 61760T488 03/02/12 02/27/18 100.000 0.000 5.0972 0.168749 0.173050 0.177460 0.181983 0.186621 62.60 65.84 Morgan Stanley 61760T512 04/03/12 03/30/16 100.000 0.000 4.2972 0.138471 12.32 Morgan Stanley 61760T660 05/02/12 04/27/17 100.000 0.000 4.7658 0.156009 0.159727 0.163533 57.31 18.97 Morgan Stanley 61761H764 12/04/12 12/05/16 100.000 0.000 2.5669 0.076980 0.077968 25.89 Morgan Stanley 61761H806 12/04/12 07/03/18 100.000 0.000 2.8586 0.085443 0.086664 0.087903 0.089159 0.090434 31.42 32.32 Morgan Stanley 61761H822 01/03/13 02/27/17 100.000 0.000 2.2436 0.066121 0.066863 0.067613 24.12 3.79 Morgan Stanley 61761JAG4 12/27/12 12/27/19 100.000 0.000 3.0561 0.092980 0.094401 0.095843 0.097308 0.098795 33.74 34.78 Morgan Stanley 61761JAL3 12/27/12 12/27/32 100.000 VARIES 4.4695 0.114688 0.113819 0.112931 0.112567 0.112195 41.12 40.59 Morgan Stanley 61761JAM1 12/27/12 12/27/32 100.000 VARIES 4.4777 0.122149 0.122286 0.122427 0.122714 0.123008 44.00 44.13 Morgan Stanley 61761JAY5 01/31/13 07/31/20 100.000 0.000 3.2934 0.099268 0.100903 0.102564 0.104253 0.105970 36.53 37.74 Morgan Stanley 61761JB24 07/06/15 07/06/22 100.000 0.000 3.3973 0.094371 0.095974 0.097604 0.099262 0.100948 34.83 36.02 Morgan Stanley 61761JBB4 01/31/13 01/31/33 100.000 VARIES 4.4962 0.117122 0.116371 0.115603 0.114817 0.114537 41.80 41.31 Morgan Stanley 61761JBC2 01/31/13 01/31/33 100.000 VARIES 4.5027 0.122223 0.122327 0.122433 0.122541 0.122748 44.05 44.14 Morgan Stanley 61761JBJ7 01/14/13 01/14/28 100.000 VARIES 4.1941 0.109461 0.108592 0.108224 0.107848 0.107465 39.04 38.77 Morgan Stanley 61761JBK4 01/30/13 01/28/33 100.000 VARIES 4.6735 0.119394 0.118413 0.117410 0.116383 0.115966 42.50 41.86 Morgan Stanley 61761JBZ1 02/28/13 02/28/33 100.000 VARIES 4.3576 0.116564 0.115323 0.117261 0.115376 0.117555 42.52 42.49 Morgan Stanley 61761JCA5 02/28/13 02/28/33 100.000 VARIES 4.3507 0.110788 0.108770 0.109727 0.107088 0.108550 40.05 39.42 Morgan Stanley 61761JCB3 02/28/13 02/28/33 100.000 VARIES 4.3518 0.112237 0.110333 0.111452 0.108921 0.110468 40.63 40.09 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61761JCC1 02/28/13 08/28/20 100.000 0.000 2.9762 0.089010 0.090335 0.091679 0.093043 0.094428 32.61 33.59 Morgan Stanley 61761JCN7 02/21/13 02/18/33 100.000 VARIES 4.4837 0.117220 0.116465 0.115692 0.114902 0.114622 41.86 41.36 Morgan Stanley 61761JDB2 02/20/13 02/18/33 100.000 VARIES 4.5200 0.116754 0.116025 0.115279 0.114517 0.114220 41.70 41.22 Morgan Stanley 61761JEU9 04/30/13 04/29/33 100.000 VARIES 3.9393 0.102472 0.101812 0.101139 0.100454 0.100188 36.69 36.23 Morgan Stanley 61761JGF0 05/08/13 05/06/33 100.000 VARIES 3.9967 0.105668 0.105043 0.104405 0.103755 0.103478 37.86 37.42 Morgan Stanley 61761JGH6 05/30/13 05/31/33 100.000 VARIES 4.3438 0.112210 0.111596 0.111578 0.110327 0.110695 40.94 40.47 Morgan Stanley 61761JGS2 05/24/13 05/24/33 100.000 VARIES 4.1821 0.108552 0.107935 0.107305 0.106663 0.106440 38.92 38.48 Morgan Stanley 61761JHD4 06/28/13 06/28/33 100.000 VARIES 5.2916 0.137899 0.136961 0.135998 0.135010 0.134643 49.47 48.78 Morgan Stanley 61761JHJ1 06/28/13 06/28/21 100.000 0.000 4.0231 0.123456 0.125939 0.128473 0.131057 0.133693 44.91 46.73 Morgan Stanley 61761JJB6 06/18/13 06/18/32 100.000 VARIES 4.7372 0.125695 0.125057 0.124405 0.123737 0.123482 45.12 44.65 Morgan Stanley 61761JJF7 06/25/13 06/25/21 100.000 0.000 3.9339 0.120454 0.122824 0.125240 0.127703 0.130215 43.82 45.56 Morgan Stanley 61761JJP5 07/31/13 07/29/33 100.000 VARIES 4.8132 0.126816 0.126127 0.125421 0.124698 0.123958 45.32 44.80 Morgan Stanley 61761JJW0 07/31/13 01/29/21 100.000 0.000 3.5967 0.107283 0.109213 0.111177 0.113176 0.115211 39.56 41.00 Morgan Stanley 61761JJY6 07/15/13 07/15/33 99.000 VARIES 4.8838 0.129279 0.128776 0.128261 0.127733 0.127192 46.28 45.90 Morgan Stanley 61761JKJ7 08/30/13 02/26/21 100.000 0.000 3.7093 0.110852 0.112908 0.115002 0.117135 0.119308 40.80 42.32 Morgan Stanley 61761JKL2 08/30/13 08/30/33 100.000 VARIES 5.0532 0.131086 0.130374 0.130357 0.128896 0.128833 47.76 47.12 Morgan Stanley 61761JKY4 09/30/13 09/30/33 100.000 VARIES 4.8148 0.127018 0.126396 0.125759 0.125107 0.124439 45.50 45.04 Morgan Stanley 61761JLF4 09/30/13 09/30/20 100.000 0.000 3.4026 0.101116 0.102836 0.104586 0.106365 0.108175 37.03 38.30 Morgan Stanley 61761JLU1 09/30/13 09/30/33 100.000 VARIES 4.8741 0.130460 0.129966 0.129460 0.128942 0.128411 46.79 46.42 Morgan Stanley 61761JLY3 10/31/13 10/31/33 100.000 VARIES 4.7081 0.123744 0.122972 0.122181 0.121371 0.120543 44.31 43.74 Morgan Stanley 61761JMC0 10/31/13 10/29/21 100.000 0.000 3.4604 0.102940 0.104722 0.106533 0.108377 0.110252 37.60 38.91 Morgan Stanley 61761JMW6 11/29/13 03/29/22 100.000 0.000 3.7205 0.110579 0.112636 0.114732 0.116866 0.119040 40.56 42.08 Morgan Stanley 61761JMZ9 12/26/13 06/27/22 100.000 0.000 3.9456 0.118524 0.120862 0.123246 0.125678 0.128157 43.11 44.83 Morgan Stanley 61761JNF2 12/26/13 12/27/33 100.000 VARIES 4.7411 0.123492 0.122960 0.123088 0.121858 0.121954 45.10 44.70 Morgan Stanley 61761JQC6 04/30/14 10/30/20 100.000 0.000 3.2667 0.095261 0.096817 0.098399 0.100006 0.101639 34.77 35.91 Morgan Stanley 61761JQT9 05/30/14 11/30/20 100.000 0.000 3.1488 0.090171 0.091590 0.093543 0.094497 0.096512 33.37 34.41 Morgan Stanley 61761JRH4 06/30/14 06/30/21 100.000 0.000 3.0261 0.087932 0.089262 0.090613 0.091984 0.093376 31.90 32.87 Morgan Stanley 61761JUW7 11/25/14 11/25/20 100.000 0.000 3.1262 0.089576 0.090976 0.092398 0.093843 0.095309 32.60 33.63 Morgan Stanley 61761JVF3 12/31/14 12/31/20 100.000 0.000 3.0557 0.087494 0.088831 0.090188 0.091566 0.092965 31.74 32.72 Morgan Stanley 61761JVY2 01/30/15 01/29/21 100.000 0.000 2.7901 0.078579 0.079675 0.080787 0.081914 0.083057 28.82 29.63 Morgan Stanley 61761JWZ8 02/24/15 02/24/23 100.000 0.000 3.1503 0.088888 0.090289 0.091711 0.093155 0.094623 32.61 33.65 Morgan Stanley 61761JXP9 03/03/15 03/03/25 100.000 0.000 3.5983 0.101752 0.103583 0.105446 0.107344 0.109275 37.40 38.75 Morgan Stanley 61761JZB8 06/03/15 06/03/22 100.000 0.000 3.2132 0.090692 0.092149 0.093629 0.095133 0.096662 32.99 34.06 Morgan Stanley 61761M201 01/04/13 01/02/18 100.000 0.000 2.5385 0.075095 0.076048 0.077013 0.077991 0.078981 27.55 28.25 Morgan Stanley 61761S125 06/04/14 11/29/19 100.000 0.000 2.7571 0.079768 0.080868 0.081983 0.083113 0.084259 28.99 29.79 Morgan Stanley 61761S331 07/03/14 12/31/21 100.000 0.000 3.3219 0.096932 0.098542 0.100179 0.101843 0.103534 35.19 36.37 Morgan Stanley 61761S562 07/03/14 07/03/19 100.000 0.000 2.3357 0.066406 0.067182 0.067966 0.068760 0.069563 24.32 24.89 Morgan Stanley 61761S661 08/05/14 04/30/20 100.000 0.000 2.9148 0.083926 0.085149 0.086390 0.087649 0.088926 30.58 31.48 Morgan Stanley 61761S679 08/05/14 01/31/22 100.000 0.000 3.4469 0.096879 0.099632 0.100247 0.103665 0.103733 36.48 37.75 Morgan Stanley 61762E190 05/03/13 08/03/18 100.000 0.000 2.0678 0.060164 0.060786 0.061414 0.062049 0.062691 21.96 22.41 Morgan Stanley 61762E299 06/05/13 05/29/20 100.000 0.000 3.0961 0.092824 0.094261 0.095720 0.097202 0.098707 33.77 34.82 Morgan Stanley 61762GAG9 11/05/13 04/29/19 100.000 0.000 2.4701 0.072040 0.072929 0.073830 0.074742 0.075665 26.21 26.86 Morgan Stanley 61762GAM6 11/27/13 05/27/21 100.000 0.000 3.3897 0.100708 0.102415 0.104151 0.105916 0.107711 36.68 37.93 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61762GAN4 12/04/13 12/07/20 100.000 0.000 3.3435 0.099272 0.100931 0.102619 0.104334 0.106078 36.12 37.33 Morgan Stanley 61762GAS3 01/03/14 12/31/20 100.000 0.000 3.4767 0.103441 0.105239 0.107069 0.108930 0.110824 37.57 38.88 Morgan Stanley 61762GAT1 12/26/13 06/28/19 100.000 0.000 2.5339 0.074033 0.074971 0.075921 0.076883 0.077857 26.83 27.51 Morgan Stanley 61762GBE3 03/11/14 03/04/24 100.000 VARIES 3.8517 0.109420 0.109962 0.110197 0.110436 0.110445 39.58 39.74 Morgan Stanley 61762GBF0 03/31/14 03/29/29 100.000 VARIES 4.2965 0.123138 0.124458 0.125120 0.125796 0.126487 44.75 45.29 Morgan Stanley 61762GFA7 10/30/15 10/30/23 100.000 0.000 3.5008 0.097246 0.098948 0.100680 0.102443 0.104236 35.52 36.78 Morgan Stanley 61762P146 08/05/13 06/29/18 100.000 0.000 2.9164 0.086843 0.088110 0.089394 0.090698 0.092021 31.50 32.42 Morgan Stanley 61762P286 08/05/13 08/05/20 100.000 0.000 3.6083 0.107662 0.109605 0.111582 0.113595 0.115645 39.68 41.13 Morgan Stanley 61762P443 09/05/13 08/31/18 100.000 0.000 3.0417 0.088729 0.089100 0.091954 0.091831 0.094772 32.94 33.89 Morgan Stanley 61762P476 08/09/13 08/09/23 100.000 0.000 4.3446 0.131518 0.134375 0.137294 0.140277 0.143324 48.68 50.82 Morgan Stanley 61762P807 10/03/13 09/28/18 100.000 0.000 2.7818 0.081631 0.082767 0.083918 0.085085 0.086269 29.80 30.64 Morgan Stanley 61762W265 11/05/13 04/30/19 100.000 0.000 2.9687 0.087437 0.088735 0.090052 0.091389 0.092746 31.87 32.82 Morgan Stanley 61762W505 12/04/13 08/30/19 100.000 0.000 2.9200 0.083905 0.085130 0.086847 0.087634 0.089402 31.30 32.16 Morgan Stanley 61762W539 11/20/13 11/20/20 100.000 0.000 3.3853 0.100569 0.102271 0.104002 0.105763 0.107553 36.65 37.90 Morgan Stanley 61762W604 12/04/13 12/04/20 100.000 0.000 3.3450 0.099291 0.100952 0.102640 0.104357 0.106102 36.13 37.35 Morgan Stanley 61762W703 01/03/14 12/31/19 100.000 0.000 3.0245 0.089193 0.090542 0.091911 0.093301 0.094712 32.36 33.34 Morgan Stanley 61764C275 11/05/14 04/29/22 100.000 0.000 3.5062 0.100783 0.102550 0.104347 0.106177 0.108038 36.82 38.12 Morgan Stanley 61764C622 12/03/14 05/31/22 100.000 0.000 3.3216 0.093769 0.095326 0.097442 0.098519 0.100705 34.72 35.87 Morgan Stanley 61764V364 04/06/15 04/05/22 100.000 0.000 2.9611 0.083465 0.084701 0.085955 0.087228 0.088519 30.48 31.39 Morgan Stanley 61764V570 04/01/15 11/07/25 100.000 0.000 3.4094 0.096650 0.098298 0.099974 0.101678 0.103411 35.27 36.48 Morgan Stanley 61764V646 05/05/15 11/03/22 100.000 0.000 3.1619 0.089206 0.090616 0.092049 0.093504 0.094982 32.53 33.57 Morgan Stanley 61764V828 06/03/15 12/05/22 100.000 0.000 3.2130 0.090703 0.092160 0.093640 0.095145 0.096673 32.99 34.06 Morgan Stanley 61765G309 07/06/15 01/05/23 100.000 0.000 3.3973 0.094372 0.095966 0.097596 0.099254 0.100940 34.83 36.02 Morgan Stanley 61765G564 08/05/15 02/03/23 100.000 0.000 3.4449 0.095693 0.097323 0.098999 0.100704 0.102439 35.23 36.46 Morgan Stanley 61765G804 09/03/15 03/03/23 100.000 0.000 3.4968 0.097136 0.098834 0.100562 0.102320 0.104109 35.68 36.94 Morgan Stanley 61765R271 09/18/15 03/20/23 100.000 0.000 3.6136 0.100399 0.102213 0.104060 0.105940 0.107854 36.84 38.18 Morgan Stanley 61765R438 10/05/15 04/04/23 100.000 0.000 3.3206 0.092241 0.093764 0.095321 0.096903 0.098512 33.75 34.88 Morgan Stanley 61765R669 11/04/15 05/05/23 100.000 0.000 3.3209 0.091244 0.091751 0.094820 0.094823 0.097995 33.69 34.79 Morgan Stanley 61765U175 12/03/15 06/02/23 100.000 0.000 3.3915 0.094211 0.095799 0.097424 0.099076 0.100756 34.29 35.47 Morgan Stanley 61765U217 12/03/15 12/10/20 100.000 0.000 2.7610 0.076738 0.077797 0.078871 0.079960 0.081064 27.86 28.64 Morgan Stanley 61765U381 01/05/16 07/06/23 100.000 0.000 3.3684 0.093568 0.093578 0.095154 0.096757 0.098386 33.59 35.11 Morgan Stanley 61765U407 01/05/16 07/06/21 100.000 0.000 2.9923 0.083121 0.083128 0.084372 0.085635 0.086916 29.81 31.05 Morgan Stanley 61765U597 02/03/16 08/03/21 100.000 0.000 3.0505 0.084738 0.086030 0.087342 0.088675 27.99 31.60 Morgan Stanley 61765U787 03/03/16 09/02/21 100.000 0.000 3.1366 0.087130 0.088489 0.089876 0.091286 26.13 32.44 Morgan Stanley 61765U803 03/03/16 09/01/23 100.000 0.000 3.5888 0.099689 0.101458 0.103279 0.105132 29.92 37.29 Morgan Stanley 61766B135 04/05/16 10/04/23 100.000 0.000 3.0621 0.085060 0.086355 0.087677 0.089019 22.74 31.56 Morgan Stanley 61766B168 04/05/16 10/04/23 100.000 0.000 3.0621 0.085060 0.086355 0.087677 0.089019 22.74 31.56 Morgan Stanley 61766B176 04/05/16 10/05/21 100.000 0.000 2.6206 0.072796 0.073750 0.074716 0.075695 19.45 26.89 Morgan Stanley 61766B259 05/04/16 11/03/23 100.000 0.000 3.0362 0.084340 0.085613 0.086913 0.088232 20.06 31.21 Morgan Stanley 61766B309 05/04/16 11/03/21 100.000 0.000 2.5127 0.069799 0.070671 0.071559 0.072458 16.59 25.70 Morgan Stanley 61766B366 06/03/16 12/05/23 100.000 0.000 3.0194 0.083874 0.083888 0.085154 0.086440 0.087745 17.48 30.95 Morgan Stanley 61766B408 06/03/16 12/03/21 100.000 0.000 2.6239 0.072889 0.073845 0.074814 0.075796 15.19 26.81 Morgan Stanley 61766B564 07/06/16 01/03/24 100.000 0.000 2.7557 0.076549 0.077586 0.078655 13.40 28.12 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61766B598 07/06/16 01/04/22 100.000 0.000 2.5837 0.071772 0.072689 0.073628 12.56 26.33 Morgan Stanley 61766F250 11/03/16 05/03/24 100.000 0.000 2.9895 0.083044 0.084285 0.085545 4.82 30.26 Morgan Stanley 61766F466 12/05/16 06/05/24 100.000 0.000 3.5038 0.097330 0.099036 0.100771 2.53 35.44 Morgan Stanley 61766YAB7 05/25/16 05/25/26 100.000 VARIES 2.2927 0.010449 0.010021 0.009588 0.009150 2.24 3.50 Morgan Stanley 61766YAD3 05/25/16 05/25/23 100.000 VARIES 1.9635 0.008248 0.008059 0.007868 0.007675 1.77 2.85 Morgan Stanley 61766YAN1 09/30/16 09/30/26 100.000 VARIES 2.2434 0.009883 0.009486 0.009084 .90 3.41 Morgan Stanley 61767BAA8 02/22/16 02/23/26 100.000 VARIES 3.7844 0.105122 0.105124 0.105274 0.105426 0.105581 32.50 37.97 Morgan Stanley 61768CAV9 10/31/16 10/31/23 100.000 0.000 2.9262 0.081286 0.082475 0.083682 4.96 29.62 Morris CNTY Improv Auth 618027AU0 02/18/10 08/15/16 100.000 VARIES N/A 0.104696 0.104687 23.45 Morris CNTY Improv Auth 618027AV8 02/18/10 08/15/17 100.000 VARIES N/A 0.115238 0.115228 0.115218 0.115208 41.48 25.81 Morris CNTY Improv Auth 618027AW6 02/18/10 08/15/18 100.000 VARIES N/A 0.124508 0.124497 0.124486 0.124474 0.124462 44.82 44.81 Morris CNTY Improv Auth 618027AX4 02/18/10 08/15/19 100.000 VARIES N/A 0.127337 0.127327 0.127316 0.127306 0.127295 45.84 45.83 Morris CNTY Improv Auth 618027AY2 02/18/10 08/15/20 100.000 VARIES N/A 0.130149 0.130140 0.130130 0.130120 0.130110 46.85 46.84 Morris CNTY Improv Auth 618027AZ9 02/18/10 08/15/21 100.000 VARIES N/A 0.132951 0.132941 0.132932 0.132923 0.132613 47.86 47.81 Morris CNTY Improv Auth 618027BA3 02/18/10 08/15/22 100.000 VARIES N/A 0.135755 0.135746 0.135737 0.135728 0.135718 48.87 48.86 Morris CNTY Improv Auth 618027BB1 02/18/10 08/15/23 100.000 VARIES N/A 0.138559 0.138550 0.138542 0.138533 0.138524 49.88 49.87 Morris CNTY Improv Auth 618027BC9 02/18/10 08/15/24 100.000 VARIES N/A 0.141355 0.141347 0.141339 0.141330 0.141322 50.88 50.88 Morris CNTY Improv Auth 618027BD7 02/18/10 08/15/25 100.000 VARIES N/A 0.144150 0.144142 0.144134 0.144126 0.144118 51.89 51.88 Multnomah County, OR 625506HL7 12/08/99 06/01/16 28.606 0.000 7.7399 682.89 0.206989 31.05 Multnomah County, OR 625506HN3 12/08/99 06/01/20 21.112 0.000 7.7400 504.00 0.152767 0.158679 0.164820 0.171199 0.177824 56.42 60.87 Multnomah County, OR 625506HP8 12/08/99 06/01/21 19.568 0.000 7.7400 467.14 0.141596 0.147075 0.152767 0.158679 0.164820 52.30 56.42 Multnomah County, OR 625506HQ6 12/08/99 06/01/22 18.137 0.000 7.7400 432.98 0.131241 0.136320 0.141596 0.147075 0.152767 48.47 52.30 Multnomah County, OR 625506HR4 12/08/99 06/01/23 16.811 0.000 7.7399 401.32 0.121643 0.126350 0.131240 0.136319 0.141595 44.93 48.47 Multnomah County, OR 625506HS2 12/08/99 06/01/24 15.582 0.000 7.7399 371.97 0.112747 0.117110 0.121642 0.126350 0.131239 41.64 44.93 Multnomah County, OR 625506HT0 12/08/99 06/01/25 14.442 0.000 7.7400 344.77 0.104503 0.108547 0.112748 0.117111 0.121643 38.60 41.64 Multnomah County, OR 625506HU7 12/08/99 06/01/26 13.386 0.000 7.7400 319.56 0.096860 0.100609 0.104502 0.108547 0.112747 35.77 38.60 Multnomah County, OR 625506HV5 12/08/99 06/01/27 12.407 0.000 7.7400 296.19 0.089777 0.093252 0.096860 0.100609 0.104503 33.16 35.77 Multnomah County, OR 625506HW3 12/08/99 06/01/28 11.500 0.000 7.7399 274.53 0.083212 0.086432 0.089777 0.093251 0.096860 30.73 33.16 Multnomah County, OR 625506HX1 12/08/99 06/01/29 10.659 0.000 7.7399 254.45 0.077127 0.080111 0.083212 0.086432 0.089777 28.49 30.73 Multnomah County, OR 625506HY9 12/08/99 06/01/30 9.879 0.000 7.7401 235.84 0.071486 0.074253 0.077127 0.080112 0.083212 26.40 28.49 National Rural Utilities 637432KV6 02/06/08 12/15/23 87.915 0.000 0.8138 58.28 0.021184 0.021271 0.021357 0.021444 0.021531 7.64 7.71 National Rural Utilities 637432LE3 02/06/08 12/15/16 92.647 0.000 0.8640 65.33 0.023794 0.023897 8.20 National Rural Utilities 637432LF0 02/06/08 12/15/17 92.124 0.000 0.8338 62.62 0.022780 0.022875 0.022971 0.023066 8.22 7.92 National Rural Utilities 637432LG8 02/06/08 12/15/18 91.459 0.000 0.8238 61.40 0.022328 0.022420 0.022513 0.022606 0.022699 8.06 8.12 National Rural Utilities 637432LH6 02/06/08 12/15/19 90.603 0.000 0.8339 61.59 0.022406 0.022499 0.022593 0.022687 0.022782 8.09 8.15 National Rural Utilities 637432LJ2 02/06/08 12/15/20 90.083 0.000 0.8138 59.72 0.021708 0.021796 0.021885 0.021974 0.022063 7.83 7.90 National Rural Utilities 637432LK9 02/06/08 12/15/21 89.231 0.000 0.8238 59.90 0.021784 0.021873 0.021964 0.022054 0.022145 7.86 7.93 National Rural Utilities 637432LL7 02/06/08 12/15/22 88.108 0.000 0.8538 61.38 0.022346 0.022441 0.022537 0.022633 0.022730 8.06 8.13 Natixis US MTN LLC 63873HJP0 12/27/13 12/27/21 100.000 0.000 3.3519 0.099509 0.101177 0.102873 0.104597 0.106350 36.14 37.36 Natixis US MTN LLC 63873HJR6 09/09/14 09/09/24 100.000 VARIES 3.2415 0.088446 0.087178 0.085890 0.084956 0.084007 31.33 30.54 Natixis US MTN LLC 63873HJT2 12/27/13 12/27/33 100.000 VARIES 4.8025 0.118882 0.117266 0.115611 0.115645 0.115680 42.49 41.63 Natixis US MTN LLC 63873HJU9 04/30/14 04/30/34 100.000 VARIES 4.2419 0.107205 0.105788 0.104342 0.102864 0.102631 38.16 37.19 Natixis US MTN LLC 63873HKA1 07/31/13 07/31/28 100.000 VARIES 4.2606 0.104325 0.104027 0.103722 0.103411 0.103093 37.41 37.19 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Natixis US MTN LLC 63873HKC7 04/30/14 04/30/34 100.000 VARIES 4.2409 0.108160 0.106530 0.104864 0.103164 0.102935 38.44 37.33 Natixis US MTN LLC 63873HKX1 01/30/14 01/31/22 100.000 0.000 3.4392 0.098371 0.101162 0.101783 0.105250 0.105314 37.04 38.32 Natixis US MTN LLC 63873HLN2 08/29/13 08/29/33 100.000 VARIES 4.5781 0.112841 0.113247 0.111779 0.112612 0.112219 41.24 41.01 Natixis US MTN LLC 63873HLS1 09/30/13 09/30/28 100.000 VARIES 4.4223 0.113549 0.112327 0.111078 0.111107 0.111137 40.43 40.00 Natixis US MTN LLC 63873HLU6 07/31/14 07/31/34 100.000 VARIES 3.9932 0.104194 0.103902 0.103604 0.103300 0.102990 37.37 37.15 Natixis US MTN LLC 63873HLX0 02/28/14 02/28/29 100.000 VARIES 4.1176 0.105144 0.102732 0.103118 0.100115 0.101726 37.79 36.91 Natixis US MTN LLC 63873HME1 10/31/13 10/31/33 100.000 VARIES 4.5707 0.114343 0.111587 0.108767 0.108048 0.107313 40.33 38.94 Natixis US MTN LLC 63873HMF8 03/31/14 03/31/34 100.000 VARIES 4.1471 0.106407 0.104388 0.102326 0.100222 0.099771 37.57 36.23 Natixis US MTN LLC 63873HMU5 08/29/14 08/29/29* 100.000 VARIES 3.5626 0.094724 0.094681 22.82* Natixis US MTN LLC 63873HMW1 11/27/13 11/27/33 100.000 VARIES 4.5648 0.115758 0.113652 0.111498 0.111262 0.111020 41.15 40.08 NJ Econ Dev Auth 64578JAB2 12/22/05 07/01/16 56.811 0.000 5.4449 405.39 0.147241 26.50 NJ Econ Dev Auth 64578JAC0 12/22/05 07/01/17 53.569 0.000 5.4898 386.28 0.140598 0.144458 0.148423 51.31 26.72 NJ Econ Dev Auth 64578JAD8 12/22/05 07/01/18 50.436 0.000 5.5399 367.94 0.134238 0.137956 0.141777 0.145705 48.99 51.75 NJ Econ Dev Auth 64578JAE6 12/22/05 07/01/19 47.535 0.000 5.5748 349.58 0.127748 0.131308 0.134969 0.138731 46.63 49.27 NJ Econ Dev Auth 64578JAG1 09/07/07 07/01/16 59.024 0.000 6.0689 380.31 0.163617 29.45 NJ Econ Dev Auth 64578JAH9 09/07/07 07/01/17 55.019 0.000 6.1789 362.57 0.156664 0.161504 0.166493 57.27 29.97 NJ Econ Dev Auth 64578JAJ5 09/07/07 07/01/18 51.284 0.000 6.2689 344.16 0.149236 0.153913 0.158738 0.163713 54.57 58.04 NJ Econ Dev Auth 64578JAK2 09/07/07 07/01/19 47.828 0.000 6.3391 325.50 0.141535 0.146021 0.150650 0.155425 51.76 55.09 NJ Econ Dev Auth 64578JAL0 09/07/07 07/01/20 44.269 0.000 6.4592 308.52 0.134784 0.139137 0.143631 0.148269 49.31 52.54 NJ Econ Dev Auth 64578JAM8 09/07/07 07/01/21 41.265 0.000 6.5092 290.41 0.127123 0.131260 0.135532 0.139943 46.51 49.59 NJ Econ Dev Auth 64578JAN6 09/07/07 07/01/22 38.760 0.000 6.4992 272.25 0.119128 0.122999 0.126996 0.131123 43.58 46.46 NJ Econ Dev Auth 64578JAP1 09/07/07 07/01/23 36.303 0.000 6.5092 255.49 0.111837 0.115477 0.119235 0.123116 40.92 43.62 NJ Econ Dev Auth 645913AU8 06/30/97 02/15/16 25.082 0.000 7.5644 740.27 0.202466 8.91 NJ Econ Dev Auth 645913AV6 06/30/97 02/15/17 23.177 0.000 7.5895 688.15 0.188532 0.195686 0.203112 71.14 8.94 NJ Econ Dev Auth 645913AW4 06/30/97 02/15/18 21.450 0.000 7.6043 639.13 0.175278 0.181942 0.188860 0.196041 0.203494 66.15 71.27 NJ Econ Dev Auth 645913AX2 06/30/97 02/15/19 19.886 0.000 7.6095 593.25 0.162754 0.168947 0.175375 0.182047 0.188974 61.42 66.19 NJ Econ Dev Auth 645913AY0 06/30/97 02/15/20 18.435 0.000 7.6144 550.62 0.151108 0.156861 0.162833 0.169033 0.175468 57.03 61.45 NJ Econ Dev Auth 645913AZ7 06/30/97 02/15/21 17.088 0.000 7.6194 511.00 0.140283 0.145627 0.151175 0.156934 0.162913 52.95 57.06 NJ Econ Dev Auth 645913BA1 06/30/97 02/15/22 15.838 0.000 7.6244 474.18 0.130220 0.135184 0.140337 0.145687 0.151241 49.15 52.97 NJ Econ Dev Auth 645913BB9 06/30/97 02/15/23 14.678 0.000 7.6294 439.97 0.120867 0.125478 0.130264 0.135233 0.140392 45.62 49.17 NJ Econ Dev Auth 645913BC7 06/30/97 02/15/24 13.601 0.000 7.6346 408.19 0.112176 0.116458 0.120904 0.125519 0.130311 42.34 45.64 NJ Econ Dev Auth 645913BD5 06/30/97 02/15/25 12.602 0.000 7.6397 378.67 0.104099 0.108076 0.112204 0.116490 0.120940 39.29 42.35 NJ Econ Dev Auth 645913BE3 06/30/97 02/15/26 11.676 0.000 7.6446 351.25 0.096594 0.100286 0.104119 0.108099 0.112231 36.46 39.30 NY State Dorm Auth 649902ZR7 10/20/09 09/15/25 86.380 5.800 7.2575 35.93 0.019847 0.020568 0.021314 0.022087 0.022889 7.43 7.98 Newark, NJ 6503667S0 04/10/03 04/01/22 30.037 0.000 6.4399 372.62 0.118481 0.122297 0.126234 0.130299 0.134495 44.04 46.92 Newark, NJ 6503667T8 04/10/03 04/01/23 28.029 0.000 6.4699 350.04 0.111480 0.115086 0.118809 0.122652 0.126620 41.44 44.17 Newark, NJ 6503667U5 04/10/03 04/01/24 26.193 0.000 6.4899 328.57 0.104753 0.108153 0.111662 0.115286 0.119027 38.94 41.51 Newark, NJ 6503667V3 04/10/03 04/01/25 24.468 0.000 6.5099 308.29 0.098394 0.101596 0.104903 0.108318 0.111844 36.58 39.00 Newark, NJ 6503667W1 04/10/03 04/01/26 22.848 0.000 6.5299 289.15 0.092383 0.095400 0.098514 0.101731 0.105052 34.35 36.63 Newark, NJ 6503667X9 04/10/03 04/01/27 21.327 0.000 6.5498 271.09 0.086706 0.089545 0.092478 0.095506 0.098634 32.24 34.39 Newark, NJ 6503667Y7 04/10/03 04/01/28 19.947 0.000 6.5600 254.11 0.081320 0.083987 0.086742 0.089587 0.092525 30.24 32.26 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Newark, NJ 6503667Z4 04/10/03 04/01/29 18.653 0.000 6.5700 238.15 0.076253 0.078758 0.081345 0.084017 0.086777 28.36 30.25 Newark, NJ 6503668A8 04/10/03 04/01/30 17.440 0.000 6.5799 223.15 0.071488 0.073840 0.076269 0.078779 0.081370 26.59 28.37 Newark, NJ 6503668B6 04/10/03 04/01/31 16.302 0.000 6.5900 209.06 0.067008 0.069216 0.071496 0.073852 0.076286 24.92 26.59 Newark, NJ 6503668C4 04/10/03 04/01/32 15.279 0.000 6.5899 195.93 0.062801 0.064870 0.067008 0.069216 0.071496 23.36 24.92 Newark, NJ 6503668D2 04/10/03 04/01/33 14.320 0.000 6.5899 183.63 0.058858 0.060798 0.062801 0.064870 0.067008 21.89 23.36 Newark, NJ 650367KA2 01/29/13 07/15/16 99.221 2.000 2.2351 6.54 0.006388 0.006459 1.25 Newark, NJ 650367KB0 01/29/13 07/15/17 97.756 2.000 2.5351 14.41 0.014135 0.014314 0.014495 0.014679 5.18 2.85 Newark, NJ 650367KC8 01/29/13 07/15/18 97.007 2.340 2.9371 15.42 0.015199 0.015422 0.015648 0.015878 0.016111 5.59 5.75 Newark, NJ 650367KH7 01/29/13 04/01/17 97.893 2.000 2.5352 14.53 0.014318 0.014499 0.014683 5.22 1.32 Newark, NJ 650367KJ3 01/29/13 04/01/18 97.000 2.308 2.9373 16.40 0.016253 0.016491 0.016734 0.016979 0.017229 5.94 6.11 Newark, NJ 650367KK0 01/29/13 04/01/19 97.003 2.698 3.2375 13.46 0.013393 0.013610 0.013831 0.014054 0.014282 4.90 5.06 Newark, NJ 650367KL8 01/29/13 04/01/20 97.004 3.057 3.5334 11.31 0.011306 0.011505 0.011709 0.011916 0.012126 4.14 4.29 Newark, NJ 650367KM6 01/29/13 04/01/21 97.005 3.305 3.7335 9.69 0.009713 0.009895 0.010079 0.010267 0.010459 3.56 3.70 Nextera Energy, Inc. 65339KAB6 05/04/12 06/01/17 95.000 VARIES 2.3952 0.064940 0.065465 0.065996 23.50 9.90 Nomura America Finance 655365AA2 12/31/13 12/31/33 100.000 VARIES 4.5378 0.111807 0.108659 0.105440 0.102148 0.098782 39.68 37.36 Nomura America Finance 65539AAG5 11/24/10 11/24/25 100.000 VARIES 5.5491 0.122490 0.121873 0.121238 0.121732 0.122240 43.94 43.77 Nomura America Finance 65539AAL4 12/22/10 12/22/25 100.000 VARIES 5.9586 0.130594 0.130518 0.130438 0.130357 0.130273 47.00 46.94 Nomura America Finance 65539AAX8 06/29/11 06/29/21 100.000 VARIES 2.3554 0.014877 0.015052 0.015230 0.015409 0.015590 5.39 5.52 Nomura America Finance 65539ABB5 02/28/14 02/28/34 100.000 VARIES 4.5091 0.113444 0.108614 0.107371 0.102559 0.101076 39.88 37.53 Nomura America Finance 65539ABC3 05/30/14 05/30/34 100.000 VARIES 3.7542 0.095968 0.093090 0.092482 0.091863 0.091232 33.92 33.14 Nomura America Finance 65539ABE9 07/29/14 07/29/34 100.000 VARIES 4.2953 0.109843 0.104954 0.099959 0.095717 0.091383 37.16 33.92 Nomura America Finance 65539ABL3 12/24/14 12/24/34 100.000 VARIES 2.8014 0.074074 0.072162 0.070223 0.070468 0.070716 26.30 25.33 Nomura America Finance 65539ABR0 02/19/15 02/19/20 110.000 0.125 2.3793 0.073525 0.074359 0.075202 0.076055 0.076919 26.84 27.45 Nomura America Finance 65539ABS8 02/25/15 02/25/20 100.000 VARIES 1.9119 0.011553 0.011664 0.011775 0.011888 0.011816 4.21 4.26 Nomura America Finance 65539ABW9 05/22/15 11/22/16 100.000 1.720 1.1791 0.032667 0.032578 10.47 Nomura America Finance 65539ABY5 06/30/15 06/30/22 105.000 0.000 3.4999 0.103869 0.105687 0.107536 0.109418 0.111333 37.72 39.06 Nomura America Finance 65539ACG3 01/22/16 01/22/23 103.000 0.125 3.0300 0.086692 0.087953 0.089232 0.090532 29.59 32.30 Novellus Systems, Inc. 670008AC5 05/10/11 05/15/41 100.000 VARIES 8.1004 0.290586 0.299402 0.308575 0.318120 0.328051 107.03 113.70 Novellus Systems, Inc. 670008AD3 05/10/11 05/15/41 100.000 VARIES 8.1004 0.290586 0.299402 0.308575 0.318120 0.328051 107.03 113.70 Nuverra Environmental 67091KAA2 04/15/16 04/15/21 36.385 VARIES N/A 0.370188 0.437983 0.491168 0.553418 99.92 176.02 Orange County, CA 68428LBB9 06/12/96 09/01/16 19.464 0.000 8.2591 753.01 0.211586 0.220323 52.35 Orange County, CA 68428LBY9 01/17/97 09/01/16 22.492 0.000 7.7493 725.81 0.199500 0.207230 49.27 Orange County, CA 68428LBZ6 01/17/97 09/01/17 20.762 0.000 7.7695 673.22 0.185304 0.192503 0.199981 0.207750 69.77 49.39 Orange County, CA 68428LCA0 01/17/97 09/01/18 19.198 0.000 7.7795 624.00 0.171877 0.178562 0.185508 0.192724 0.200220 64.71 69.85 Orange County, CA 68428LCB8 01/17/97 09/01/19 17.826 0.000 7.7696 578.03 0.159104 0.165285 0.171706 0.178376 0.185306 59.90 64.65 Orange County, CA 68428LCC6 01/17/97 09/01/20 16.480 0.000 7.7796 535.67 0.147546 0.153285 0.159248 0.165442 0.171878 55.55 59.96 Orange County, CA 68428LCD4 01/17/97 09/01/21 15.306 0.000 7.7694 496.30 0.136605 0.141912 0.147425 0.153152 0.159102 51.43 55.51 Oregon Community College 68583RAN2 04/23/03 06/30/16 47.583 0.000 5.7117 496.56 0.154254 27.61 Oregon Community College 68583RAP7 04/23/03 06/30/17 44.239 0.000 5.8317 475.15 0.148610 0.152944 0.157403 54.29 28.18 Oregon Community College 68583RAQ5 04/23/03 06/30/18 40.975 0.000 5.9616 453.81 0.142982 0.147244 0.151633 0.156153 0.160807 52.25 55.41 Oregon Community College 68583RAR3 04/23/03 06/30/19 37.976 0.000 6.0714 431.50 0.136797 0.140949 0.145228 0.149637 0.154179 50.00 53.08 Oregon Community College 68583RAS1 04/23/03 06/30/20 35.297 0.000 6.1514 408.52 0.130097 0.134099 0.138223 0.142475 0.146857 47.56 50.53 Oregon Community College 68583RAT9 04/23/03 06/30/21 32.815 0.000 6.2213 385.91 0.123379 0.127217 0.131174 0.135254 0.139462 45.11 47.97 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Oregon Community College 68583RAU6 04/23/03 06/30/22 30.636 0.000 6.2613 363.58 0.116499 0.120146 0.123908 0.127787 0.131787 42.60 45.31 Oregon Community College 68583RAV4 04/23/03 06/30/23 28.748 0.000 6.2713 341.94 0.109628 0.113066 0.116611 0.120268 0.124039 40.09 42.65 Oregon Sch Brds Assoc 686053AP4 10/31/02 06/30/16 46.574 0.000 5.6694 506.85 0.153143 27.41 Oregon Sch Brds Assoc 686053AQ2 10/31/02 06/30/17 43.110 0.000 5.8193 486.60 0.148321 0.152637 0.157078 54.18 28.12 Oregon Sch Brds Assoc 686053AR0 10/31/02 06/30/18 40.030 0.000 5.9294 463.93 0.142322 0.146541 0.150886 0.155359 0.159965 52.00 55.13 Oregon Sch Brds Assoc 686053AS8 10/31/02 06/30/19 37.212 0.000 6.0194 440.57 0.135865 0.139954 0.144166 0.148505 0.152975 49.66 52.69 Oregon Sch Brds Assoc 686053AT6 10/31/02 06/30/20 34.591 0.000 6.0995 417.31 0.129291 0.133235 0.137298 0.141485 0.145800 47.26 50.19 Oregon Sch Brds Assoc 686053CF4 04/21/03 06/30/16 47.583 0.000 5.7092 496.57 0.154190 27.60 Oregon Sch Brds Assoc 686053CG2 04/21/03 06/30/17 44.239 0.000 5.8294 475.18 0.148556 0.152886 0.157342 54.27 28.16 Oregon Sch Brds Assoc 686053CH0 04/21/03 06/30/18 40.975 0.000 5.9593 453.85 0.142936 0.147195 0.151581 0.156098 0.160749 52.23 55.39 Oregon Sch Brds Assoc 686053CJ6 04/21/03 06/30/19 37.976 0.000 6.0693 431.55 0.136759 0.140909 0.145185 0.149591 0.154130 49.99 53.07 Oregon Sch Brds Assoc 686053CK3 04/21/03 06/30/20 35.297 0.000 6.1494 408.59 0.130066 0.134065 0.138187 0.142436 0.146816 47.55 50.52 Oregon Sch Brds Assoc 686053CL1 04/21/03 06/30/21 32.815 0.000 6.2193 385.99 0.123353 0.127189 0.131144 0.135222 0.139427 45.11 47.95 Oregon Sch Brds Assoc 686053CM9 04/21/03 06/30/22 30.636 0.000 6.2594 363.66 0.116478 0.120124 0.123883 0.127760 0.131759 42.60 45.30 Oregon Sch Brds Assoc 686053CN7 04/21/03 06/30/23 28.748 0.000 6.2695 342.02 0.109612 0.113048 0.116591 0.120246 0.124016 40.09 42.64 Paterson, NJ 7031302B9 04/11/03 04/01/16 47.811 0.000 5.7699 507.87 0.155781 14.02 Paterson, NJ 7031302C7 04/11/03 04/01/17 44.317 0.000 5.9099 486.71 0.150430 0.154876 0.159452 55.77 14.35 Paterson, NJ 7031303Z5 03/30/12 03/15/18 98.496 3.625 3.9103 9.07 0.007196 0.007337 0.007480 0.007627 0.007776 2.65 2.75 Peoria CNTYS SD #327, IL 712746DS2 05/05/15 12/01/16 100.776 0.000 1.1894 0.033522 0.033722 11.10 Peoria CNTYS SD #327, IL 712746DT0 05/05/15 12/01/17 101.129 VARIES 1.5403 0.043653 0.043989 0.042983 0.042886 15.76 14.17 Peoria CNTYS SD #327, IL 712746DU7 05/05/15 12/01/18 100.343 VARIES 1.8910 0.053281 0.053784 0.052641 0.052614 0.052586 19.25 18.94 Peoria CNTYS SD #322, IL 712762CN1 05/14/15 12/01/19 100.000 VARIES 1.9926 0.055955 0.056513 0.055363 0.055361 0.055359 20.23 19.93 Peoria CNTYS SD #322, IL 712762CP6 05/14/15 12/01/20 100.000 VARIES 2.2422 0.063050 0.063757 0.062303 0.062301 0.062299 22.80 22.43 Peoria CNTY SD #325, IL 713165FF0 09/04/13 12/01/16 109.532 VARIES 2.1847 0.062518 0.061608 20.47 Peoria CNTY SD #325, IL 713165FG8 09/04/13 12/01/17 110.617 VARIES 2.5859 0.075537 0.074629 0.073708 0.072775 26.97 24.16 Peoria CNTY SD #325, IL 713165FH6 09/04/13 12/01/18 111.133 VARIES 2.9367 0.086958 0.086094 0.085217 0.084326 0.083423 31.10 30.46 Peoria CNTY SD #325, IL 713165FJ2 09/04/13 12/01/19 110.068 VARIES 3.4365 0.101877 0.101122 0.100354 0.099572 0.098777 36.49 35.94 Peoria CNTY SD #325, IL 713165FK9 09/04/13 12/01/20 108.812 VARIES 3.8364 0.113363 0.112740 0.112105 0.111458 0.110799 40.66 40.20 Peoria CNTY SD #325, IL 713165FL7 09/04/13 12/01/21 107.288 VARIES 4.1864 0.122794 0.122311 0.121819 0.121316 0.120803 44.09 43.73 Peoria County, IL 713168AX0 10/05/11 12/01/16 105.823 VARIES 3.9840 0.112029 0.111356 36.85 Peoria County, IL 713168AY8 10/05/11 12/01/17 106.762 VARIES 4.2347 0.120458 0.119774 0.119075 0.118362 43.20 39.17 Peoria County, IL 713168AZ5 10/05/11 12/01/18 106.114 VARIES 4.4856 0.128112 0.127558 0.126993 0.126414 0.125823 45.99 45.58 Peoria County, IL 713168BA9 10/05/11 12/01/19 106.753 VARIES 4.7356 0.136356 0.135803 0.135237 0.134657 0.134064 48.96 48.55 Peoria County, IL 713168BB7 10/05/11 12/01/20 105.512 VARIES 4.9860 0.143132 0.142719 0.142295 0.141860 0.141415 51.43 51.12 Philadelphia Authority 71781LAP4 02/03/99 04/15/24 19.046 0.000 6.6895 389.22 0.106216 0.109768 0.113440 0.117234 0.121155 39.43 42.11 Philadelphia Authority 71781LAU3 02/03/99 04/15/16 32.784 0.000 6.5893 653.73 0.177200 18.43 Philadelphia Authority 71781LAV1 02/03/99 04/15/17 30.618 0.000 6.6093 613.54 0.166532 0.172035 0.177720 61.79 18.48 Philadelphia Authority 71781LAW9 02/03/99 04/15/18 28.637 0.000 6.6193 575.26 0.156246 0.161418 0.166760 0.172279 0.177981 57.98 61.88 Philadelphia Authority 71781LAX7 02/03/99 04/15/19 26.727 0.000 6.6393 539.53 0.146738 0.151609 0.156642 0.161842 0.167214 54.46 58.13 Philadelphia Authority 71781LAY5 02/03/99 04/15/20 24.985 0.000 6.6494 505.62 0.137609 0.142184 0.146911 0.151796 0.156843 51.07 54.52 Philadelphia Authority 71781LAZ2 02/03/99 04/15/21 23.403 0.000 6.6494 473.60 0.128895 0.133181 0.137609 0.142184 0.146911 47.84 51.07 Philadelphia Authority 71781LBA6 02/03/99 04/15/22 21.872 0.000 6.6594 443.70 0.120839 0.124863 0.129020 0.133317 0.137756 44.85 47.88 Philadelphia Authority 71781LBB4 02/03/99 04/15/23 20.437 0.000 6.6695 415.61 0.113265 0.117042 0.120945 0.124978 0.129146 42.04 44.89 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Philadelphia Authority 71781LBC2 02/03/99 04/15/25 17.878 0.000 6.6796 364.47 0.099395 0.102714 0.106145 0.109690 0.113353 36.89 39.40 Philadelphia Authority 71781LBD0 02/03/99 04/15/26 16.697 0.000 6.6896 341.22 0.093119 0.096233 0.099452 0.102779 0.106216 34.56 36.92 Piatt & Champa CNTYS, IL 719457BT9 02/25/16 12/01/17 101.730 2.750 1.7515 0.049496 0.049370 0.049133 0.048895 15.11 16.17 Piatt & Champa CNTYS, IL 719457BU6 02/25/16 12/01/18 102.007 2.750 2.0008 0.056695 0.056590 0.056392 0.056192 0.055990 17.32 20.25 Piatt & Champa CNTYS, IL 719457BV4 02/25/16 12/01/19 102.692 3.000 2.2507 0.064203 0.064088 0.063871 0.063652 0.063431 19.62 22.94 Piatt & Champa CNTYS, IL 719457BW2 02/25/16 12/01/20 102.231 3.000 2.5006 0.071013 0.070931 0.070775 0.070618 0.070460 21.71 25.44 Piatt & Champa CNTYS, IL 719457BX0 02/25/16 12/01/21 102.646 3.250 2.7507 0.078431 0.078344 0.078180 0.078014 0.077845 23.98 28.10 Pike & Calhoun CNTYS, IL 721068BF0 08/08/13 12/01/23 111.543 VARIES 4.2340 0.128317 0.127652 0.126973 0.126280 0.125572 46.03 45.54 Pike & Calhoun CNTYS, IL 721068BG8 08/08/13 12/01/24 110.329 VARIES 4.3835 0.131703 0.131089 0.130461 0.129820 0.129164 47.27 46.81 Pike & Calhoun CNTYS, IL 721068BH6 08/08/13 12/01/25 109.132 VARIES 4.5327 0.135015 0.134455 0.133883 0.133297 0.132698 48.47 48.06 Pike & Calhoun CNTYS, IL 721068BJ2 08/08/13 12/01/26 108.343 VARIES 4.6321 0.137187 0.136665 0.136131 0.135585 0.135026 49.26 48.88 Pike & Calhoun CNTYS, IL 721068BK9 08/08/13 12/01/27 106.399 VARIES 4.8808 0.142497 0.142076 0.141646 0.141204 0.140752 51.20 50.89 Pike & Calhoun CNTYS, IL 721068BL7 08/08/13 12/01/28 106.016 VARIES 4.9305 0.143536 0.143137 0.142728 0.142309 0.141879 51.58 51.28 Pike & Calhoun CNTYS, IL 721068BM5 08/08/13 12/01/29 104.498 VARIES 5.1294 0.147630 0.147320 0.147002 0.146676 0.146341 53.07 52.84 Playboy Enterprises,Inc. 728117AA0 03/15/05 03/15/25 100.000 VARIES 7.7502 0.373571 0.384410 0.395608 0.407240 0.419323 138.77 147.03 Playboy Enterprises,Inc. 728117AB8 03/15/05 03/15/25 100.000 VARIES 7.7502 0.373571 0.384410 0.395608 0.407240 0.419323 138.77 147.03 Presidio ISD 741020EA5 05/14/98 02/15/16 28.486 0.000 7.1992 706.65 0.193031 8.49 Presidio ISD 741020EB3 05/14/98 02/15/17 26.541 0.000 7.1992 658.39 0.179849 0.186323 0.193030 67.70 8.49 Presidio ISD 741020EC1 05/14/98 02/15/18 24.728 0.000 7.1993 613.44 0.167571 0.173603 0.179852 0.186327 0.193034 63.08 67.70 Presidio ISD 741020ED9 05/14/98 02/15/19 22.810 0.000 7.2493 572.64 0.156947 0.162636 0.168531 0.174639 0.180970 59.10 63.46 Presidio ISD 741020EE7 05/14/98 02/15/20 21.242 0.000 7.2493 533.28 0.146160 0.151458 0.156948 0.162636 0.168532 55.04 59.10 Presidio ISD 741020EF4 05/14/98 02/15/21 19.782 0.000 7.2493 496.63 0.136114 0.141047 0.146160 0.151458 0.156947 51.26 55.04 Presidio ISD 741020EG2 05/14/98 02/15/22 18.422 0.000 7.2494 462.49 0.126759 0.131353 0.136114 0.141048 0.146161 47.73 51.26 Pride International Inc. 741932AE7 01/16/01 01/16/21 60.841 0.000 2.5000 273.86 0.060575 0.061333 0.062099 0.062876 0.063662 22.19 22.75 Providian Financial Corp 74406AAD4 03/19/04 03/15/16 100.000 VARIES 9.4998 0.619486 45.84 Quicksilver Resources 74837RAA2 11/01/04 11/01/24 98.500 VARIES 6.7504 0.325271 0.334123 0.343273 0.352732 0.362469 119.77 126.43 Quicksilver Resources 74837RAB0 11/01/04 11/01/24 98.500 VARIES 6.7504 0.325271 0.334123 0.343273 0.352732 0.362469 119.77 126.43 Randolph & Perry CNTYS 752368AW0 05/16/13 12/01/16 106.110 VARIES 1.9823 0.056025 0.055548 18.40 Randolph & Perry CNTYS 752368AX8 05/16/13 12/01/17 106.596 VARIES 2.2344 0.063899 0.063449 0.062994 0.062534 22.90 20.71 Randolph & Perry CNTYS 752368AY6 05/16/13 12/01/18 106.586 VARIES 2.4855 0.071551 0.071145 0.070735 0.070320 0.069899 25.66 25.36 Randolph & Perry CNTYS 752368AZ3 05/16/13 12/01/19 107.293 VARIES 2.7850 0.080896 0.080476 0.080049 0.079616 0.079178 29.02 28.71 Randolph & Perry CNTYS 752368BA7 05/16/13 12/01/20 107.856 VARIES 3.0845 0.090275 0.089847 0.089412 0.088970 0.088521 32.40 32.08 Randolph & Perry CNTYS 752368BB5 05/16/13 12/01/21 108.667 VARIES 3.3340 0.098440 0.097997 0.097547 0.097089 0.096624 35.33 35.01 Randolph & Perry CNTYS 752368BC3 05/16/13 12/01/22 107.818 VARIES 3.5343 0.104011 0.103640 0.103262 0.102878 0.102487 37.35 37.08 Randolph County, IL 752535DK7 01/30/13 12/01/17 89.744 0.000 2.2497 60.59 0.059760 0.060432 0.061112 0.061799 21.68 20.29 Randolph County, IL 752535DL5 01/30/13 12/01/18 85.511 0.000 2.6997 69.67 0.069196 0.070130 0.071076 0.072036 0.073008 25.13 25.82 Randolph County, IL 752535DM3 01/30/13 12/01/19 81.034 0.000 3.0997 76.17 0.076135 0.077315 0.078514 0.079730 0.080966 27.69 28.56 Randolph County, IL 752535DN1 01/30/13 12/01/20 76.487 0.000 3.4496 80.36 0.080762 0.082155 0.083572 0.085014 0.086480 29.41 30.43 Randolph County, IL 752535DP6 01/30/13 12/01/21 72.328 0.000 3.6996 81.75 0.082478 0.084004 0.085558 0.087140 0.088752 30.06 31.18 Randolph County, IL 752535DQ4 01/30/13 12/01/22 68.391 0.000 3.8997 81.68 0.082664 0.084276 0.085919 0.087595 0.089302 30.15 31.33 Readers Digest Assn,Inc. 755267AJ0 02/11/10 02/15/17 97.340 9.500 10.0374 21.04 0.012890 0.013537 0.014217 4.94 .63 Regal Beloit Corporation 758750AA1 04/05/04 03/15/24 100.000 VARIES 8.7503 0.513517 0.531997 0.551286 0.571419 0.592432 192.20 206.45 Regal Beloit Corporation 