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 2017 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 2017 1st 2017 2nd 2018 2nd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period 2018 1st Period 2017 2018 ______________ _________ ________ ________ ___________ _______ _________ ________ ________ ________ ______ ______ Fannie Mae 313586RC5 10/09/84 10/09/19 3.200 0.000 730.21 0.210791 0.232575 0.256609 78.77 86.91 Sallie Mae 863871AM1 10/03/84 10/03/22 2.734 0.000 553.01 0.154193 0.169512 0.186353 57.66 63.39 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 2017 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ ABN Amro Bank N.V. 00079FHN5 01/13/05 01/13/20 100.000 VARIES 4.7500 0.133261 0.133106 0.132948 0.132785 0.132583 47.89 47.77 Amgen Inc. 031162AK6 03/01/05 03/01/32 72.947 VARIES 4.4730 0.150743 0.153952 0.157232 0.160587 0.163999 55.62 58.02 Anoka CNTY HSG & REDEV 03622CAA3 12/15/10 05/01/17 97.561 8.000 8.5032 22.78 0.013408 1.61 Ares Capital Corporation 04010LAK9 07/19/13 01/15/19 98.500 4.375 4.6881 8.98 0.007746 0.007928 0.008114 0.008304 0.008498 2.88 3.02 Republic of Argentina 040114BD1 03/01/99 03/01/29 75.576 8.875 N/A 0.025152 0.025149 0.025145 0.025141 0.025137 9.05 9.05 Argentina, Republic 040114GB0 07/21/00 07/21/30 80.144 10.250 12.8670 32.70 0.012685 0.013502 0.014370 0.015295 0.016279 4.98 5.65 Republic of Argentina 040114GG9 06/19/01 06/19/18 75.375 0.000 N/A 0.436206 0.290875 0.147112 128.86 24.86 Republic of Argentina 040114GH7 06/19/01 06/19/31 75.250 0.000 N/A 0.605943 0.603742 0.608256 0.606209 0.610915 220.80 221.67 BRE Properties, Inc. 05564EBM7 04/04/14 01/15/23 94.166 3.375 4.1754 16.01 0.016996 0.017351 0.017713 0.018083 0.018460 6.30 6.57 Banco de Galicia 059538AR9 07/19/16 07/19/26 100.000 VARIES 8.7499 39.37 0.243053 0.243660 0.244295 0.244956 0.245647 87.81 88.28 Bank of America Corp. 06048WAU4 02/22/10 02/22/17 100.000 VARIES 4.7710 0.133102 6.79 Bank of America Corp. 06048WBD1 03/19/10 03/19/20 100.000 VARIES 5.5724 0.157083 0.156779 0.156531 0.156275 0.155972 56.44 56.25 Bank of America Corp. 06048WBN9 04/13/10 04/13/17 100.000 VARIES 5.0918 0.142206 14.50 Bank of America Corp. 06048WBQ2 05/03/10 05/03/17 100.000 VARIES 5.0200 0.139444 17.01 Bank of America Corp. 06048WBT6 05/03/10 05/03/17 100.000 VARIES 4.8506 0.135321 16.51 Bank of America Corp. 06048WCB4 05/28/10 05/28/30 100.000 VARIES 5.5514 0.134242 0.134749 0.135269 0.135804 0.136353 48.45 48.83 Bank of America Corp. 06048WCC2 05/28/10 05/28/20 100.000 VARIES 5.2406 0.147564 0.147406 0.147122 0.146829 0.146496 53.08 52.89 Bank of America Corp. 06048WCJ7 06/24/10 06/24/30 100.000 VARIES 5.5092 0.141146 0.141448 0.141759 0.142078 0.142406 50.87 51.10 Bank of America Corp. 06048WCQ1 06/29/10 06/29/20 100.000 VARIES 5.5310 0.155821 0.155640 0.155315 0.154982 0.154634 56.06 55.85 Bank of America Corp. 06048WCS7 07/12/10 07/12/30 100.000 VARIES 5.8002 0.149974 0.150237 0.150509 0.150788 0.151075 54.13 54.33 Bank of America Corp. 06048WCU2 06/28/10 06/28/30 100.000 VARIES 5.8695 0.154798 0.155003 0.155213 0.155430 0.155653 55.77 55.92 Bank of America Corp. 06048WCY4 08/12/10 08/12/30 100.000 VARIES 5.3993 0.139185 0.139448 0.139718 0.139996 0.140280 50.23 50.43 Bank of America Corp. 06048WDG2 08/17/10 08/17/20 100.000 VARIES 2.4230 0.008148 0.008246 0.008346 0.008447 0.008550 2.98 3.05 Bank of America Corp. 06048WDJ6 08/18/10 08/18/17 100.000 VARIES 2.2826 0.007674 0.007762 1.76 Bank of America Corp. 06048WDK3 08/25/10 08/25/20 100.000 VARIES 2.3835 0.008426 0.008526 0.008628 0.008730 0.008834 3.08 3.15 Bank of America Corp. 06048WDM9 09/03/10 09/03/20 100.000 VARIES 2.5928 0.013852 0.014032 0.014214 0.014398 0.014584 5.06 5.19 Bank of America Corp. 06048WDQ0 10/01/10 10/01/20 100.000 VARIES 5.0520 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 5.3199 0.138291 0.138524 0.138762 0.139007 0.139258 49.87 50.05 Bank of America Corp. 06048WDU1 09/08/10 09/08/20 100.000 VARIES 2.4734 0.014687 0.014868 0.015052 0.015238 0.015427 5.36 5.49 Bank of America Corp. 06048WDW7 09/28/10 09/28/20 100.000 VARIES 2.6605 0.015256 0.015459 0.015665 0.015873 0.016084 5.57 5.72 Bank of America Corp. 06048WDZ0 09/28/10 09/28/20 100.000 VARIES 2.4632 0.010659 0.010790 0.010923 0.011058 0.011194 3.89 3.98 Bank of America Corp. 06048WEB2 09/28/10 09/28/20 100.000 VARIES 2.6494 0.015236 0.015437 0.015642 0.015849 0.016059 5.56 5.71 Bank of America Corp. 06048WEE6 10/14/10 10/15/30 100.000 VARIES 5.2017 0.132219 0.132522 0.132833 0.133153 0.133480 47.70 47.93 Bank of America Corp. 06048WEJ5 11/19/10 11/19/30 100.000 VARIES 5.6999 0.146166 0.146456 0.146754 0.147061 0.147376 52.70 52.91 Bank of America Corp. 06048WEL0 11/18/10 11/18/20 100.000 VARIES 2.5529 0.013626 0.013800 0.013976 0.014154 0.014335 4.95 5.08 Bank of America Corp. 06048WEP1 11/19/10 11/19/20 100.000 VARIES 2.4292 0.019399 0.019635 0.019873 0.020115 0.020359 7.05 7.22 Bank of America Corp. 06048WEQ9 11/30/10 11/30/20 100.000 VARIES 1.9847 0.009873 0.009971 0.010070 0.010170 0.010271 3.58 3.65 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06048WES5 12/01/10 12/01/20 100.000 VARIES 2.5893 0.010258 0.010391 0.010525 0.010661 0.010799 3.72 3.82 Bank of America Corp. 06048WET3 12/15/10 12/15/30 100.000 VARIES 5.9911 0.151437 0.151786 0.152146 0.152516 0.152898 54.59 54.85 Bank of America Corp. 06048WEX4 12/10/10 12/10/20 100.000 VARIES 2.5961 0.010175 0.010307 0.010441 0.010577 0.010714 3.69 3.79 Bank of America Corp. 06048WEY2 01/13/11 01/13/31 100.000 VARIES 5.1717 0.136514 0.136682 0.136855 0.137033 0.137214 49.23 49.36 Bank of America Corp. 06048WFA3 01/14/11 01/14/21 100.000 VARIES 5.4019 0.149545 0.149595 0.149647 0.149701 0.149756 53.86 53.90 Bank of America Corp. 06048WFC9 01/31/11 01/31/17 100.000 0.000 4.4000 0.155280 4.50 Bank of America Corp. 06048WFE5 02/18/11 02/18/21 100.000 VARIES 5.5089 0.152598 0.152640 0.152684 0.152729 0.152775 54.95 54.99 Bank of America Corp. 06048WFG0 02/24/11 02/24/31 100.000 VARIES 5.9293 0.158905 0.159034 0.159166 0.159303 0.159444 57.26 57.36 Bank of America Corp. 06048WFJ4 03/04/11 03/04/31 100.000 VARIES 5.6399 0.149438 0.149603 0.149772 0.149945 0.150124 53.87 53.99 Bank of America Corp. 06048WFK1 02/25/11 02/25/21 100.000 VARIES 5.2650 0.145641 0.145702 0.145764 0.145828 0.145894 52.46 52.50 Bank of America Corp. 06048WFM7 03/11/11 03/11/21 100.000 VARIES 5.0284 0.141501 0.141318 0.141131 0.140938 0.140741 50.87 50.73 Bank of America Corp. 06048WFT2 03/31/11 03/31/21 100.000 VARIES 5.2102 0.145576 0.145491 0.145404 0.145315 0.145223 52.38 52.31 Bank of America Corp. 06048WFU9 03/29/11 03/29/21 100.000 VARIES 2.3129 0.009591 0.009702 0.009814 0.009927 0.010042 3.49 3.57 Bank of America Corp. 06048WFW5 04/12/11 04/12/21 100.000 VARIES 5.3401 0.148981 0.148916 0.148850 0.148783 0.148713 53.61 53.56 Bank of America Corp. 06048WGC8 05/27/11 05/27/31 100.000 VARIES 5.1375 0.134357 0.134555 0.134757 0.134965 0.135178 48.42 48.56 Bank of America Corp. 06048WGE4 06/14/11 06/14/21 100.000 VARIES 2.2369 0.060837 0.060975 0.061115 0.061256 0.061399 21.93 22.03 Bank of America Corp. 06048WGF1 06/16/11 06/16/23 100.000 VARIES 4.8974 0.135893 0.135903 0.135913 0.135923 0.135933 48.92 48.93 Bank of America Corp. 06048WGG9 06/27/11 06/27/31 100.000 VARIES 5.5242 0.144917 0.145112 0.145314 0.145520 0.145733 52.21 52.35 Bank of America Corp. 06048WGN4 07/07/11 07/07/21 100.000 VARIES 5.1062 0.141931 0.141922 0.141914 0.141905 0.141896 51.09 51.08 Bank of America Corp. 06048WGP9 06/28/11 06/28/21 100.000 VARIES 2.3483 0.015069 0.015246 0.015425 0.015606 0.015790 5.46 5.59 Bank of America Corp. 06048WGQ7 07/14/11 07/14/31 100.000 VARIES 5.5582 0.145658 0.145848 0.146044 0.146245 0.146452 52.54 52.68 Bank of America Corp. 06048WGR5 07/14/11 07/14/23 100.000 VARIES 5.1475 0.142425 0.142459 0.142494 0.142529 0.142566 51.29 51.32 Bank of America Corp. 06048WGU8 07/14/11 07/14/26 100.000 VARIES 5.3900 0.144227 0.144438 0.144654 0.144877 0.145105 52.03 52.19 Bank of America Corp. 06048WGZ7 08/15/11 08/15/31 100.000 VARIES 5.2773 0.137975 0.138167 0.138364 0.138566 0.138774 49.76 49.90 Bank of America Corp. 06048WHA1 08/15/11 08/15/23 100.000 VARIES 4.7457 0.131454 0.131476 0.131499 0.131523 0.131547 47.33 47.35 Bank of America Corp. 06048WHF0 08/26/11 08/26/31 100.000 VARIES 5.0293 0.130616 0.130822 0.131034 0.131251 0.131473 47.11 47.27 Bank of America Corp. 06048WHN3 09/30/11 09/30/31 100.000 VARIES 5.3142 0.137690 0.137910 0.138136 0.138369 0.138607 49.65 49.81 Bank of America Corp. 06048WJA9 11/04/11 11/04/31 100.000 VARIES 5.9880 0.157489 0.157675 0.157867 0.158064 0.158268 56.75 56.89 Bank of America Corp. 06048WKG4 01/31/12 01/31/32 100.000 VARIES 5.8093 0.153832 0.153985 0.154143 0.154306 0.154474 55.45 55.57 Bank of America Corp. 06048WKR0 02/23/12 02/23/32 100.000 VARIES 5.1904 0.141850 0.141900 0.141951 0.142003 0.142057 51.09 51.13 Bank of America Corp. 06048WKU3 03/08/12 03/08/32 100.000 VARIES 5.6026 0.149486 0.149613 0.149744 0.149878 0.150016 53.87 53.96 Bank of America Corp. 06048WLF5 03/30/12 03/30/32 100.000 VARIES 5.3816 0.145988 0.146062 0.146138 0.146215 0.146295 52.58 52.64 Bank of America Corp. 06048WLN8 04/16/12 04/16/32 100.000 VARIES 5.1652 0.137292 0.137425 0.137561 0.137701 0.137844 49.47 49.57 Bank of America Corp. 06048WLQ1 04/16/12 04/16/30 100.000 VARIES 5.4874 0.146085 0.146246 0.146412 0.146583 0.146758 52.64 52.77 Bank of America Corp. 06048WLX6 05/04/12 05/04/32 100.000 VARIES 5.6986 0.150396 0.150558 0.150725 0.150896 0.151073 54.19 54.31 Bank of America Corp. 06048WMF4 05/17/12 05/17/17 100.000 VARIES 2.0468 0.015860 2.16 Bank of America Corp. 06048WNA4 08/22/12 08/22/19 100.000 VARIES 2.0566 0.009812 0.009913 0.010015 0.010118 0.010222 3.58 3.65 Bank of America Corp. 06048WNB2 08/22/12 08/22/18 100.000 0.000 3.2065 0.101156 0.102777 0.104425 0.106099 37.13 24.42 Bank of America Corp. 06048WNH9 11/09/12 11/09/22 100.000 VARIES 1.6066 0.008923 0.008994 0.009067 0.009139 0.009213 3.23 3.28 Bank of America Corp. 06048WNK2 12/10/12 12/10/22 100.000 VARIES 1.4139 0.037780 0.037899 0.038020 0.038142 0.038264 13.63 13.71 Bank of America Corp. 06048WNZ9 07/11/13 07/11/33 100.000 VARIES 5.0043 0.132118 0.132249 0.132383 0.132521 0.132662 47.63 47.73 Bank of America Corp. 06048WPB0 08/06/13 08/06/33 100.000 VARIES 4.8453 0.128045 0.128172 0.128301 0.128433 0.128569 46.16 46.25 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06048WPD6 08/30/13 08/30/33 100.000 VARIES 4.9958 0.130759 0.130167 0.131008 0.130421 0.131271 47.65 47.74 Bank of America Corp. 06048WPE4 09/23/13 09/23/33 100.000 VARIES 4.8735 0.128504 0.128636 0.128772 0.128910 0.129052 46.31 46.41 Bank of America Corp. 06048WPF1 10/10/13 10/10/33 100.000 VARIES 4.7034 0.124129 0.124257 0.124387 0.124520 0.124657 44.73 44.83 Bank of America Corp. 06048WPJ3 12/23/13 12/23/33 100.000 VARIES 4.8649 0.128587 0.128713 0.128842 0.128974 0.129109 46.32 46.41 Bank of America Corp. 06048WPM6 02/28/14 02/29/24 100.000 VARIES 3.7879 0.100829 0.099403 0.101277 0.099852 0.101742 36.60 36.76 Bank of America Corp. 06048WPN4 03/20/14 03/20/34 100.000 VARIES 4.4527 0.117110 0.117236 0.117365 0.117497 0.117631 42.21 42.30 Bank of America Corp. 06048WPP9 07/03/14 07/03/17 100.000 0.000 1.1927 0.033929 0.034132 6.21 Bank of America Corp. 06048WQJ2 02/20/15 02/20/18 109.390 0.250 1.4840 0.045948 0.046238 0.046529 16.67 2.28 Bank of America Corp. 06048WRU6 09/30/15 09/30/30 100.000 VARIES 2.8047 0.019471 0.018992 0.018506 0.018014 0.017515 6.84 6.48 Bank of America Corp. 06048WRV4 10/30/15 10/30/25 100.000 VARIES 2.4485 0.009452 0.009194 0.008932 0.008667 0.008399 3.32 3.14 Bank of America Corp. 06048WTR1 10/28/16 10/28/26 100.000 VARIES 2.1950 0.53 0.008471 0.008137 0.007800 0.007459 0.007114 2.95 2.70 BANK OF AMERICA CORP 06048WUR9 08/25/17 08/25/29 100.000 VARIES 1.6609 0.008636 0.008311 0.007983 1.09 2.97 BANK OF AMERICA CORP 06048WUT5 08/28/17 08/28/27 100.000 VARIES 1.7157 0.010992 0.010645 0.010296 1.35 3.81 BANK OF AMERICA CORPORAT 06050R205 04/01/11 04/04/17 100.000 VARIES 3.9581 227.59 0.109948 10.23 BANK OF AMERICA CORPORAT 06050R403 05/05/11 05/05/17 100.000 VARIES 3.9790 225.03 0.110528 13.71 BANK OF AMERICA CORPORAT 06050R783 07/01/11 06/30/17 100.000 VARIES 3.8553 212.02 0.107086 19.17 Bank of America Corp. 06051N112 07/01/11 06/30/17 100.000 0.000 3.8315 0.130398 23.47 Bank of America Corp. 06051N153 08/04/11 07/28/17 100.000 0.000 3.7887 0.126887 0.129291 26.70 Bank of America Corp. 06051N427 09/16/11 09/29/17 100.000 0.000 4.4514 0.154343 0.157778 41.98 Bank of America Corp. 06051N518 10/06/11 09/29/17 100.000 0.000 5.1704 0.185199 0.189986 50.50 Bank of America Corp. 06051N658 11/03/11 10/27/17 100.000 0.000 4.7611 0.167200 0.171181 50.21 Bank of America Corp. 06051P448 02/02/12 01/27/17 100.000 0.000 4.0039 0.132866 3.45 Bank of America Corp. 06051P513 03/01/12 02/24/17 100.000 0.000 3.8488 0.126825 6.72 Bank of America Corp. 06051P521 03/01/12 02/23/17 100.000 0.000 3.8618 0.127312 6.62 Bank of America Corp. 06051P760 04/05/12 04/02/18 100.000 0.000 3.7916 0.124677 0.127041 0.129449 45.73 11.78 Bank of America Corp. 06051R345 07/06/12 06/29/18 100.000 0.000 3.5615 0.115884 0.117947 0.120048 42.10 21.37 Bank of America Corp. 06051R527 08/02/12 07/27/18 100.000 0.000 3.0742 0.096438 0.097921 0.099426 0.100954 35.44 20.76 Bank of America Corp. 06051R774 05/03/12 04/27/18 100.000 0.000 3.9752 0.131735 0.134353 0.137023 48.23 15.89 Bank of America Corp. 06051R881 06/01/12 05/25/18 100.000 0.000 4.1954 0.140385 0.143330 0.146337 51.28 21.07 Bank of America Corp. 06052R666 02/03/11 02/02/18 100.000 0.000 4.4999 0.159641 0.163233 0.166906 59.20 5.17 Bank of America Corp. 06053D195 09/07/12 08/31/18 100.000 0.000 2.8935 0.089616 0.089430 0.092228 0.092037 33.00 22.28 Bank of America Corp. 06053D559 11/02/12 10/26/18 100.000 0.000 2.2130 0.067105 0.067847 0.068598 0.069357 24.39 20.37 Bank of America Corp. 06053D872 01/10/13 12/26/18 100.000 0.000 2.0976 0.063287 0.063951 0.064622 0.065299 22.91 23.06 Bank of America Corp. 06053E391 02/28/13 02/22/19 100.000 0.000 2.1320 0.063755 0.064435 0.065122 0.065816 0.066517 23.25 23.75 Bank of America Corp. 06053E599 04/05/13 03/29/19 100.000 0.000 2.2115 0.066323 0.067056 0.067797 0.068547 0.069305 24.14 24.68 Bank of America Corp. 06053E755 06/06/13 05/31/19 100.000 0.000 2.3276 0.070083 0.070899 0.071724 0.072559 0.073403 25.43 26.02 Bank of America Corp. 06053F638 10/04/13 09/24/19 100.000 0.000 2.9627 0.089817 0.091147 0.092497 0.093868 0.095258 32.83 33.81 Bank of America Corp. 06053M427 09/05/14 08/27/21 100.000 0.000 2.9178 0.085830 0.087082 0.088353 0.089642 0.090949 31.44 32.36 Bank of America Corp. 06053M518 10/02/14 09/24/21 100.000 0.000 3.1046 0.091658 0.093081 0.094526 0.095993 0.097483 33.53 34.58 Bank of America Corp. 06053M534 11/06/14 10/29/21 100.000 0.000 2.9616 0.087199 0.088490 0.089801 0.091130 0.092480 31.79 32.73 Bank of America Corp. 06053M674 12/03/14 11/24/21 100.000 0.000 2.8708 0.084362 0.085573 0.086801 0.088047 0.089311 30.68 31.57 Bank of America Corp. 06053M864 02/12/15 02/26/27 100.000 0.000 3.3492 0.097913 0.099552 0.101220 0.102915 0.104638 35.96 37.17 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06053U106 02/05/15 01/28/22 100.000 0.000 2.5377 0.073174 0.074102 0.075043 0.075995 0.076959 26.80 27.48 Bank of America Corp. 06053W169 04/02/15 03/25/22 100.000 0.000 2.7072 0.078255 0.079315 0.080388 0.081476 0.082579 28.57 29.35 Bank of America Corp. 06053W359 06/04/15 05/27/22 100.000 0.000 2.8843 0.083591 0.084796 0.086019 0.087259 0.088518 30.39 31.28 Bank of America Corp. 06053W458 07/02/15 06/24/22 100.000 0.000 3.1925 0.092931 0.094415 0.095922 0.097453 0.099008 33.74 34.83 Bank of America Corp. 06053W631 08/10/15 08/27/21 100.000 0.000 2.7830 0.079575 0.080683 0.081805 0.082944 0.084098 29.12 29.94 Bank of America Corp. 06053W649 08/10/15 08/26/22 100.000 0.000 3.0325 0.086926 0.088244 0.089582 0.090940 0.092319 31.86 32.84 Bank of America Corp. 06053W730 10/01/15 09/30/22 100.000 0.000 2.9206 0.082590 0.083338 0.085019 0.085790 0.087521 30.51 31.41 Bank of America Corp. 06053W888 10/23/15 10/28/22 100.000 0.000 2.9889 0.085559 0.086838 0.088136 0.089453 0.090789 31.19 32.13 Bank of America Corp. 06053Y330 12/02/15 11/30/18 100.000 0.000 1.8674 0.052260 0.052460 0.053241 0.053444 19.14 17.77 Barclays Bank PLC 067387HP8 02/28/14 02/29/20 100.000 0.000 2.6300 0.077557 0.077296 0.079610 0.079342 0.081718 28.51 29.27 Barclays Bank PLC 067387HW3 03/28/14 03/28/24 100.000 0.000 3.5500 0.107680 0.109591 0.111536 0.113516 0.115531 39.47 40.88 Barclays Bank PLC 067387HZ6 04/10/14 04/10/24 100.000 0.000 3.6100 0.109661 0.111640 0.113655 0.115706 0.117795 40.16 41.62 Barclays Bank PLC 06738CZX0 03/09/07 03/09/17 100.000 0.000 5.5900 0.262166 17.83 Barclays Bank PLC 06738JFL3 11/12/10 11/12/22 100.000 VARIES 3.8891 0.110414 0.110400 0.110386 0.110372 0.110358 39.75 39.74 Barclays Bank PLC 06738JHK3 09/30/10 09/30/20 100.000 VARIES 4.0513 0.116333 0.116040 0.115741 0.115308 0.114866 41.77 41.51 Barclays Bank PLC 06738JHL1 10/15/10 10/15/22 100.000 VARIES 4.2147 0.122356 0.122114 0.121867 0.121614 0.121356 43.97 43.79 Barclays Bank PLC 06738JJR6 10/07/10 10/07/20 100.000 VARIES 4.0417 0.116608 0.116243 0.115870 0.115370 0.114860 41.85 41.54 Barclays Bank PLC 06738JL28 03/24/11 03/24/21 100.000 VARIES 4.4416 0.126574 0.126763 0.126957 0.127155 0.127357 45.64 45.78 Barclays Bank PLC 06738JLF9 11/04/10 11/04/25** 100.000 VARIES 3.9434 0.000000 0.000000 0.000000 0.000000 0.000000 0.00** 0.00 Barclays Bank PLC 06738JLS1 10/21/10 10/21/20 100.000 VARIES 4.0317 0.116336 0.115987 0.115630 0.115151 0.114662 41.77 41.47 Barclays Bank PLC 06738JLX0 10/07/10 10/07/22 100.000 VARIES 4.2148 0.122407 0.122163 0.121914 0.121660 0.121400 43.98 43.80 Barclays Bank PLC 06738JMB7 08/19/10 08/19/22 100.000 VARIES 4.2846 275.18 0.121004 0.121067 0.121132 0.121049 0.120964 43.59 43.57 Barclays Bank PLC 06738K3N9 04/25/12 04/25/17 100.000 0.000 3.1701 0.101446 11.56 Barclays Bank PLC 06738KAM3 02/25/11 02/25/31 100.000 VARIES 5.5651 0.122786 0.123380 0.123991 0.124618 0.125640 44.46 44.96 Barclays Bank PLC 06738KBW0 02/09/11 02/09/21 100.000 VARIES 4.8413 0.137013 0.136876 0.136649 0.136418 0.136129 49.25 49.08 Barclays Bank PLC 06738KCN9 03/16/11 03/16/21 100.000 VARIES 4.8210 0.136421 0.136301 0.136087 0.135867 0.135582 49.05 48.90 Barclays Bank PLC 06738KEA5 03/09/11 03/09/21 100.000 VARIES 5.1731 0.153498 0.152733 0.151949 0.150859 0.149740 54.95 54.26 Barclays Bank PLC 06738KEM9 04/08/11 04/08/21 100.000 VARIES 5.0807 0.144366 0.144257 0.143956 0.143647 0.143245 51.92 51.71 Barclays Bank PLC 06738KGD7 04/07/11 04/12/17 100.000 0.000 3.8999 0.134044 13.54 Barclays Bank PLC 06738KHK0 05/12/11 05/12/21 100.000 VARIES 4.6809 0.132303 0.132226 0.132046 0.131861 0.131599 47.60 47.48 Barclays Bank PLC 06738KK75 01/25/12 01/25/19 100.000 0.000 4.4001 0.148667 0.151938 0.155280 0.158697 0.162188 55.14 57.59 Barclays Bank PLC 06738KLP4 06/28/11 06/28/23 100.000 VARIES 4.8717 0.139958 0.139896 0.139674 0.139446 0.139109 50.37 50.24 Barclays Bank PLC 06738KMV0 07/28/11 07/28/21 100.000 VARIES 4.8123 0.137701 0.137448 0.137189 0.136847 0.136497 49.45 49.22 Barclays Bank PLC 06738KN56 02/29/12 02/28/18 100.000 0.000 3.1971 0.101866 0.101807 0.105148 37.57 6.10 Barclays Bank PLC 06738KN98 02/29/12 02/28/22 100.000 VARIES 4.0104 0.111537 0.109768 0.111555 0.109704 0.111448 40.39 40.36 Barclays Bank PLC 06738KNF4 07/29/11 07/31/17 100.000 0.000 3.5900 0.119165 0.121304 25.29 Barclays Bank PLC 06738KQ53 02/14/12 02/14/22 100.000 0.500 4.1087 0.134264 0.136737 0.139261 0.141837 0.144465 49.46 51.31 Barclays Bank PLC 06738KQF1 08/31/11 08/31/17 100.000 0.000 3.9281 0.131810 0.132207 31.97 Barclays Bank PLC 06738KQS3 08/31/11 08/31/31 100.000 VARIES 6.1336 0.140323 0.139063 0.142445 0.141214 0.144698 51.25 52.04 Barclays Bank PLC 06738KQT1 08/05/11 08/05/21 100.000 VARIES 4.6124 0.133815 0.133672 0.133526 0.133100 0.132664 48.11 47.87 Barclays Bank PLC 06738KR78 03/16/12 03/30/17 100.000 0.000 4.4001 0.148922 13.25 Barclays Bank PLC 06738KTB7 09/30/11 09/30/31 100.000 VARIES 5.4570 0.134226 0.135188 0.136177 0.137192 0.138235 48.67 49.39 ----------------------------- ** These calculations may be revised. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06738KU33 03/06/12 03/06/17 100.000 0.000 2.8900 0.091344 5.94 Barclays Bank PLC 06738KUD1 09/30/11 09/29/17 100.000 0.000 3.9800 0.134618 0.137297 36.56 Barclays Bank PLC 06738KVE8 09/29/11 09/30/31 100.000 VARIES 5.2986 0.132738 0.133534 0.134351 0.135189 0.136050 48.08 48.67 Barclays Bank PLC 06738KW98 05/09/12 04/14/17 100.000 0.000 2.0400 0.061999 6.39 Barclays Bank PLC 06738KWV9 09/30/11 10/03/17 100.000 0.000 3.9900 0.135084 0.137779 37.23 Barclays Bank PLC 06738KWX5 10/31/11 11/01/31 100.000 VARIES 4.5597 0.115569 0.114637 0.117526 0.116606 0.119574 42.13 42.85 BARCLAYS BANK PLC 06739FJA0 12/18/15 12/19/22 100.000 0.125 2.3109 24.09 0.065606 0.066323 0.067050 0.067784 0.068527 23.76 24.29 BARCLAYS BANK PLC 06739FJF9 03/11/16 03/13/23 100.000 0.125 2.2608 18.29 0.063478 0.064156 0.064842 0.065536 0.066237 23.12 23.62 Barclays Bank PLC 06739JYA5 09/30/09 09/30/19 100.000 VARIES 5.0571 0.133544 0.134398 0.135274 0.136337 0.137426 48.39 49.09 Barclays Bank PLC 06740AC49 09/30/13 09/27/19 100.000 0.000 2.5800 0.076950 0.076672 0.078948 0.078663 0.080998 28.23 28.96 Barclays Bank PLC 06740AE21 10/31/13 10/30/19 100.000 0.000 2.5111 0.074344 0.074867 0.076223 0.076758 0.078149 27.35 28.04 Barclays Bank PLC 06740AF38 11/29/13 11/26/19 100.000 0.000 2.5599 0.076308 0.076025 0.078274 0.077983 0.080291 27.87 28.59 Barclays Bank PLC 06740AH69 12/30/13 12/27/19 100.000 0.000 2.8199 0.084240 0.084960 0.086632 0.087373 0.089092 30.89 31.77 Barclays Bank PLC 06740AL80 02/28/14 02/27/20 100.000 0.000 2.6775 0.077756 0.080103 0.079852 0.082262 0.082004 29.07 29.86 Barclays Bank PLC 06740ASJ9 02/29/12 02/28/22 100.000 VARIES 3.2529 0.093474 0.092224 0.093716 0.092152 0.093394 33.92 33.88 Barclays Bank PLC 06740AWF2 10/31/12 10/30/19 100.000 0.000 2.2609 0.067952 0.068345 0.069497 0.069898 0.071077 24.97 25.54 Barclays Bank PLC 06740AYA1 02/28/13 02/27/20 100.000 0.000 2.1583 0.063222 0.064963 0.064594 0.066373 0.065995 23.57 24.08 Barclays Bank PLC 06740AYT0 04/30/13 04/29/20 100.000 0.000 2.0500 0.060483 0.060769 0.061729 0.062021 0.063001 22.21 22.67 Barclays Bank PLC 06740AZZ5 07/31/13 07/30/19 100.000 0.000 2.6012 0.076376 0.078652 0.078376 0.080711 0.080428 28.60 29.35 Barclays Bank PLC 06740D558 02/04/15 08/03/22 100.000 0.000 2.2500 0.064629 0.065356 0.066091 0.066835 0.067587 23.61 24.15 Barclays Bank PLC 06740H286 05/21/10 05/24/17 100.000 2.500 4.9968 0.165070 23.61 Barclays Bank PLC 06740JM98 03/10/10 03/10/17 100.000 VARIES 4.4514 0.124125 8.56 Barclays Bank PLC 06740JRD4 01/27/10 01/27/17 100.000 VARIES 4.3945 0.123940 3.22 Barclays Bank PLC 06740JTK6 02/08/10 02/08/17 100.000 VARIES 4.5813 0.127653 4.72 Barclays Bank PLC 06740PBC9 06/24/10 06/26/18 100.000 0.000 4.9700 0.190001 0.194722 0.199561 69.30 34.92 Barclays Bank PLC 06740PBE5 06/25/10 06/25/17 100.000 1.000 4.7052 0.167027 29.06 Barclays Bank PLC 06740PBX3 07/06/10 07/06/20 100.000 VARIES 5.0547 0.151224 0.150127 0.149002 0.147753 0.146473 53.85 52.97 Barclays Bank PLC 06740PC38 11/29/10 11/29/30 100.000 VARIES 4.9296 0.105784 0.105773 0.105761 0.106462 0.107180 38.08 38.25 Barclays Bank PLC 06740PKG0 08/16/10 08/16/17 100.000 VARIES 3.6632 0.104631 0.103206 23.29 Barclays Bank PLC 06740PM37 11/30/10 11/30/20 100.000 VARIES 4.6824 0.135058 0.134689 0.134312 0.133740 0.133154 48.53 48.21 Barclays Bank PLC 06740PMM5 08/27/10 08/29/18 100.000 0.000 3.8101 0.130584 0.133802 0.135606 0.138949 48.88 33.15 Barclays Bank PLC 06740PMQ6 09/16/10 09/16/25 100.000 VARIES 4.4380 0.106337 0.106769 0.107212 0.107898 0.108599 38.45 38.87 Barclays Bank PLC 06740PMT0 08/26/10 08/26/20 100.000 VARIES 4.3098 0.126535 0.125831 0.125112 0.124378 0.123628 45.25 44.72 Barclays Bank PLC 06740PQH2 09/30/10 09/29/17 100.000 0.000 3.3901 0.115202 0.117155 31.23 Barclays Bank PLC 06740PSZ0 10/13/10 10/13/17 100.000 0.750 3.3000 0.107039 0.108461 30.44 Barclays Bank PLC 06740PV29 12/30/10 12/30/30 100.000 VARIES 5.2624 0.125510 0.126037 0.126578 0.127647 0.128744 45.28 45.76 Barclays Bank PLC 06740PVH6 10/20/10 10/20/25 100.000 VARIES 4.6203 0.129070 0.129188 0.129307 0.129430 0.129555 46.50 46.59 Barclays Bank PLC 06740PVZ6 09/30/10 09/30/25 100.000 VARIES 4.7399 0.107645 0.107879 0.108119 0.109067 0.110037 38.84 39.27 Barclays Bank PLC 06740PX43 12/17/10 12/19/18 100.000 0.000 4.6600 0.170698 0.174675 0.178745 0.182910 62.26 62.95 Barclays Bank PLC 06740PX50 12/17/10 12/19/18 100.000 0.000 4.6600 0.170698 0.174675 0.178745 0.182910 62.26 62.95 Barclays Bank PLC 06740PYE0 12/30/10 12/30/30 100.000 VARIES 5.6003 0.123050 0.123952 0.124879 0.126582 0.128333 44.46 45.27 Barclays Bank PLC 06740PYG5 01/14/11 01/14/21 100.000 VARIES 4.9825 0.143657 0.143506 0.143143 0.142770 0.142190 51.60 51.31 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06740PZ33 01/27/11 01/27/31 100.000 VARIES 5.5228 0.133856 0.134274 0.134703 0.135145 0.135822 48.39 48.74 Barclays Bank PLC 06741JS59 05/20/14 05/20/21 100.000 0.000 2.7400 0.081469 0.082585 0.083716 0.084863 0.086026 29.62 30.44 Barclays Bank PLC 06741JV30 07/23/14 07/23/21 100.000 0.000 2.8400 0.083465 0.084650 0.085852 0.087071 0.088308 30.64 31.51 Barclays Bank PLC 06741JV89 08/18/14 08/18/21 100.000 0.000 2.8000 0.082226 0.083377 0.084544 0.085728 0.086928 30.12 30.97 Barclays Bank PLC 06741L427 03/02/12 03/05/18 100.000 0.000 3.2000 0.102565 0.104206 0.105874 37.60 6.78 Barclays Bank PLC 06741RGQ8 04/18/13 04/18/30 100.000 VARIES 3.0513 0.087810 0.088091 0.088375 0.088664 0.088851 31.70 31.90 Barclays Bank PLC 06741T2A4 11/29/13 11/29/18 100.000 0.000 2.1200 0.062735 0.063400 0.064072 0.064751 22.75 21.14 Barclays Bank PLC 06741T2W6 12/23/13 12/23/33 100.000 VARIES 4.3876 0.096290 0.093769 0.091194 0.091235 0.091278 34.17 32.84 Barclays Bank PLC 06741T3M7 12/27/13 12/27/28 100.000 VARIES 4.2827 0.098517 0.096339 0.094114 0.094346 0.094582 35.06 33.92 Barclays Bank PLC 06741T6B8 02/28/14 02/28/34 100.000 VARIES 4.0797 0.095055 0.092019 0.092003 0.088956 0.090612 33.76 32.85 Barclays Bank PLC 06741T6S1 03/28/14 03/28/34 100.000 VARIES 4.1532 0.097789 0.094051 0.090236 0.086341 0.082366 33.83 31.05 Barclays Bank PLC 06741T6U6 03/04/14 03/04/24 100.000 0.250 3.4337 0.103237 0.104891 0.106572 0.108283 0.110022 37.85 39.08 Barclays Bank PLC 06741TEH6 08/20/12 08/22/17 100.000 0.000 2.7100 0.083848 0.084984 19.57 Barclays Bank PLC 06741TFL6 10/30/12 10/30/17 100.000 0.000 1.7610 0.052469 0.052931 15.77 Barclays Bank PLC 06741TGD3 09/20/12 09/20/19 100.000 0.000 2.6499 0.081784 0.082867 0.083965 0.085078 0.086205 29.86 30.65 Barclays Bank PLC 06741TL70 09/19/13 09/21/20 100.000 0.000 3.1924 0.097535 0.099092 0.100673 0.102280 0.103913 35.71 36.86 Barclays Bank PLC 06741TM79 09/27/13 09/27/19 100.000 0.000 2.7613 0.083279 0.084428 0.085594 0.086776 0.087974 30.40 31.25 Barclays Bank PLC 06741TPR2 03/21/13 03/21/33 100.000 VARIES 3.9299 0.060301 0.059203 0.059718 0.060891 0.062087 21.45 21.95 Barclays Bank PLC 06741TRP4 03/28/13 03/28/33 100.000 VARIES 3.9300 0.059958 0.059008 0.059718 0.060891 0.062088 21.39 21.93 Barclays Bank PLC 06741TRR0 04/09/13 04/09/28 100.000 VARIES 3.5338 0.078042 0.075581 0.075381 0.075178 0.074972 27.43 27.07 Barclays Bank PLC 06741TRW9 04/30/13 04/30/20 100.000 0.000 2.1700 0.065008 0.065713 0.066426 0.067147 0.067875 23.62 24.13 Barclays Bank PLC 06741TSE8 04/19/13 04/19/33 100.000 VARIES 3.7861 0.076959 0.073510 0.072874 0.072226 0.071565 26.79 26.02 Barclays Bank PLC 06741TUA3 05/10/13 05/10/28 100.000 VARIES 3.2563 0.063992 0.063716 0.064436 0.065486 0.066552 23.01 23.49 Barclays Bank PLC 06741TUB1 05/03/13 05/03/33 100.000 VARIES 3.4200 0.057023 0.055944 0.056163 0.057123 0.058100 20.28 20.50 Barclays Bank PLC 06741TV38 10/31/13 10/31/18 100.000 0.000 2.1200 0.062734 0.063399 0.064071 0.064750 22.79 19.28 Barclays Bank PLC 06741TVK0 05/31/13 05/31/33 100.000 VARIES 3.5100 0.057715 0.056619 0.056856 0.057854 0.058869 20.55 20.71 Barclays Bank PLC 06741TWH6 06/17/13 06/17/33 100.000 VARIES 3.6856 0.067517 0.063426 0.063275 0.063121 0.062964 23.51 22.75 Barclays Bank PLC 06741TXA0 06/28/13 06/30/20 100.000 0.000 2.9922 0.092238 0.093618 0.095019 0.096440 0.097883 33.46 34.47 BARCLAYS BANK PLC 06741TXZ5 07/31/13 07/30/20 100.000 0.250 2.9327 104.32 0.088266 0.089459 0.090669 0.091896 0.093142 32.35 33.24 BARCLAYS BANK PLC 06741TYX9 07/24/13 07/24/28 100.000 VARIES 3.9848 122.04 0.082228 0.078746 0.076647 0.075691 0.075670 28.10 27.27 BARCLAYS BANK PLC 06741TZW0 08/15/13 08/15/33 100.000 VARIES 4.2320 123.59 0.081564 0.077533 0.074705 0.072871 0.071855 27.70 26.18 Barclays Bank PLC 06741TZX8 08/01/13 08/01/23 100.000 0.250 3.5547 0.108977 0.110791 0.112637 0.114515 0.116427 40.11 41.46 Barclays Bank PLC 06741U2A1 12/31/15 12/31/21 100.000 0.000 2.5800 0.073528 0.074476 0.075437 0.076410 0.077396 26.64 27.33 Barclays Bank PLC 06741UAU8 03/28/14 06/30/20 100.000 0.000 2.8996 0.087197 0.088461 0.089744 0.091045 0.092365 31.62 32.54 Barclays Bank PLC 06741UBA1 04/25/14 04/25/34 100.000 VARIES 3.4516 0.077360 0.073633 0.069841 0.065983 0.065846 26.68 24.18 Barclays Bank PLC 06741UBK9 04/30/14 04/30/29 100.000 VARIES 3.9399 0.096052 0.095159 0.094249 0.093321 0.093568 34.31 33.72 Barclays Bank PLC 06741UBX1 04/30/14 04/30/24 100.000 VARIES 3.4912 0.100041 0.100285 0.100310 0.100336 0.100221 36.08 36.11 Barclays Bank PLC 06741UDA9 05/30/14 05/30/34 100.000 VARIES 3.8795 0.091595 0.088957 0.086268 0.083526 0.083329 32.33 30.47 Barclays Bank PLC 06741UFK5 07/28/14 07/28/34 100.000 VARIES 3.8226 0.092684 0.089146 0.085541 0.081867 0.078122 31.64 29.00 Barclays Bank PLC 06741UFM1 07/31/14 07/31/34 100.000 VARIES 3.8919 0.094510 0.092684 0.090822 0.088924 0.086989 33.14 31.78 Barclays Bank PLC 06741UFY5 07/30/14 07/29/21 100.000 0.000 2.8200 0.082839 0.084007 0.085191 0.086393 0.087611 30.39 31.25 Barclays Bank PLC 06741UGX6 08/29/14 08/28/29 100.000 VARIES 3.7703 0.095631 0.094219 0.092780 0.091314 0.089821 33.82 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06741UJW5 09/29/14 09/29/34 100.000 VARIES 3.7464 0.092821 0.091281 0.089713 0.088115 0.086487 32.85 31.71 Barclays Bank PLC 06741UKP8 10/30/14 10/30/34 100.000 VARIES 3.5915 0.089414 0.087412 0.085373 0.085114 0.084851 31.58 30.66 Barclays Bank PLC 06741UMK7 12/04/14 12/06/21 100.000 0.000 2.6300 0.076986 0.077998 0.079024 0.080063 0.081116 27.95 28.69 Barclays Bank PLC 06741UQZ0 02/20/15 02/25/22 100.000 0.000 2.6399 0.076302 0.077309 0.078330 0.079364 0.080411 27.91 28.65 Barclays Bank PLC 06741UVZ4 05/19/15 02/18/20 100.000 0.000 2.2397 0.063966 0.064683 0.065407 0.066139 0.066880 23.35 23.87 Barclays Bank PLC 06741VAN2 09/30/16 09/29/23 100.000 0.000 2.2200 5.61 0.061667 0.062347 0.063039 0.063739 0.064447 22.45 22.95 Barclays Bank PLC 06741VAY8 09/30/16 09/30/21 100.000 0.000 2.0500 5.18 0.056944 0.057528 0.058118 0.058713 0.059315 20.71 21.14 Barclays Bank PLC 06741VCG5 10/31/16 10/31/23 100.000 0.000 2.5499 4.32 0.070832 0.071735 0.072649 0.073576 0.074514 25.77 26.43 Barclays Bank PLC 06741VCH3 10/31/16 10/29/21 100.000 0.000 2.2199 3.76 0.061665 0.062345 0.063037 0.063737 0.064445 22.41 22.91 Barclays Bank PLC 06741VDS8 11/28/16 11/24/23 100.000 0.000 3.0999 2.84 0.086109 0.087414 0.088769 0.090145 0.091542 31.33 32.31 Barclays Bank PLC 06741VE40 11/28/16 11/26/21 100.000 0.000 2.6500 2.43 0.073611 0.074575 0.075564 0.076565 0.077579 26.74 27.45 Barclays Bank PLC 06741VE65 11/28/16 11/26/21 100.000 0.000 2.6500 2.43 0.073611 0.074575 0.075564 0.076565 0.077579 26.74 27.45 Barclays Bank PLC 06741VEJ7 12/30/16 12/29/23 100.000 0.000 3.3400 0.09 0.092778 0.094319 0.095894 0.097495 0.099123 33.68 34.82 Barclays Bank PLC 06741VF64 12/30/16 06/30/20 100.000 0.000 2.6600 0.07 0.073890 0.074873 0.075869 0.076878 0.077900 26.78 27.50 Barclays Bank PLC 06741VFP2 12/30/16 12/30/21 100.000 0.000 2.9701 0.08 0.082502 0.083727 0.084970 0.086232 0.087512 29.92 30.82 Barclays Bank PLC 06741VFX5 12/30/16 12/31/21 100.000 0.000 2.9684 0.16 0.082007 0.081867 0.084459 0.084316 0.086985 29.91 30.80 Barclays Bank PLC 06741VG22 01/31/17 07/30/20 100.000 0.000 2.6421 0.072985 0.072739 0.074921 0.074673 24.41 27.24 Barclays Bank PLC 06741VG30 01/27/17 01/25/23 100.000 0.000 3.1501 0.087502 0.088865 0.090264 0.091686 29.44 32.68 Barclays Bank PLC 06741VG55 01/31/17 07/31/19 100.000 0.000 2.1999 0.061108 0.061780 0.062459 0.063146 20.33 22.57 Barclays Bank PLC 06741VG63 01/31/17 01/31/22 100.000 0.000 2.9201 0.081113 0.082298 0.083499 0.084718 27.03 30.21 Barclays Bank PLC 06741VHH8 01/27/17 01/27/27 100.000 VARIES 2.3799 0.009891 0.009472 0.009048 0.008619 3.24 3.20 Barclays Bank PLC 06741VHQ8 02/10/17 02/08/23 100.000 0.000 3.1499 0.087498 0.088861 0.090260 0.091682 28.28 32.65 Barclays Bank PLC 06741VJB9 02/02/17 02/03/21 100.000 0.000 2.7601 0.076668 0.076674 0.077732 0.078805 0.079892 25.38 28.50 Barclays Bank PLC 06741VJG8 03/03/17 09/03/19 100.000 0.000 2.4698 0.068607 0.069454 0.070312 0.071180 20.54 25.36 Barclays Bank PLC 06741VJH6 03/03/17 03/03/22 100.000 0.000 2.9401 0.081669 0.082870 0.084088 0.085324 24.48 30.34 Barclays Bank PLC 06741VJJ2 02/28/17 08/28/23 100.000 0.000 3.1900 0.088611 0.090024 0.091460 0.092919 27.02 33.02 Barclays Bank PLC 06741VJK9 02/28/17 08/27/20 100.000 0.000 2.6240 0.072890 0.073830 0.074799 0.075780 22.06 27.00 Barclays Bank PLC 06741VLU4 03/31/17 09/29/20 100.000 0.000 2.6600 0.073890 0.074868 0.075863 0.076872 20.11 27.32 Barclays Bank PLC 06741VLW0 03/31/17 03/28/24 100.000 0.000 3.2600 0.090554 0.092014 0.093514 0.095038 24.68 33.68 Barclays Bank PLC 06741VLY6 03/31/17 09/29/23 100.000 0.000 3.2100 0.089168 0.090591 0.092045 0.093523 24.30 33.14 Barclays Bank PLC 06741VLZ3 04/05/17 04/05/22 100.000 0.000 2.8900 0.080279 0.081439 0.082616 0.083810 21.45 29.73 Barclays Bank PLC 06741VQP0 04/28/17 10/29/20 100.000 0.000 2.6001 0.072225 0.072230 0.073169 0.074121 0.075084 17.61 26.63 Barclays Bank PLC 06741VQQ8 04/28/17 04/25/24 100.000 0.000 3.0900 0.085834 0.087138 0.088484 0.089851 20.94 31.79 Barclays Bank PLC 06741VQR6 04/28/17 10/30/23 100.000 0.000 3.1299 0.086942 0.086957 0.088318 0.089700 0.091104 21.21 32.21 Barclays Bank PLC 06741VQS4 05/03/17 05/03/22 100.000 0.000 2.9001 0.080557 0.081725 0.082910 0.084113 19.24 29.77 Barclays Bank PLC 06741VTV4 05/31/17 11/30/20 100.000 0.000 2.5101 0.069724 0.070599 0.071485 0.072382 14.74 25.63 Barclays Bank PLC 06741VTW2 05/31/17 05/30/24 100.000 0.000 3.0612 0.083184 0.085850 0.085743 0.088498 17.97 31.40 Barclays Bank PLC 06741VU83 05/26/17 05/23/24 100.000 0.000 3.0400 0.084445 0.085707 0.087009 0.088332 18.20 31.19 BARCLAYS BANK PLC 06741VUR1 05/19/17 05/19/27 100.000 VARIES 2.5708 0.011661 0.011132 0.010597 0.010055 2.57 3.87 BARCLAYS BANK PLC 06741VXA5 06/30/17 06/27/24 100.000 0.000 2.9300 0.081390 0.082562 0.083772 0.084999 14.74 29.95 BARCLAYS BANK PLC 06741VXB3 06/30/17 06/28/23 100.000 0.000 2.8299 0.078609 0.079709 0.080837 0.081981 14.23 28.91 BARCLAYS BANK PLC 06741VXC1 06/30/17 12/31/20 100.000 0.000 2.4501 0.068058 0.068892 0.069736 0.070590 12.32 24.95 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BARCLAYS BANK PLC 06741VXF4 07/06/17 07/06/22 100.000 0.000 2.7400 0.076110 0.077153 0.078210 13.32 27.95 Barclays Bank PLC 06741WCC2 12/30/16 06/28/19 100.000 0.000 2.3902 0.07 0.066393 0.067178 0.067981 0.068793 0.069615 24.05 24.62 Barclays Bank PLC 06741WCJ7 06/05/17 06/03/22 100.000 0.000 2.6701 0.074169 0.075148 0.076152 0.077168 15.31 27.29 Barclays Bank PLC 06742B329 03/17/14 03/18/19 100.000 0.000 2.2100 0.064860 0.065577 0.066302 0.067034 0.067775 23.63 24.15 Barclays Bank PLC 06742B634 03/05/14 03/05/21 100.000 0.000 2.8400 0.084652 0.085854 0.087073 0.088309 0.089563 30.97 31.86 Barclays Bank PLC 06742W737 06/25/14 06/25/20 100.000 0.000 2.6600 0.078936 0.079986 0.081049 0.082127 0.083220 28.62 29.38 Barclays Bank PLC 06742W752 06/25/14 06/25/21 100.000 0.000 2.8300 0.084331 0.085525 0.086735 0.087962 0.089207 30.59 31.46 Barclays Bank PLC 06742W760 06/25/14 06/25/20 100.000 0.000 2.6600 0.078936 0.079986 0.081049 0.082127 0.083220 28.62 29.38 BARCLAYS BANK PLC 06744C3B5 09/29/17 09/30/24 100.000 0.000 3.1200 0.086674 0.088026 0.089399 7.97 31.69 BARCLAYS BANK PLC 06744C3C3 09/29/17 03/31/21 100.000 0.000 2.6100 0.072505 0.073451 0.074410 6.67 26.45 BARCLAYS BANK PLC 06744C3D1 10/04/17 10/05/22 100.000 0.000 2.7800 0.077228 0.078302 0.079390 6.72 28.18 BARCLAYS BANK PLC 06744C4C2 09/15/17 09/15/27 100.000 VARIES 2.4839 0.009665 0.009240 0.008810 1.02 3.31 BARCLAYS BANK PLC 06744C4X6 10/20/17 10/20/37 100.000 VARIES 3.4599 0.096109 0.094288 0.092435 6.82 34.01 BARCLAYS BANK PLC 06744C6P1 11/03/17 11/03/22 100.000 0.000 2.6500 0.073611 0.074586 0.075575 4.27 26.79 BARCLAYS BANK PLC 06744CAL5 07/31/17 07/31/24 100.000 0.000 3.0701 0.085279 0.086588 0.087917 12.88 31.33 BARCLAYS BANK