758750AB9 04/05/04 03/15/24 100.000 VARIES 8.7503 0.513517 0.531997 0.551286 0.571419 0.592432 192.20 206.45 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Reliant Energy, Inc. 75952J207 09/21/99 09/15/29 100.000 2.000 9.8183 1.060558 1.109895 1.161654 1.215955 1.272921 401.40 439.76 City of Reno, NV 759830AQ5 09/22/16 06/01/20 99.117 2.000 2.2505 0.006407 0.006436 0.006508 0.006581 .64 2.33 City of Reno, NV 759830AR3 09/22/16 06/01/21 98.102 2.000 2.4304 0.010674 0.010725 0.010855 0.010987 1.06 3.89 City of Reno, NV 759830AS1 09/22/16 06/01/22 98.689 2.500 2.7503 0.005953 0.005985 0.006067 0.006151 .59 2.17 City of Reno, NV 759830AT9 09/22/16 06/01/25 97.746 3.000 3.3003 0.006277 0.006318 0.006422 0.006528 .62 2.30 Rock Island Counties, IL 772283CY1 10/02/15 12/01/16 102.590 0.000 1.2370 0.035324 0.035543 11.70 Rock Island Counties, IL 772283CZ8 10/02/15 12/01/17 104.132 VARIES 1.5410 0.043957 0.044296 0.043157 0.042516 16.13 14.30 Rock Island Counties, IL 772283DA2 10/02/15 12/01/18 105.489 VARIES 1.9914 0.057586 0.058160 0.056642 0.055859 0.055686 21.15 20.50 Rockford Park DS, IL 773182UG3 06/10/15 12/15/16 106.229 0.000 0.8299 0.024595 0.024697 8.48 Roper Industries, Inc. 776696AA4 12/29/03 01/15/34 39.502 1.482 7.0003 0.142143 0.146953 0.151931 0.157083 0.162385 53.66 57.36 Royal Bank of Canada 78008G5R9 08/12/09 08/12/16 100.000 VARIES 4.2505 0.120284 0.119189 26.39 Royal Bank of Canada 78008HUA6 01/28/10 01/28/20 100.000 VARIES 4.5517 0.136334 0.135331 0.134305 0.133255 0.132182 48.59 47.84 Royal Bank of Canada 78008HWF3 02/16/10 02/16/17 100.000 VARIES 3.8707 0.109678 0.108973 0.108254 39.16 4.87 Royal Bank of Canada 78008K3K7 04/20/11 04/20/16 100.000 0.000 2.7665 0.086961 9.48 Royal Bank of Canada 78008KN33 03/31/11 03/31/21 100.000 VARIES 4.1702 0.116737 0.116664 0.116589 0.116513 0.116435 42.00 41.94 Royal Bank of Canada 78008KYV9 01/27/11 01/27/31 100.000 VARIES 4.9792 0.133365 0.133473 0.133584 0.133697 0.133813 48.06 48.15 Royal Bank of Canada 78008SJY3 11/05/12 11/04/19 100.000 0.000 0.6002 0.016976 0.017027 0.017078 0.017129 0.017180 6.13 6.16 Royal Bank of Canada 78008SMC7 11/05/12 11/04/19 100.000 0.000 0.6002 0.016976 0.017027 0.017078 0.017129 0.017180 6.13 6.16 Royal Bank of Canada 78008SVM5 02/04/13 02/04/20 100.000 0.000 2.2564 0.066297 0.067045 0.067802 0.068567 0.069340 24.22 24.77 Royal Bank of Canada 78008TLZ5 08/18/11 08/18/31 100.000 VARIES 4.0299 0.107958 0.108048 0.108140 0.108234 0.108329 38.91 38.97 Royal Bank of Canada 78008TR89 02/17/12 02/17/33 100.000 3.570 3.5699 0.099167 0.099167 0.099167 0.099167 0.099167 35.70 35.70 Royal Bank of Scotland 78009KAB8 01/13/05 01/13/20 100.000 VARIES 4.7500 0.133066 0.133162 0.133261 0.133106 0.132948 47.95 47.89 Royal Bank of Scotland 78009KLF7 08/11/10 08/11/20 100.000 VARIES 4.9855 0.142035 0.142113 0.142193 0.141930 0.141659 51.17 51.07 Royal Bank of Scotland 78009KMB5 08/19/10 08/19/17 100.000 VARIES 2.6315 0.020868 0.021142 0.021421 0.021703 7.63 4.93 Royal Bank of Scotland 78009KME9 09/16/10 09/16/20 100.000 VARIES 3.6714 0.020806 0.021188 0.021577 0.021973 0.022376 7.64 7.92 Royal Bank of Scotland 78009KMF6 09/20/10 09/20/17 100.000 VARIES 2.5212 0.019319 0.019563 0.019810 0.020059 7.05 5.18 Royal Bank of Scotland 78009KMG4 09/30/10 09/28/18 100.000 VARIES 2.6902 0.017473 0.017708 0.018045 0.018188 0.018534 6.49 6.66 Royal Bank of Scotland 78009KNB4 10/27/10 10/27/17 100.000 VARIES 2.4218 0.023398 0.023681 0.023968 0.024258 8.51 7.15 Royal Bank of Scotland 78009KNQ1 11/16/10 11/16/30 100.000 VARIES 5.5208 0.147328 0.147460 0.147595 0.147734 0.147877 53.07 53.17 Royal Bank of Scotland 78009KNR9 11/16/10 11/16/20 100.000 VARIES 4.5134 0.128939 0.129341 0.129752 0.129546 0.129335 46.53 46.65 Royal Bank of Scotland 78009KPH9 12/13/10 12/13/28 100.000 VARIES 5.3208 0.137950 0.138217 0.138492 0.138774 0.139064 49.72 49.92 Royal Bank of Scotland 78009KPR7 12/30/10 12/30/30 100.000 VARIES 5.7103 0.151234 0.151393 0.151557 0.151725 0.151898 54.47 54.59 Royal Bank of Scotland 78009KQW5 02/25/11 02/25/31 100.000 VARIES 5.4493 0.142492 0.142678 0.142869 0.143065 0.143267 51.38 51.52 Royal Bank of Scotland 78009KRJ3 03/15/11 03/15/21 100.000 VARIES 5.5246 0.152969 0.153008 0.153048 0.153090 0.153132 55.08 55.11 Royal Bank of Scotland 78009KRL8 03/15/11 03/15/16 100.000 VARIES 4.1566 0.115487 8.55 Royal Bank of Scotland 78009KRY0 03/31/11 03/31/18 100.000 VARIES 4.3799 0.121323 0.121388 0.121455 0.121524 0.121594 43.70 43.75 Royal Bank of Scotland 78009PAF8 04/29/11 04/29/16 100.000 0.000 3.8637 0.127498 15.04 Royal Bank of Scotland 78009PAG6 05/16/11 08/16/16 100.000 0.000 3.5178 0.113334 0.115328 25.86 Royal Bank of Scotland 78009PAL5 05/31/11 11/30/16 100.000 0.000 3.6087 0.117746 0.119870 39.12 Royal Bank of Scotland 78009PAM3 05/25/11 05/25/21 100.000 VARIES 4.4728 0.125729 0.125805 0.125755 0.125705 0.125579 45.28 45.26 Royal Bank of Scotland 78009PAN1 06/15/11 12/15/16 100.000 0.000 3.5863 0.116901 0.118997 40.59 Royal Bank of Scotland 78009PAP6 06/14/11 06/14/21 100.000 VARIES 2.5504 0.014510 0.014695 0.014883 0.015072 0.015265 5.26 5.40 Royal Bank of Scotland 78009PAX9 07/29/11 07/29/16 100.000 0.000 3.8218 0.123519 0.125880 26.12 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Scotland 78009PBD2 07/21/11 07/21/21 100.000 VARIES 2.8321 0.019527 0.019804 0.020084 0.020368 0.020657 7.16 7.37 Royal Bank of Scotland 78009PBG5 08/31/11 02/28/17 100.000 0.000 4.0027 0.128857 0.130007 0.134807 48.11 7.82 Royal Bank of Scotland 78009PBK6 08/26/11 08/26/31 100.000 VARIES 4.7434 0.118883 0.119483 0.120098 0.121534 0.123004 43.06 43.86 Royal Bank of Scotland 78009PBM2 08/31/11 03/01/16 100.000 0.000 3.5003 0.111721 6.70 Royal Bank of Scotland 78009PBR1 09/30/11 03/30/17 100.000 0.000 3.8461 0.124425 0.126818 0.129256 45.66 11.50 Royal Bank of Scotland 78009PBV2 09/30/11 09/30/16 100.000 VARIES 2.7074 0.009125 0.009248 2.48 Royal Bank of Scotland 78009PCD1 12/06/11 06/07/17 100.000 0.000 5.2976 0.181415 0.186221 0.191153 66.41 29.82 Royal Bank of Scotland 78009PCG4 12/30/11 07/03/17 100.000 0.000 5.2550 0.175111 0.179712 0.184434 0.189281 65.53 34.44 Royal Bank of Canada 78009Q489 09/26/13 09/26/22 100.000 0.000 3.5770 0.106663 0.108571 0.110512 0.112489 0.114501 39.11 40.52 Royal Bank of Canada 78010UDH7 12/30/13 12/30/20 100.000 VARIES 1.1630 0.006978 0.007018 0.007059 0.007100 0.007141 2.52 2.55 Royal Bank of Canada 78010UDK0 01/30/14 01/30/19 100.000 VARIES 0.9099 0.007398 0.007432 0.007465 0.007450 0.007534 2.68 2.70 Royal Bank of Canada 78010UDR5 01/30/14 01/30/19 100.000 2.250 2.2499 0.062500 0.062500 0.062500 0.062500 0.062500 22.50 22.50 Royal Bank of Canada 78010UDU8 02/28/14 02/28/34 100.000 VARIES 4.0699 0.101664 0.097075 0.098947 0.097597 0.099488 36.03 35.93 Royal Bank of Canada 78010UVV6 05/30/14 11/30/17 100.000 VARIES 0.5883 0.007016 0.007000 0.007060 0.007042 2.57 2.35 Royal Bank of Canada 78010UVX2 06/30/14 06/30/29 100.000 VARIES 3.5596 0.095543 0.095641 0.095740 0.095840 0.095943 34.41 34.48 Royal Bank of Canada 78010UWN3 09/29/14 09/29/34 100.000 VARIES 3.6300 0.095371 0.095472 0.095575 0.095680 0.095786 34.37 34.45 Royal Bank of Canada 78010UWR4 11/28/14 11/28/34 100.000 VARIES 3.3499 0.087753 0.087854 0.087957 0.088061 0.088167 31.62 31.69 Royal Bank of Canada 78010UWU7 12/23/14 12/23/24 100.000 VARIES 2.8500 0.078250 0.078295 0.078341 0.078387 0.078434 28.18 28.21 Royal Bank of Scotland 78011PAA5 11/30/11 11/30/26* 100.000 VARIES 5.2303 0.140494 20.93* Royal Bank of Canada 78012KDH7 06/29/15 06/29/35 100.000 VARIES 3.4099 0.092784 0.090814 0.088810 0.086773 0.086934 33.04 31.60 SG Structured Prods,Inc. 78423A2D3 07/29/11 07/29/31 100.000 VARIES 3.8135 0.080355 0.079423 0.078473 0.077994 0.077505 28.47 28.02 SG Structured Prods,Inc. 78423A2E1 07/29/11 07/29/31 100.000 VARIES 3.8227 0.082202 0.081621 0.081030 0.080427 0.079812 29.31 28.88 SG Structured Prods,Inc. 78423A2P6 07/29/11 07/29/31 100.000 VARIES 3.8133 0.082907 0.081780 0.080632 0.079948 0.079251 29.30 28.69 SG Structured Prods,Inc. 78423A3B6 08/31/11 08/29/31 100.000 VARIES 3.8090 0.081737 0.081489 0.079883 0.079647 0.078528 29.64 28.94 SG Structured Prods,Inc. 78423AC42 12/31/10 12/31/30 100.000 VARIES 4.1615 0.097408 0.096170 0.094907 0.093617 0.092300 34.84 33.93 SG Structured Prods,Inc. 78423AD90 01/31/11 01/31/31 100.000 VARIES 4.1899 0.093627 0.092776 0.091907 0.091020 0.090115 33.29 32.66 SG Structured Prods,Inc. 78423AE99 02/25/11 02/25/26 100.000 VARIES 4.0467 0.095675 0.095004 0.095047 0.095092 0.095137 34.24 34.24 SG Structured Prods,Inc. 78423AF80 02/28/11 02/28/31 100.000 VARIES 4.1578 0.095469 0.093692 0.094477 0.092167 0.092895 34.49 33.86 SG Structured Prods,Inc. 78423AG63 03/18/11 03/18/21 100.000 VARIES 4.1693 0.115144 0.115313 0.115438 0.115565 0.115665 41.51 41.60 SG Structured Prods,Inc. 78423AH62 03/09/11 03/09/16 100.000 0.000 2.4340 0.075390 5.13 SG Structured Prods,Inc. 78423AJ45 03/31/11 03/31/26 100.000 VARIES 3.9820 0.091348 0.091318 0.091288 0.091257 0.091687 32.87 32.89 SG Structured Prods,Inc. 78423AL75 03/31/11 03/31/31 100.000 VARIES 4.2878 0.099709 0.099207 0.098688 0.098159 0.097618 35.71 35.34 SG Structured Prods,Inc. 78423AP48 04/29/11 04/29/31 100.000 VARIES 4.1591 0.095222 0.094817 0.094292 0.093755 0.093208 34.15 33.78 SG Structured Prods,Inc. 78423AR20 04/29/11 04/30/26 100.000 VARIES 4.1342 0.099721 0.099166 0.099233 0.099301 0.099371 35.77 35.74 SG Structured Prods,Inc. 78423AT93 05/31/11 05/30/31 100.000 VARIES 4.0970 0.094433 0.092804 0.093790 0.091706 0.092651 34.24 33.81 SG Structured Prods,Inc. 78423AU26 05/31/11 05/30/23 100.000 VARIES 4.1099 0.110178 0.109066 0.110991 0.109300 0.111234 40.15 40.21 SG Structured Prods,Inc. 78423AU75 05/31/11 05/30/31 100.000 VARIES 4.0953 0.090681 0.088756 0.089741 0.087789 0.088736 32.80 32.36 SG Structured Prods,Inc. 78423AU83 05/31/11 05/29/26 100.000 VARIES 4.1202 0.098326 0.096903 0.098142 0.096718 0.098504 35.72 35.57 SG Structured Prods,Inc. 78423AV90 06/17/11 06/16/17 100.000 0.000 2.1964 0.067312 0.068051 0.068799 24.39 11.35 SG Structured Prods,Inc. 78423AW65 06/30/11 06/30/31 100.000 VARIES 4.0039 0.087757 0.086615 0.086055 0.085483 0.084900 31.39 30.88 SG Structured Prods,Inc. 78423AW73 06/30/11 06/30/31 100.000 VARIES 4.0072 0.089411 0.087655 0.088479 0.086406 0.087184 32.40 31.91 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SG Structured Prods,Inc. 78423AW81 06/30/11 06/30/23 100.000 VARIES 3.9769 0.109074 0.109340 0.109526 0.109716 0.109909 39.32 39.46 SG Structured Prods,Inc. 78423AW99 06/30/11 06/30/26 100.000 VARIES 3.9853 0.096062 0.094191 0.095520 0.093730 0.095042 34.81 34.53 SG Structured Prods,Inc. 78423AYJ5 08/31/10 08/29/25 100.000 7.380 3.6971 0.080373 0.079010 0.076303 0.074393 0.075354 28.66 27.38 SG Structured Prods,Inc. 78423AZA3 10/29/10 04/29/16 100.000 0.000 1.7220 0.052118 6.15 SG Structured Prods,Inc. 78423EBE3 06/29/12 06/30/32 100.000 VARIES 2.6183 0.063061 0.062583 0.062099 0.061608 0.061598 22.61 22.27 SG Structured Prods,Inc. 78423EBR4 07/31/12 07/30/32 100.000 VARIES 2.2858 0.054117 0.054393 0.053482 0.054041 0.052834 19.76 19.52 SG Structured Prods,Inc. 78423ECC6 07/31/12 07/31/32 100.000 VARIES 4.4772 0.118244 0.118404 0.118567 0.118734 0.118904 42.65 42.77 SG Structured Prods,Inc. 78423ECE2 08/31/12 08/31/32 100.000 VARIES 2.2189 0.052062 0.051313 0.051976 0.050942 0.051595 18.91 18.73 SG Structured Prods,Inc. 78423ECF9 08/31/12 08/31/27 100.000 VARIES 2.2060 0.056038 0.055045 0.055563 0.054545 0.055334 20.27 20.07 SG Structured Prods,Inc. 78423ECS1 08/31/12 08/31/32 100.000 VARIES 4.3609 0.116059 0.114930 0.116974 0.115205 0.117259 42.38 42.41 SG Structured Prods,Inc. 78423EDB7 09/28/12 09/28/32 100.000 VARIES 3.8987 0.104453 0.104323 0.104190 0.104326 0.104465 37.56 37.56 SG Structured Prods,Inc. 78423EDJ0 09/28/12 09/30/32 100.000 VARIES 2.1721 0.051054 0.050927 0.050800 0.050671 0.050540 18.33 18.24 SG Structured Prods,Inc. 78423EDN1 10/31/12 10/29/27 100.000 VARIES 2.3465 0.058019 0.058000 0.057981 0.057961 0.057941 20.88 20.87 SG Structured Prods,Inc. 78423EDQ4 10/31/12 10/31/32 100.000 VARIES 3.4706 0.093211 0.093142 0.093071 0.092999 0.092926 33.53 33.48 SG Structured Prods,Inc. 78423EEA8 12/31/12 12/31/32 100.000 VARIES 2.3863 0.058308 0.058001 0.057690 0.057376 0.057058 20.93 20.71 SG Structured Prods,Inc. 78423EEJ9 10/31/12 10/29/32 100.000 VARIES 2.3462 0.057862 0.057769 0.057676 0.057581 0.057486 20.80 20.73 SG Structured Prods,Inc. 78423EES9 11/30/12 11/30/32 100.000 VARIES 2.3877 0.059044 0.058908 0.058771 0.058632 0.058492 21.22 21.12 SG Structured Prods,Inc. 78423EJF2 11/27/13 11/27/23 100.000 VARIES 3.9019 0.101616 0.101510 0.101401 0.101290 0.101177 36.56 36.48 SG Structured Prods,Inc. 78423EJG0 12/18/13 12/18/23 100.000 VARIES 3.8786 0.101175 0.101131 0.101087 0.101042 0.100996 36.41 36.38 SLM Corporation. 78442FEM6 01/27/12 01/25/17 98.942 6.000 6.2498 8.04 0.006329 0.006527 0.006731 2.38 .16 SM Energy Company 78454LAM2 08/09/16 07/01/21 86.000 1.500 4.7378 0.071515 0.072852 0.074578 10.16 26.54 Sabine Pass LNG, LP 785583AG0 09/15/08 11/30/16 79.000 7.500 11.5231 176.09 0.099911 0.105667 33.91 Sabine Pass LNG, LP 785583AH8 09/15/08 11/30/16 79.000 7.500 11.5231 176.09 0.099911 0.105667 33.91 Saddle Brook TWP NJ SD 786225GD8 08/23/12 08/15/16 99.040 1.750 2.0022 8.05 0.006870 0.006938 1.55 SCH DIST Clair CNTY, IL 788550JL6 06/15/11 01/01/17 103.641 VARIES 4.4873 0.125568 0.125113 45.12 SCH DIST Clair CNTY, IL 788550JM4 06/15/11 01/01/18 102.758 VARIES 4.9870 0.139865 0.139543 0.139213 0.138875 50.29 50.06 SCH DIST Clair CNTY, IL 788550JQ5 06/20/12 01/01/21 107.017 5.500 4.5003 0.130550 0.130050 0.129539 0.129016 46.91 46.54 St. Clair County, IL 788550JU6 06/25/15 01/01/21 79.080 0.000 4.3000 17.58 0.095497 0.096490 0.100198 0.100684 35.13 36.66 St. Clair County, IL 788550JV4 06/25/15 01/01/22 74.588 0.000 4.5500 17.54 0.095428 0.096538 0.100371 0.100981 35.13 36.75 St. Clair County, IL 788550JW2 06/25/15 01/01/23 70.267 0.000 4.7499 17.25 0.093945 0.095131 0.099004 0.099703 34.60 36.27 St. Clair County, IL 788550JX0 06/25/15 01/01/24 65.665 0.000 5.0000 16.97 0.092531 0.093813 0.097752 0.098563 34.10 35.83 San Luis Obispo County 798703AQ7 07/02/03 09/01/18 45.439 0.000 5.2695 416.16 0.125229 0.128528 0.131915 0.135390 0.138958 46.48 48.96 San Luis Obispo County 798703AR5 07/02/03 09/01/19 42.462 0.000 5.3695 398.87 0.120667 0.123906 0.127233 0.130649 0.134157 44.81 47.25 San Luis Obispo County 798703AS3 07/02/03 09/01/20 39.603 0.000 5.4695 381.42 0.116005 0.119177 0.122437 0.125785 0.129225 43.10 45.49 San Luis Obispo County 798703AT1 07/02/03 09/01/21 37.061 0.000 5.5395 363.16 0.110864 0.113934 0.117090 0.120333 0.123666 41.21 43.53 San Luis Obispo County 798703AU8 07/02/03 09/01/22 34.700 0.000 5.5995 345.06 0.105672 0.108631 0.111672 0.114799 0.118013 39.29 41.53 San Luis Obispo County 798703AV6 07/02/03 09/01/23 32.578 0.000 5.6397 327.13 0.100397 0.103228 0.106139 0.109132 0.112210 37.34 39.48 San Luis Obispo County 798703AW4 07/02/03 09/01/24 30.563 0.000 5.6796 309.89 0.095305 0.098012 0.100795 0.103658 0.106601 35.46 37.50 San Luis Obispo County 798703AX2 07/02/03 09/01/25 28.774 0.000 5.6997 293.16 0.090256 0.092828 0.095474 0.098195 0.100993 33.58 35.52 San Luis Obispo County 798703AY0 07/02/03 09/01/26 27.018 0.000 5.7297 277.26 0.085498 0.087948 0.090467 0.093059 0.095725 31.82 33.67 San Luis Obispo County 798703AZ7 07/02/03 09/01/27 25.534 0.000 5.7297 262.03 0.080802 0.083117 0.085498 0.087948 0.090467 30.07 31.82 San Luis Obispo County 798703BA1 07/02/03 09/01/28 24.132 0.000 5.7296 247.64 0.076364 0.078551 0.080802 0.083117 0.085498 28.42 30.07 San Luis Obispo County 798703BB9 07/02/03 09/01/29 22.806 0.000 5.7297 234.04 0.072170 0.074237 0.076364 0.078552 0.080802 26.86 28.42 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ San Luis Obispo County 798703BC7 07/02/03 09/01/30 21.553 0.000 5.7298 221.18 0.068206 0.070160 0.072170 0.074237 0.076364 25.38 26.86 Seacor Holdings, Inc. 81170YAA7 11/13/13 11/15/28 100.000 VARIES 8.2503 0.254850 0.261926 0.269293 0.276964 0.284952 93.68 99.05 Seacor Holdings, Inc. 81170YAB5 11/13/13 11/15/28 100.000 VARIES 8.2503 0.254850 0.261926 0.269293 0.276964 0.284952 93.68 99.05 Seacor Holdings, Inc. 811904AL5 12/11/12 12/15/27 100.000 VARIES 7.1503 0.229057 0.234763 0.240674 0.246796 0.253136 83.67 87.94 Seacor Holdings, Inc. 811904AM3 12/11/12 12/15/27 100.000 VARIES 7.1503 0.229057 0.234763 0.240674 0.246796 0.253136 83.67 87.94 Sears Holdings Corp. 812350AF3 11/21/14 12/15/19 82.600 8.000 12.7675 29.49 0.080722 0.085875 0.091357 0.097189 0.103394 30.16 34.13 Shelby Christi CNTYS, IL 821510AX2 02/24/16 12/01/17 103.912 3.750 1.5019 0.043352 0.043106 0.042647 0.042185 13.24 13.99 Shelby Christi CNTYS, IL 821510AY0 02/24/16 12/01/18 105.242 3.750 1.8014 0.052664 0.052414 0.051948 0.051477 0.051003 16.10 18.59 Shelby Christi CNTYS, IL 821510AZ7 02/24/16 12/01/19 105.947 3.750 2.1010 0.061832 0.061593 0.061146 0.060694 0.060237 18.92 21.90 Shelby Christi CNTYS, IL 821510BA1 02/24/16 12/01/20 106.279 3.750 2.3507 0.069400 0.069180 0.068769 0.068353 0.067932 21.25 24.66 Shelby Christi CNTYS, IL 821510BB9 02/24/16 12/01/21 106.397 3.750 2.5507 0.075387 0.075189 0.074819 0.074445 0.074066 23.09 26.85 SG Structured Prods,Inc. 83367TAN9 09/28/12 09/28/27 100.000 VARIES 4.2451 0.108756 0.108258 0.107749 0.107230 0.106699 38.97 38.60 SG Structured Prods,Inc. 83368W2F7 07/28/15 07/28/21 100.000 0.000 3.0305 0.084181 0.085456 0.086751 0.088066 0.089400 30.93 31.87 SG Structured Prods,Inc. 83368W2V2 08/31/15 09/03/30 100.000 VARIES 3.4213 0.094987 0.091860 0.088679 0.088572 0.088464 32.89 31.88 SG Structured Prods,Inc. 83368WB59 01/30/15 01/30/30 100.000 VARIES 2.8760 0.079802 0.079711 0.079756 0.079801 0.079847 28.71 28.73 SG Structured Prods,Inc. 83368WBD2 01/31/13 01/31/33 100.000 VARIES 3.8966 0.101394 0.101333 0.101926 0.102531 0.103147 36.57 36.99 SG Structured Prods,Inc. 83368WBG5 01/31/13 01/31/33 100.000 VARIES 3.8942 0.100035 0.098769 0.098466 0.098156 0.097841 35.55 35.30 SG Structured Prods,Inc. 83368WBT7 02/28/13 02/28/33 100.000 VARIES 3.4646 0.085026 0.083970 0.085226 0.083700 0.085494 30.95 30.86 SG Structured Prods,Inc. 83368WBX8 03/28/13 03/31/33 100.000 VARIES 2.9028 0.072823 0.072419 0.072541 0.072665 0.072790 26.12 26.16 SG Structured Prods,Inc. 83368WCB5 04/12/13 04/12/33 100.000 VARIES 3.9684 0.099662 0.099096 0.099222 0.099351 0.099482 35.74 35.76 SG Structured Prods,Inc. 83368WCG4 04/30/13 04/29/33 100.000 VARIES 3.9499 0.099449 0.098985 0.099228 0.099476 0.099729 35.70 35.80 SG Structured Prods,Inc. 83368WCQ2 04/30/13 05/01/23 100.000 VARIES 1.6707 0.009751 0.009832 0.009914 0.009997 0.010081 3.53 3.59 SG Structured Prods,Inc. 83368WCY5 05/03/13 05/03/23 100.000 VARIES 3.1496 0.086839 0.086787 0.086773 0.086759 0.086780 31.25 31.24 SG Structured Prods,Inc. 83368WDL2 06/28/13 06/28/33 100.000 VARIES 4.7629 0.127697 0.128537 0.129985 0.131469 0.132987 46.13 47.07 SG Structured Prods,Inc. 83368WDM0 06/28/13 06/28/33 100.000 VARIES 4.7593 0.119325 0.119144 0.119666 0.120200 0.120748 42.93 43.18 SG Structured Prods,Inc. 83368WDR9 07/31/13 07/31/33 100.000 VARIES 4.5906 0.115990 0.115765 0.115535 0.115300 0.115060 41.65 41.48 SG Structured Prods,Inc. 83368WDT5 07/31/13 07/31/33 100.000 VARIES 4.5832 0.113612 0.114111 0.114622 0.115144 0.115678 41.14 41.52 SG Structured