PLC 06744CAM3 07/31/17 01/29/21 100.000 0.000 2.5600 0.071112 0.072018 0.072939 10.74 26.04 BARCLAYS BANK PLC 06744CAN1 08/03/17 08/04/22 100.000 0.000 2.6899 0.074725 0.075730 0.076749 11.06 27.38 BARCLAYS BANK PLC 06744CBB6 07/28/17 07/25/24 100.000 0.000 3.0200 0.083889 0.085135 0.086420 12.84 30.82 BARCLAYS BANK PLC 06744CBC4 07/28/17 07/27/22 100.000 0.000 2.6601 0.073891 0.074868 0.075864 11.31 27.08 BARCLAYS BANK PLC 06744CEV9 08/31/17 08/30/24 100.000 0.000 2.9100 0.080833 0.081996 0.083202 9.78 29.60 BARCLAYS BANK PLC 06744CEX5 08/31/17 02/26/21 100.000 0.000 2.4699 0.068608 0.069436 0.070294 8.30 25.06 BARCLAYS BANK PLC 06744CGK1 08/25/17 08/22/24 100.000 0.000 2.9600 0.082221 0.083418 0.084652 10.36 30.13 BARCLAYS BANK PLC 06744CHA2 08/17/17 08/19/21 100.000 0.000 2.5199 0.069998 0.070007 0.070889 0.071783 9.38 25.60 Bear Stearns Co., Inc. 073928G23 08/31/04 07/01/19 51.530 1.000 N/A 0.118554 0.122092 0.125736 0.129488 0.133353 43.53 46.17 BellSouth 079867AS6 12/13/95 12/15/95 25.235 VARIES 6.8500 0.184749 0.184750 0.184751 0.184752 0.184753 66.51 66.51 Bexar County Housing 08837EAB7 09/28/05 04/01/22 39.225 0.000 5.7501 350.41 0.116939 0.120301 0.123760 0.127318 0.130978 43.32 45.84 BIOMARIN PHARMACEUTICAL 09061GAH4 08/11/17 08/01/24 98.000 0.599 0.8955 0.007740 0.007772 0.007807 1.08 2.80 Bond & Fayette CNTYS, IL 097850CS8 05/07/14 12/01/17 107.812 VARIES 1.7341 0.049247 0.048710 16.15 City of Boston, MA 100853GH7 11/04/09 09/15/24 89.556 6.050 7.2063 36.99 0.018230 0.018887 0.019568 0.020273 0.021003 6.82 7.32 Bumble Bee Holdco S.C.A. 12046QAA1 03/10/11 03/15/18* 98.138 9.625 10.0007 0.276376 0.276827 69.73* Bumble Bee Holdco S.C.A. 12046QAB9 03/10/11 03/15/18* 98.138 9.625 10.0007 0.276376 0.276827 69.73* Bumble Bee Holdco S. C. 12046QAC7 03/10/11 03/15/18* 98.138 9.625 10.0007 0.276376 0.276827 69.73* Burea County SD #84, IL 121012AN8 06/04/10 12/01/17 105.324 VARIES 4.8692 0.136404 0.135836 44.91 Burea County SD #84, IL 121012AP3 06/04/10 12/01/18 105.836 VARIES 5.1195 0.144560 0.143994 0.143414 0.142819 51.91 47.22 Burea County SD #84, IL 121012AQ1 06/04/10 12/01/19 106.299 VARIES 5.3693 0.152743 0.152182 0.151607 0.151016 0.150410 54.85 54.44 Burea County SD #84, IL 121012AR9 06/04/10 12/01/20 104.349 VARIES 5.6693 0.160713 0.160348 0.159972 0.159585 0.159187 57.77 57.50 Burea County SD #84, IL 121012AS7 06/04/10 12/01/21 104.162 VARIES 5.9681 0.169544 0.169215 0.168877 0.168528 0.168169 60.96 60.71 Burea County SD #84, IL 121012AT5 06/04/10 12/01/22 104.788 VARIES 6.1676 0.176263 0.175917 0.175560 0.175191 0.174812 63.37 63.11 Bureau County SD #175, I 121088AP3 09/15/10 12/01/17 106.920 VARIES 4.4822 0.125853 0.125188 41.41 Bureau County SD #175, I 121088AQ1 09/15/10 12/01/18 106.252 VARIES 4.8320 0.136545 0.135985 0.135411 0.134824 49.02 44.58 Bureau County SD #175, I 121088AR9 09/15/10 12/01/19 107.871 VARIES 5.0816 0.145305 0.144656 0.143991 0.143309 0.142609 52.15 51.67 Bureau County SD #175, I 121088AS7 09/15/10 12/01/20 108.435 VARIES 5.2818 0.152301 0.151664 0.151011 0.150341 0.149653 54.68 54.20 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bureau County SD #502, I 121133CK6 10/10/13 12/01/23 100.125 VARIES 4.9874 0.138640 0.138634 0.138628 0.138621 0.138615 49.91 49.90 Bureau County, SD #205, 121133CL4 10/10/13 12/01/29 100.148 VARIES 5.8866 0.163714 0.163709 0.163704 0.163699 0.163693 58.94 58.93 Bureau CNTYS SD #340, IL 121158BP3 08/14/12 12/01/17 106.030 VARIES 2.6393 0.074184 0.073752 24.40 Bureau CNTYS SD #340, IL 121158BQ1 08/14/12 12/01/18 105.273 VARIES 2.9397 0.083092 0.082741 0.082386 0.082025 29.83 27.12 CBIZ, Inc. 124805AA0 05/30/06 06/01/26 100.000 VARIES 8.9994 0.491425 0.509027 0.527292 0.546378 0.566323 181.16 194.43 CBIZ, Inc. 124805AB8 05/30/06 06/01/26 100.000 VARIES 8.9994 0.491425 0.509027 0.527292 0.546378 0.566323 181.16 194.43 Caesars Entertainment 127693AC3 02/15/13 02/15/20 97.500 9.000 9.4970 11.85 0.009978 0.010452 0.010948 0.011468 0.012013 3.81 4.18 Caesars Entertainment 127693AF6 02/15/13 02/15/20 97.500 9.000 9.4970 11.85 0.009978 0.010452 0.010948 0.011468 0.012013 3.81 4.18 Caesars Entertainment 127693AG4 02/15/13 02/15/20 97.500 9.000 9.4970 11.85 0.009978 0.010452 0.010948 0.011468 0.012013 3.81 4.18 CaesarsEntertainment 127693AH2 02/15/13 02/15/20 97.500 9.000 9.4970 11.85 0.009978 0.010452 0.010948 0.011468 0.012013 3.81 4.18 California Resources Cor 13057QAG2 12/16/15 12/15/22 63.250 8.000 17.2411 31.74 0.095165 0.103369 0.112280 0.121959 0.132473 36.01 42.49 Carol Stream PK DT, IL 143735LM8 07/15/08 10/01/27 93.383 5.750 6.3511 19.86 0.008393 0.008660 0.008935 0.009218 3.12 3.32 Carol Stream, IL 143735TR9 12/30/11 11/01/17 79.136 0.000 4.0492 175.83 0.108059 0.110247 32.81 Carol Stream, IL 143735TS7 12/30/11 11/01/18 74.017 0.000 4.4493 182.37 0.113178 0.115696 0.118270 0.120901 41.50 35.95 Carol Stream, IL 143735TT5 12/30/11 11/01/19 68.693 0.000 4.8493 186.18 0.116667 0.119495 0.122393 0.125360 0.128400 42.85 44.96 Carol Stream, IL 143735TU2 12/30/11 11/01/20 63.533 0.000 5.1992 186.12 0.117617 0.120674 0.123811 0.127030 0.130332 43.26 45.54 Carol Stream, IL 143735TV0 12/30/11 11/01/21 59.208 0.000 5.3993 180.96 0.114906 0.118008 0.121194 0.124466 0.127826 42.30 44.62 Carol Stream, IL 143735TW8 12/30/11 11/01/22 54.964 0.000 5.5993 175.02 0.111669 0.114795 0.118009 0.121313 0.124709 41.14 43.48 Carol Stream, IL 143735TX6 12/30/11 11/01/23 50.827 0.000 5.7993 168.41 0.107964 0.111095 0.114316 0.117631 0.121042 39.81 42.15 Carol Stream, IL 143735TY4 12/30/11 11/01/24 46.530 0.000 6.0492 161.75 0.104314 0.107469 0.110719 0.114068 0.117518 38.51 40.87 Carol Stream, IL 143735TZ1 12/30/11 11/01/25 42.963 0.000 6.1994 153.59 0.099406 0.102487 0.105664 0.108940 0.112316 36.72 39.03 Carol Stream, IL 143735UA4 12/30/11 11/01/26 39.556 0.000 6.3493 145.33 0.094398 0.097395 0.100487 0.103677 0.106968 34.89 37.14 Carol Stream, IL 143735UB2 12/30/11 11/01/27 36.593 0.000 6.4493 136.88 0.089120 0.091994 0.094960 0.098023 0.101183 32.95 35.11 Carol Stream, IL 143735UC0 12/30/11 11/01/28 33.512 0.000 6.5994 128.72 0.084106 0.086881 0.089748 0.092709 0.095768 31.12 33.20 Carol Stream, IL 143735UD8 12/30/11 11/01/29 30.868 0.000 6.6994 120.64 0.079012 0.081659 0.084394 0.087221 0.090143 29.24 31.24 Carol Stream, IL 143735UE6 12/30/11 11/01/30 28.377 0.000 6.7995 112.83 0.074068 0.076586 0.079190 0.081882 0.084666 27.42 29.32 Carol Stream, IL 143735UF3 12/30/11 11/01/31 26.288 0.000 6.8495 105.41 0.069282 0.071655 0.074109 0.076647 0.079272 25.66 27.45 Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29 100.000 VARIES 9.9395 1.164973 1.219682 1.277109 1.337391 1.400669 441.12 483.71 Centrus Energy Corp. 15643UAA2 09/30/14 09/30/24 56.492 5.000 N/A 0.281328 0.296909 0.313512 0.331210 0.350082 107.01 119.38 Champaign & Piatt CNTYS, 158087RN8 09/12/13 10/01/19 100.000 VARIES 3.7424 0.103977 0.103974 0.103970 0.103966 0.103963 37.43 37.43 Champaign County, IL 158199AZ2 11/04/15 12/01/19 99.418 VARIES 2.3671 0.067046 0.067265 0.067486 0.067898 0.068316 24.19 24.39 Champaign County, IL 158199BA6 11/04/15 12/01/23 124.115 VARIES N/A 0.131294 0.129598 0.127868 0.126105 0.124308 46.86 45.61 Champaign County, IL 158199BB4 11/04/15 12/01/26 98.267 VARIES 4.1631 0.113443 0.113318 0.113190 0.113060 0.112927 40.81 40.72 Cheniere Energy, Inc. 16411RAF6 11/28/14 05/28/21 100.000 0.000 N/A 0.149110 0.152745 0.156468 0.160282 0.164189 54.58 57.27 Cheniere Energy, Inc. 16411RAG4 03/09/15 03/15/45 80.000 4.250 5.6397 4.93 0.007867 0.007957 0.008317 0.008412 0.008793 2.94 3.10 Cheniere Energy, Inc. 16411RAH2 11/28/14 05/28/21 100.000 0.000 N/A 0.149110 0.152745 0.156468 0.160282 0.164189 54.58 57.27 Chesapeake Energy Corp. 165167BZ9 05/15/07 05/15/37* 100.000 VARIES 6.7506 0.291298 0.298786 59.65* Chesapeake Energy Corp. 165167CA3 08/14/07 05/15/37* 97.625 VARIES 8.0009 0.374366 0.386564 76.84* Chesapeake Energy Corp. 165167CB1 05/27/08 12/15/38 100.000 VARIES 8.0008 0.374929 0.387428 0.400426 0.413945 0.428004 137.63 147.03 Chesapeake Energy Corp. 165167CQ8 12/23/15 12/15/22 48.000 8.000 23.5159 35.91 0.112288 0.124805 0.140246 0.155880 0.175165 43.75 54.64 Christian & Sangamon CNT 170592BD0 03/28/13 12/01/17 111.388 VARIES 2.2261 0.063372 0.062609 20.78 Christian & Sangamon CNT 170592BE8 03/28/13 12/01/18 110.855 VARIES 2.4788 0.071554 0.070892 0.070221 0.069542 25.60 23.05 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Christian & Sangamon CNT 170592BF5 03/28/13 12/01/19 110.619 VARIES 2.7793 0.081002 0.080390 0.079770 0.079142 0.078504 29.01 28.57 Christian & Sangamon CNT 170592BG3 03/28/13 12/01/20 109.831 VARIES 3.0795 0.090083 0.089546 0.089000 0.088445 0.087882 32.30 31.91 Christian & Sangamon CNT 170592BH1 03/28/13 12/01/21 107.041 VARIES 3.3309 0.096412 0.096051 0.095685 0.095312 0.094933 34.62 34.36 Christian & Sangamon CNT 170592BJ7 03/28/13 12/01/22 99.442 VARIES 3.5341 0.097728 0.097761 0.097795 0.097830 0.097865 35.19 35.21 Christian & Sangamon CNT 170592BK4 03/28/13 12/01/23 99.390 VARIES 3.6841 0.101809 0.101842 0.101876 0.101910 0.101946 36.66 36.68 CHRISTIAN SHELBY & MONTG 170790DG1 06/06/17 12/01/18 102.037 3.500 2.0656 0.058546 0.059134 0.059745 12.02 19.62 CHRISTIAN SHELBY & MONTG 170790DH9 06/06/17 12/01/19 103.005 3.500 2.2277 0.063739 0.064429 0.065147 0.062654 13.09 23.27 CHRISTIAN SHELBY & MONTG 170790DJ5 06/06/17 12/01/20 104.148 3.750 2.4806 0.071765 0.072631 0.073531 0.070603 14.74 26.25 CHRISTIAN SHELBY & MONTG 170790DK2 06/06/17 12/01/21 101.259 3.000 2.6866 0.075567 0.076554 0.077582 0.075297 15.52 27.71 Citigroup Inc. 17298C2B3 09/30/15 09/29/22 100.000 0.000 3.0163 0.086327 0.087629 0.088950 0.090292 0.091653 31.55 32.51 Citigroup Inc. 17298C2C1 09/30/15 09/29/22 100.000 0.000 3.0163 0.086327 0.087629 0.088950 0.090292 0.091653 31.55 32.51 Citigroup Inc. 17298C2N7 10/02/15 10/02/20 100.000 0.000 2.5622 0.073009 0.073944 0.074891 0.075851 0.076823 26.62 27.31 Citigroup Inc. 17298C2U1 11/03/15 05/04/21 100.000 0.250 2.7771 0.079111 0.080113 0.081129 0.082159 0.083203 28.78 29.51 Citigroup Inc. 17298C2Z0 10/30/15 11/01/22 100.000 0.000 2.9688 0.084941 0.086202 0.087482 0.088780 0.090098 30.96 31.88 Citigroup Inc. 17298C3A4 10/30/15 11/01/22 100.000 0.000 2.9688 0.084941 0.086202 0.087482 0.088780 0.090098 30.96 31.88 Citigroup Inc. 17298C3F3 10/28/15 10/28/25 100.000 VARIES 2.3916 0.009359 0.009109 0.008856 0.008599 0.008340 3.29 3.11 Citigroup Inc. 17298C3R7 11/05/15 11/05/20 100.000 0.000 2.6408 0.075306 0.076300 0.077308 0.078328 0.079363 27.40 28.13 Citigroup Inc. 17298C3Z9 11/30/15 05/27/21 100.000 0.250 2.8050 0.079905 0.080928 0.081965 0.083018 0.084085 29.02 29.77 Citigroup Inc. 17298C4A3 11/30/15 11/30/22 100.000 0.000 3.0605 0.087636 0.088977 0.090339 0.091721 0.093125 31.87 32.86 Citigroup Inc. 17298C4B1 11/30/15 11/30/22 100.000 0.000 3.0605 0.087636 0.088977 0.090339 0.091721 0.093125 31.87 32.86 Citigroup Inc. 17298C4W5 12/31/15 01/05/23 100.000 0.000 3.1984 0.090306 0.091750 0.093218 0.094708 0.096223 33.28 34.36 Citigroup Inc. 17298C4Z8 12/28/15 06/25/21 100.000 0.250 2.8488 0.081187 0.082245 0.083317 0.084405 0.085508 29.43 30.20 Citigroup Inc. 17298C5L8 02/01/16 07/30/21 100.000 0.250 2.9080 26.82 0.081845 0.082934 0.084039 0.085160 0.086297 29.99 30.80 Citigroup Inc. 17298C5U8 01/29/16 01/31/23 100.000 0.000 3.1492 29.34 0.088871 0.090270 0.091692 0.093135 0.094602 32.67 33.71 Citigroup Inc. 17298C6K9 01/29/16 01/29/26 100.000 VARIES 2.4179 4.90 0.014568 0.014189 0.013806 0.013418 0.013026 5.06 4.78 Citigroup Inc. 17298C6X1 02/29/16 03/01/23 100.000 0.000 2.8956 24.35 0.081603 0.082784 0.083983 0.085199 0.086432 29.88 30.75 Citigroup Inc. 17298C6Y9 02/29/16 08/27/21 100.000 0.250 2.7865 23.42 0.078367 0.079362 0.080371 0.081394 0.082431 28.64 29.37 Citigroup Inc. 17298C6Z6 02/29/16 03/01/23 100.000 0.000 2.8956 24.35 0.081603 0.082784 0.083983 0.085199 0.086432 29.88 30.75 Citigroup Inc. 17298CAF5 05/15/15 05/15/30 100.000 VARIES 2.6421 0.010951 0.010685 0.010417 0.010144 0.009868 3.87 3.68 Citigroup Inc. 17298CAP3 05/28/15 05/26/22 100.000 0.000 3.0095 0.087413 0.088728 0.090063 0.091418 0.092794 31.80 32.76 Citigroup Inc. 17298CAQ1 05/28/15 05/26/22 100.000 0.000 3.0095 0.087413 0.088728 0.090063 0.091418 0.092794 31.80 32.76 Citigroup Inc. 17298CAR9 05/28/15 05/28/35 100.000 VARIES 4.3835 0.111278 0.107629 0.106171 0.104681 0.103158 39.23 37.85 Citigroup Inc. 17298CAT5 05/27/15 05/27/25 100.000 VARIES 2.5639 0.007357 0.007138 0.006916 0.006691 0.006777 2.59 2.44 Citigroup Inc. 17298CB56 04/04/16 10/05/21 100.000 0.250 2.6050 19.39 0.073217 0.074080 0.074955 0.075840 0.076738 26.66 27.30 Citigroup Inc. 17298CB64 04/04/16 04/05/21 100.000 0.000 2.4511 18.25 0.068927 0.069771 0.070626 0.071492 0.072368 25.11 25.73 Citigroup Inc. 17298CBM9 06/30/15 12/30/20 100.000 0.250 2.7900 0.080494 0.081520 0.082560 0.083615 0.084685 29.16 29.91 Citigroup Inc. 17298CBT4 06/30/15 06/30/22 100.000 0.000 3.2000 0.093224 0.094716 0.096231 0.097771 0.099335 33.83 34.92 Citigroup Inc. 17298CBV9 06/30/15 06/30/22 100.000 0.000 3.2000 0.093224 0.094716 0.096231 0.097771 0.099335 33.83 34.92 Citigroup Inc. 17298CDH8 09/02/15 03/04/21 100.000 0.300 1.6120 0.045370 0.045669 0.045970 0.046273 0.046579 16.46 16.68 Citigroup Inc. 17298CDJ4 08/31/15 08/31/22 100.000 0.000 3.1499 0.089776 0.089703 0.092626 0.092551 0.095567 33.11 34.16 Citigroup Inc. 17298CDK1 08/31/15 08/31/22 100.000 0.000 3.1499 0.089776 0.089703 0.092626 0.092551 0.095567 33.11 34.16 Citigroup Inc. 17298CDV7 10/02/15 04/01/21 100.000 0.250 2.6650 0.075822 0.076740 0.077670 0.078613 0.079568 27.63 28.30 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 1730T02B4 10/30/14 10/30/34 100.000 VARIES 4.5064 0.112911 0.112713 0.112511 0.112304 0.112093 40.59 40.44 Citigroup Inc. 1730T02D0 10/31/14 10/31/29 100.000 VARIES 4.0094 0.099918 0.098686 0.097429 0.096148 0.094840 35.60 34.69 CItigroup Inc. 1730T02E8 10/31/14 05/01/20 100.000 0.000 2.5468 0.074424 0.075372 0.076331 0.077303 0.078288 27.08 27.77 Citigroup Inc. 1730T02P3 10/31/14 10/31/34 100.000 VARIES 4.7455 0.122607 0.121536 0.120440 0.119317 0.118168 43.81 43.02 Citigroup Inc. 1730T02V0 11/26/14 11/26/34 100.000 VARIES 4.2546 0.104163 0.102418 0.100635 0.098815 0.096956 37.06 35.77 Citigroup Inc. 1730T02X6 11/26/14 11/26/29 100.000 VARIES 4.1216 0.107555 0.106972 0.106377 0.105770 0.105151 38.57 38.14 Citigroup Inc. 1730T03C1 11/28/14 05/29/20 100.000 0.000 2.6205 0.076687 0.077691 0.078709 0.079741 0.080785 27.85 28.59 Citigroup Inc. 1730T03G2 12/01/14 12/02/19 100.000 0.000 2.4381 0.071093 0.071960 0.072837 0.073725 0.074624 25.80 26.43 Citigroup Funding, Inc. 1730T03J6 12/29/14 12/29/34 100.000 VARIES 4.3208 0.112354 0.111327 0.110277 0.110833 0.111401 40.26 39.80 Citigroup Inc. 1730T03V9 01/30/15 02/01/22 100.000 0.000 2.8404 0.082316 0.083485 0.084671 0.085873 0.087093 30.20 31.06 Citigroup Inc. 1730T03W7 01/30/15 01/30/35 100.000 VARIES 3.9694 0.102549 0.101533 0.100496 0.099439 0.101209 36.42 36.10 Citigroup Inc. 1730T03Z0 01/30/15 02/01/22 100.000 0.000 2.8404 0.082316 0.083485 0.084671 0.085873 0.087093 30.20 31.06 Citigroup Inc. 1730T04J5 02/26/15 02/28/22 100.000 0.000 2.2326 0.063771 0.063431 0.065202 0.064855 0.066666 23.39 23.92 Citigroup Inc. 1730T04L0 02/26/15 02/28/22 100.000 0.000 2.2326 0.063771 0.063431 0.065202 0.064855 0.066666 23.39 23.92 Citigroup Inc. 1730T05X3 03/30/15 03/30/22 100.000 0.000 2.9238 0.084830 0.086070 0.087328 0.088605 0.089900 30.99 31.90 Citigroup Inc. 1730T05Y1 03/30/15 03/30/22 100.000 0.000 2.9238 0.084830 0.086070 0.087328 0.088605 0.089900 30.99 31.90 Citigroup Inc. 1730T06D6 03/27/15 03/27/25 100.000 VARIES 3.1775 0.091124 0.091578 0.091611 0.091644 0.091585 32.93 32.98 Citigroup Inc. 1730T06L8 03/23/15 03/23/22 100.000 0.000 2.8171 0.081607 0.082756 0.083922 0.085104 0.086302 29.81 30.66 Citigroup Inc. 1730T06V6 04/29/15 04/28/22 100.000 0.000 2.7395 0.079261 0.080347 0.081447 0.082563 0.083694 28.87 29.66 Citigroup Inc. 1730T06X2 04/29/15 04/28/22 100.000 0.000 2.7395 0.079261 0.080347 0.081447 0.082563 0.083694 28.87 29.66 Citigroup Inc. 1730T07D5 04/27/15 04/27/25 100.000 VARIES 2.3818 0.065414 0.065160 0.064902 0.064642 0.064742 23.47 23.31 Citigroup Inc. 1730T07K9 04/30/15 04/30/35 100.000 VARIES 4.1098 0.106553 0.105721 0.104871 0.104004 0.103541 38.11 37.52 Citigroup Inc. 1730T0A58 10/22/13 10/22/33 100.000 VARIES 4.6765 0.109916 0.106984 0.103984 0.103690 0.103389 38.63 37.34 Citigroup Inc. 1730T0A82 11/15/13 11/15/28 100.000 VARIES 4.5367 0.109364 0.107838 0.106278 0.106442 0.106610 38.95 38.30 Citigroup Inc. 1730T0A90 10/30/13 10/30/33 100.000 VARIES 4.6216 0.110349 0.108385 0.106375 0.106370 0.106365 39.13 38.29 Citigroup Funding, Inc. 1730T0AK5 05/15/06 05/15/36 11.570 0.000 7.3200 132.73 0.050046 0.051878 0.053777 0.055745 0.057785 18.52 19.90 Citigroup Inc. 1730T0B99 11/14/13 11/14/23 100.000 VARIES 4.0136 0.099511 0.098059 0.096578 0.097104 0.097640 35.42 34.91 Citigroup Funding, Inc. 1730T0BT5 02/14/07 02/14/37 100.000 VARIES 5.8404 0.156853 0.156922 0.156994 0.157068 0.157144 56.50 56.55 Citigroup Inc. 1730T0C23 11/12/13 11/12/33 100.000 VARIES 4.7621 0.115297 0.112518 0.109674 0.109227 0.108769 40.73 39.36 Citigroup Inc. 1730T0C56 11/26/13 11/26/33 100.000 VARIES 4.7711 0.114234 0.112196 0.110110 0.110261 0.110415 40.61 39.68 Citigroup Inc. 1730T0E88 01/29/14 01/29/29 100.000 VARIES 4.3351 0.104402 0.102435 0.100427 0.098374 0.098479 36.63 35.49 Citigroup Inc. 1730T0E96 01/29/14 01/29/34 100.000 VARIES 4.6111 0.108170 0.105127 0.102013 0.098828 0.098639 37.46 35.64 Citigroup Inc. 1730T0F38 01/31/14 08/01/19 100.000 0.000 2.5874 0.076649 0.077641 0.078645 0.079663 0.080693 28.07 28.80 Citigroup Inc. 1730T0G78 02/19/14 02/19/34 100.000 VARIES 4.7124 0.113433 0.111621 0.109767 0.107869 0.108428 40.03 39.00 Citigroup Funding, Inc. 1730T0GY9 04/28/09 04/28/24 100.000 VARIES 8.1832 0.203482 0.204665 0.205897 0.207180 0.208515 73.62 74.52 Citigroup Inc. 1730T0H36 02/28/14 08/29/19 100.000 0.000 2.6154 0.076254 0.077676 0.078261 0.079720 0.080322 28.34 29.09 Citigroup Funding, Inc. 1730T0HN2 04/29/10 04/29/30 100.000 VARIES 5.9942 0.140020 0.140200 0.140540 0.140891 0.141252 50.47 50.70 Citigroup Inc. 1730T0J83 02/28/14 02/28/19 100.000 VARIES 1.6995 0.045935 0.045293 0.046247 0.045694 0.046699 16.69 16.83 Citigroup Funding, Inc. 1730T0JH3 06/24/10 06/24/20 100.000 VARIES 5.3516 0.151046 0.150702 0.150351 0.149990 0.149647 54.31 54.06 Citigroup Inc. 1730T0K99 03/31/14 10/01/19 100.000 0.000 2.7121 0.080590 0.081683 0.082790 0.083913 0.085051 29.41 30.21 Citigroup Funding, Inc. 1730T0KE8 09/09/10 09/09/20 100.000 VARIES 4.7846 0.141295 0.140637 0.139737 0.138815 0.137747 50.57 49.92 Citigroup Funding, Inc. 1730T0KG3 09/14/10 09/14/17 100.000 VARIES 2.5063 0.019355 0.019597 4.94 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Funding, Inc. 1730T0KT5 11/04/10 11/04/20 100.000 VARIES 2.4351 0.022569 0.022844 0.023122 0.023404 0.023689 8.21 8.41 Citigroup Funding, Inc. 1730T0KU2 11/04/10 11/04/20 100.000 VARIES 2.5365 0.025025 0.025343 0.025664 0.025990 0.026319 9.10 9.33 Citigroup Funding, Inc. 1730T0KV0 11/19/10 11/19/30 100.000 VARIES 5.1246 0.130103 0.130407 0.130720 0.131040 0.131368 46.92 47.14 Citigroup Funding, Inc. 1730T0KY4 11/19/10 11/19/20 100.000 VARIES 4.7109 0.130743 0.130668 0.130591 0.130492 0.130390 47.05 46.99 Citigroup Funding, Inc. 1730T0KZ1 11/09/10 11/09/30 100.000 VARIES 5.5699 0.124315 0.125122 0.125952 0.126805 0.127681 44.98 45.59 Citigroup Inc. 1730T0L23 03/28/14 03/28/29 100.000 VARIES 4.3743 0.107036 0.105923 0.104787 0.103625 0.103992 38.12 37.44 Citigroup Inc. 1730T0L31 03/28/14 03/28/34 100.000 VARIES 4.6422 0.112911 0.111138 0.109324 0.107469 0.107784 40.00 38.88 Citigroup Inc. 1730T0L49 03/10/14 03/10/19 100.000 VARIES 1.8994 0.051601 0.051705 0.051942 0.052181 0.052469 18.63 18.80 Citigroup Inc. 1730T0L64 03/12/14 03/12/34 100.000 VARIES 4.7152 0.112435 0.109522 0.106541 0.103490 0.103291 39.31 37.45 Citigroup Inc. 1730T0L72 03/28/14 03/28/21 100.000 VARIES 3.3141 0.091714 0.091721 0.091728 0.091735 0.091794 33.02 33.03 Citigroup Funding, Inc. 1730T0L98 03/21/14 03/21/24 100.000 VARIES 3.2460 0.079267 0.078146 0.077930 0.077711 0.078082 28.20 28.03 Citigroup Funding, Inc. 1730T0LB3 11/15/10 11/15/20 100.000 VARIES 2.2799 0.018872 0.019087 0.019305 0.019525 0.019748 6.85 7.01 Citigroup Inc. 1730T0M63 03/26/14 03/26/29 100.000 VARIES 4.3729 0.110429 0.108707 0.106948 0.105150 0.105164 39.11 38.01 Citigroup Inc. 1730T0M97 04/30/14 10/30/19 100.000 0.000 2.7618 0.082163 0.083297 0.084447 0.085614 0.086796 29.92 30.75 Citigroup Funding, Inc. 1730T0MA4 04/01/11 04/01/21 100.000 VARIES 5.0032 0.138849 0.138861 0.138875 0.138888 0.138902 49.99 50.00 Citigroup Funding, Inc. 1730T0ME6 04/26/11 04/26/21 100.000 VARIES 1.9785 0.017758 0.017933 0.018111 0.018290 0.018471 6.45 6.58 Citigroup Funding, Inc. 1730T0MQ9 06/29/11 06/27/18 100.000 0.000 3.9200 0.134777 0.137418 0.140112 49.02 24.66 Citigroup Funding, Inc. 1730T0MR7 06/20/11 06/20/21 100.000 VARIES 4.6546 0.129044 0.129070 0.129095 0.129122 0.129149 46.46 46.48 Citigroup Funding, Inc. 1730T0MU0 07/28/11 01/25/17 100.000 0.500 3.3820 0.108533 2.60 Citigroup Inc. 1730T0N39 04/29/14 04/29/29 100.000 VARIES 4.2731 0.103977 0.102776 0.101550 0.100297 0.100626 37.07 36.28 Citigroup Inc. 1730T0N62 04/29/14 04/29/34 100.000 VARIES 4.5423 0.109734 0.107493 0.105201 0.102856 0.103038 38.82 37.32 Citigroup Funding, Inc. 1730T0NH8 08/30/11 02/24/17 100.000 0.500 3.8049 0.124661 6.61 Citigroup Funding, Inc. 1730T0NM7 08/31/11 08/31/21 100.000 VARIES 2.3032 0.017028 0.016943 0.017422 0.017335 0.017826 6.25 6.39 Citigroyp Funding, Inc. 1730T0NS4 09/29/11 09/27/17 100.000 0.500 4.1395 0.137942 0.140509 37.15 Citigroup Inc. 1730T0P78 05/30/14 05/30/29 100.000 VARIES 4.1425 0.100176 0.098812 0.097420 0.096000 0.096146 35.73 34.78 Citigroup Inc. 1730T0P86 05/30/14 05/30/34 100.000 VARIES 4.4254 0.106175 0.103531 0.100829 0.098067 0.097911 37.58 35.71 Citigroup Funding, Inc. 1730T0PD5 10/28/11 10/27/17 100.000 0.500 3.9008 0.128474 0.130709 38.43 Citigroup Funding, Inc. 1730T0QC6 11/28/11 11/28/17 100.000 0.500 4.2510 0.142475 0.145208 47.08 Citigroup Inc. 1730T0R50 06/18/14 06/18/34 100.000 VARIES 4.4513 0.107337 0.105166 0.102947 0.100678 0.101249 38.19 36.63 Citigroup Inc. 1730T0R76 06/27/14 06/27/34 100.000 VARIES 4.4526 0.108283 0.106794 0.105272 0.103716 0.103792 38.70 37.61 Citigroup Inc. 1730T0R92 07/02/14 01/02/20 100.000 0.000 2.5296 0.073891 0.074825 0.075772 0.076730 0.077700 27.11 27.80 Citigroup Inc. 1730T0RN1 02/27/13 02/27/28 100.000 VARIES 3.2574 0.077582 0.076781 0.075967 0.075140 0.075285 27.59 27.11 Citigroup Inc. 1730T0S67 06/19/14 06/19/19 100.000 VARIES 0.8120 0.009037 0.009074 0.009111 0.009148 0.009185 3.26 3.29 Citigroup Inc. 1730T0SE0 03/27/13 03/27/18 100.000 VARIES 0.8305 0.008189 0.008223 0.008257 2.96 0.71 Citigroup Inc. 1730T0SM2 04/29/13 04/29/33 100.000 VARIES 3.4970 0.084239 0.083882 0.083520 0.083151 0.083667 30.22 30.01 Citigroup Inc. 1730T0SX8 04/22/13 04/22/23 100.000 VARIES 1.4141 0.007300 0.007352 0.007404 0.007456 0.007509 2.64 2.68 Citigroup Inc. 1730T0T41 06/19/14 12/19/17 100.000 VARIES 1.7691 0.048592 0.048807 16.95 Citigroup Inc. 1730T0T58 06/27/14 06/27/34 100.000 VARIES 4.3618 0.107666 0.106962 0.106244 0.105509 0.105201 38.63 38.11 Citigroup Funding, Inc. 1730T0TK5 05/30/13 05/30/33 100.000 VARIES 4.1925 0.097941 0.097459 0.096966 0.096463 0.097320 35.14 34.83 Citigroup Inc. 1730T0TQ2 06/11/13 06/11/33 100.000 VARIES 4.2945 0.105145 0.104728 0.104303 0.103868 0.104464 37.76 37.47 Citigroup Inc. 1730T0TT6 06/28/13 06/28/33 100.000 VARIES 4.5398 0.107231 0.105579 0.106117 0.106668 0.107231 38.30 38.30 Citigroup Inc. 1730T0TZ2 06/27/13 06/27/33 100.000 VARIES 4.6405 0.113603 0.112274 0.112679 0.113094 0.113518 40.65 40.64 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 1730T0U23 07/31/14 01/31/20 100.000 0.000 2.5817 0.075490 0.076464 0.077451 0.078451 0.079464 27.65 28.37 Citigroup Inc. 1730T0U49 07/31/14 07/31/34 100.000 VARIES 4.3417 0.107988 0.107330 0.106658 0.105972 0.105270 38.56 38.06 Citigroup Inc. 1730T0U56 07/30/14 07/30/29 100.000 VARIES 4.2648 0.110970 0.110268 0.109552 0.108820 0.108073 39.61 39.08 Citigroup Inc. 1730T0U98 07/30/14 07/30/34 100.000 VARIES 4.5843 0.117750 0.116651 0.115527 0.114377 0.113200 41.86 41.03 Citigroup Inc. 1730T0UB3 07/09/13 07/09/33 100.000 VARIES 4.7565 0.117778 0.117829 0.117882 0.117936 0.117991 42.43 42.47 Citigroup Inc. 1730T0UG2 07/09/13 07/09/28 100.000 VARIES 4.4999 0.111227 0.110306 0.109364 0.109712 0.110067 39.56 39.55 Citigroup Inc. 1730T0UK3 07/30/13 07/30/33 100.000 VARIES 4.8333 0.117742 0.115411 0.113024 0.113006 0.112988 41.26 40.68 Citigroup Inc. 1730T0UP2 08/28/13 08/28/18 100.000 VARIES 0.9243 0.011243 0.011295 0.011348 0.011400 4.07 2.70 Citigroup Inc. 1730T0V71 08/28/14 02/29/20 100.000 0.000 2.4724 0.071753 0.071456 0.073538 0.073233 0.075367 26.35 27.01 Citigroup Inc. 1730T0V89 08/29/14 08/29/34 100.000 VARIES 4.6276 0.116355 0.116073 0.114502 0.114167 0.112562 42.19 41.49 Citigroup Inc. 1730T0VC0 09/27/13 09/27/20 100.000 VARIES 3.3025 0.092619 0.092647 0.092676 0.092595 0.092513 33.35 33.33 Citigroup Inc. 1730T0VD8 09/18/13 09/18/33 100.000 VARIES 5.1093 0.122935 0.120565 0.118133 0.118398 0.118670 43.34 42.63 Citigroup Inc. 1730T0VK2 10/08/13 10/08/23 100.000 VARIES 3.9667 0.099453 0.098350 0.097224 0.097665 0.098115 35.42 35.15 Citigroup Inc. 1730T0W21 08/28/14 08/28/34 100.000 VARIES 4.2433 0.108423 0.108234 0.108041 0.107844 0.107643 38.95 38.81 Citigroup Inc. 1730T0W70 08/28/14 08/30/19 100.000 0.000 2.4762 0.071469 0.071959 0.073250 0.073752 0.075075 26.40 27.05 Citigroup Funding, Inc. 1730T0WF2 02/24/12 02/24/20 100.000 VARIES 2.8625 0.009292 0.009425 0.009560 0.009697 0.009836 3.40 3.50 Citigroup Funding, Inc. 1730T0WR6 03/30/12 03/30/22 100.000 VARIES 3.8303 0.107207 0.107352 0.107393 0.107436 0.107382 38.64 38.67 Citigroup Funding, Inc. 1730T0XG9 05/30/12 06/07/18 100.000 0.500 3.6728 0.117780 0.119688 0.121630 42.84 18.97 Citigroup Inc. 1730T0Y37 10/02/14 04/02/20 100.000 0.000 2.8849 0.084862 0.086086 0.087328 0.088588 0.089866 30.99 31.89 Citigroup Funding, Inc. 1730T0YD5 08/30/12 03/02/18 100.000 0.750 2.7849 0.083981 0.084861 0.085752 30.60 5.23 Citigroup Inc. 1730T0Z28 10/07/14 10/07/21 100.000 1.000 3.1430 0.091136 0.092132 0.093143 0.094171 0.095214 33.16 33.89 CITIGROUP INC 1730T0Z85 10/08/14 10/07/21 100.000 1.000 3.0942 70.30 0.089625 0.090582 0.091554 0.092541 0.093543 32.60 33.30 Citigroup Funding, Inc. 1730T0ZJ1 11/27/12 11/27/22 100.000 VARIES 1.5729 0.016002 0.016128 0.016255 0.016383 0.016512 5.79 5.88 Citigroup Inc. 1730T3AV5 08/31/15 08/31/35 100.000 VARIES 4.4143 0.115056 0.110167 0.108863 0.103941 0.102394 40.33 38.03 Citigroup Inc. 1730T3AW3 08/31/15 08/31/35 100.000 VARIES 4.4100 0.114937 0.110796 0.110276 0.106110 0.105407 40.62 38.89 Citigroup Inc. 1730T3AX1 09/30/15 09/30/35 100.000 VARIES 4.3723 0.114544 0.110976 0.107329 0.105541 0.103714 39.94 37.99 Citigroup Inc. 1730T3AY9 10/30/15 10/30/35 100.000 VARIES 4.3036 0.112662 0.109109 0.105480 0.104071 0.102632 39.48 37.55 Citigroup Inc. 1730T3AZ6 11/30/15 11/30/35 100.000 VARIES 4.3523 0.114329 0.110936 0.107470 0.106581 0.105673 40.34 38.47 Citigroup Funding, Inc. 17318Q574 10/02/12 09/27/18 100.000 0.000 2.4948 0.076499 0.077453 0.078419 0.079398 27.89 21.04 Citigroup Inc. 17321F755 11/05/13 11/03/22 100.000 0.000 3.6500 0.112987 0.115049 0.117149 0.119287 0.121464 41.29 42.81 Citigroup Inc. 17323P140 03/03/16 09/01/23 100.000 0.000 3.0322 25.25 0.085490 0.086786 0.088102 0.089437 0.090793 31.32 32.28 Citigroup Inc. 17323P249 02/03/16 08/03/23 100.000 0.000 2.9606 27.15 0.083457 0.084693 0.085946 0.087219 0.088510 30.64 31.55 Citigroup Inc. 17323P314 11/24/15 11/26/21 100.000 0.000 2.8522 0.081516 0.082678 0.083857 0.085053 0.086266 29.64 30.49 Citigroup Inc. 17323P363 02/03/16 08/03/23 100.000 0.000 2.9606 27.15 0.083457 0.084693 0.085946 0.087219 0.088510 30.64 31.55 Citigroup Inc. 17323P496 01/05/16 07/06/23 100.000 0.000 3.1941 31.84 0.090151 0.091591 0.093054 0.094540 0.096050 33.22 34.29 Citigroup Inc. 17323Q643 10/05/15 04/04/23 100.000 0.000 3.1923 0.091519 0.092980 0.094464 0.095971 0.097503 33.47 34.54 Citigroup Inc. 17323Q692 09/18/15 03/20/23 100.000 0.000 3.1459 0.090173 0.091591 0.093032 0.094495 0.095982 33.01 34.05 Citigroup Global Markets 17324C2F2 04/29/16 10/29/21 100.000 0.250 N/A 17.71 0.073817 0.074695 0.075585 0.076486 0.077400 26.84 27.49 Citigroup Global Markets 17324C2G0 04/29/16 10/29/21 100.000 0.250 2.6262 17.71 0.073817 0.074695 0.075585 0.076486 0.077399 26.84 27.49 Citigroup Global Markets 17324C2J4 05/24/16 05/24/21 100.000 VARIES 2.5076 15.09 0.069050 0.068435 0.068500 0.068565 0.068685 24.73 24.68 Citigroup Global Markets 17324C2U9 04/28/16 04/28/31 100.000 VARIES 4.2285 28.53 0.117240 0.117018 0.116791 0.116559 0.116508 42.14 41.99 Citigroup Global Markets 17324C2W5 04/28/16 04/28/26 100.000 VARIES 3.4898 23.70 0.096239 0.096082 0.097032 0.096929 0.097535 35.15 35.43 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17324C2Z8 04/29/16 04/30/21 100.000 0.000 2.4478 16.51 0.068831 0.069673 0.070526 0.071389 0.072263 25.03 25.65 Citigroup Global Markets 17324C3D6 05/31/16 12/01/21 100.000 0.400 2.6323 15.45 0.073940 0.074766 0.075604 0.076453 0.077313 26.82 27.42 Citigroup Global Markets 17324C3E4 05/27/16 05/27/21 100.000 0.000 2.5425 15.14 0.071523 0.072432 0.073353 0.074285 0.075229 25.97 26.64 Citigroup Global Markets 17324C3Y0 07/05/16 01/03/22 100.000 0.400 2.3787 11.63 0.066075 0.066721 0.067383 0.068052 0.068729 24.14 24.62 Citigroup Global Markets 17324C3Z7 07/05/16 07/02/21 100.000 0.000 2.2351 10.93 0.062085 0.062767 0.063469 0.064178 0.064895 22.72 23.23 Citigroup Global Markets 17324C6F8 06/27/16 06/27/36 100.000 VARIES 4.1314 21.11 0.114171 0.113570 0.112956 0.112329 0.111894 40.99 40.55 Citigroup Global Markets 17324C6L5 08/30/16 08/30/21 100.000 0.000 2.1695 7.39 0.059602 0.059919 0.060902 0.061226 0.062231 21.97 22.45 Citigroup Global Markets 17324C6M3 08/02/16 02/02/22 100.000 0.300 2.3124 9.57 0.064233 0.064880 0.065534 0.066195 0.066864 23.43 23.91 Citigroup Global Markets 17324CA55 09/02/16 03/03/22 100.000 0.300 2.2650 7.49 0.062920 0.063538 0.064163 0.064796 0.065435 22.91 23.36 Citigroup Global Markets 17324CAQ9 09/30/16 03/31/22 100.000 0.250 2.2317 5.64 0.061992 0.062606 0.063227 0.063855 0.064490 22.54 22.99 Citigroup Global Markets 17324CBD7 11/02/16 05/03/22 100.000 0.250 2.4155 3.96 0.067101 0.067828 0.068563 0.069307 0.070060 24.37 24.90 Citigroup Global Markets 17324CBN5 11/02/16 11/02/21 100.000 0.000 2.3120 3.79 0.064221 0.064964 0.065715 0.066474 0.067243 23.34 23.88 Citigroup Global Markets 17324CC53 11/28/16 05/26/22 100.000 0.250 2.7754 2.54 0.077094 0.078057 0.079044 0.080045 0.081059 28.00 28.71 Citigroup Global Markets 17324CCV6 12/13/16 12/13/46 100.000 VARIES 0.8469 0.23 0.012885 0.012940 0.012995 0.013050 0.013105 4.65 4.69 Citigroup Global Markets 17324CD29 12/28/16 06/27/22 100.000 0.500 3.0613 0.26 0.085036 0.086119 0.087224 0.088347 0.089487 30.82 31.61 Citigroup Global Markets 17324CD52 12/09/16 12/09/36 100.000 0.000 4.5664 2.79 0.126846 0.126173 0.125484 0.124780 0.124059 45.51 45.02 Citigroup Global Markets 17324CDA1 12/30/16 01/02/24 100.000 0.000 3.3300 0.09 0.092500 0.092517 0.094058 0.095624 0.097216 33.58 34.71 Citigroup Global Markets 17324CDP8 01/30/17 07/28/22 100.000 0.500 3.0985 0.086070 0.087175 0.088311 0.089464 28.66 31.94 Citigroup Global Markets 17324CDY9 01/31/17 01/31/24 100.000 0.000 3.3783 0.093840 0.095425 0.097037 0.098676 31.30 35.13 Citigroup Global Markets 17324CED4 02/16/17 02/16/27 100.000 VARIES 2.9107 0.014963 0.014523 0.014076 0.013623 4.65 5.03 Citigroup Global Markets 17324CEW2 02/28/17 08/26/22 100.000 0.750 2.9987 0.083298 0.084214 0.085164 0.086129 25.19 30.73 Citigroup Global Markets 17324CFE1 03/10/17 03/10/27 100.000 VARIES 2.9100 0.012389 0.012025 0.011655 0.011280 3.56 4.18 Citigroup Global Markets 17324CGS9 04/28/17 10/28/22 100.000 0.750 2.9296 0.081378 0.082265 0.083164 0.084077 19.83 29.89 Citigroup Global Markets 17324CHQ2 05/03/17 05/03/27 100.000 VARIES 2.7384 0.012177 0.011739 0.011296 0.010847 2.87 4.09 Citigroup Global Markets 17324CHX7 05/31/17 05/31/22 100.000 0.000 2.7124 0.075345 0.076367 0.077402 0.078452 15.93 27.74 Citigroup Global Markets 17324CHZ2 04/28/17 04/28/27 100.000 VARIES 2.7213 0.009258 0.008817 0.008370 0.007917 2.22 3.04 Citigroup Global Markets 17324CJ64 04/28/17 04/28/27 100.000 VARIES 2.8252 0.014922 0.014494 0.014060 0.013620 3.60 5.08 CITIGROUP GLOBAL MARKETS 17324CJF4 06/01/17 12/01/22 100.000 0.750 2.8210 0.078361 0.079173 0.079995 0.080830 16.48 28.70 Citigroup Global Markets 17324CJG2 05/15/17 05/15/37 100.000 5.695 4.4659 0.124054 0.123292 0.122512 0.121716 28.00 44.17 CITIGROUP GLOBAL MARKETS 17324CJR8 06/30/17 12/30/22 100.000 0.600 2.7880 0.077444 0.078291 0.079151 0.080022 14.02 28.34 CITIGROUP GLOBAL MARKETS 17324CKB1 07/06/17 07/06/27 100.000 VARIES 2.8475 0.016235 0.015766 0.015291 2.84 5.59 CITIGROUP GLOBAL MARKETS 17324CKF2 07/03/17 07/01/22 100.000 0.000 2.7294 0.075817 0.076840 0.077889 13.50 27.85 CITIGROUP GLOBAL MARKETS 17324CKS4 07/28/17 01/30/23 100.000 0.500 2.8926 0.080350 0.081324 0.082300 12.29 29.40 CITIGROUP GLOBAL MARKETS 17324CKX3 08/01/17 08/01/22 100.000 0.000 2.7885 0.077458 0.078538 0.079633 11.62 28.41 CITIGROUP GLOBAL MARKETS 17324CLA2 08/02/17 08/02/27 100.000 VARIES 2.7689 0.013998 0.013603 0.013203 2.09 4.85 CITIGROUP GLOBAL MARKETS 17324CLB0 09/01/17 03/03/23 100.000 0.500 2.7655 0.076818 0.077698 0.078580 9.22 28.02 CITIGROUP GLOBAL MARKETS 17324CLG9 09/01/17 09/01/22 100.000 0.000 2.6788 0.074410 0.075407 0.076417 8.93 27.21 CITIGROUP GLOBAL MARKETS 17324CLR5 08/17/17 08/17/27 100.000 VARIES 2.6967 0.014604 0.014202 0.013794 1.96 5.08 CITIGROUP GLOBAL MARKETS 17324CLU8 08/25/17 08/25/29 100.000 VARIES 2.5876 0.008129 0.007677 0.007219 1.02 2.73 CITIGROUP GLOBAL MARKETS 17324CMJ2 09/21/17 09/21/27 100.000 VARIES 2.7273 0.014619 0.014212 0.013800 1.46 5.11 CITIGROUP GLOBAL MARKETS 17324CZZ2 08/31/17 02/28/23 100.000 0.000 2.7931 0.077585 0.078657 0.079755 9.39 28.39 Citigroup Global Markets 17324P156 05/05/16 11/03/23 100.000 0.000 2.9324 19.29 0.082636 0.083848 0.085077 0.086324 0.087590 30.11 31.00 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17324P248 06/03/16 12/05/23 100.000 0.000 2.8709 16.62 0.080906 0.082067 0.083246 0.084440 0.085653 29.40 30.25 Citigroup Global Markets 17324P396 08/03/16 02/05/24 100.000 0.000 2.5904 10.65 0.071967 0.072899 0.073843 0.074800 0.075768 26.35 27.04 Citigroup Global Markets 17324P784 10/05/16 04/03/24 100.000 0.000 2.6555 6.34 0.073763 0.074731 0.075723 0.076729 0.077747 26.90 27.62 Citigroup Global Markets 17325E242 01/05/17 07/03/24 100.000 0.000 3.3441 0.092893 0.094429 0.096008 0.097613 33.34 34.85 Citigroup Global Market 17325E275 03/03/17 03/03/22 100.000 0.000 3.0465 0.084624 0.085913 0.087222 0.088550 25.37 31.48 Citigroup Global Markets 17325E408 03/01/17 03/01/22 100.000 0.000 2.8923 0.080342 0.081504 0.082683 0.083879 24.24 29.84 Citigroup Global Markets 17325E804 04/12/17 12/12/24 100.000 0.000 3.3138 0.092049 0.092557 0.094091 0.095650 0.097235 23.97 34.21 Citigroup Global Markets 17325K156 05/24/17 05/24/22 100.000 0.000 2.7177 0.075490 0.076516 0.077556 0.078610 16.42 27.81 CITIGROUP GLOBAL MARKETS 17325K263 07/06/17 01/03/24 100.000 0.000 3.1136 0.086490 0.087814 0.089181 15.14 31.85 CITIGROUP GLOBAL MARKETS 17325K776 08/03/17 02/05/24 100.000 0.000 3.0276 0.084099 0.084113 0.085386 0.086679 12.45 30.88 CITIGROUP GLOBAL MARKETS 17325K792 09/14/17 09/14/23 100.000 0.000 2.8890 0.080251 0.081411 0.082587 8.59 29.35 Clark CNTY SCH DIST, NV 181059QF6 07/08/10 06/15/24 91.490 5.510 6.4445 30.46 0.016131 0.016651 0.017188 0.017742 0.018313 5.92 6.31 Clark CNTY SCH DIST, NV 181059QG4 07/08/10 06/15/20 94.976 5.510 6.1946 29.24 0.015361 0.015836 0.016327 0.016833 0.017354 5.63 5.99 Clark CNTY SCH DIST, NV 181059QH2 07/08/10 06/15/20 94.976 5.510 6.1946 29.24 0.015361 0.015836 0.016327 0.016833 0.017354 5.63 5.99 Clinton Counties, IL 187327AX9 09/10/15 12/01/18 100.000 VARIES 2.4410 0.067818 0.067815 0.067812 0.067809 24.41 22.38 Clinton & Wash CNTYS, IL 187327AY7 09/30/16 12/01/21 110.588 4.750 2.5511 7.12 0.078134 0.077448 0.076753 0.076049 0.075336 27.96 27.46 Clinton & Wash CNTYS, IL 187327AZ4 09/30/16 12/01/20 99.603 2.200 2.3004 5.79 0.063656 0.063685 0.063715 0.063745 0.063775 22.92 22.94 Clinton & Wash CNTYS, IL 187327BA8 09/30/16 12/01/22 112.683 5.000 2.7510 7.83 0.085863 0.085134 0.084394 0.083645 0.082885 30.74 30.20 Kaskaskia COMMU College, 187350EV1 02/19/16 12/01/17 103.892 3.875 1.6519 14.80 0.046893 0.046392 15.38 Kaskaskia Community Coll 187350EW9 02/19/16 12/01/18 105.525 4.000 1.9513 17.77 0.056372 0.055838 0.055298 0.054754 20.17 18.15 Kaskaskia Community Coll 187350EX7 02/19/16 12/01/19 106.497 4.000 2.2011 20.24 0.064318 0.063803 0.063283 0.062756 0.062224 23.03 22.66 Coles Counties, IL 