Prods,Inc. 83368WDV0 07/31/13 07/31/33 100.000 VARIES 4.5941 0.115033 0.113838 0.112617 0.111367 0.110088 40.83 39.94 SG Structured Prods,Inc. 83368WDW8 08/30/13 08/31/33 100.000 VARIES 4.6389 0.115853 0.113532 0.114310 0.112778 0.114993 41.79 41.53 SG Structured Prods,Inc. 83368WDX6 08/30/13 08/31/33 100.000 VARIES 4.6413 0.117698 0.116268 0.118039 0.116792 0.119433 42.86 43.03 SG Structured Prods,Inc. 83368WDZ1 08/30/13 08/31/28 100.000 VARIES 4.5930 0.116878 0.116025 0.118382 0.117381 0.120293 42.81 43.26 SG Structured Prods,Inc. 83368WEL1 09/30/13 09/30/33 100.000 VARIES 4.5116 0.114617 0.114600 0.114583 0.114565 0.114547 41.26 41.24 SG Structured Prods,Inc. 83368WFA4 10/31/13 10/31/33 100.000 VARIES 4.2945 0.108773 0.108279 0.107775 0.107260 0.106733 39.01 38.64 SG Structured Prods,Inc. 83368WFL0 10/31/13 10/31/33 100.000 VARIES 4.2911 0.109466 0.109578 0.109692 0.109809 0.109928 39.44 39.52 SG Structured Prods,Inc. 83368WG47 03/31/15 03/31/35 100.000 VARIES 2.8488 0.079474 0.079817 0.080165 0.080518 0.081472 28.74 29.04 SG Structured Prods,Inc. 83368WGF2 11/29/13 11/30/33 100.000 VARIES 4.4027 0.112459 0.112253 0.112043 0.111828 0.111609 40.44 40.28 SG Structured Prods,Inc. 83368WGG0 11/29/13 11/29/28 100.000 VARIES 4.2430 0.111679 0.110454 0.109202 0.107924 0.106619 39.90 39.00 SG Structured Prods,Inc. 83368WGM7 11/29/13 11/29/32 90.000 VARIES 4.3778 0.096616 0.096775 0.096936 0.097102 0.097271 34.82 34.94 SG Structured Prods,Inc. 83368WGR6 11/29/13 11/29/32 90.000 VARIES 4.3777 0.096615 0.096773 0.096935 0.097100 0.097269 34.82 34.94 SG Structured Prods,Inc. 83368WGZ8 12/30/13 12/30/33 100.000 VARIES 4.4480 0.114402 0.113901 0.113389 0.113894 0.114411 41.09 40.91 SG Structured Prods,Inc. 83368WHA2 12/30/13 12/30/32 93.000 VARIES 4.4186 0.103183 0.103596 0.104019 0.104451 0.104893 37.22 37.53 SG Structured Prods,Inc. 83368WHD6 12/30/13 12/30/33 100.000 VARIES 4.4457 0.113664 0.112169 0.110641 0.110731 0.110823 40.65 39.85 SG Structured Prods,Inc. 83368WHS3 01/31/14 01/31/34 100.000 VARIES 4.0888 0.105566 0.102785 0.103081 0.103383 0.103691 37.13 37.26 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SG Structured Prods,Inc. 83368WJB8 01/31/14 01/31/33 91.000 VARIES 4.0761 0.095636 0.093069 0.093638 0.094218 0.094810 33.67 33.99 SG Structured Prods,Inc. 83368WKA8 02/21/14 02/21/24 100.000 0.000 3.6892 0.108256 0.110253 0.112287 0.114358 0.116468 39.86 41.34 SG Structured Prods,Inc. 83368WKB6 02/28/14 02/28/34 91.000 VARIES 4.0372 0.093801 0.090334 0.092503 0.091667 0.093885 33.53 33.78 SG Structured Prods,Inc. 83368WKC4 02/28/14 02/28/34 100.000 VARIES 4.0411 0.104542 0.101182 0.103184 0.101828 0.103854 37.48 37.49 SG Structured Prods,Inc. 83368WKZ3 03/31/14 03/31/34 100.000 VARIES 4.4730 0.116446 0.113726 0.113298 0.112861 0.112413 41.14 40.63 SG Structured Prods,Inc. 83368WL58 04/17/15 04/17/25 100.000 VARIES 2.7150 0.075465 0.075511 0.075517 0.075523 0.075507 27.18 27.19 SG Structured Prods,Inc. 83368WLG4 03/31/14 03/31/34 91.000 VARIES 4.4571 0.100095 0.095716 0.096430 0.097159 0.097905 34.91 34.98 SG Structured Prods,Inc. 83368WLH2 03/31/14 03/31/34 100.000 VARIES 4.4742 0.115616 0.112597 0.111738 0.110859 0.109961 40.73 39.91 SG Structured Prods,Inc. 83368WMW8 05/14/14 05/14/21 100.000 VARIES 2.9301 0.081725 0.081778 0.081776 0.081774 0.081735 29.43 29.44 SG Structured Prods,Inc. 83368WNR8 05/22/14 05/22/34 91.000 VARIES 3.6947 0.086666 0.084340 0.084612 0.084888 0.085170 30.70 30.53 SG Structured Prods,Inc. 83368WP21 05/20/15 05/21/35 100.000 VARIES 3.3761 0.092614 0.091431 0.090229 0.089007 0.089207 33.03 32.22 SG Structured Prods,Inc. 83368WPM7 06/26/14 06/26/34 100.000 VARIES 3.6332 0.095016 0.092974 0.093051 0.093130 0.093210 33.83 33.51 SG Structured Prods,Inc. 83368WRU7 08/29/14 08/29/34 100.000 VARIES 3.4029 0.089394 0.088780 0.086681 0.087472 0.087313 32.27 31.86 SG Structured Prods,Inc. 83368WSX0 08/29/14 08/29/34 100.000 VARIES 3.4025 0.089305 0.088651 0.086512 0.087122 0.086782 32.22 31.72 SG Structured Prods,Inc. 83368WTC5 09/30/14 09/30/29 100.000 VARIES 3.5292 0.097074 0.096912 0.096747 0.096578 0.096407 34.89 34.77 SG Structured Prods,Inc. 83368WTS0 09/30/14 09/30/24 100.000 VARIES 3.2997 0.087316 0.087309 0.087301 0.087505 0.087712 31.43 31.50 SG Structured Prods,Inc. 83368WU58 06/30/15 06/30/35 100.000 VARIES 3.7086 0.099519 0.095956 0.095518 0.095071 0.094616 35.18 34.31 SG Structured Prods,Inc. 83368WUJ8 09/30/14 09/30/34 100.000 VARIES 3.5842 0.093117 0.093058 0.092998 0.092937 0.092874 33.50 33.46 SG Structured Prods,Inc. 83368WUL3 09/30/14 09/30/34 100.000 VARIES 3.5615 0.095254 0.093365 0.091442 0.091707 0.091976 33.60 33.02 SG Structured Prods,Inc. 83368WVM0 10/31/14 10/31/34 100.000 VARIES 3.4502 0.089267 0.089319 0.089372 0.089425 0.089480 32.15 32.19 SG Structured Prods,Inc. 83368WXN6 11/26/14 11/26/34 100.000 VARIES 3.3122 0.088504 0.086708 0.084883 0.085207 0.085535 31.41 30.64 SG Structured Prods,Inc. 83368WXV8 11/14/14 11/16/21 100.000 0.000 2.6925 0.076833 0.077867 0.078915 0.079978 0.081054 27.94 28.70 SG Structured Prods,Inc. 83368WZJ3 12/31/14 12/31/34 100.000 VARIES 3.0161 0.081776 0.080750 0.079708 0.080218 0.080736 29.25 28.79 SG Structured Prods,Inc. 83368WZV6 12/16/14 11/16/21 101.640 0.000 2.4785 0.071577 0.072464 0.073362 0.074271 0.075192 26.01 26.66 SG Structured Prods,Inc. 83369ECH1 10/30/15 11/01/27 100.000 VARIES 3.1961 0.088780 0.088267 0.087746 0.087217 0.086679 31.81 31.43 SG Structured Prods,Inc. 83369ECY4 11/17/15 12/14/16 100.000 0.000 1.1502 0.031978 0.032162 11.00 SG Structured Prods,Inc. 83369EEM8 01/29/16 01/29/36 100.000 VARIES 3.1195 0.086655 0.084433 0.082176 0.082036 28.43 29.63 SG Structured Prods,Inc. 83369EGC8 02/26/16 02/26/21 100.000 VARIES 1.8853 0.008339 0.008226 0.008113 0.007998 2.53 2.91 SG Structured Prods,Inc. 83369EGU8 03/23/16 03/23/26 100.000 VARIES 1.6325 0.027847 0.027357 0.026864 0.026367 7.69 9.66 SG Structured Prods,Inc. 83369EKC3 06/24/16 06/26/23 100.000 0.000 1.8500 0.051390 0.051395 0.051870 0.052350 0.052835 9.61 18.76 Solectron Corporation 834182AK3 05/08/00 05/08/20 57.912 0.000 2.7499 308.81 0.067553 0.068482 0.069424 0.070378 0.071346 24.59 25.27 Sunsource, Inc. 867948AA9 09/30/97 09/30/27 110.000 11.600 10.4989 0.313264 0.312794 0.312299 0.311778 0.311230 112.60 112.24 Time Warner Inc. 887315AZ2 01/17/96 01/15/36 17.038 VARIES 8.8000 0.223215 0.233037 0.233146 0.233260 0.233379 83.77 83.99 Toll Brothers Finance 88947EAL4 09/11/12 09/15/32 100.000 VARIES 5.9844 0.195838 0.201282 0.206889 0.212665 0.218612 72.65 76.76 Toll Brothers Finance 88947EAM2 09/11/12 09/15/32 100.000 VARIES 5.9844 0.195838 0.201282 0.206889 0.212665 0.218612 72.65 76.76 Tornillo Indpt SCH DIST 891084NY7 12/06/12 02/01/20 83.718 0.000 2.4998 66.36 0.062095 0.062871 0.063657 0.064453 0.065258 22.73 23.30 Tornillo Indpt SCH DIST 891084NZ4 12/06/12 02/01/21 80.360 0.000 2.6997 68.97 0.064710 0.065583 0.066468 0.067366 0.068275 23.72 24.36 Toyota Motor Credit Corp 89233PA22 12/12/06 12/12/16 100.000 0.000 4.9609 0.214194 0.219507 74.00 Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38 24.099 0.000 4.8000 107.23 0.045861 0.046961 0.048088 0.049243 0.050424 16.92 17.74 Toyota Motor Credit Corp 89233PZQ2 10/24/06 10/24/16 100.000 VARIES 6.2020 0.170245 0.171247 50.06 Transportadora Gas Norte 893871AS2 08/22/12 08/22/19 25.000 VARIES N/A 0.516331 0.576778 0.621916 0.670984 0.727408 196.87 232.83 Transportadora Gas Norte 893871AZ6 08/22/12 08/22/19 25.000 VARIES N/A 0.516331 0.576778 0.621916 0.670984 0.727408 196.87 232.83 Trenton, City of 895130K35 03/13/03 04/01/22 31.423 0.000 6.1698 369.86 0.115461 0.119022 0.122694 0.126479 0.130381 42.86 45.54 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Trinity Industries, Inc. 896522AF6 06/07/06 06/01/36 100.000 VARIES 8.5854 0.398035 0.410501 0.423502 0.437061 0.451202 146.30 155.73 UBS AG 90261JGR8 03/25/11 03/25/21 100.000 VARIES 4.6496 0.132296 0.132366 0.132261 0.132153 0.131858 47.64 47.56 UBS AG 90261JHP1 09/21/11 09/21/21 100.000 VARIES 2.4224 0.066085 0.066178 0.066273 0.066370 0.066467 23.83 23.90 UBS AG 90261JHQ9 09/23/11 09/23/19 100.000 VARIES 2.3047 0.004936 0.004993 0.005051 0.005109 0.005168 1.80 1.84 UBS AG 90261JHS5 09/29/11 09/29/21 100.000 VARIES 2.5378 0.009977 0.010104 0.010232 0.010362 0.010493 3.64 3.73 UBS AG 90261XDU3 07/20/07 07/20/27 100.000 VARIES 5.7801 0.113736 0.112034 0.110283 0.109777 0.109256 40.08 39.45 UBS AG 90261XEU2 03/06/08 03/06/18 100.000 VARIES 4.6051 0.122761 0.123365 0.124307 0.125270 0.126581 44.48 45.19 Union CNTY SD #531, IL 904842CU3 05/17/11 12/01/16 99.662 VARIES 3.6779 0.102087 0.102126 33.70 Union CNTY SD #531, IL 904842CV1 05/17/11 12/01/17 108.762 VARIES 4.1179 0.117720 0.116912 0.116088 0.115247 42.18 38.16 Union CNTY SD #531, IL 904842CW9 05/17/11 12/01/18 107.234 VARIES 4.3707 0.125226 0.124624 0.124008 0.123380 0.122737 44.94 44.49 Union City, NJ 905734MF3 02/07/07 11/01/16 58.640 0.000 5.5586 369.02 0.146169 0.150231 44.58 Union City, NJ 905734MG1 02/07/07 11/01/17 55.340 0.000 5.5882 350.57 0.139028 0.142912 0.146905 0.151010 51.22 44.81 Union CNTY NJ IMPT Auth 906347UT4 11/25/15 12/01/47 18.159 0.000 5.4000 .98 0.027263 0.027999 0.028756 0.029532 0.030329 9.99 10.54 United Technologies Corp 913017AR0 11/13/89 11/15/19 98.974 8.875 8.9741 7.08 0.001918 0.001983 0.002106 0.002164 0.002299 .72 .79 Uruguay, Republic 917288AX0 05/29/03 01/20/17 73.000 7.625 11.6165 231.53 0.093602 0.099039 0.104791 36.48 1.99 Uruguay, Republic 917288BA9 05/29/03 01/15/33 100.000 7.875 N/A 0.140381 0.141445 0.142576 0.143777 0.145052 51.09 51.95 VeriSign, Inc. 92343EAC6 08/20/07 08/15/37 100.000 VARIES 8.5008 0.373864 0.385918 0.397516 0.409608 0.422213 139.98 148.64 VeriSign, Inc. 92343EAD4 08/20/07 08/15/37 100.000 VARIES 8.5008 0.373864 0.385918 0.397516 0.409608 0.422213 139.98 148.64 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 Viginia Pub School Auth 92817SPA0 11/13/09 09/15/26 90.643 6.050 7.0049 22.48 0.012439 0.012874 0.013325 0.013792 0.014275 4.65 4.98 Wells Fargo & Company 94986RA35 11/30/15 11/30/27 100.000 VARIES 2.3691 0.011103 0.010760 0.010413 0.010062 0.009706 3.91 3.66 Wells Fargo & Company 94986RB59 12/24/15 12/24/25 100.000 VARIES 2.3797 0.010297 0.009861 0.009420 0.008973 0.008522 3.62 3.30 Wells Fargo & Company 94986RB75 12/23/15 12/23/27 100.000 VARIES 2.4985 0.011086 0.010727 0.010364 0.009996 0.009624 3.92 3.66 Wells Fargo & Company 94986RB91 12/23/15 12/23/30 100.000 VARIES 2.5508 0.012537 0.012006 0.011469 0.010924 0.010373 4.41 4.02 Wells Fargo & Company 94986RBC4 11/05/10 05/06/16 100.000 0.000 1.7322 0.052454 6.56 Wells Fargo & Company 94986RBH3 11/05/10 11/05/17 100.000 VARIES 2.5030 0.071583 0.071128 0.070668 0.070101 25.64 21.38 Wells Fargo & Company 94986RBP5 12/07/10 12/07/16 100.000 0.000 2.2309 0.069240 0.070012 23.40 Wells Fargo & Company 94986RBQ3 12/07/10 06/07/17 100.000 0.000 2.4501 0.076873 0.077815 0.078768 27.89 12.29 Wells Fargo & Company 94986RBY6 01/05/11 01/06/17 100.000 0.000 2.6501 0.082880 0.083978 0.085091 30.42 .43 Wells Fargo & Company 94986RBZ3 01/05/11 07/07/17 100.000 0.000 2.7699 0.087097 0.088303 0.089526 0.090766 31.99 16.87 Wells Fargo & Company 94986RCG4 02/07/11 02/07/17 100.000 1.250 2.5699 0.075852 0.076380 0.076916 27.56 2.77 Wells Fargo & Company 94986RCP4 02/07/11 02/07/18 100.000 1.500 2.9500 0.087618 0.088296 0.088984 0.089682 0.090390 31.86 32.36 Wells Fargo & Company 94986RCW9 03/07/11 03/07/17 100.000 1.250 2.5500 0.075195 0.075711 0.076234 27.28 5.03 Wells Fargo & Company 94986RCZ2 03/02/11 03/02/16 99.730 0.125 N/A 0.007782 .47 Wells Fargo & Company 94986RD40 01/26/16 01/26/26 100.000 VARIES 2.1764 0.010818 0.010395 0.009967 0.009535 3.56 3.53 Wells Fargo & Company 94986RDD0 03/31/11 03/31/21 100.000 VARIES 4.1708 0.116475 0.116539 0.116571 0.116605 0.116587 41.95 41.97 Wells Fargo & Company 94986RDL2 04/29/11 04/30/21 100.000 VARIES 4.3018 0.120424 0.120459 0.120464 0.120469 0.120415 43.36 43.36 Wells Fargo & Company 94986RDU2 06/07/11 06/07/17 100.000 0.000 2.3099 0.071152 0.071974 0.072805 25.80 11.36 Wells Fargo & Company 94986RDV0 05/31/11 05/28/21 100.000 VARIES 4.1140 0.116338 0.116357 0.116301 0.116244 0.116101 41.88 41.85 Wells Fargo & Company 94986RDX6 07/06/11 01/08/18 100.000 0.000 1.9900 0.059842 0.060438 0.061039 0.061646 0.062260 21.86 22.29 Wells Fargo & Company 94986RE72 02/24/16 02/24/28 100.000 VARIES 1.9880 0.012945 0.012601 0.012255 0.011905 3.93 4.39 Wells Fargo & Company 94986REQ0 08/05/11 02/07/18 100.000 0.000 2.4202 0.074031 0.074927 0.075833 0.076751 0.077680 27.07 27.73 Wells Fargo & Company 94986RF71 02/29/16 03/01/23 100.000 VARIES 1.9955 0.010069 0.010067 0.009833 0.009597 0.009358 3.00 3.44 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Wells Fargo & Company 94986RFA4 09/08/11 03/07/18 100.000 0.000 2.2999 0.070004 0.070809 0.071624 0.072447 0.073281 25.53 26.12 Wells Fargo & Company 94986RFL0 10/05/11 10/05/18 100.000 0.000 2.4700 0.075691 0.076625 0.077572 0.078530 0.079500 27.58 28.26 Wells Fargo & Company 94986RFS5 10/05/11 04/06/18 100.000 0.000 2.3000 0.070014 0.070820 0.071634 0.072458 0.073291 25.49 26.08 Wells Fargo & Company 94986RFX4 11/08/11 05/07/18 100.000 0.000 2.3199 0.070668 0.071488 0.072317 0.073156 0.074005 25.68 26.28 Wells Fargo & Company 94986RG21 03/23/16 03/23/26 100.000 VARIES 2.2004 0.012042 0.011566 0.011085 0.010599 3.30 3.98 Wells Fargo & Company 94986RGE5 12/07/11 06/07/18 100.000 0.000 2.3299 0.071005 0.071832 0.072669 0.073516 0.074372 25.75 26.35 Wells Fargo & Company 94986RGS4 01/04/12 07/06/18 100.000 0.000 2.3699 0.071499 0.072346 0.073203 0.074071 0.074948 26.19 26.81 Wells Fargo & Company 94986RH53 03/16/16 03/16/22 100.000 0.000 2.2404 0.062236 0.062933 0.063638 0.064351 17.81 22.93 Wells Fargo & Company 94986RHA2 02/07/12 08/07/18 100.000 0.000 2.0501 0.061162 0.061789 0.062422 0.063062 0.063709 22.31 22.77 Wells Fargo & Company 94986RHB0 01/27/12 01/27/17 100.000 VARIES 1.6991 0.015683 0.015817 0.015951 5.71 .41 Wells Fargo & Company 94986RHC8 01/27/12 01/28/19 100.000 VARIES 1.7471 0.015371 0.015505 0.015641 0.015778 0.015915 5.60 5.70 Wells Fargo & Company 94986RHG9 03/07/12 09/10/18 100.000 0.000 1.9799 0.058933 0.059517 0.060106 0.060701 0.061302 21.45 21.88 Wells Fargo & Company 94986RHH7 02/15/12 02/15/17 100.000 VARIES 1.4532 0.010798 0.010876 0.010955 3.92 .48 Wells Fargo & Company 94986RHM6 03/07/12 09/08/16 100.000 0.000 1.0799 0.031151 0.031319 7.72 Wells Fargo & Company 94986RHQ7 03/05/12 03/05/19 100.000 VARIES 1.4012 0.010677 0.010635 0.010887 0.010785 0.011040 3.92 3.97 Wells Fargo & Company 94986RHR5 03/07/12 09/10/18 100.000 0.000 2.1000 0.062769 0.063428 0.064094 0.064767 0.065447 22.86 23.35 Wells Fargo & Company 94986RHX2 04/04/12 10/05/18 100.000 0.000 1.9801 0.058933 0.059517 0.060106 0.060701 0.061302 21.42 21.85 Wells Fargo & Company 94986RHY0 04/04/12 10/07/16 100.000 0.000 1.1500 0.033258 0.033449 9.21 Wells Fargo & Company 94986RHZ7 03/21/12 03/21/19 100.000 VARIES 1.3789 0.010721 0.010795 0.010869 0.010944 0.011012 3.94 3.94 Wells Fargo & Company 94986RJ28 03/29/16 03/29/21 100.000 0.125 2.5923 0.072008 0.072897 0.073797 0.074708 19.67 26.57 Wells Fargo & Company 94986RJK8 04/24/12 04/24/19 100.000 VARIES 1.3828 0.011033 0.011110 0.011187 0.011264 0.011342 4.00 4.05 Wells Fargo & Company 94986RJR3 06/07/12 12/07/18 100.000 0.000 1.9898 0.059240 0.059829 0.060425 0.061026 0.061633 21.46 21.89 Wells Fargo & Company 94986RJW2 05/29/12 05/29/19 100.000 0.000 2.2699 0.068238 0.069013 0.069796 0.070588 0.071390 24.76 25.32 Wells Fargo & Company 94986RK67 04/21/16 04/21/26 100.000 VARIES 2.1557 0.011272 0.011017 0.010759 0.010499 2.80 3.88 Wells Fargo & Company 94986RKE0 07/05/12 07/08/19 100.000 0.000 1.8098 0.053074 0.053554 0.054039 0.054528 0.055022 19.36 19.71 Wells Fargo & Company 94986RKN0 08/07/12 08/07/19 100.000 0.000 1.6999 0.049681 0.050103 0.050529 0.050959 0.051392 18.08 18.39 Wells Fargo & Company 94986RKY6 08/17/12 08/19/19 100.000 VARIES 1.2319 0.007807 0.007855 0.007903 0.007952 0.008001 2.83 2.87 Wells Fargo & Company 94986RLH2 09/21/12 09/23/19 100.000 VARIES 1.1737 0.007812 0.007858 0.007904 0.007950 0.007997 2.83 2.86 Wells Fargo & Company 94986RLK5 10/03/12 10/07/19 100.000 0.000 1.5699 0.045713 0.046072 0.046434 0.046798 0.047165 16.58 16.84 Wells Fargo & Company 94986RLM1 10/03/12 10/07/19 100.000 0.000 1.7300 0.050615 0.051053 0.051495 0.051940 0.052389 18.37 18.69 Wells Fargo & Company 94986RLR0 10/03/12 10/03/22 100.000 VARIES 1.2945 0.011050 0.011122 0.011194 0.011266 0.011339 4.00 4.06 Wells Fargo & Company 94986RLU3 11/07/12 11/07/19 100.000 0.000 1.7201 0.050302 0.050734 0.051171 0.051611 0.052055 18.23 18.55 Wells Fargo & Company 94986RLV1 10/19/12 10/19/20 100.000 VARIES 1.1744 0.009155 0.009209 0.009263 0.009317 0.009372 3.31 3.35 Wells Fargo & Company 94986RLY5 11/07/12 11/07/22 100.000 VARIES 1.1530 0.008715 0.008765 0.008816 0.008867 0.008918 3.15 3.19 Wells Fargo & Company 94986RMD0 11/16/12 11/16/20 100.000 VARIES 1.0417 0.007414 0.007453 0.007492 0.007531 0.007570 2.68 2.71 Wells Fargo & Company 94986RME8 12/07/12 12/06/19 100.000 0.000 1.3599 0.039343 0.039610 0.039880 0.040151 0.040424 14.22 14.42 Wells Fargo & Company 94986RMF5 12/07/12 12/06/19 100.000 0.000 1.6200 0.047230 0.047613 0.047999 0.048387 0.048779 17.09 17.37 Wells Fargo & Company 94986RMH1 01/03/13 01/08/20 100.000 0.000 1.0001 0.028487 0.028630 0.028773 0.028917 0.029061 10.33 10.43 Wells Fargo & Company 94986RMJ7 01/03/13 01/08/20 100.000 0.000 1.6997 0.049268 0.049686 0.050109 0.050535 0.050964 17.96 18.26 Wells Fargo & Company 94986RMK4 12/27/12 12/28/22 100.000 VARIES 1.2832 0.010751 0.010820 0.010890 0.010960 0.011030 3.88 3.93 Wells Fargo & Company 94986RMT5 02/07/13 02/07/20 100.000 0.000 1.3701 0.039381 0.039651 0.039923 0.040196 0.040471 14.30 14.50 Wells Fargo & Company 94986RMU2 02/07/13 02/07/20 100.000 0.000 1.6097 0.046543 0.046918 0.047296 0.047676 0.048060 16.93 17.20 Wells Fargo & Company 94986RMV0 01/25/13 01/27/25 100.000 VARIES 1.1862 0.009540 0.009597 0.009653 0.009711 0.009768 3.46 3.50 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Wells Fargo & Company 94986RNF4 03/06/13 03/06/20 100.000 0.000 1.5599 0.045049 0.045400 0.045754 0.046111 0.046471 16.36 16.62 Wells Fargo & Company 94986RNG2 03/06/13 03/06/20 100.000 0.000 1.3399 0.038483 0.038741 0.039001 0.039262 0.039525 13.96 14.15 Wells Fargo & Company 94986RNJ6 02/22/13 02/22/21 100.000 VARIES 1.0349 0.011446 0.011632 0.011565 0.011817 0.011685 4.24 4.28 Wells Fargo & Company 94986RNU1 04/03/13 04/07/20 100.000 0.000 1.4905 0.042977 0.043297 0.043620 0.043945 0.044273 15.58 15.82 Wells Fargo & Company 94986RNV9 04/03/13 04/07/20 100.000 0.000 1.5698 0.045353 0.045709 0.046068 0.046430 0.046794 16.45 16.71 Wells Fargo & Company 94986RNW7 03/06/13 03/06/23 100.000 VARIES 1.1811 0.010123 0.010183 0.010243 0.010364 0.010426 3.67 3.71 Wells Fargo & Company 94986RNX5 03/27/13 03/27/25 100.000 VARIES 1.3586 0.010358 0.010428 0.010499 0.010570 0.010642 3.75 3.81 Wells Fargo & Company 94986RPA3 03/20/13 03/20/20 100.000 VARIES 1.1706 0.007580 0.007625 0.007670 0.007714 0.007759 2.75 2.78 Wells Fargo & Company 94986RPF2 05/08/13 05/07/20 100.000 0.000 1.5101 0.043554 0.043883 0.044214 0.044548 0.044884 15.77 16.01 Wells Fargo & Company 94986RPG0 05/08/13 05/07/20 100.000 0.000 1.4898 0.042949 0.043269 0.043591 