193792ER5 11/26/13 12/01/18 99.308 VARIES N/A 0.087248 0.087310 0.087373 0.087436 31.42 28.84 Coles Counties, IL 193792ET1 11/26/13 12/01/20 99.346 VARIES N/A 0.106721 0.106770 0.106821 0.106872 0.106924 38.43 38.47 Coles Counties, IL 193792EU8 11/26/13 12/01/21 105.395 VARIES 4.2404 0.121781 0.121418 0.121048 0.120670 0.120283 43.75 43.49 Coles Counties, IL 193792EV6 11/26/13 12/01/22 104.771 VARIES 4.3909 0.125850 0.125564 0.125272 0.124973 0.124667 45.24 45.03 Coles Counties, IL 193792EW4 11/26/13 12/01/23 99.115 VARIES 4.5919 0.126479 0.126545 0.126612 0.126681 0.126751 45.55 45.60 Coles Counties, IL 193792EX2 11/26/13 12/01/23 99.043 VARIES 4.7528 0.130833 0.130906 0.130980 0.131056 0.131134 47.12 47.17 Coles Counties, IL 193792EY0 11/26/13 12/01/23 98.985 VARIES 4.9628 0.136541 0.136621 0.136703 0.136786 0.136872 49.17 49.23 Coles Counties, IL 193792EZ7 11/26/13 12/01/23 98.936 VARIES 5.1717 0.142225 0.142311 0.142399 0.142490 0.142583 51.22 51.29 Coles Counties, IL 193792FA1 11/26/13 12/01/23 98.886 VARIES 5.3302 0.146519 0.146611 0.146706 0.146803 0.146903 52.77 52.84 Coles Counties, IL 193792FB9 11/26/13 12/01/23 99.347 VARIES 5.4215 0.149544 0.149607 0.149671 0.149738 0.149806 53.85 53.90 Coles Counties, IL 193792FC7 11/26/13 12/01/23 99.318 VARIES 5.5264 0.152397 0.152464 0.152532 0.152602 0.152674 54.88 54.93 Coles & Cumberland CNTYS 193792FD5 11/26/13 12/01/23 99.293 VARIES 5.6308 0.155241 0.155310 0.155381 0.155455 0.155530 55.90 55.95 Coles Counties, IL 193792FE3 11/26/13 12/01/23 99.301 VARIES 5.9329 0.163564 0.163636 0.163711 0.163788 0.163868 58.90 58.95 Coles Counties, IL 193792FF0 11/26/13 12/01/23 99.314 VARIES 6.2344 0.171873 0.171948 0.172027 0.172107 0.172190 61.89 61.95 Coles Counties, IL 193792FG8 11/26/13 12/01/23 99.331 VARIES 6.5352 0.180171 0.180249 0.180330 0.180414 0.180500 64.88 64.94 Coles Counties, IL 193792FH6 11/26/13 12/01/23 118.448 VARIES 6.4777 0.204659 0.203235 0.201765 0.200248 0.198682 73.33 72.27 Comcast Corporation 200300507 10/15/99 10/15/29 100.000 2.000 10.5154 1.406191 1.477204 1.551950 1.630626 1.713439 530.09 585.14 Comcast Corporation 200300606 11/15/99 11/15/29 100.000 2.000 10.3811 1.356341 1.423859 1.494882 1.569590 1.648177 506.81 558.66 Compucredit Corporation 20478NAA8 05/27/05 05/30/25 100.000 VARIES 9.1299 0.519709 0.529487 0.557639 0.568453 0.599008 192.71 206.85 Compucredit Corporation 20478NAB6 05/27/05 05/30/25 100.000 VARIES 9.1299 0.519709 0.529487 0.557639 0.568453 0.599008 192.71 206.85 CompuCredit Corporation 20478NAC4 11/23/05 11/15/35 100.000 5.786 N/A 0.378172 0.393700 0.396777 0.413417 0.416997 143.71 150.95 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CompuCredit Corporation 20478NAD2 11/23/05 11/15/35 100.000 5.786 N/A 0.378172 0.393700 0.396777 0.413417 0.416997 143.71 150.95 Convergys Corporation 212485AE6 10/13/09 09/15/29 114.396 VARIES 14.1017 0.900626 0.952866 1.008789 1.068656 1.132744 345.09 387.08 Cook County, Illinois 213309KS5 04/28/05 12/01/17 49.824 0.000 5.6096 452.36 0.147435 0.151571 49.40 Cook County, Illinois 213309KT3 04/28/05 12/01/18 46.339 0.000 5.7396 433.87 0.142373 0.146459 0.150662 0.154986 52.24 50.50 Cook County, Illinois 213309KU0 04/28/05 12/01/19 43.603 0.000 5.7697 411.15 0.135127 0.139026 0.143036 0.147163 0.151408 49.58 52.49 Cook County, Illinois 213309KV8 04/28/05 12/01/20 40.881 0.000 5.8197 390.00 0.128512 0.132252 0.136100 0.140061 0.144136 47.17 49.95 COOK CNTY ILL SCH DIST N 214183KP9 06/15/10 06/01/30 25.818 0.000 6.8998 144.33 0.076705 0.079351 0.082088 0.084920 0.087850 28.25 30.23 COOK CNTY ILL SCH DIST N 214183KR5 06/15/10 12/01/26 33.796 0.000 6.6998 182.30 0.096285 0.099510 0.102844 0.106289 0.109849 35.44 37.85 COOK CNTY ILL SCH DIST N 214183KS3 06/15/10 12/01/27 31.375 0.000 6.7498 170.77 0.090335 0.093384 0.096535 0.099793 0.103161 33.26 35.54 COOK CNTY ILL SCH DIST N 214183KT1 06/15/10 12/01/28 29.098 0.000 6.7998 159.80 0.084666 0.087545 0.090521 0.093599 0.096781 31.17 33.33 COOK CNTY ILL SCH DIST N 214183KU8 06/15/10 12/01/29 26.961 0.000 6.8498 149.39 0.079272 0.081987 0.084795 0.087700 0.090703 29.19 31.23 Cook County, IL SD #89 214201GE9 12/13/07 12/01/17 55.745 0.000 5.9499 390.28 0.155863 0.160500 52.27 Cook County, IL SD #89 214201GF6 12/13/07 12/01/18 52.014 0.000 6.0498 371.96 0.149167 0.153679 0.158328 0.163117 54.79 53.11 Cook County, IL SD #89 214201GG4 12/13/07 12/01/19 48.439 0.000 6.1498 353.72 0.142443 0.146823 0.151337 0.155991 0.160787 52.33 55.60 Cook County, IL SD #89 214201GH2 12/13/07 12/01/20 45.022 0.000 6.2498 335.64 0.135724 0.139965 0.144339 0.148850 0.153501 49.88 53.05 Cook County, IL SD #89 214201GJ8 12/13/07 12/01/21 41.765 0.000 6.3499 317.79 0.129039 0.133136 0.137363 0.141724 0.146224 47.44 50.50 Cook County, IL SD #89 214201GK5 12/13/07 12/01/22 38.951 0.000 6.3998 299.39 0.121819 0.125717 0.129740 0.133891 0.138176 44.79 47.71 Cook County, IL SD #89 214201GL3 12/13/07 12/01/23 36.291 0.000 6.4499 281.77 0.114885 0.118590 0.122414 0.126362 0.130437 42.25 45.02 Cook County, IL SD #89 214201GM1 12/13/07 12/01/24 33.947 0.000 6.4699 264.63 0.107986 0.111479 0.115085 0.118808 0.122651 39.72 42.33 Cook County, IL SD #89 214201GP4 11/29/10 12/15/24 34.234 0.000 7.7796 202.58 0.117352 0.121916 0.126659 0.131585 0.136704 43.22 46.64 Cook County, IL SD #89 214201GQ2 11/29/10 12/15/25 30.724 0.000 7.9997 188.16 0.109694 0.114081 0.118645 0.123390 0.128326 40.42 43.72 Cook County, IL SD #89 214201GR0 11/29/10 12/15/26 109.444 VARIES 7.6950 0.229283 0.228753 0.228203 0.227631 0.227038 82.43 82.03 Cook County, IL SD #89 214201GS8 11/29/10 12/15/26 27.332 0.000 8.2497 173.88 0.102105 0.106317 0.110702 0.115269 0.120023 37.65 40.82 Cook County, Illinois 214471HQ0 12/30/02 12/01/22 21.989 0.000 7.7497 417.89 0.136413 0.141699 0.147189 0.152893 0.158817 50.38 54.36 Cook County, IL SD #123 214651JZ5 10/15/07 12/01/17 54.681 0.000 6.0492 400.09 0.158312 0.163101 53.10 Cook County, IL SD #123 214651KA8 10/15/07 12/01/18 51.240 0.000 6.0992 378.88 0.150240 0.154822 0.159543 0.164409 55.19 53.53 Cook County, IL SD #123 214651KB6 10/15/07 12/01/19 48.025 0.000 6.1393 358.11 0.142243 0.146609 0.151110 0.155748 0.160529 52.26 55.52 Cook County, IL SD #123 214651KC4 10/15/07 12/01/20 44.691 0.000 6.2294 339.56 0.135388 0.139605 0.143953 0.148437 0.153061 49.76 52.90 Cook County, IL SD #123 214651KD2 10/15/07 12/01/21 41.802 0.000 6.2695 320.25 0.127902 0.131912 0.136047 0.140311 0.144710 47.01 50.00 Cook County, IL SD #123 214651KE0 10/15/07 12/01/22 39.242 0.000 6.2794 301.25 0.120367 0.124146 0.128044 0.132064 0.136210 44.24 47.06 Cook County, IL SD #123 214651KF7 10/15/07 12/01/23 36.831 0.000 6.2895 283.33 0.113254 0.116816 0.120490 0.124279 0.128187 41.63 44.29 Cook County, IL SD #123 214651KG5 10/15/07 12/01/24 34.562 0.000 6.2995 266.42 0.106540 0.109896 0.113357 0.116928 0.120611 39.16 41.67 Cook County, IL SD #123 214651KH3 10/15/07 12/01/25 32.426 0.000 6.3096 250.48 0.100205 0.103366 0.106627 0.109991 0.113461 36.84 39.20 Cook County, IL SD #123 214651KJ9 10/15/07 12/01/26 30.417 0.000 6.3195 235.43 0.094227 0.097204 0.100276 0.103444 0.106713 34.64 36.86 Cook County, IL SD #123 214651KK6 10/15/07 06/01/27 29.429 0.000 6.3296 228.26 0.091392 0.094285 0.097269 0.100347 0.103523 33.60 35.76 Cook County, Illinois 214723CV8 09/07/05 12/01/19 46.971 0.000 5.3794 386.90 0.127430 0.130857 0.134377 0.137991 0.141703 46.70 49.25 Cook County, Illinois 214723CW6 09/07/05 12/01/20 44.082 0.000 5.4495 369.33 0.122082 0.125408 0.128826 0.132336 0.135942 44.75 47.22 Cook County, Illinois 214723CX4 09/07/05 12/01/21 41.315 0.000 5.5195 352.03 0.116779 0.120002 0.123314 0.126717 0.130214 42.82 45.21 Cook County, Illinois 214723CY2 09/07/05 12/01/22 38.734 0.000 5.5795 334.79 0.111402 0.114510 0.117704 0.120988 0.124363 40.85 43.16 Cook County, Illinois 214723CZ9 09/07/05 12/01/23 36.271 0.000 5.6396 318.00 0.106138 0.109131 0.112208 0.115372 0.118625 38.93 41.16 Cook County, Illinois 214723DA3 09/07/05 12/01/24 33.990 0.000 5.6895 301.52 0.100892 0.103762 0.106714 0.109750 0.112872 37.01 39.15 Cook County, SD #133, IL 214813CA3 06/26/12 12/15/20 97.998 5.000 5.2964 9.57 0.006680 0.006857 0.007038 0.007225 0.007416 2.44 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, IL SD #148 215075FA5 07/09/08 12/01/27 94.524 6.000 6.5008 0.012492 0.012906 0.013333 0.013775 0.014231 4.60 4.91 Cook County, IL SD #153 215183GN8 05/14/08 12/15/17 55.331 0.000 6.2694 389.44 0.163726 0.168858 57.25 Cook County, IL SD #153 215183GP3 05/14/08 12/15/18 51.329 0.000 6.3995 370.85 0.156721 0.161736 0.166911 0.172252 57.49 58.38 Cook County, IL SD #153 215183GQ1 05/14/08 12/15/19 47.338 0.000 6.5594 352.99 0.150131 0.155055 0.160141 0.165393 0.170817 55.09 58.77 Cook County, IL 215219FN1 06/30/03 12/01/18 44.637 0.000 5.2998 458.28 0.132594 0.136108 0.139714 0.143417 48.58 46.77 Cook County, Illinois 215219FP6 06/30/03 12/01/19 41.690 0.000 5.3998 439.21 0.127837 0.131288 0.134833 0.138473 0.142212 46.85 49.42 Cook County, Illinois 215219FQ4 06/30/03 12/01/20 39.193 0.000 5.4498 418.21 0.122088 0.125415 0.128832 0.132343 0.135949 44.75 47.23 Cook County, Illinois 215219FR2 06/30/03 12/01/21 36.482 0.000 5.5497 399.25 0.117246 0.120500 0.123843 0.127280 0.130812 42.99 45.41 Cook County, Illinois 215219FS0 06/30/03 12/01/22 33.892 0.000 5.6497 380.30 0.112344 0.115517 0.118780 0.122136 0.125586 41.21 43.57 Cook County, Illinois 215219GC4 06/02/05 12/01/17 52.327 0.000 5.2501 430.38 0.138471 0.142106 46.35 Cook County, Illinois 215219GD2 06/02/05 12/01/18 49.294 0.000 5.3101 411.53 0.132825 0.136351 0.139971 0.143688 48.67 46.86 Cook County, Illinois 215219GE0 06/02/05 12/01/19 46.448 0.000 5.3601 392.60 0.127044 0.130449 0.133945 0.137535 0.141221 46.56 49.08 Cook County, Illinois 215219GF7 06/02/05 12/01/20 43.922 0.000 5.3801 373.08 0.120854 0.124106 0.127444 0.130872 0.134393 44.29 46.71 Cook County, Illinois 215219GG5 06/02/05 12/01/21 41.054 0.000 5.4700 356.45 0.116012 0.119184 0.122444 0.125793 0.129233 42.53 44.89 Cook County, Illinois 215219GH3 06/02/05 12/01/22 38.699 0.000 5.5000 338.45 0.110326 0.113360 0.116478 0.119681 0.122972 40.45 42.70 Cook County Illinios 215219GQ3 06/02/05 12/01/23 36.261 0.000 5.5601 321.75 0.105210 0.108135 0.111141 0.114231 0.117406 38.58 40.75 Cook County Illinois 215219GR1 06/02/05 12/01/24 34.002 0.000 5.6101 305.33 0.100100 0.102908 0.105795 0.108762 0.111813 36.71 38.80 Cook County, IL 215219HC3 06/29/06 12/01/17 50.621 0.000 6.0495 440.68 0.158320 0.163109 53.11 Cook County, IL 215219HD1 06/29/06 12/01/18 47.405 0.000 6.0996 417.23 0.150249 0.154831 0.159553 0.164419 55.19 53.53 Cook County, IL 215219HE9 06/29/06 12/01/19 44.524 0.000 6.1197 393.59 0.141870 0.146211 0.150685 0.155295 0.160047 52.12 55.36 Cook County, IL 215219HF6 06/29/06 12/01/20 41.744 0.000 6.1497 371.42 0.134069 0.138191 0.142440 0.146820 0.151334 49.26 52.33 Cook County, IL 215219HG4 06/29/06 12/01/21 39.173 0.000 6.1697 350.06 0.126477 0.130379 0.134401 0.138547 0.142821 46.47 49.38 Cook County, IL 215219HH2 06/29/06 12/01/22 36.688 0.000 6.1997 329.98 0.119390 0.123091 0.126907 0.130841 0.134897 43.87 46.63 Cook County, IL 215219HJ8 06/29/06 12/01/23 34.398 0.000 6.2198 310.72 0.112530 0.116029 0.119638 0.123358 0.127194 41.35 43.97 Cook County, IL 215219HK5 06/29/06 12/01/24 32.181 0.000 6.2498 292.57 0.106108 0.109424 0.112843 0.116369 0.120006 39.00 41.47 Cook County, IL 215219HL3 06/29/06 12/01/25 30.147 0.000 6.2697 275.25 0.099919 0.103051 0.106282 0.109613 0.113050 36.73 39.06 Cook County, IL 215219HM1 06/29/06 06/01/26 29.062 0.000 6.2997 267.04 0.097076 0.100134 0.103288 0.106542 0.109897 35.68 37.97 Cook County, IL 215219JL1 06/29/06 12/01/17 50.621 0.000 6.0495 440.68 0.158320 0.163109 53.11 Cook County, IL 215219JM9 06/29/06 12/01/18 47.405 0.000 6.0996 417.23 0.150249 0.154831 0.159553 0.164419 55.19 53.53 Cook County, IL 215219JN7 06/29/06 12/01/19 44.524 0.000 6.1197 393.59 0.141870 0.146211 0.150685 0.155295 0.160047 52.12 55.36 Cook County, IL SD # 155 215219JR8 10/08/09 12/01/23 39.094 0.000 6.7493 240.94 0.117804 0.121780 0.125889 0.130138 0.134529 43.37 46.34 Cook County, IL SD #155 215219JS6 10/08/09 12/01/24 36.316 0.000 6.7994 225.88 0.110626 0.114387 0.118276 0.122297 0.126455 40.73 43.55 Cook County, IL SD#155 215219JT4 10/08/09 12/01/25 33.703 0.000 6.8494 211.55 0.103780 0.107334 0.111010 0.114811 0.118743 38.22 40.88 Cook County, IL SD #155 215219JU1 10/08/09 12/01/26 31.248 0.000 6.8993 197.92 0.097257 0.100612 0.104083 0.107674 0.111388 35.82 38.34 Cook County, IL SD #155 215219JV9 10/08/09 12/01/27 28.691 0.000 6.9993 185.01 0.091221 0.094414 0.097718 0.101138 0.104677 33.61 36.00 Cook County, IL SD #155 215219JW7 10/08/09 12/01/28 26.292 0.000 7.0995 172.58 0.085378 0.088409 0.091547 0.094797 0.098162 31.47 33.74 Cook County, IL SD #155 215219JX5 10/08/09 06/01/29 25.151 0.000 7.1494 166.55 0.082533 0.085483 0.088539 0.091704 0.094982 30.42 32.64 Cook County SD #162, IL 215291LH6 06/30/11 12/01/17 73.981 0.000 4.7495 218.11 0.125880 0.128869 42.08 Cook County SD #162, IL 215291LJ2 06/30/11 12/01/18 69.321 0.000 4.9996 216.52 0.125817 0.128962 0.132186 0.135491 46.05 44.22 Cook County SD #162, IL 215291LK9 06/30/11 12/01/19 64.641 0.000 5.2495 213.36 0.124825 0.128101 0.131464 0.134914 0.138455 45.73 48.16 Cook County SD #162, IL 215291LL7 06/30/11 12/01/20 59.985 0.000 5.4995 208.76 0.122963 0.126344 0.129818 0.133388 0.137055 45.08 47.59 Cook County SD #162, IL 215291LM5 06/30/11 12/01/21 55.395 0.000 5.7496 202.86 0.120294 0.123753 0.127310 0.130970 0.134735 44.14 46.71 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Cook County SD #162, IL 215291LP8 06/30/11 12/01/23 47.270 0.000 6.1247 186.19 0.111527 0.114942 0.118462 0.122090 0.125829 40.97 43.52 Cook County SD #162, IL 215291LQ6 06/30/11 12/01/24 43.785 0.000 6.2495 176.55 0.106105 0.109421 0.112840 0.116366 0.120002 39.00 41.47 Cook County SD #162, IL 215291LT0 06/30/11 12/01/27 33.620 0.000 6.7497 148.32 0.090335 0.093383 0.096535 0.099793 0.103161 33.26 35.54 Cook County SD #162, IL 215291LU7 06/30/11 12/01/28 30.805 0.000 6.8747 138.86 0.084858 0.087775 0.090792 0.093913 0.097141 31.25 33.44 Cook County SD #162, IL 215291LV5 06/30/11 12/01/29 28.410 0.000 6.9497 129.71 0.079425 0.082185 0.085041 0.087996 0.091054 29.26 31.33 Cook County SD #162, IL 215291LW3 06/30/11 12/01/30 26.286 0.000 6.9997 121.04 0.074210 0.076808 0.079496 0.082278 0.085158 27.34 29.29 Carvallie, Benton County 2208855N3 03/12/02 01/01/18 34.442 0.000 6.8591 590.36 0.178105 0.184213 65.22 Corvallie, Benton County 2208855P8 03/12/02 01/01/19 31.935 0.000 6.9092 553.62 0.167542 0.173330 0.179318 0.185513 61.36 65.67 Corvallie, Benton County 2208855Q6 03/12/02 01/01/20 29.582 0.000 6.9592 518.64 0.157445 0.162923 0.168593 0.174459 57.67 61.75 Corvallie, Benton County 2208855R4 03/12/02 01/01/21 27.475 0.000 6.9894 484.97 0.147500 0.152654 0.157989 0.163510 54.03 57.87 Corvallie, Benton County 2208855S2 03/12/02 01/01/22 25.504 0.000 7.0194 453.22 0.138097 0.142944 0.147961 0.153154 50.59 54.20 Corvallie, Benton County 2208855T0 03/12/02 01/01/23 23.613 0.000 7.0594 423.38 0.129326 0.133891 0.138617 0.143510 47.38 50.78 Costco Companies, Inc. 22160QAA0 08/19/97 08/19/17 49.960 0.000 3.5000 478.69 0.093907 0.095550 21.71 Costco Companies, Inc. 22160QAB8 08/19/97 08/19/17 49.960 0.000 3.5000 478.69 0.093907 0.095550 21.71 Costco Companies, Inc. 22160QAC6 08/19/97 08/19/17 49.960 0.000 3.5000 478.69 0.093907 0.095550 21.71 Crawford CNTY, IL 224759EV8 10/30/14 12/01/17 113.034 VARIES 1.6510 0.047833 0.046852 15.61 Crawford CNTY, IL 224759EW6 10/30/14 12/01/18 114.429 VARIES 2.0510 0.061081 0.060069 0.059047 0.058015 21.75 19.30 Crawford CNTY, IL 224759EX4 10/30/14 12/01/19 115.947 VARIES 2.4008 0.073116 0.072077 0.071025 0.069960 0.068882 26.07 25.31 Crawford CNTY, IL 224759EY2 10/30/14 12/01/20 99.160 VARIES 2.6504 0.073203 0.073253 0.073304 0.073355 0.073407 26.37 26.40 Crawford CNTY, IL 224759EZ9 10/30/14 12/01/21 99.043 VARIES 2.9004 0.080006 0.080058 0.080111 0.080165 0.080220 28.81 28.85 Crawford CNTY, IL 224759FB1 10/30/14 12/01/23** 98.821 VARIES 3.1502 0.086686 0.086739 0.086793 0.086847 0.086902 31.22** 31.26 Credit Suisse USA, Inc. 22539T431 03/05/15 02/25/22 100.000 0.000 1.9373 0.055364 0.055900 0.056441 0.056988 0.057540 20.16 20.56 Credit Suisse USA, Inc. 22539TAB6 02/22/17 02/19/20 100.000 VARIES 1.7619 0.048940 0.049364 0.049799 0.050238 15.18 17.96 Credit Suisse USA, Inc. 22541HCW0 06/23/11 06/22/18 100.000 VARIES 3.6402 0.123295 0.125539 0.127824 44.83 21.86 Credit Suisse USA, Inc. 22541HDC3 01/18/13 01/21/20 100.000 0.000 1.3161 0.038279 0.038531 0.038784 0.039039 0.039296 13.91 14.09 Credit Suisse USA, Inc. 22542DFF2 02/28/17 02/28/24 103.000 0.125 2.1990 0.062916 0.063569 0.064230 0.064898 19.14 23.17 Credit Suisse USA, Inc. 22545F136 01/02/15 12/28/21 100.000 0.000 2.1699 0.062920 0.063603 0.064293 0.064990 0.065695 22.78 23.28 Credit Suisse USA, Inc. 22546EB94 10/28/10 10/28/30 100.000 VARIES 4.9714 0.111965 0.111708 0.111445 0.111177 0.110904 40.23 40.04 Credit Suisse USA, Inc. 22546TNB3 03/26/12 03/24/17 100.000 VARIES 1.3843 0.040913 3.40 Credit Suisse USA, Inc. 22546TQX2 05/07/12 05/05/17 100.000 VARIES 1.1037 0.032212 3.99 Credit Suisse USA, Inc. 22546VMW3 10/30/15 10/31/25 100.000 1.500 2.5533 0.071282 0.070494 0.072048 0.071258 0.072835 25.92 26.20 Credit Suisse USA, Inc. 22546VP42 10/29/15 10/29/21 100.000 0.000 1.6599 0.046878 0.047267 0.047659 0.048054 0.048453 16.99 17.28 Credit Suisse USA, Inc. 22546VPQ3 11/30/15 11/28/25 100.000 1.500 2.5442 0.071410 0.071788 0.072172 0.072560 0.072953 25.80 26.08 Credit Suisse USA, Inc. 22546VPR1 11/30/15 11/28/23 100.000 0.000 1.9529 0.055307 0.055847 0.056392 0.056943 0.057499 20.04 20.44 Credit Suisse USA, Inc. 22546VPW0 11/30/15 05/30/23 100.000 0.000 1.9020 0.053843 0.054355 0.054872 0.055394 0.055921 19.51 19.88 Credit Suisse USA, Inc. 22546VQM1 11/24/15 11/19/20 100.000 0.000 1.6255 0.045879 0.046252 0.046628 0.047007 0.047389 16.62 16.89 Credit Suisse USA, Inc. 22546VR73 12/31/15 07/02/20 100.000 0.000 1.6700 0.046781 0.047171 0.047565 0.047963 0.048363 17.05 17.34 Credit Suisse USA, Inc. 22546VRL2 12/23/15 12/23/25 100.000 VARIES 2.4835 0.008698 0.008268 0.007833 0.007930 0.008029 3.05 2.84 Credit Suisse USA, Inc. 22546VRM0 12/28/15 12/27/22 100.000 0.500 1.9028 0.053598 0.053976 0.054357 0.054742 0.055131 19.37 19.64 Credit Suisse USA, Inc. 22546VTS5 01/29/16 01/29/21 100.000 0.000 1.7999 16.67 0.050448 0.050902 0.051360 0.051822 0.052289 18.38 18.71 Credit Suisse USA, Inc. 22546VTT3 01/29/16 07/30/20 100.000 0.000 1.8000 16.67 0.050451 0.050905 0.051363 0.051826 0.052292 18.38 18.71 Credit Suisse USA, Inc. 22546VTU0 02/05/16 11/01/19 100.000 0.000 1.8097 16.47 0.050944 0.051405 0.051870 0.052339 0.052813 18.48 18.81 ----------------------------- ** These calculations may be revised. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse USA, Inc. 22546VU79 01/22/16 04/22/21 100.000 0.000 1.7997 17.03 0.050669 0.051125 0.051585 0.052049 0.052518 18.39 18.72 Credit Suisse USA, Inc. 22546VUX2 02/10/16 02/10/26 100.000 VARIES 2.2723 5.66 0.017401 0.016974 0.016542 0.016105 0.015663 6.07 5.75 Credit Suisse USA, Inc. 22546VW77 02/26/16 02/26/21 100.000 0.000 1.8101 15.39 0.050735 0.051194 0.051657 0.052125 0.052597 18.46 18.80 Credit Suisse USA, Inc. 22546VY91 03/28/16 03/25/21 100.000 0.000 1.4700 11.18 0.041129 0.041432 0.041736 0.042043 0.042352 14.92 15.14 Credit Suisse USA, Inc. 22546VYY6 03/18/16 03/18/21 100.000 VARIES 1.9748 2.60 0.008950 0.008596 0.008681 0.008767 0.008854 3.13 3.16 Credit Suisse USA, Inc. 22547QER3 12/27/13 12/28/21 100.000 0.000 2.6361 0.079214 0.080258 0.081316 0.082388 0.083474 28.71 29.47 Credit Suisse USA, Inc. 22547QQF6 07/08/14 07/08/19 100.000 0.000 1.7800 0.051228 0.051684 0.052144 0.052608 0.053076 18.68 19.02 Credit Suisse USA, Inc. 22547QXM3 01/30/15 01/29/21 100.000 0.000 1.5402 0.043777 0.044114 0.044454 0.044796 0.045141 15.92 16.17 Credit Suisse USA, Inc. 22547QY83 12/29/14 06/28/22 100.000 0.000 2.2049 0.063990 0.064695 0.065409 0.066130 0.066859 23.17 23.68 Credit Suisse USA, Inc. 22547QZ66 12/31/14 12/31/20 100.000 0.000 1.9589 0.056579 0.057133 0.057692 0.058258 0.058828 20.47 20.87 Credit Suisse USA, Inc. 22547QZ82 12/12/14 12/14/22 100.000 0.000 2.1598 0.062635 0.063312 0.063995 0.064687 0.065385 22.69 23.19 Credit Suisse USA, Inc. 22547W5D1 02/07/14 02/05/21 100.000 0.000 2.0912 0.061184 0.061823 0.062470 0.063123 0.063783 22.33 22.80 Credit Suisse USA, Inc. 22547WKH5 06/12/15 06/14/22 100.000 0.000 2.2646 0.065074 0.065811 0.066556 0.067310 0.068072 23.58 24.12 Credit Suisse USA, Inc. 22547WPN7 12/29/15 12/29/22 100.000 0.000 1.9233 0.054458 0.054981 0.055510 0.056044 0.056583 19.70 20.08 Creditt Suisse 22547WQ22 02/11/16 02/10/23 100.000 0.000 1.8032 16.09 0.050539 0.050994 0.051454 0.051918 0.052386 18.40 18.74 Credit Suisse USA, Inc. 22547WQ89 04/27/16 05/01/23 100.000 0.000 1.5175 10.31 0.042478 0.042801 0.043125 0.043453 0.043782 15.39 15.62 Credit Suisse USA, Inc. 22547WQA4 06/20/16 06/16/21 100.000 0.000 1.8619 9.89 0.052191 0.052677 0.053167 0.053662 0.054162 18.89 19.24 Credit Suisse USA, Inc. 22547WQB2 06/23/16 06/21/21 100.000 0.000 2.0800 10.92 0.057731 0.058012 0.058938 0.059225 0.060170 21.14 21.58 Credit Suisse USA, Inc. 22547WQE6 08/12/16 08/14/23 100.000 VARIES N/A 1.45 0.010453 0.010568 0.010685 0.010803 0.010922 3.82 3.90 Credit Suisse USA, Inc. 22548Q2Q7 04/28/16 04/28/26 100.000 VARIES 2.7488 6.60 0.026590 0.025813 0.025025 0.024227 0.023418 9.33 8.76 Credit Suisse USA, Inc. 22548Q3E3 04/14/16 04/14/26 100.000 VARIES 2.5023 4.38 0.016522 0.015747 0.014963 0.014168 0.014346 5.69 5.20 Credit Suisse USA, Inc. 22548Q5R2 05/27/16 05/27/21 100.000 0.000 2.5650 15.28 0.072164 0.073089 0.074026 0.074976 0.075937 26.21 26.89 Credit Suisse USA, Inc. 22548Q6L4 05/20/16 05/20/31 100.000 VARIES 3.7259 22.87 0.103499 0.103500 0.103501 0.103502 0.103501 37.26 37.26 Credit Suisse USA, Inc. 22548QHX6 09/28/16 09/26/24 100.000 0.000 1.3289 3.43 0.036915 0.037158 0.037405 0.037653 0.037903 13.38 13.56 Credit Suisse USA, Inc. 22548QKG9 10/28/16 10/30/23 100.000 0.000 1.6003 2.80 0.044458 0.044813 0.045172 0.045533 0.045898 16.11 16.37 Credit Suisse USA, Inc. 22548QL37 10/20/16 10/20/26 100.000 VARIES 2.2705 1.34 0.018902 0.018455 0.018002 0.017544 0.017081 6.66 6.33 Credit Suisse USA, Inc. 22548QN35 11/28/16 11/28/23 100.000 0.000 1.9557 1.79 0.054325 0.054856 0.055393 0.055934 0.056481 19.69 20.07 Credit Suisse USA, Inc. 22548QV28 02/09/17 03/09/18 100.000 0.000 1.2460 0.034611 0.034647 0.034863 11.18 2.37 Credit Suisse USA, Inc. 22548X2E9 12/05/16 12/05/23 100.000 0.125 2.0339 1.47 0.056496 0.057035 0.057580 0.058130 0.058686 20.46 20.86 CREDIT SUISSE AG NASSAU 22549K2A4 06/23/17 06/24/24 100.000 0.500 1.9627 0.054521 0.054926 0.055329 0.055737 10.25 19.85 Credit Suisse USA, Inc. 2254M0CR5 02/18/11 02/18/21 100.000 VARIES 2.0492 0.011093 0.011206 0.011321 0.011437 0.011554 4.04 4.13 Credit Suisse USA, Inc. 2254M0H58 08/17/11 08/17/17 100.000 VARIES 1.2914 0.026748 0.026713 6.04 Credit Suisse USA, Inc. 2254M0HP4 09/06/11 09/06/18** 100.000 VARIES 1.6150 0.000000 0.000000 0.000000 0.000000 0.00** 0.00 CREDIT SUISSE AG (NASSAU 22550BMY6 10/31/17 04/28/23 100.000 0.000 2.2940 0.063723 0.064446 0.065185 3.89 23.16 City of Crest Hill, IL 225903BX0 12/01/10 05/01/23 94.618 4.800 5.4005 21.98 0.011797 0.012115 0.012443 0.012779 0.013124 4.34 4.58 Deutsche Bank AG 25152R2S1 07/31/15 07/31/25 100.000 VARIES 3.0783 43.66 0.085361 0.085285 0.085208 0.085318 0.085430 30.69 30.73 Deutsche Bank AG 25152R5G4 05/26/16 05/26/26 100.000 VARIES 3.0802 18.37 0.084901 0.084230 0.083548 0.082857 0.082154 30.40 29.90 Deutsche Bank AG 25152R6M0 09/07/16 09/08/26 100.000 VARIES 3.0640 9.70 0.085107 0.084432 0.083747 0.083051 0.082345 30.36 29.87 Deutsche Bank AG 25152RAT0 12/20/12 12/20/22 100.000 0.000 1.6453 0.048800 0.049201 0.049606 0.050014 0.050426 17.65 17.94 Deutsche Bank AG 25152RKC6 05/14/14 11/15/17 100.000 0.000 1.6316 0.047203 0.047588 14.89 Deutsche Bank AG 25152RLC5 06/18/14 06/16/17 100.000 0.000 1.5017 0.043301 7.14 Deutsche Bank AG 25152RUV3 01/31/13 01/31/33 100.000 VARIES 2.3745 0.059411 0.059282 0.059152 0.059020 0.059256 21.33 21.29 ----------------------------- ** These calculations may be revised. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Deutsche Bank AG 25152RUY7 03/15/13 03/15/33 100.000 VARIES 2.5035 0.062040 0.061945 0.061849 0.061753 0.062024 22.30 22.27 Deutsche Bank AG 25152RUZ4 03/28/13 03/28/18 100.000 VARIES 1.5000 0.041962 0.041954 0.041811 15.09 3.64 Deutsche Bank AG 25152RVB6 05/23/13 05/23/18 100.000 VARIES 1.6238 0.045467 0.045447 0.045276 16.36 6.43 Deutsche Bank AG 25152RVD2 06/28/13 06/28/33 100.000 VARIES 2.0551 0.051386 0.051396 0.051405 0.051415 0.051671 18.50 18.51 Deutsche Bank AG 25152RVT7 03/31/14 03/31/34 100.000 VARIES 1.1016 0.025898 0.025624 0.025646 0.025667 0.025809 9.25 9.25 Deutsche Bank AG 25152RVV2 05/07/14 05/05/17 100.000 0.000 1.0114 0.028810 3.57 Deutsche Bank AG 25152RXB4 06/30/14 06/30/34 100.000 VARIES 1.0463 0.024989 0.024725 0.024683 0.024641 0.024747 8.95 8.88 Deutsche Bank AG 25152RXC2 08/28/14 08/28/34 100.000 VARIES 0.8844 0.021235 0.021203 0.021171 0.021251 0.021331 7.63 7.66 Deutsche Bank AG 25152RXE8 09/30/14 09/30/29 100.000 VARIES 1.1689 0.029132 0.028938 0.028743 0.028730 0.028717 10.42 10.34 DEUTSCHE BANK AG (LONDON 25155MBP5 06/15/17 12/15/22 98.650 3.000 3.2702 0.006279 0.006382 0.006486 0.006592 1.23 2.32 Deutsche Bank AG 2515A0FC2 09/05/07 09/05/17 100.000 VARIES 5.2126 0.140695 0.142718 34.69 Deutsche Bank AG 2515A1NH0 04/27/16 04/25/19 100.000 0.000 2.6296 17.89 0.073993 0.074966 0.075952 0.076950 0.077962 26.94 27.66 Deutsche Bank AG 2515A1NS6 05/04/16 05/07/19 100.000 0.000 2.4160 15.95 0.067935 0.068755 0.069586 0.070427 0.071277 24.69 25.29 Deutsche Bank AG 2515A1PE5 05/06/11 05/06/19 100.000 VARIES 4.4257 0.125521 0.125329 0.124750 0.124158 0.123554 45.11 44.74 Deutsche Bank AG 2515A1PH8 11/30/12 11/30/17 100.000 VARIES 1.3035 0.036360 0.036284 11.95 Domtar Corporation 257559AG9 06/09/09 06/01/17 96.157 10.750 11.4988 35.48 0.019668 2.95 Downtown Dallas Dev Auth 261149BK3 11/07/07 08/15/17 55.746 0.000 6.0690 406.10 0.158799 0.163618 36.44 Downtown Dallas Dev Auth 261149BL1 11/07/07 08/15/18 52.073 0.000 6.1490 385.77 0.151321 0.155974 0.160769 0.165712 56.60 36.90 Downtown Dallas Dev Auth 261149BM9 11/07/07 08/15/19 48.734 0.000 6.1990 364.81 0.143377 0.147821 0.152403 0.157126 0.161996 53.64 57.02 Downtown Dallas Dev Auth 261149BN7 11/07/07 08/15/20 45.395 0.000 6.2791 345.48 0.136205 0.140481 0.144892 0.149441 0.154133 50.98 54.24 DuPage County SD #12, IL 262777CV5 06/28/12 01/01/18* 100.000 VARIES 2.3972 0.066590 0.066589 23.97* DuPage County SD #12, IL 262777CW3 06/28/12 01/01/19 100.000 VARIES 2.6969 0.074919 0.074918 0.074917 0.074915 26.97 26.97 DU PAGE CNTY ILL SCH DIS 262777CX1 06/28/12 01/01/20 100.000 2.900 2.8969 130.83 0.080475 0.080474 0.080473 0.080472 28.97 28.97 DuPage County SD #12, IL 262777CY9 06/28/12 01/01/21 100.000 VARIES 3.2464 0.090191 0.090189 0.090188 0.090186 32.47 32.47 DuPage County SD #12, IL 262777CZ6 06/28/12 01/01/22 100.000 VARIES 3.7456 0.104065 0.104063 0.104061 0.104059 37.46 37.46 East Orange NJ 274137WT1 04/14/03 04/01/22 29.893 0.000 6.4699 417.01 0.126619 0.130715 0.134944 0.139309 0.143816 47.07 50.16 East Orange NJ 274137WU8 04/14/03 04/01/23 27.886 0.000 6.5000 391.69 0.119135 0.123007 0.127005 0.131132 0.135394 44.29 47.22 East Orange NJ 274137WV6 04/14/03 04/01/24 26.105 0.000 6.5100 367.51 0.111844 0.115484 0.119243 0.123125 0.127133 41.59 44.34 East Orange NJ 274137WW4 04/14/03 04/01/25 24.381 0.000 6.5300 344.80 0.105053 0.108483 0.112025 0.115683 0.119460 39.06 41.66 East Orange NJ 274137WX2 04/14/03 04/01/26 22.763 0.000 6.5499 323.37 0.098634 0.101864 0.105200 0.108645 0.112203 36.68 39.12 East Orange NJ 274137WY0 04/14/03 04/01/27 21.292 0.000 6.5600 303.17 0.092525 0.095560 0.098695 0.101932 0.105275 34.41 36.71 East Orange NJ 274137WZ7 04/14/03 04/01/28 19.913 0.000 6.5700 284.17 0.086777 0.089628 0.092572 0.095613 0.098754 32.27 34.43 Eclipse Resources Corp. 27890GAA8 07/06/15 07/15/23 97.903 8.875 9.2509 2.83 0.005545 0.005801 0.006069 0.006350 0.006644 2.13 2.33 Eclipse Resources Corp. 27890GAB6 07/06/15 07/15/23 97.903 8.875 9.2509 2.83 0.005545 0.005801 0.006069 0.006350 0.006644 2.13 2.33 Euronet Worldwide, Inc. 298736AG4 10/30/14 10/01/44 100.000 VARIES 6.9991 0.215995 0.222096 0.228410 0.234945 0.241709 79.97 84.60 Euronet Worldwide, Inc. 298736AH2 10/30/14 10/01/44 100.000 VARIES 6.9991 0.215995 0.222096 0.228410 0.234945 0.241709 79.97 84.60 EUROPEAN INVT BK 298785DW3 03/10/16 03/10/21 44.672 0.000 16.7836 351.72 0.118769 0.122002 0.125324 0.128736 0.132240 44.07 46.50 Exelon Corporation 30161N127 06/17/14 06/01/24 100.000 VARIES 4.8846 0.144017 52.21 52.13 Exelon Corporation 30161NAE1 06/17/14 06/01/24 100.000 VARIES 4.8846 0.144017 0.145839 0.145221 0.144589 0.143941 52.21 52.13 Federal Home Loan 3128X0AZ2 10/03/02 01/02/34 19.160 0.000 5.3582 215.35 0.058999 0.060580 0.062203 0.063869 0.065580 22.10 23.30 Federal Home Loan 3128X2SR7 01/30/04 04/01/17 51.299 0.000 5.1328 474.50 0.139009 12.51 Federal Home Loan 3128X2SS5 01/30/04 10/01/17 49.661 0.000 5.1861 465.80 0.136868 0.140417 37.59 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Federal Home Loan 3128X2ST3 01/30/04 04/01/18 48.064 0.000 5.2374 456.86 0.134628 0.138153 0.141771 49.74 12.76 Federal Home Loan 3128X2SU0 01/30/04 10/01/18 46.530 0.000 5.2835 447.56 0.132227 0.135721 0.139306 0.142986 48.87 38.28 Federal Home Loan 3128X2SV8 01/30/04 04/01/19 45.040 0.000 5.3273 438.11 0.129753 0.133210 0.136758 0.140401 0.144140 47.96 50.55 Federal Home Loan 3128X2SW6 01/30/04 10/01/19 43.600 0.000 5.3679 428.52 0.127200 0.130614 0.134120 0.137720 0.141416 47.03 49.59 Federal Home Loan 3128X2SX4 01/30/04 04/01/20 42.215 0.000 5.4047 418.79 0.124568 0.127935 0.131392 0.134943 0.138589 46.06 48.59 Federal Home Loan 3128X2SY2 01/30/04 10/01/20 40.880 0.000 5.4384 409.01 0.121887 0.125201 0.128606 0.132103 0.135695 45.08 47.57 Federal Home Loan 3128X4AE1 04/19/05 04/15/17 56.285 0.000 4.8518 423.47 0.131581 13.68 Federal Home Loan 3128X52H0 04/03/07 04/02/37 21.177 0.000 5.2422 138.89 0.050409 0.051730 0.053086 0.054478 0.055905 18.62 19.61 Federal Home Loan 3128X55E4 05/04/07 05/04/37* 16.728 0.000 6.0500 130.22 0.049523 6.09* Federal Home Loan 3128X5LK2 10/02/06 10/02/34 24.784 0.000 5.0446 165.13 0.057156 0.058598 0.060076 0.061591 0.063145 21.10 22.17 Freddie Mac 3128X6HU3 07/20/07 09/28/18 54.270 0.000 5.5370 366.64 0.137890 0.141708 0.145631 0.149663 51.05 39.61 Freddie Mac 3128X6WP7 12/21/07 12/21/37 22.860 0.000 4.9803 127.81 0.049238 0.050464 0.051721 0.053009 0.054329 17.97 18.88 Freddie Mac 3128X74S0 11/04/08 11/15/38 26.387 0.000 4.4860 115.10 0.046955 0.048008 0.049085 0.050186 0.051311 17.19 17.97 Freddie Mac 3128X75U4 11/24/08 11/15/38 27.529 0.000 4.3499 114.87 0.046884 0.047903 0.048945 0.050010 0.051098 17.16 17.91 Freddie Mac 3128X7N59 06/30/08 06/30/38 21.820 0.000 5.1394 117.72 0.047950 0.049182 0.050446 0.051742 0.053072 17.49 18.40 Freddie Mac 3128X8DG4 12/29/08 02/15/39 40.774 0.000 2.9999 109.78 0.042643 0.043282 0.043931 0.044590 0.045259 15.64 16.11 Freddie Mac 3128X9MF4 11/10/09 09/15/36 29.930 0.000 4.5439 113.28 0.051388 0.052556 0.053750 0.054971 0.056220 18.96 19.83 Freddie Mac 3128X9MG2 11/10/09 12/15/36 29.600 0.000 4.5434 112.00 0.051388 0.052555 0.053749 0.054970 0.056219 18.75 19.61 Federal Home Loan 312902LX5 12/17/99 12/17/29 14.255 0.000 6.6001 288.47 0.078820 0.081421 0.084108 0.086883 0.089750 28.92 30.86 Federal Home Loan 312902VG1 04/25/00 01/04/21 25.643 0.000 6.6857 511.85 0.138141 0.142759 0.147531 0.152463 0.157559 52.22 55.77 Federal Home Loan 312902VH9 04/25/00 01/04/22 24.042 0.000 6.6796 479.18 0.129272 0.133589 0.138050 0.142661 0.147426 48.87 52.19 Federal Home Loan 312902VJ5 04/25/00 01/04/23 22.536 0.000 6.6749 448.66 0.121002 0.125041 0.129214 0.133526 0.137983 45.74 48.85 Federal Home Loan 312902VK2 04/25/00 01/04/24 21.145 0.000 6.6664 420.10 0.113238 0.117012 0.120913 0.124943 0.129108 42.80 45.70 Federal Home Loan 312902VL0 04/25/00 01/04/25 20.007 0.000 6.6235 393.36 0.105740 0.109242 0.112860 0.116598 0.120459 39.96 42.65 Federal Home Loan 312902VM8 04/25/00 01/04/26 18.780 0.000 6.6160 368.56 0.099026 0.102301 0.105686 0.109182 0.112793 37.42 39.93 Federal Home Loan 312902VN6 04/25/00 01/04/27 17.654 0.000 6.6034 345.40 0.092727 0.095789 0.098952 0.102219 0.105594 35.03 37.39 Federal Home Loan 312902VV8 04/25/00 01/04/18 31.141 0.000 6.7035 624.27 0.168673 0.174326 0.180169 63.77 0.54 Federal Home Loan 312902VW6 04/25/00 01/04/19 29.163 0.000 6.7018 584.38 0.157876 0.163166 0.168634 0.174284 0.180124 59.69 63.76 Federal Home Loan 312902VX4 04/25/00 01/04/20 27.313 0.000 6.6998 547.04 0.147770 0.152720 0.157836 0.163124 0.168588 55.87 59.68 Federal Home Loan 312902WM7 04/25/00 01/04/17 33.256 0.000 6.7049 666.90 0.180205 0.54 Federal Home Loan Banks 3130A0MR8 01/22/14 01/22/21 100.000 VARIES 2.3229 0.066474 0.066659 0.066665 0.066672 0.066498 23.99 23.97 Federal Home Loan Banks 3130A0N63 01/23/14 01/23/20 100.000 VARIES 1.9612 0.055660 0.055736 0.055671 0.055606 0.055398 20.05 19.99 Federal Home Loan Banks 3130A1DD7 03/26/14 03/26/21 100.000 VARIES 2.2862 0.065431 0.065614 0.065627 0.065641 0.065470 23.61 23.61 Federal Home Loan Banks 3130A1DV7 03/26/14 03/26/21 100.000 VARIES 2.3282 0.066635 0.066822 0.066831 0.066839 0.066666 24.04 24.04 Federal Home Loan Banks 3130A2SV9 08/27/14 08/28/19 100.000 VARIES 1.7926 0.049082 0.049198 0.049315 0.049434 0.049553 17.72 17.80 Federal Home Loan Banks 3130A2YR1 09/26/14 09/26/19 100.000 VARIES 1.7204 0.047106 0.047217 0.047329 0.047443 0.047557 17.00 17.08 Federal Home Loan Banks 3130A4EV0 03/18/15 03/18/20 100.000 VARIES 1.7026 0.046569 0.046670 0.046772 0.046874 0.046978 16.80 16.88 Federal Home Loan Banks 3130A4JD5 03/30/15 03/30/20 100.000 VARIES 1.6373 0.044884 0.044968 0.045052 0.045136 0.045221 16.19 16.25 Federal Home Loan Banks 3130A4LE0 04/02/15 04/02/20 100.000 VARIES 1.6894 0.046230 0.046328 0.046426 0.046524 0.046624 16.68 16.75 Federal Home Loan Banks 3130A5CB3 05/27/15 05/27/20 100.000 VARIES 1.6122 0.044232 0.044309 0.044386 0.044464 0.044543 15.94 16.00 Federal Home Loan Banks 3130A5LZ0 06/30/15 06/30/20 100.000 VARIES 1.7431 0.047612 0.047724 0.047838 0.047952 0.048067 17.16 17.24 Federal Home Loan Banks 3130A5M22 06/26/15 06/25/20 100.000 VARIES 1.7664 0.048293 0.048401 0.048509 0.048619 0.048729 17.41 17.48 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ FEDERAL HOME LOAN BANKS 3130AA4B1 12/02/16 12/02/21 100.000 VARIES 1.6625 0.33 0.011458 0.011150 0.010838 0.010871 0.010903 4.05 3.91 FEDERAL HOME LOAN BANKS 3130AAFH6 12/30/16 12/30/21 100.000 VARIES 1.8755 0.01 0.013901 0.013543 0.013442 0.013406 0.013369 4.94 4.83 FEDERAL HOME LOAN BANKS 3130AAFM5 12/28/16 12/28/21 100.000 VARIES 1.8759 0.04 0.013220 0.012960 0.012756 0.012654 0.012603 4.71 4.57 FEDERAL HOME LOAN BANKS 3130ACGH1 10/06/17 10/06/22 100.000 VARIES 1.8634 0.009925 0.009563 0.009450 0.84 3.47 FEDERAL HOME LOAN BANKS 3130ACGS7 10/12/17 10/12/22 100.000 VARIES 1.8634 0.009925 0.009563 0.009450 0.78 3.47 FEDERAL HOME LOAN BANKS 3130ACK86 10/18/17 10/18/22 100.000 VARIES 1.9419 0.012068 0.011560 0.011504 0.88 4.21 Federal Home Loan Banks 3133737L0 04/13/11 04/13/17 100.000 VARIES 2.7757 0.077888 7.94 Federal Home Loan Banks 313373B84 04/13/11 04/13/17 100.000 VARIES 2.7757 0.077888 7.94 Federal Home Loan Banks 313379HU6 06/05/12 06/05/17 100.000 VARIES 0.8043 0.022307 3.44 Federal Home Loan Banks 3133836A4 05/22/13 05/22/19 100.000 VARIES 1.0916 0.030104 0.030147 0.030190 0.030234 0.030277 10.85 10.88 Federal Home Loan Banks 313383JM4 06/27/13 06/27/19 100.000 VARIES 1.3129 0.036189 0.036244 0.036299 0.036355 0.036412 13.04 13.08 Federal Home Loan 3134A1FK1 11/20/96 09/03/19 20.641 0.000 7.0454 624.78 0.158997 0.164598 0.170397 0.176399 0.182613 59.59 63.86 Federal Home Loan 3134A1H60 10/22/97 06/03/24 16.813 0.000 6.8127 440.13 0.114501 0.118401 0.122434 0.126604 0.130917 42.14 45.06 Federal Home Loan 3134A1HU7 12/27/96 12/02/19 19.720 0.000 7.2067 616.14 0.161879 0.167713 0.173756 0.180017 0.186504 59.67 64.05 Federal Home Loan 3134A1MY3 02/12/97 02/01/20 19.238 0.000 7.3061 609.20 0.157873 0.163641 0.169618 0.175815 0.182237 59.63 64.07 Federal Home Loan 3134A1NA4 02/12/97 01/02/19 20.877 0.000 7.2858 657.71 0.169229 0.175394 0.181783 0.188406 0.195269 64.28 69.05 Federal Home Loan 3134A2G77 12/28/98 11/15/28 20.230 0.000 5.4199 327.73 0.079248 0.081396 0.083601 0.085867 0.088194 29.12 30.72 Federal Home Loan 3134A2HG6 06/30/98 12/11/25 19.896 0.000 5.9700 391.93 0.097665 0.100580 0.103583 0.106675 0.109859 35.80 37.97 Federal Home Loan 3134A3D29 09/09/99 08/15/27 14.928 0.000 6.9258 335.96 0.090971 0.094122 0.097381 0.100753 0.104242 34.19 36.60 Federal Home Loan 3134A3ZU3 08/02/99 12/14/29 15.469 0.000 6.2411 296.44 0.077980 0.080413 0.082923 0.085510 0.088179 28.59 30.41 Freddie Mac 3134G5PA7 11/06/14 01/30/17 98.473 0.000 0.6901 14.72 0.019104 0.55 Freddie Mac 3134G5R64 12/03/14 09/01/17 97.435 0.000 0.9490 19.36 0.026111 0.026235 6.29 Freddie Mac 3134G5R98 12/18/14 02/15/17 98.503 0.000 0.7000 14.12 0.019377 0.85 Freddie Mac 3134G6JM6 03/12/15 05/01/17 98.351 0.000 0.7798 13.90 0.021578 2.59 Freddie Mac 3134G6NP4 04/16/15 02/01/18 97.254 0.000 0.9998 16.72 0.027359 0.027496 0.027634 9.92 0.83 Freddie Mac 3134G6RW5 04/08/15 07/14/17 98.320 0.000 0.7488 12.80 0.020645 0.020722 4.00 Freddie Mac 3134G6RX3 04/08/15 07/13/18 96.583 0.000 1.0679 17.97 0.029040 0.029195 0.029351 0.029508 10.53 5.66 Freddie Mac 3134G6X81 05/20/15 08/30/18 96.333 0.000 1.1426 17.95 0.030683 0.030689 0.031034 0.031041 11.24 7.48 Freddie Mac 3134G9D61 06/30/16 06/30/21 100.000 VARIES 1.3050 6.56 0.036123 0.036042 0.036050 0.036059 0.036068 12.99 12.98 Freddie Mac 3134G9E37 06/30/16 06/30/21 100.000 VARIES 1.3050 6.56 0.036123 0.036042 0.036050 0.036059 0.036068 12.99 12.98 Freddie Mac 3134G9XE2 06/30/16 06/30/21 100.000 VARIES 1.3816 6.95 0.038258 0.038138 0.038114 0.038089 0.038113 13.75 13.72 Freddie Mac 3134G9XF9 06/30/16 06/30/21 100.000 VARIES 1.4307 7.19 0.039629 0.039515 0.039524 0.039534 0.039543 14.25 14.23 Freddie Mac 3134G9XL6 06/29/16 06/29/21 100.000 VARIES 1.3915 7.03 0.038534 0.038416 0.038398 0.038380 0.038396 13.85 13.82 Freddie Mac 3134G9XM4 06/30/16 06/30/21 100.000 VARIES 1.3945 7.01 0.038606 0.038476 0.038453 0.038431 0.038457 13.87 13.84 Freddie Mac 3134G9XP7 06/30/16 06/30/21 100.000 VARIES 1.4321 7.20 0.039667 0.039553 0.039438 0.039472 0.039506 14.26 14.20 Freddie Mac 3134G9XQ5 06/30/16 06/30/21 100.000 VARIES 1.3945 7.01 0.038606 0.038476 0.038453 0.038431 0.038457 13.87 13.84 Freddie Mac 3134G9XT9 06/30/16 06/30/21 100.000 VARIES 1.4689 7.39 0.040681 0.040559 0.040561 0.040563 0.040575 14.62 14.60 Freddie Mac 3134G9XV4 06/30/16 06/30/21 100.000 VARIES 1.3872 6.97 0.038357 0.038238 0.038238 0.038238 0.038263 13.79 13.77 Freddie Mac 3134G9XX0 06/30/16 06/30/21 100.000 VARIES 1.5060 7.57 0.041730 0.041626 0.041626 0.041625 0.041625 15.00 14.99 Freddie Mac 3134GAN34 01/27/17 01/27/22 100.000 VARIES 1.9668 0.054633 0.054214 0.053791 0.053842 18.18 19.38 Freddie Mac 3134GAQC1 09/30/16 09/30/21 100.000 VARIES 1.3157 3.33 0.036547 0.036376 0.036296 0.036306 0.036317 13.10 13.07 Freddie Mac 3134GAQE7 09/30/16 09/30/21 100.000 VARIES 1.3432 3.40 0.037310 0.037188 0.037111 0.037080 0.037073 13.39 13.35 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Freddie Mac 3134GAQK3 09/30/16 09/30/21 100.000 VARIES 1.2929 3.27 0.035914 0.035789 0.035664 0.035679 0.035694 12.88 12.84 Freddie Mac 3134GAZM9 12/02/16 12/02/21 100.000 VARIES 1.5258 1.23 0.042383 0.042158 0.041931 0.041986 0.042042 15.20 15.11 Freddie Mac 3134GAZX5 12/02/16 12/02/21 100.000 VARIES 1.5968 1.29 0.044356 0.044103 0.043848 0.043910 0.043972 15.91 15.80 Freddie Mac 3134GBBQ4 03/28/17 03/28/22 100.000 VARIES 2.0636 0.057323 0.056822 0.056548 0.056487 15.60 20.38 Freddie Mac 3134GBCA8 03/28/17 03/28/22 100.000 VARIES 2.0949 0.058191 0.057564 0.057207 0.057224 15.83 20.63 Freddie Mac 3134GBER9 04/18/17 04/18/22 100.000 VARIES 1.9672 0.054644 0.054020 0.053868 0.053886 13.78 19.41 Freddie Mac 3134GBFY3 04/19/17 04/19/22 100.000 VARIES 1.9997 0.055548 0.054909 0.054729 0.054776 13.95 19.73 Freddie Mac 3134GBML3 05/16/17 05/16/22 100.000 VARIES 1.9154 0.053206 0.052585 0.052490 0.052527 11.94 18.91 Freddie Mac 3134GBNR9 05/24/17 05/24/22 100.000 VARIES 1.8958 0.052661 0.052058 0.051992 0.052024 11.41 18.73 FEDERAL HOME LOAN MORTGA 3134GBP22 10/11/17 10/11/22 100.000 VARIES 1.8895 0.010632 0.010190 0.010172 0.85 3.71 Freddie Mac 3134GBQD7 05/24/17 05/24/22 100.000 VARIES 1.9445 0.054014 0.053337 0.053235 0.053205 11.70 19.18 Federal National 31359MEL3 01/29/99 06/01/17 34.790 0.000 5.8405 628.45 0.157634 23.65 Federal National 3136F1EQ9 12/27/01 03/17/31 16.751 0.000 6.2082 251.97 0.071066 0.073272 0.075546 0.077891 0.080309 26.45 28.11 Federal National 3136F3LA2 04/04/03 10/03/33 20.285 0.000 5.2999 213.44 0.060502 0.062105 0.063751 0.065440 0.067174 22.36 23.56 Federal National 3136F3ZC3 06/09/03 12/15/33 23.674 0.000 N/A 0.060049 0.061492 0.062970 0.064483 0.066032 21.92 22.99 Federal National 3136F4R55 01/07/04 12/15/34 18.268 0.000 5.5708 190.18 0.057555 0.059158 0.060806 0.062500 0.064241 21.06 22.25 Federal National 3136F7NM5 11/15/05 11/15/30 26.938 0.000 5.3159 213.62 0.070841 0.072724 0.074657 0.076641 0.078678 26.02 27.42 Fannie Mae 3136G1SZ3 08/15/13 07/01/18 95.481 0.000 0.9502 31.07 0.026023 0.026147 0.026271 9.39 4.73 Fannie Mae 3136G1ZJ1 03/21/14 01/26/19** 97.874 0.000 N/A 0.000000 0.000000 0.000000 0.000000 0.000000 0.00** 0.00 Forney Independent SD, T 3464242U7 02/18/14 08/15/39 16.888 0.000 7.1001 37.46 0.039632 0.041039 0.042496 0.044005 0.045567 14.91 15.99 Forney Independent SD, T 3464242V5 02/18/14 08/15/40 15.550 0.000 7.1501 34.75 0.036793 0.038108 0.039471 0.040882 0.042343 13.85 14.85 Forney Independent SD, T 3464242W3 02/18/14 08/15/41 14.304 0.000 7.2001 32.21 0.034122 0.035351 0.036623 0.037942 0.039308 12.85 13.79 Forney Independent SD, T 3464242X1 02/18/14 08/15/42 13.145 0.000 7.2501 29.82 0.031614 0.032760 0.033947 0.035178 0.036453 11.90 12.78 Forney Independent SD, T 3464242Y9 02/18/14 08/15/43 12.068 0.000 7.3002 27.59 0.029259 0.030327 0.031434 0.032582 0.033771 11.02 11.84 Forney Independent SD, T 3464242Z6 02/18/14 08/15/44 11.069 0.000 7.3502 25.49 0.027054 0.028048 0.029079 0.030147 0.031255 10.19 10.96 Forney Independent SD, T 3464243A0 02/18/14 08/15/45 10.143 0.000 7.4002 23.53 0.024989 0.025914 0.026872 0.027867 0.028898 9.42 10.13 Forney Independent SD, T 3464243B8 02/18/14 08/15/46 9.141 0.000 7.5003 21.52 0.022880 0.023738 0.024628 0.025552 0.026510 8.63 9.29 Forney Independent SD, T 3464243C6 02/18/14 08/15/47 8.223 0.000 7.6001 19.64 0.020906 0.021700 0.022525 0.023381 0.024269 7.89 8.50 Forney Independent SD, T 3464243D4 02/18/14 08/15/48 7.382 0.000 7.7003 17.89 0.019061 0.019795 0.020557 0.021349 0.022171 7.20 7.76 Forney Independent SD, T 3464243E2 02/18/14 08/15/49 6.615 0.000 7.8003 16.25 0.017344 0.018020 0.018723 0.019453 0.020212 6.55 7.07 Forney Independent SD, T 3464243F9 02/18/14 08/15/50 6.021 0.000 7.8503 14.90 0.015907 0.016531 0.017180 0.017854 0.018555 6.01 6.49 Forney Independent SD, T 3464243G7 02/18/14 08/15/51 5.475 0.000 7.9003 13.64 0.014574 0.015150 0.015748 0.016370 0.017017 5.51 5.95 Forney Independent SD, T 3464243H5 02/18/14 08/15/52 4.974 0.000 7.9503 12.48 0.013340 0.013870 0.014422 0.014995 0.015591 5.04 5.45 Forney Independent SD, T 3464243J1 02/18/14 08/15/53 4.514 0.000 8.0005 11.40 0.012197 0.012685 0.013193 0.013721 0.014269 4.61 4.99 Forney Independent SD, T 346424X90 08/27/13 08/15/38 17.946 0.000 7.0000 46.47 0.042798 0.044296 0.045846 0.047451 0.049111 16.09 17.24 Forney Independent SD, T 346424Y24 08/27/13 08/15/39 16.544 0.000 7.0499 43.17 0.039793 0.041196 0.042648 0.044151 0.045708 14.97 16.04 Forney Independent SD, T 346424Y32 08/27/13 08/15/40 15.436 0.000 7.0501 40.28 0.037129 0.038438 0.039793 0.041195 0.042647 13.96 14.97 Forney Independent SD, T 346424Y40 08/27/13 08/15/41 14.210 0.000 7.0999 37.37 0.034471 0.035695 0.036962 0.038274 0.039633 12.97 13.91 Forney Independent SD, T 346424Y57 08/27/13 08/15/42 13.252 0.000 7.1001 34.85 0.032148 0.033289 0.034471 0.035694 0.036961 12.09 12.97 Forney Independent SD, T 346424Y65 08/27/13 08/15/43 12.359 0.000 7.1000 32.50 0.029981 0.031046 0.032148 0.033289 0.034471 11.28 12.09 Franklin CNTYS, IL 352415EH2 09/30/16 12/01/18 102.407 3.750 2.6021 6.73 0.073886 0.073492 0.073093 0.072689 26.50 24.05 Franklin CNTYS, IL 352415EJ8 09/30/16 12/01/19 102.706 3.750 2.8512 7.40 0.081233 0.080906 0.080575 0.080238 0.079897 29.17 28.93 ----------------------------- ** These calculations may be revised. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Franklin CNTYS, IL 352415EK5 09/30/16 12/01/20 104.461 4.250 3.1014 8.18 0.089845 0.089407 0.088963 0.088512 0.088054 32.24 31.92 Franklin CNTYS, IL 352415EL3 09/30/16 12/01/21 106.144 4.500 3.2012 8.58 0.094219 0.093726 0.093225 0.092717 0.092200 33.80 33.44 College District #534 IL 360395FH5 07/22/10 12/01/17 105.580 VARIES 4.4767 0.125404 0.124885 41.29 College District #534 IL 360395FJ1 07/22/10 12/01/18 103.358 VARIES 4.9260 0.138056 0.137761 0.137460 0.137151 49.63 45.31 College District #534 IL 360395FK8 07/22/10 12/01/19 103.249 VARIES 5.2256 0.146845 0.146581 0.146310 0.146032 0.145747 52.80 52.60 College District #534 IL 360395FL6 07/22/10 12/01/20 101.888 VARIES 5.4261 0.151925 0.151789 0.151649 0.151505 0.151357 54.66 54.56 FULTON MC DONOUGH & SCHU 360406BT8 09/19/17 12/01/19 100.000 2.500 2.4872 0.069089 0.069433 0.070296 0.069098 7.06 25.14 GS Finance Corp. 362273AG9 12/17/15 06/19/23 100.000 0.000 2.9199 0.083506 0.084725 0.085962 0.087217 0.088490 30.31 31.20 GS FIN CORP 362273BK9 07/06/17 07/08/24 100.000 0.250 2.8998 0.080550 0.080462 0.081528 0.082610 14.08 29.53 GS FINANCE CORP 36253M679 09/14/17 09/16/21 100.000 0.000 2.2324 0.062012 0.062019 0.062712 0.063412 6.64 22.60 GS FINANCE CORP 36253M687 09/14/17 09/15/22 100.000 0.000 2.3683 0.065789 0.066568 0.067357 7.04 23.99 GS FINANCE CORP 36253M695 09/14/17 09/14/23 100.000 0.000 2.6628 0.073966 0.074950 0.075948 7.91 27.02 GS FINANCE CORP 36253M703 09/14/17 09/15/22 100.000 0.000 2.3683 0.065789 0.066568 0.067357 7.04 23.99 GS FINANCE CORP 36253M711 09/14/17 09/14/23 100.000 0.000 2.6628 0.073966 0.074950 0.075948 7.91 27.02 General Cable Corp. 369300AL2 12/18/09 11/15/29 100.000 VARIES 12.5014 0.638806 0.670923 0.705046 0.741303 0.779827 238.80 263.78 Goldman Sachs Group, Inc 38141GFF6 12/28/07 12/28/17 100.000 0.000 5.8500 0.273042 0.281028 98.91 Goldman Sachs Group, Inc 38141GGV0 10/30/12 10/30/27 100.000 VARIES 4.6427 0.117668 0.117224 0.116769 0.116993 0.117221 42.23 42.10 Goldman Sachs Group, Inc 38141GGX6 11/30/12 12/04/19 100.000 0.000 3.2000 0.100961 0.102576 0.104218 0.105885 0.107579 36.72 37.91 Goldman Sachs Group, Inc 38141GHQ0 11/19/12 11/19/27 100.000 VARIES 4.0948 0.104198 0.103878 0.103551 0.103747 0.103946 37.43 37.33 Goldman Sachs Group, Inc 38141GJY1 12/10/12 12/10/17 100.000 VARIES 1.7366 0.008903 0.008980 3.03 Goldman Sachs Group, Inc 38141GKC7 12/31/12 01/02/20 100.000 0.000 2.8000 0.085740 0.086940 0.088157 0.089391 0.090643 31.52 32.40 Goldman Sachs Group, Inc 38141GLQ5 01/31/13 02/03/20 100.000 0.000 3.2298 0.100391 0.102012 0.103660 0.105334 0.107035 36.92 38.12 Goldman Sachs Group, Inc 38141GMD3 01/23/13 01/23/28 100.000 VARIES 4.3421 0.108435 0.107947 0.107449 0.106940 0.107150 38.79 38.54 Goldman Sachs Group, Inc 38141GMG6 01/25/13 01/24/20 100.000 0.000 3.1499 0.097602 0.099139 0.100700 0.102286 0.103897 35.90 37.04 Goldman Sachs Group, Inc 38141GMR2 02/11/13 02/11/28 100.000 VARIES 4.2924 0.107165 0.106793 0.106414 0.106026 0.106272 38.41 38.22 Goldman Sachs Group, Inc 38141GNB6 02/28/13 03/02/20 100.000 0.000 2.9677 0.091406 0.092762 0.094138 0.095535 0.096953 33.48 34.48 Goldman Sachs Group, Inc 38141GPC2 02/28/13 02/29/28 100.000 VARIES 4.2915 0.105341 0.103014 0.104089 0.101755 0.103529 37.87 37.49 Goldman Sachs Group, Inc 38141GPU2 03/06/13 03/06/28 100.000 VARIES 4.1925 0.103865 0.103373 0.102871 0.102358 0.102484 37.19 36.90 Goldman Sachs Group, Inc 38141GPV0 03/28/13 03/31/20 100.000 0.000 3.1234 0.096726 0.098236 0.099770 0.101329 0.102911 35.37 36.48 Goldman Sachs Group, Inc 38141GPW8 03/06/13 03/06/18 100.000 VARIES 1.3286 0.008017 0.008070 0.008124 2.91 0.53 Goldman Sachs Group, Inc 38141GQL1 03/22/13 03/22/28 100.000 VARIES 4.6902 0.117779 0.116806 0.116759 0.116711 0.116661 42.12 42.01 Goldman Sachs Group, Inc 38141GQW7 03/27/13 03/27/28 100.000 VARIES 4.6888 0.117514 0.116569 0.116547 0.116524 0.116501 42.04 41.95 Goldman Sachs Group, Inc 38141GRR7 04/30/13 04/30/20 100.000 0.000 2.8401 0.087075 0.088312 0.089566 0.090838 0.092128 31.72 32.63 Goldman Sachs Group, Inc 38141GSM7 04/30/13 04/30/28 100.000 VARIES 4.3925 0.111279 0.110918 0.110549 0.110172 0.110369 39.95 39.72 Goldman Sachs Group, Inc 38141GSQ8 04/30/13 04/30/20 100.000 VARIES 1.6755 0.003927 0.003960 0.003993 0.004026 0.004060 1.42 1.45 Goldman Sachs Group, Inc 38141GST2 05/31/13 06/03/21 100.000 0.000 3.4201 0.107007 0.108837 0.110698 0.112591 0.114517 38.96 40.30 Goldman Sachs Group, Inc 38141GTV6 05/21/13 05/21/20 100.000 VARIES 2.7012 0.077205 0.077160 0.076966 0.076769 0.076402 27.78 27.65 Goldman Sachs Group, Inc 38141GTW4 05/30/13 05/30/28 100.000 VARIES 4.3920 0.110207 0.109893 0.109571 0.109243 0.109498 39.60 39.38 Goldman Sachs Group, Inc 38141GTZ7 05/23/13 05/23/28 100.000 VARIES 4.4916 0.112008 0.111652 0.111288 0.110916 0.111196 40.23 39.99 Goldman Sachs Group, Inc 38141GUF9 06/06/13 06/06/28 100.000 VARIES 4.4921 0.112719 0.112466 0.112208 0.111944 0.112233 40.52 40.35 Goldman Sachs Group, Inc 38141GWH3 05/31/17 05/31/27 100.000 4.250 3.6188 0.012578 0.012261 0.011938 0.011609 2.64 4.34 Goldman Sachs Group, Inc 38143AGB5 01/31/12 01/31/19 100.000 0.000 2.2999 0.069272 0.071230 0.070874 0.072877 0.072514 25.89 26.48 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Bank USA 38143AJG1 02/29/12 02/28/19 100.000 0.000 2.2001 0.067066 0.066698 0.068549 0.068173 0.070066 24.59 25.14 Goldman Sachs Group, Inc 38143ALM5 03/30/12 04/01/19 100.000 0.000 2.2483 0.068313 0.068704 0.069858 0.070257 0.071437 25.15 25.72 Goldman Sachs Group, Inc 38143APY5 04/30/12 04/30/19 100.000 0.000 2.2499 0.068734 0.068374 0.070289 0.069921 0.071879 25.12 25.69 Goldman Sachs Group, Inc 38143ARV9 05/31/12 05/31/19 100.000 0.000 2.2497 0.068352 0.068743 0.069898 0.070298 0.071480 25.07 25.64 Goldman Sachs Group, Inc 38143AUA1 06/29/12 07/01/19 100.000 0.000 2.1501 0.065404 0.065029 0.066818 0.066435 23.80 24.32 Goldman Sachs Group, Inc 38143AWH4 07/31/12 07/31/19 100.000 0.000 2.1500 0.063641 0.065391 0.065016 0.066804 0.066422 23.76 24.27 Goldman Sachs Group, Inc 38143AXC4 08/30/12 08/31/17 100.000 0.000 1.6988 0.050215 0.049816 12.08 Goldman Sachs Group, Inc 38143AYM1 08/31/12 09/03/19 100.000 0.000 2.1004 0.063092 0.062715 0.064424 0.064039 0.065784 23.12 23.61 GOLDMAN SACHS BANK USA 38143AYN9 08/30/12 08/30/19 100.000 0.250 2.0895 94.03 0.061612 0.062190 0.062763 0.063352 0.063937 22.74 23.16 Goldman Sachs Group, Inc 38143AYS8 08/23/12 08/23/17 100.000 VARIES 1.7918 0.052292 0.053635 12.48 Goldman Sachs Group, Inc 38143U2A8 04/30/12 01/31/18 100.000 0.000 4.2502 0.141173 0.144173 0.147237 52.28 4.27 Goldman Sachs Group, Inc 38143U3A7 05/31/12 06/02/17 100.000 0.000 4.6998 0.160944 24.30 Goldman Sachs Group, Inc 38143U3T6 05/14/12 05/14/17 100.000 VARIES 2.9895 0.014218 1.89 Goldman Sachs Group, Inc 38143U4D0 07/31/12 02/01/18 100.000 0.000 3.8502 0.124588 0.126987 0.129431 46.01 3.88 Goldman Sachs Group, Inc 38143U5H0 08/31/12 09/04/18 100.000 0.000 3.4599 0.110284 0.112192 0.114133 0.116107 40.50 28.09 Goldman Sachs Group, Inc 38143U6M8 08/31/12 08/31/18 100.000 0.000 3.5003 0.111090 0.111191 0.115013 0.115117 41.05 27.85 Goldman Sachs Group, Inc 38143U6V8 09/28/12 12/31/18 100.000 0.000 3.1502 0.099403 0.099323 0.102559 0.102476 36.27 37.32 Goldman Sachs Group, Inc 38143U7M7 11/02/12 11/01/19 100.000 0.000 3.0102 0.094223 0.095641 0.097081 0.098542 0.100025 34.35 35.39 Goldman Sachs Group, Inc 38143UF63 10/31/11 05/01/17 100.000 0.000 3.9000 0.131426 15.77 Goldman Sachs Group, Inc 38143UH53 12/30/11 07/03/17 100.000 0.000 4.7823 0.164389 0.168320 30.63 Goldman Sachs Group Inc. 38143UKX8 08/31/10 08/31/17 100.000 0.000 4.4060 0.158087 0.158935 38.41 Goldman Sachs Group, Inc 38143UL25 01/31/12 07/31/17 100.000 0.000 4.0497 0.134733 0.137461 28.65 Goldman Sachs Group, Inc 38143ULK5 07/28/10 07/28/17 100.000 VARIES 2.6535 0.017355 0.017585 3.63 Goldman Sachs Group, Inc 38143ULM1 07/28/10 07/28/17 100.000 VARIES 2.6469 0.017179 0.017406 3.60 Goldman Sachs Group, Inc 38143ULN9 08/06/10 08/06/20 100.000 VARIES 2.8170 0.020491 0.020780 0.021073 0.021369 0.021670 7.51 7.73 Goldman Sachs Group, Inc 38143ULV1 08/26/10 08/26/20 100.000 VARIES 2.6793 0.022558 0.022860 0.023167 0.023477 0.023792 8.25 8.47 Goldman Sachs Group, Inc 38143UMA6 08/20/10 08/20/20 100.000 VARIES 2.6781 0.014138 0.014327 0.014519 0.014713 0.014910 5.17 5.31 Goldman Sachs Group, Inc 38143UME8 09/08/10 09/08/17 100.000 VARIES 2.3458 0.014812 0.014986 3.69 Goldman Sachs Group, Inc 38143UMH1 09/08/10 09/08/20 100.000 VARIES 2.6543 0.023956 0.024273 0.024596 0.024922 0.025253 8.75 8.99 Goldman Sachs Group, Inc 38143UMJ7 09/10/10 09/10/20 100.000 VARIES 2.6625 0.015357 0.015561 0.015769 0.015979 0.016191 5.61 5.76 Goldman Sachs Group, Inc 38143UMQ1 09/29/10 09/28/17 100.000 0.000 4.0718 0.144037 0.146970 38.99 Goldman Sachs Group, Inc 38143UMU2 09/21/10 09/21/20 100.000 VARIES 2.7709 0.020574 0.020859 0.021148 0.021441 0.021739 7.52 7.73 Goldman Sachs Group, Inc 38143UMW8 09/21/10 09/21/17 100.000 VARIES 2.3117 0.019537 0.019762 5.12 Goldman Sachs Group, Inc 38143UNH0 10/29/10 10/31/17 100.000 2.000 3.7647 0.116882 0.118036 35.16 Goldman Sachs Group, Inc 38143UNT4 10/29/10 10/29/20 100.000 VARIES 2.0302 0.019013 0.019206 0.019401 0.019598 0.019797 6.90 7.04 Goldman Sachs Group, Inc 38143UNU1 10/29/10 10/29/20 100.000 VARIES 2.3764 0.023713 0.023995 0.024280 0.024568 0.024860 8.62 8.83 Goldman Sachs Group, Inc 38143UNY3 11/01/10 11/01/17 100.000 VARIES 1.9534 0.004496 0.004540 1.36 Goldman Sachs Group, Inc 38143UP54 02/29/12 08/31/17 100.000 0.000 4.3504 0.145858 0.146601 35.43 Goldman Sachs Group, Inc 38143UPF2 11/15/10 11/15/17 100.000 VARIES 2.1779 0.013373 0.013519 4.23 Goldman Sachs Group, Inc 38143UQC8 11/30/10 11/30/17 100.000 VARIES 2.2521 0.012715 0.012858 4.21 Goldman Sachs Group, Inc 38143UQP9 12/22/10 12/22/20 100.000 VARIES 2.3885 0.023658 0.023940 0.024226 0.024515 0.024808 8.57 8.78 Goldman Sachs Group, Inc 38143UQQ7 01/31/11 01/31/17 100.000 0.000 3.6502 0.123713 3.59 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38143UQZ7 01/31/11 01/31/18 100.000 VARIES 1.9815 0.018272 0.018453 0.018636 6.67 0.54 Goldman Sachs Group, Inc 38143URD5 02/28/11 02/28/17 100.000 0.000 4.0298 0.138637 8.04 Goldman Sachs Group, Inc 38143URX1 03/31/11 03/31/17 100.000 0.000 3.9998 0.138146 12.29 Goldman Sachs Group, Inc 38143US77 03/30/12 01/03/18 100.000 0.000 4.1998 0.139255 0.142180 0.145165 51.71 0.29 Goldman Sachs Group, Inc 38143USM4 03/18/11 03/18/21 100.000 VARIES 5.2914 0.151732 0.151545 0.151161 0.150767 0.150236 54.53 54.25 Goldman Sachs Group, Inc 38143UTJ0 04/29/11 05/01/17 100.000 0.000 3.7498 0.127800 15.34 Goldman Sachs Group, Inc 38143UTN1 04/13/11 04/13/21 100.000 VARIES 5.2208 0.148357 0.148178 0.147858 0.147530 0.147126 53.34 53.11 Goldman Sachs Group, Inc 38143UUA7 04/29/11 04/29/21 100.000 VARIES 2.1672 0.016216 0.016392 0.016569 0.016749 0.016930 5.89 6.02 Goldman Sachs Group, Inc 38143UUJ8 05/31/11 05/31/17 100.000 0.000 3.9998 0.138146 20.58 Goldman Sachs Group, Inc 38143UUY5 07/20/11 07/20/21 100.000 0.000 5.1298 0.183565 0.188274 0.193103 0.198056 0.203136 68.47 72.02 Goldman Sachs Group, Inc 38143UVG3 06/07/11 06/07/21 100.000 VARIES 2.2754 0.016846 0.017037 0.017231 0.017427 0.017625 6.11 6.25 Goldman Sachs Group, Inc 38143UVH1 06/30/11 06/30/17 100.000 0.000 3.7799 0.129010 23.09 Goldman Sachs Group, Inc 38143UVT5 06/13/11 06/13/17 100.000 0.000 4.0901 0.141953 23.00 Goldman Sachs Group, Inc 38143UW23 06/29/12 06/30/17 100.000 0.000 4.1000 0.136723 24.47 Goldman Sachs Group, Inc 38143UWM9 08/04/11 07/31/17 100.000 0.000 3.7994 0.124572 0.129043 27.09 Goldman Sachs Group, Inc 38143UXG1 08/31/11 01/31/17 100.000 0.000 3.7498 0.125039 3.63 Goldman Sachs Group, Inc 38143UY47 06/18/12 06/18/17 100.000 VARIES 3.6371 0.011439 1.91 Goldman Sachs Group, Inc 38143UZJ3 11/30/11 06/02/17 100.000 0.000 5.4499 0.198143 29.92 Goldman Sachs Group. Inc 381470JN4 08/30/13 09/02/20 100.000 0.000 3.8498 0.119924 0.122233 0.124586 0.126984 0.129428 44.14 45.86 Goldman Sachs Group, Inc 38147Q2D7 04/30/14 05/03/21 100.000 0.000 3.0002 0.089802 0.091149 0.092517 0.093905 0.095313 32.73 33.72 Goldman Sachs Group, Inc 38147Q2G0 04/30/14 11/02/21 100.000 0.000 3.1299 0.093979 0.095449 0.096943 0.098460 0.100001 34.27 35.35 Goldman Sachs Group, Inc 38147Q2H8 04/14/14 04/14/29 100.000 VARIES 4.5255 0.112749 0.111932 0.111096 0.110242 0.110442 40.32 39.79 Goldman Sachs Group, Inc 38147Q2Z8 04/21/14 04/21/29 100.000 VARIES 4.5486 0.119370 0.118766 0.118148 0.117517 0.117575 42.78 42.38 Goldman Sachs Group, Inc 38147Q4M5 05/30/14 12/02/21 100.000 0.000 3.0000 0.089788 0.091135 0.092502 0.093890 0.095298 32.64 33.63 Goldman Sachs Group, Inc 38147Q5E2 12/13/13 12/13/28 100.000 VARIES 4.9491 0.120547 0.118736 0.116881 0.116913 0.116947 43.01 42.08 Goldman Sachs Group, Inc 38147Q5K8 05/30/14 09/02/20 100.000 0.000 2.5499 0.074999 0.075955 0.076923 0.077904 0.078897 27.40 28.10 Goldman Sachs Group, Inc 38147Q5M4 05/21/14 05/21/29 100.000 VARIES 4.4103 0.111880 0.111500 0.111111 0.110713 0.110925 40.18 39.92 Goldman Sachs Group, Inc 38147Q5P7 05/16/14 05/16/17 100.000 0.000 1.5599 0.045048 6.08 Goldman Sachs Group,Inc. 38147Q6D3 05/23/14 05/23/17 100.000 0.000 1.4897 0.042943 6.10 Goldman Sachs Group, Inc 38147Q6M3 05/28/14 05/28/19 100.000 VARIES 2.3798 0.070134 0.070969 0.071813 0.072668 0.073533 25.45 26.06 Goldman Sachs Group, Inc 38147Q6R2 06/02/14 06/02/17 100.000 0.000 1.6957 0.049132 7.42 Goldman Sachs Group, Inc 38147Q7D2 06/30/14 12/30/21 100.000 0.000 3.0001 0.089776 0.091123 0.092490 0.093877 0.095286 32.56 33.55 Goldman Sachs Group, Inc 38147QA89 06/26/14 06/26/29 100.000 VARIES 4.3665 0.112736 0.112428 0.112113 0.111792 0.111923 40.53 40.30 Goldman Sachs Group, Inc 38147QAH9 06/12/14 06/12/29* 100.000 VARIES 4.2455 0.113648 15.00* Goldman Sachs Group, Inc 38147QAK2 01/10/14 01/10/29 100.000 VARIES 4.9699 0.123464 0.121769 0.120033 0.118253 0.118268 43.56 42.59 Goldman Sachs Group, Inc 38147QAS5 06/28/13 12/31/20 100.000 0.000 3.9899 0.127295 0.129834 0.132424 0.135066 0.137761 46.29 48.15 Goldman Sachs Group, Inc 38147QB39 06/18/14 06/17/21 100.000 0.000 3.2500 0.097846 0.099436 0.101051 0.102693 0.104362 35.56 36.72 Goldman Sachs Group, Inc 38147QB54 06/27/14 06/27/29* 100.000 VARIES 4.0951 0.109633 0.109360 29.25* Goldman Sachs Group, Inc 38147QB96 06/27/14 06/27/17 100.000 0.000 1.6003 0.046260 8.14 Goldman Sachs Group, Inc 38147QBB1 01/31/14 02/03/21 100.000 0.000 3.2502 0.097888 0.099479 0.101095 0.102738 0.104408 36.00 37.18 Goldman Sachs Group, Inc 38147QBC9 06/30/14 06/30/29 100.000 VARIES 4.3157 0.110260 0.109976 0.109685 0.109388 0.109545 39.64 39.43 Goldman Sachs Group, Inc 38147QC20 10/25/13 10/25/28 100.000 VARIES 4.8590 0.121529 0.120567 0.119580 0.119717 0.119857 43.45 43.09 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38147QC46 07/31/14 08/03/21 100.000 0.000 3.1497 0.093159 0.094626 0.096116 0.097630 0.099168 34.24 35.33 Goldman Sachs Group, Inc 38147QCN4 06/19/13 06/19/28 100.000 VARIES 4.6926 0.119111 0.118893 0.118670 0.118442 0.118694 42.84 42.68 Goldman Sachs Group, Inc 38147QDF0 01/23/14 01/23/29 100.000 VARIES 4.9794 0.125057 0.124307 0.123538 0.122749 0.123153 44.65 44.27 Goldman Sachs Group, Inc 38147QDL7 08/18/14 08/18/29 100.000 VARIES 4.3047 0.109757 0.109443 0.109122 0.108794 0.108459 39.37 39.14 Goldman Sachs Group, Inc 38147QDV5 08/29/14 09/01/21 100.000 0.000 3.0001 0.088465 0.089792 0.091139 0.092506 0.093894 32.41 33.39 Goldman Sachs Group, Inc 38147QES1 07/31/13 08/03/20 100.000 0.000 3.9198 0.122370 0.124768 0.127214 0.129707 0.132249 45.20 46.99 Goldman Sachs Group, Inc 38147QEX0 01/24/14 01/24/29 100.000 VARIES 4.8384 0.119771 0.118332 0.116857 0.115347 0.115411 42.40 41.57 Goldman Sachs Group, Inc 38147QFG6 09/15/14 09/15/29 100.000 VARIES 4.2975 0.112064 0.111840 0.111611 0.111378 0.111139 40.25 40.09 Goldman Sachs Group, Inc 38147QFL5 09/30/14 09/30/21 100.000 0.000 3.0002 0.088452 0.089779 0.091126 0.092493 0.093880 32.32 33.30 Goldman Sachs Group, Inc 38147QFR2 06/04/14 06/04/29* 100.000 VARIES 3.8461 0.103036 0.102760 22.03* Goldman Sachs Group, Inc 38147QGA8 07/22/13 07/22/28 100.000 VARIES 4.9007 0.123769 0.123588 0.123402 0.123212 0.123017 44.47 44.33 Goldman Sachs Group, Inc 38147QGP5 02/05/14 02/05/29 100.000 VARIES 4.7103 0.118695 0.118017 0.117322 0.116611 0.116833 42.41 42.04 Goldman Sachs Group, Inc 38147QGV2 09/23/14 12/19/19 100.000 0.000 2.8659 0.084847 0.086063 0.087296 0.088547 0.089816 30.79 31.68 Goldman Sachs Group, Inc 38147QH58 10/10/14 02/10/22 100.000 0.000 3.4944 0.103435 0.105242 0.107081 0.108952 0.110855 38.08 39.42 Goldman Sachs Group, Inc 38147QH74 10/10/14 02/10/22 100.000 0.000 3.4944 0.103435 0.105242 0.107081 0.108952 0.110855 38.08 39.42 Goldman Sachs Group, Inc 38147QHH2 10/08/14 02/06/20 100.000 VARIES 2.7916 0.081576 0.082714 0.083869 0.085039 0.086226 29.90 30.75 Goldman Sachs Group, Inc 38147QHL3 09/30/14 09/30/29 100.000 VARIES 4.2677 0.111642 0.111517 0.111390 0.111259 0.111127 40.15 40.05 Goldman Sachs Group, Inc 38147QHS8 08/02/13 08/02/28 100.000 VARIES 4.8903 0.123235 0.123079 0.122920 0.122757 0.122591 44.29 44.17 Goldman Sachs Group, Inc 38147QHT6 02/28/14 03/03/21 100.000 0.000 3.0001 0.089799 0.091146 0.092513 0.093900 0.095309 32.89 33.88 GOLDMAN SACHS GROUP INC 38147QHU3 10/30/14 11/01/21 100.000 2.000 3.0152 65.99 0.085503 0.085955 0.086413 0.086878 0.087350 30.92 31.25 Goldman Sachs Group, Inc 38147QHX7 02/28/14 08/31/21 100.000 0.000 3.1500 0.094088 0.094012 0.097075 0.096996 0.100157 34.70 35.80 Goldman Sachs Group, Inc 38147QHY5 10/30/14 11/01/21 100.000 0.000 3.0012 0.088492 0.089820 0.091167 0.092535 0.093924 32.26 33.23 Goldman Sachs Group, Inc 38147QJU1 10/16/14 10/16/29 100.000 VARIES 3.7998 0.097462 0.097385 0.097305 0.097225 0.097142 35.06 35.00 Goldman Sachs Group, Inc 38147QJW7 08/12/13 08/10/18 100.000 0.000 2.6999 0.081269 0.082366 0.083478 0.084605 29.77 18.48 Goldman Sachs Group, Inc 38147QK21 11/13/13 11/13/28 100.000 VARIES 4.9004 0.122132 0.121058 0.119957 0.120156 0.120359 43.67 43.24 Goldman Sachs Group, Inc 38147QLJ3 08/15/13 08/15/28 100.000 VARIES 4.8879 0.120732 0.120216 0.119687 0.119145 0.118591 43.23 42.84 Goldman Sachs Group, Inc 38147QLV6 11/28/14 05/27/22 100.000 0.000 3.1503 0.093145 0.094613 0.096103 0.097617 0.099154 33.90 34.97 Goldman Sachs Group, Inc 38147QLX2 02/19/14 02/19/21 100.000 0.000 3.4636 0.104836 0.106652 0.108499 0.110378 0.112290 38.55 39.90 Goldman Sachs Group, Inc 38147QM60 11/29/13 12/01/20 100.000 0.000 3.0003 0.091147 0.092514 0.093902 0.095311 0.096740 33.14 34.14 Goldman Sachs Group, Inc 38147QM78 11/21/14 11/21/29 100.000 VARIES 3.9468 0.101685 0.101578 0.101469 0.101358 0.101245 36.58 36.50 Goldman Sachs Group, Inc 38147QMB9 02/24/14 02/24/29 100.000 VARIES 4.6770 0.117267 0.116024 0.114752 0.113451 0.113509 41.67 40.92 Goldman Sachs Group, Inc 38147QMC7 11/26/14 05/26/22 100.000 0.000 3.1499 0.093140 0.094607 0.096097 0.097611 0.099148 33.90 34.97 Goldman Sachs Group, Inc 38147QME3 08/12/13 08/12/20 100.000 0.000 3.9699 0.124079 0.126542 0.129054 0.131616 0.134228 45.80 47.64 Goldman Sachs Group, Inc 38147QMF0 02/13/14 02/16/21 100.000 0.000 3.4814 0.105453 0.107288 0.109156 0.111056 0.112989 38.79 40.16 Goldman Sachs Group, Inc 38147QMJ2 08/15/13 08/15/28 100.000 VARIES 4.8904 0.123442 0.123154 0.122860 0.122558 0.122250 44.31 44.09 Goldman Sachs Group, Inc 38147QNU6 12/30/14 06/29/22 100.000 0.000 2.9500 0.086880 0.088162 0.089462 0.090781 0.092121 31.51 32.45 Goldman Sachs Group, Inc 38147QNV4 12/10/14 12/10/18 100.000 0.000 2.2404 0.065070 0.065798 0.066536 0.067281 23.59 22.69 Goldman Sachs Group, Inc 38147QNY8 12/29/14 06/28/22 100.000 0.000 2.9499 0.086877 0.088158 0.089458 0.090778 0.092117 31.51 32.45 GOLDMAN SACHS GROUP INC 38147QNZ5 11/28/14 11/29/19 100.000 1.000 2.5062 53.06 0.071759 0.072310 0.072868 0.073433 0.074005 25.97 26.37 Goldman Sachs Group, Inc 38147QPN0 08/30/13 08/30/23 100.000 VARIES 4.5507 0.127220 0.126594 0.127360 0.126591 0.127211 46.34 46.33 Goldman Sachs Group, Inc 38147QQ25 11/13/13 11/13/23 100.000 VARIES 4.2199 0.108293 0.107902 0.107503 0.108041 0.108591 38.88 38.85 Goldman Sachs Group, Inc 38147QQJ8 09/05/13 09/05/28 100.000 VARIES 5.0554 0.123200 0.122787 0.122363 0.121929 0.121484 44.18 43.87 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38147QQM1 01/30/15 08/01/22 100.000 0.000 2.4699 0.071187 0.072066 0.072956 0.073857 0.074769 26.05 26.70 Goldman Sachs Group, Inc 38147QQQ2 12/31/14 12/29/17 100.000 0.000 2.1580 0.062572 0.063247 22.52 Goldman Sachs Group, Inc 38147QQR0 01/30/15 08/01/22 100.000 0.000 2.5001 0.072089 0.072990 0.073902 0.074826 0.075761 26.39 27.05 Goldman Sachs Group, Inc 38147QQV1 01/29/15 07/29/22 100.000 0.000 2.4698 0.071180 0.072059 0.072949 0.073850 0.074762 26.05 26.70 Goldman Sachs Group, Inc 38147QRT5 03/12/14 03/12/29 100.000 VARIES 4.6444 0.123694 0.123160 0.122613 0.122053 0.122055 44.32 43.98 Goldman Sachs Group, Inc 38147QS31 01/30/15 01/30/30 100.000 VARIES 3.6879 0.098000 0.098015 0.098031 0.098047 0.098249 35.29 35.33 Goldman Sachs Group, Inc 38147QSE7 09/30/13 10/01/20 100.000 0.000 3.6700 0.113708 0.115794 0.117919 0.120083 0.122286 41.69 43.23 Goldman Sachs Group, Inc 38147QST4 03/19/14 03/19/29 100.000 VARIES 4.6202 0.116656 0.116055 0.115439 0.114810 0.115032 41.76 41.40 Goldman Sachs Group, Inc 38147QT89 02/27/15 02/28/23 100.000 0.000 2.9999 0.086662 0.086528 0.089282 0.089143 0.091980 31.93 32.89 Goldman Sachs Group, Inc 38147QT97 02/26/15 02/28/23 100.000 0.000 3.0001 0.086677 0.086543 0.089297 0.089159 0.091996 31.93 32.90 Goldman Sachs Group, Inc 38147QTP1 03/31/14 09/30/21 100.000 0.000 3.1501 0.094614 0.096104 0.097618 0.099156 0.100717 34.60 35.70 Goldman Sachs Group, Inc 38147QTT3 03/31/14 04/01/21 100.000 0.000 2.9998 0.089774 0.091121 0.092487 0.093875 0.095283 32.81 33.80 Goldman Sachs Group, Inc 38147QTV8 02/27/15 08/29/22 100.000 0.000 3.0000 0.085717 0.087481 0.088308 0.090125 0.090977 31.93 32.90 Goldman Sachs Group, Inc 38147QTX4 03/21/14 03/21/29 100.000 VARIES 4.6241 0.113601 0.113039 0.112463 0.111874 0.112203 40.68 40.35 Goldman Sachs Group, Inc 38147QU79 02/17/15 02/17/30* 100.000 VARIES 3.4969 0.094938 0.094180 0.094074 29.79* Goldman Sachs Group, Inc 38147QUR5 02/27/15 02/27/30 100.000 VARIES 3.6524 0.096479 0.096466 0.096454 0.096441 0.096649 34.73 34.75 Goldman Sachs Group, Inc 38147QUW4 09/20/13 09/20/28 100.000 VARIES 5.0884 0.127419 0.126947 0.126462 0.125966 0.125456 45.69 45.34 Goldman Sachs Group, Inc 38147QV45 02/27/15 02/27/30 100.000 VARIES 3.4811 0.091185 0.091054 0.090921 0.090786 0.090867 32.77 32.70 Goldman Sachs Group, Inc 38147QV78 03/30/15 03/30/23 100.000 0.000 2.8001 0.081094 0.082229 0.083380 0.084548 0.085731 29.61 30.44 Goldman Sachs Group, Inc 38147QV86 02/27/15 02/28/25 100.000 0.000 2.9501 0.085162 0.085009 0.087692 0.087535 0.090299 31.37 32.30 Goldman Sachs Group, Inc 38147QV94 03/27/15 03/27/23 100.000 0.000 3.1002 0.090182 0.091580 0.093000 0.094441 0.095905 32.98 34.01 Goldman sachs Group, Inc 38147QVJ2 09/27/13 09/27/19 100.000 0.000 3.0000 0.091121 0.092488 0.093875 0.095283 0.096713 33.31 34.32 Goldman Sachs Group, Inc 38147QVM5 03/31/15 09/29/22 100.000 0.000 2.8501 0.082596 0.083773 0.084967 0.086178 0.087406 30.16 31.03 Goldman Sachs Group, Inc 38147QVU7 03/12/15 03/12/21 100.000 0.000 2.7499 0.079580 0.080674 0.081783 0.082908 0.084048 29.09 29.89 Goldman Sachs Group, Inc 38147QW77 03/31/15 04/01/21 100.000 0.000 2.1498 0.061666 0.062329 0.062999 0.063676 0.064361 22.44 22.92 Goldman Sachs Group, Inc 38147QWX0 03/31/14 03/31/29 100.000 VARIES 4.5514 0.116035 0.115721 0.115400 0.115072 0.115330 41.66 41.48 Goldman Sachs Group, Inc 38147QXA9 10/31/13 11/03/20 100.000 0.000 3.3503 0.102277 0.102294 0.105732 0.105750 0.109304 37.54 38.81 Goldman Sachs Group, Inc 38147QXD3 04/24/15 04/24/23 100.000 0.000 3.0000 0.087141 0.088448 0.089775 0.091122 0.092489 31.78 32.74 Goldman Sachs Group, Inc 38147QXF8 03/31/14 03/31/29 100.000 VARIES 4.5507 0.113627 0.112831 0.112017 0.111185 0.111365 40.62 40.12 Goldman Sachs Group, Inc 38147QXK7 03/28/14 06/30/20 100.000 0.000 2.7499 0.082359 0.083491 0.084639 0.085803 0.086982 29.86 30.68 Goldman Sachs Group, Inc 38147QXQ4 03/27/15 09/27/22 100.000 0.000 2.9999 0.087136 0.088443 0.089769 0.091116 0.092483 31.85 32.81 Goldman Sachs Group, Inc 38147QXX9 03/31/15 03/31/25 100.000 VARIES 3.3914 0.094051 0.093997 0.093942 0.093887 0.094035 33.84 33.82 Goldman Sachs Group, Inc 38147QXY7 04/30/15 05/02/23 100.000 0.000 2.5999 0.075083 0.076059 0.077048 0.078049 0.079064 27.32 28.04 Goldman Sachs Group, Inc 38147QY34 04/30/15 11/02/22 100.000 0.000 3.0000 0.087154 0.088462 0.089788 0.091135 0.092502 31.77 32.73 Goldman Sachs Group, Inc 38147QY59 04/03/15 04/03/20 100.000 VARIES 2.4873 0.069511 0.069592 0.069576 0.069559 0.069470 25.04 25.04 Goldman Sachs Group, Inc 38147QYN0 10/17/13 10/17/23 100.000 VARIES 3.9815 0.112234 0.112369 0.112506 0.112515 0.112524 40.45 40.51 Goldman Sachs Group, Inc 38147QYV2 05/08/15 05/08/23 100.000 0.000 2.9999 0.087138 0.088445 0.089772 0.091118 0.092485 31.74 32.70 Goldman Sachs Group, Inc 38147QZ25 12/31/13 12/31/20 100.000 0.000 3.1012 0.094476 0.095941 0.097429 0.098939 0.100473 34.28 35.35 Goldman Sachs Group, Inc 38147QZQ2 06/01/15 05/30/23 100.000 0.000 3.1502 0.091698 0.093142 0.094609 0.096099 0.097613 33.36 34.42 Goldman Sachs Group, Inc 38147QZR0 04/30/15 04/30/30 100.000 VARIES 3.7833 0.010520 0.010231 0.010278 0.009988 0.010027 3.77 3.68 Goldman Sachs Group, Inc 38148T2C2 05/29/15 06/01/23 100.000 0.000 3.2499 0.094766 0.096306 0.097871 0.099461 0.101077 34.49 35.62 Goldman Sachs Group, Inc 38148T2E8 05/07/15 05/07/25 100.000 VARIES 3.7599 0.014978 0.015259 0.015546 0.015839 0.015893 5.47 5.67 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38148T2H1 05/29/15 12/01/22 100.000 0.000 3.1002 0.090200 0.091598 0.093018 0.094460 0.095924 32.81 33.83 Goldman Sachs Group, Inc 38148T2V0 05/11/15 05/11/30 100.000 VARIES 3.7443 0.100190 0.098870 0.098403 0.097928 0.097443 35.74 35.29 Goldman Sachs Group, Inc 38148T3L1 05/29/15 05/30/25 100.000 0.000 3.5000 0.102425 0.104217 0.106041 0.107897 0.109785 37.31 38.62 Goldman Sachs Group, Inc 38148T3N7 06/10/15 06/10/25 100.000 VARIES 3.9250 0.012514 0.012759 0.012909 0.013062 0.013217 4.56 4.68 Goldman Sachs Group, Inc 38148T3V9 06/30/15 06/29/23 100.000 0.000 3.3498 0.097796 0.099434 0.101099 0.102792 0.104514 35.51 36.71 Goldman Sachs Group, Inc 38148T3Z0 06/05/15 06/05/20 100.000 0.000 2.4000 0.069095 0.069924 0.070763 0.071612 0.072471 25.07 25.67 Goldman Sachs Group, Inc 38148T4E6 06/30/15 12/30/22 100.000 0.000 3.2498 0.094745 0.096285 0.097849 0.099439 0.101055 34.39 35.52 Goldman Sachs Group, Inc 38148T4F3 06/26/15 06/26/23 100.000 0.000 3.2500 0.094750 0.096290 0.097854 0.099444 0.101060 34.40 35.53 Goldman Sachs Group, Inc 38148T4Y2 06/15/15 06/15/25 100.000 VARIES 4.3491 0.117158 0.116736 0.116801 0.116868 0.117135 42.10 42.07 Goldman Sachs Group, Inc 38148T5T2 07/07/15 07/07/23 100.000 0.000 3.3501 0.096202 0.097814 0.099452 0.101118 0.102812 35.49 36.69 Goldman Sachs Group, Inc 38148T5U9 07/07/15 07/08/25 100.000 0.000 3.6499 0.105132 0.107051 0.109005 0.110994 0.113020 38.86 40.29 Goldman Sachs Group, Inc 38148T6A2 06/26/15 06/28/18 100.000 0.000 2.2506 0.064659 0.065387 0.066123 23.41 11.70 Goldman Sachs Group, Inc 38148T6B0 06/26/15 06/27/19 100.000 0.000 2.5500 0.073584 0.074522 0.075472 0.076435 0.077409 26.67 27.35 Goldman Sachs Group, Inc 38148T6Q7 07/31/15 01/31/23 100.000 0.000 3.2500 0.093236 0.094751 0.096291 0.097856 0.099446 34.30 35.42 Goldman Sachs Group, Inc 38148T6S3 07/31/15 02/02/23 100.000 0.000 3.2489 0.093219 0.094733 0.096272 0.097836 0.099425 34.29 35.41 Goldman Sachs Group, Inc 38148T7B9 07/30/15 08/01/23 100.000 0.000 3.3498 0.096202 0.097814 0.099452 0.101118 0.102811 35.41 36.61 Goldman Sachs Group, Inc 38148T7C7 07/31/15 02/02/23 100.000 0.000 3.2489 0.093219 0.094733 0.096272 0.097836 0.099425 34.29 35.41 Goldman Sachs Group, Inc 38148TA58 07/31/15 07/31/20 100.000 0.000 2.5002 0.071196 0.072086 0.072987 0.073900 0.074824 26.06 26.72 Goldman Sachs Group, Inc 38148TAE9 07/31/15 07/31/25 100.000 0.000 3.7000 0.106616 0.108588 0.110597 0.112643 0.114727 39.34 40.81 Goldman Sachs Group, Inc 38148TAG4 07/22/15 07/21/22 100.000 0.000 3.1500 0.090269 0.091691 0.093135 0.094602 0.096092 33.21 34.27 Goldman Sachs Group, Inc 38148TAK5 07/29/15 07/29/27 100.000 VARIES 3.9238 0.010105 0.010062 0.010018 0.009973 0.009927 3.62 3.58 Goldman Sachs Group, Inc 38148TAY5 08/04/15 08/04/21 100.000 0.000 2.8500 0.081439 0.082600 0.083777 0.084971 0.086181 29.87 30.73 Goldman Sachs Group, Inc 38148TB57 08/31/15 03/02/23 100.000 0.000 3.1988 0.091737 0.093204 0.094695 0.096210 0.097748 33.64 34.73 Goldman Sachs Group, Inc 38148TB65 08/31/15 08/29/25 100.000 0.000 3.5990 0.103593 0.105457 0.107355 0.109287 0.111253 38.09 39.47 Goldman Sachs Group, Inc 38148TB73 08/31/15 03/02/23 100.000 0.000 3.1988 0.091737 0.093204 0.094695 0.096210 0.097748 33.64 34.73 