0.043916 0.044243 15.55 15.79 Wells Fargo & Company 94986RPH8 04/24/13 04/24/23 100.000 VARIES 1.3234 0.007469 0.007518 0.007568 0.007618 0.007669 2.70 2.74 Wells Fargo & Company 94986RPJ4 04/10/13 01/24/20 95.000 0.000 1.9489 0.053766 0.054290 0.054819 0.055353 0.055893 19.62 20.00 Wells Fargo & Company 94986RPS4 06/07/13 06/05/20 100.000 0.000 1.8198 0.052888 0.053369 0.053855 0.054345 0.054839 19.15 19.50 Wells Fargo & Company 94986RPT2 06/07/13 06/05/20 100.000 0.000 1.8598 0.054103 0.054606 0.055114 0.055627 0.056144 19.59 19.96 Wells Fargo & Company 94986RQA2 07/02/13 07/08/20 100.000 0.000 2.4199 0.070561 0.071415 0.072279 0.073153 0.074039 25.85 26.48 Wells Fargo & Company 94986RQB0 07/02/13 07/08/20 100.000 0.000 2.2502 0.065392 0.066128 0.066872 0.067624 0.068385 23.93 24.47 Wells Fargo & Company 94986RQF1 06/12/13 06/05/20 100.000 0.000 2.3333 0.068655 0.069456 0.070266 0.071086 0.071915 24.90 25.49 Wells Fargo & Company 94986RQH7 06/17/13 06/10/20 100.000 0.000 2.4816 0.073284 0.074194 0.075114 0.076046 0.076990 26.58 27.25 Wells Fargo & Company 94986RQJ3 06/17/13 01/24/20 93.099 0.000 2.3704 0.064418 0.065181 0.065954 0.066735 0.067526 23.57 24.13 Wells Fargo & Company 94986RQR5 08/08/13 08/07/20 100.000 0.000 2.4500 0.071448 0.072323 0.073209 0.074106 0.075014 26.13 26.78 Wells Fargo & Company 94986RQS3 08/08/13 08/07/20 100.000 0.000 2.3798 0.069305 0.070130 0.070964 0.071809 0.072663 25.34 25.94 Wells Fargo & Company 94986RQZ7 09/09/13 09/08/20 100.000 0.000 2.0800 0.060216 0.060843 0.061476 0.062115 0.062761 21.93 22.39 Wells Fargo & Company 94986RRG8 10/03/13 10/07/19 100.000 0.000 1.9198 0.055418 0.055950 0.056487 0.057029 0.057577 20.14 20.52 Wells Fargo & Company 94986RRH6 10/03/13 10/07/20 100.000 0.000 1.9198 0.055419 0.055951 0.056488 0.057030 0.057577 20.14 20.52 Wells Fargo & Company 94986RRS2 11/07/13 05/07/20 100.000 0.000 1.7498 0.050332 0.050772 0.051216 0.051665 0.052117 18.25 18.57 Wells Fargo & Company 94986RSM4 01/03/14 01/04/19 100.000 0.000 1.7402 0.049614 0.050046 0.050481 0.050921 0.051364 18.09 18.41 Wells Fargo & Company 94986RTK7 03/13/14 03/13/19 110.000 0.125 2.1760 0.068569 0.069278 0.069994 0.070717 0.071449 24.97 25.49 Wells Fargo & Company 94986RTM3 03/27/14 03/27/23 100.000 0.000 3.5788 0.104847 0.106723 0.108632 0.110576 0.112555 38.44 39.83 Wells Fargo & Company 94986RUS8 08/25/14 08/25/21 100.000 VARIES 1.0018 0.027653 0.027563 0.027473 0.027508 0.027543 9.92 9.91 Wells Fargo & Company 94986RUW9 09/23/14 09/23/24 100.000 VARIES 2.5650 0.006422 0.006504 0.006587 0.006672 0.006758 2.34 2.40 Wells Fargo & Company 94986RVA6 09/30/14 09/30/24 100.000 VARIES 2.5155 0.006453 0.006534 0.006616 0.006700 0.006784 2.35 2.41 Wells Fargo & Company 94986RVY4 02/23/15 02/21/20 110.000 0.125 2.3384 0.072240 0.073044 0.073858 0.074681 0.075513 26.36 26.95 Wells Fargo & Company 94986RVZ1 02/27/15 02/27/25 100.000 VARIES 2.1820 0.011063 0.010802 0.010537 0.010270 0.009999 3.87 3.68 Wells Fargo & Company 94986RWD9 04/06/15 04/06/22 100.000 0.000 2.0103 0.056405 0.056972 0.057544 0.058123 0.058707 20.50 20.92 Wells Fargo & Company 94986RWJ6 03/31/15 03/31/25 100.000 VARIES 2.0658 0.057156 0.056925 0.056691 0.056454 0.056215 20.49 20.32 Wells Fargo & Company 94986RWQ0 04/22/15 04/22/30 100.000 VARIES 2.2225 0.061351 0.060961 0.060567 0.060168 0.059765 21.96 21.68 Wells Fargo & Company 94986RWU1 04/30/15 03/29/17 100.000 VARIES N/A 0.013135 0.013023 0.012988 0.012978 4.69 1.14 Wells Fargo & Company 94986RWV9 04/29/15 01/27/17 100.000 VARIES 0.4793 0.013142 0.013016 0.012966 4.68 .34 Wells Fargo & Company 94986RWZ0 05/21/15 05/21/27 100.000 VARIES 2.2895 0.011426 0.011068 0.010707 0.010341 0.009971 4.02 3.76 Wells Fargo & Company 94986RX30 10/18/16 10/18/26 100.000 VARIES 2.2447 0.010098 0.009861 0.009622 .74 3.56 Wells Fargo & Company 94986RXQ9 06/30/15 06/30/27 100.000 VARIES 2.5016 0.011208 0.010957 0.010704 0.010447 0.010188 3.99 3.81 Wells Fargo & Company 94986RXR7 06/24/15 06/24/22 100.000 0.250 2.4236 0.068057 0.068797 0.069547 0.070305 0.071073 24.64 25.18 Wells Fargo & Company 94986RXS5 06/22/15 12/21/16 100.000 VARIES 0.4285 0.011578 0.011481 4.03 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Wells Fargo & Company 94986RXZ9 07/29/15 07/29/27 100.000 VARIES 2.4665 0.010583 0.010244 0.009902 0.009555 0.009203 3.65 3.40 Wells Fargo & Company 94986RYP0 09/03/15 09/03/27 100.000 VARIES 2.4322 0.010191 0.009869 0.009543 0.009213 0.008879 3.53 3.30 Wells Fargo & Company 94986RZ46 10/20/16 10/20/26 100.000 VARIES 2.2262 0.013896 0.013572 0.013245 .99 4.90 Wells Fargo & Company 94986RZ79 11/04/16 11/06/23 100.000 0.250 2.8284 0.078568 0.078580 0.079593 0.080620 4.48 28.58 Wells Fargo & Company 94986RZB0 10/05/15 10/05/27 100.000 VARIES 2.2451 0.012165 0.011806 0.011444 0.011077 0.010706 4.25 3.99 Wells Fargo & Company 94986RZJ3 10/09/15 10/09/25 100.000 VARIES 2.2546 0.010529 0.010282 0.010031 0.009777 0.009521 3.71 3.52 Wells Fargo & Company 94986RZL8 10/09/15 10/09/27 100.000 VARIES 2.3810 0.014041 0.013606 0.013165 0.012718 0.012267 4.90 4.59 Wells Fargo & Company 94986RZN4 10/26/15 10/26/27 100.000 VARIES 2.3226 0.064517 0.064165 0.063809 0.063448 0.063084 23.12 22.86 Wells Fargo & Company 94986RZU8 11/13/15 11/13/30 100.000 VARIES 2.4454 0.010876 0.010432 0.009981 0.009526 0.009064 3.79 3.47 Wesco International,Inc. 95082PAH8 08/27/09 09/15/29* 100.000 VARIES 5.9999 0.166667 0.166667 42.33* White CNTYS SD #533, IL 963806DH4 08/04/10 12/01/16 108.932 VARIES 3.8808 0.109497 0.108657 35.98 White CNTYS SD #533, IL 963806DJ0 08/04/10 12/01/17 108.163 VARIES 4.1816 0.119067 0.118362 0.117643 0.116908 42.69 38.69 White CNTYS SD #533, IL 963806DK7 08/04/10 12/01/18 105.851 VARIES 4.6311 0.131740 0.131253 0.130755 0.130245 0.129723 47.31 46.95 White CNTYS SD #533, IL 963806DL5 08/04/10 12/01/19 102.631 VARIES 4.8822 0.137410 0.137204 0.136993 0.136778 0.136557 49.42 49.27 Whiteside County, IL 965772CW4 07/01/15 12/01/16 101.661 0.000 2.2652 0.064572 0.065304 21.44 Will County SD #88, IL 968794ED5 03/03/09 10/01/28 93.191 5.500 6.1005 15.41 0.007638 0.007871 0.008111 0.008358 0.008613 2.83 3.01 Will County SD #122, IL 968852FG3 11/19/97 11/01/16 23.888 0.000 7.6998 700.25 0.198320 0.205955 60.87 Will County SD #122, IL 968852FH1 11/19/97 11/01/17 22.150 0.000 7.6997 649.29 0.183887 0.190966 0.198318 0.205953 68.34 60.87 Will County SD #122, IL 968852TN3 03/15/07 10/01/25 34.635 0.000 5.7999 226.37 0.090953 0.093591 0.096305 0.099098 0.101971 33.70 35.68 Will County SD #122, IL 968852TP8 03/15/07 10/01/26 32.402 0.000 5.8498 214.07 0.086177 0.088697 0.091291 0.093962 0.096710 31.94 33.83 Will County SD #122, IL 968852WL3 04/02/09 10/01/23 92.349 5.250 6.2550 0.021822 0.022505 0.023208 0.023934 0.024683 8.10 8.62 Will County SD #122, IL 968852WM1 04/02/09 10/01/28 24.364 0.000 7.3750 153.59 0.079905 0.082851 0.085907 0.089074 0.092359 29.84 32.08 Will County SD #365, IL 969078QM9 03/17/09 11/01/27 23.731 0.000 7.8743 163.70 0.086579 0.089987 0.093530 0.097213 0.101040 32.20 34.78 Will County SD #365, IL 969078QN7 03/17/09 11/01/28 21.864 0.000 7.8992 151.43 0.080147 0.083312 0.086603 0.090024 0.093579 29.81 32.21 Williamson Jackson, IL 970013EG9 11/20/14 12/01/16 102.004 VARIES 0.9978 0.027992 0.027855 9.21 Williamson Jackson, IL 970013EH7 11/20/14 12/01/17 101.326 VARIES 1.5475 0.043368 0.043274 0.043179 0.043083 15.59 14.23 Williamson Jackson, IL 970013EJ3 11/20/14 12/01/18 103.853 VARIES 1.9960 0.057060 0.056798 0.056533 0.056265 0.055995 20.48 20.29 Williamson Jackson, IL 970013EK0 11/20/14 12/01/19 103.306 VARIES 2.2963 0.065494 0.065290 0.065082 0.064873 0.064661 23.53 23.38 Williamson Jackson, IL 970013EL8 11/20/14 12/01/20 102.500 VARIES 2.5464 0.072231 0.072090 0.071947 0.071802 0.071655 25.97 25.87 Williamson Jackson, IL 970013EM6 11/20/14 12/01/21 101.267 VARIES 2.7966 0.078551 0.078484 0.078417 0.078348 0.078278 28.26 28.21 Williamson Jackson, IL 970013EN4 11/20/14 12/01/22 100.000 VARIES 2.9965 0.083255 0.083254 0.083253 0.083252 0.083251 29.97 29.97 Woodford CNTYS SD #21,IL 979293BE6 06/06/13 12/01/16 105.457 VARIES 1.4904 0.042059 0.041731 13.82 Woodford CNTYS SD #21,IL 979293BF3 06/06/13 12/01/17 106.065 VARIES 1.6914 0.048280 0.047960 0.047637 0.047312 17.30 15.66 Woodford CNTYS SD #21,IL 979293BG1 06/06/13 12/01/18 105.731 VARIES 1.9916 0.057099 0.056811 0.056519 0.056224 0.055926 20.49 20.28 Woodford CNTY SD #60, IL 979319BB5 07/02/10 12/01/16 105.573 VARIES 4.2263 0.118565 0.117988 39.02 Woodford CNTY SD #60, IL 979319BC3 07/02/10 12/01/17 104.694 VARIES 4.4776 0.126197 0.125757 0.125308 0.124848 45.32 41.27 York County, PA 986812MB8 12/28/95 02/01/16 24.378 0.000 7.1496 750.47 0.191746 5.75 York County, PA 986812MC6 12/28/95 02/01/17 22.586 0.000 7.1795 700.65 0.179410 0.185850 0.192522 67.71 5.78 York County, PA 986812MD4 12/28/95 02/01/18 20.780 0.000 7.2396 654.57 0.168344 0.174438 0.180752 0.187295 0.194075 63.56 68.25 York County, PA 986812ME2 12/28/95 02/01/19 19.353 0.000 7.2397 609.64 0.156790 0.162466 0.168347 0.174441 0.180755 59.20 63.56 York County, PA 986812MF9 12/28/95 02/01/20 18.025 0.000 7.2396 567.78 0.146025 0.151311 0.156788 0.162463 0.168344 55.13 59.20 ----------------------------- * Called in 2016; 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 2016 1st 2016 2nd 2016 3rd 2017 2nd 2017 3rd -------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/16 Period Period 2017 1st Period Period 2016 2017 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ York County, PA 986812MG7 12/28/95 02/01/21 16.787 0.000 7.2397 528.81 0.136003 0.140926 0.146027 0.151313 0.156791 51.35 55.14 York County, PA 986812MH5 12/28/95 02/01/22 15.635 0.000 7.2396 492.51 0.126665 0.131251 0.136002 0.140925 0.146026 47.83 51.35 York County, PA 986812MJ1 12/28/95 02/01/23 14.561 0.000 7.2398 458.70 0.117972 0.122242 0.126667 0.131252 0.136004 44.54 47.83 York County, PA 986812MK8 12/28/95 02/01/24 13.562 0.000 7.2396 427.21 0.109872 0.113849 0.117970 0.122241 0.126666 41.48 44.54 York County, PA 986812QD0 12/28/95 02/01/20 18.025 0.000 7.2396 567.78 0.146025 0.151311 0.156788 0.162463 0.168344 55.13 59.20 York County, PA 986812RC1 12/28/95 02/01/20 18.025 0.000 7.2396 567.78 0.146025 0.151311 0.156788 0.162463 0.168344 55.13 59.20 Zions Bancorporation 989701BB2 03/27/12 03/27/17 94.250 4.500 5.8427 41.70 0.034212 0.035211 0.036240 12.69 3.12 Zions Bancorporation 989701BC0 06/20/12 06/20/16 97.500 4.000 4.6927 21.82 0.018803 3.18 QBE Funding Trust G7303WAA9 04/15/02 04/15/22 59.358 0.000 2.6249 255.17 0.061547 0.062355 0.063173 0.064002 0.064842 22.43 23.02 Bumble Bee Holdco S.C.A. L13008AA2 03/10/11 03/15/18 98.138 9.625 10.0006 0.275538 0.275947 0.276376 0.276827 0.277300 99.36 99.67 Banco de Galicia P0R66CAA6 07/19/16 07/19/26 100.000 VARIES 8.7499 0.243053 0.243660 0.244295 39.37 87.81 Transportadora Gas Norte P93081AL4 08/22/12 08/22/19 25.000 VARIES N/A 0.516331 0.576778 0.621916 0.670984 0.727408 196.87 232.83 Bank of America Corp. U0662KBL4 03/18/02 01/04/17 38.300 0.000 6.5924 553.70 0.166147 0.171624 0.177281 62.77 .53 Caesars Entertainment U1229TAB2 02/15/13 02/15/20 97.500 9.000 9.4970 8.37 0.009094 0.009526 0.009978 0.010452 0.010948 3.47 3.81 Caesars Entertainment U1229TAC0 02/15/13 02/15/20 97.500 9.000 9.4970 8.37 0.009094 0.009526 0.009978 0.010452 0.010948 3.47 3.81 Caesars Entertainment U1229TAD8 02/15/13 02/15/20 97.500 9.000 9.4970 8.37 0.009094 0.009526 0.009978 0.010452 0.010948 3.47 3.81 Cheniere Energy, Inc. U16344AB6 11/28/14 05/28/21 100.000 4.875 4.8749 0.142099 0.145562 0.149110 0.152745 0.156468 52.01 54.58 Chesapeake Energy Corp. U16450AT2 12/23/15 12/15/22 48.000 8.000 23.5158 .81 0.089825 0.099925 0.112288 0.124805 0.140246 35.11 43.75 Ardargh MP Holdings Inc. U22154AA3 01/26/12 10/15/20* 96.356 9.125 9.7549 12.80 0.010869 0.011399 1.81* Kansas City Southern U24468AB3 12/09/15 05/15/43 90.810 4.300 4.9135 .10 0.004500 0.004596 0.004709 0.004824 0.004943 1.65 1.73 Kansas City Southern U24468AE7 12/09/15 05/15/20 97.300 2.350 3.0049 .35 0.015940 0.016148 0.016391 0.016637 0.016887 5.80 5.97 Kansas City Southern U24468AF4 12/09/15 05/15/23 95.360 3.000 3.7202 .33 0.015210 0.015456 0.015743 0.016036 0.016335 5.54 5.75 Eclipse Resources Corp. U2779QAA2 07/06/15 07/15/23 97.903 8.875 9.2509 .89 0.005065 0.005299 0.005545 0.005801 0.006069 1.95 2.13 First Data Corporation. U3198DAG9 12/17/10 01/15/22* 95.625 VARIES N/A 0.178401 2.50* Hovnanian Enterprises U48654AM6 11/01/11 11/01/21 53.000 5.000 13.8062 125.05 0.109800 0.117380 0.125483 0.134145 0.143405 41.83 47.81 Hovnanian Enterprises U48654AN4 11/01/11 11/01/21 42.000 2.000 12.1926 0.194737 0.203222 0.212224 0.221775 0.231908 72.68 79.30 Liberty Media Corp. U52892AD5 01/11/01 01/15/31 100.000 3.500 N/A 0.586621 0.606880 0.627793 0.649355 0.671560 221.66 237.15 Milagro Oil & Gas, Inc. U6004KAA3 05/11/11 05/15/16 97.182 10.500 11.2509 25.53 0.019748 2.65 Sabine Pass LNG, LP U8596QAC6 09/15/08 11/30/16 79.000 7.500 11.5231 176.09 0.099911 0.105667 33.91 ----------------------------- * Called in 2016; reportable OID is computed to call date. SECTION I-C Inflation Indexed Debt Instruments Inflation-Adj Stated Issue Maturity Principal on Interest Total OID 2016 1st 2016 2nd 2016 3rd Calendar Year Name of Issuer CUSIP No. Date Date Issue Date Rate to 1/1/16 Period Period Period 2016 ______________ _________ ________ _________ ___________ ________ _________ ________ ________ ________ _____________ U.S. Treasury 912810FD5 04/15/98 04/15/28 100.000 3.625% 470.50 -0.048932 0.126123 0.078392 24.06 U.S. Treasury 912810FH6 04/15/99 04/15/29 100.000 3.875% 446.76 -0.048142 0.124087 0.077126 23.67 U.S. Treasury 912810FQ6 10/15/01 04/15/32 100.000 3.375% 339.93 -0.044588 0.114924 0.071431 21.92 U.S. Treasury 912810FR4 07/15/04 01/15/25 100.000 2.375% 261.76 -0.085909 0.060922 0.063277 20.64 U.S. Treasury 912810FS2 01/15/06 01/15/26 100.000 2.000% 198.31 -0.081589 0.057859 0.060095 19.60 U.S. Treasury 912828ET3 01/15/06 01/15/16 100.000 2.000% 198.31 -0.081589 -1.14 U.S. Treasury 912828FL9 07/15/06 07/15/16 100.000 2.500% 177.70 -0.080185 0.056864 9.23 U.S. Treasury 912810PS1 01/15/07 01/15/27 100.000 2.375% 179.37 -0.080299 0.056945 0.059145 19.29 U.S. Treasury 912828GD6 01/15/07 01/15/17 100.000 2.375% 179.37 -0.080299 0.056945 0.059145 19.29 U.S. Treasury 912828GX2 07/15/07 07/15/17 100.000 2.625% 147.55 -0.078133 0.055408 0.057550 18.77 U.S. Treasury 912828JE1 07/15/08 07/15/18 100.000 0.375% 102.94 -0.075095 0.053254 0.055312 18.04 U.S. Treasury 912828HN3 01/15/08 01/15/18 100.000 1.625% 135.28 -0.077297 0.054816 0.056934 18.57 U.S. Treasury 912810PV4 01/15/08 01/15/28 100.000 1.750% 135.28 -0.077297 0.054816 0.056934 18.57 U.S. Treasury 912810PZ5 01/15/09 01/15/29 100.000 2.500% 107.77 -0.075424 0.053487 0.055554 18.12 U.S. Treasury 912828JX9 01/15/09 01/15/19 100.000 2.125% 107.77 -0.075424 0.053487 0.055554 18.12 U.S. Treasury 912828LA6 07/15/09 07/15/19 100.000 1.875% 113.90 -0.075842 0.053783 0.055862 18.22 U.S. Treasury 912828MF4 01/15/10 01/15/20 100.000 1.375% 99.85 -0.074885 0.053105 0.055157 17.99 U.S. Treasury 912810QF8 02/15/10 02/15/40 100.000 2.125% 100.39 -0.091866 0.092881 0.037639 18.00 U.S. Treasury 912828NM8 07/15/10 07/15/20 100.000 1.250% 90.57 -0.074253 0.052657 0.054692 17.84 U.S. Treasury 912828PP9 01/15/11 01/15/21 100.000 1.125% 87.25 -0.074027 0.052496 0.054525 17.79 U.S. Treasury 912810QP6 02/15/11 02/15/41 100.000 2.125% 86.06 -0.090670 0.091672 0.037149 17.77 U.S. Treasury 912828QD5 04/15/11 04/15/16 100.000 0.125% 77.51 -0.035855 -3.76 U.S. Treasury 912828QV5 07/15/11 07/15/21 100.000 0.625% 55.26 -0.071849 0.050952 0.052921 17.26 U.S. Treasury 912828SA9 01/15/12 01/15/22 100.000 0.125% 50.82 -0.071547 0.050738 0.052699 17.19 U.S. Treasury 912810QV3 02/15/12 02/15/42 100.000 0.750% 52.56 -0.087873 0.088844 0.036003 17.22 U.S. Treasury 912828SQ4 04/15/12 04/15/17 100.000 0.125% 47.14 -0.034845 0.089812 0.055823 17.13 U.S. Treasury 912828TE0 07/15/12 07/15/22 100.000 0.125% 34.24 -0.070418 0.049937 0.051867 16.92 U.S. Treasury 912828UH1 01/15/13 01/15/23 100.000 0.125% 30.40 -0.070156 0.049751 0.051674 16.86 U.S. Treasury 912810RA8 02/15/13 02/15/43 100.000 0.625% 34.48 -0.086364 0.087318 0.035385 16.92 U.S. Treasury 912828UX6 04/15/13 04/15/18 100.000 0.125% 28.89 -0.034237 0.088247 0.054850 16.83 U.S. Treasury 912828VM9 07/15/13 07/15/23 100.000 0.375% 22.00 -0.069584 0.049346 0.051253 16.72 U.S. Treasury 912828B25 01/15/14 01/15/24 100.000 0.625% 19.32 -0.069402 0.049216 0.051119 16.68 U.S. Treasury 912810RF7 02/15/14 02/15/44 100.000 1.375% 20.51 -0.085197 0.086138 0.034907 16.70 U.S. Treasury 912828C99 04/15/14 04/15/19 100.000 0.125% 15.02 -0.033776 0.087057 0.054110 16.61 U.S. Treasury 912828WU0 07/15/14 07/15/24 100.000 0.125% 1.65 -0.068199 0.048363 0.050233 16.39 U.S. Treasury 912828H45 01/15/15 01/15/25 100.000 0.250% 4.15 -0.068369 0.048484 0.050358 16.43 U.S. Treasury 912810RL4 02/15/15 02/15/45 100.000 0.750% 10.01 -0.084321 0.085252 0.034548 16.52 U.S. Treasury 912828K33 04/15/15 04/15/20 100.000 0.125% 15.62 -0.033796 0.087108 0.054142 16.62 U.S. Treasury 912828XL9 07/15/15 07/15/25 100.000 0.375% 2.93 -0.068286 0.048425 0.050297 16.41 U.S. Treasury 912828N71 01/15/16 01/15/26 100.000 0.625% 0.048330 0.050198 17.33 U.S. Treasury 912810RR1 02/15/16 02/15/46 100.000 1.000% 0.084726 0.034334 20.19 U.S. Treasury 912828Q60 04/15/16 04/15/21 100.000 0.125% 0.086070 0.053497 19.92 U.S. Treasury 912828S50 07/15/16 07/15/26 100.000 0.125% 0.049760 8.46 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 2016). Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 01/01/16 03/31/16 0.40 07/01/27 09/30/27 18.42 04/01/16 06/30/16 2.44 10/01/27 12/31/27 18.36 07/01/16 09/30/16 4.18 01/01/28 03/31/28 18.31 10/01/16 12/31/16 6.47 04/01/28 06/30/28 18.32 01/01/17 03/31/17 7.55 07/01/28 09/30/28 18.26 04/01/17 06/30/17 8.62 10/01/28 12/31/28 18.26 07/01/17 09/30/17 9.68 01/01/29 03/31/29 18.20 10/01/17 12/31/17 10.43 04/01/29 06/30/29 18.14 01/01/18 03/31/18 11.08 07/01/29 09/30/29 18.08 04/01/18 06/30/18 11.72 10/01/29 12/31/29 18.02 07/01/18 09/30/18 12.26 01/01/30 03/31/30 18.01 10/01/18 12/31/18 12.69 04/01/30 06/30/30 17.94 01/01/19 03/31/19 13.21 07/01/30 09/30/30 17.82 04/01/19 06/30/19 13.72 10/01/30 12/31/30 17.76 07/01/19 09/30/19 14.13 01/01/31 03/31/31 17.69 10/01/19 12/31/19 14.63 04/01/31 06/30/31 17.62 01/01/20 03/31/20 15.03 07/01/31 09/30/31 17.56 04/01/20 06/30/20 15.51 10/01/31 12/31/31 17.49 07/01/20 09/30/20 15.88 01/01/32 03/31/32 17.37 10/01/20 12/31/20 16.34 04/01/32 06/30/32 17.30 01/01/21 03/31/21 16.70 07/01/32 09/30/32 17.23 04/01/21 06/30/21 17.06 10/01/32 12/31/32 17.11 07/01/21 09/30/21 17.40 01/01/33 03/31/33 17.04 10/01/21 12/31/21 17.73 04/01/33 06/30/33 16.92 01/01/22 03/31/22 17.97 07/01/33 09/30/33 16.85 04/01/22 06/30/22 18.21 10/01/33 12/31/33 16.78 07/01/22 09/30/22 18.35 01/01/34 03/31/34 16.66 10/01/22 12/31/22 18.41 04/01/34 06/30/34 16.59 01/01/23 03/31/23 18.47 07/01/34 09/30/34 16.47 04/01/23 06/30/23 18.52 10/01/34 12/31/34 16.40 07/01/23 09/30/23 18.49 01/01/35 03/31/35 16.33 10/01/23 12/31/23 18.54 04/01/35 06/30/35 16.21 01/01/24 03/31/24 18.51 07/01/35 09/30/35 16.14 04/01/24 06/30/24 18.55 10/01/35 12/31/35 16.06 07/01/24 09/30/24 18.52 01/01/36 03/31/36 15.99 10/01/24 12/31/24 18.56 04/01/36 06/30/36 15.91 01/01/25 03/31/25 18.52 07/01/36 09/30/36 15.83 04/01/25 06/30/25 18.55 10/01/36 12/31/36 15.75 07/01/25 09/30/25 18.51 01/01/37 03/31/37 15.67 10/01/25 12/31/25 18.47 04/01/37 06/30/37 15.59 01/01/26 03/31/26 18.50 07/01/37 09/30/37 15.51 04/01/26 06/30/26 18.46 10/01/37 12/31/37 15.43 (continued) Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 07/01/26 09/30/26 18.48 01/01/38 03/31/38 15.35 10/01/26 12/31/26 18.43 04/01/38 06/30/38 15.26 01/01/27 03/31/27 18.45 07/01/38 09/30/38 15.18 04/01/27 06/30/27 18.40 10/01/38 12/31/38 15.09 01/01/39 03/31/39 15.03 01/01/48 03/31/48 11.59 04/01/39 06/30/39 14.95 04/01/48 06/30/48 11.49 07/01/39 09/30/39 14.86 07/01/48 09/30/48 11.40 10/01/39 12/31/39 14.77 10/01/48 12/31/48 11.31 01/01/40 03/31/40 14.68 01/01/49 03/31/49 11.22 04/01/40 06/30/40 14.61 04/01/49 06/30/49 11.14 07/01/40 09/30/40 14.52 07/01/49 09/30/49 11.05 10/01/40 12/31/40 14.43 10/01/49 12/31/49 10.96 01/01/41 03/31/41 14.34 01/01/50 03/31/50 10.88 04/01/41 06/30/41 14.24 04/01/50 06/30/50 10.79 07/01/41 09/30/41 14.15 07/01/50 09/30/50 10.70 10/01/41 12/31/41 14.05 10/01/50 12/31/50 10.62 01/01/42 03/31/42 13.94 01/01/51 03/31/51 10.54 04/01/42 06/30/42 13.85 04/01/51 06/30/51 10.45 07/01/42 09/30/42 13.75 07/01/51 09/30/51 10.37 10/01/42 12/31/42 13.66 10/01/51 12/31/51 10.29 01/01/43 03/31/43 13.55 01/01/52 03/31/52 10.21 04/01/43 06/30/43 13.45 04/01/52 06/30/52 10.13 07/01/43 09/30/43 13.36 07/01/52 09/30/52 10.05 10/01/43 12/31/43 13.25 10/01/52 12/31/52 9.97 01/01/44 03/31/44 13.16 01/01/53 03/31/53 9.90 04/01/44 06/30/44 13.05 04/01/53 06/30/53 9.82 07/01/44 09/30/44 12.95 07/01/53 09/30/53 9.74 10/01/44 12/31/44 12.85 10/01/53 12/31/53 9.67 01/01/45 03/31/45 12.75 01/01/54 03/31/54 9.59 04/01/45 06/30/45 12.65 04/01/54 06/30/54 9.52 07/01/45 09/30/45 12.55 07/01/54 09/30/54 9.44 10/01/45 12/31/45 12.45 10/01/54 12/31/54 9.37 01/01/46 03/31/46 12.35 01/01/55 03/31/55 9.30 04/01/46 06/30/46 12.25 04/01/55 06/30/55 9.22 07/01/46 09/30/46 12.15 07/01/55 09/30/55 9.15 10/01/46 12/31/46 12.06 10/01/55 12/31/55 9.08 01/01/47 03/31/47 11.96 01/01/56 03/31/56 9.01 04/01/47 06/30/47 11.87 04/01/56 06/30/56 8.94 07/01/47 09/30/47 11.77 07/01/56 09/30/56 8.87 10/01/47 12/31/47 11.68 10/01/56 12/31/56 8.80 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 2016, 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 2016 - December 2017 Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912796FP9 01/07/16 07/09/15 99.957 0.43 912796GX1 01/14/16 07/16/15 99.949 0.51 912796GY9 01/21/16 07/23/15 99.932 0.68 912796GZ6 01/28/16 07/30/15 99.927 0.73 912796FV6 02/04/16 08/06/15 99.917 0.83 912796HB8 02/11/16 08/13/15 99.876 1.24 912796HC6 02/18/16 08/20/15 99.876 1.24 912796HD4 02/25/16 08/27/15 99.899 1.01 912796FZ7 03/03/16 09/03/15 99.864 1.36 912796HF9 03/10/16 09/10/15 99.861 1.39 912796HG7 03/17/16 09/17/15 99.869 1.31 912796HH5 03/24/16 09/24/15 99.942 0.58 912796GD5 03/31/16 10/01/15 99.947 0.53 912796HK8 04/07/16 10/08/15 99.967 0.33 912796HL6 04/14/16 10/15/15 99.960 0.40 912796HM4 04/21/16 10/22/15 99.944 0.56 912796GH6 04/28/16 04/30/15 99.752 2.48 912796HN2 05/05/16 11/05/15 99.858 1.42 912796HR3 05/12/16 11/12/15 99.828 1.72 912796HS1 05/19/16 11/19/15 99.833 1.67 912796GN3 05/26/16 05/28/15 99.742 2.58 912796HT9 06/02/16 12/03/15 99.790 2.10 912796HW2 06/09/16 12/10/15 99.730 2.70 912796HX0 06/16/16 12/17/15 99.704 2.96 912796GS2 06/23/16 06/25/15 99.707 2.93 912796HY8 06/30/16 12/31/15 99.722 2.78 912796HZ5 07/07/16 01/07/16 99.747 2.53 912796JB6 07/14/16 01/14/16 99.762 2.38 912796GW3 07/21/16 07/23/15 99.666 3.34 912796JC4 07/28/16 01/28/16 99.790 2.10 912796JD2 08/04/16 02/04/16 99.765 2.35 912796JF7 08/11/16 02/11/16 99.788 2.12 912796HA0 08/18/16 08/20/15 99.585 4.15 912796CP2 08/24/16 08/17/16 99.996 0.04 912796JG5 08/25/16 02/25/16 99.770 2.30 912796JH3 09/01/16 03/03/16 99.757 2.43 912796JK6 09/08/16 03/10/16 99.760 2.40 912796HE2 09/15/16 09/17/15 99.555 4.45 912796JL4 09/22/16 03/24/16 99.778 2.22 912796JM2 09/29/16 03/31/16 99.760 2.40 912796JN0 10/06/16 04/07/16 99.805 1.95 912796HJ1 10/13/16 10/15/15 99.793 2.07 912796JQ3 10/20/16 04/21/16 99.823 1.77 912796JR1 10/27/16 04/28/16 99.798 2.02 912796JS9 11/03/16 05/05/16 99.800 2.00 912796HQ5 11/10/16 11/12/15 99.494 5.06 912796JU4 11/17/16 05/19/16 99.813 1.87 Section III-A (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912796JV2 11/25/16 05/26/16 99.756 2.44 912796JW0 12/01/16 06/02/16 99.760 2.40 912796HU6 12/08/16 12/10/15 99.252 7.48 912796JY6 12/15/16 06/16/16 99.798 2.02 912796JZ3 12/22/16 06/23/16 99.798 2.02 912796KA6 12/29/16 06/30/16 99.828 1.72 Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912796HV4 01/05/17 01/07/16 99.323 6.77 912796KC2 01/12/17 07/14/16 99.803 1.97 912796KD0 01/19/17 07/21/16 99.783 2.17 912796KE8 01/26/17 07/28/16 99.785 2.15 912796JA8 02/02/17 02/04/16 99.464 5.36 912796KG3 02/09/17 08/11/16 99.778 2.22 912796KH1 02/16/17 08/18/16 99.775 2.25 912796KJ7 02/23/17 08/25/16 99.773 2.27 912796JE0 03/02/17 03/03/16 99.333 6.67 912796KM0 03/09/17 09/08/16 99.762 2.38 912796KN8 03/16/17 09/15/16 99.727 2.73 912796KP3 03/23/17 09/22/16 99.747 2.53 912796JJ9 03/30/17 03/31/16 99.333 6.67 912796KQ1 04/06/17 10/06/16 99.752 2.48 912796JP5 04/27/17 04/28/16 99.388 6.12 912796KU2 05/04/17 11/03/16 99.747 2.53 912796KY4 05/11/17 11/10/16 99.730 2.70 912796KZ1 05/18/17 11/17/16 99.684 3.16 912796JT7 05/25/17 05/26/16 99.307 6.93 912796LA5 06/01/17 12/01/16 99.692 3.08 912796LD9 06/08/17 12/08/16 99.689 3.11 912796LE7 06/15/17 12/15/16 99.674 3.26 912796JX8 06/22/17 06/23/16 99.434 5.66 912796LF4 06/29/17 12/29/16 99.666 3.34 912796KB4 07/20/17 07/21/16 99.444 5.56 912796KF5 08/17/17 08/18/16 99.424 5.76 912796KL2 09/14/17 09/15/16 99.363 6.37 912796KX6 11/09/17 11/10/16 99.297 7.03 912796LB3 12/07/17 12/08/16 99.161 8.39 Section III-B FEDERAL HOME LOAN BANKS Short-Term Obligations Issued at a Discount and Maturing in 2016 Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384RJ0 01/04/16 04/07/15 99.868 1.32 313384RK7 01/05/16 01/05/15 99.708 2.92 313384RL5 01/06/16 01/06/15 99.696 3.04 313384RM3 01/07/16 01/07/15 99.696 3.04 313384RN1 01/08/16 01/08/15 99.696 3.04 313384RR2 01/11/16 01/20/15 99.773 2.27 313384RS0 01/12/16 09/25/15 99.955 0.45 313384RT8 01/13/16 07/08/15 99.932 0.68 313384RU5 01/14/16 04/23/15 99.867 1.33 313384RV3 01/15/16 01/26/15 99.789 2.11 313384RZ4 01/19/16 01/21/15 99.768 2.32 313384SA8 01/20/16 01/21/15 99.767 2.33 313384SB6 01/21/16 01/21/15 99.767 2.33 313384SC4 01/22/16 01/22/15 99.764 2.36 313384SF7 01/25/16 01/27/15 99.778 2.22 313384SG5 01/26/16 01/26/15 99.757 2.43 313384SH3 01/27/16 01/29/15 99.778 2.22 313384SJ9 01/28/16 01/28/15 99.767 2.33 313384SK6 01/29/16 01/29/15 99.767 2.33 313384SN0 02/01/16 02/03/15 99.778 2.22 313384SP5 02/02/16 02/02/15 99.767 2.33 313384SQ3 02/03/16 02/06/15 99.737 2.63 313384SR1 02/04/16 02/09/15 99.760 2.40 313384SS9 02/05/16 02/05/15 99.757 2.43 313384SV2 02/08/16 02/09/15 99.747 2.53 313384SW0 02/09/16 02/09/15 99.730 2.70 313384SX8 02/10/16 02/10/15 99.706 2.94 313384SY6 02/11/16 02/11/15 99.706 2.94 313384SZ3 02/12/16 02/12/15 99.696 3.04 313384TD1 02/16/16 06/26/15 99.869 1.31 313384TE9 02/17/16 02/18/15 99.707 2.93 313384TF6 02/18/16 02/19/15 99.717 2.83 313384TG4 02/19/16 02/19/15 99.696 3.04 313384TK5 02/22/16 08/19/15 99.860 1.40 313384TL3 02/23/16 02/23/15 99.716 2.84 313384TM1 02/24/16 03/02/15 99.731 2.69 313384TN9 02/25/16 02/25/15 99.696 3.04 313384TP4 02/26/16 02/27/15 99.727 2.73 313384TS8 02/29/16 06/04/15 99.835 1.65 313384TT6 03/01/16 03/02/15 99.726 2.74 313384TU3 03/02/16 03/05/15 99.729 2.71 313384TV1 03/03/16 03/03/15 99.722 2.78 313384TW9 03/04/16 03/06/15 99.727 2.73 313384TZ2 03/07/16 03/11/15 99.698 3.02 Section III-B (Continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384UA5 03/08/16 03/09/15 99.699 3.01 313384UB3 03/09/16 04/27/15 99.789 2.11 313384UC1 03/10/16 03/12/15 99.697 3.03 313384UD9 03/11/16 03/11/15 99.695 3.05 313384UG2 03/14/16 09/15/15 99.832 1.68 313384UH0 03/15/16 03/20/15 99.719 2.81 313384UJ6 03/16/16 03/17/15 99.686 3.14 313384UK3 03/17/16 10/14/15 99.918 0.82 313384UL1 03/18/16 03/20/15 99.707 2.93 313384UP2 03/21/16 07/06/15 99.835 1.65 313384UQ0 03/22/16 09/24/15 99.885 1.15 313384UR8 03/23/16 09/23/15 99.874 1.26 313384US6 03/24/16 04/24/15 99.763 2.37 313384UW7 03/28/16 09/25/15 99.874 1.26 313384UX5 03/29/16 04/24/15 99.759 2.41 313384UY3 03/30/16 09/29/15 99.878 1.22 313384UZ0 03/31/16 03/31/15 99.726 2.74 313384VA4 04/01/16 04/02/15 99.726 2.74 313384VD8 04/04/16 04/14/15 99.713 2.87 313384VE6 04/05/16 10/02/15 99.886 1.14 313384VF3 04/06/16 10/07/15 99.881 1.19 313384VG1 04/07/16 04/10/15 99.728 2.72 313384VH9 04/08/16 04/10/15 99.727 2.73 313384VL0 04/11/16 10/13/15 99.889 1.11 313384VM8 04/12/16 04/13/15 99.711 2.89 313384VN6 04/13/16 10/14/15 99.874 1.26 313384VP1 04/14/16 08/14/15 99.783 2.17 313384VQ9 04/15/16 04/16/15 99.716 2.84 313384VT3 04/18/16 07/23/15 99.813 1.87 313384VU0 04/19/16 11/06/15 99.849 1.51 313384VV8 04/20/16 04/23/15 99.728 2.72 313384VW6 04/21/16 08/24/15 99.786 2.14 313384VX4 04/22/16 04/23/15 99.747 2.53 313384WA3 04/25/16 10/20/15 99.898 1.02 313384WB1 04/26/16 08/24/15 99.781 2.19 313384WC9 04/27/16 10/28/15 99.869 1.31 313384WD7 04/28/16 04/28/15 99.715 2.85 313384WE5 04/29/16 04/30/15 99.716 2.84 313384WH8 05/02/16 05/11/15 99.722 2.78 313384WJ4 05/03/16 09/04/15 99.785 2.15 313384WK1 05/04/16 11/04/15 99.849 1.51 313384WL9 05/05/16 05/05/15 99.705 2.95 313384WM7 05/06/16 05/07/15 99.736 2.64 313384WQ8 05/09/16 11/17/15 99.821 1.79 313384WR6 05/10/16 12/07/15 99.806 1.94 313384WS4 05/11/16 11/12/15 99.801 1.99 313384WT2 05/12/16 05/12/15 99.711 2.89 313384WU9 05/13/16 11/13/15 99.798 2.02 313384WX3 05/16/16 09/15/15 99.744 2.56 Section III-B (Continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384WY1 05/17/16 12/17/15 99.780 2.20 313384WZ8 05/18/16 05/19/15 99.696 3.04 313384XA2 05/19/16 12/04/15 99.852 1.48 313384XB0 05/20/16 05/21/15 99.701 2.99 313384XE4 05/23/16 07/29/15 99.734 2.66 313384XF1 05/24/16 11/20/15 99.809 1.91 313384XG9 05/25/16 05/26/15 99.696 3.04 313384XH7 05/26/16 05/26/15 99.695 3.05 313384XJ3 05/27/16 05/28/15 99.696 3.04 313384XN4 05/31/16 11/23/15 99.794 2.06 313384XP9 06/01/16 06/01/15 99.705 2.95 313384XQ7 06/02/16 06/02/15 99.695 3.05 313384XR5 06/03/16 06/03/15 99.685 3.15 313384XU8 06/06/16 06/08/15 99.687 3.13 313384XV6 06/07/16 06/10/15 99.652 3.48 313384XW4 06/08/16 06/08/15 99.665 3.35 313384XX2 06/09/16 06/09/15 99.665 3.35 313384XY0 06/10/16 06/10/15 99.649 3.51 313384YB9 06/13/16 06/15/15 99.646 3.54 313384YC7 06/14/16 06/15/15 99.635 3.65 313384YD5 06/15/16 06/15/15 99.634 3.66 313384YE3 06/16/16 06/19/15 99.647 3.53 313384YF0 06/17/16 06/17/15 99.634 3.66 313384YJ2 06/20/16 09/02/15 99.696 3.04 313384YK9 06/21/16 12/04/15 99.689 3.11 313384YL7 06/22/16 06/23/15 99.655 3.45 313384YM5 06/23/16 01/25/16 99.854 1.46 313384YN3 06/24/16 06/25/15 99.655 3.45 313384YR4 06/27/16 08/28/15 99.713 2.87 313384YS2 06/28/16 06/30/15 99.697 3.03 313384YT0 06/29/16 12/04/15 99.676 3.24 313384YU7 06/30/16 09/03/15 99.686 3.14 313384YV5 07/01/16 07/22/15 99.665 3.35 313384YZ6 07/05/16 07/22/15 99.661 3.39 313384ZA0 07/06/16 07/06/15 99.654 3.46 313384ZB8 07/07/16 09/09/15 99.673 3.27 313384ZC6 07/08/16 07/22/15 99.658 3.42 313384ZF9 07/11/16 01/05/16 99.695 3.05 313384ZG7 07/12/16 07/20/15 99.662 3.38 313384ZH5 07/13/16 07/13/15 99.644 3.56 313384ZJ1 07/14/16 12/17/15 99.673 3.27 313384ZK8 07/15/16 07/16/15 99.645 3.55 313384ZN2 07/18/16 07/20/15 99.636 3.64 313384ZP7 07/19/16 07/22/15 99.647 3.53 313384ZQ5 07/20/16 07/20/15 99.634 3.66 313384ZR3 07/21/16 07/22/15 99.645 3.55 313384ZS1 07/22/16 07/24/15 99.646 3.54 Section III-B (Continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384ZV4 07/25/16 07/31/15 99.650 3.50 313384ZW2 07/26/16 12/23/15 99.670 3.30 313384ZX0 07/27/16 07/29/15 99.656 3.44 313384ZY8 07/28/16 01/06/16 99.683 3.17 313384ZZ5 07/29/16 07/30/15 99.635 3.65 313384A41 08/01/16 08/03/15 99.636 3.64 313384A58 08/02/16 08/04/15 99.626 3.74 313384A66 08/03/16 08/03/15 99.624 3.76 313384A74 08/04/16 08/04/15 99.624 3.76 313384A82 08/05/16 08/06/15 99.594 4.06 313384B32 08/08/16 01/13/16 99.653 3.47 313384B40 08/09/16 08/17/15 99.592 4.08 313384B57 08/10/16 01/13/16 99.650 3.50 313384B65 08/11/16 08/19/15 99.553 4.47 313384B73 08/12/16 08/13/15 99.584 4.16 313384C23 08/15/16 08/27/15 99.617 3.83 313384C31 08/16/16 01/14/16 99.648 3.52 313384C49 08/17/16 02/17/16 99.762 2.38 313384C56 08/18/16 03/23/16 99.819 1.81 313384C64 08/19/16 12/31/15 99.575 4.25 313384C98 08/22/16 12/31/15 99.569 4.31 313384D22 08/23/16 08/25/15 99.596 4.04 313384D30 08/24/16 02/24/16 99.750 2.50 313384D48 08/25/16 04/01/16 99.878 1.22 313384D55 08/26/16 08/27/15 99.605 3.95 313384D89 08/29/16 10/06/15 99.626 3.74 313384D97 08/30/16 12/31/15 99.568 4.32 313384E21 08/31/16 01/22/16 99.661 3.39 313384E39 09/01/16 09/04/15 99.566 4.34 313384E47 09/02/16 09/03/15 99.564 4.36 313384E88 09/06/16 09/08/15 99.545 4.55 313384E96 09/07/16 12/04/15 99.575 4.25 313384F20 09/08/16 09/09/15 99.544 4.56 313384F38 09/09/16 09/10/15 99.544 4.56 313384F61 09/12/16 09/18/15 99.590 4.10 313384F79 09/13/16 10/15/15 99.685 3.15 313384F87 09/14/16 09/15/15 99.544 4.56 313384F95 09/15/16 09/15/15 99.532 4.68 313384G29 09/16/16 09/16/15 99.522 4.78 313384G52 09/19/16 09/23/15 99.578 4.22 313384G60 09/20/16 10/14/15 99.677 3.23 313384G78 09/21/16 12/29/15 99.488 5.12 313384G86 09/22/16 02/22/16 99.763 2.37 313384G94 09/23/16 09/23/15 99.573 4.27 313384H44 09/26/16 12/29/15 99.486 5.14 313384H51 09/27/16 09/28/15 99.574 4.26 313384H69 09/28/16 10/07/15 99.564 4.36 313384H77 09/29/16 10/06/15 99.571 4.29 Section III-B (Continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384H85 09/30/16 10/01/15 99.594 4.06 313384J34 10/03/16 12/04/15 99.476 5.24 313384J42 10/04/16 10/09/15 99.649 3.51 313384J59 10/05/16 10/23/15 99.691 3.09 313384J67 10/06/16 10/06/15 99.644 3.56 313384J75 10/07/16 10/07/15 99.644 3.56 313384K32 10/11/16 10/28/15 99.690 3.10 313384K40 10/12/16 10/15/15 99.647 3.53 313384K57 10/13/16 01/25/16 99.607 3.93 313384K65 10/14/16 01/22/16 99.601 3.99 313384K99 10/17/16 01/25/16 99.601 3.99 313384L23 10/18/16 04/14/16 99.777 2.23 313384L31 10/19/16 03/30/16 99.746 2.54 313384L49 10/20/16 01/29/16 99.573 4.27 313384L56 10/21/16 10/22/15 99.635 3.65 313384L80 10/24/16 01/25/16 99.575 4.25 313384L98 10/25/16 01/25/16 99.574 4.26 313384M22 10/26/16 10/29/15 99.627 3.73 313384M30 10/27/16 10/29/15 99.626 3.74 313384M48 10/28/16 04/07/16 99.762 2.38 313384M71 10/31/16 12/31/15 99.424 5.76 313384M89 11/01/16 11/02/15 99.594 4.06 313384M97 11/02/16 12/31/15 99.403 5.97 313384N21 11/03/16 01/28/16 99.557 4.43 313384N39 11/04/16 11/09/15 99.453 5.47 313384N62 11/07/16 04/06/16 99.749 2.51 313384N70 11/08/16 02/16/16 99.704 2.96 313384N88 11/09/16 11/12/15 99.546 4.54 313384N96 11/10/16 11/10/15 99.441 5.59 313384P52 11/14/16 05/10/16 99.791 2.09 313384P60 11/15/16 11/16/15 99.513 4.87 313384P78 11/16/16 04/15/16 99.743 2.57 313384P86 11/17/16 05/23/16 99.748 2.52 313384P94 11/18/16 11/20/15 99.393 6.07 313384Q44 11/21/16 11/30/15 99.355 6.45 313384Q51 11/22/16 02/26/16 99.700 3.00 313384Q69 11/23/16 12/09/15 99.339 6.61 313384Q85 11/25/16 05/27/16 99.708 2.92 313384R35 11/28/16 12/29/15 99.349 6.51 313384R43 11/29/16 05/18/16 99.762 2.38 313384R50 11/30/16 12/31/15 99.330 6.70 313384R68 12/01/16 12/04/15 99.294 7.06 313384R76 12/02/16 12/03/15 99.331 6.69 313384S26 12/05/16 12/16/15 99.211 7.89 313384S34 12/06/16 12/07/15 99.341 6.59 313384S42 12/07/16 12/09/15 99.272 7.28 313384S59 12/08/16 03/21/16 99.643 3.57 Section III-B (Continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384S67 12/09/16 12/10/15 99.209 7.91 313384S91 12/12/16 12/14/15 99.227 7.73 313384T25 12/13/16 12/14/15 99.229 7.71 313384T33 12/14/16 12/14/15 99.238 7.62 313384T41 12/15/16 12/17/15 99.272 7.28 313384T58 12/16/16 12/17/15 99.199 8.01 313384T82 12/19/16 01/20/16 99.364 6.36 313384T90 12/20/16 04/21/16 99.730 2.70 313384U23 12/21/16 12/31/15 99.308 6.92 313384U31 12/22/16 05/03/16 99.741 2.59 313384U49 12/23/16 02/24/16 99.525 4.75 313384U80 12/27/16 12/29/15 99.272 7.28 313384U98 12/28/16 12/31/15 99.294 7.06 313384V22 12/29/16 12/29/15 99.268 7.32 313384V30 12/30/16 02/29/16 99.619 3.81 Section III-C FEDERAL NATIONAL MORTGAGE ASSOCIATION Short-Term Obligations Issued at a Discount and Maturing in 2016 Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588RJ6 01/04/16 01/12/15 99.772 2.28 313588RK3 01/05/16 01/14/15 99.797 2.03 313588RL1 01/06/16 01/20/15 99.800 2.00 313588RM9 01/07/16 01/14/15 99.796 2.04 313588RN7 01/08/16 01/20/15 99.799 2.01 313588RR8 01/11/16 04/02/15 99.826 1.74 313588RS6 01/12/16 08/31/15 99.920 0.80 313588RT4 01/13/16 07/15/15 99.927 0.73 313588RU1 01/14/16 01/22/15 99.817 1.83 313588RV9 01/15/16 01/21/15 99.816 1.84 313588RZ0 01/19/16 02/05/15 99.836 1.64 313588SA4 01/20/16 02/24/15 99.798 2.02 313588SB2 01/21/16 05/12/15 99.880 1.20 313588SC0 01/22/16 08/03/15 99.926 0.74 313588SF3 01/25/16 03/25/15 99.822 1.78 313588SG1 01/26/16 04/06/15 99.824 1.76 313588SH9 01/27/16 07/29/15 99.909 0.91 313588SJ5 01/28/16 08/18/15 99.896 1.04 313588SK2 01/29/16 03/27/15 99.808 1.92 313588SN6 02/01/16 02/10/15 99.743 2.57 313588SP1 02/02/16 02/18/15 99.738 2.62 313588SQ9 02/03/16 02/24/15 99.771 2.29 313588SR7 02/04/16 02/24/15 99.770 2.30 313588SS5 02/05/16 02/18/15 99.736 2.64 313588SV8 02/08/16 03/31/15 99.791 2.09 313588SW6 02/09/16 06/03/15 99.881 1.19 313588SX4 02/10/16 04/13/15 99.832 1.68 313588SY2 02/11/16 09/02/15 99.883 1.17 313588SZ9 02/12/16 03/02/15 99.778 2.22 313588TD7 02/16/16 02/24/15 99.757 2.43 313588TE5 02/17/16 02/25/15 99.767 2.33 313588TF2 02/18/16 02/26/15 99.767 2.33 313588TG0 02/19/16 03/12/15 99.771 2.29 313588TK1 02/22/16 03/26/15 99.778 2.22 313588TL9 02/23/16 03/20/15 99.783 2.17 313588TM7 02/24/16 03/20/15 99.782 2.18 313588TN5 02/25/16 05/01/15 99.850 1.50 313588TP0 02/26/16 09/03/15 99.892 1.08 313588TS4 02/29/16 04/28/15 99.838 1.62 313588TT2 03/01/16 03/10/15 99.703 2.98 313588TU9 03/02/16 09/02/15 99.857 1.43 313588TV7 03/03/16 03/11/15 99.702 2.98 313588TW5 03/04/16 03/26/15 99.742 2.58 Section III-C (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588TZ8 03/07/16 03/17/15 99.693 3.07 313588UA1 03/08/16 03/07/16 99.999 0.01 313588UB9 03/09/16 03/17/15 99.692 3.08 313588UC7 03/10/16 03/26/15 99.728 2.72 313588UD5 03/11/16 03/17/15 99.690 3.10 313588UG8 03/14/16 03/27/15 99.725 2.75 313588UH6 03/15/16 04/08/15 99.753 2.47 313588UJ2 03/16/16 09/16/15 99.828 1.72 313588UK9 03/17/16 10/08/15 99.928 0.72 313588UL7 03/18/16 03/26/15 99.732 2.69 313588UP8 03/21/16 04/08/15 99.729 2.71 313588UQ6 03/22/16 03/31/15 99.722 2.78 313588UR4 03/23/16 09/23/15 99.889 1.11 313588US2 03/24/16 03/23/16 99.999 0.01 313588UT0 03/25/16 04/09/15 99.766 2.34 313588UW3 03/28/16 10/07/15 99.923 0.77 313588UX1 03/29/16 03/28/16 99.999 0.01 313588UY9 03/30/16 09/30/15 99.884 1.16 313588UZ6 03/31/16 10/07/15 99.922 0.78 313588VA0 04/01/16 04/15/15 99.741 2.59 313588VD4 04/04/16 08/18/15 99.815 1.85 313588VE2 04/05/16 06/05/15 99.805 1.95 313588VF9 04/06/16 07/01/15 99.829 1.71 313588VG7 04/07/16 04/14/15 99.751 2.49 313588VH5 04/08/16 04/16/15 99.736 2.64 313588VL6 04/11/16 05/06/15 99.773 2.27 313588VM4 04/12/16 08/28/15 99.810 1.90 313588VN2 04/13/16 06/10/15 99.803 1.97 313588VP7 04/14/16 