Goldman Sachs Group, Inc 38148TB81 08/28/15 08/30/23 100.000 0.000 3.3014 0.093733 0.094759 0.096853 0.097913 0.100077 34.79 35.95 Goldman Sachs Group, Inc 38148TBA6 08/28/15 02/28/23 100.000 0.000 3.1965 0.091170 0.091117 0.094108 0.094053 0.097140 33.63 34.71 Goldman Sachs Group, Inc 38148TBN8 08/26/15 08/26/25 100.000 VARIES 3.9131 0.008320 0.008482 0.008648 0.008818 0.008990 3.07 3.19 Goldman Sachs Group, Inc 38148TCH0 09/02/15 09/03/25 100.000 2.000 3.6202 0.102190 0.103034 0.103894 0.104769 0.105660 37.14 37.77 Goldman Sachs Group, Inc 38148TD63 09/25/15 09/25/23 100.000 0.000 3.2499 0.093232 0.094747 0.096287 0.097851 0.099441 34.13 35.25 Goldman Sachs Group, Inc 38148TD89 09/30/15 07/03/23 100.000 0.000 3.2490 0.092485 0.093988 0.095515 0.097066 0.098643 34.10 35.22 Goldman Sachs Group, Inc 38148TD97 09/30/15 09/28/23 100.000 0.000 3.2992 0.094676 0.096238 0.097825 0.099439 0.101079 34.66 35.81 Goldman Sachs Group, Inc 38148TDA4 09/30/15 09/30/25 100.000 0.000 3.6001 0.103635 0.105500 0.107400 0.109333 0.111301 37.99 39.37 Goldman Schs Group, Inc. 38148TDB2 09/29/15 09/28/23 100.000 0.000 3.3000 0.094708 0.096271 0.097860 0.099474 0.101116 34.67 35.82 Goldman Sachs Group, Inc 38148TDE6 09/08/15 09/07/22 100.000 0.000 3.1000 0.088793 0.090169 0.091567 0.092986 0.094427 32.53 33.55 Goldman Sachs Group, Inc 38148TEP0 09/30/15 09/30/25 100.000 VARIES 3.7872 0.009724 0.009908 0.010096 0.010287 0.010482 3.57 3.70 Goldman Sachs Group, Inc 38148TF46 09/24/15 09/24/22 100.000 VARIES 3.2799 0.093662 0.094970 0.096300 0.097651 0.099025 34.21 35.18 Goldman Sachs Group, Inc 38148TFK0 10/30/15 10/30/23 100.000 0.000 3.1502 0.090283 0.091705 0.093150 0.094617 0.096107 32.93 33.98 Goldman Sachs Group, Inc 38148TFN4 10/30/15 11/01/23 100.000 0.000 3.1491 0.090258 0.091680 0.093123 0.094589 0.096079 32.92 33.97 Goldman Sachs Group, Inc 38148TFP9 10/30/15 10/30/25 100.000 0.000 3.4498 0.099163 0.100874 0.102614 0.104384 0.106184 36.22 37.48 Goldman Sachs Group, Inc 38148TFV6 10/29/15 10/31/23 100.000 0.000 3.1500 0.090295 0.091717 0.093161 0.094629 0.096119 32.94 33.98 Goldman Sachs Group, Inc 38148TGL7 10/30/15 10/30/25 100.000 VARIES 3.6654 0.008099 0.008160 0.008222 0.008285 0.008350 2.93 2.98 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38148TGM5 10/22/15 10/22/27 100.000 VARIES 3.9047 0.013280 0.013085 0.012887 0.012684 0.012478 4.72 4.57 Goldman Sachs Group, Inc 38148TGT0 11/30/15 11/28/25 100.000 0.000 3.4490 0.099120 0.100829 0.102568 0.104337 0.106136 36.10 37.36 Goldman Sachs Group, Inc 38148TGU7 11/30/15 12/09/22* 100.000 0.000 2.9488 0.084407 0.085652 28.75* Goldman Sachs Group, Inc 38148TGX1 11/10/15 11/10/26 100.000 VARIES 3.8760 0.010530 0.010517 0.010503 0.010489 0.010475 3.79 3.78 Goldman Sachs Group, Inc 38148TGZ6 11/27/15 11/29/23 100.000 0.000 3.1499 0.090292 0.091714 0.093158 0.094626 0.096116 32.85 33.90 Goldman Sachs Group, Inc 38148TH44 11/30/15 11/28/23 100.000 0.000 3.1488 0.090227 0.091648 0.093091 0.094556 0.096045 32.83 33.87 GOLDMAN SACHS GROUP INC 38148THG7 11/10/15 11/10/21 100.000 1.750 2.8620 32.80 0.080390 0.080845 0.081306 0.081774 0.082249 29.07 29.40 Goldman Sachs Group, Inc 38148THX0 11/18/15 11/18/25 100.000 VARIES 3.7095 0.007342 0.007454 0.007568 0.007684 0.007802 2.67 2.76 Goldman Sachs Group, Inc 38148TJ26 11/30/15 11/29/23 100.000 0.000 3.1489 0.090238 0.091658 0.093102 0.094567 0.096056 32.83 33.87 Goldman Sachs Group, Inc 38148TJ59 11/27/15 11/27/30 100.000 VARIES 3.8941 0.105710 0.104444 0.103154 0.102752 0.102343 37.74 37.04 Goldman Sachs Group, Inc 38148TJN0 12/31/15 07/03/24 100.000 0.000 3.2988 0.093172 0.094708 0.096270 0.097858 0.099472 34.37 35.51 Goldman Sachs Group, Inc 38148TJP5 12/31/15 01/02/26 100.000 0.000 3.4990 0.098915 0.100646 0.102407 0.104198 0.106021 36.55 37.84 Goldman Sachs Group, Inc 38148TJT7 12/31/15 01/12/23* 100.000 0.000 2.7990 0.078910 0.87* Goldman Sachs Group, Inc 38148TJU4 12/29/15 12/29/23 100.000 0.000 3.0000 0.085853 0.087141 0.088448 0.089775 0.091122 31.14 32.09 Goldman Sachs Group, Inc 38148TJY6 12/28/15 12/26/23 100.000 0.000 3.2000 0.091739 0.093207 0.094699 0.096214 0.097753 33.31 34.38 Goldman Sachs Group, Inc 38148TKG3 12/31/15 12/31/30* 100.000 VARIES 3.9932 0.108342 0.107014 38.76* Goldman Sachs Group, Inc 38148TLJ6 02/16/16 02/16/26 100.000 VARIES 3.7570 5.74 0.018151 0.018022 0.017890 0.017756 0.017619 6.48 6.38 Goldman Sachs Group, Inc 38148TNV7 09/29/16 09/29/26 100.000 VARIES 2.3290 0.45 0.004915 0.004456 0.003991 0.004037 0.004084 1.60 1.45 Goldman Sachs Group, Inc 38148TP94 11/18/16 11/18/26 100.000 VARIES 2.2302 0.38 0.008950 0.008145 0.007331 0.007413 0.007495 3.01 2.66 Goldman Sachs Group, Inc 38150A2F1 02/21/17 02/21/27 100.000 VARIES 3.8872 0.107978 0.107917 0.107855 0.107792 33.47 38.82 Goldman Sachs Group, Inc 38150A2Z7 04/28/17 04/28/27 100.000 VARIES 3.6989 0.010831 0.010676 0.010519 0.010358 2.62 3.80 Goldman Sachs Group, Inc 38150A3C7 05/19/17 05/19/27 100.000 VARIES 3.6688 0.010994 0.010723 0.010447 0.010167 2.43 3.79 GOLDMAN SACHS GROUP INC 38150A3E3 05/31/17 05/31/37 100.000 0.000 4.1400 0.114999 0.117379 0.119809 0.122289 24.34 42.85 GOLDMAN SACHS GROUP INC 38150A3S2 07/10/17 07/10/27 100.000 VARIES 3.6160 0.100444 0.100000 0.099548 17.18 35.93 GOLDMAN SACHS GROUP INC 38150A3U7 08/02/17 08/02/27 100.000 VARIES 3.5643 0.099007 0.098792 0.098572 14.75 35.54 GOLDMAN SACHS GROUP INC 38150A3Z6 08/15/17 08/15/24 100.000 VARIES 3.1510 0.087526 0.087482 0.087437 11.90 31.49 GOLDMAN SACHS GROUP INC 38150A4K8 09/22/17 09/22/27 100.000 VARIES 3.5451 0.098475 0.098251 0.098023 9.75 35.37 Goodrich Petroleum Corp. 382410AR9 10/12/16 08/30/19 74.590 0.000 24.6087 40.85 0.504276 0.548650 0.619543 0.691972 0.781384 206.47 259.46 Goodrich Petroleum Corp. 382410AT5 10/12/16 08/30/19 74.590 0.000 24.6243 40.43 0.499111 0.554575 0.612700 0.699542 0.772861 206.53 259.53 Goodrich Petroleum Corp. 382410AU2 10/12/16 08/30/19 74.590 0.000 24.6087 40.85 0.504276 0.548650 0.619543 0.691972 0.781384 206.47 259.46 Great Plains Energy, Inc 391164AF7 03/22/12 06/15/22 103.480 VARIES 4.8564 0.136194 0.135228 0.135743 0.134768 0.135269 49.53 49.36 Greene & Scott CUNTS, IL 394290CD0 06/01/16 12/01/18 104.620 VARIES 1.8303 11.18 0.053677 0.054169 0.051805 0.051325 19.36 17.01 Greene & Scott CUNTS, IL 394290CE8 06/01/16 12/01/19 107.218 VARIES N/A 13.04 0.062645 0.063298 0.060270 0.059668 0.059061 22.60 21.55 Grundy Counties, IL 400186AF9 06/30/16 12/01/17 100.000 0.000 1.9323 9.73 0.054111 0.054634 17.95 Grundy Counties, IL 400186AG7 06/30/16 12/01/18 100.000 VARIES 2.2360 11.26 0.062694 0.063395 0.062120 0.062116 22.68 20.50 Grundy CNTY SD #72-C, IL 400292BF4 11/01/12 12/01/17 107.117 VARIES 2.4939 0.070299 0.069790 23.11 Grundy CNTY SD #72-C, IL 400292BG2 11/01/12 12/01/18 108.347 VARIES 2.7441 0.078445 0.077901 0.077350 0.076792 28.11 25.43 Grundy CNTY SD #72-C, IL 400292BH0 11/01/12 12/01/19 107.921 VARIES 2.9942 0.086149 0.085671 0.085186 0.084694 0.084195 30.90 30.55 GS Finance Corp. 40054CAB0 12/31/15 01/03/23 100.000 0.000 2.7988 0.078852 0.079955 0.081074 0.082209 0.083359 28.98 29.80 GS Finance Corp. 40054CAD6 01/29/16 07/31/24 100.000 0.000 3.3498 31.23 0.094625 0.096210 0.097822 0.099460 0.101126 34.83 36.01 GS Finance Corp. 40054CAE4 01/29/16 01/29/26 100.000 0.000 3.6001 33.47 0.101803 0.103635 0.105500 0.107400 0.109333 37.54 38.90 GS Finance Corp. 40054CAF1 01/29/16 01/29/24 100.000 0.000 3.0501 28.33 0.086018 0.087330 0.088662 0.090014 0.091387 31.60 32.58 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054CAH7 01/29/16 02/09/23* 100.000 0.000 3.1498 29.27 0.088950 3.47* GF Finance Corp. 40054CAM6 01/28/16 07/28/23 100.000 0.000 2.9500 27.47 0.083153 0.084379 0.085624 0.086887 0.088168 30.53 31.44 GS Finance Corp. 40054CBT0 02/18/16 02/17/22 100.000 0.000 2.8500 24.93 0.080290 0.081434 0.082594 0.083771 0.084965 29.42 30.26 GS Finance Corp. 40054CBU7 02/26/16 02/28/23 100.000 0.000 2.7500 23.45 0.077028 0.076814 0.079161 0.078941 0.081353 28.34 29.12 GS Finance Corp. 40054CCA0 02/29/16 03/10/23* 100.000 0.000 3.0997 26.09 0.087512 5.95* GS Finance Corp. 40054CCB8 02/29/16 02/29/24 100.000 0.000 3.3000 27.90 0.092665 0.092659 0.095749 0.095742 0.098935 34.20 35.34 GS Finance Corp. 40054K2A3 02/29/16 02/27/26 100.000 0.000 3.6002 30.32 0.101775 0.103607 0.105472 0.107370 0.109303 37.43 38.79 GS Finance Corp. 40054K2B1 02/29/16 03/01/22 100.000 0.000 2.8998 24.50 0.081273 0.081107 0.083647 0.083476 0.086090 29.92 30.80 GS Finance Corp. 40054K2C9 02/29/16 08/29/19 100.000 0.000 2.2479 19.00 0.062109 0.063152 0.063513 0.064579 0.064948 23.04 23.56 GS Finance Corp. 40054K2H8 02/26/16 08/28/23 100.000 0.000 3.2000 27.29 0.090327 0.091772 0.093240 0.094732 0.096248 33.14 34.20 GS Finance Corp. 40054K2W5 02/29/16 02/28/31* 100.000 VARIES 3.9928 33.38 0.109096 0.106110 25.43* GS Finance Corp. 40054K3B0 02/12/16 02/12/31* 100.000 VARIES 4.0932 36.08 0.112341 0.110954 14.70* GS Finance Corp. 40054K7D2 04/29/16 05/01/23 100.000 0.000 2.8501 19.23 0.080312 0.081456 0.082617 0.083794 0.084989 29.26 30.10 GS Finance Corp. 40054K7G5 04/29/16 07/30/20 100.000 0.000 2.1997 14.84 0.061443 0.062119 0.062802 0.063493 0.064191 22.45 22.94 GS Finance Corp. 40054K7H3 04/29/16 04/29/22 100.000 0.000 2.6000 17.54 0.073160 0.074111 0.075075 0.076051 0.077040 26.63 27.32 GS Finance Corp. 40054K7J9 04/29/16 05/01/24 100.000 0.000 3.0000 20.25 0.084598 0.085867 0.087155 0.088463 0.089790 30.84 31.77 GS Finance Corp. 40054K7K6 04/29/16 04/30/26 100.000 0.000 3.2999 22.28 0.093185 0.094722 0.096285 0.097874 0.099489 34.01 35.14 GS Finance Corp. 40054K7L4 04/28/16 04/30/24 100.000 0.000 3.0000 20.33 0.084598 0.085867 0.087155 0.088463 0.089790 30.84 31.77 GS Finance Corp. 40054KA89 04/29/16 05/10/23 100.000 0.000 2.8500 19.23 0.080366 0.081511 0.082673 0.083851 0.085046 29.26 30.10 GS Finance Corp. 40054KAB2 04/29/16 04/27/23 100.000 1.250 2.8316 19.07 0.079271 0.079902 0.080542 0.081190 0.081848 28.73 29.20 GS Finance Corp. 40054KAE6 04/28/16 01/28/22 100.000 0.000 2.5498 17.28 0.071281 0.072189 0.073110 0.074042 0.074986 26.10 26.77 GS Finance Corp. 40054KAG1 04/29/16 04/30/20 100.000 0.000 2.1495 14.49 0.060354 0.061002 0.061658 0.062321 0.062991 21.92 22.40 GS Finance Corp. 40054KB21 04/28/16 04/28/26 100.000 VARIES 3.2494 21.89 0.089574 0.088876 0.088550 0.088218 0.088136 32.06 31.79 GS Finance Corp. 40054KB62 05/31/16 05/31/23 100.000 0.000 2.8999 17.03 0.081721 0.082906 0.084108 0.085327 0.086565 29.71 30.57 GS Finance Corp. 40054KB70 05/31/16 05/28/21 100.000 0.000 2.4003 14.09 0.067466 0.068276 0.069095 0.069925 0.070764 24.49 25.08 GS Finance Corp. 40054KBA3 05/27/16 05/30/24 100.000 0.000 2.8998 17.28 0.081736 0.082921 0.084124 0.085343 0.086581 29.71 30.58 GS Finance Corp. 40054KBP0 05/27/16 05/30/23 100.000 0.000 2.8998 17.34 0.081285 0.081119 0.083659 0.083488 0.086102 29.71 30.58 GS Finance Corp. 40054KBQ8 05/31/16 12/01/20 100.000 0.000 2.3000 13.50 0.064627 0.065370 0.066122 0.066882 0.067651 23.44 23.99 GS Finance Corp. 40054KBR6 05/31/16 08/30/22 100.000 0.000 N/A 15.92 0.073914 0.076154 0.075925 0.078226 0.077990 27.64 28.39 GS Finance Corp. 40054KBS4 05/31/16 05/31/24 100.000 0.000 3.0499 17.92 0.086013 0.087324 0.088656 0.090008 0.091381 31.28 32.24 GS Finance Corp. 40054KBT2 05/31/16 05/29/26 100.000 0.000 3.2989 19.38 0.093139 0.094675 0.096237 0.097824 0.099438 33.91 35.03 GS Finance Corp. 40054KBV7 05/31/16 06/09/23* 100.000 0.000 2.9002 17.04 0.081788 13.00* GS FINANCE CORP 40054KBW5 05/31/16 05/29/23 100.000 1.250 2.9093 17.07 0.081477 0.082158 0.082848 0.083548 0.084258 29.50 30.00 GS Finance Corp. 40054KCL8 05/19/16 05/19/31* 100.000 VARIES 3.5944 22.12 0.098771 0.097678 31.11* GS Finance Corp. 40054KD29 06/29/16 06/27/24 100.000 0.000 2.7999 14.16 0.078852 0.079956 0.081076 0.082211 0.083362 28.59 29.40 GS Finance Corp. 40054KD78 06/02/16 06/01/20 100.000 0.000 2.2001 12.79 0.061781 0.062461 0.063148 0.063843 0.064545 22.40 22.90 GS Finance Corp. 40054KD86 06/24/16 06/26/23 100.000 0.000 2.6499 13.77 0.074593 0.075582 0.076583 0.077598 0.078626 27.04 27.76 GS Finance Corp. 40054KD94 06/30/16 09/30/22 100.000 0.000 2.4488 12.35 0.068438 0.069276 0.070124 0.070983 0.071852 24.94 25.56 GS Finance Corp. 40054KDA1 06/03/16 06/05/23 100.000 0.000 3.0002 17.37 0.084604 0.085873 0.087161 0.088469 0.089796 30.75 31.68 GS Finance Corp. 40054KDD5 06/30/16 12/31/20 100.000 0.000 1.9909 10.01 0.055852 0.056408 0.056970 0.057537 0.058109 20.21 20.61 GS Finance Corp. 40054KDE3 06/30/16 07/02/24 100.000 0.000 2.7499 13.83 0.076398 0.077448 0.078513 0.079592 0.080687 28.07 28.85 GS Finance Corp. 40054KDF0 06/30/16 07/02/26 100.000 0.000 3.0000 15.09 0.083347 0.084598 0.085867 0.087155 0.088462 30.68 31.61 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40054KDJ2 06/30/16 06/28/23 100.000 1.250 2.6041 13.09 0.072815 0.073311 0.073813 0.074322 0.074838 26.31 26.67 GS Finance Corp. 40054KDK9 06/30/16 07/01/21 100.000 0.000 2.1388 10.75 0.059718 0.059372 0.061002 0.060649 21.73 22.20 GS Finance Corp. 40054KDL7 06/30/16 09/30/22 100.000 0.000 2.4488 12.35 0.068438 0.069276 0.070124 0.070983 0.071852 24.94 25.56 GS Finance Corp. 40054KDM5 06/30/16 07/12/23 100.000 0.000 2.6003 13.08 0.072293 0.073233 0.074185 0.075149 0.076126 26.51 27.21 GS Finance Corp. 40054KDT0 06/09/16 06/09/23 100.000 0.000 2.9998 16.86 0.084578 0.085847 0.087134 0.088441 0.089768 30.73 31.66 GS FINANCE CORP 40054KDV5 06/17/16 06/15/23 100.000 2.000 2.6630 14.35 0.074205 0.074454 0.074705 0.074960 0.075219 26.77 26.95 GS Finance Corp. 40054KDX1 06/30/16 07/02/20 100.000 0.000 1.9105 9.61 0.053076 0.053583 0.054095 0.054611 0.055133 19.38 19.75 GS Finance Corp. 40054KEY8 07/29/16 05/01/23 100.000 0.000 2.4799 10.50 0.069324 0.070183 0.071054 0.071935 0.072827 25.22 25.84 GS Finance Corp. 40054KEZ5 07/29/16 04/29/21 100.000 0.000 2.0500 8.67 0.057235 0.057822 0.058415 0.059013 0.059618 20.78 21.21 GS Finance Corp. 40054KF27 07/29/16 05/01/25 100.000 0.000 2.7700 11.73 0.077489 0.078563 0.079651 0.080754 0.081872 28.22 29.01 GS Finance Corp. 40054KF35 07/29/16 07/30/26 100.000 0.000 2.9298 12.37 0.081390 0.082582 0.083792 0.085020 0.086265 29.88 30.76 GS Finance Corp. 40054KF43 07/29/16 07/29/21 100.000 0.000 2.1200 8.99 0.057608 0.059183 0.058836 0.060445 0.060089 21.50 21.96 GS Finance Corp. 40054KF50 07/29/16 08/09/23 100.000 0.000 2.5301 10.69 0.070329 0.071219 0.072120 0.073032 0.073956 25.73 26.39 GS Finance Corp. 40054KF84 07/29/16 07/31/23 100.000 0.000 2.6502 11.27 0.073628 0.074604 0.075592 0.076594 0.077609 26.98 27.70 GS Finance Corp. 40054KFB7 07/28/16 07/30/24 100.000 0.000 2.6502 11.27 0.073628 0.074603 0.075592 0.076594 0.077609 26.98 27.70 GS Finance Corp. 40054KFC5 07/26/16 07/24/20 100.000 0.000 2.0961 9.02 0.058225 0.058829 0.059445 0.060068 0.060698 21.26 21.71 GS Finance Corp. 40054KG26 07/12/16 08/04/17 100.000 0.000 1.2498 5.87 0.034742 0.034959 7.44 GS Finance Corp. 40054KGJ9 08/31/16 06/01/21 100.000 0.000 1.9502 6.56 0.054439 0.054970 0.055506 0.056047 0.056594 19.73 20.11 GS Finance Corp. 40054KGK6 08/31/16 06/01/22 100.000 0.000 2.1998 7.40 0.061446 0.062122 0.062805 0.063496 0.064194 22.28 22.78 GS Finance Corp. 40054KGL4 08/31/16 06/01/23 100.000 0.000 2.3999 8.08 0.067069 0.067874 0.068688 0.069513 0.070347 24.34 24.93 GS Finance Corp. 40054KGM2 08/31/16 05/30/25 100.000 0.000 2.6499 8.92 0.074096 0.075078 0.076072 0.077080 0.078102 26.91 27.63 GS Finance Corp. 40054KGN0 08/31/16 09/12/23 100.000 0.000 2.4502 8.24 0.068116 0.068950 0.069795 0.070650 0.071515 24.85 25.47 GS Finance Corp. 40054KGP5 08/31/16 08/31/26 100.000 0.000 2.8001 9.51 0.077352 0.077156 0.079533 0.079331 0.081775 28.47 29.27 GS Finance Corp. 40054KGQ3 08/31/16 08/31/21 100.000 0.000 2.0001 6.80 0.055253 0.054895 0.056363 0.055999 0.057496 20.24 20.64 GS Finance Corp. 40054KGR1 08/04/16 08/06/26 100.000 0.000 2.8502 11.64 0.079186 0.080314 0.081459 0.082620 0.083797 29.04 29.87 GS Finance Corp. 40054KGT7 08/26/16 08/28/23 100.000 0.000 2.5001 8.68 0.069457 0.070326 0.071205 0.072095 0.072996 25.38 26.01 GS Finance Corp. 40054KH41 08/30/16 08/29/24 100.000 0.000 2.5993 8.81 0.071019 0.072332 0.072872 0.074225 0.074779 26.39 27.08 GS Finance Corp. 40054KHR0 08/24/16 08/24/26 100.000 0.000 2.8998 10.23 0.080550 0.081718 0.082902 0.084104 0.085324 29.51 30.37 GS Finance Corp. 40054KJ72 09/30/16 10/02/23 100.000 0.000 2.6002 6.57 0.072239 0.073178 0.074130 0.075093 0.076070 26.34 27.03 GS Finance Corp. 40054KJA5 09/30/16 09/30/21 100.000 0.000 2.0998 5.31 0.058327 0.058939 0.059558 0.060183 0.060815 21.22 21.67 GS Finance Corp. 40054KJB3 09/30/16 06/30/22 100.000 0.000 2.1888 5.53 0.061132 0.061802 0.062478 0.063162 0.063853 22.13 22.62 GS Finance Corp. 40054KJC1 09/30/16 10/02/23 100.000 0.000 2.5002 6.32 0.069461 0.070329 0.071208 0.072099 0.073000 25.32 25.95 GS Finance Corp. 40054KJD9 09/30/16 10/02/25 100.000 0.000 2.8001 7.08 0.077793 0.078882 0.079986 0.081106 0.082241 28.40 29.20 GS Finance Corp. 40054KJE7 09/30/16 10/01/26 100.000 0.000 3.0000 7.58 0.083341 0.084591 0.085860 0.087148 0.088455 30.45 31.37 GS Finance Corp. 40054KJF4 09/30/16 09/30/21 100.000 0.000 2.0998 5.31 0.058327 0.058939 0.059558 0.060183 0.060815 21.22 21.67 GS Finance Corp. 40054KJG2 09/30/16 10/12/23 100.000 0.000 2.5000 6.32 0.069504 0.070372 0.071252 0.072143 0.073044 25.32 25.95 GS Finance Corp. 40054KJJ6 09/29/16 10/01/24 100.000 0.000 2.7000 6.90 0.075012 0.076025 0.077051 0.078092 0.079146 27.37 28.11 GS Finance Corp. 40054KJY3 09/30/16 10/01/20 100.000 0.000 1.8997 4.80 0.052772 0.053274 0.053780 0.054291 0.054806 19.18 19.55 GS Finance Corp. 40054KL87 10/28/16 10/30/24 100.000 0.000 2.7498 4.81 0.076395 0.077445 0.078510 0.079589 0.080684 27.82 28.59 GS Finance Corp. 40054KLC8 10/31/16 11/09/23 100.000 0.000 2.6003 4.41 0.072277 0.073217 0.074169 0.075133 0.076110 26.29 26.98 GS Finance Corp. 40054KLF1 10/31/16 07/29/21 100.000 0.000 2.1986 3.73 0.061073 0.061405 0.062080 0.062763 0.063453 22.20 22.68 GS Finance Corp. 40054KLG9 10/31/16 10/31/22 100.000 0.000 2.4001 4.07 0.066669 0.067469 0.068279 0.069098 0.069927 24.24 24.83 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054KLJ3 10/28/16 10/30/23 100.000 0.000 2.5999 4.55 0.072229 0.073168 0.074119 0.075082 0.076059 26.29 26.97 GS Finance Corp. 40054KLQ7 10/31/16 10/31/23 100.000 0.000 2.6000 4.41 0.072223 0.073162 0.074113 0.075076 0.076052 26.28 26.97 GS Finance Corp. 40054KLR5 10/31/16 10/29/26 100.000 0.000 2.9991 5.08 0.083309 0.084552 0.085820 0.087107 0.088413 30.37 31.29 GS Finance Corp. 40054KLS3 10/31/16 07/29/21 100.000 0.000 2.1986 3.73 0.061073 0.061405 0.062080 0.062763 0.063453 22.20 22.68 GS Finance Corp. 40054KNB8 11/28/16 12/07/23* 100.000 0.000 3.0602 2.81 0.085072 0.086374 28.82* GS Finance Corp. 40054KNC6 11/28/16 11/28/23 100.000 0.000 3.0998 2.84 0.086105 0.087440 0.088795 0.090171 0.091569 31.33 32.31 GS Finance Corp. 40054KNF9 11/28/16 11/28/23 100.000 0.000 3.0601 2.81 0.085002 0.086303 0.087624 0.088964 0.090325 30.92 31.87 GS Finance Corp. 40054KNH5 11/28/16 11/27/26 100.000 0.000 3.4699 3.18 0.096387 0.098050 0.099751 0.101482 0.103243 35.11 36.34 GS Finance Corp. 40054KNK8 11/28/16 08/27/20 100.000 0.000 2.0498 1.88 0.056939 0.057228 0.057814 0.058407 0.059006 20.66 21.07 GS Finance Corp. 40054KNL6 11/28/16 08/26/21 100.000 0.000 2.5402 2.33 0.070562 0.071000 0.071902 0.072815 0.073740 25.65 26.28 GS Finance Corp. 40054KNU6 11/28/16 11/27/24 100.000 0.000 3.2301 2.96 0.089724 0.091165 0.092638 0.094134 0.095654 32.66 33.72 GS Finance Corp. 40054KNV4 11/28/16 11/28/22 100.000 0.000 2.8500 2.61 0.079167 0.080295 0.081439 0.082600 0.083777 28.78 29.60 GS Finance Corp. 40054KP67 11/28/16 11/26/21 100.000 0.000 2.6201 2.40 0.072780 0.073723 0.074689 0.075667 0.076659 26.44 27.13 GS Finance Corp. 40054KPR1 11/25/16 11/26/24 100.000 0.000 3.2499 3.25 0.090283 0.091750 0.093241 0.094756 0.096296 32.87 33.95 GS Finance Corp. 40054KQH2 12/30/16 01/03/25 100.000 0.000 3.3999 0.09 0.094442 0.094468 0.096074 0.097707 0.099368 34.29 35.47 GS Finance Corp. 40054KQQ2 12/30/16 07/01/24 100.000 0.000 3.4000 0.09 0.094453 0.096059 0.097692 0.099353 34.29 35.47 GS Finance Corp. 40054KQU3 12/30/16 12/31/26 100.000 0.000 3.6499 0.20 0.101396 0.103246 0.105130 0.107049 0.109003 36.84 38.20 GS Finance Corp. 40054KQV1 12/30/16 07/02/24 100.000 0.000 3.3199 0.09 0.092220 0.092237 0.093768 0.095324 0.096907 33.48 34.60 GS Finance Corp. 40054KQW9 12/30/16 12/30/22 100.000 0.000 3.0500 0.08 0.084723 0.086016 0.087327 0.088659 0.090011 30.74 31.68 GS Finance Corp. 40054KQX7 12/30/16 10/01/20 100.000 0.000 2.5001 0.07 0.069449 0.069887 0.070761 0.071646 0.072541 25.20 25.79 GS Finance Corp. 40054KR32 12/30/16 01/11/24 100.000 0.000 3.2499 0.09 0.090275 0.090365 0.091833 32.78 33.84 GS Finance Corp. 40054KR40 12/30/16 01/10/22 100.000 0.000 2.8000 0.08 0.077777 0.077838 0.078927 0.080032 28.21 28.99 GS Finance Corp. 40054KR57 12/30/16 01/12/27 100.000 0.000 3.6748 0.10 0.102079 0.102204 0.104082 37.11 38.47 GS Finance Corp. 40054KR65 12/21/16 12/21/23 100.000 0.000 3.2002 0.89 0.088894 0.090316 0.091761 0.093230 0.094721 32.29 33.33 GS Finance Corp. 40054KS23 12/21/16 12/21/23 100.000 0.000 3.2002 0.89 0.088894 0.090316 0.091761 0.093230 0.094721 32.29 33.33 GS Finance Corp. 40054KSF4 12/28/16 12/27/19 100.000 0.000 2.2301 0.19 0.061947 0.062634 0.063332 0.064038 0.064752 22.43 22.93 GS Finance Corp. 40054KSG2 12/28/16 12/27/19 100.000 0.000 2.2301 0.19 0.061947 0.062634 0.063332 0.064038 0.064752 22.43 22.93 GS Finance Corp. 40054KSN7 01/30/17 01/30/25 100.000 0.000 3.3999 0.094442 0.096047 0.097680 0.099341 31.50 35.37 GS Finance Corp. 40054KT48 01/31/17 01/29/27 100.000 0.000 3.6999 0.102775 0.104666 0.106602 0.108574 34.31 38.62 GS Finance Corp. 40054KT55 01/31/17 01/31/24 100.000 0.000 3.2500 0.090277 0.091744 0.093234 0.094749 30.10 33.75 GS Finance Corp. 40054KT63 01/31/17 07/29/22 100.000 0.000 2.9200 0.081112 0.082289 0.083491 0.084710 27.03 30.21 GS Finance Corp. 40054KT71 01/31/17 10/29/20 100.000 0.000 2.4502 0.068061 0.068473 0.069312 0.070161 0.071021 22.68 25.21 GS Finance Corp. 40054KT89 01/31/17 02/09/24 100.000 0.000 3.2499 0.090274 0.090347 0.091815 0.093307 0.094823 30.11 33.75 GS Finance Corp. 40054KT97 01/31/17 02/09/22 100.000 0.000 2.8000 0.077777 0.077831 0.078921 0.080026 0.081146 25.92 28.93 GS Finance Corp. 40054KTA4 01/31/17 02/09/27 100.000 0.000 3.7000 0.102777 0.102872 0.104775 0.106714 0.108688 34.32 38.62 GS Finance Corp. 40054KTB2 01/27/17 01/29/24 100.000 0.000 3.1998 0.088883 0.088899 0.090322 0.091767 0.093235 29.91 33.22 GS Finance Corp. 40054KTD8 01/30/17 01/30/24 100.000 0.000 3.2500 0.090277 0.091744 0.093234 0.094749 30.10 33.75 GS Finance Corp. 40054KTP1 01/31/17 01/26/23 100.000 1.250 3.0595 0.084986 0.085738 0.086519 0.087311 28.25 31.25 GS Finance Corp. 40054KUL8 01/30/17 07/30/24 100.000 0.000 3.3302 0.092507 0.094047 0.095613 0.097205 30.85 34.62 GS Finance Corp. 40054KUQ7 02/01/17 06/02/22 100.000 0.000 2.8998 0.080550 0.081335 0.082514 0.083710 0.084924 26.78 29.99 GS Finance Corp. 40054KV29 02/27/17 08/26/24 100.000 0.000 3.2501 0.090279 0.091738 0.093229 0.094744 27.63 33.67 GS Finance Corp. 40054KVB9 02/27/17 02/27/25 100.000 0.000 3.3001 0.091670 0.093183 0.094721 0.096284 28.06 34.21 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054KVC7 02/27/17 02/27/24 100.000 0.000 3.1501 0.087503 0.088882 0.090282 0.091704 26.77 32.60 GS Finance Corp. 40054KVN3 02/28/17 03/08/24 100.000 0.000 3.1002 0.086117 0.086176 0.087512 0.088869 0.090246 26.09 32.06 GS Finance Corp. 40054KVQ6 02/28/17 03/09/27 100.000 0.000 3.5002 0.097227 0.097312 0.099015 0.100748 0.102511 29.48 36.35 GS Finance Corp. 40054KVS2 02/28/17 02/28/24 100.000 0.000 3.0999 0.086109 0.087443 0.088799 0.090175 26.26 32.06 GS Finance Corp. 40054KVT0 02/28/17 08/26/22 100.000 0.000 2.6997 0.074992 0.075982 0.077008 0.078047 22.70 27.80 GS Finance Corp. 40054KVU7 02/28/17 11/27/20 100.000 0.000 2.3002 0.063894 0.064249 0.064988 0.065735 0.066492 19.33 23.58 GS Finance Corp. 40054KW77 02/28/17 02/26/23 100.000 1.250 2.9063 0.080284 0.079622 0.081616 0.080958 24.56 29.59 GS Finance Corp. 40054KWL6 02/17/17 08/19/24 100.000 0.000 3.2499 0.090276 0.090292 0.091759 0.093250 0.094765 28.55 33.70 GS Finance Corp. 40054KWQ5 02/15/17 01/07/19 100.000 0.000 1.9703 0.054730 0.055155 0.055699 0.056248 17.37 20.14 GS Finance Corp. 40054KXL5 02/28/17 08/29/22 100.000 0.000 2.0900 0.057418 0.057701 0.058625 0.058914 17.66 21.38 GS Finance Corp. 40054KXX9 03/30/17 04/01/25 100.000 0.000 3.3001 0.091671 0.091679 0.093192 0.094730 0.096293 24.98 34.10 GS Finance Corp. 40054KXY7 03/30/17 04/01/24 100.000 0.000 3.1002 0.086116 0.086124 0.087459 0.088814 0.090191 23.46 31.97 GS Finance Corp. 40054KYD2 03/31/17 12/31/20 100.000 0.000 2.3766 0.066017 0.066409 0.067198 0.067997 0.068805 17.96 24.34 GS Finance Corp. 40054KYE0 03/31/17 10/03/22 100.000 0.000 2.7999 0.077774 0.077793 0.078882 0.079986 0.081106 21.18 28.79 GS Finance Corp. 40054KYF7 03/31/17 04/02/24 100.000 0.000 3.1000 0.086111 0.086125 0.087460 0.088816 0.090193 23.46 31.97 GS Finance Corp. 40054KYH3 03/31/17 03/31/23 100.000 1.250 2.9099 0.080829 0.081500 0.082181 0.082871 21.97 29.59 GS Finance Corp. 40054KYJ9 03/31/17 03/31/25 100.000 0.000 3.2999 0.091665 0.093177 0.094715 0.096278 24.98 34.10 GS Finance Corp. 40054KYX8 03/31/17 04/11/24 100.000 0.000 3.1001 0.086113 0.086195 0.087531 0.088888 0.090266 23.46 31.97 GS Finance Corp. 40054KYY6 03/31/17 04/11/22 100.000 0.000 2.7002 0.075006 0.075068 0.076082 0.077109 0.078150 20.42 27.74 GS Finance Corp. 40054KYZ3 03/31/17 04/12/27 100.000 0.000 3.5501 0.098613 0.098730 0.100482 0.102266 0.104081 26.89 36.78 GS Finance Corp. 40054L2S2 03/27/17 03/28/22 100.000 1.000 2.7411 0.076141 0.076145 0.076808 0.077480 0.078161 20.93 27.90 GS Finance Corp. 40054L2W3 03/30/17 09/30/22 100.000 0.000 2.8001 0.077780 0.078869 0.079973 0.081092 21.18 28.79 GS Finance Corp. 40054L3B8 03/31/17 04/11/24 100.000 0.000 3.1001 0.086113 0.086195 0.087531 0.088888 0.090266 23.46 31.97 GS Finance Corp. 40054L3C6 03/31/17 04/11/24 100.000 0.000 3.1001 0.086113 0.086195 0.087531 0.088888 0.090266 23.46 31.97 GS Finance Corp. 40054L3Q5 04/28/17 01/28/21 100.000 0.000 2.3002 0.063896 0.064263 0.065002 0.065750 15.58 23.50 GS Finance Corp. 40054L3R3 04/28/17 10/28/22 100.000 0.000 2.7000 0.075000 0.076012 0.077038 0.078078 18.29 27.68 GS Finance Corp. 40054L3S1 04/28/17 04/30/24 100.000 0.000 3.0498 0.084716 0.084730 0.086022 0.087334 0.088666 20.67 31.37 GS Finance Corp. 40054L3U6 04/27/17 04/29/25 100.000 0.000 3.3000 0.091666 0.091682 0.093195 0.094733 0.096296 22.46 34.02 GS Finance Corp. 40054L3Y8 04/28/17 04/28/25 100.000 0.000 3.3000 0.091668 0.093180 0.094718 0.096281 22.37 34.02 GS Finance Corp. 40054L4B7 04/28/17 04/24/23 100.000 1.250 2.8079 0.077998 0.078592 0.079208 0.079832 18.99 28.49 GS Finance Corp. 40054L4C5 04/25/17 04/25/24 100.000 0.000 3.0999 0.086109 0.087443 0.088799 0.090175 21.27 31.90 GS Finance Corp. 40054L4L5 04/28/17 01/30/24 100.000 0.000 3.0000 0.083335 0.083973 0.085233 0.086512 20.35 30.84 GS Finance Corp. 40054L5R1 04/28/17 05/09/24 100.000 0.000 3.0500 0.084722 0.084801 0.086094 0.087407 0.088740 20.67 31.37 GS Finance Corp. 40054L5T7 04/28/17 05/10/27 100.000 0.000 3.4501 0.095835 0.095945 0.097600 0.099284 0.100997 23.40 35.61 GS Finance Corp. 40054L6F6 04/13/17 04/13/37 100.000 VARIES 4.2970 0.119361 0.116555 0.113688 0.113393 30.58 41.20 GS Finance Corp. 40054L6L3 04/24/17 05/03/24 100.000 0.000 3.1000 0.086111 0.086178 0.087514 0.088870 0.090248 21.36 31.91 GS Finance Corp. 40054L6N9 04/24/17 05/03/24 100.000 0.000 3.1000 0.086111 0.086178 0.087514 0.088870 0.090248 21.36 31.91 GS Finance Corp. 40054L6R0 04/28/17 05/10/27 100.000 0.000 3.4501 0.095835 0.095945 0.097600 0.099284 0.100997 23.40 35.61 GS Finance Corp. 40054L6W9 05/09/17 05/07/21 100.000 0.000 2.1501 0.059724 0.060359 0.061008 0.061663 13.89 21.92 GS Finance Corp. 40054LA53 04/28/17 10/31/24 100.000 0.000 3.1210 0.086696 0.086711 0.088064 0.089438 0.090834 21.15 32.12 GS Finance Corp. 40054LA95 05/08/17 05/10/21 100.000 0.000 2.3697 0.065826 0.065835 0.066615 0.067404 0.068203 15.38 24.20 GS Finance Corp. 40054LAE4 03/20/17 09/20/22 100.000 0.000 2.9898 0.083051 0.084292 0.085552 0.086831 23.46 30.83 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054LAM6 05/31/17 11/30/22 100.000 0.000 2.6502 0.073615 0.074591 0.075579 0.076581 15.56 27.09 GS Finance Corp. 40054LAN4 03/31/17 03/31/32 100.000 VARIES 4.1214 0.114483 0.112803 0.111088 0.109338 30.87 39.99 GS Finance Corp. 40054LAP9 05/31/17 05/31/24 100.000 0.000 2.9498 0.081939 0.083148 0.084374 0.085619 17.33 30.23 GS Finance Corp. 40054LAQ7 05/30/17 05/30/25 100.000 0.000 3.1002 0.086115 0.087450 0.088806 0.090182 18.21 31.81 GS Finance Corp. 40054LAR5 05/30/17 11/29/22 100.000 0.000 2.6501 0.073613 0.074583 0.075571 0.076572 15.56 27.09 GS Finance Corp. 40054LBG8 05/31/17 03/02/21 100.000 0.000 2.2248 0.061801 0.062152 0.062844 0.063543 13.08 22.66 GS Finance Corp. 40054LBJ2 05/31/17 06/11/24 100.000 0.000 2.9497 0.081937 0.082011 0.083221 0.084448 0.085694 17.33 30.23 GS Finance Corp. 40054LBK9 05/31/17 06/09/27 100.000 0.000 3.3999 0.094443 0.094523 0.096130 0.097764 0.099426 19.98 34.97 GS Finance Corp. 40054LBL7 05/31/17 05/26/23 100.000 1.250 2.7568 0.076577 0.077141 0.077726 0.078318 16.18 27.92 GS Finance Corp. 40054LBV5 05/31/17 05/31/24 100.000 0.000 2.9498 0.081939 0.083148 0.084374 0.085619 17.33 30.23 GS Finance Corp. 40054LCA0 05/18/17 05/19/22 100.000 0.000 2.5602 0.071116 0.071121 0.072031 0.072953 0.073887 15.90 26.18 GS Finance Corp. 40054LCJ1 05/18/17 05/20/24 100.000 0.000 3.0299 0.084165 0.084179 0.085455 0.086749 0.088064 18.82 31.10 GS FINANCE CORP 40054LEE0 06/30/17 07/02/24 100.000 0.000 2.8998 0.080551 0.080564 0.081732 0.082917 14.58 29.63 GS FINANCE CORP 40054LEF7 06/30/17 03/30/23 100.000 0.000 2.6506 0.073629 0.074117 0.075099 0.076095 13.37 27.04 GS FINANCE CORP 40054LEM2 06/29/17 07/01/25 100.000 0.000 3.0998 0.086104 0.086119 0.087454 0.088809 15.67 31.73 GS FINANCE CORP 40054LEN0 06/29/17 06/29/23 100.000 0.000 2.6999 0.074997 0.076010 0.077036 0.078076 13.65 27.55 GS FINANCE CORP 40054LER1 06/30/17 04/01/21 100.000 0.000 2.2248 0.061799 0.062146 0.062838 0.063536 11.22 22.62 GS FINANCE CORP 40054LEX8 06/30/17 07/12/24 100.000 0.000 2.9000 0.080555 0.080633 0.081802 0.082989 14.59 29.64 GS FINANCE CORP 40054LEY6 06/30/17 07/13/27 100.000 0.000 3.3500 0.093057 0.093169 0.094730 0.096317 16.86 34.35 GS FINANCE CORP 40054LFC3 06/30/17 07/02/24 100.000 0.000 2.8998 0.080551 0.080564 0.081732 0.082917 14.58 29.63 GS FINANCE CORP 40054LFP4 06/30/17 06/26/23 100.000 1.250 2.7083 0.075231 0.075757 0.076313 0.076876 13.62 27.38 GS FINANCE CORP 40054LG99 06/29/17 12/31/18 100.000 0.000 1.8996 0.052770 0.053271 0.053777 9.60 19.22 GS FINANCE CORP 40054LGG3 06/30/17 06/30/25 100.000 0.000 3.0999 0.086107 0.087442 0.088797 0.090173 15.59 31.73 GS FINANCE CORP 40054LH23 07/31/17 07/31/24 100.000 0.000 2.9499 0.081943 0.083151 0.084378 12.37 30.08 GS FINANCE CORP 40054LH31 07/31/17 05/01/23 100.000 0.000 2.6501 0.073614 0.074107 0.075089 0.076084 11.15 26.97 GS FINANCE CORP 40054LHH0 07/28/17 07/28/23 100.000 0.000 2.7502 0.076394 0.077444 0.078509 11.69 28.01 GS FINANCE CORP 40054LHJ6 07/28/17 07/30/25 100.000 0.000 3.0997 0.086102 0.086116 0.087451 0.088806 13.18 31.65 GS FINANCE CORP 40054LJ39 07/31/17 08/09/24 100.000 0.000 2.9498 0.081938 0.081998 0.083208 0.084435 12.38 30.08 GS FINANCE CORP 40054LJ47 07/31/17 08/09/24 100.000 0.000 2.9498 0.081938 0.081998 0.083208 0.084435 12.38 30.08 GS FINANCE CORP 40054LJ54 07/31/17 08/09/27 100.000 0.000 3.3497 0.093049 0.093127 0.094686 0.096272 14.06 34.25 GS FINANCE CORP 40054LJA3 07/31/17 08/09/24 100.000 0.000 2.9498 0.081938 0.081998 0.083208 0.084435 12.38 30.08 GS FINANCE CORP 40054LJJ4 07/31/17 07/31/24 100.000 0.000 2.9499 0.081943 0.083151 0.084378 12.37 30.08 GS FINANCE CORP 40054LJP0 07/31/17 07/31/24 100.000 0.000 2.9499 0.081943 0.083151 0.084378 12.37 30.08 GS FINANCE CORP 40054LKQ6 07/31/17 07/26/23 100.000 1.250 2.7589 0.076635 0.077190 0.077776 11.57 27.87 GS FINANCE CORP 40054LKV5 07/28/17 07/28/25 100.000 0.000 3.1002 0.086115 0.087450 0.088806 13.18 31.65 GS FINANCE CORP 40054LL85 07/27/17 04/29/21 100.000 0.000 2.2251 0.061808 0.062159 0.062851 0.063550 9.54 22.59 GS FINANCE CORP 40054LLF9 07/28/17 07/30/24 100.000 0.000 2.9497 0.081936 0.081949 0.083158 0.084384 12.54 30.09 GS FINANCE CORP 40054LLJ1 07/31/17 08/09/24 100.000 0.000 2.9498 0.081938 0.081998 0.083208 0.084435 12.38 30.08 GS FINANCE CORP 40054LLP7 08/03/17 08/03/32 100.000 VARIES 3.5509 0.098637 0.097429 0.096199 14.60 34.93 GS FINANCE CORP 40054LLU6 08/16/17 08/26/24 100.000 0.000 2.9499 0.081941 0.082008 0.083218 0.084445 11.07 30.05 GS FINANCE CORP 40054LME1 08/30/17 08/28/25 100.000 0.000 3.0491 0.084696 0.085973 0.087284 10.25 31.04 GS FINANCE CORP 40054LMF8 08/30/17 08/30/23 100.000 0.000 2.7001 0.075001 0.076003 0.077040 9.08 27.43 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40054LMZ4 08/31/17 09/03/24 100.000 0.000 2.9002 0.080561 0.080580 0.081749 0.082934 9.75 29.50 GS FINANCE CORP 40054LN26 08/31/17 06/02/23 100.000 0.000 2.6505 0.073625 0.074123 0.075106 0.076101 8.92 26.92 GS FINANCE CORP 40054LN34 08/31/17 09/12/24 100.000 0.000 2.8996 0.080546 0.080623 0.081792 0.082978 9.75 29.49 GS FINANCE CORP 40054LN42 08/31/17 09/12/24 100.000 0.000 2.8996 0.080546 0.080623 0.081792 0.082978 9.75 29.49 GS FINANCE CORP 40054LN59 08/31/17 09/12/24 100.000 0.000 2.8996 0.080546 0.080623 0.081792 0.082978 9.75 29.49 GS FINANCE CORP 40054LN67 08/31/17 09/14/27 100.000 0.000 2.9002 0.080562 0.080652 0.081822 0.083008 9.76 29.50 GS FINANCE CORP 40054LN75 08/31/17 08/28/23 100.000 1.250 2.7089 0.075247 0.075768 0.076324 9.10 27.32 GS FINANCE CORP 40054LNK6 08/31/17 09/03/24 100.000 0.000 2.9002 0.080561 0.080580 0.081749 0.082934 9.75 29.50 GS FINANCE CORP 40054LNL4 08/31/17 09/03/24 100.000 0.000 2.9002 0.080561 0.080580 0.081749 0.082934 9.75 29.50 GS FINANCE CORP 40054LPA6 08/18/17 08/20/20 100.000 0.000 1.9994 0.055540 0.055546 0.056101 0.056662 7.39 20.24 GS FINANCE CORP 40054LQJ6 09/05/17 09/02/21 100.000 0.000 2.2497 0.062492 0.063184 0.063894 7.25 22.79 GS FINANCE CORP 40054LQQ0 09/15/17 09/26/24 100.000 0.000 2.8003 0.077786 0.077853 0.078943 0.080048 8.25 28.43 GS FINANCE CORP 40054LQS6 09/15/17 06/15/23 100.000 0.000 2.5996 0.072210 0.072679 0.073624 0.074581 7.66 26.36 GS FINANCE CORP 40054LQU1 09/28/17 09/30/25 100.000 0.000 3.1000 0.086110 0.086125 0.087460 0.088815 8.01 31.49 GS FINANCE CORP 40054LQZ0 09/28/17 09/28/23 100.000 0.000 2.7500 0.076390 0.077440 0.078505 7.10 27.89 GS FINANCE CORP 40054LR89 09/29/17 10/10/24 100.000 0.000 2.9500 0.081944 0.082018 0.083228 0.084455 7.54 29.94 GS FINANCE CORP 40054LR97 09/29/17 10/10/24 100.000 0.000 2.9500 0.081944 0.082018 0.083228 0.084455 7.54 29.94 GS FINANCE CORP 40054LRA4 09/29/17 10/10/24 100.000 0.000 2.9500 0.081944 0.082018 0.083228 0.084455 7.54 29.94 GS FINANCE CORP 40054LRB2 09/29/17 10/12/27 100.000 0.000 3.3500 0.093057 0.093169 0.094730 0.096317 8.57 34.07 GS FINANCE CORP 40054LRL0 09/28/17 10/11/22 100.000 0.000 2.5499 0.070831 0.070896 0.071800 0.072715 6.59 25.83 GS FINANCE CORP 40054LS21 09/29/17 10/01/24 100.000 0.000 2.9500 0.081946 0.081959 0.083168 0.084395 7.54 29.94 GS FINANCE CORP 40054LS39 09/29/17 06/29/23 100.000 0.000 2.6502 0.073616 0.074104 0.075086 0.076081 6.77 26.86 GS FINANCE CORP 40054LS47 09/29/17 10/01/24 100.000 0.000 2.9500 0.081946 0.081959 0.083168 0.084395 7.54 29.94 GS FINANCE CORP 40054LSS4 09/29/17 09/26/24 100.000 1.500 2.9596 0.082212 0.082792 0.083400 7.56 29.81 GS FINANCE CORP 40054LST2 09/29/17 09/29/22 100.000 0.000 2.5498 0.070829 0.071732 0.072646 6.52 25.83 GS FINANCE CORP 40054LSU9 09/29/17 10/01/24 100.000 0.000 2.9500 0.081946 0.081959 0.083168 0.084395 7.54 29.94 GS FINANCE CORP 40054LSV7 09/13/17 09/12/24 100.000 0.000 2.8499 0.079164 0.080285 0.081429 8.55 28.95 GS FINANCE CORP 40054LSZ8 09/20/17 09/22/25 100.000 0.000 3.0502 0.084727 0.084742 0.086034 0.087346 8.56 31.00 GS FINANCE CORP 40054LTA2 09/29/17 09/30/24 100.000 0.000 2.9501 0.081953 0.083161 0.084388 7.54 29.94 GS FINANCE CORP 40054LTJ3 09/29/17 12/29/21 100.000 0.000 2.3500 0.065279 0.065662 0.066434 0.067214 6.01 23.78 GS FINANCE CORP 40054LTR5 09/25/17 09/25/23 100.000 0.000 2.7000 0.075001 0.076014 0.077040 7.20 27.38 GS FINANCE CORP 40054LUM4 09/29/17 03/31/23 100.000 0.000 2.6512 0.073650 0.074626 0.075615 6.78 26.87 GS FINANCE CORP 40054LXR0 10/31/17 11/10/27 100.000 0.000 3.3499 0.093053 0.093139 0.094699 0.096285 5.68 33.97 GS FINANCE CORP 40054LXT6 10/31/17 11/12/24 100.000 0.000 3.0000 0.083334 0.083417 0.084669 0.085939 5.09 30.38 GS FINANCE CORP 40054LYB4 10/31/17 05/02/19 100.000 0.000 1.6997 0.047215 0.047219 0.047620 0.048025 2.88 17.12 HSBC USA Inc. 4042K0P66 02/26/10 02/26/20 100.000 VARIES 4.3500 0.120833 0.120833 0.120833 0.120833 0.120833 43.50 43.50 HSBC USA, Inc. 4042K14V2 09/28/12 09/28/18 100.000 0.000 2.1876 0.066293 0.067018 0.067752 0.068493 24.13 18.22 HSBC USA, Inc. 4042K14W0 09/28/12 09/28/18 100.000 0.000 2.1876 0.066293 0.067018 0.067752 0.068493 24.13 18.22 HSBC USA, Inc. 4042K15X7 10/31/12 10/31/18 100.000 0.000 2.0693 0.062413 0.063059 0.063711 0.064370 22.66 19.17 HSBC USA, Inc. 4042K15Y5 10/31/12 10/31/18 100.000 0.000 2.2258 0.067550 0.068302 0.069062 0.069830 24.55 20.79 HSBC USA, Inc. 4042K1B28 03/27/12 03/27/19 100.000 0.000 3.6762 0.120307 0.122519 0.124771 0.127064 0.129400 44.13 45.77 HSBC USA, Inc. 4042K1BQ5 01/24/11 01/24/18 100.000 0.000 3.6480 0.123625 0.125880 0.128176 45.63 2.95 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 4042K1D59 04/05/12 04/05/18 100.000 0.000 3.2442 0.104158 0.105848 0.107565 38.09 10.11 HSBC USA, Inc. 4042K1E58 04/26/12 10/26/18 100.000 0.000 3.3064 0.106449 0.108208 0.109997 0.111816 38.87 32.78 HSBC USA, Inc. 4042K1E66 04/26/12 04/27/17 100.000 0.000 2.7103 0.084988 9.86 HSBC USA, Inc. 4042K1FE8 03/24/11 03/24/18 100.000 VARIES 3.9709 0.110369 0.110347 0.110324 39.72 9.16 HSBC USA, Inc. 4042K1GG2 05/04/11 05/04/18 100.000 VARIES 3.6984 0.102649 0.102677 0.102705 36.96 12.63 HSBC USA, Inc. 4042K1HX4 06/10/11 06/10/19 100.000 VARIES 3.5774 0.099209 0.099240 0.099272 0.099305 0.099338 35.72 35.75 HSBC USA, Inc. 4042K1JT1 06/13/11 06/13/18 100.000 VARIES 3.3850 0.093552 0.093708 0.093867 33.71 15.21 HSBC USA, Inc. 4042K1K77 05/29/12 11/28/18 100.000 0.000 3.0538 0.097215 0.098700 0.100207 0.101737 35.36 33.04 HSBC USA, Inc. 4042K1KE2 07/29/11 07/31/17 100.000 0.000 2.9726 0.095715 0.097137 20.26 HSBC USA, Inc. 4042K1KG7 07/29/11 07/31/17 100.000 0.000 2.9726 0.095715 0.097137 20.26 HSBC USA, Inc. 4042K1TC7 11/30/11 11/30/21 100.000 VARIES 4.1953 0.113842 0.114087 0.114337 0.114593 0.114853 41.04 41.22 HSBC USA, Inc. 4042K1TZ6 12/20/11 12/20/21 100.000 VARIES 4.3009 0.117325 0.117520 0.117718 0.117921 0.118129 42.28 42.42 HSBC USA, Inc. 4042K1U43 06/29/12 06/29/18 100.000 0.000 2.6049 0.081295 0.082354 0.083427 29.46 14.85 HSBC USA, Inc. 4042K1XC2 02/29/12 03/01/18 100.000 0.000 3.1255 0.099829 0.101389 0.102974 36.60 6.18 HSBC USA, Inc. 4042K1XD0 02/29/12 03/01/17 100.000 0.000 2.9016 0.091763 5.51 HSBC USA, Inc. 4042K1XE8 02/07/12 02/07/17 100.000 0.000 2.7410 0.086063 3.10 HSBC USA, Inc. 4042K1XF5 02/29/12 03/01/19 100.000 0.000 3.4939 0.113436 0.115417 0.117434 0.119485 0.121573 41.67 43.14 HSBC USA, Inc. 4042K1Z30 08/30/12 08/30/18 100.000 0.000 2.4720 0.074925 0.075437 0.076789 0.077313 27.67 18.60 HSBC USA, Inc. 4042K1Z48 08/30/12 02/28/18 100.000 0.000 2.2077 0.066589 0.066226 0.068067 24.42 3.95 HSBC USA, Inc. 4042K1Z63 08/08/12 08/08/19 100.000 0.000 2.6152 0.080602 0.081656 0.082724 0.083805 0.084901 29.51 30.29 HSBC USA, Inc. 4042K1ZD8 03/30/12 03/30/17 100.000 0.000 2.8298 0.089203 7.94 HSBC USA, Inc. 4042K1ZE6 04/04/12 04/04/18 100.000 0.000 3.2440 0.104153 0.105843 0.107559 38.10 10.00 HSBC USA, Inc. 4042K1ZK2 04/02/12 04/02/19 100.000 0.000 3.4237 0.110799 0.112696 0.114625 0.116587 0.118583 40.57 41.97 HSBC USA, Inc. 40432X2M2 11/27/12 11/27/18 100.000 0.000 2.0105 0.060501 0.061109 0.061723 0.062344 21.93 20.23 HSBC USA, Inc. 40432X2N0 11/27/12 11/27/18 100.000 0.000 2.1492 0.065028 0.065727 0.066433 0.067147 23.58 21.79 HSBC USA, Inc. 40432X3T6 11/26/12 11/25/19 100.000 0.000 2.2777 0.069263 0.070052 0.070850 0.071657 0.072473 25.13 25.71 HSBC USA, Inc. 40432X4M0 12/24/12 12/24/18 100.000 0.000 2.0972 0.063326 0.063990 0.064661 0.065339 22.93 22.95 HSBC USA, Inc. 40432X4N8 12/26/12 12/26/18 100.000 0.000 2.0971 0.063321 0.063985 0.064656 0.065334 22.92 23.07 HSBC USA, Inc. 40432X5F4 12/21/12 12/21/22 100.000 VARIES 1.3476 0.010701 0.010773 0.010845 0.010919 0.010992 3.87 3.92 HSBC USA, Inc. 40432X5M9 01/29/13 01/29/19 100.000 0.000 2.1342 0.063855 0.064537 0.065225 0.065921 0.066625 23.32 23.82 HSBC USA, Inc. 40432X5N7 01/30/13 01/30/19 100.000 0.000 2.1342 0.063855 0.064537 0.065225 0.065921 0.066625 23.32 23.82 HSBC USA, Inc. 40432X5T4 01/15/13 01/15/43 100.000 0.000 4.5776 0.148982 0.152392 0.155880 0.159448 0.163097 55.39 57.96 HSBC USA, Inc. 40432X5Z0 01/04/13 12/24/18 100.000 0.000 2.0804 0.062740 0.063393 0.064052 0.064718 22.71 22.73 HSBC USA, Inc. 40432X7E5 01/29/13 01/29/43 100.000 0.000 4.6460 0.151563 0.155084 0.158687 0.162373 0.166145 56.28 58.92 HSBC USA, Inc. 40432XAC5 02/26/13 02/26/19 100.000 0.000 2.2386 0.067222 0.067974 0.068735 0.069504 0.070282 24.52 25.08 HSBC USA, Inc. 40432XAD3 02/27/13 02/27/19 100.000 0.000 2.2386 0.067222 0.067974 0.068735 0.069504 0.070282 24.52 25.07 HSBC USA, Inc. 40432XBQ3 02/28/13 08/28/18 100.000 0.000 1.9404 0.057667 0.058227 0.058792 0.059362 21.00 14.04 HSBC USA, Inc. 40432XCD1 03/28/13 03/28/19 100.000 0.000 2.2311 0.066978 0.067725 0.068481 0.069245 0.070017 24.39 24.93 HSBC USA, Inc. 40432XGU9 06/26/13 06/26/19 100.000 0.000 2.6969 0.082277 0.083387 0.084511 0.085651 0.086806 29.83 30.64 HSBC USA, Inc. 40432XGZ8 07/08/13 07/08/20 100.000 VARIES 1.3420 0.007163 0.007211 0.007259 0.007308 0.007357 2.60 2.64 HSBC USA, Inc. 40432XHX2 07/23/13 07/23/18 100.000 0.000 2.1558 0.063861 0.064550 0.065245 0.065949 23.33 13.31 HSBC USA, Inc. 40432XHZ7 07/26/13 07/26/23 100.000 VARIES 1.5824 0.007772 0.007834 0.007896 0.007958 0.008021 2.83 2.87 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 40432XJY8 08/23/13 08/23/23 98.875 VARIES 1.6689 0.010112 0.010196 0.010282 0.010367 0.010454 3.68 3.74 HSBC USA, Inc. 40432XKQ3 09/26/13 09/26/23 100.000 VARIES 3.9579 0.109456 0.109486 0.109517 0.109549 0.109581 39.42 39.44 HSBC USA, Inc. 40432XKX8 09/12/13 09/12/23 98.875 VARIES 1.6700 0.010138 0.010223 0.010308 0.010394 0.010481 3.68 3.75 HSBC USA, Inc. 40432XLT6 09/30/13 10/02/23 100.000 VARIES 1.5394 0.007220 0.007276 0.007332 0.007388 0.007445 2.62 2.66 HSBC USA, Inc. 40432XNT4 12/04/13 12/04/28 100.000 VARIES 3.4249 0.089557 0.089747 0.089940 0.090136 0.090336 32.28 32.42 HSBC USA, Inc. 40432XQU8 12/31/13 07/01/19 100.000 0.000 2.4757 0.074043 0.074959 0.075887 0.076826 26.82 27.49 HSBC USA, Inc. 40432XS69 02/03/14 02/03/17 100.000 0.000 1.1821 0.033817 1.08 HSBC USA, Inc. 40432XZ79 05/21/14 05/21/29 100.000 VARIES 3.9810 0.106466 0.106594 0.106726 0.106860 0.106996 38.36 38.46 HSBC USA, Inc. 40433BEJ3 06/27/14 06/27/29 100.000 VARIES 4.0230 0.108667 0.108763 0.108861 0.108961 0.109063 39.14 39.21 HSBC USA, Inc. 40433BH50 03/31/15 03/31/20 100.000 0.000 2.5279 0.072915 0.073836 0.074770 0.075715 0.076672 26.58 27.26 HSBC USA, Inc. 40433BKW7 08/28/14 08/30/19 100.000 0.000 2.1922 0.062916 0.063258 0.064303 0.064653 0.065721 23.20 23.71 HSBC USA, Inc. 40433BN61 04/08/15 04/08/20 100.000 0.000 1.6949 0.048287 0.048696 0.049109 0.049525 0.049945 17.53 17.82 HSBC USA, Inc. 40433BNR5 09/29/14 09/30/19 100.000 0.000 2.3492 0.068380 0.069183 0.069996 0.070818 0.071650 24.91 25.50 HSBC USA, Inc. 40433BUB2 12/03/14 12/04/23 100.000 0.000 2.9962 0.088336 0.089659 0.091002 0.092366 0.093750 32.11 33.08 HSBC USA, Inc. 40433BVF2 12/10/14 12/11/17 100.000 0.000 1.7132 0.049243 0.049665 16.82 HSBC USA, Inc. 40433U3P9 04/26/17 10/26/18 100.000 0.000 1.8371 0.051030 0.051499 0.051972 12.53 15.28 HSBC USA, Inc. 40433UFF8 12/31/15 01/02/24 100.000 0.000 1.6730 0.046865 0.047257 0.047653 0.048051 0.048453 17.08 17.37 HSBC USA, Inc. 40433UQV1 07/29/16 07/31/23 100.000 0.000 2.6252 11.16 0.072932 0.073889 0.074859 0.075841 0.076837 26.72 27.42 HSBC USA, Inc. 40433UQZ2 07/29/16 07/31/23 100.000 0.000 2.6252 11.16 0.072932 0.073890 0.074860 0.075842 0.076838 26.72 27.43 HSBC USA, Inc. 40433USA5 08/31/16 08/31/23 100.000 0.000 2.6052 8.85 0.071967 0.071716 0.073854 0.073597 0.075791 26.45 27.15 HSBC USA, Inc. 40433USB3 08/31/16 08/31/23 100.000 0.000 2.6052 8.85 0.071967 0.071716 0.073854 0.073597 0.075791 26.45 27.15 HSBC USA, Inc. 40433UTZ9 09/30/16 10/02/23 100.000 0.000 2.3972 6.06 0.066597 0.067395 0.068203 0.069020 0.069848 24.26 24.85 HSBC USA, Inc. 40433UUA2 09/30/16 10/02/23 100.000 0.000 2.3972 6.06 0.066597 0.067395 0.068203 0.069020 0.069848 24.26 24.85 HSBC USA, Inc. 40433UVZ6 10/31/16 10/31/23 100.000 0.000 2.6044 4.41 0.072345 0.073287 0.074241 0.075208 0.076187 26.33 27.02 HSBC USA, Inc. 40433UW44 03/08/17 03/06/20 100.000 0.000 2.5296 0.070268 0.071147 0.072046 0.072958 20.69 25.98 HSBC USA, Inc. 40433UWA0 10/31/16 10/31/23 100.000 0.000 2.6044 4.41 0.072344 0.073286 0.074240 0.075207 0.076186 26.33 27.02 HSBC USA, Inc. 40433UZY5 11/10/16 11/10/22 100.000 0.000 2.5056 3.55 0.069599 0.070471 0.071354 0.072248 0.073153 25.30 25.94 HSBC USA, Inc. 40433X316 08/12/13 08/14/23 100.000 0.000 3.8455 0.119778 0.122081 0.124428 0.126820 0.129259 44.17 45.89 HSBC USA, Inc. 40434B131 04/03/14 03/26/21 100.000 0.000 3.2029 0.096267 0.097808 0.099375 0.100966 0.102583 35.23 36.37 HSBC USA, Inc. 40434B545 02/06/14 01/29/21 100.000 0.000 3.0855 0.092473 0.093900 0.095349 0.096820 0.098313 33.98 35.04 HSBC USA, Inc. 40434B610 12/26/13 06/28/21 100.000 0.000 3.3585 0.103113 0.104845 0.106605 0.108395 0.110215 37.44 38.71 HSBC USA, Inc. 40434B636 12/31/13 01/04/21 100.000 0.000 3.4305 0.103790 0.105570 0.107381 0.109222 0.111096 38.32 39.65 HSBC USA, Inc. 40434B867 12/03/13 11/25/20 100.000 0.000 3.1083 0.094647 0.096117 0.097611 0.099128 0.100669 34.44 35.52 HSBC USA, Inc. 40434C188 07/31/14 07/30/21 100.000 0.000 2.8870 0.083075 0.085671 0.085490 0.088162 0.087976 31.17 32.07 HSBC USA, Inc. 40434C386 06/16/14 12/16/22 100.000 0.000 3.2386 0.097485 0.099063 0.100667 0.102297 0.103954 35.43 36.58 HSBC USA, Inc. 40434C659 06/05/14 05/28/21 100.000 0.000 2.9290 0.087447 0.088727 0.090027 0.091345 0.092683 31.80 32.73 HSBC USA, Inc. 40434E127 03/03/16 02/24/23 100.000 0.000 2.1215 17.64 0.059523 0.060155 0.060793 0.061438 0.062089 21.70 22.17 HSBC USA, Inc. 40434E267 02/04/16 01/27/23 100.000 0.000 1.8122 16.53 0.050778 0.051239 0.051703 0.052171 0.052644 18.51 18.84 HSBC USA, Inc. 40434G775 04/30/15 05/02/22 100.000 0.000 2.2886 0.065788 0.066541 0.067302 0.068072 0.068851 23.91 24.46 HSBC USA, Inc. 40434K354 12/30/15 12/23/22 100.000 0.000 1.6731 0.047240 0.047635 0.048034 0.048436 0.048841 17.08 17.37 HSBC USA, Inc. 40434N283 06/03/16 05/26/23 100.000 0.000 2.4858 14.39 0.069875 0.070743 0.071623 0.072513 0.073414 25.37 26.01 HSBC USA, Inc. 40434V293 09/02/16 08/25/23 100.000 0.000 2.5349 8.38 0.070414 0.071272 0.072175 0.073090 0.074017 25.73 26.38 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 40434V780 07/13/16 06/30/23 100.000 0.000 2.5156 11.81 0.070697 0.071587 0.072487 0.073399 0.074322 25.61 26.26 HSBC USA, Inc. 40435B247 12/30/16 12/22/23 100.000 0.000 3.3412 0.09 0.092812 0.094293 0.095869 0.097470 0.099099 33.71 34.83 HSBC USA, Inc. 40435B304 10/06/16 09/29/23 100.000 0.000 2.5061 5.92 0.069613 0.070451 0.071334 0.072228 0.073133 25.37 26.01 HSBC USA INC 40435FAQ0 07/03/17 07/01/22 100.000 0.000 2.5570 0.071026 0.071924 0.072844 12.64 26.06 HSBC USA INC 40435FBA4 07/27/17 07/27/20 100.000 0.000 2.1741 0.060390 0.061047 0.061710 9.30 22.06 HSBC USA INC 40435FBB2 07/27/17 07/27/22 100.000 0.000 2.6657 0.074047 0.075034 0.076034 11.40 27.14 HSBC USA INC 40435FCC9 07/28/17 07/29/24 100.000 0.000 3.0414 0.084490 0.085775 0.087079 12.93 31.04 HSBC USA INC 40435FCZ8 09/06/17 09/08/20 100.000 0.000 2.0146 0.055962 0.055968 0.056532 0.057101 6.44 20.38 HSBC USA INC 40435FHY6 10/12/17 10/12/22 100.000 0.000 2.6944 0.074846 0.075854 0.076876 5.91 27.29 HSBC USA INC 40435G279 09/14/17 09/15/22 100.000 0.000 1.9322 0.053675 0.054194 0.054718 5.74 19.53 HSBC USA INC 40435G287 09/14/17 09/16/21 100.000 0.000 1.9325 0.053680 0.053685 0.054204 0.054728 5.74 19.53 HSBC USA INC 40435G295 09/14/17 09/14/23 100.000 0.000 1.9320 0.053666 0.054184 0.054708 5.74 19.52 HSBC USA INC 40435G725 08/31/17 08/30/24 100.000 0.000 2.8720 0.079779 0.080912 0.082087 9.65 29.21 Hancock County SD 316,IL 409792DK1 05/01/14 12/01/17 107.276 VARIES 1.6361 0.046397 0.045924 15.23 Hancock County SD 316,IL 409792DL9 05/01/14 12/01/18 107.805 VARIES 2.1842 0.062817 0.062289 0.061756 0.061217 22.49 20.28 Hancock County SD 316,IL 409792DM7 05/01/14 12/01/19 106.961 VARIES 2.6340 0.076032 0.075570 0.075102 0.074628 0.074147 27.26 26.92 Hancock County SD 316,IL 409792DN5 05/01/14 12/01/20 105.881 VARIES 3.2317 0.093173 0.092771 0.092362 0.091947 0.091525 33.45 33.15 Hancock CNTY SD #325, IL 409828AR1 06/28/13 12/01/17 109.800 VARIES 1.9861 0.056399 0.055787 18.50 Caesars Entertainment 413626AS1 07/25/14 03/01/17 92.600 5.950 9.2134 68.80 0.086657 5.20 Caesars Entertainment 413626AU6 07/25/14 03/01/17 93.100 6.950 10.0284 64.11 0.081429 4.89 Caesars Entertaiment 413626AV4 07/25/14 03/01/17 89.010 9.750 15.0048 101.75 0.135779 8.15 Harrisburg, PA 414738NY6 12/28/95 04/01/17 22.322 0.000 7.1793 759.45 0.192514 17.33 Harrisburg, PA 414738NZ3 12/28/95 04/01/18 20.535 0.000 7.2394 709.74 0.180747 0.187289 0.194069 67.45 17.47 Harrisburg, PA 414738PA6 12/28/95 04/01/19 19.125 0.000 7.2394 661.02 0.168341 0.174435 0.180749 0.187291 0.194071 62.82 67.45 Hartford Life Insurance 41659LAS0 08/16/07 08/16/17 100.000 VARIES 5.7021 0.262720 0.270210 60.46 Helix Energy Solutions 42330PAG2 03/12/12 03/15/32 100.000 VARIES 7.5037 0.254980 0.261160 0.267571 0.274223 0.280790 94.24 98.92 City of Hoboken 434110QH8 08/28/03 04/01/27 19.107 0.000 7.1398 296.21 0.094946 0.098336 0.101846 0.105482 0.109248 35.41 37.99 City of Hoboken 434110QJ4 08/28/03 04/01/28 17.813 0.000 7.1397 276.14 0.088514 0.091673 0.094946 0.098335 0.101846 33.01 35.41 City of Hoboken 434110QK1 08/28/03 04/01/29 16.606 0.000 7.1397 257.44 0.082517 0.085463 0.088514 0.091674 0.094946 30.78 33.01 City of Hoboken 434110QL9 08/28/03 04/01/30 15.481 0.000 7.1397 240.00 0.076927 0.079673 0.082517 0.085463 0.088514 28.69 30.78 City of Hoboken 434110QM7 08/28/03 04/01/31 14.432 0.000 7.1398 223.74 0.071715 0.074275 0.076927 0.079673 0.082517 26.75 28.69 City of Hoboken 434110QN5 08/28/03 04/01/32 13.454 0.000 7.1398 208.58 0.066856 0.069243 0.071715 0.074275 0.076927 24.94 26.75 City of Hoboken 434110QP0 08/28/03 04/01/33 12.543 0.000 7.1397 194.45 0.062327 0.064552 0.066857 0.069243 0.071715 23.25 24.94 Horizon Lines, Inc. 44044KAC5 10/05/11 04/15/17 92.470 0.000 N/A 0.277121 28.82 Horizon Lines, Inc. 44044KAG6 10/05/11 04/15/17 92.470 0.000 N/A 0.277121 28.82 Horizon Lines, Inc. 44044KAH4 04/26/12 04/15/17 100.000 0.000 N/A 0.166667 17.33 Hovnanian Enterpiress 442488BL5 11/01/11 11/01/21 53.000 5.000 13.8062 166.88 0.125483 0.134145 0.143405 0.153305 0.163887 47.81 54.64 Hovnanian Enterpirses 442488BM3 11/01/11 11/01/21 42.000 2.000 12.1926 0.212224 0.221775 0.231908 0.242659 0.254065 79.30 86.75 Hovnanian K. Enterprises 442488BP6 10/02/12 12/01/17 76.851 0.000 5.1630 185.88 0.136290 0.139808 45.61 Illinois Student Asst Co 452281JD1 10/27/10 04/25/23 95.305 VARIES N/A 0.013148 0.013261 0.013374 0.013488 0.013603 4.77 4.85 Irvington Township, NJ 464080JU5 12/21/06 07/15/17 56.947 0.000 5.3998 402.25 0.142211 0.146050 28.28 Irvington Township, NJ 464080JV3 12/21/06 07/15/18 53.750 0.000 5.4397 383.25 0.135723 0.139414 0.143206 0.147101 50.77 28.48 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 46625HME7 07/31/15 07/31/35 100.000 VARIES 4.4624 0.121268 0.119878 0.118457 0.119348 0.120259 42.98 43.08 JP Morgan Chase & Co. 46634X187 06/29/11 06/29/17 100.000 0.000 3.2583 0.108115 19.24 JPMORGAN CHASE FINANCIAL 46647MMB6 07/11/17 07/11/24 103.000 0.250 3.1279 0.089493 0.090784 0.092095 15.21 32.89 JPMORGAN CHASE FINANCIAL 46647MNA7 08/23/17 08/20/20 100.000 0.000 2.1009 0.058357 0.058960 0.059580 7.47 21.28 JPMORGAN CHASE FINANCIAL 46647MNK5 09/27/17 09/27/23 100.000 0.000 2.9208 0.081132 0.082317 0.083519 7.63 29.65 Jackson CNTYS SD#165, IL 466484FB3 06/28/07 12/01/17 53.993 0.000 5.9996 407.38 0.157089 0.161802 52.69 Jackson CNTYS SD#165, IL 466484FC1 06/28/07 12/01/18 50.612 0.000 6.0497 385.99 0.149163 0.153675 0.158323 0.163112 54.79 53.11 Jackson CNTYS SD#165, IL 466484FD9 06/28/07 12/01/19 47.112 0.000 6.1497 367.00 0.142440 0.146820 0.151335 0.155988 0.160784 52.33 55.60 Jackson CNTYS SD#165, IL 466484FE7 06/28/07 12/01/20 44.055 0.000 6.1997 346.81 0.134898 0.139079 0.143391 0.147836 0.152418 49.57 52.69 Jackson CNTYS SD#165, IL 466484FF4 06/28/07 12/01/21 41.157 0.000 6.2497 327.39 0.127621 0.131609 0.135721 0.139963 0.144336 46.90 49.88 Jackson CNTYS SD#165, IL 466484FG2 06/28/07 12/01/22 38.700 0.000 6.2498 307.86 0.120005 0.123755 0.127622 0.131610 0.135723 44.11 46.90 Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23 36.102 0.000 6.2997 290.18 0.113359 0.116930 0.120613 0.124412 0.128331 41.67 44.34 Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24 33.931 0.000 6.2996 272.73 0.106541 0.109897 0.113359 0.116929 0.120612 39.16 41.67 Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25 31.890 0.000 6.2997 256.33 0.100134 0.103288 0.106542 0.109898 0.113359 36.81 39.16 Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26 29.691 0.000 6.3498 241.13 0.094401 0.097398 0.100490 0.103680 0.106972 34.71 36.95 Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27 28.707 0.000 6.3500 233.12 0.091497 0.094402 0.097399 0.100492 0.103682 33.56 35.72 JACKSON PERRY & RANDOLPH 468687BQ0 09/12/17 12/01/18 102.511 4.250 2.1199 0.060364 0.060644 0.061287 6.59 20.13 JACKSON PERRY & RANDOLPH 468687BR8 09/12/17 12/01/19 103.862 4.250 2.4306 0.070125 0.070499 0.071356 0.068724 7.65 25.48 JACKSON PERRY & RANDOLPH 468687BS6 09/12/17 12/01/20 104.745 4.250 2.6851 0.078124 0.078585 0.079640 0.076843 8.53 28.43 JACKSON PERRY & RANDOLPH 468687BT4 09/12/17 12/01/21 105.525 4.250 2.8378 0.083182 0.083700 0.084887 0.082006 9.08 30.29 JACKSON PERRY & RANDOLPH 468687BU1 09/12/17 12/01/22 104.761 4.250 3.2383 0.094236 0.094906 0.096442 0.093342 10.29 34.40 Jefferies Group, LLC 47233JAK4 02/28/17 02/28/24 100.000 VARIES 2.8488 0.007910 0.007655 0.007396 0.007133 2.37 2.64 Jefferies Group LLC 47233JAL2 04/28/17 04/28/33 100.000 VARIES 5.1690 0.143584 0.140116 0.136558 0.132908 34.67 49.35 Jefferies Group LLC 47233JAP3 05/31/17 05/31/34 100.000 VARIES 5.0961 0.141558 0.138087 0.134528 0.133405 29.76 48.93 JEFFERIES GROUP LLC 47233JAQ1 06/30/17 06/30/37 100.000 VARIES 5.1829 0.143971 0.140506 0.136951 0.133305 26.06 49.94 JEFFERIES GROUP LLC 47233JAT5 07/31/17 07/31/37 100.000 VARIES 5.3560 0.148779 0.146068 0.143285 22.47 52.24 JEFFERIES GROUP LLC 47233JAV0 08/31/17 08/31/37 100.000 VARIES 5.1572 0.143255 0.141175 0.139122 17.33 50.69 JEFFERIES GROUP LLC 47233JAX6 08/31/17 08/31/37 100.000 VARIES 5.1565 0.143236 0.140443 0.137658 17.33 50.38 JEFFERIES GROUP LLC 47233JAY4 09/29/17 09/30/37 100.000 VARIES 5.0451 0.140141 0.138088 0.135962 12.89 49.70 JEFFERIES GROUP LLC 47233JBB3 10/31/17 10/31/37 100.000 VARIES 5.1557 0.143213 0.139747 0.136192 8.74 50.50 JEFFERIES GROUP LLC 47233JBC1 10/31/17 10/31/37 100.000 VARIES 5.1265 0.142402 0.140003 0.137542 8.69 50.54 Jefferson CNTYS #521, IL 474070HP7 05/30/13 12/01/17 99.674 VARIES 1.4462 0.040134 0.040153 13.25 Jefferson CNTYS #521, IL 474070HQ5 05/30/13 12/01/18 99.605 VARIES 1.6957 0.047014 0.047036 0.047058 0.047080 16.93 15.53 Jefferson CNTYS #521, IL 474070HR3 05/30/13 12/01/22 107.317 VARIES 2.8895 0.084043 0.083752 0.083457 0.083158 0.082855 30.19 29.97 Jefferson CNTYS #521, IL 474070HS1 05/30/13 12/01/23 105.651 VARIES 3.0399 0.087668 0.087460 0.087248 0.087033 0.086815 31.51 31.36 Johnson CNTYS, IL 478167HE2 07/03/14 10/01/17 106.717 VARIES 2.1873 0.062052 0.061409 16.64 Johnson CNTYS, IL 478167HF9 07/03/14 10/01/18 107.426 VARIES 2.4887 0.071626 0.071014 0.070394 0.069766 25.56 18.89 Johnson CNTYS, IL 478167HG7 07/03/14 10/01/19 107.279 VARIES 2.8392 0.082270 0.081722 0.081167 0.080604 0.080033 29.42 29.02 Johnson CNTYS, IL 478167HH5 07/03/14 10/01/20 107.066 VARIES 3.0900 0.089873 0.089395 0.088909 0.088416 0.087915 32.18 31.83 Johnson CNTYS, IL 478167HJ1 07/03/14 10/01/21 105.766 VARIES 3.3404 0.096645 0.096288 0.095924 0.095554 0.095179 34.66 34.40 Johnson CNTYS, IL 478167HK8 07/03/14 10/01/22 104.620 VARIES 3.5910 0.103269 0.103004 0.102733 0.102458 0.102178 37.08 36.88 Johnson CNTYS, IL 478167HL6 07/03/14 10/01/23 103.105 VARIES 3.8407 0.109345 0.109178 0.109007 0.108833 0.108656 39.30 39.18 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JOHNSON & UN CNTYS ILL C 478169AA3 07/19/17 12/01/27 100.000 5.700 5.6760 0.157666 0.160947 0.165515 0.157930 25.64 58.67 Josephine County, OR 480890AA0 10/30/01 06/01/17 36.621 0.000 6.5496 607.37 0.176165 26.42 Josephine County, OR 480890AB8 10/30/01 06/01/18 33.518 0.000 6.6997 575.76 0.168586 0.174234 0.180070 62.05 27.01 J2 Global, Inc. 48123VAC6 06/17/14 06/15/29 100.000 VARIES 8.0003 0.250751 0.257170 0.263846 0.270789 0.278010 91.64 96.46 JP Morgan Chase & Co. 48124AZW0 09/15/10 09/15/25 100.000 VARIES 3.5832 0.088151 0.088560 0.088976 0.089529 0.090091 31.90 32.25 JP Morgan Chase & Co. 48125UCH3 02/27/15 02/27/30* 100.000 VARIES 3.9805 0.110536 0.110525 26.08* JP Morgan Chase & Co. 48125UCP5 03/31/15 03/29/30* 100.000 VARIES 3.9446 0.104978 0.101902 0.103117 27.48* JP Morgan Chase & Co. 48125UDK5 03/30/15 03/30/25 100.000 VARIES 3.4193 0.092172 0.091831 0.091767 0.091703 0.091819 33.08 33.03 JP Morgan Chase & Co. 48125UDL3 04/22/15 04/22/30* 100.000 VARIES 3.9343 0.105489 0.104174 30.36* JP Morgan Chase & Co. 48125UKN1 03/31/15 12/31/20 100.000 0.000 2.9102 0.085034 0.086272 0.087527 0.088801 0.090093 30.84 31.74 JP Morgan Chase & Co. 48125UL59 08/17/15 02/18/21 100.000 1.000 2.8256 0.079936 0.080673 0.081421 0.082178 0.082947 29.11 29.65 JP Morgan Chase & Co. 48125URP9 05/14/15 05/16/19 100.000 0.000 2.2908 0.065853 0.066608 0.067370 0.068142 0.068923 23.91 24.46 JP Morgan Chase & Co. 48125UTC6 06/26/15 06/26/30 100.000 VARIES 4.4666 0.121154 0.120138 0.119479 0.118806 0.118118 43.42 42.88 JP Morgan Chase & Co. 48125UTF9 06/30/15 06/30/30 100.000 VARIES 4.4796 0.115745 0.113963 0.112141 0.110278 0.110023 41.34 40.03 JP Morgan Chase & Co. 48125UTG7 06/30/15 06/30/30 100.000 VARIES 4.4810 0.116163 0.114770 0.113346 0.111890 0.111591 41.57 40.54 JP Morgan Chase & Co. 48125UTH5 06/30/15 06/30/30 100.000 VARIES 4.4852 0.121695 0.120687 0.119772 0.118838 0.117882 43.63 42.95 JP Morgan Chase & Co. 48125UTL6 06/30/15 06/30/30 100.000 VARIES 4.4865 0.123644 0.123302 0.122952 0.122595 0.122571 44.45 44.20 JP Morgan Chase & Co. 48125UTT9 07/31/15 07/31/30 100.000 VARIES 4.3052 0.117540 0.116483 0.115403 0.114727 0.114036 41.80 41.22 JP Morgan Chase & Co. 48125UUL4 08/31/15 08/31/35 100.000 VARIES 4.2124 0.113801 0.112145 0.110454 0.111010 0.111578 40.27 40.00 JP Morgan Chase & Co. 48125UUN0 08/31/15 08/31/30 100.000 VARIES 4.2249 0.114617 0.111686 0.112434 0.109869 0.110929 41.03 40.38 JP Morgan Chase & Co. 48125UUS9 08/21/15 08/21/30 100.000 VARIES 4.2080 0.115955 0.115472 0.114979 0.114690 0.114394 41.53 41.26 JP Morgan Chase & Co. 48125UUT7 08/31/15 08/31/25 100.000 VARIES 2.5712 0.008636 0.008252 0.008138 0.007756 0.007628 3.02 2.84 JP Morgan Chase & Co. 48125UY48 09/30/15 09/30/30 100.000 VARIES 4.2752 0.116690 0.115623 0.114534 0.113871 0.113194 41.62 40.99 JP Morgan Chase & Co. 48125UY71 09/18/15 09/18/30 100.000 VARIES 2.6025 0.013327 0.013019 0.012707 0.012390 0.012070 4.68 4.45 JP Morgan Chase & Co. 48125V2G4 08/31/12 08/31/18 100.000 0.000 2.4105 0.073285 0.072959 0.075062 0.074728 26.91 18.10 JP Morgan Chase & Co. 48125V4Q0 09/28/12 09/29/17 100.000 0.000 1.9604 0.058879 0.059456 15.88 JP Morgan Chase & Co. 48125V5R7 09/28/12 09/28/18 100.000 VARIES 2.2734 0.066411 0.066933 0.067460 0.067994 24.10 18.11 JPMORGAN CHASE & CO 48125V7F1 09/18/12 09/18/19 100.000 0.500 2.6370 117.75 0.079807 0.080677 0.081557 0.082449 0.083353 29.07 29.71 JP Morgan Chase & Co. 48125V7G9 09/28/12 03/29/18 100.000 0.000 2.0908 0.063119 0.063779 0.064445 22.96 5.67 JP Morgan Chase & Co. 48125VC40 06/20/12 12/20/17 100.000 0.000 3.2200 0.103273 0.104936 36.34 JP Morgan Chase & Co. 48125VC57 06/29/12 06/29/18 100.000 0.000 3.0498 0.097077 0.098557 0.100060 35.22 17.81 JP Morgan Chase & Co. 48125VEL0 12/30/11 12/29/17 100.000 0.000 3.8401 0.128999 0.131476 46.63 JP Morgan Chase & Co. 48125VHH6 01/31/12 01/31/18 100.000 0.000 3.5407 0.115181 0.117220 0.119296 42.45 3.46 JP Morgan Chase & Co. 48125VL24 07/05/12 01/04/18 100.000 0.000 2.9501 0.092123 0.093481 0.094860 33.89 0.28 JP Morgan Chase & Co. 48125VM72 06/29/12 06/28/19 100.000 0.000 3.2699 0.105095 0.106813 0.108559 0.110334 0.112138 38.15 39.41 JP Morgan Chase & Co. 48125VMC1 02/29/12 02/28/18 100.000 0.000 3.1994 0.101952 0.101894 0.105240 37.61 6.10 JP Morgan Chase & Co. 48125VPZ7 03/30/12 09/28/18 100.000 0.000 3.1110 0.099279 0.100823 0.102391 0.103984 36.31 27.63 JP Morgan Chase & Co. 48125VQ60 07/31/12 07/31/18 100.000 VARIES 2.6424 0.077035 0.077684 0.078342 0.079008 28.05 16.49 JP Morgan Chase & Co. 48125VRA0 03/07/12 03/07/17 100.000 0.000 2.6907 0.084295 5.56 JP Morgan Chase & Co. 48125VSN1 03/27/12 03/27/20 100.000 0.000 3.7709 0.123925 0.126261 0.128642 0.131067 0.133539 45.48 47.21 JP Morgan Chase & Co. 48125VTP5 04/30/12 04/30/18 100.000 0.000 3.0310 0.096399 0.097860 0.099343 35.15 11.82 JP Morgan Chase & Co. 48125VZ52 08/31/12 08/31/18 100.000 VARIES 2.7098 0.079974 0.080724 0.081485 0.082255 29.11 19.61 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 48125VZ94 08/31/12 08/31/17 100.000 VARIES 1.7166 0.049181 0.048794 11.83 JP Morgan Chase & Co. 48125X4L7 10/21/11 10/22/18 100.000 0.000 4.1615 0.142047 0.145003 0.148020 0.151100 52.08 43.63 JP Morgan Chase & Co. 48125X4M5 10/21/11 10/22/18 100.000 0.000 4.1615 0.142047 0.145003 0.148020 0.151100 52.08 43.63 JP Morgan Chase & Co. 48125XKB1 03/30/11 03/30/21 100.000 VARIES 5.0718 0.146063 0.145753 0.145267 0.144768 0.144203 52.45 52.11 JP Morgan Chase & Co. 48125XKM7 04/08/11 04/08/22 100.000 VARIES 5.1602 0.147447 0.147267 0.147001 0.146728 0.146368 53.01 52.82 JP Morgan Chase & Co. 48125XKS4 03/30/11 03/30/17 100.000 0.000 4.0116 0.138641 12.34 JP Morgan Chase & Co. 48125XTB2 06/15/11 06/15/23 100.000 VARIES 5.0712 0.144377 0.144288 0.144113 0.143933 0.143677 51.96 51.84 JP Morgan Chase & Co. 48126D3U1 05/31/13 05/31/19 100.000 0.000 2.4506 0.074129 0.075038 0.075957 0.076888 0.077830 26.91 27.57 JP Morgan Chase & Co. 48126D3W7 05/31/13 05/29/20 100.000 VARIES 2.8293 0.082593 0.083226 0.083894 0.084570 0.085274 29.89 30.37 JP Morgan Chase & Co. 48126D3X5 05/31/13 05/31/23 100.000 VARIES 3.5785 0.102747 0.103305 0.103962 0.104632 0.105313 37.13 37.59 JP Morgan Chase & Co. 48126D6Y0 09/20/13 09/20/23 100.000 VARIES 4.4963 0.116449 0.116574 0.116702 0.117077 0.117461 41.97 42.16 JP Morgan Chase & Co. 48126DAQ2 10/05/12 10/05/17 100.000 0.000 1.9305 0.057910 0.058469 15.97 JP Morgan Chase & Co. 48126DBB4 11/02/12 10/31/18 100.000 0.000 2.2805 0.069352 0.070143 0.070942 0.071751 25.21 21.36 JP Morgan Chase & Co. 48126DBC2 10/31/12 10/31/18 100.000 VARIES 2.2313 0.066293 0.066826 0.067364 0.068116 24.03 20.28 JP Morgan Chase & Co. 48126DBJ7 10/31/12 10/31/17 100.000 0.000 2.0204 0.060823 0.061437 18.30 JP Morgan Chase & Co. 48126DF20 03/27/13 09/27/17 100.000 0.000 1.6906 0.049811 0.050232 13.33 JP Morgan Chase & Co. 48126DFM6 11/30/12 02/28/18 100.000 0.000 1.9911 0.059243 0.058858 0.060429 21.70 3.50 JP Morgan Chase & Co. 48126DFN4 11/30/12 11/30/18 100.000 VARIES 2.1919 0.064701 0.065221 0.065746 0.066278 23.42 21.73 JP Morgan Chase & Co. 48126DGZ6 11/30/12 11/30/18 100.000 0.000 2.1502 0.065062 0.065762 0.066469 0.067183 23.59 22.00 JP Morgan Chase & Co. 48126DH28 04/30/13 04/30/19 100.000 VARIES 2.0021 0.058760 0.059237 0.059717 0.060201 0.060804 21.30 21.65 JP Morgan Chase & Co. 48126DH36 04/30/13 04/30/19 100.000 VARIES 2.0723 0.060937 0.061448 0.061963 0.062484 0.063131 22.09 22.47 JP Morgan Chase & Co. 48126DJ83 04/30/13 10/31/18 100.000 0.000 1.9004 0.056401 0.056937 0.057478 0.058024 20.47 17.28 JP Morgan Chase & Co. 48126DJ91 04/30/13 04/28/23 100.000 VARIES 3.1390 0.089765 0.090199 0.090710 0.091230 0.091757 32.45 32.82 JP Morgan Chase & Co. 48126DKC2 12/31/12 12/31/18 100.000 0.000 2.1109 0.063773 0.064446 0.065127 0.065814 23.08 23.50 JP Morgan Chase & Co. 48126DKD0 12/31/12 12/31/18 100.000 VARIES 2.0821 0.061338 0.061813 0.062293 0.062942 22.17 22.48 JP Morgan Chase & Co. 48126DKE8 12/31/12 03/29/18 100.000 0.000 1.8650 0.055538 0.056055 0.056578 20.18 4.98 JP Morgan Chase & Co. 48126DLU1 12/14/12 12/14/27 100.000 VARIES 3.7338 0.096351 0.096400 0.096451 0.096503 0.096555 34.70 34.73 JP Morgan Chase & Co. 48126DLY3 12/21/12 12/21/27 100.000 VARIES 3.6433 0.088943 0.088437 0.087922 0.088116 0.088314 31.92 31.69 JP Morgan Chase & Co. 48126DMB2 12/31/12 12/31/27 100.000 VARIES 3.7027 0.090136 0.089216 0.088279 0.088453 0.088630 32.28 31.81 JP Morgan Chase & Co. 48126DQL6 01/31/13 01/31/23 100.000 VARIES 3.1823 0.090471 0.090848 0.091272 0.091702 0.092168 32.76 33.07 JP Morgan Chase & Co. 48126DRL5 01/31/13 07/31/18 100.000 0.000 1.9803 0.058935 0.059519 0.060108 0.060703 21.50 12.67 JP Morgan Chase & Co. 48126DRM3 01/31/13 01/31/19 100.000 VARIES 2.1526 0.063049 0.063544 0.064050 0.064561 0.065256 22.94 23.33 JP Morgan Chase & Co. 48126DRW1 01/31/13 01/31/19 100.000 0.000 2.1601 0.064689 0.065388 0.066094 0.066808 0.067530 23.63 24.14 JP Morgan Chase & Co. 48126DS59 04/30/13 04/30/28 100.000 VARIES 3.8928 0.097331 0.095986 0.095696 0.095401 0.095100 34.70 34.36 JP Morgan Chase & Co. 48126DV89 05/17/13 05/17/28 100.000 VARIES 3.8747 0.094481 0.093347 0.093449 0.093553 0.093659 33.76 33.67 JP Morgan Chase & Co. 48126DVG1 02/28/13 02/28/23 100.000 VARIES 3.2856 0.092964 0.091845 0.093815 0.092732 0.094754 33.83 34.16 JP Morgan Chase & Co. 48126DVH9 02/28/13 02/28/19 100.000 VARIES 2.1918 0.063896 0.063355 0.064927 0.064386 0.066171 23.35 23.75 JP Morgan Chase & Co. 48126DVW6 02/28/13 02/28/19 100.000 0.000 2.1003 0.062422 0.062049 0.063740 0.063359 0.065086 22.88 23.36 JP Morgan Chase & Co. 48126DVX4 02/28/13 08/31/18 100.000 0.000 2.0204 0.059881 0.059500 0.061097 0.060708 21.94 14.71 JP Morgan Chase & Co. 48126DVY2 02/11/13 02/10/20 100.000 0.000 2.6403 0.080387 0.081448 0.082523 0.083613 0.084717 29.43 30.21 JP Morgan Chase & Co. 48126DZF9 03/28/13 03/29/19 100.000 VARIES 2.2419 0.065966 0.066527 0.067100 0.067680 0.068439 23.95 24.38 JP Morgan Chase & Co. 48126DZG7 03/28/13 03/29/19 100.000 0.000 2.2504 0.067607 0.068368 0.069137 0.069915 0.070701 24.62 25.17 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 48126DZP7 03/28/13 09/28/18 100.000 0.000 2.0503 0.061169 0.061796 0.062429 0.063069 22.25 16.78 JP Morgan Chase & Co. 48126DZQ5 03/28/13 03/31/23 100.000 VARIES 3.3453 0.096048 0.096584 0.097172 0.097771 0.098414 34.78 35.20 JP Morgan Chase & Co. 48126N3B1 02/28/14 02/29/20 100.000 0.000 2.8179 0.083483 0.083278 0.085852 0.085642 0.088288 30.72 31.60 JP Morgan Chase & Co. 48126N5L7 03/28/14 03/28/29 100.000 VARIES 4.4199 0.116506 0.116212 0.115911 0.115604 0.115513 41.83 41.64 JP Morgan Chase & Co. 48126N6E2 05/07/14 05/05/17 100.000 0.000 1.5702 0.045352 5.62 JPMORGAN CHASE & CO 48126N6F9 05/07/14 05/05/17 100.000 0.150 1.5621 42.04 0.044945 5.57 JP Morgan Chase & Co. 48126N6J1 05/14/14 05/12/17 100.000 0.000 1.4802 0.042657 5.59 JPMORGAN CHASE & CO 48126N6K8 05/14/14 05/12/17 100.000 0.150 1.4781 39.44 0.042437 5.56 JP Morgan Chase & Co. 48126NCU9 06/28/13 06/28/19 100.000 0.000 3.2502 0.101067 0.102710 0.104379 0.106075 0.107799 36.69 37.89 JP Morgan Chase & Co. 48126NCV7 06/28/13 06/30/20 100.000 VARIES 3.6189 0.104212 0.104860 0.105576 0.106305 0.107112 37.63 38.14 JP Morgan Chase & Co. 48126NCW5 06/28/13 06/30/23 100.000 VARIES 4.3049 0.123185 0.123944 0.124852 0.125780 0.126728 44.48 45.12 JP Morgan Chase & Co. 48126NGN1 07/02/13 07/03/19 100.000 0.000 3.2115 0.098164 0.099740 0.101342 0.102969 0.104623 36.19 37.36 JP Morgan Chase & Co. 48126NHE0 07/31/13 07/31/19 100.000 VARIES 2.9571 0.086306 0.087074 0.087853 0.088663 0.089486 31.44 32.02 JP Morgan Chase & Co. 48126NHH3 07/31/13 07/31/18 100.000 0.000 2.5903 0.077728 0.078735 0.079755 0.080788 28.47 16.85 JP Morgan Chase & Co. 48126NHJ9 07/31/13 07/31/23 100.000 VARIES 3.9757 0.113104 0.113792 0.114495 0.115330 0.116181 41.05 41.62 JP Morgan Chase & Co. 48126NHK6 07/11/13 07/11/19 100.000 0.000 3.3903 0.104170 0.105936 0.107732 0.109558 0.111415 38.42 39.74 JP Morgan Chase & Co. 48126NJJ7 07/31/13 07/31/19 100.000 0.000 2.9706 0.090148 0.091487 0.092846 0.094225 0.095624 33.10 34.09 JP Morgan Chase & Co. 48126NLK1 08/05/13 08/03/17 100.000 0.000 2.1505 0.063688 0.064373 13.63 JP Morgan Chase & Co. 48126NMG9 08/30/13 08/30/19 100.000 0.000 3.2509 0.098381 0.099434 0.101606 0.102693 0.104936 36.50 37.70 JP Morgan Chase & Co. 48126NMH7 08/30/13 08/31/23 100.000 VARIES 4.2968 0.120971 0.119745 0.122505 0.121413 0.124365 44.12 44.74 JP Morgan Chase & Co. 48126NNA1 08/30/13 08/30/19 100.000 VARIES 3.2354 0.093574 0.093926 0.095324 0.095705 0.097152 34.44 35.09 JP Morgan Chase & Co. 48126NQB6 08/29/13 08/31/20 100.000 0.000 3.7494 0.115808 0.116055 0.120191 0.120448 0.124739 42.85 44.48 JP Morgan Chase & Co. 48126NQX8 09/30/13 09/30/19 100.000 VARIES 2.9713 0.085545 0.086147 0.086758 0.087412 0.088076 31.02 31.47 JP Morgan Chase & Co. 48126NQZ3 09/30/13 09/28/18 100.000 0.000 2.5208 0.075478 0.076430 0.077393 0.078368 27.52 20.84 JP Morgan Chase & Co. 48126NRP4 09/30/13 03/29/18 100.000 0.000 2.2911 0.068137 0.068918 0.069707 24.81 6.13 JP Morgan Chase & Co. 48126NSK4 09/18/13 09/18/20 100.000 0.000 3.8713 0.120645 0.122980 0.125360 0.127787 0.130260 44.34 46.07 JP Morgan Chase & Co. 48126NSZ1 10/31/13 10/31/28 100.000 VARIES 4.4385 0.112788 0.112523 0.112253 0.112514 0.112781 40.52 40.49 JP Morgan Chase & Co. 48126NT64 01/31/14 01/31/20 100.000 0.000 2.7907 0.083081 0.084241 0.085416 0.086608 0.087816 30.47 31.33 JP Morgan Chase & Co. 48126NTC1 11/20/13 11/20/28 100.000 VARIES 4.6982 0.119204 0.118859 0.118505 0.118860 0.119222 42.82 42.76 JP Morgan Chase & Co. 48126NU21 01/14/14 01/12/18 100.000 0.000 2.0001 0.058385 0.058969 0.059558 21.32 0.66 JP Morgan Chase & Co. 48126NU96 01/24/14 01/26/21 100.000 0.000 3.3005 0.099517 0.101160 0.102829 0.104526 0.106251 36.64 37.85 JP Morgan Chase & Co. 48126NWU7 10/31/13 10/31/19 100.000 0.000 2.7408 0.082613 0.083745 0.084893 0.086056 0.087236 30.08 30.91 JP Morgan Chase & Co. 48126NWV5 10/31/13 10/31/23 100.000 VARIES 3.8580 0.109431 0.110020 0.110620 0.111334 0.112062 39.57 40.04 JP Morgan Chase & Co. 48126NXS1 10/21/13 10/21/20 100.000 0.000 3.5611 0.109970 0.111929 0.113922 0.115950 0.118015 40.22 41.66 JP Morgan Chase & Co. 48126NZY6 11/29/13 11/29/19 100.000 0.000 2.8103 0.084881 0.086074 0.087283 0.088510 0.089754 30.85 31.72 JP Morgan Chase & Co. 48126NZZ3 11/29/13 11/29/19 100.000 0.000 2.8103 0.084881 0.086074 0.087283 0.088510 0.089754 30.85 31.72 JP Morgan Chase & Co. 48127A351 12/26/13 06/24/21 100.000 0.000 3.6699 0.113672 0.115757 0.117881 0.120045 0.122247 41.33 42.86 JP Morgan Chase & Co. 48127D3H9 12/17/14 12/17/20 100.000 VARIES 2.7853 0.078167 0.078468 0.078774 0.079127 0.079485 28.20 28.43 JP Morgan Chase & Co. 48127D4A3 12/31/14 12/31/20 100.000 0.000 1.7101 0.049148 0.049568 0.049992 0.050419 0.050850 17.77 18.07 JP Morgan Chase & Co. 48127DCY2 04/30/14 04/30/20 100.000 0.000 2.8708 0.085635 0.086864 0.088111 0.089376 0.090659 31.20 32.10 JP Morgan Chase & Co. 48127DFJ2 04/23/14 04/22/20 100.000 VARIES 2.8446 0.080281 0.080613 0.081001 0.081395 0.081877 29.01 29.29 JP Morgan Chase & Co. 48127DKP2 06/04/14 06/05/18 100.000 0.000 1.9100 0.055030 0.055251 0.056086 20.15 8.69 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 48127DMP0 06/30/14 09/30/20 100.000 0.000 2.7898 0.082480 0.083631 0.084797 0.085980 0.087179 30.11 30.96 JP Morgan Chase & Co. 48127DNW4 10/31/14 10/31/29 100.000 VARIES 2.8583 0.077789 0.077809 0.077830 0.077850 0.077871 28.01 28.02 JP Morgan Chase & Co. 48127DPA0 11/21/14 11/21/29 100.000 VARIES 4.0317 0.105245 0.104973 0.104697 0.104415 0.104127 37.82 37.62 JP Morgan Chase & Co. 48127DPG7 12/24/14 12/24/29 100.000 VARIES 4.0345 0.107827 0.107763 0.107698 0.107631 0.107563 38.81 38.76 JP Morgan Chase & Co. 48127DPH5 12/24/14 12/24/29 100.000 VARIES 2.8705 0.079821 0.079833 0.079847 0.079860 0.079873 28.74 28.75 JP Morgan Chase & Co. 48127DQH4 02/27/15 02/27/30* 100.000 VARIES 4.0540 0.108516 0.107095 25.36* JP Morgan Chase & Co. 48127DVW5 08/29/14 08/31/20 100.000 0.000 2.8193 0.082379 0.082178 0.084718 0.084511 0.087123 30.32 31.18 JP Morgan Chase & Co. 48127DYS1 09/30/14 09/30/20 100.000 0.000 2.9910 0.088165 0.089483 0.090822 0.092180 0.093558 32.22 33.19 JP Morgan Chase & Co. 48127F731 04/30/14 04/30/24 100.000 0.000 3.8108 0.116333 0.118550 0.120809 0.123110 0.125456 42.55 44.19 JP Morgan Chase & Co. 48128GF88 05/24/17 05/24/27 100.000 VARIES 2.5870 0.011140 0.010632 0.010118 0.009597 2.40 3.70 JPMORGAN CHASE FINANCIAL 48128GJ27 08/31/17 08/31/27 100.000 VARIES 2.4049 0.007976 0.007779 0.007576 0.97 2.79 Justice Park Dist, IL 48214PAQ8 06/07/11 12/01/17 101.380 VARIES 4.7210 0.131492 0.131317 43.36 Justice Park Dist, IL 48214PAR6 06/07/11 12/01/18 100.000 VARIES 4.9724 0.138193 0.138176 0.138158 0.138140 49.75 45.59 Justice Park Dist, IL 48214PAS4 06/07/11 12/01/19 97.305 VARIES 5.3725 0.147714 0.147951 