05/06/15 99.771 2.29 313588VQ5 04/15/16 05/14/15 99.761 2.39 313588VT9 04/18/16 05/12/15 99.744 2.57 313588VU6 04/19/16 11/16/15 99.901 0.99 313588VV4 04/20/16 08/19/15 99.789 2.11 313588VW2 04/21/16 05/11/15 99.750 2.50 313588VX0 04/22/16 05/11/15 99.749 2.51 313588WA9 04/25/16 05/21/15 99.773 2.27 313588WB7 04/26/16 05/21/15 99.773 2.27 313588WC5 04/27/16 05/21/15 99.772 2.28 313588WD3 04/28/16 05/21/15 99.771 2.29 313588WE1 04/29/16 05/21/15 99.771 2.29 313588WH4 05/02/16 05/12/15 99.733 2.67 313588WJ0 05/03/16 05/21/15 99.749 2.51 313588WK7 05/04/16 05/11/15 99.731 2.69 313588WL5 05/05/16 08/28/15 99.791 2.09 313588WM3 05/06/16 06/05/15 99.767 2.33 313588WQ4 05/09/16 08/25/15 99.792 2.08 313588WR2 05/10/16 05/26/15 99.747 2.53 313588WS0 05/11/16 05/26/15 99.747 2.54 Section III-C (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588WT8 05/12/16 05/28/15 99.757 2.43 313588WU5 05/13/16 07/28/15 99.811 1.89 313588WX9 05/16/16 06/25/15 99.760 2.40 313588WY7 05/17/16 01/06/16 99.864 1.36 313588WZ4 05/18/16 10/09/15 99.855 1.45 313588XA8 05/19/16 08/27/15 99.771 2.29 313588XB6 05/20/16 06/11/15 99.752 2.48 313588XE0 05/23/16 08/03/15 99.775 2.25 313588XF7 05/24/16 08/03/15 99.775 2.25 313588XG5 05/25/16 10/08/15 99.853 1.47 313588XH3 05/26/16 08/26/15 99.764 2.36 313588XJ9 05/27/16 06/26/15 99.762 2.38 313588XN0 05/31/16 06/15/15 99.742 2.58 313588XP5 06/01/16 06/25/15 99.720 2.80 313588XQ3 06/02/16 07/01/15 99.757 2.43 313588XR1 06/03/16 07/01/15 99.756 2.44 313588XU4 06/06/16 07/01/15 99.754 2.46 313588XV2 06/07/16 06/23/15 99.738 2.63 313588XW0 06/08/16 06/26/15 99.715 2.85 313588XX8 06/09/16 07/01/15 99.752 2.48 313588XY6 06/10/16 07/01/15 99.751 2.49 313588YB5 06/13/16 07/01/15 99.739 2.61 313588YC3 06/14/16 07/01/15 99.738 2.62 313588YD1 06/15/16 07/01/15 99.738 2.63 313588YE9 06/16/16 08/11/15 99.681 3.19 313588YF6 06/17/16 06/30/15 99.740 2.60 313588YJ8 06/20/16 10/19/15 99.837 1.63 313588YK5 06/21/16 07/07/15 99.757 2.43 313588YL3 06/22/16 08/18/15 99.700 3.00 313588YM1 06/23/16 06/30/15 99.736 2.64 313588YN9 06/24/16 07/01/15 99.726 2.74 313588YR0 06/27/16 07/31/15 99.723 2.77 313588YS8 06/28/16 08/25/15 99.726 2.74 313588YT6 06/29/16 07/16/15 99.748 2.52 313588YU3 06/30/16 07/15/15 99.747 2.54 313588YV1 07/01/16 07/14/15 99.735 2.65 313588YZ2 07/05/16 07/28/15 99.695 3.05 313588ZA6 07/06/16 08/27/15 99.686 3.14 313588ZB4 07/07/16 07/15/15 99.732 2.68 313588ZC2 07/08/16 07/31/15 99.686 3.14 313588ZF5 07/11/16 02/10/16 99.835 1.65 313588ZG3 07/12/16 02/10/16 99.839 1.62 313588ZH1 07/13/16 11/18/15 99.812 1.88 313588ZJ7 07/14/16 10/07/15 99.805 1.95 313588ZK4 07/15/16 07/27/15 99.685 3.15 313588ZN8 07/18/16 08/19/15 99.629 3.71 313588ZP3 07/19/16 10/08/15 99.790 2.10 Section III-C (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588ZQ1 07/20/16 07/31/15 99.684 3.16 313588ZR9 07/21/16 08/28/15 99.672 3.28 313588ZS7 07/22/16 10/29/15 99.815 1.85 313588ZV0 07/25/16 08/11/15 99.632 3.68 313588ZW8 07/26/16 02/29/16 99.836 1.64 313588ZX6 07/27/16 01/27/16 99.757 2.43 313588ZY4 07/28/16 08/14/15 99.622 3.78 313588ZZ1 07/29/16 08/13/15 99.630 3.71 313588A47 08/01/16 08/10/15 99.603 3.97 313588A54 08/02/16 08/14/15 99.597 4.03 313588A62 08/03/16 08/17/15 99.609 3.91 313588A70 08/04/16 08/13/15 99.603 3.97 313588A88 08/05/16 08/13/15 99.602 3.98 313588B38 08/08/16 08/17/15 99.603 3.97 313588B46 08/09/16 09/11/15 99.639 3.61 313588B53 08/10/16 08/26/15 99.631 3.69 313588B61 08/11/16 10/21/15 99.779 2.21 313588B79 08/12/16 08/20/15 99.592 4.08 313588C29 08/15/16 08/26/15 99.625 3.75 313588C37 08/16/16 08/27/15 99.625 3.75 313588C45 08/17/16 10/07/15 99.764 2.36 313588C52 08/18/16 08/26/15 99.622 3.78 313588C60 08/19/16 08/27/15 99.622 3.78 313588C94 08/22/16 11/09/15 99.705 2.95 313588D28 08/23/16 11/04/15 99.760 2.40 313588D36 08/24/16 11/20/15 99.730 2.70 313588D44 08/25/16 09/17/15 99.619 3.81 313588D51 08/26/16 10/26/15 99.767 2.33 313588D85 08/29/16 02/04/16 99.730 2.70 313588D93 08/30/16 02/22/16 99.773 2.27 313588E27 08/31/16 09/15/15 99.610 3.90 313588E35 09/01/16 09/22/15 99.713 2.88 313588E43 09/02/16 11/04/15 99.748 2.52 313588E84 09/06/16 02/17/16 99.748 2.52 313588E92 09/07/16 09/17/15 99.585 4.15 313588F26 09/08/16 01/28/16 99.689 3.11 313588F34 09/09/16 11/13/15 99.686 3.14 313588F67 09/12/16 10/13/15 99.730 2.70 313588F75 09/13/16 03/31/16 99.825 1.75 313588F83 09/14/16 02/17/16 99.738 2.63 313588F91 09/15/16 02/22/16 99.748 2.52 313588G25 09/16/16 02/10/16 99.714 2.86 313588G58 09/19/16 10/05/15 99.747 2.53 313588G66 09/20/16 11/06/15 99.725 2.75 313588G74 09/21/16 11/09/15 99.657 3.43 313588G82 09/22/16 01/28/16 99.663 3.37 313588G90 09/23/16 10/09/15 99.708 2.92 313588H40 09/26/16 10/16/15 99.702 2.98 Section III-C (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588H57 09/27/16 11/13/15 99.654 3.46 313588H65 09/28/16 02/18/16 99.712 2.88 313588H73 09/29/16 02/22/16 99.725 2.75 313588H81 09/30/16 10/23/15 99.695 3.05 313588J30 10/03/16 10/16/15 99.686 3.14 313588J48 10/04/16 11/17/15 99.656 3.44 313588J55 10/05/16 11/30/15 99.634 3.66 313588J63 10/06/16 10/23/15 99.670 3.30 313588J71 10/07/16 10/19/15 99.685 3.15 313588K38 10/11/16 10/27/15 99.679 3.21 313588K46 10/12/16 11/18/15 99.644 3.56 313588K53 10/13/16 10/26/15 99.667 3.33 313588K61 10/14/16 10/27/15 99.676 3.24 313588K95 10/17/16 02/17/16 99.683 3.17 313588L29 10/18/16 10/26/15 99.672 3.28 313588L37 10/19/16 11/03/15 99.669 3.32 313588L45 10/20/16 10/26/15 99.670 3.30 313588L52 10/21/16 11/19/15 99.635 3.65 313588L86 10/24/16 12/23/15 99.456 5.44 313588L94 10/25/16 05/27/16 99.820 1.80 313588M28 10/26/16 12/30/15 99.490 5.10 313588M36 10/27/16 06/28/16 99.918 0.82 313588M44 10/28/16 12/30/15 99.470 5.30 313588M77 10/31/16 02/18/16 99.659 3.41 313588M85 11/01/16 11/20/15 99.586 4.14 313588M93 11/02/16 12/03/15 99.553 4.47 313588N27 11/03/16 06/10/16 99.846 1.54 313588N35 11/04/16 11/12/15 99.572 4.28 313588N68 11/07/16 12/23/15 99.422 5.78 313588N76 11/08/16 12/04/15 99.528 4.72 313588N84 11/09/16 06/29/16 99.887 1.13 313588N92 11/10/16 12/08/15 99.437 5.63 313588P58 11/14/16 12/02/15 99.555 4.45 313588P66 11/15/16 12/08/15 99.419 5.81 313588P74 11/16/16 02/04/16 99.579 4.21 313588P82 11/17/16 05/19/16 99.757 2.43 313588P90 11/18/16 12/28/15 99.402 5.98 313588Q40 11/21/16 12/23/15 99.388 6.12 313588Q57 11/22/16 01/12/16 99.493 5.07 313588Q65 11/23/16 12/08/15 99.405 5.95 313588Q81 11/25/16 10/05/16 99.965 0.35 313588R31 11/28/16 04/27/16 99.779 2.21 313588R49 11/29/16 12/22/15 99.371 6.29 313588R56 11/30/16 12/31/15 99.414 5.86 313588R64 12/01/16 12/21/15 99.346 6.54 313588R72 12/02/16 12/23/15 99.348 6.52 313588S22 12/05/16 12/22/15 99.341 6.59 Section III-C (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588S30 12/06/16 12/23/15 99.341 6.59 313588S48 12/07/16 12/23/15 99.339 6.61 313588S55 12/08/16 12/21/15 99.333 6.67 313588S63 12/09/16 12/24/15 99.337 6.63 313588S97 12/12/16 06/01/16 99.760 2.40 313588T21 12/13/16 06/01/16 99.759 2.41 313588T39 12/14/16 03/23/16 99.697 3.03 313588T47 12/15/16 12/28/15 99.333 6.67 313588T54 12/16/16 12/29/15 99.333 6.67 313588T88 12/19/16 01/06/16 99.391 6.09 313588T96 12/20/16 01/08/16 99.402 5.98 313588U29 12/21/16 01/12/16 99.408 5.92 313588U37 12/22/16 06/01/16 99.745 2.55 313588U45 12/23/16 01/21/16 99.448 5.52 313588U86 12/27/16 02/18/16 99.570 4.30 313588U94 12/28/16 03/14/16 99.583 4.17 313588V28 12/29/16 02/29/16 99.586 4.14 313588V36 12/30/16 01/05/16 99.370 6.30 Section III-D FEDERAL FARM CREDIT BANKS Short-Term Obligations Issued at a Discount and Maturing in 2016 Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312RJ1 01/04/16 04/16/15 99.839 1.61 313312RK8 01/05/16 04/17/15 99.839 1.61 313312RL6 01/06/16 04/21/15 99.841 1.59 313312RM4 01/07/16 01/26/15 99.750 2.50 313312RN2 01/08/16 04/09/15 99.817 1.83 313312RR3 01/11/16 05/13/15 99.852 1.48 313312RS1 01/12/16 03/17/15 99.766 2.34 313312RT9 01/13/16 04/17/15 99.834 1.66 313312RU6 01/14/16 03/20/15 99.767 2.33 313312RV4 01/15/16 09/01/15 99.898 1.02 313312RZ5 01/19/16 02/23/15 99.753 2.47 313312SA9 01/20/16 05/01/15 99.846 1.54 313312SB7 01/21/16 05/27/15 99.861 1.39 313312SC5 01/22/16 05/19/15 99.842 1.58 313312SF8 01/25/16 08/17/15 99.875 1.25 313312SG6 01/26/16 08/18/15 99.875 1.25 313312SH4 01/27/16 07/06/15 99.892 1.08 313312SJ0 01/28/16 04/24/15 99.830 1.70 313312SK7 01/29/16 03/30/15 99.763 2.37 313312SN1 02/01/16 12/14/15 99.961 0.39 313312SP6 02/02/16 05/05/15 99.826 1.74 313312SQ4 02/03/16 10/05/15 99.936 0.64 313312SR2 02/04/16 05/29/15 99.840 1.60 313312SS0 02/05/16 05/01/15 99.821 1.79 313312SV3 02/08/16 03/11/15 99.731 2.69 313312SW1 02/09/16 03/17/15 99.717 2.83 313312SX9 02/10/16 05/22/15 99.824 1.76 313312SY7 02/11/16 06/30/15 99.843 1.57 313312SZ4 02/12/16 05/01/15 99.817 1.83 313312TD2 02/16/16 08/18/15 99.848 1.52 313312TE0 02/17/16 07/06/15 99.849 1.51 313312TF7 02/18/16 07/08/15 99.863 1.37 313312TG5 02/19/16 08/31/15 99.857 1.43 313312TK6 02/22/16 04/13/15 99.746 2.54 313312TL4 02/23/16 10/08/15 99.943 0.57 313312TM2 02/24/16 12/18/15 99.936 0.64 313312TN0 02/25/16 06/16/15 99.810 1.90 313312TP5 02/26/16 10/20/15 99.939 0.61 313312TS9 02/29/16 03/26/15 99.698 3.02 313312TT7 03/01/16 01/26/16 99.970 0.30 313312TU4 03/02/16 03/04/15 99.697 3.03 313312TV2 03/03/16 10/09/15 99.927 0.73 313312TW0 03/04/16 06/05/15 99.788 2.12 Section III-D (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312TZ3 03/07/16 07/16/15 99.837 1.63 313312UA6 03/08/16 03/25/15 99.680 3.20 313312UB4 03/09/16 05/15/15 99.784 2.16 313312UC2 03/10/16 05/05/15 99.776 2.24 313312UD0 03/11/16 05/29/15 99.785 2.15 313312UG3 03/14/16 05/01/15 99.770 2.30 313312UH1 03/15/16 09/16/15 99.809 1.91 313312UJ7 03/16/16 07/06/15 99.817 1.83 313312UK4 03/17/16 09/02/15 99.814 1.86 313312UL2 03/18/16 03/20/15 99.676 3.24 313312UP3 03/21/16 06/11/15 99.748 2.52 313312UQ1 03/22/16 05/11/15 99.789 2.11 313312UR9 03/23/16 06/29/15 99.814 1.86 313312US7 03/24/16 03/25/15 99.655 3.45 313312UW8 03/28/16 01/29/16 99.944 0.56 313312UX6 03/29/16 02/23/16 99.969 0.31 313312UY4 03/30/16 02/24/16 99.970 0.30 313312UZ1 03/31/16 08/10/15 99.779 2.21 313312VA5 04/01/16 05/13/15 99.730 2.70 313312VD9 04/04/16 04/15/15 99.694 3.06 313312VE7 04/05/16 04/06/15 99.686 3.14 313312VF4 04/06/16 10/30/15 99.872 1.28 313312VG2 04/07/16 08/21/15 99.757 2.43 313312VH0 04/08/16 04/16/15 99.702 2.98 313312VL1 04/11/16 05/15/15 99.733 2.67 313312VM9 04/12/16 05/22/15 99.737 2.63 313312VN7 04/13/16 06/01/15 99.727 2.73 313312VP2 04/14/16 06/16/15 99.714 2.86 313312VQ0 04/15/16 08/03/15 99.772 2.28 313312VT4 04/18/16 12/21/15 99.841 1.59 313312VU1 04/19/16 10/19/15 99.883 1.17 313312VV9 04/20/16 05/01/15 99.694 3.06 313312VW7 04/21/16 10/22/15 99.874 1.26 313312VX5 04/22/16 10/09/15 99.853 1.47 313312WA4 04/25/16 05/29/15 99.714 2.86 313312WB2 04/26/16 06/29/15 99.748 2.52 313312WC0 04/27/16 08/03/15 99.762 2.38 313312WD8 04/28/16 06/10/15 99.695 3.05 313312WE6 04/29/16 08/13/15 99.740 2.60 313312WH9 05/02/16 09/21/15 99.807 1.93 313312WJ5 05/03/16 05/05/15 99.687 3.13 313312WK2 05/04/16 09/30/15 99.789 2.11 313312WL0 05/05/16 10/07/15 99.836 1.64 313312WM8 05/06/16 12/04/15 99.778 2.22 313312WQ9 05/09/16 09/28/15 99.776 2.24 313312WR7 05/10/16 07/06/15 99.717 2.83 313312WS5 05/11/16 05/12/15 99.686 3.14 313312WT3 05/12/16 06/30/15 99.709 2.91 Section III-D (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312WU0 05/13/16 06/02/15 99.692 3.08 313312WX4 05/16/16 03/18/16 99.946 0.54 313312WY2 05/17/16 07/16/15 99.728 2.72 313312WZ9 05/18/16 09/22/15 99.754 2.46 313312XA3 05/19/16 03/04/16 99.924 0.76 313312XB1 05/20/16 06/10/15 99.655 3.45 313312XE5 05/23/16 06/10/15 99.652 3.48 313312XF2 05/24/16 06/23/15 99.683 3.17 313312XG0 05/25/16 09/28/15 99.747 2.53 313312XH8 05/26/16 08/31/15 99.694 3.06 313312XJ4 05/27/16 08/07/15 99.698 3.02 313312XN5 05/31/16 08/12/15 99.699 3.01 313312XP0 06/01/16 03/22/16 99.929 0.71 313312XQ8 06/02/16 12/30/15 99.772 2.28 313312XR6 06/03/16 10/19/15 99.810 1.90 313312XU9 06/06/16 08/14/15 99.670 3.30 313312XV7 06/07/16 08/18/15 99.665 3.35 313312XW5 06/08/16 06/09/15 99.635 3.65 313312XX3 06/09/16 07/10/15 99.712 2.88 313312XY1 06/10/16 06/12/15 99.626 3.74 313312YB0 06/13/16 06/23/15 99.624 3.76 313312YC8 06/14/16 07/24/15 99.683 3.17 313312YD6 06/15/16 09/30/15 99.712 2.88 313312YE4 06/16/16 08/25/15 99.663 3.37 313312YF1 06/17/16 03/18/16 99.904 0.96 313312YJ3 06/20/16 12/21/15 99.682 3.18 313312YK0 06/21/16 04/07/16 99.938 0.62 313312YL8 06/22/16 09/30/15 99.697 3.03 313312YM6 06/23/16 02/23/16 99.859 1.41 313312YN4 06/24/16 05/20/16 99.971 0.29 313312YR5 06/27/16 07/08/15 99.645 3.55 313312YS3 06/28/16 05/24/16 99.972 0.28 313312YT1 06/29/16 09/28/15 99.687 3.13 313312YU8 06/30/16 05/26/16 99.973 0.27 313312YV6 07/01/16 07/02/15 99.615 3.85 313312YZ7 07/05/16 07/24/15 99.624 3.76 313312ZA1 07/06/16 07/27/15 99.636 3.64 313312ZB9 07/07/16 07/31/15 99.611 3.89 313312ZC7 07/08/16 12/21/15 99.633 3.67 313312ZF0 07/11/16 09/22/15 99.674 3.26 313312ZG8 07/12/16 02/12/16 99.820 1.80 313312ZH6 07/13/16 12/31/15 99.664 3.36 313312ZJ2 07/14/16 01/04/16 99.664 3.36 313312ZK9 07/15/16 08/03/15 99.605 3.95 313312ZN3 07/18/16 03/23/16 99.864 1.36 313312ZP8 07/19/16 02/19/16 99.820 1.80 313312ZQ6 07/20/16 07/24/15 99.598 4.02 Section III-D (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312ZR4 07/21/16 07/28/15 99.611 3.89 313312ZS2 07/22/16 10/09/15 99.737 2.63 313312ZV5 07/25/16 08/10/15 99.572 4.28 313312ZW3 07/26/16 09/16/15 99.581 4.19 313312ZX1 07/27/16 09/28/15 99.638 3.62 313312ZY9 07/28/16 11/04/15 99.689 3.11 313312ZZ6 07/29/16 09/30/15 99.638 3.62 313312A42 08/01/16 09/18/15 99.629 3.71 313312A59 08/02/16 09/29/15 99.624 3.76 313312A67 08/03/16 08/28/15 99.574 4.26 313312A75 08/04/16 08/05/15 99.574 4.26 313312A83 08/05/16 10/19/15 99.717 2.83 313312B33 08/08/16 09/30/15 99.609 3.91 313312B41 08/09/16 07/05/16 99.973 0.27 313312B58 08/10/16 09/03/15 99.573 4.27 313312B66 08/11/16 09/03/15 99.571 4.29 313312B74 08/12/16 08/14/15 99.545 4.55 313312C24 08/15/16 08/19/15 99.527 4.73 313312C32 08/16/16 10/30/15 99.685 3.15 313312C40 08/17/16 09/01/15 99.561 4.39 313312C57 08/18/16 12/10/15 99.475 5.25 313312C65 08/19/16 09/21/15 99.612 3.88 313312C99 08/22/16 04/21/16 99.874 1.26 313312D23 08/23/16 01/27/16 99.681 3.19 313312D31 08/24/16 04/27/16 99.884 1.16 313312D49 08/25/16 08/27/15 99.525 4.75 313312D56 08/26/16 10/15/15 99.684 3.16 313312D80 08/29/16 10/14/15 99.680 3.20 313312D98 08/30/16 09/29/15 99.571 4.29 313312E22 08/31/16 11/25/15 99.588 4.12 313312E30 09/01/16 09/02/15 99.523 4.77 313312E48 09/02/16 09/18/15 99.572 4.28 313312E89 09/06/16 10/16/15 99.665 3.35 313312E97 09/07/16 10/20/15 99.668 3.32 313312F21 09/08/16 01/19/16 99.592 4.08 313312F39 09/09/16 04/19/16 99.829 1.71 313312F62 09/12/16 10/14/15 99.657 3.43 313312F70 09/13/16 10/09/15 99.632 3.68 313312F88 09/14/16 05/18/16 99.864 1.36 313312F96 09/15/16 09/16/15 99.473 5.27 313312G20 09/16/16 10/27/15 99.657 3.43 313312G53 09/19/16 10/05/15 99.640 3.60 313312G61 09/20/16 01/19/16 99.558 4.42 313312G79 09/21/16 11/27/15 99.485 5.15 313312G87 09/22/16 03/31/16 99.767 2.33 313312G95 09/23/16 08/22/16 99.974 0.26 313312H45 09/26/16 10/21/15 99.631 3.69 313312H52 09/27/16 09/29/15 99.545 4.55 Section III-D (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312H60 09/28/16 10/09/15 99.606 3.94 313312H78 09/29/16 10/05/15 99.610 3.90 313312H86 09/30/16 10/28/15 99.643 3.57 313312J35 10/03/16 10/05/15 99.606 3.94 313312J43 10/04/16 10/20/15 99.611 3.89 313312J50 10/05/16 10/06/15 99.594 4.06 313312J68 10/06/16 03/30/16 99.731 2.69 313312J76 10/07/16 10/08/15 99.594 4.06 313312K33 10/11/16 10/13/15 99.596 4.04 313312K41 10/12/16 10/27/15 99.610 3.90 313312K58 10/13/16 11/04/15 99.532 4.68 313312K66 10/14/16 10/15/15 99.594 4.06 313312K90 10/17/16 01/15/16 99.479 5.21 313312L24 10/18/16 10/19/15 99.594 4.06 313312L32 10/19/16 10/23/15 99.588 4.12 313312L40 10/20/16 01/29/16 99.551 4.49 313312L57 10/21/16 11/02/15 99.548 4.52 313312L81 10/24/16 04/12/16 99.756 2.44 313312L99 10/25/16 05/24/16 99.773 2.27 313312M23 10/26/16 12/30/15 99.348 6.52 313312M31 10/27/16 10/29/15 99.555 4.45 313312M49 10/28/16 07/29/16 99.906 0.94 313312M72 10/31/16 06/14/16 99.838 1.62 313312M80 11/01/16 11/02/15 99.523 4.77 313312M98 11/02/16 11/04/15 99.474 5.26 313312N22 11/03/16 11/04/15 99.473 5.27 313312N30 11/04/16 11/12/15 99.364 6.36 313312N63 11/07/16 05/06/16 99.779 2.21 313312N71 11/08/16 11/17/15 99.385 6.15 313312N89 11/09/16 02/12/16 99.586 4.14 313312N97 11/10/16 02/23/16 99.587 4.13 313312P53 11/14/16 04/04/16 99.670 3.30 313312P61 11/15/16 11/16/15 99.371 6.29 313312P79 11/16/16 03/07/16 99.541 4.59 313312P87 11/17/16 11/18/15 99.371 6.29 313312P95 11/18/16 11/25/15 99.372 6.28 313312Q45 11/21/16 03/28/16 99.570 4.30 313312Q52 11/22/16 04/13/16 99.684 3.16 313312Q60 11/23/16 04/14/16 99.684 3.16 313312Q86 11/25/16 07/13/16 99.850 1.50 313312R36 11/28/16 04/26/16 99.676 3.24 313312R44 11/29/16 01/29/16 99.449 5.51 313312R51 11/30/16 12/02/15 99.312 6.88 313312R69 12/01/16 12/02/15 99.290 7.10 313312R77 12/02/16 04/18/16 99.664 3.36 313312S27 12/05/16 12/11/15 99.200 8.00 Section III-D (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312S35 12/06/16 02/29/16 99.532 4.68 313312S43 12/07/16 04/14/16 99.645 3.55 313312S50 12/08/16 03/15/16 99.486 5.14 313312S68 12/09/16 06/10/16 99.737 2.63 313312S92 12/12/16 03/03/16 99.464 5.36 313312T26 12/13/16 04/15/16 99.637 3.63 313312T34 12/14/16 02/01/16 99.428 5.72 313312T42 12/15/16 07/14/16 99.825 1.75 313312T59 12/16/16 05/31/16 99.663 3.37 313312T83 12/19/16 07/12/16 99.809 1.91 313312T91 12/20/16 02/19/16 99.492 5.08 313312U24 12/21/16 03/24/16 99.486 5.14 313312U32 12/22/16 05/27/16 99.640 3.60 313312U40 12/23/16 02/22/16 99.509 4.91 313312U81 12/27/16 04/15/16 99.616 3.84 313312U99 12/28/16 05/17/16 99.681 3.19 313312V23 12/29/16 04/19/16 99.605 3.95 313312V31 12/30/16 04/28/16 99.617 3.83 Section III-E FEDERAL HOME LOAN MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2016 Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396RJ4 01/04/16 01/08/15 99.794 2.06 313396RK1 01/05/16 01/23/15 99.827 1.73 313396RL9 01/06/16 01/09/15 99.794 2.06 313396RM7 01/07/16 01/26/15 99.827 1.73 313396RN5 01/08/16 03/05/15 99.820 1.80 313396RR6 01/11/16 06/15/15 99.918 0.82 313396RS4 01/12/16 01/16/15 99.814 1.86 313396RT2 01/13/16 01/21/15 99.817 1.83 313396RU9 01/14/16 01/21/15 99.816 1.84 313396RV7 01/15/16 02/02/15 99.836 1.64 313396RZ8 01/19/16 01/15/16 99.999 0.01 313396SA2 01/20/16 02/20/15 99.787 2.13 313396SB0 01/21/16 02/27/15 99.804 1.96 313396SC8 01/22/16 02/19/15 99.785 2.15 313396SF1 01/25/16 05/01/15 99.880 1.20 313396SG9 01/26/16 02/26/15 99.805 1.95 313396SH7 01/27/16 07/09/15 99.933 0.67 313396SJ3 01/28/16 03/04/15 99.798 2.02 313396SK0 01/29/16 03/04/15 99.798 2.02 313396SN4 02/01/16 04/24/15 99.855 1.45 313396SP9 02/02/16 02/19/15 99.778 2.22 313396SQ7 02/03/16 05/15/15 99.861 1.39 313396SR5 02/04/16 08/07/15 99.907 0.93 313396SS3 02/05/16 04/22/15 99.851 1.49 313396SV6 02/08/16 02/23/15 99.757 2.43 313396SW4 02/09/16 03/11/15 99.777 2.23 313396SX2 02/10/16 03/11/15 99.776 2.24 313396SY0 02/11/16 03/05/15 99.776 2.24 313396SZ7 02/12/16 02/25/15 99.756 2.44 313396TD5 02/16/16 07/16/15 99.919 0.81 313396TE3 02/17/16 02/24/15 99.751 2.49 313396TF0 02/18/16 02/17/16 99.999 0.01 313396TG8 02/19/16 03/04/15 99.756 2.44 313396TK9 02/22/16 03/04/15 