0.148195 0.148444 0.148701 53.23 53.41 Justice Park Dist, IL 48214PAT2 06/07/11 12/01/20 94.574 VARIES 5.7224 0.154902 0.155360 0.155831 0.156316 0.156815 55.88 56.22 Justice Park Dist, IL 48214PAU9 06/07/11 12/01/21 92.300 VARIES 5.9725 0.159017 0.159619 0.160238 0.160875 0.161532 57.39 57.84 Kansas City Southern 485170AJ3 12/09/15 05/15/43 90.810 4.300 4.9136 1.75 0.004709 0.004824 0.004943 0.005064 0.005189 1.73 1.81 Kansas City Southern 485170AN4 12/09/15 05/15/20 97.300 2.350 3.0050 6.15 0.016391 0.016637 0.016887 0.017141 0.017398 5.97 6.15 Kansas City Southern 485170AP9 12/09/15 05/15/23 95.360 3.000 3.7202 5.88 0.015743 0.016036 0.016335 0.016638 0.016948 5.75 5.96 Kansas City Southern 485170AQ7 12/09/15 05/15/43 90.810 4.300 4.9136 1.75 0.004709 0.004824 0.004943 0.005064 0.005189 1.73 1.81 Kansas City Southern 485170AU8 12/09/15 05/15/20 97.300 2.350 3.0050 6.15 0.016391 0.016637 0.016887 0.017141 0.017398 5.97 6.15 Kansas City Southern 485170AV6 12/09/15 05/15/23 95.360 3.000 3.7202 5.88 0.015743 0.016036 0.016335 0.016638 0.016948 5.75 5.96 Kansas City Southern 485170AX2 12/09/15 05/15/43 90.810 4.300 4.9136 1.75 0.004709 0.004824 0.004943 0.005064 0.005189 1.73 1.81 Kansas City Southern 485170AZ7 12/09/15 05/15/20 97.300 2.350 3.0050 6.15 0.016391 0.016637 0.016887 0.017141 0.017398 5.97 6.15 KFW 500769BR4 04/19/06 04/18/36 19.779 0.000 5.4760 154.81 0.053045 0.054498 0.055990 0.057523 0.059098 19.57 20.66 KFW 500769CH5 06/29/07 06/29/37 18.097 0.000 5.7800 130.09 0.049926 0.051369 0.052853 0.054381 0.055952 18.24 19.31 LA SALLE BUREAU & LEE CN 504354DH1 06/30/17 12/01/22 104.232 3.750 2.8869 0.083584 0.084596 0.085818 0.082788 15.16 30.62 LA SALLE BUREAU & LEE CN 504354DJ7 06/30/17 12/01/23 103.755 3.750 3.0878 0.088994 0.090147 0.091538 0.088386 16.14 32.65 LA SALLE BUREAU & LEE CN 504354DK4 06/30/17 12/01/24 104.424 3.875 3.1886 0.092491 0.093729 0.095223 0.091869 16.78 33.96 LA SALLE BUREAU & LEE CN 504354DL2 06/30/17 12/01/25 104.194 3.875 3.2895 0.095206 0.096520 0.098107 0.094695 17.27 34.98 Lake County, IL 509262CV1 04/09/03 01/01/21 35.244 0.000 5.9695 437.91 0.131054 0.134966 0.138994 0.143142 47.88 50.78 Lakewood Township, NJ 512678QW6 08/22/12 04/01/17 98.381 2.250 2.6253 15.26 0.010289 0.93 Lakewood Township, NJ 512678QX4 08/22/12 04/01/18 98.460 2.700 3.0004 11.74 0.007979 0.008099 0.008220 2.92 0.74 Lee & Dekalb Counties, I 523351BU7 09/30/11 01/01/18 100.000 0.000 3.9994 0.136788 0.139523 49.74 Lee & Dekalb Counties, I 523351BV5 09/30/11 01/01/19 100.000 0.000 4.2493 0.147217 0.150345 0.153540 0.156802 53.56 55.86 Lee & Dekalb Counties, I 523351BW3 09/30/11 01/01/20 117.427 0.000 4.4992 0.185409 0.189580 0.193845 0.198205 67.50 70.57 Liberty Interactive Corp 530610AA2 04/09/13 03/30/43 100.000 2.984 6.0293 0.186876 0.190011 0.193240 0.196567 0.199994 68.42 70.78 Liberty Interactive Corp 530610AB0 09/09/13 09/30/43 100.000 1.000 2.5054 0.072904 0.073470 0.074042 0.074622 0.075208 26.45 26.87 Liberty Interactive Corp 530610AD6 08/23/16 09/30/46 100.000 1.750 5.2776 18.81 0.147131 0.149731 0.152399 0.155138 0.157949 53.91 55.86 Liberty Media Corp. 530715AF8 11/16/99 11/15/29 100.000 4.000 9.0690 0.746944 0.775776 0.805915 0.837421 0.870355 276.80 298.76 Liberty Media Corp. 530715AG6 11/16/99 11/15/29 100.000 4.000 9.0690 0.746944 0.775776 0.805915 0.837421 0.870355 276.80 298.76 Liberty Media Corp. 530715AK7 02/10/00 02/15/30 100.000 3.750 9.4298 0.826744 0.860813 0.896488 0.933845 0.972964 313.25 339.86 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Liberty Media Corp. 530715AL5 02/10/00 02/15/30 100.000 3.750 9.4298 0.826744 0.860813 0.896488 0.933845 0.972964 313.25 339.86 Liberty Media Corp. 530715AM3 01/11/01 01/15/31** 100.000 3.500 N/A 0.800393 0.833794 0.868781 0.905430 0.943820 305.51** 331.81 Liberty Media Corp. 530715AN1 01/11/01 01/15/31** 100.000 3.500 N/A 0.800393 0.833794 0.868781 0.905430 0.943820 305.51** 331.81 Liberty Media Corp. 531229AC6 08/17/16 09/30/46 100.000 2.250 4.1931 15.63 0.116744 0.117882 0.119043 0.120228 0.121439 42.44 43.29 Liberty Media Corp. 531229AE2 08/17/16 09/30/46 100.000 2.250 4.1931 15.63 0.116744 0.117882 0.119043 0.120228 0.121439 42.44 43.29 Lloyds TSB Bank PLC 5394E8AN9 04/26/12 04/26/27 100.000 VARIES 4.6791 0.114882 0.114042 0.114409 0.114784 0.115169 41.18 41.30 Lloyds TSB Bank PLC 5394E8AP4 04/27/12 04/27/20 100.000 VARIES 2.7871 0.019845 0.020121 0.020402 0.020686 0.020974 7.23 7.43 Lloyds TSB Bank PLC 5394E8AV1 06/08/12 06/08/27* 95.000 8.000 8.5995 9.24 0.006880 1.09* Lloyds TSB Bank PLC 5394E8AY5 06/29/12 06/29/27* 95.000 8.000 8.5995 9.10 0.006880 1.23* Lloyds TSB Bank PLC 5394E8BB4 07/23/12 07/23/22 100.000 VARIES 2.8121 0.007332 0.007435 0.007540 0.007646 0.007754 2.69 2.77 Lloyds TSB Bank PLC 5394E8BC2 07/20/12 07/20/17 98.250 VARIES 2.8582 0.023172 0.023504 4.67 Lloyds TSB Bank PLC 5394E8BE8 07/23/12 07/23/24 96.000 VARIES 4.6384 12.31 0.008439 0.008634 0.008835 0.009039 0.009249 3.14 3.28 Lloyds TSB Bank PLC 5394E8BG3 09/19/12 09/19/32* 100.000 VARIES 4.3107 0.112502 0.111961 29.15* Lloyds TSB Bank PLC 5394E8BK4 01/31/13 01/31/33 100.000 VARIES 3.6033 0.088186 0.087510 0.086821 0.086119 0.085814 31.42 30.98 Lloyds TSB Bank PLC 5394E8BN8 02/22/13 02/22/33 100.000 VARIES 3.6892 0.088853 0.087701 0.087045 0.086377 0.085697 31.55 31.04 Lloyds TSB Bank PLC 5394E8BR9 04/26/13 04/26/33 100.000 VARIES 3.6255 0.075591 0.074225 0.072833 0.071416 0.071787 26.79 25.90 Lloyds TSB Bank PLC 5394E8BT5 07/05/13 07/05/33 100.000 VARIES 4.1638 0.090679 0.090181 0.089672 0.089152 0.088622 32.38 32.00 Lloyds TSB Bank PLC 5394E8BV0 07/26/13 07/26/33 100.000 VARIES 4.0718 0.092261 0.089957 0.087606 0.087336 0.087060 32.08 31.40 Lloyds TSB Bank PLC 5394E8BW8 07/26/13 07/26/28 100.000 VARIES 4.0226 0.102544 0.101897 0.101237 0.100564 0.099877 36.60 36.11 Lloyds TSB Bank PLC 5394E8BY4 07/29/13 07/29/33 100.000 VARIES 4.1865 0.095462 0.091732 0.087924 0.084036 0.080066 32.55 29.76 Lloyds TSB Bank PLC 5394E8BZ1 08/28/13 08/28/33 100.000 VARIES 4.7627 0.120570 0.119068 0.117530 0.116903 0.116261 42.76 42.04 Lloyds TSB Bank PLC 5394E8CA5 09/26/13 09/26/33 100.000 VARIES 5.0070 0.122095 0.120390 0.118641 0.118478 0.118311 43.32 42.65 Lloyds TSB Bank PLC 5394E8CB3 10/17/13 10/17/33 100.000 VARIES 5.0356 0.123446 0.121913 0.120340 0.120210 0.120076 43.93 43.28 Lloyds TSB Bank PLC 5394E8CC1 10/25/13 10/25/33 100.000 VARIES 5.0339 0.120764 0.118353 0.115881 0.115318 0.114740 42.72 41.54 Lloyds TSB Bank PLC 5394E8CD9 11/27/13 11/27/28 97.000 VARIES 4.8307 0.118777 0.118945 0.119116 0.119291 0.119470 42.80 42.93 Lloyds TSB Bank PLC 5394E8CE7 11/27/13 11/27/33 100.000 VARIES 4.4797 0.106315 0.104233 0.102104 0.101830 0.101550 37.76 36.69 Lloyds TSB Bank PLC 5394E8CF4 12/27/13 12/27/28 100.000 VARIES 4.0355 0.100361 0.099761 0.099149 0.099283 0.099419 36.02 35.72 Lloyds TSB Bank PLC 5394E8CG2 01/29/14 01/29/34 100.000 VARIES 4.7510 0.115951 0.114367 0.112745 0.111085 0.110968 40.97 40.02 Lloyds TSB Bank PLC 5394E8CK3 04/10/14 04/10/34 100.000 VARIES 4.6720 0.115347 0.114277 0.113182 0.112061 0.112116 41.16 40.46 Lloyds TSB Bank PLC 5394E8CL1 04/25/14 04/25/34 100.000 VARIES 3.7159 0.087411 0.084896 0.082334 0.079725 0.079592 30.68 28.99 Macon CNTYS SD #11, IL 555495DR8 05/06/15 12/01/17 105.649 VARIES 1.4828 0.042113 0.041653 13.81 Macon CNTYS SD #11, IL 555495DS6 05/06/15 12/01/18 107.392 VARIES 1.8335 0.053088 0.052556 0.052019 0.051478 18.98 17.07 Macon CNTYS SD #11, IL 555495DT4 05/06/15 12/01/19 109.091 VARIES 2.1341 0.062906 0.062318 0.061723 0.061122 0.060515 22.50 22.08 Macon CNTYS SD #11, IL 555495DU1 05/06/15 12/01/20 109.863 VARIES 2.3354 0.069590 0.069024 0.068451 0.067872 0.067286 24.92 24.50 Macon CNTYS DIST 537, IL 555545BT8 04/01/10 12/01/17 103.230 VARIES 4.2718 0.119267 0.118967 39.30 Macon CNTYS DIST 537, IL 555545BU5 04/01/10 12/01/18 105.024 VARIES 4.2244 0.118961 0.118569 0.118169 0.117761 42.73 38.92 Macon CNTYS SD #9, IL 555864AG2 05/24/13 12/01/17 106.698 VARIES 1.7393 0.049035 0.048676 16.12 Macon CNTYS SD #9, IL 555864AH0 05/24/13 12/01/18 106.171 VARIES 2.0893 0.059349 0.059026 0.058700 0.058370 21.29 19.31 Macon CNTYS SD #9, IL 555864AJ6 05/24/13 12/01/19 106.514 VARIES 2.4385 0.069803 0.069469 0.069131 0.068788 0.068442 25.05 24.80 Macon CNTYS SD #9, IL 555864AK3 05/24/13 12/01/20 105.634 VARIES 2.6887 0.076970 0.076698 0.076422 0.076142 0.075859 27.64 27.44 Marion County, IL 56884PAQ0 06/02/16 12/01/21 106.954 3.550 2.2000 13.65 0.064998 0.064628 0.064254 0.063876 0.063494 23.31 23.04 Marion CNTY SD #133, IL 568870BJ7 05/05/15 12/01/19 113.641 VARIES 2.7710 0.084081 0.082937 0.081777 0.080600 0.079408 29.99 29.16 ----------------------------- * Called in 2017; reportable OID is computed to call date. ** These calculations may be revised. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Marion CNTY SD #133, IL 568870BK4 05/05/15 12/01/20 116.003 VARIES 3.0724 0.095480 0.094280 0.093061 0.091824 0.090567 34.08 33.20 Marion CNTY SD #133, IL 568870BL2 05/05/15 12/01/21 116.656 VARIES 3.3738 0.106023 0.104883 0.103723 0.102544 0.101346 37.89 37.06 Marion CNTY SD #133, IL 568870BM0 05/05/15 12/01/22 117.424 VARIES 3.5754 0.113549 0.112475 0.111382 0.110269 0.109137 40.62 39.83 Marion CNTY SD #133, IL 568870BN8 05/05/15 12/01/23 119.592 VARIES 3.7759 0.122319 0.121220 0.120100 0.118958 0.117795 43.77 42.96 Marion County, OR 56913RAR9 03/28/02 06/01/17 33.393 0.000 7.3590 636.50 0.197162 29.57 Marion County, OR 56913RAS7 03/28/02 06/01/18 31.307 0.000 7.3093 590.31 0.182308 0.188970 0.195876 67.24 29.38 Marion County, OR 56913RAT5 03/28/02 06/01/19 28.898 0.000 7.3592 550.84 0.170633 0.176912 0.183421 0.190170 0.197168 62.94 67.66 Marion County, OR 56913RAU2 03/28/02 06/01/20 26.649 0.000 7.4091 513.50 0.159544 0.165454 0.171584 0.177940 0.184532 58.86 63.30 Mashantucket Western 574754AL1 07/01/13 07/01/26 53.461 6.350 N/A 0.261636 0.267782 0.274332 0.281318 0.288773 96.45 101.33 Mashantucket Western 574754AM9 07/01/13 07/01/36 14.695 1.000 N/A 0.141087 0.154967 0.170213 0.186958 0.205350 55.94 67.49 Mason CNTYS SD #191, IL 574816BW3 07/02/10 12/01/18 106.295 VARIES 4.3308 0.122398 0.121890 0.121372 0.120842 43.94 39.96 Mason CNTYS SD #191, IL 574816BX1 07/02/10 12/01/19 105.637 VARIES 4.7793 0.135587 0.135143 0.134688 0.134223 0.133746 48.70 48.38 Mclean County, IL 582001FB4 06/30/14 12/01/18 99.601 VARIES 2.2168 0.060544 0.060671 0.060799 0.061186 21.83 20.13 Mclean County, IL 582001FD0 06/30/14 12/01/20 99.401 VARIES 3.1536 0.086649 0.086592 0.086534 0.086475 0.086415 31.18 31.14 Mclean County, IL 582001FE8 06/30/14 12/01/21 112.369 VARIES 3.6290 0.109359 0.108571 0.107769 0.106952 0.106121 39.18 38.60 Mclean County, IL 582001FF5 06/30/14 12/01/22 111.828 VARIES 3.8797 0.117036 0.116343 0.115636 0.114916 0.114181 41.97 41.46 Mclean County, IL 582001FG3 06/30/14 12/01/23 110.876 VARIES 4.1300 0.124192 0.123601 0.122999 0.122384 0.121756 44.57 44.13 Mclean County, IL 582001FH1 06/30/14 12/01/24 109.553 VARIES 4.3801 0.130783 0.130301 0.129809 0.129306 0.128792 46.97 46.61 Menard Cass Counties, IL 586362FD2 10/30/15 12/01/17 104.287 VARIES 1.6415 0.046547 0.046074 15.28 Menard Cass Counties, IL 586362FE0 10/30/15 12/01/18 105.955 VARIES 1.9923 0.057509 0.056975 0.056436 0.055891 20.57 18.53 Merrill Lynch & Co., Inc 590188W46 03/13/02 03/13/32 100.000 VARIES 5.7132 0.356560 0.364963 0.373607 0.382497 0.391414 131.72 138.02 Merrill Lynch & Co., Inc 59018YC66 05/02/07 05/02/17 100.000 VARIES 5.5834 0.154555 18.70 Merrill Lynch & Co., Inc 59018YD65 05/18/07 05/18/17 100.000 VARIES 5.6522 0.156640 21.46 Merrill Lynch & Co., Inc 59018YE49 06/06/07 06/06/17 100.000 VARIES 5.9091 0.163714 25.38 Mexican States 593048BN0 03/30/01 12/30/19 89.000 8.125 9.3823 77.80 0.026527 0.027771 0.029074 0.030438 0.031866 9.78 10.71 Miami-Dade County, FL 59333MXE0 12/15/09 12/15/26 73.673 5.760 8.7676 66.24 0.035421 0.036973 0.038594 0.040286 0.042052 13.08 14.25 Microchip Technology Inc 595017AA2 12/07/07 12/15/37* 100.000 VARIES 9.1009 0.486167 0.502870 170.23* Microchip Technology Inc 595017AB0 12/07/07 12/15/37* 100.000 VARIES 9.1009 0.486167 0.502870 170.23* Molina Healthcare Inc. 60855RAD2 09/05/14 08/15/44 100.500 VARIES 7.5078 0.234945 0.242070 0.249462 0.257133 0.265091 87.84 93.31 Molina Healthcare Inc. 60855RAE0 09/05/14 08/15/44 100.500 VARIES 7.5078 0.234945 0.242070 0.249462 0.257133 0.265091 87.84 93.31 MOOD MEDIA BORROWER LLC 614875AB8 06/28/17 07/01/24 65.470 VARIES 24.9700 0.247268 0.247268 0.270222 0.295333 45.25 101.80 Morgan Stanley 6174464P1 03/20/08 03/20/23 81.700 2.935 4.6422 0.116719 0.117536 0.118372 0.119227 0.120102 42.33 42.94 Morgan Stanley 6174464Q9 03/20/08 03/20/23 78.350 VARIES 4.6440 0.114523 0.115490 0.116479 0.117491 0.118527 41.60 42.32 Morgan Stanley 617446H69 05/30/07 06/26/17 100.000 0.000 5.8001 0.278514 48.74 Morgan Stanley 61745E2D2 01/24/11 01/24/20 100.000 VARIES 5.2662 0.147586 0.147558 0.147437 0.147313 0.147085 53.10 53.00 Morgan Stanley 61745E2E0 07/11/11 07/11/23 100.000 VARIES 5.5160 0.155464 0.155490 0.155516 0.155445 0.155371 55.98 55.95 Morgan Stanley 61745E2F7 11/28/11 11/28/26 100.000 VARIES 6.0157 0.140760 0.141719 0.142708 0.143726 0.144774 50.91 51.63 Morgan Stanley 61745E2K6 01/21/11 01/21/26 100.000 VARIES 5.7295 0.128483 0.127943 0.128482 0.129037 0.129608 46.16 46.53 Morgan Stanley 61745E2L4 07/07/11 07/07/20 100.000 VARIES 2.2423 0.012608 0.012750 0.012893 0.013037 0.013183 4.61 4.72 Morgan Stanley 61745E2M2 11/30/11 11/30/31 100.000 VARIES 6.5857 0.161334 0.160722 0.160090 0.160086 0.160082 57.93 57.63 Morgan Stanley 61745E2S9 07/13/11 07/13/31 100.000 VARIES 5.5541 0.137591 0.137093 0.136581 0.136055 0.135514 49.27 48.90 Morgan Stanley 61745E2Y6 07/15/11 07/15/17 100.000 VARIES 4.3804 0.122029 0.121855 23.64 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61745E2Z3 11/30/11 11/30/31 100.000 VARIES 6.7334 0.151419 0.152087 0.152777 0.153490 0.154228 54.67 55.17 Morgan Stanley 61745E3D1 02/14/11 02/14/31 100.000 VARIES 6.0719 0.136858 0.136040 0.136306 0.136580 0.136862 49.05 49.20 Morgan Stanley 61745E3J8 07/28/10 07/28/17 100.000 VARIES 2.9665 0.020000 0.020297 4.19 Morgan Stanley 61745E3R0 02/11/11 02/11/20 100.000 VARIES 5.7501 0.162676 0.162410 0.162045 0.161669 0.161226 58.43 58.15 Morgan Stanley 61745E3S8 07/29/11 07/29/31 100.000 VARIES 5.6231 0.137408 0.137036 0.136654 0.136261 0.135857 49.29 49.00 Morgan Stanley 61745E3T6 12/27/11 12/27/26 100.000 VARIES 6.9292 0.157864 0.159079 0.160336 0.161637 0.162982 57.06 57.97 Morgan Stanley 61745E3W9 08/17/10 08/17/20 100.000 VARIES 2.7071 0.021326 0.021615 0.021907 0.022204 0.022504 7.81 8.02 Morgan Stanley 61745E3Y5 07/29/11 07/29/26 100.000 VARIES 5.4529 0.122752 0.123147 0.123553 0.123970 0.124398 44.38 44.68 Morgan Stanley 61745E4E8 07/29/11 07/29/26 100.000 VARIES 5.4933 0.133072 0.133541 0.134023 0.134518 0.135026 48.13 48.49 Morgan Stanley 61745E4K4 02/18/11 02/18/20 100.000 VARIES 2.8599 0.016282 0.016515 0.016751 0.016990 0.017233 5.97 6.14 Morgan Stanley 61745E4L2 07/29/11 07/29/26 100.000 VARIES 5.5117 0.125638 0.125975 0.126322 0.126679 0.127045 45.39 45.65 Morgan Stanley 61745E4M0 12/23/11 12/23/18 100.000 VARIES 4.9659 0.025815 0.025552 0.025281 0.025004 9.24 8.85 Morgan Stanley 61745E4T5 01/13/12 01/13/32 100.000 VARIES 6.1787 0.138193 0.133881 0.134344 0.134822 0.135314 48.33 48.61 Morgan Stanley 61745E5R8 03/15/11 03/15/21 100.000 VARIES 5.2217 0.147183 0.147216 0.147028 0.146835 0.146581 52.98 52.85 Morgan Stanley 61745E5S6 08/22/11 08/22/31 100.000 VARIES 5.6565 0.134896 0.135504 0.136130 0.136774 0.137436 48.83 49.29 Morgan Stanley 61745E5W7 08/31/10 08/31/20 100.000 VARIES 2.8095 0.012698 0.012666 0.013057 0.013024 0.013426 4.67 4.81 Morgan Stanley 61745E5X5 03/22/11 03/22/31 100.000 VARIES 5.8739 0.158735 0.158771 0.159019 0.159273 0.159536 57.18 57.34 Morgan Stanley 61745E5Z0 01/31/12 01/31/32 100.000 VARIES 5.6272 0.134360 0.134379 0.134569 0.134764 0.134964 48.40 48.54 Morgan Stanley 61745E6D8 03/23/11 03/23/26 100.000 VARIES 5.5647 0.151907 0.152139 0.152377 0.152622 0.152941 54.77 54.96 Morgan Stanley 61745E6E6 08/24/11 08/24/23 100.000 VARIES 4.5799 0.128431 0.128503 0.128577 0.128569 0.128561 46.27 46.28 Morgan Stanley 61745E6M8 02/15/12 02/15/19 100.000 VARIES 5.4092 0.151594 0.151544 0.151306 0.151061 0.150663 54.53 54.34 Morgan Stanley 61745E6R7 03/25/11 03/25/31 100.000 VARIES 5.9463 0.141846 0.142059 0.142696 0.143351 0.144026 51.18 51.62 Morgan Stanley 61745E6V8 04/15/10 04/15/25 100.000 VARIES 5.5533 0.151850 0.151846 0.151911 0.151978 0.152048 54.67 54.71 Morgan Stanley 61745E6Y2 08/12/11 08/12/23 100.000 VARIES 5.0167 0.140364 0.140386 0.140409 0.140383 0.140356 50.54 50.54 Morgan Stanley 61745E7E5 08/31/11 08/31/26 100.000 VARIES 5.5216 0.124628 0.122676 0.124792 0.122841 0.124965 45.15 45.21 Morgan Stanley 61745E7K1 03/31/11 04/01/21 100.000 VARIES 5.3224 0.150748 0.150669 0.150446 0.150217 0.149891 54.23 54.07 Morgan Stanley 61745ED65 04/08/11 04/08/26 100.000 VARIES 5.9065 0.161614 0.161866 0.162126 0.162394 0.162741 58.27 58.46 Morgan Stanley 61745EE49 04/15/11 04/15/26 100.000 VARIES 5.7613 0.151511 0.151750 0.151996 0.152248 0.152692 54.62 54.82 Morgan Stanley 61745EE98 09/22/10 09/22/19 100.000 VARIES 2.8227 0.020005 0.020287 0.020573 0.020864 0.021158 7.31 7.52 Morgan Stanley 61745EF22 04/15/11 04/15/26 100.000 VARIES 5.8397 0.170044 0.170095 0.170148 0.170202 0.170258 61.23 61.27 Morgan Stanley 61745EF63 05/18/10 05/18/25 100.000 VARIES 6.0399 0.163723 0.163620 0.163600 0.163580 0.163559 58.92 58.89 Morgan Stanley 61745EF89 04/15/11 04/15/21 100.000 VARIES 2.2565 0.007074 0.007153 0.007234 0.007316 0.007398 2.57 2.63 Morgan Stanley 61745EF97 08/31/11 08/31/31 100.000 VARIES 5.6735 0.134726 0.133024 0.135745 0.134054 0.136821 48.99 49.37 Morgan Stanley 61745EG62 04/25/11 04/25/23 100.000 VARIES 5.6779 0.156005 0.155442 0.156417 0.155686 0.156539 56.87 56.97 Morgan Stanley 61745EH46 04/26/11 04/26/26 100.000 VARIES 5.7525 0.130621 0.130346 0.131516 0.131261 0.132963 47.69 48.05 Morgan Stanley 61745EJ28 04/29/11 04/29/26 100.000 VARIES 5.7372 0.141653 0.140881 0.140913 0.140947 0.140982 50.81 50.74 Morgan Stanley 61745EJ77 09/30/10 09/30/17 100.000 VARIES 2.7147 0.015541 0.015751 4.22 Morgan Stanley 61745EJ85 04/28/11 04/28/17 100.000 VARIES 1.7167 0.012221 1.43 Morgan Stanley 61745EJ93 09/09/11 09/09/26 100.000 VARIES 5.8527 0.140548 0.140618 0.140689 0.141487 0.142309 50.63 50.97 Morgan Stanley 61745EL33 09/30/10 09/30/19 100.000 VARIES 2.8241 0.028961 0.029370 0.029784 0.030205 0.030632 10.57 10.88 Morgan Stanley 61745EL41 04/29/11 04/29/18 100.000 VARIES 1.6126 0.010564 0.010649 0.010735 3.83 1.27 Morgan Stanley 61745EL58 09/16/11 09/16/31 100.000 VARIES 5.8547 0.133771 0.134312 0.134870 0.135718 0.136592 48.37 48.89 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61745EL90 10/15/10 10/15/19 100.000 VARIES 2.5026 0.018394 0.018625 0.018858 0.019094 0.019332 6.70 6.87 Morgan Stanley 61745EM32 09/22/11 09/22/26 100.000 VARIES 5.5348 0.131533 0.132210 0.132905 0.133620 0.134354 47.61 48.12 Morgan Stanley 61745EM81 05/17/11 05/17/23 100.000 VARIES 5.1511 0.144378 0.144409 0.144378 0.144346 0.144262 51.98 51.97 Morgan Stanley 61745EM99 09/30/11 09/30/17 100.000 VARIES 3.3264 0.012150 0.012352 3.30 Morgan Stanley 61745EN64 05/19/11 05/19/26 100.000 VARIES 5.5224 0.140062 0.137557 0.139606 0.137096 0.139615 50.64 50.49 Morgan Stanley 61745EN72 09/30/11 09/30/31 100.000 VARIES 6.1252 0.132246 0.133193 0.134169 0.135175 0.136212 47.95 48.67 Morgan Stanley 61745EP47 05/12/11 05/12/21 100.000 VARIES 1.9923 0.013504 0.013638 0.013774 0.013911 0.014050 4.90 5.00 Morgan Stanley 61745ER52 10/15/10 10/15/19 100.000 VARIES 2.6938 0.023193 0.023506 0.023822 0.024143 0.024468 8.45 8.68 Morgan Stanley 61745ER60 05/31/11 05/31/31 100.000 VARIES 5.6682 0.138876 0.138021 0.137779 0.137529 0.137273 49.81 49.54 Morgan Stanley 61745ES28 06/24/10 06/24/20 100.000 VARIES 5.8923 0.168861 0.168308 0.167739 0.167062 0.166365 60.68 60.25 Morgan Stanley 61745ES93 10/27/10 10/27/17 100.000 VARIES 2.4456 0.017825 0.018043 5.32 Morgan Stanley 61745ET27 05/31/11 05/31/26 100.000 VARIES 5.5394 0.149750 0.149703 0.149655 0.149605 0.149644 53.90 53.87 Morgan Stanley 61745EU66 06/10/11 06/10/26 100.000 VARIES 5.3579 0.148467 0.148212 0.147951 0.147682 0.147532 53.39 53.21 Morgan Stanley 61745EV40 06/14/11 06/14/21 100.000 VARIES 2.3142 0.014247 0.014412 0.014579 0.014748 0.014918 5.16 5.28 Morgan Stanley 61745EV65 01/20/09 01/20/24 100.000 VARIES 5.9022 0.150713 0.151918 0.152923 0.153958 0.155023 54.83 55.58 Morgan Stanley 61745EW23 06/23/11 06/23/26 100.000 VARIES 5.4880 0.125920 0.126248 0.126584 0.126930 0.127854 45.40 45.64 Morgan Stanley 61745EW31 10/27/11 10/27/31 100.000 VARIES 6.4618 0.174989 0.175060 0.175134 0.175210 0.175289 63.02 63.07 Morgan Stanley 61745EW49 01/30/09 01/30/24 100.000 VARIES 6.4553 0.166230 0.167450 0.168711 0.170011 0.170951 60.44 61.31 Morgan Stanley 61745EW72 11/23/10 11/23/19 100.000 VARIES 2.3594 0.018253 0.018468 0.018686 0.018906 0.019129 6.63 6.78 Morgan Stanley 61745EW98 11/17/11 11/17/17 100.000 VARIES 3.9291 0.012015 0.012251 3.84 Morgan Stanley 61745EX63 06/30/11 06/30/31 100.000 VARIES 5.7759 0.139594 0.138619 0.138362 0.138097 0.137824 50.08 49.76 Morgan Stanley 61745EY21 07/15/10 07/15/20 100.000 VARIES 3.4515 0.022452 0.022839 0.023234 0.023634 0.024042 8.28 8.57 Morgan Stanley 61745EY39 12/15/10 12/15/19 100.000 VARIES 5.6449 0.160785 0.160263 0.159728 0.159061 0.158375 57.77 57.36 Morgan Stanley 61745EY47 06/30/11 06/30/26 100.000 VARIES 5.5720 0.137135 0.137785 0.138453 0.139139 0.140043 49.49 49.97 Morgan Stanley 61745EZ79 12/15/10 12/15/19 100.000 VARIES 2.6578 0.031717 0.032138 0.032565 0.032998 0.033437 11.51 11.82 Morgan Stanley 61745EZ87 07/07/11 07/07/26 100.000 VARIES 5.7789 0.141090 0.141943 0.142819 0.143980 0.145173 51.25 52.03 Morgan Stanley 61745EZ95 11/29/11 11/29/19 100.000 VARIES 5.8964 0.164877 0.164732 0.164582 0.164392 0.164197 59.32 59.20 Morgan Stanley 61746BDP8 02/04/14 02/04/19 100.000 0.000 2.5695 0.076079 0.077057 0.078047 0.079049 0.080065 27.85 28.57 Morgan Stanley 6174822C7 09/28/12 09/28/27* 100.000 VARIES 4.7925 0.133059 0.133426 35.33* Morgan Stanley 6174822D5 09/28/12 09/28/32* 100.000 VARIES 5.0082 0.136333 0.136455 36.15* Morgan Stanley 6174822E3 09/28/12 09/28/32* 100.000 VARIES 5.0052 0.133058 0.133016 35.25* Morgan Stanley 6174822F0 09/28/12 09/28/32* 100.000 VARIES 4.9983 0.126207 0.125653 33.35* Morgan Stanley 6174822J2 09/28/12 09/28/32* 100.000 VARIES 5.0415 0.134963 0.135106 35.79* Morgan Stanley 6174822R4 10/31/12 10/31/19 100.000 0.000 3.3499 0.106277 0.108057 0.109867 0.111707 0.113578 38.80 40.11 Morgan Stanley 6174822S2 10/31/12 10/31/17 100.000 0.000 2.8338 0.088094 0.089343 26.56 Morgan Stanley 6174822X1 10/31/12 10/29/32* 100.000 VARIES 4.6666 0.118493 0.118152 0.117803 35.25* Morgan Stanley 6174822Y9 10/31/12 10/29/32* 100.000 VARIES 4.6742 0.125222 0.125417 0.125617 37.35* Morgan Stanley 6174823M4 11/30/12 11/29/19 100.000 0.000 3.2127 0.101367 0.102995 0.104650 0.106331 0.108039 36.89 38.09 Morgan Stanley 6174823N2 11/30/12 11/30/17 100.000 0.000 2.8395 0.088291 0.089544 29.27 Morgan Stanley 6174824H4 04/30/13 04/28/23 100.000 VARIES 3.0093 0.080603 0.080762 0.080935 0.081110 0.081304 29.07 29.19 Morgan Stanley 6174824W1 05/30/13 05/30/28 100.000 VARIES 3.5684 0.094454 0.094552 0.094702 0.094855 0.095010 34.03 34.13 Morgan Stanley 6174824Z4 07/03/13 06/29/20 100.000 0.000 3.7329 0.117974 0.120175 0.122418 0.124703 0.127031 42.88 44.49 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 617482D76 11/28/11 11/28/17 100.000 0.000 6.9072 0.269436 0.278742 89.78 Morgan Stanley 617482F41 01/30/12 01/30/18 100.000 0.000 4.7546 0.163172 0.167051 0.171022 60.63 4.96 Morgan Stanley 617482F66 01/31/12 01/29/27* 100.000 VARIES 5.2920 0.138540 0.138006 4.02* Morgan Stanley 617482F90 02/29/12 02/28/19 100.000 0.000 5.2371 0.182565 0.184291 0.192252 0.194069 0.202452 68.15 71.76 Morgan Stanley 617482G73 03/30/12 03/29/18 100.000 0.000 4.9522 0.171413 0.175657 0.180007 63.26 15.84 Morgan Stanley 617482H23 03/16/12 03/16/27 100.000 VARIES 6.4024 0.168775 0.168064 0.167741 0.167407 0.167063 60.52 60.26 Morgan Stanley 617482H56 03/30/12 03/30/27* 100.000 VARIES 6.3038 0.162594 14.31* Morgan Stanley 617482H64 04/02/12 04/02/27* 100.000 VARIES 6.2401 0.161389 0.160648 14.85* Morgan Stanley 617482J62 04/30/12 04/28/17 100.000 0.000 4.8877 0.168679 19.74 Morgan Stanley 617482J96 04/30/12 04/28/17 100.000 0.000 4.8877 0.168679 19.74 Morgan Stanley 617482K45 04/25/12 04/26/27 100.000 VARIES 6.3672 0.164284 0.163893 0.163489 0.163072 0.163090 59.02 58.76 Morgan Stanley 617482L69 01/30/12 01/30/17 100.000 0.000 4.4802 0.151910 4.41 Morgan Stanley 617482L85 01/31/12 01/31/17 100.000 0.000 4.4377 0.150186 4.36 Morgan Stanley 617482L93 01/31/12 01/31/18 100.000 0.000 4.6981 0.160832 0.164610 0.168477 59.73 4.89 Morgan Stanley 617482M27 02/29/12 02/28/18 100.000 0.000 5.1562 0.179108 0.180730 0.188462 66.82 10.93 Morgan Stanley 617482M68 03/30/12 03/29/18 100.000 0.000 4.9684 0.172097 0.176372 0.180753 63.52 15.91 Morgan Stanley 617482M84 03/30/12 03/27/17 100.000 0.000 4.7959 0.164823 14.17 Morgan Stanley 617482N26 04/30/12 04/30/18 100.000 0.000 5.1860 0.181380 0.186083 0.190908 66.72 22.72 Morgan Stanley 617482N83 07/05/12 07/03/19 100.000 0.000 5.1923 0.177003 0.181598 0.186312 0.191149 0.196112 66.21 69.69 Morgan Stanley 617482P73 10/03/12 10/03/18 100.000 0.000 3.2792 0.103746 0.105447 0.107176 0.108934 37.96 29.47 Morgan Stanley 617482PU2 12/22/10 12/22/25 100.000 VARIES 6.2468 0.162103 0.162069 0.162034 0.161998 0.161960 58.35 58.32 Morgan Stanley 617482Q23 10/31/12 10/31/19 100.000 0.000 3.3725 0.107089 0.108895 0.110732 0.112599 0.114497 39.10 40.43 Morgan Stanley 617482Q72 05/30/12 11/30/17 100.000 0.000 5.8535 0.208514 0.213444 70.34 Morgan Stanley 617482QH0 01/28/11 01/27/17 100.000 0.000 4.1753 0.145561 3.78 Morgan Stanley 617482QY3 02/08/11 12/22/20 100.000 VARIES N/A 0.148559 0.148596 0.148804 0.149018 0.149336 53.52 53.69 Morgan Stanley 617482R55 05/31/12 05/28/32* 100.000 VARIES 6.7095 0.160302 0.157627 23.88* Morgan Stanley 617482R63 06/04/12 06/04/27 100.000 VARIES 6.4700 0.179307 0.179242 0.179175 0.179105 0.178408 64.54 64.47 Morgan Stanley 617482R71 06/15/12 06/15/27* 100.000 VARIES 6.6026 0.182313 30.08* Morgan Stanley 617482R97 06/29/12 06/29/17 100.000 0.000 4.7648 0.163593 29.12 Morgan Stanley 617482RB2 02/25/11 02/27/17 100.000 0.000 4.3449 0.152918 8.56 Morgan Stanley 617482RH9 02/28/11 02/27/26 100.000 VARIES 5.9551 0.157540 0.157259 0.156969 0.156913 0.156855 56.59 56.48 Morgan Stanley 617482RL0 03/30/11 09/29/17 100.000 0.000 4.3133 0.151491 0.154758 41.19 Morgan Stanley 617482S70 06/29/12 06/29/32* 100.000 VARIES 6.4089 0.156711 28.05* Morgan Stanley 617482S88 06/29/12 06/29/27* 100.000 VARIES 6.1369 0.169642 30.37* Morgan Stanley 617482T95 07/31/12 07/31/18 100.000 0.000 4.8289 0.162342 0.166262 0.170276 0.174387 60.35 36.33 Morgan Stanley 617482TA2 04/28/11 07/28/17 100.000 0.000 4.1508 0.143060 0.146030 30.15 Morgan Stanley 617482TQ7 05/27/11 05/30/17 100.000 0.000 3.9014 0.134075 19.98 Morgan Stanley 617482U44 07/31/12 07/30/27* 100.000 VARIES 5.9206 0.161044 0.164306 0.162227 34.08* Morgan Stanley 617482U51 07/31/12 07/30/32* 100.000 VARIES 6.0841 0.157900 0.160291 0.157448 33.27* Morgan Stanley 617482UH5 05/31/11 05/29/26 100.000 VARIES 5.3835 0.145934 0.145650 0.145358 0.145058 0.144960 52.47 52.26 Morgan Stanley 617482UP7 06/29/11 06/29/17 100.000 0.000 3.6574 0.124007 22.07 Morgan Stanley 617482UY8 06/15/11 06/13/31 100.000 VARIES 5.5345 0.139594 0.138924 0.138630 0.138329 0.138018 50.12 49.84 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 617482V50 07/31/12 07/30/32* 100.000 VARIES 6.0491 0.146378 0.147565 0.143903 30.66* Morgan Stanley 617482V68 08/17/12 08/17/27* 100.000 VARIES 5.8776 0.165866 0.166359 37.57* Morgan Stanley 617482V76 08/31/12 08/31/32* 100.000 VARIES 5.8050 0.154246 0.151571 36.53* Morgan Stanley 617482V84 08/31/12 08/31/32* 100.000 VARIES 5.7935 0.143198 0.140108 33.81* Morgan Stanley 617482VB7 06/30/11 06/30/31 100.000 VARIES 5.5330 0.140814 0.140422 0.140019 0.139605 0.139453 50.62 50.33 Morgan Stanley 617482VG6 06/14/11 09/14/17 100.000 0.000 3.8913 0.132339 0.134913 33.95 Morgan Stanley 617482VQ4 08/31/11 08/31/17 100.000 0.000 4.9901 0.176372 0.177825 42.95 Morgan Stanley 617482VU5 08/29/11 08/29/17 100.000 0.000 5.0291 0.176143 0.181565 43.26 Morgan Stanley 617482VX9 09/29/11 09/29/17 100.000 0.000 6.0378 0.225811 0.232628 61.74 Morgan Stanley 617482W75 08/31/12 08/31/18 100.000 0.000 4.3348 0.142155 0.142868 0.148384 0.149129 52.78 36.05 Morgan Stanley 617482WC4 07/28/11 07/28/17 100.000 0.000 4.3106 0.148200 0.151394 31.25 Morgan Stanley 617482WK6 07/28/11 07/28/17 100.000 0.000 4.3106 0.148200 0.151394 31.25 Morgan Stanley 617482X25 08/31/12 08/31/27* 100.000 VARIES 5.6218 0.154394 0.152397 36.69* Morgan Stanley 617482X41 08/31/12 08/31/32* 100.000 VARIES 5.8551 0.157541 0.155118 37.37* Morgan Stanley 617482X90 09/28/12 09/28/18 100.000 0.000 3.2592 0.103032 0.104711 0.106417 0.108151 37.71 28.73 Morgan Stanley 617482XG4 08/30/11 08/29/31 100.000 VARIES 6.1189 0.153862 0.154255 0.152950 0.153311 0.151981 56.12 55.77 Morgan Stanley 617482XL3 08/26/11 08/25/17 100.000 0.000 4.9768 0.176739 0.181137 42.15 MORGAN STANLEY 617482XT6 08/31/11 08/31/17 100.000 1.000 5.0230 296.16 0.170963 0.174535 41.51 Morgan Stanley 617482XW9 09/29/11 09/29/17 100.000 0.000 6.0328 0.225571 0.232375 61.68 Morgan Stanley 617482Y99 11/30/12 11/30/27* 100.000 VARIES 4.1468 0.114289 0.114569 37.54* Morgan Stanley 617482YD0 09/16/11 09/14/18 100.000 0.000 5.1470 0.184284 0.189027 0.193891 0.198881 68.22 49.95 Morgan Stanley 617482Z23 11/30/12 11/30/32* 100.000 VARIES 4.3510 0.110896 0.110593 36.43* Morgan Stanley 617482Z31 11/30/12 11/30/32* 100.000 VARIES 4.3570 0.116736 0.116902 38.44* Morgan Stanley 61755S172 06/04/12 05/30/17 100.000 0.000 5.5377 0.196570 29.29 Morgan Stanley 61755S354 07/03/12 02/27/17 100.000 0.000 4.7356 0.159755 8.95 Morgan Stanley 61755S412 08/02/12 07/30/18 100.000 0.000 4.5511 0.151316 0.154759 0.158281 0.161883 56.15 33.73 Morgan Stanley 61755S552 08/17/12 10/17/17 100.000 0.000 4.2529 0.140785 0.143779 40.80 Morgan Stanley 61758S260 09/04/14 02/28/22 100.000 0.000 3.2754 0.096520 0.096501 0.099707 0.099688 0.103000 35.62 36.79 Morgan Stanley 61758S559 09/02/14 07/03/23 100.000 0.000 3.4567 0.102260 0.104028 0.105826 0.107655 0.109515 37.77 39.08 Morgan Stanley 61758S625 10/03/14 03/31/22 100.000 0.000 3.6906 0.110274 0.112309 0.114381 0.116492 0.118642 40.44 41.94 Morgan Stanley 61759G653 07/30/10 03/30/17 100.000 0.000 5.0432 0.190468 16.95 Morgan Stanley 61760E226 08/31/11 08/31/17 100.000 0.000 5.0772 0.180215 0.181777 43.90 Morgan Stanley 61760E309 02/25/11 02/22/18 100.000 0.000 4.9086 0.177957 0.182325 0.186799 65.99 9.53 Morgan Stanley 61760E341 06/29/11 06/24/26 100.000 1.000 5.3273 0.188172 0.192445 0.196831 0.201334 0.205957 68.57 71.73 Morgan Stanley 61760E366 06/30/11 06/30/17 100.000 0.000 3.7942 0.129596 23.20 Morgan Stanley 61760E499 07/29/11 07/31/17 100.000 0.000 4.2686 0.146487 0.149614 31.18 Morgan Stanley 61760E630 05/27/11 05/24/17 100.000 0.000 3.9897 0.137675 19.69 Morgan Stanley 61760P650 09/29/11 12/22/17 100.000 0.000 6.0586 0.229987 0.236954 81.98 MORGAN STANLEY 61760P692 09/30/11 09/29/17 100.000 1.000 6.0176 357.31 0.215216 0.220855 58.69 MORGAN STANLEY 61760P825 09/30/11 09/29/17 100.000 1.000 6.0423 358.99 0.216362 0.222060 59.01 Morgan Stanley 61760QAB0 02/29/12 02/29/32 100.000 VARIES 5.1014 0.118021 0.115813 0.118157 0.116660 0.119041 42.69 42.96 Morgan Stanley 61760QAC8 02/29/12 02/29/32 100.000 VARIES 5.1025 0.132024 0.129615 0.131496 0.129083 0.131203 47.68 47.52 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61760QAE4 02/29/12 02/28/17 100.000 VARIES 3.1265 0.017041 0.99 Morgan Stanley 61760QAG9 03/15/12 03/15/32 100.000 VARIES 5.5710 0.130717 0.130018 0.130174 0.130335 0.130499 46.87 46.93 Morgan Stanley 61760QAK0 03/30/12 03/30/32 100.000 VARIES 5.8741 0.133263 0.133223 0.133182 0.133140 0.133698 47.96 47.98 Morgan Stanley 61760QAM6 03/16/12 03/16/17 100.000 VARIES 3.6246 0.030683 2.30 Morgan Stanley 61760QAN4 03/30/12 03/30/32 100.000 VARIES 6.0912 0.150727 0.149948 0.149146 0.148320 0.148134 53.98 53.45 Morgan Stanley 61760QAP9 03/30/12 03/30/27 100.000 VARIES 5.8451 0.138132 0.138258 0.138387 0.138520 0.139324 49.77 49.93 Morgan Stanley 61760QAR5 03/30/12 03/30/17 100.000 VARIES 3.2447 0.020356 1.81 Morgan Stanley 61760QAU8 03/30/12 03/30/17 100.000 VARIES 3.2451 0.020368 1.81 Morgan Stanley 61760QAW4 04/30/12 04/30/32 100.000 VARIES 5.9580 0.135845 0.135912 0.135980 0.136051 0.136721 48.92 49.01 Morgan Stanley 61760QAY0 04/16/12 04/16/19 100.000 VARIES 3.3327 0.014903 0.015151 0.015403 0.015660 0.015921 5.45 5.63 Morgan Stanley 61760QBA1 04/30/12 04/30/17 100.000 VARIES 3.6147 0.030415 3.62 Morgan Stanley 61760QBB9 04/30/12 04/30/32* 100.000 VARIES 6.3756 0.148943 0.146705 17.87* Morgan Stanley 61760QBC7 04/30/12 04/30/17 100.000 VARIES 3.3428 0.023026 2.74 Morgan Stanley 61760QBE3 05/21/12 05/21/21 100.000 VARIES 3.6559 0.015479 0.015762 0.016050 0.016343 0.016642 5.65 5.85 Morgan Stanley 61760QBG8 05/16/12 05/16/22 100.000 VARIES 3.9371 0.021706 0.022133 0.022569 0.023013 0.023466 7.93 8.25 Morgan Stanley 61760QBH6 05/31/12 05/31/27 100.000 VARIES 6.1478 0.144070 0.142164 0.142144 0.142123 0.142102 51.46 51.17 Morgan Stanley 61760QBJ2 05/31/12 05/31/27 100.000 VARIES 6.1478 0.144070 0.142164 0.142144 0.142123 0.142102 51.46 51.17 Morgan Stanley 61760QBK9 05/30/12 05/30/17 100.000 VARIES 3.9102 0.038422 5.72 Morgan Stanley 61760QBM5 06/15/12 06/15/19 100.000 VARIES 4.3022 0.020835 0.021283 0.021741 0.022208 0.022686 7.60 7.93 Morgan Stanley 61760QBP8 06/20/12 06/20/17 100.000 VARIES 4.3857 0.010484 1.77 Morgan Stanley 61760QBR4 08/02/12 08/02/19 100.000 VARIES 3.6421 0.016006 0.016297 0.016594 0.016896 0.017204 5.90 6.12 Morgan Stanley 61760QBS2 07/20/12 07/20/17 100.000 VARIES 3.6337 0.016979 0.017288 3.43 Morgan Stanley 61760QBU7 08/14/12 08/14/17 100.000 VARIES 3.5376 0.014419 0.014674 3.26 Morgan Stanley 61760QBV5 08/31/12 09/01/19 100.000 VARIES 3.6021 0.015026 0.015296 0.015572 0.015852 0.016138 5.52 5.72 Morgan Stanley 61760QBY9 10/15/12 10/15/24 100.000 VARIES 4.4801 0.124717 0.124707 0.124696 0.124685 0.124648 44.89 44.89 Morgan Stanley 61760QBZ6 10/10/12 10/10/24 100.000 VARIES 4.6395 0.128849 0.128866 0.128883 0.128862 0.128841 46.39 46.39 Morgan Stanley 61760QCB8 11/28/12 11/28/27 100.000 VARIES 4.4679 0.136735 0.137510 0.138301 0.139111 0.139939 49.42 49.99 Morgan Stanley 61760QCD4 12/28/12 12/28/22 100.000 VARIES 2.1577 0.008540 0.008632 0.008725 0.008819 0.008914 3.09 3.16 Morgan Stanley 61760QCG7 01/31/13 01/31/23 100.000 VARIES 2.1326 0.009259 0.009357 0.009457 0.009558 0.009660 3.38 3.45 Morgan Stanley 61760QCJ1 02/15/13 02/15/18 100.000 VARIES 1.6303 0.009222 0.009297 0.009373 3.35 0.41 Morgan Stanley 61760QCK8 02/28/13 03/01/23 100.000 VARIES 1.9099 0.009152 0.009239 0.009328 0.009417 0.009507 3.33 3.40 Morgan Stanley 61760QCQ5 06/28/13 06/28/28 100.000 VARIES 3.9696 0.096981 0.096337 0.096577 0.096822 0.097072 34.80 34.81 Morgan Stanley 61760QCR3 06/07/13 06/07/20 100.000 VARIES 1.7754 0.011493 0.011595 0.011698 0.011802 0.011907 4.16 4.23 Morgan Stanley 61760QCS1 06/07/13 06/07/28 100.000 VARIES 4.0272 0.098341 0.097627 0.097386 0.097141 0.096891 35.25 35.00 Morgan Stanley 61760QCT9 06/28/13 06/28/28 100.000 VARIES 4.5851 0.109309 0.108450 0.108749 0.109055 0.109368 39.19 39.21 Morgan Stanley 61760QCV4 06/28/13 06/28/28 100.000 VARIES 4.3010 0.108477 0.108605 0.108737 0.108870 0.109425 39.08 39.17 Morgan Stanley 61760QCW2 06/28/13 06/28/28 100.000 VARIES 4.2811 0.107978 0.108120 0.108266 0.108415 0.108976 38.90 39.00 Morgan Stanley 61760QCY8 07/31/13 07/31/28 100.000 VARIES 4.5084 0.112997 0.113040 0.113085 0.113131 0.113178 40.70 40.73 Morgan Stanley 61760QCZ5 07/31/13 07/31/33 100.000 VARIES 4.4981 0.109159 0.108722 0.108275 0.107818 0.107351 39.09 38.76 Morgan Stanley 61760QDB7 08/19/13 08/19/33 100.000 VARIES 4.7352 0.118903 0.118416 0.117918 0.118263 0.118616 42.59 42.60 Morgan Stanley 61760QDD3 08/19/13 08/19/33 100.000 VARIES 4.5466 0.109248 0.107803 0.106325 0.106278 0.106229 38.68 38.26 Morgan Stanley 61760QDE1 08/28/13 08/28/33 100.000 VARIES 4.4982 0.107432 0.105728 0.103985 0.103774 0.103559 37.94 37.34 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61760QDH4 09/06/13 09/06/21 100.000 VARIES 2.3953 0.009749 0.009865 0.009983 0.010103 0.010224 3.56 3.64 Morgan Stanley 61760QDL5 09/26/13 09/26/33 100.000 VARIES 4.6879 0.113465 0.112210 0.110925 0.110916 0.110907 40.38 39.93 Morgan Stanley 61760QDR2 11/27/13 11/27/33 100.000 VARIES 4.4302 0.106503 0.104174 0.101794 0.101597 0.101395 37.76 36.60 Morgan Stanley 61760QEC4 03/31/14 03/31/34 100.000 VARIES 4.3149 0.109291 0.107842 0.106363 0.104851 0.104914 38.82 37.89 Morgan Stanley 61760QEZ3 09/17/14 09/17/34 100.000 