99.753 2.47 313396TL7 02/23/16 09/21/15 99.916 0.84 313396TM5 02/24/16 03/13/15 99.739 2.61 313396TN3 02/25/16 03/12/15 99.747 2.53 313396TP8 02/26/16 08/05/15 99.898 1.02 313396TS2 02/29/16 03/13/15 99.735 2.65 313396TT0 03/01/16 03/13/15 99.735 2.65 313396TU7 03/02/16 03/26/15 99.744 2.56 313396TV5 03/03/16 07/09/15 99.898 1.02 313396TW3 03/04/16 04/22/15 99.824 1.76 Section III-E (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396TZ6 03/07/16 08/13/15 99.871 1.29 313396UA9 03/08/16 03/11/15 99.728 2.72 313396UB7 03/09/16 08/18/15 99.853 1.47 313396UC5 03/10/16 04/29/15 99.833 1.67 313396UD3 03/11/16 06/18/15 99.848 1.52 313396UG6 03/14/16 04/29/15 99.827 1.73 313396UH4 03/15/16 06/25/15 99.850 1.50 313396UJ0 03/16/16 03/18/15 99.676 3.24 313396UK7 03/17/16 03/19/15 99.676 3.24 313396UL5 03/18/16 04/08/15 99.780 2.20 313396UP6 03/21/16 04/08/15 99.778 2.22 313396UQ4 03/22/16 04/08/15 99.777 2.23 313396UR2 03/23/16 03/23/15 99.705 2.95 313396US0 03/24/16 03/26/15 99.707 2.93 313396UT8 03/25/16 04/08/15 99.775 2.25 313396UW1 03/28/16 04/08/15 99.773 2.27 313396UX9 03/29/16 04/08/15 99.773 2.27 313396UY7 03/30/16 05/13/15 99.808 1.92 313396UZ4 03/31/16 04/02/15 99.727 2.73 313396VA8 04/01/16 04/02/15 99.726 2.74 313396VD2 04/04/16 04/21/15 99.764 2.36 313396VE0 04/05/16 04/06/15 99.757 2.43 313396VF7 04/06/16 04/28/15 99.771 2.29 313396VG5 04/07/16 04/30/15 99.767 2.33 313396VH3 04/08/16 04/14/15 99.760 2.40 313396VL4 04/11/16 07/10/15 99.858 1.42 313396VM2 04/12/16 05/06/15 99.772 2.28 313396VN0 04/13/16 04/20/15 99.761 2.39 313396VP5 04/14/16 05/18/15 99.783 2.17 313396VQ3 04/15/16 04/24/15 99.752 2.48 313396VT7 04/18/16 04/15/16 99.998 0.02 313396VU4 04/19/16 04/22/15 99.738 2.62 313396VV2 04/20/16 04/22/15 99.737 2.63 313396VW0 04/21/16 04/29/15 99.741 2.59 313396VX8 04/22/16 04/22/15 99.736 2.64 313396WA7 04/25/16 10/26/15 99.889 1.11 313396WB5 04/26/16 12/03/15 99.859 1.41 313396WC3 04/27/16 04/30/15 99.738 2.62 313396WD1 04/28/16 04/30/15 99.727 2.73 313396WE9 04/29/16 04/30/15 99.726 2.74 313396WH2 05/02/16 06/24/15 99.770 2.30 313396WJ8 05/03/16 05/08/15 99.759 2.41 313396WK5 05/04/16 07/02/15 99.800 2.00 313396WL3 05/05/16 05/05/15 99.720 2.80 313396WM1 05/06/16 05/11/15 99.759 2.41 313396WQ2 05/09/16 05/18/15 99.732 2.68 313396WR0 05/10/16 08/18/15 99.767 2.33 313396WS8 05/11/16 08/20/15 99.768 2.32 Section III-E (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396WT6 05/12/16 05/13/15 99.716 2.84 313396WU3 05/13/16 05/12/16 99.999 0.01 313396WX7 05/16/16 06/25/15 99.769 2.31 313396WY5 05/17/16 05/19/15 99.707 2.93 313396WZ2 05/18/16 05/19/15 99.710 2.90 313396XA6 05/19/16 05/20/15 99.711 2.89 313396XB4 05/20/16 05/28/15 99.741 2.59 313396XE8 05/23/16 05/28/15 99.739 2.61 313396XF5 05/24/16 05/27/15 99.718 2.82 313396XG3 05/25/16 05/29/15 99.749 2.51 313396XH1 05/26/16 05/28/15 99.737 2.63 313396XJ7 05/27/16 05/26/16 99.999 0.01 313396XN8 05/31/16 09/04/15 99.779 2.21 313396XP3 06/01/16 06/16/15 99.708 2.92 313396XQ1 06/02/16 06/09/15 99.721 2.79 313396XR9 06/03/16 07/16/15 99.767 2.33 313396XU2 06/06/16 01/06/16 99.823 1.77 313396XV0 06/07/16 06/11/15 99.718 2.82 313396XW8 06/08/16 06/11/15 99.718 2.82 313396XX6 06/09/16 12/08/15 99.737 2.63 313396XY4 06/10/16 06/22/15 99.710 2.90 313396YB3 06/13/16 09/23/15 99.809 1.91 313396YC1 06/14/16 11/23/15 99.836 1.64 313396YD9 06/15/16 09/22/15 99.807 1.93 313396YE7 06/16/16 06/23/15 99.691 3.09 313396YF4 06/17/16 11/24/15 99.817 1.83 313396YJ6 06/20/16 12/16/15 99.727 2.73 313396YK3 06/21/16 11/13/15 99.847 1.53 313396YL1 06/22/16 09/24/15 99.804 1.96 313396YM9 06/23/16 11/25/15 99.807 1.93 313396YN7 06/24/16 07/14/15 99.760 2.40 313396YR8 06/27/16 07/07/15 99.753 2.47 313396YS6 06/28/16 07/07/15 99.752 2.48 313396YT4 06/29/16 06/30/15 99.706 2.94 313396YU1 06/30/16 06/30/15 99.705 2.95 313396YV9 07/01/16 12/21/15 99.732 2.68 313396YZ0 07/05/16 07/15/15 99.713 2.87 313396ZA4 07/06/16 12/16/15 99.696 3.04 313396ZB2 07/07/16 07/14/15 99.711 2.89 313396ZC0 07/08/16 07/14/15 99.710 2.90 313396ZF3 07/11/16 09/01/15 99.708 2.92 313396ZG1 07/12/16 07/14/15 99.707 2.93 313396ZH9 07/13/16 07/20/15 99.701 2.99 313396ZJ5 07/14/16 07/21/15 99.671 3.29 313396ZK2 07/15/16 07/21/15 99.670 3.30 313396ZN6 07/18/16 07/15/16 99.998 0.02 313396ZP1 07/19/16 06/20/16 99.983 0.17 Section III-E (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396ZQ9 07/20/16 01/14/16 99.744 2.56 313396ZR7 07/21/16 09/09/15 99.697 3.03 313396ZS5 07/22/16 09/24/15 99.765 2.35 313396ZV8 07/25/16 09/23/15 99.762 2.38 313396ZW6 07/26/16 07/25/16 99.999 0.01 313396ZX4 07/27/16 12/31/15 99.710 2.90 313396ZY2 07/28/16 12/31/15 99.708 2.92 313396ZZ9 07/29/16 12/10/15 99.639 3.61 313396A45 08/01/16 08/17/15 99.611 3.89 313396A52 08/02/16 01/25/16 99.752 2.48 313396A60 08/03/16 08/14/15 99.606 3.94 313396A78 08/04/16 08/28/15 99.658 3.42 313396A86 08/05/16 08/17/15 99.607 3.93 313396B36 08/08/16 09/24/15 99.734 2.66 313396B44 08/09/16 08/12/15 99.607 3.93 313396B51 08/10/16 08/14/15 99.598 4.02 313396B69 08/11/16 09/28/15 99.748 2.52 313396B77 08/12/16 08/18/15 99.600 4.00 313396C27 08/15/16 09/28/15 99.745 2.55 313396C35 08/16/16 10/01/15 99.742 2.58 313396C43 08/17/16 08/16/16 99.999 0.01 313396C50 08/18/16 07/18/16 99.979 0.21 313396C68 08/19/16 02/22/16 99.757 2.43 313396C92 08/22/16 09/22/15 99.716 2.84 313396D26 08/23/16 09/22/15 99.715 2.85 313396D34 08/24/16 08/25/15 99.615 3.85 313396D42 08/25/16 09/22/15 99.714 2.86 313396D59 08/26/16 09/01/15 99.610 3.90 313396D83 08/29/16 09/03/15 99.622 3.78 313396D91 08/30/16 09/04/15 99.639 3.61 313396E25 08/31/16 09/02/15 99.606 3.94 313396E33 09/01/16 12/22/15 99.601 3.99 313396E41 09/02/16 09/04/15 99.636 3.64 313396E82 09/06/16 09/11/15 99.592 4.08 313396E90 09/07/16 03/03/16 99.749 2.51 313396F24 09/08/16 09/11/15 99.588 4.12 313396F32 09/09/16 01/22/16 99.673 3.27 313396F65 09/12/16 11/20/15 99.720 2.80 313396F73 09/13/16 11/13/15 99.746 2.54 313396F81 09/14/16 11/13/15 99.745 2.55 313396F99 09/15/16 09/25/15 99.689 3.11 313396G23 09/16/16 11/30/15 99.656 3.44 313396G56 09/19/16 09/23/15 99.663 3.37 313396G64 09/20/16 11/19/15 99.703 2.97 313396G72 09/21/16 09/24/15 99.662 3.38 313396G80 09/22/16 09/23/15 99.660 3.40 313396G98 09/23/16 02/22/16 99.733 2.67 Section III-E (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396H48 09/26/16 11/13/15 99.726 2.74 313396H55 09/27/16 02/23/16 99.729 2.71 313396H63 09/28/16 01/20/16 99.636 3.64 313396H71 09/29/16 11/13/15 99.724 2.76 313396H89 09/30/16 10/15/15 99.737 2.63 313396J38 10/03/16 11/25/15 99.635 3.65 313396J46 10/04/16 04/13/16 99.841 1.59 313396J53 10/05/16 12/22/15 99.520 4.80 313396J61 10/06/16 11/30/15 99.611 3.89 313396J79 10/07/16 11/30/15 99.610 3.90 313396K36 10/11/16 03/16/16 99.710 2.90 313396K44 10/12/16 11/30/15 99.604 3.96 313396K51 10/13/16 10/20/15 99.731 2.69 313396K69 10/14/16 12/17/15 99.480 5.20 313396K93 10/17/16 04/11/16 99.791 2.09 313396L27 10/18/16 10/17/16 99.999 0.01 313396L35 10/19/16 10/23/15 99.698 3.02 313396L43 10/20/16 11/25/15 99.606 3.94 313396L50 10/21/16 01/12/16 99.548 4.52 313396L84 10/24/16 12/02/15 99.541 4.59 313396L92 10/25/16 11/05/15 99.606 3.94 313396M26 10/26/16 11/06/15 99.606 3.94 313396M34 10/27/16 12/02/15 99.537 4.63 313396M42 10/28/16 02/10/16 99.652 3.48 313396M75 10/31/16 11/06/15 99.600 4.00 313396M83 11/01/16 08/01/16 99.921 0.79 313396M91 11/02/16 04/13/16 99.794 2.06 313396N25 11/03/16 06/08/16 99.819 1.81 313396N33 11/04/16 11/25/15 99.559 4.41 313396N66 11/07/16 12/03/15 99.471 5.29 313396N74 11/08/16 03/30/16 99.737 2.63 313396N82 11/09/16 12/07/15 99.418 5.82 313396N90 11/10/16 01/07/16 99.504 4.96 313396P56 11/14/16 12/10/15 99.367 6.33 313396P64 11/15/16 01/20/16 99.525 4.75 313396P72 11/16/16 12/11/15 99.365 6.35 313396P80 11/17/16 12/15/15 99.394 6.06 313396P98 11/18/16 12/15/15 99.393 6.07 313396Q48 11/21/16 12/15/15 99.387 6.13 313396Q55 11/22/16 12/18/15 99.391 6.09 313396Q63 11/23/16 12/18/15 99.389 6.11 313396Q89 11/25/16 12/18/15 99.385 6.15 313396R39 11/28/16 12/18/15 99.380 6.20 313396R47 11/29/16 06/16/16 99.829 1.71 313396R54 11/30/16 12/02/15 99.474 5.26 313396R62 12/01/16 12/07/15 99.364 6.36 313396R70 12/02/16 12/04/15 99.378 6.22 313396S20 12/05/16 01/07/16 99.427 5.73 Section III-E (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396S38 12/06/16 12/08/15 99.353 6.47 313396S46 12/07/16 02/25/16 99.627 3.73 313396S53 12/08/16 12/10/15 99.302 6.98 313396S61 12/09/16 12/16/15 99.337 6.63 313396S95 12/12/16 12/09/16 99.998 0.02 313396T29 12/13/16 01/26/16 99.481 5.19 313396T37 12/14/16 01/19/16 99.464 5.36 313396T45 12/15/16 01/27/16 99.480 5.20 313396T52 12/16/16 01/26/16 99.476 5.24 313396T86 12/19/16 02/25/16 99.607 3.93 313396T94 12/20/16 01/26/16 99.470 5.30 313396U27 12/21/16 02/25/16 99.604 3.96 313396U35 12/22/16 05/13/16 99.746 2.54 313396U43 12/23/16 04/19/16 99.724 2.76 313396U84 12/27/16 05/31/16 99.749 2.51 313396U92 12/28/16 12/30/15 99.353 6.47 313396V26 12/29/16 04/21/16 99.731 2.69 313396V34 12/30/16 01/25/16 99.448 5.52 Section III-F FEDERAL AGRICULTURAL MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2016 Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KRJ1 01/04/16 06/23/15 99.892 1.08 31315KRK8 01/05/16 09/23/15 99.939 0.61 31315KRL6 01/06/16 07/06/15 99.898 1.02 31315KRM4 01/07/16 12/02/15 99.979 0.21 31315KRR3 01/11/16 01/16/15 99.740 2.60 31315KRS1 01/12/16 12/15/15 99.977 0.23 31315KRT9 01/13/16 12/08/15 99.973 0.27 31315KRU6 01/14/16 01/16/15 99.741 2.59 31315KRV4 01/15/16 03/12/15 99.785 2.15 31315KRZ5 01/19/16 01/23/15 99.729 2.71 31315KSA9 01/20/16 12/22/15 99.979 0.21 31315KSB7 01/21/16 01/20/16 99.999 0.01 31315KSC5 01/22/16 04/07/15 99.799 2.01 31315KSF8 01/25/16 04/20/15 99.830 1.71 31315KSG6 01/26/16 01/26/15 99.726 2.74 31315KSH4 01/27/16 01/11/16 99.991 0.09 31315KSJ0 01/28/16 02/18/15 99.705 2.95 31315KSK7 01/29/16 01/21/16 99.994 0.06 31315KSN1 02/01/16 02/27/15 99.736 2.64 31315KSP6 02/02/16 02/01/16 99.999 0.01 31315KSQ4 02/03/16 02/03/15 99.727 2.73 31315KSR2 02/04/16 01/06/16 99.978 0.22 31315KSS0 02/05/16 04/29/15 99.813 1.87 31315KSV3 02/08/16 02/24/15 99.720 2.80 31315KSW1 02/09/16 01/13/16 99.980 0.20 31315KSX9 02/10/16 02/10/15 99.670 3.29 31315KSY7 02/11/16 02/10/16 99.999 0.01 31315KSZ4 02/12/16 02/18/15 99.652 3.48 31315KTD2 02/16/16 08/12/15 99.847 1.53 31315KTE0 02/17/16 02/17/15 99.645 3.55 31315KTF7 02/18/16 02/18/15 99.647 3.53 31315KTG5 02/19/16 01/20/16 99.975 0.25 31315KTK6 02/22/16 08/25/15 99.845 1.55 31315KTL4 02/23/16 02/12/16 99.991 0.09 31315KTM2 02/24/16 02/12/16 99.993 0.07 31315KTN0 02/25/16 01/11/16 99.970 0.30 31315KTP5 02/26/16 02/11/16 99.992 0.08 31315KTS9 02/29/16 02/02/16 99.978 0.22 31315KTT7 03/01/16 10/13/15 99.907 0.93 31315KTU4 03/02/16 02/01/16 99.973 0.27 31315KTV2 03/03/16 02/04/16 99.976 0.24 31315KTW0 03/04/16 12/01/15 99.916 0.84 Section III-F (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KTZ3 03/07/16 01/14/16 99.954 0.46 31315KUA6 03/08/16 12/09/15 99.871 1.29 31315KUB4 03/09/16 02/05/16 99.973 0.27 31315KUC2 03/10/16 03/11/15 99.645 3.55 31315KUD0 03/11/16 03/04/16 99.995 0.05 31315KUG3 03/14/16 02/18/16 99.979 0.21 31315KUH1 03/15/16 10/06/15 99.888 1.12 31315KUJ7 03/16/16 12/17/15 99.880 1.20 31315KUK4 03/17/16 12/07/15 99.889 1.11 31315KUL2 03/18/16 03/09/16 99.994 0.06 31315KUP3 03/21/16 12/14/15 99.876 1.24 31315KUQ1 03/22/16 12/16/15 99.879 1.21 31315KUR9 03/23/16 10/13/15 99.892 1.08 31315KUS7 03/24/16 03/16/16 99.994 0.06 31315KUW8 03/28/16 02/16/16 99.965 0.35 31315KUX6 03/29/16 03/28/16 99.999 0.01 31315KUY4 03/30/16 03/18/16 99.990 0.10 31315KUZ1 03/31/16 03/30/16 99.999 0.01 31315KVA5 04/01/16 06/18/15 99.784 2.16 31315KVD9 04/04/16 09/24/15 99.845 1.55 31315KVE7 04/05/16 03/24/16 99.994 0.06 31315KVF4 04/06/16 10/02/15 99.870 1.30 31315KVG2 04/07/16 03/29/16 99.994 0.06 31315KVH0 04/08/16 03/30/16 99.996 0.04 31315KVL1 04/11/16 10/13/15 99.889 1.11 31315KVM9 04/12/16 04/11/16 99.999 0.01 31315KVN7 04/13/16 10/13/15 99.888 1.12 31315KVP2 04/14/16 04/13/16 99.999 0.01 31315KVQ0 04/15/16 10/13/15 99.887 1.13 31315KVT4 04/18/16 04/29/15 99.709 2.91 31315KVU1 04/19/16 04/11/16 99.996 0.04 31315KVV9 04/20/16 10/13/15 99.884 1.16 31315KVW7 04/21/16 04/08/16 99.993 0.07 31315KVX5 04/22/16 04/11/16 99.993 0.07 31315KWA4 04/25/16 01/20/16 99.893 1.07 31315KWB2 04/26/16 03/15/16 99.963 0.37 31315KWC0 04/27/16 03/18/16 99.965 0.35 31315KWD8 04/28/16 04/19/16 99.994 0.06 31315KWE6 04/29/16 10/13/15 99.830 1.71 31315KWH9 05/02/16 05/11/15 99.703 2.98 31315KWJ5 05/03/16 05/27/15 99.721 2.79 31315KWK2 05/04/16 02/03/16 99.891 1.09 31315KWL0 05/05/16 05/04/16 99.999 0.01 31315KWM8 05/06/16 08/14/15 99.730 2.70 31315KWQ9 05/09/16 04/07/16 99.976 0.24 31315KWR7 05/10/16 05/12/15 99.687 3.13 31315KWS5 05/11/16 08/06/15 99.722 2.78 31315KWT3 05/12/16 05/13/15 99.686 3.14 Section III-F (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KWU0 05/13/16 04/22/16 99.985 0.15 31315KWX4 05/16/16 02/18/16 99.900 1.00 31315KWY2 05/17/16 04/14/16 99.978 0.22 31315KWZ9 05/18/16 04/15/16 99.977 0.23 31315KXA3 05/19/16 05/18/16 99.999 0.01 31315KXB1 05/20/16 04/04/16 99.962 0.38 31315KXE5 05/23/16 05/20/16 99.998 0.02 31315KXF2 05/24/16 03/04/16 99.906 0.95 31315KXG0 05/25/16 10/15/15 99.814 1.86 31315KXH8 05/26/16 05/25/16 99.999 0.01 31315KXJ4 05/27/16 05/18/16 99.994 0.06 31315KXN5 05/31/16 11/19/15 99.784 2.16 31315KXP0 06/01/16 06/02/15 99.665 3.35 31315KXQ8 06/02/16 04/25/16 99.973 0.27 31315KXR6 06/03/16 07/07/15 99.696 3.04 31315KXU9 06/06/16 10/05/15 99.790 2.10 31315KXV7 06/07/16 06/08/15 99.625 3.75 31315KXW5 06/08/16 06/07/16 99.999 0.01 31315KXX3 06/09/16 06/08/16 99.999 0.01 31315KXY1 06/10/16 05/03/16 99.972 0.28 31315KYB0 06/13/16 11/19/15 99.764 2.36 31315KYC8 06/14/16 03/16/16 99.894 1.06 31315KYD6 06/15/16 06/30/15 99.630 3.71 31315KYE4 06/16/16 06/15/16 99.999 0.01 31315KYF1 06/17/16 06/25/15 99.612 3.88 31315KYJ3 06/20/16 06/13/16 99.996 0.04 31315KYK0 06/21/16 06/02/16 99.985 0.15 31315KYL8 06/22/16 06/01/16 99.984 0.16 31315KYM6 06/23/16 09/22/15 99.702 2.98 31315KYN4 06/24/16 11/20/15 99.729 2.71 31315KYR5 06/27/16 06/14/16 99.990 0.10 31315KYS3 06/28/16 06/27/16 99.999 0.01 31315KYT1 06/29/16 06/16/16 99.990 0.10 31315KYU8 06/30/16 02/19/16 99.846 1.54 31315KYV6 07/01/16 07/02/15 99.609 3.91 31315KYZ7 07/05/16 03/28/16 99.887 1.13 31315KZA1 07/06/16 06/20/16 99.988 0.12 31315KZB9 07/07/16 06/22/16 99.988 0.12 31315KZC7 07/08/16 06/07/16 99.974 0.26 31315KZF0 07/11/16 06/27/16 99.989 0.11 31315KZG8 07/12/16 07/05/16 99.995 0.05 31315KZH6 07/13/16 07/12/16 99.999 0.01 31315KZJ2 07/14/16 07/13/16 99.999 0.01 31315KZK9 07/15/16 07/16/15 99.615 3.85 31315KZN3 07/18/16 06/10/16 99.970 0.30 31315KZP8 07/19/16 07/18/16 99.999 0.01 31315KZQ6 07/20/16 06/07/16 99.969 0.31 Section III-F (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KZR4 07/21/16 10/15/15 99.732 2.68 31315KZS2 07/22/16 06/24/16 99.976 0.24 31315KZV5 07/25/16 03/16/16 99.833 1.67 31315KZW3 07/26/16 06/23/16 99.972 0.28 31315KZX1 07/27/16 07/26/16 99.999 0.01 31315KZY9 07/28/16 08/18/15 99.570 4.30 31315KZZ6 07/29/16 04/21/16 99.893 1.07 31315KA42 08/01/16 08/06/15 99.549 4.51 31315KA59 08/02/16 06/30/16 99.979 0.21 31315KA67 08/03/16 10/28/15 99.720 2.80 31315KA75 08/04/16 07/28/16 99.994 0.06 31315KA83 08/05/16 10/30/15 99.689 3.11 31315KB33 08/08/16 06/30/16 99.975 0.25 31315KB41 08/09/16 08/08/16 99.999 0.01 31315KB58 08/10/16 08/09/16 99.999 0.01 31315KB66 08/11/16 10/30/15 99.666 3.34 31315KB74 08/12/16 08/01/16 99.991 0.09 31315KC24 08/15/16 02/09/16 99.723 2.77 31315KC32 08/16/16 08/04/16 99.992 0.08 31315KC40 08/17/16 08/18/15 99.535 4.65 31315KC57 08/18/16 02/16/16 99.744 2.56 31315KC65 08/19/16 02/11/16 99.727 2.73 31315KC99 08/22/16 08/19/16 99.998 0.02 31315KD23 08/23/16 02/18/16 99.735 2.65 31315KD31 08/24/16 05/16/16 99.892 1.08 31315KD49 08/25/16 10/14/15 99.672 3.28 31315KD56 08/26/16 06/16/16 99.927 0.73 31315KD80 08/29/16 08/26/16 99.998 0.02 31315KD98 08/30/16 12/09/15 99.463 5.37 31315KE22 08/31/16 01/07/16 99.566 4.35 31315KE30 09/01/16 02/22/16 99.739 2.61 31315KE48 09/02/16 10/20/15 99.682 3.18 31315KE89 09/06/16 05/03/16 99.874 1.26 31315KE97 09/07/16 09/06/16 99.999 0.01 31315KF21 09/08/16 09/09/15 99.545 4.55 31315KF39 09/09/16 10/07/15 99.681 3.19 31315KF62 09/12/16 09/07/16 99.997 0.03 31315KF70 09/13/16 09/14/15 99.523 4.77 31315KF88 09/14/16 09/15/15 99.515 4.85 31315KF96 09/15/16 09/16/15 99.500 5.00 31315KG20 09/16/16 09/07/16 99.994 0.06 31315KG53 09/19/16 09/16/16 99.998 0.02 31315KG61 09/20/16 09/22/15 99.545 4.55 31315KG79 09/21/16 09/20/16 99.999 0.01 31315KG87 09/22/16 09/21/16 99.999 0.01 31315KG95 09/23/16 10/08/15 99.669 3.31 31315KH45 09/26/16 10/23/15 99.661 3.39 Section III-F (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KH52 09/27/16 09/26/16 99.999 0.01 31315KH60 09/28/16 09/27/16 99.999 0.01 31315KH78 09/29/16 09/28/16 99.999 0.01 31315KH86 09/30/16 10/22/15 99.680 3.20 31315KJ35 10/03/16 11/02/15 99.589 4.11 31315KJ43 10/04/16 10/06/15 99.617 3.83 31315KJ50 10/05/16 08/10/16 99.960 0.40 31315KJ68 10/06/16 10/05/16 99.999 0.01 31315KJ76 10/07/16 10/08/15 99.625 3.75 31315KK33 10/11/16 05/05/16 99.824 1.76 31315KK41 10/12/16 10/11/16 99.999 0.01 31315KK58 10/13/16 10/12/16 99.999 0.01 31315KK66 10/14/16 07/08/16 99.905 0.95 31315KK90 10/17/16 10/23/15 99.648 3.52 31315KL24 10/18/16 01/13/16 99.475 5.25 31315KL32 10/19/16 10/20/15 99.615 3.85 31315KL40 10/20/16 10/19/16 99.999 0.01 31315KL57 10/21/16 10/22/15 99.625 3.75 31315KL81 10/24/16 09/22/16 99.980 0.20 31315KL99 10/25/16 10/26/15 99.616 3.84 31315KM23 10/26/16 10/27/15 99.616 3.84 31315KM31 10/27/16 04/08/16 99.753 2.47 31315KM49 10/28/16 10/29/15 99.565 4.35 31315KM72 10/31/16 02/09/16 99.604 3.96 31315KM80 11/01/16 05/03/16 99.767 2.33 31315KM98 11/02/16 05/03/16 99.766 2.34 31315KN22 11/03/16 11/05/15 99.496 5.04 31315KN30 11/04/16 01/07/16 99.413 5.87 31315KN63 11/07/16 03/02/16 99.576 4.24 31315KN71 11/08/16 11/07/16 99.999 0.01 31315KN89 11/09/16 11/08/16 99.999 0.01 31315KN97 11/10/16 11/12/15 99.373 6.27 31315KP53 11/14/16 10/13/16 99.976 0.24 31315KP61 11/15/16 11/17/15 99.385 6.15 31315KP79 11/16/16 11/18/15 99.387 6.13 31315KP87 11/17/16 11/16/16 99.999 0.01 31315KP95 11/18/16 02/18/16 99.568 4.32 31315KQ45 11/21/16 10/21/16 99.977 0.23 31315KQ52 11/22/16 11/23/15 99.363 6.37 31315KQ60 11/23/16 04/29/16 99.772 2.28 31315KR36 11/28/16 11/22/16 99.997 0.03 31315KR44 11/29/16 11/21/16 99.994 0.06 31315KR51 11/30/16 12/07/15 99.274 7.26 31315KR69 12/01/16 12/01/15 99.331 6.69 31315KR77 12/02/16 12/03/15 99.321 6.79 31315KS27 12/05/16 12/02/16 99.998 0.02 31315KS35 12/06/16 02/24/16 99.541 4.59 Section III-F (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KS43 12/07/16 11/07/16 99.978 0.22 31315KS68 12/09/16 03/09/16 99.498 5.02 31315KS92 12/12/16 12/09/16 99.999 0.01 31315KT26 12/13/16 12/12/16 99.999 0.01 31315KT34 12/14/16 12/13/16 99.999 0.01 31315KT42 12/15/16 12/16/15 99.240 7.60 31315KT59 12/16/16 06/13/16 99.742 2.58 31315KT91 12/20/16 12/19/16 99.999 0.01 31315KU40 12/23/16 09/22/16 99.929 0.71 31315KU81 12/27/16 03/17/16 99.517 4.83 31315KV23 12/29/16 12/29/15 99.250 7.50 31315KV31 12/30/16 06/28/16 99.794 2.06 Section III-F (continued) Discount to be Issue Price Reported as 2016 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315KRN2 01/08/16 01/07/16 99.9995 0.005 31315KS50 12/08/16 12/07/16 99.9995 0.005 102 71 100 103