VARIES 2.6675 0.012280 0.011638 0.010988 0.010329 0.009662 4.17 3.70 Morgan Stanley 61760QFH2 10/30/14 10/30/24 100.000 VARIES 2.1052 0.055166 0.055357 0.055550 0.055745 0.055942 19.92 20.06 Morgan Stanley 61760QGA6 05/27/15 05/27/30 100.000 VARIES 2.7018 0.010703 0.010439 0.010171 0.009899 0.009624 3.79 3.59 Morgan Stanley 61760QGB4 05/20/15 05/20/25 100.000 VARIES 2.6352 0.008445 0.008187 0.007925 0.007660 0.007761 2.97 2.80 Morgan Stanley 61760QGP3 06/30/15 06/30/22 100.000 VARIES 1.5573 0.010954 0.011039 0.011125 0.011079 0.011033 3.96 4.00 Morgan Stanley 61760QGV0 07/31/15 07/31/27 100.000 VARIES 2.7160 0.010386 0.009987 0.009584 0.009174 0.008759 3.55 3.25 Morgan Stanley 61760QGW8 07/31/15 07/31/27 100.000 VARIES 2.7281 0.011592 0.011145 0.010693 0.010234 0.009769 3.96 3.63 Morgan Stanley 61760QHA5 08/28/15 08/28/25 100.000 VARIES 2.5293 0.008430 0.008192 0.007952 0.007708 0.007461 2.93 2.76 Morgan Stanley 61760QHQ0 09/30/15 09/30/22 100.000 VARIES 1.6929 0.009619 0.009315 0.009393 0.009473 0.009553 3.39 3.41 Morgan Stanley 61760QHT4 10/07/15 10/07/25 100.000 VARIES 2.4403 0.010396 0.010113 0.009826 0.009536 0.009242 3.64 3.44 Morgan Stanley 61760QHZ0 11/10/15 11/10/25 100.000 VARIES 2.5656 0.009381 0.009113 0.008841 0.008566 0.008288 3.30 3.11 Morgan Stanley 61760QJA3 11/25/15 11/25/25 100.000 VARIES 2.4581 0.009281 0.009027 0.008769 0.008508 0.008244 3.28 3.09 Morgan Stanley 61760QJJ4 01/28/16 01/28/23 100.000 VARIES 2.2365 3.19 0.009261 0.008641 0.008737 0.008835 0.008934 3.14 3.19 Morgan Stanley 61760QJK1 02/17/16 02/17/26 100.000 VARIES 2.3885 5.99 0.018814 0.018331 0.017841 0.017346 0.016845 6.56 6.20 Morgan Stanley 61760QJS4 02/24/17 02/24/27 100.000 VARIES 2.8869 0.016164 0.015692 0.015212 0.014726 4.90 5.44 Morgan Stanley 61760QJT2 03/20/17 03/20/27 100.000 VARIES 2.5542 0.008279 0.007906 0.007528 0.007145 2.29 2.70 Morgan Stanley 61760QJV7 03/31/17 03/31/27 100.000 VARIES 2.8769 0.013221 0.012836 0.012445 0.012048 3.55 4.48 Morgan Stanley 61760QKA1 09/30/16 09/30/26 100.000 VARIES 2.5378 1.83 0.020157 0.019630 0.019097 0.018557 0.018010 7.07 6.68 Morgan Stanley 61760QKE3 12/28/16 12/28/26 100.000 VARIES 2.2900 0.02 0.008104 0.007911 0.007715 0.007518 0.007317 2.88 2.74 Morgan Stanley 61760QKF0 12/30/16 12/30/26 100.000 VARIES 2.8667 0.01 0.014410 0.013991 0.013566 0.013136 0.012699 5.11 4.81 Morgan Stanley 61760QKH6 02/21/17 02/21/27 100.000 VARIES 2.7058 0.008327 0.007932 0.007532 0.007127 2.53 2.68 MORGAN STANLEY 61760QKK9 06/30/17 06/30/27 100.000 VARIES 2.7385 0.013207 0.012838 0.012465 0.012086 2.39 4.55 MORGAN STANLEY 61760QKQ6 08/02/17 08/02/27 100.000 VARIES 2.7106 0.014017 0.013629 0.013236 2.09 4.86 MORGAN STANLEY 61760QKR4 09/15/17 09/15/27 100.000 VARIES 2.6232 0.012394 0.012060 0.011723 1.31 4.33 MORGAN STANLEY 61760QKU7 09/29/17 09/29/27 100.000 VARIES 2.7477 0.012685 0.012330 0.011970 1.17 4.44 Morgan Stanley 61760S126 02/05/14 07/31/19 100.000 0.000 2.4499 0.072304 0.073190 0.074087 0.074994 0.075913 26.46 27.11 Morgan Stanley 61760S134 02/05/14 01/29/21 100.000 0.000 3.2801 0.098782 0.100402 0.102049 0.103722 0.105423 36.35 37.55 Morgan Stanley 61760S282 03/04/14 02/26/21 100.000 0.000 3.1844 0.095657 0.097180 0.098727 0.100299 0.101896 35.09 36.22 Morgan Stanley 61760S522 04/03/14 03/31/21 100.000 0.000 3.3225 0.100188 0.101852 0.103544 0.105265 0.107013 36.67 37.90 Morgan Stanley 61760S613 03/18/14 09/20/21 100.000 0.000 3.4354 0.103930 0.105715 0.107531 0.109378 0.111256 38.10 39.42 Morgan Stanley 61760S621 03/18/14 07/18/22 100.000 0.000 3.7451 0.113445 0.115569 0.117733 0.119938 0.122184 41.92 43.51 Morgan Stanley 61760S738 05/05/14 10/29/21 100.000 0.000 3.5626 0.108033 0.109957 0.111916 0.113910 0.115939 39.48 40.90 MORGAN STANLEY 61760T132 10/31/11 10/31/17 100.000 1.000 5.8165 337.48 0.205985 0.211168 62.52 Morgan Stanley 61760T173 11/28/11 11/24/17 100.000 0.000 6.9071 0.269233 0.278532 88.64 MORGAN STANLEY 61760T199 11/18/11 11/21/17 100.000 1.000 6.1778 357.60 0.222862 0.228888 72.40 Morgan Stanley 61760T439 02/21/12 02/21/18 100.000 0.000 4.6585 0.159200 0.162908 0.166703 58.95 8.34 Morgan Stanley 61760T488 03/02/12 02/27/18 100.000 0.000 5.0972 0.177460 0.181983 0.186621 65.84 10.45 Morgan Stanley 61760T660 05/02/12 04/27/17 100.000 0.000 4.7658 0.163533 18.97 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61761H806 12/04/12 07/03/18 100.000 0.000 2.8587 0.087903 0.089159 0.090434 0.091726 32.32 16.69 Morgan Stanley 61761H822 01/03/13 02/27/17 100.000 0.000 2.2437 0.067613 3.79 Morgan Stanley 61761JAG4 12/27/12 12/27/19 100.000 0.000 3.0561 0.095843 0.097308 0.098795 0.100304 0.101837 34.78 35.85 Morgan Stanley 61761JAL3 12/27/12 12/27/32* 100.000 VARIES 4.4696 0.112931 0.112567 40.14* Morgan Stanley 61761JAM1 12/27/12 12/27/32* 100.000 VARIES 4.4778 0.122427 0.122714 43.64* Morgan Stanley 61761JAY5 01/31/13 07/31/20 100.000 0.000 3.2934 0.102564 0.104253 0.105970 0.107715 0.109488 37.74 38.99 Morgan Stanley 61761JB24 07/06/15 07/06/22 100.000 0.000 3.3973 0.097604 0.099262 0.100948 0.102663 0.104407 36.02 37.26 Morgan Stanley 61761JBB4 01/31/13 01/31/33 100.000 VARIES 4.4963 0.115603 0.114817 0.114537 41.31 41.09 Morgan Stanley 61761JBC2 01/31/13 01/31/33 100.000 VARIES 4.5027 0.122433 0.122541 0.122748 44.14 44.29 Morgan Stanley 61761JBJ7 01/14/13 01/14/28 100.000 VARIES 4.1941 0.108224 0.107848 0.107465 0.107418 38.77 38.66 Morgan Stanley 61761JBK4 01/30/13 01/28/33 100.000 VARIES 4.6735 0.117409 0.116383 0.115966 0.115540 41.86 41.54 Morgan Stanley 61761JBZ1 02/28/13 02/28/33 100.000 VARIES 4.3577 0.117261 0.115376 0.117555 0.115907 0.118106 42.49 42.67 Morgan Stanley 61761JCA5 02/28/13 02/28/33 100.000 VARIES 4.3508 0.109727 0.107088 0.108549 0.106464 0.107901 39.42 39.16 Morgan Stanley 61761JCB3 02/28/13 02/28/33 100.000 VARIES 4.3518 0.111452 0.108921 0.110468 0.108407 0.109934 40.09 39.88 Morgan Stanley 61761JCC1 02/28/13 08/28/20 100.000 0.000 2.9762 0.091679 0.093043 0.094428 0.095833 0.097259 33.59 34.60 Morgan Stanley 61761JCN7 02/21/13 02/18/33 100.000 VARIES 4.4838 0.115692 0.114902 0.114622 0.114336 0.114043 41.36 41.14 Morgan Stanley 61761JDB2 02/20/13 02/18/33 100.000 VARIES 4.5201 0.115279 0.114517 0.114220 0.113916 0.113605 41.22 40.98 Morgan Stanley 61761JEU9 04/30/13 04/29/33 100.000 VARIES 3.9394 0.101139 0.100454 0.100188 0.099916 0.099640 36.23 35.98 Morgan Stanley 61761JGF0 05/08/13 05/06/33 100.000 VARIES 3.9967 0.104405 0.103755 0.103477 0.103195 0.102906 37.42 37.17 Morgan Stanley 61761JGH6 05/30/13 05/31/33 100.000 VARIES 4.3438 0.111578 0.110327 0.110695 0.109849 0.110205 40.47 40.23 Morgan Stanley 61761JGS2 05/24/13 05/24/33 100.000 VARIES 4.1821 0.107305 0.106663 0.106440 0.106212 0.105980 38.48 38.26 Morgan Stanley 61761JHD4 06/28/13 06/28/33 100.000 VARIES 5.2916 0.135998 0.135010 0.134643 0.134267 0.133880 48.78 48.40 Morgan Stanley 61761JHJ1 06/28/13 06/28/21 100.000 0.000 4.0232 0.128473 0.131057 0.133693 0.136383 0.139126 46.73 48.63 Morgan Stanley 61761JJB6 06/18/13 06/18/32 100.000 VARIES 4.7373 0.124405 0.123737 0.123482 0.123221 0.122954 44.65 44.40 Morgan Stanley 61761JJF7 06/25/13 06/25/21 100.000 0.000 3.9339 0.125240 0.127703 0.130215 0.132776 0.135388 45.56 47.37 Morgan Stanley 61761JJP5 07/31/13 07/29/33 100.000 VARIES 4.8133 0.125421 0.124698 0.123958 0.123684 0.123403 44.80 44.49 Morgan Stanley 61761JJW0 07/31/13 01/29/21 100.000 0.000 3.5968 0.111177 0.113176 0.115211 0.117283 0.119393 41.00 42.48 Morgan Stanley 61761JJY6 07/15/13 07/15/33 99.000 VARIES 4.8838 0.128261 0.127733 0.127192 0.127027 0.126859 45.90 45.70 Morgan Stanley 61761JKJ7 08/30/13 02/26/21 100.000 0.000 3.7094 0.115002 0.117135 0.119308 0.121520 0.123774 42.32 43.91 Morgan Stanley 61761JKL2 08/30/13 08/30/33 100.000 VARIES 5.0532 0.130357 0.128896 0.128833 0.127871 0.128308 47.12 46.78 Morgan Stanley 61761JKY4 09/30/13 09/30/33 100.000 VARIES 4.8148 0.125759 0.125107 0.124439 0.124244 0.124045 45.04 44.73 Morgan Stanley 61761JLF4 09/30/13 09/30/20 100.000 0.000 3.4026 0.104586 0.106365 0.108175 0.110015 0.111887 38.30 39.61 Morgan Stanley 61761JLU1 09/30/13 09/30/33 100.000 VARIES 4.8742 0.129460 0.128942 0.128411 0.128257 0.128099 46.42 46.17 Morgan Stanley 61761JLY3 10/31/13 10/31/33 100.000 VARIES 4.7082 0.122180 0.121371 0.120543 0.120207 0.119863 43.74 43.29 Morgan Stanley 61761JMC0 10/31/13 10/29/21 100.000 0.000 3.4604 0.106533 0.108377 0.110252 0.112159 0.114100 38.91 40.27 Morgan Stanley 61761JMW6 11/29/13 03/29/22 100.000 0.000 3.7206 0.114731 0.116866 0.119040 0.121254 0.123510 42.08 43.66 Morgan Stanley 61761JMZ9 12/26/13 06/27/22 100.000 0.000 3.9457 0.123246 0.125678 0.128157 0.130685 0.133264 44.83 46.61 Morgan Stanley 61761JNF2 12/26/13 12/27/33 100.000 VARIES 4.7412 0.123089 0.121859 0.121955 0.121109 0.121590 44.70 44.36 Morgan Stanley 61761JQC6 04/30/14 10/30/20 100.000 0.000 3.2667 0.098399 0.100006 0.101639 0.103299 0.104987 35.91 37.09 Morgan Stanley 61761JQT9 05/30/14 11/30/20 100.000 0.000 3.1489 0.093543 0.094497 0.096512 0.097496 0.099575 34.41 35.50 Morgan Stanley 61761JRH4 06/30/14 06/30/21 100.000 0.000 3.0261 0.090613 0.091984 0.093376 0.094789 0.096223 32.87 33.87 Morgan Stanley 61761JUW7 11/25/14 11/25/20 100.000 0.000 3.1262 0.092398 0.093843 0.095309 0.096799 0.098312 33.63 34.69 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61761JVF3 12/31/14 12/31/20 100.000 0.000 3.0557 0.090188 0.091566 0.092965 0.094385 0.095827 32.72 33.73 Morgan Stanley 61761JVY2 01/30/15 01/29/21 100.000 0.000 2.7901 0.080787 0.081914 0.083057 0.084216 0.085390 29.63 30.46 Morgan Stanley 61761JWZ8 02/24/15 02/24/23 100.000 0.000 3.1504 0.091711 0.093155 0.094623 0.096113 0.097627 33.65 34.71 Morgan Stanley 61761JXP9 03/03/15 03/03/25 100.000 0.000 3.5983 0.105446 0.107344 0.109275 0.111241 0.113242 38.75 40.16 Morgan Stanley 61761JZB8 06/03/15 06/03/22 100.000 0.000 3.2133 0.093629 0.095133 0.096662 0.098215 0.099793 34.06 35.17 Morgan Stanley 61761M201 01/04/13 01/02/18 100.000 0.000 2.5385 0.077013 0.077991 0.078981 28.25 0.08 Morgan Stanley 61761S125 06/04/14 11/29/19 100.000 0.000 2.7571 0.081983 0.083113 0.084259 0.085420 0.086598 29.79 30.62 Morgan Stanley 61761S331 07/03/14 12/31/21 100.000 0.000 3.3219 0.100179 0.101843 0.103534 0.105254 0.107002 36.37 37.59 Morgan Stanley 61761S562 07/03/14 07/03/19 100.000 0.000 2.3357 0.067966 0.068760 0.069563 0.070375 0.071197 24.89 25.48 Morgan Stanley 61761S661 08/05/14 04/30/20 100.000 0.000 2.9149 0.086390 0.087649 0.088926 0.090222 0.091537 31.48 32.41 Morgan Stanley 61761S679 08/05/14 01/31/22 100.000 0.000 3.4470 0.100247 0.103665 0.103733 0.107269 0.107339 37.75 39.06 Morgan Stanley 61762E190 05/03/13 08/03/18 100.000 0.000 2.0679 0.061414 0.062049 0.062691 0.063339 22.41 13.41 Morgan Stanley 61762E299 06/05/13 05/29/20 100.000 0.000 3.0962 0.095720 0.097202 0.098707 0.100235 0.101786 34.82 35.91 Morgan Stanley 61762GAG9 11/05/13 04/29/19 100.000 0.000 2.4702 0.073830 0.074742 0.075665 0.076599 0.077546 26.86 27.52 Morgan Stanley 61762GAM6 11/27/13 05/27/21 100.000 0.000 3.3898 0.104151 0.105916 0.107711 0.109537 0.111393 37.93 39.23 Morgan Stanley 61762GAN4 12/04/13 12/07/20 100.000 0.000 3.3435 0.102619 0.104334 0.106078 0.107852 0.109655 37.33 38.59 Morgan Stanley 61762GAS3 01/03/14 12/31/20 100.000 0.000 3.4768 0.107069 0.108930 0.110824 0.112750 0.114710 38.88 40.25 Morgan Stanley 61762GAT1 12/26/13 06/28/19 100.000 0.000 2.5339 0.075921 0.076883 0.077857 0.078843 0.079842 27.51 28.21 Morgan Stanley 61762GBE3 03/11/14 03/04/24 100.000 VARIES 3.8517 0.110197 0.110436 0.110445 0.110455 0.110337 39.74 39.75 Morgan Stanley 61762GBF0 03/31/14 03/29/29 100.000 VARIES 4.2966 0.125120 0.125796 0.126487 0.127192 0.127457 45.29 45.75 Morgan Stanley 61762GFA7 10/30/15 10/30/23 100.000 0.000 3.5009 0.100680 0.102443 0.104236 0.106060 0.107917 36.78 38.08 Morgan Stanley 61762P146 08/05/13 06/29/18 100.000 0.000 2.9164 0.089394 0.090698 0.092021 32.42 16.38 Morgan Stanley 61762P286 08/05/13 08/05/20 100.000 0.000 3.6083 0.111582 0.113595 0.115645 0.117731 0.119855 41.13 42.62 Morgan Stanley 61762P443 09/05/13 08/31/18 100.000 0.000 3.0418 0.091954 0.091831 0.094772 0.094645 33.89 22.91 Morgan Stanley 61762P476 08/09/13 08/09/23 100.000 0.000 4.3446 0.137294 0.140276 0.143324 0.146437 0.149618 50.82 53.05 Morgan Stanley 61762P807 10/03/13 09/28/18 100.000 0.000 2.7818 0.083918 0.085085 0.086269 0.087468 30.64 23.25 Morgan Stanley 61762W265 11/05/13 04/30/19 100.000 0.000 2.9688 0.090052 0.091389 0.092746 0.094122 0.095519 32.82 33.81 Morgan Stanley 61762W505 12/04/13 08/30/19 100.000 0.000 2.9201 0.086847 0.087634 0.089402 0.090211 0.092031 32.16 33.11 Morgan Stanley 61762W539 11/20/13 11/20/20 100.000 0.000 3.3854 0.104002 0.105763 0.107553 0.109373 0.111225 37.90 39.20 Morgan Stanley 61762W604 12/04/13 12/04/20 100.000 0.000 3.3450 0.102640 0.104357 0.106102 0.107877 0.109681 37.35 38.61 Morgan Stanley 61762W703 01/03/14 12/31/19 100.000 0.000 3.0246 0.091911 0.093301 0.094712 0.096144 0.097598 33.34 34.36 Morgan Stanley 61764C275 11/05/14 04/29/22 100.000 0.000 3.5062 0.104347 0.106177 0.108038 0.109932 0.111859 38.12 39.47 Morgan Stanley 61764C622 12/03/14 05/31/22 100.000 0.000 3.3216 0.097442 0.098519 0.100705 0.101818 0.104078 35.87 37.07 Morgan Stanley 61764V364 04/06/15 04/05/22 100.000 0.000 2.9611 0.085955 0.087228 0.088519 0.089830 0.091160 31.39 32.33 Morgan Stanley 61764V570 04/01/15 11/07/25 100.000 0.000 3.4095 0.099974 0.101678 0.103411 0.105174 0.106967 36.48 37.74 Morgan Stanley 61764V646 05/05/15 11/03/22 100.000 0.000 3.1620 0.092049 0.093504 0.094982 0.096484 0.098009 33.57 34.64 Morgan Stanley 61764V828 06/03/15 12/05/22 100.000 0.000 3.2131 0.093640 0.095145 0.096673 0.098226 0.099805 34.06 35.16 Morgan Stanley 61765G309 07/06/15 01/05/23 100.000 0.000 3.3974 0.097596 0.099254 0.100940 0.102654 0.104398 36.02 37.26 Morgan Stanley 61765G564 08/05/15 02/03/23 100.000 0.000 3.4449 0.098999 0.100704 0.102439 0.104203 0.105998 36.46 37.72 Morgan Stanley 61765G804 09/03/15 03/03/23 100.000 0.000 3.4969 0.100562 0.102320 0.104109 0.105930 0.107782 36.94 38.24 Morgan Stanley 61765R271 09/18/15 03/20/23 100.000 0.000 3.6136 0.104060 0.105940 0.107854 0.109803 0.111787 38.18 39.58 Morgan Stanley 61765R438 10/05/15 04/04/23 100.000 0.000 3.3207 0.095321 0.096903 0.098512 0.100148 0.101811 34.88 36.05 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61765R669 11/04/15 05/05/23 100.000 0.000 3.3210 0.094820 0.094823 0.097995 0.097998 0.101277 34.79 35.96 Morgan Stanley 61765U175 12/03/15 06/02/23 100.000 0.000 3.3916 0.097424 0.099076 0.100756 0.102465 0.104202 35.47 36.68 Morgan Stanley 61765U217 12/03/15 12/10/20 100.000 0.000 2.7611 0.078871 0.079960 0.081064 0.082183 0.083318 28.64 29.43 Morgan Stanley 61765U381 01/05/16 07/06/23 100.000 0.000 3.3685 33.59 0.095154 0.096757 0.098386 0.100043 0.101728 35.11 36.30 Morgan Stanley 61765U407 01/05/16 07/06/21 100.000 0.000 2.9924 29.81 0.084372 0.085634 0.086916 0.088216 0.089536 31.05 31.98 Morgan Stanley 61765U597 02/03/16 08/03/21 100.000 0.000 3.0506 27.99 0.086030 0.087342 0.088675 0.090027 0.091400 31.60 32.57 Morgan Stanley 61765U787 03/03/16 09/02/21 100.000 0.000 3.1367 26.13 0.088489 0.089876 0.091286 0.092718 0.094172 32.44 33.46 Morgan Stanley 61765U803 03/03/16 09/01/23 100.000 0.000 3.5888 29.92 0.101458 0.103279 0.105132 0.107018 0.108939 37.29 38.64 Morgan Stanley 61766B135 04/05/16 10/04/23 100.000 0.000 3.0621 22.74 0.086355 0.087677 0.089019 0.090382 0.091766 31.56 32.53 Morgan Stanley 61766B168 04/05/16 10/04/23 100.000 0.000 3.0621 22.74 0.086355 0.087677 0.089019 0.090382 0.091766 31.56 32.53 Morgan Stanley 61766B176 04/05/16 10/05/21 100.000 0.000 2.6206 19.45 0.073750 0.074716 0.075695 0.076687 0.077692 26.89 27.60 Morgan Stanley 61766B259 05/04/16 11/03/23 100.000 0.000 3.0362 20.06 0.085613 0.086913 0.088232 0.089572 0.090932 31.21 32.16 Morgan Stanley 61766B309 05/04/16 11/03/21 100.000 0.000 2.5128 16.59 0.070671 0.071559 0.072458 0.073368 0.074290 25.71 26.35 Morgan Stanley 61766B366 06/03/16 12/05/23 100.000 0.000 3.0194 17.48 0.085154 0.086440 0.087745 0.089069 0.090414 30.95 31.90 Morgan Stanley 61766B408 06/03/16 12/03/21 100.000 0.000 2.6240 15.19 0.073845 0.074814 0.075796 0.076790 0.077798 26.81 27.52 Morgan Stanley 61766B564 07/06/16 01/03/24 100.000 0.000 2.7558 13.40 0.076549 0.077586 0.078655 0.079739 0.080838 28.12 28.90 Morgan Stanley 61766B598 07/06/16 01/04/22 100.000 0.000 2.5838 12.56 0.071772 0.072689 0.073628 0.074579 0.075543 26.33 27.02 Morgan Stanley 61766F250 11/03/16 05/03/24 100.000 0.000 2.9896 4.82 0.083044 0.084285 0.085545 0.086824 0.088122 30.26 31.18 Morgan Stanley 61766F466 12/05/16 06/05/24 100.000 0.000 3.5039 2.53 0.097330 0.099035 0.100771 0.102536 0.104332 35.44 36.69 Morgan Stanley 61766F839 02/03/17 02/03/22 100.000 0.000 3.0758 0.085438 0.086752 0.088086 0.089441 28.22 31.87 Morgan Stanley Finance 61766V313 03/01/17 02/27/20 100.000 0.000 2.4916 0.069211 0.070054 0.070926 0.071810 20.87 25.59 Morgan Stanley 61766V578 04/05/17 10/04/23 100.000 0.000 3.3161 0.092115 0.093634 0.095186 0.096765 24.63 34.26 Morgan Stanley Finance 61766V867 05/03/17 11/03/23 100.000 0.000 3.2047 0.089020 0.090447 0.091896 0.093369 21.27 32.99 Morgan Stanley Finance 61766W352 06/05/17 12/05/23 100.000 0.000 3.0702 0.085284 0.086593 0.087922 0.089272 17.60 31.48 MORGAN STANLEY FINANCE L 61766X459 09/06/17 03/05/24 100.000 0.000 3.0212 0.083922 0.085183 0.086469 9.65 30.73 MORGAN STANLEY FINANCE L 61766X483 09/06/17 09/06/23 100.000 0.000 2.9385 0.081625 0.082825 0.084042 9.39 29.88 MORGAN STANLEY FINANCE L 61766X822 10/04/17 10/04/23 100.000 0.000 2.9409 0.081693 0.082894 0.084113 7.11 29.84 MORGAN STANLEY FINANCE L 61766X848 10/04/17 10/04/23 100.000 0.000 2.9409 0.081693 0.082894 0.084113 7.11 29.84 Morgan Stanley 61766YAB7 05/25/16 05/25/26 100.000 VARIES 2.2927 2.24 0.010021 0.009588 0.009150 0.008707 0.008806 3.50 3.20 Morgan Stanley 61766YAD3 05/25/16 05/25/23 100.000 VARIES 1.9635 1.77 0.008059 0.007868 0.007675 0.007480 0.007554 2.85 2.72 Morgan Stanley 61766YAN1 09/30/16 09/30/26 100.000 VARIES 2.2435 0.90 0.009883 0.009486 0.009084 0.008678 0.008268 3.41 3.12 Morgan Stanley Finance 61766YBG5 04/28/17 04/28/32 100.000 VARIES 3.9156 0.108768 0.107090 0.105380 0.104867 26.32 38.10 Morgan Stanley 61767BAA8 02/22/16 02/23/26 100.000 VARIES 3.7844 32.50 0.105274 0.105426 0.105581 0.105739 0.105901 37.97 38.08 Morgan Stanley 61768CAV9 10/31/16 10/31/23 100.000 0.000 2.9263 4.96 0.081286 0.082475 0.083682 0.084906 0.086148 29.62 30.50 MORGAN STANLEY FINANCE L 61768CMZ7 07/31/17 07/29/22 100.000 0.000 2.8125 0.078126 0.079219 0.080333 11.80 28.66 MORGAN STANLEY FINANCE L 61768CNA1 07/31/17 07/29/22 100.000 0.000 2.8126 0.078129 0.079221 0.080335 11.80 28.66 MORGAN STANLEY FINANCE L 61768CNB9 08/01/17 02/01/22 100.000 0.000 2.7076 0.075211 0.076229 0.077261 11.28 27.57 MORGAN STANLEY FINANCE L 61768CPE1 08/16/17 08/14/20 100.000 0.000 2.3995 0.066652 0.067443 0.068252 9.00 24.36 MORGAN STANLEY FINANCE L 61768CPJ0 08/28/17 08/28/24 100.000 0.000 3.1530 0.087583 0.088963 0.090366 10.77 32.12 MORGAN STANLEY FINANCE L 61768CQT7 09/29/17 03/31/23 100.000 0.000 2.8669 0.079643 0.080785 0.081943 7.33 29.09 Morris CNTY Improv Auth 618027AV8 02/18/10 08/15/17 100.000 VARIES N/A 0.115218 0.115208 25.81 Morris CNTY Improv Auth 618027AW6 02/18/10 08/15/18 100.000 VARIES N/A 0.124486 0.124474 0.124462 0.124450 44.81 27.88 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morris CNTY Improv Auth 618027AX4 02/18/10 08/15/19 100.000 VARIES N/A 0.127316 0.127306 0.127295 0.127284 0.127272 45.83 45.82 Morris CNTY Improv Auth 618027AY2 02/18/10 08/15/20 100.000 VARIES N/A 0.130130 0.130120 0.130110 0.130100 0.130089 46.84 46.83 Morris CNTY Improv Auth 618027AZ9 02/18/10 08/15/21 100.000 VARIES N/A 0.132932 0.132922 0.132913 0.132903 0.132892 47.85 47.84 Morris CNTY Improv Auth 618027BA3 02/18/10 08/15/22 100.000 VARIES N/A 0.135737 0.135728 0.135718 0.135709 0.135699 48.86 48.85 Morris CNTY Improv Auth 618027BB1 02/18/10 08/15/23 100.000 VARIES N/A 0.138542 0.138533 0.138524 0.138515 0.138506 49.87 49.86 Morris CNTY Improv Auth 618027BC9 02/18/10 08/15/24 100.000 VARIES N/A 0.141339 0.141330 0.141322 0.141313 0.141304 50.88 50.87 Morris CNTY Improv Auth 618027BD7 02/18/10 08/15/25 100.000 VARIES N/A 0.144134 0.144126 0.144118 0.144110 0.144101 51.88 51.88 Multnomah County, OR 625506HN3 12/08/99 06/01/20 21.112 0.000 7.7401 560.42 0.164820 0.171199 0.177824 0.184706 0.191854 60.87 65.68 Multnomah County, OR 625506HP8 12/08/99 06/01/21 19.568 0.000 7.7401 519.44 0.152767 0.158679 0.164820 0.171199 0.177825 56.42 60.87 Multnomah County, OR 625506HQ6 12/08/99 06/01/22 18.137 0.000 7.7401 481.45 0.141596 0.147075 0.152767 0.158680 0.164820 52.30 56.42 Multnomah County, OR 625506HR4 12/08/99 06/01/23 16.811 0.000 7.7400 446.25 0.131240 0.136319 0.141595 0.147074 0.152766 48.47 52.30 Multnomah County, OR 625506HS2 12/08/99 06/01/24 15.582 0.000 7.7399 413.61 0.121642 0.126350 0.131239 0.136318 0.141594 44.93 48.47 Multnomah County, OR 625506HT0 12/08/99 06/01/25 14.442 0.000 7.7401 383.37 0.112748 0.117111 0.121643 0.126351 0.131241 41.64 44.93 Multinomah County, OR 625506HU7 12/08/99 06/01/26 13.386 0.000 7.7400 355.33 0.104502 0.108547 0.112747 0.117111 0.121643 38.60 41.64 Multnomah County, OR 625506HV5 12/08/99 06/01/27 12.407 0.000 7.7400 329.35 0.096860 0.100609 0.104503 0.108547 0.112748 35.77 38.60 Multnomah County, OR 625506HW3 12/08/99 06/01/28 11.500 0.000 7.7400 305.26 0.089777 0.093251 0.096860 0.100609 0.104502 33.16 35.77 Multnomah County, OR 625506HX1 12/08/99 06/01/29 10.659 0.000 7.7400 282.94 0.083212 0.086432 0.089777 0.093251 0.096860 30.73 33.16 Multnomah County, OR 625506HY9 12/08/99 06/01/30 9.879 0.000 7.7401 262.25 0.077127 0.080112 0.083212 0.086432 0.089777 28.49 30.73 National Rural Utilities 637432KV6 02/06/08 12/15/23 87.915 0.000 0.8138 65.93 0.021357 0.021444 0.021531 0.021619 0.021707 7.71 7.77 National Rural Utilities 637432LF0 02/06/08 12/15/17 92.124 0.000 0.8339 70.84 0.022971 0.023066 7.92 National Rural Utilities 637432LG8 02/06/08 12/15/18 91.459 0.000 0.8239 69.46 0.022513 0.022605 0.022699 0.022792 8.12 7.83 National Rural Utilities 637432LH6 02/06/08 12/15/19 90.603 0.000 0.8339 69.68 0.022593 0.022687 0.022782 0.022877 0.022972 8.15 8.22 National Rural Utilities 637432LJ2 02/06/08 12/15/20 90.083 0.000 0.8139 67.55 0.021885 0.021974 0.022063 0.022153 0.022243 7.90 7.96 National Rural Utilities 637432LK9 02/06/08 12/15/21 89.231 0.000 0.8239 67.77 0.021964 0.022054 0.022145 0.022236 0.022328 7.93 7.99 National Rural Utilities 637432LL7 02/06/08 12/15/22 88.108 0.000 0.8539 69.44 0.022537 0.022633 0.022730 0.022827 0.022925 8.13 8.20 Natixis US MTN LLC 63873HJP0 12/27/13 12/27/21 100.000 0.000 3.3519 0.102873 0.104597 0.106350 0.108132 0.109944 37.36 38.62 Natixis US MTN LLC 63873HJR6 09/09/14 09/09/24 100.000 VARIES 3.2415 0.085890 0.084956 0.084007 0.083817 0.083624 30.54 30.17 Natixis US MTN LLC 63873HJT2 12/27/13 12/27/33 100.000 VARIES 4.8026 0.115611 0.115645 0.115680 0.115715 0.115752 41.63 41.65 Natixis US MTN LLC 63873HJU9 04/30/14 04/30/34 100.000 VARIES 4.2419 0.104342 0.102864 0.102631 0.102393 0.102150 37.19 36.88 Natixis US MTN LLC 63873HKA1 07/31/13 07/31/28 100.000 VARIES 4.2606 0.103722 0.103411 0.103093 0.103529 0.103973 37.19 37.32 Natixis US MTN LLC 63873HKC7 04/30/14 04/30/34 100.000 VARIES 4.2409 0.104864 0.103164 0.102935 0.102702 0.102464 37.33 36.99 Natixis US MTN LLC 63873HKX1 01/30/14 01/31/22 100.000 0.000 3.4392 0.101783 0.105250 0.105314 0.108901 0.108967 38.32 39.65 Natixis US Medium Term 63873HLN2 08/29/13 08/29/33 100.000 VARIES 4.5781 0.111779 0.112612 0.112219 0.113064 0.112679 41.01 41.17 Natixis US MTN LLC 63873HLS1 09/30/13 09/30/28 100.000 VARIES 4.4223 0.111078 0.111107 0.111137 0.111167 0.111198 40.00 40.02 Natixis US Medium 63873HLU6 07/31/14 07/31/34 100.000 VARIES 3.9932 0.103604 0.103300 0.102990 0.103186 0.103385 37.15 37.17 Natixis US MTN LLC 63873HLX0 02/28/14 02/28/29 100.000 VARIES 4.1177 0.103118 0.100115 0.101726 0.100019 0.101626 36.91 36.80 Natixis US MTN LLC 63873HME1 10/31/13 10/31/33 100.000 VARIES 4.5708 0.108767 0.108048 0.107313 0.106562 0.105792 38.94 38.40 Natixis US MTN LLC 63873HMF8 03/31/14 03/31/34 100.000 VARIES 4.1471 0.102326 0.100222 0.099771 0.099310 0.098839 36.23 35.75 Natixis US MTN LLC 63873HMW1 11/27/13 11/27/33 100.000 VARIES 4.5649 0.111498 0.111262 0.111020 0.110774 0.110521 40.08 39.91 NJ Econ Dev Auth 64578JAC0 12/22/05 07/01/17 53.569 0.000 5.4899 437.59 0.148423 26.72 NJ Econ Dev Auth 64578JAD8 12/22/05 07/01/18 50.436 0.000 5.5400 416.94 0.141778 0.145705 0.149741 51.75 26.95 NJ Econ Dev Auth 64578JAE6 12/22/05 07/01/19 47.535 0.000 5.5749 396.21 0.134969 0.138731 0.142598 0.146573 49.27 52.05 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ NJ Econ Dev Auth 64578JAH9 09/07/07 07/01/17 55.019 0.000 6.1789 419.84 0.166493 29.97 NJ Econ Dev Auth 64578JAJ5 09/07/07 07/01/18 51.284 0.000 6.2689 398.73 0.158738 0.163714 0.168845 58.04 30.39 NJ Econ Dev Auth 64578JAK2 09/07/07 07/01/19 47.828 0.000 6.3391 377.26 0.150650 0.155425 0.160351 0.165433 55.09 58.64 NJ Econ Dev Auth 64578JAL0 09/07/07 07/01/20 44.269 0.000 6.4592 357.83 0.143631 0.148269 0.153058 0.158001 52.54 55.99 NJ Econ Dev Auth 64578JAM8 09/07/07 07/01/21 41.265 0.000 6.5093 336.92 0.135532 0.139943 0.144498 0.149201 49.59 52.87 NJ Econ Dev Auth 64578JAN6 09/07/07 07/01/22 38.760 0.000 6.4993 315.84 0.126996 0.131123 0.135384 0.139783 46.46 49.53 NJ Econ Dev Auth 64578JAP1 09/07/07 07/01/23 36.303 0.000 6.5093 296.41 0.119236 0.123116 0.127123 0.131261 43.62 46.51 New Jersey Economic 645913AV6 06/30/97 02/15/17 23.177 0.000 7.5895 759.29 0.203112 8.94 New Jersey Economic 645913AW4 06/30/97 02/15/18 21.450 0.000 7.6043 705.27 0.188860 0.196041 0.203495 71.27 8.95 New Jersey Economic 645913AX2 06/30/97 02/15/19 19.886 0.000 7.6095 654.68 0.175375 0.182048 0.188974 0.196164 0.203628 66.19 71.32 New Jersey Economic 645913AY0 06/30/97 02/15/20 18.435 0.000 7.6145 607.65 0.162833 0.169033 0.175468 0.182149 0.189084 61.45 66.22 New Jersey Economic 645913AZ7 06/30/97 02/15/21 17.088 0.000 7.6195 563.94 0.151175 0.156935 0.162913 0.169120 0.175563 57.06 61.49 New Jersey Economic 645913BA1 06/30/97 02/15/22 15.838 0.000 7.6245 523.33 0.140338 0.145688 0.151241 0.157007 0.162993 52.97 57.08 New Jersey Economic 645913BB9 06/30/97 02/15/23 14.678 0.000 7.6295 485.59 0.130264 0.135234 0.140392 0.145748 0.151308 49.17 52.99 New Jersey Economic 645913BC7 06/30/97 02/15/24 13.601 0.000 7.6347 450.53 0.120904 0.125519 0.130311 0.135285 0.140449 45.64 49.19 New Jersey Economic 645913BD5 06/30/97 02/15/25 12.602 0.000 7.6398 417.96 0.112204 0.116490 0.120940 0.125560 0.130356 42.35 45.65 New Jersey Economic 645913BE3 06/30/97 02/15/26 11.676 0.000 7.6447 387.71 0.104119 0.108099 0.112231 0.116521 0.120975 39.30 42.36 NY State Dorm Auth 649902ZR7 10/20/09 09/15/25 86.380 5.800 7.2575 43.36 0.021314 0.022087 0.022889 0.023720 0.024580 7.98 8.57 Newark, NJ 6503667S0 04/10/03 04/01/22 30.037 0.000 6.4399 416.66 0.126235 0.130299 0.134495 0.138826 0.143296 46.92 49.99 Newark, NJ 6503667T8 04/10/03 04/01/23 28.029 0.000 6.4699 391.48 0.118809 0.122652 0.126620 0.130716 0.134945 44.17 47.07 Newark, NJ 6503667U5 04/10/03 04/01/24 26.193 0.000 6.4900 367.51 0.111662 0.115286 0.119027 0.122889 0.126877 41.51 44.25 Newark, NJ 6503667V3 04/10/03 04/01/25 24.468 0.000 6.5100 344.87 0.104903 0.108318 0.111844 0.115484 0.119243 39.00 41.58 Newark, NJ 6503667W1 04/10/03 04/01/26 22.848 0.000 6.5299 323.50 0.098514 0.101731 0.105052 0.108482 0.112024 36.63 39.06 Newark, NJ 6503667X9 04/10/03 04/01/27 21.327 0.000 6.5499 303.34 0.092478 0.095506 0.098634 0.101864 0.105200 34.39 36.68 Newark, NJ 6503667Y7 04/10/03 04/01/28 19.947 0.000 6.5600 284.36 0.086742 0.089587 0.092525 0.095560 0.098695 32.26 34.41 Newark, NJ 6503667Z4 04/10/03 04/01/29 18.653 0.000 6.5700 266.52 0.081345 0.084017 0.086777 0.089628 0.092572 30.25 32.27 Newark, NJ 6503668A8 04/10/03 04/01/30 17.440 0.000 6.5800 249.74 0.076269 0.078779 0.081370 0.084047 0.086813 28.37 30.27 Newark, NJ 6503668B6 04/10/03 04/01/31 16.302 0.000 6.5901 233.98 0.071496 0.073852 0.076286 0.078799 0.081396 26.59 28.38 Newark, NJ 6503668C4 04/10/03 04/01/32 15.279 0.000 6.5900 219.29 0.067008 0.069216 0.071496 0.073852 0.076285 24.92 26.59 Newark, NJ 6503668D2 04/10/03 04/01/33 14.320 0.000 6.5899 205.53 0.062801 0.064870 0.067008 0.069216 0.071496 23.36 24.92 city of Newark, NJ 650367KB0 01/29/13 07/15/17 97.756 2.000 2.5351 19.59 0.014495 0.014679 2.85 City of Newark, NJ 650367KC8 01/29/13 07/15/18 97.007 2.340 2.9372 21.01 0.015648 0.015878 0.016111 0.016348 5.75 3.17 City of Newark, NJ 650367KH7 01/29/13 04/01/17 97.893 2.000 2.5353 19.75 0.014683 1.32 City of Newark, NJ 650367KJ3 01/29/13 04/01/18 97.000 2.308 2.9373 22.34 0.016734 0.016979 0.017229 6.11 1.55 City of Newark, NJ 650367KK0 01/29/13 04/01/19 97.003 2.698 3.2375 18.36 0.013831 0.014054 0.014282 0.014513 0.014748 5.06 5.23 City of Newark, NJ 650367KL8 01/29/13 04/01/20 97.004 3.057 3.5335 15.46 0.011709 0.011916 0.012126 0.012340 0.012558 4.29 4.44 City of Newark, NJ 650367KM6 01/29/13 04/01/21 97.005 3.305 3.7336 13.25 0.010079 0.010267 0.010459 0.010654 0.010853 3.70 3.84 Nextera Energy, Inc. 65339KAB6 05/04/12 06/01/17 95.000 VARIES 2.3952 0.065996 9.90 Nomura America Finance 655365AA2 12/31/13 12/31/33 100.000 VARIES 4.5379 0.105440 0.102148 0.098781 0.098237 0.097681 37.36 35.46 Nomura America Finance 65539AAG5 11/24/10 11/24/25 100.000 VARIES 5.5492 0.121238 0.121732 0.122240 0.122762 0.123298 43.77 44.14 Nomura America Finance 65539AAL4 12/22/10 12/22/25 100.000 VARIES 5.9587 0.130438 0.130357 0.130273 0.130186 0.131260 46.94 46.89 Nomura America Finance 65539AAX8 06/29/11 06/29/21 100.000 VARIES 2.3555 0.015230 0.015409 0.015590 0.015774 0.015960 5.52 5.65 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Nomura America Finance 65539ABB5 02/28/14 02/28/34 100.000 VARIES 4.5092 0.107371 0.102559 0.101076 0.096227 0.097275 37.53 35.53 Nomura America Finance 65539ABC3 05/30/14 05/30/34 100.000 VARIES 3.7543 0.092482 0.091863 0.091232 0.090589 0.090551 33.14 32.71 Nomura America Finance 65539ABE9 07/29/14 07/29/34 100.000 VARIES 4.2954 0.099959 0.095717 0.091383 0.086956 0.082435 33.92 30.74 Nomura America Finance 65539ABL3 12/24/14 12/24/34 100.000 VARIES 2.8015 0.070223 0.070468 0.070716 0.070967 0.071222 25.33 25.51 Nomura America Finance 65539ABR0 02/19/15 02/19/20 110.000 0.125 2.3793 0.075202 0.076055 0.076919 0.077792 0.078677 27.45 28.08 Nomura America Finance 65539ABS8 02/25/15 02/25/20 100.000 VARIES 1.9120 0.011775 0.011888 0.011816 0.011743 0.011669 4.26 4.22 Nomura America Finance 65539ABY5 06/30/15 06/30/22 105.000 0.000 3.5000 0.107536 0.109418 0.111333 0.113281 0.115263 39.06 40.43 Nomura America Finance 65539ACG3 01/22/16 01/22/23 103.000 0.125 3.0300 29.59 0.087953 0.089232 0.090532 0.091851 0.093190 32.30 33.25 Novellus Systems, Inc. 670008AC5 05/10/11 05/15/41 100.000 VARIES 8.1005 0.308575 0.318120 0.328051 0.338385 0.349137 113.70 120.93 Novellus Systems, Inc. 670008AD3 05/10/11 05/15/41 100.000 VARIES 8.1005 0.308575 0.318120 0.328051 0.338385 0.349137 113.70 120.93 Nuverra Environmental 67091KAA2 04/15/16 04/15/21 36.385 VARIES N/A 99.92 0.437983 0.491168 0.553418 0.626375 0.682880 176.02 222.20 Orange County, CA 68428LBZ6 01/17/97 09/01/17 20.762 0.000 7.7695 742.99 0.199981 0.207750 49.39 Orange County, CA 68428LCA0 01/17/97 09/01/18 19.198 0.000 7.7796 688.72 0.185508 0.192724 0.200220 0.208009 69.85 49.45 Orange County, CA 68428LCB8 01/17/97 09/01/19 17.826 0.000 7.7696 637.93 0.171706 0.178376 0.185306 0.192504 0.199983 64.65 69.77 Orange County, CA 68428LCC6 01/17/97 09/01/20 16.480 0.000 7.7797 591.22 0.159248 0.165442 0.171878 0.178564 0.185509 59.96 64.72 Orange County, CA 68428LCD4 01/17/97 09/01/21 15.306 0.000 7.7695 547.73 0.147425 0.153152 0.159102 0.165282 0.171703 55.51 59.90 Oregon Community College 68583RAP7 04/23/03 06/30/17 44.239 0.000 5.8318 529.43 0.157403 28.18 Oregon Community College 68583RAQ5 04/23/03 06/30/18 40.975 0.000 5.9616 506.06 0.151633 0.156153 0.160807 55.41 28.78 Oregon Community College 68583RAR3 04/23/03 06/30/19 37.976 0.000 6.0715 481.50 0.145228 0.149637 0.154180 0.158860 0.163683 53.08 56.36 Oregon Community College 68583RAS1 04/23/03 06/30/20 35.297 0.000 6.1515 456.09 0.138223 0.142475 0.146857 0.151374 0.156029 50.53 53.69 Oregon Community College 68583RAT9 04/23/03 06/30/21 32.815 0.000 6.2213 431.03 0.131174 0.135254 0.139462 0.143800 0.148273 47.97 51.00 Oregon Community College 68583RAU6 04/23/03 06/30/22 30.636 0.000 6.2613 406.18 0.123908 0.127787 0.131787 0.135913 0.140168 45.31 48.19 Oregon Community College 68583RAV4 04/23/03 06/30/23 28.748 0.000 6.2713 382.04 0.116611 0.120268 0.124039 0.127928 0.131940 42.65 45.36 Oregon School Boards 686053AQ2 10/31/02 06/30/17 43.110 0.000 5.8194 540.78 0.157078 28.12 Oregon School Boards 686053AR0 10/31/02 06/30/18 40.030 0.000 5.9295 515.93 0.150886 0.155359 0.159965 55.13 28.63 Oregon School Boards 686053AS8 10/31/02 06/30/19 37.212 0.000 6.0195 490.23 0.144166 0.148505 0.152975 0.157579 0.162322 52.69 55.91 Oregon School Boards 686053AT6 10/31/02 06/30/20 34.591 0.000 6.0995 464.57 0.137298 0.141485 0.145800 0.150247 0.154829 50.19 53.30 Oregon School Boards 686053CG2 04/21/03 06/30/17 44.239 0.000 5.8294 529.45 0.157342 28.16 Oregon School Boards 686053CH0 04/21/03 06/30/18 40.975 0.000 5.9594 506.08 0.151581 0.156098 0.160749 55.39 28.77 Oregon School Boards 686053CJ6 04/21/03 06/30/19 37.976 0.000 6.0693 481.54 0.145185 0.149591 0.154130 0.158808 0.163627 53.07 56.34 Oregon School Boards 686053CK3 04/21/03 06/30/20 35.297 0.000 6.1494 456.14 0.138187 0.142436 0.146816 0.151330 0.155983 50.52 53.68 Oregon School Boards 686053CL1 04/21/03 06/30/21 32.815 0.000 6.2194 431.09 0.131144 0.135222 0.139427 0.143763 0.148234 47.95 50.98 Oregon School Boards 686053CM9 04/21/03 06/30/22 30.636 0.000 6.2595 406.25 0.123883 0.127760 0.131759 0.135883 0.140135 45.30 48.18 Oregon School Boards 686053CN7 04/21/03 06/30/23 28.748 0.000 6.2695 382.11 0.116592 0.120246 0.124016 0.127904 0.131913 42.64 45.35 Paterson, City of 7031302C7 04/11/03 04/01/17 44.317 0.000 5.9099 542.48 0.159452 14.35 Paterson, NJ 7031303Z5 03/30/12 03/15/18 98.496 3.625 3.9104 11.71 0.007480 0.007627 0.007776 2.75 0.58 Peoria CNTYS SD #327, IL 712746DT0 05/05/15 12/01/17 101.129 VARIES 1.5404 0.042983 0.042886 14.17 Peoria CNTYS SD #327, IL 712746DU7 05/05/15 12/01/18 100.343 VARIES 1.8911 0.052641 0.052614 0.052586 0.052558 18.94 17.35 Peoria CNTYS SD #322, IL 712762CN1 05/14/15 12/01/19 100.000 VARIES 1.9926 0.055363 0.055361 0.055359 0.055357 0.055355 19.93 19.93 Peoria CNTYS SD #322, IL 712762CP6 05/14/15 12/01/20 100.000 VARIES 2.2423 0.062303 0.062301 0.062299 0.062297 0.062294 22.43 22.43 PEORIA CNTY ILL CMNTY HI 713142DH7 08/09/17 12/01/18 103.417 4.400 1.7218 0.049463 0.049728 0.050156 7.03 16.49 Peoria County SD #325, I 713165FG8 09/04/13 12/01/17 110.617 VARIES 2.5859 0.073708 0.072775 24.16 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Peoria County, SD #325, 713165FH6 09/04/13 12/01/18 111.133 VARIES 2.9368 0.085217 0.084327 0.083423 0.082507 30.46 27.36 Peoria County, SD #325, 713165FJ2 09/04/13 12/01/19 110.068 VARIES 3.4365 0.100354 0.099572 0.098777 0.097969 0.097146 35.94 35.37 Peoria County SD #325, I 713165FK9 09/04/13 12/01/20 108.812 VARIES 3.8365 0.112105 0.111458 0.110799 0.110127 0.109442 40.20 39.73 Peoria County SD #325, I 713165FL7 09/04/13 12/01/21 107.288 VARIES 4.1865 0.121819 0.121316 0.120803 0.120279 0.119744 43.73 43.36 Peoria County, IL 713168AY8 10/05/11 12/01/17 106.762 VARIES 4.2348 0.119075 0.118361 39.17 Peoria County, IL 713168AZ5 10/05/11 12/01/18 106.114 VARIES 4.4856 0.126993 0.126414 0.125823 0.125219 45.58 41.41 Peoria County, IL 713168BA9 10/05/11 12/01/19 106.753 VARIES 4.7356 0.135237 0.134657 0.134064 0.133456 0.132834 48.55 48.12 Peoria County, IL 713168BB7 10/05/11 12/01/20 105.512 VARIES 4.9860 0.142295 0.141860 0.141415 0.140959 0.140491 51.12 50.80 Philadelphia Authority 71781LAP4 02/03/99 04/15/24 19.046 0.000 6.6895 428.64 0.113440 0.117234 0.121155 0.125208 0.129396 42.11 44.97 Philadelphia Authority 71781LAV1 02/03/99 04/15/17 30.618 0.000 6.6094 675.34 0.177720 18.48 Philadelphia Authority 71781LAW9 02/03/99 04/15/18 28.637 0.000 6.6194 633.24 0.166760 0.172279 0.177981 61.88 18.51 Philadelphia Authority 71781LAX7 02/03/99 04/15/19 26.727 0.000 6.6393 593.98 0.156642 0.161842 0.167214 0.172765 0.178501 58.13 62.05 Philadelphia Authority 71781LAY5 02/03/99 04/15/20 24.985 0.000 6.6495 556.69 0.146912 0.151796 0.156843 0.162057 0.167445 54.52 58.21 Philadelphia Authority 71781LAZ2 02/03/99 04/15/21 23.403 0.000 6.6495 521.44 0.137609 0.142184 0.146911 0.151796 0.156843 51.07 54.52 Philadelphia Authority 71781LBA6 02/03/99 04/15/22 21.872 0.000 6.6595 488.55 0.129021 0.133317 0.137756 0.142343 0.147082 47.88 51.13 Philadelphia Authority 71781LBB4 02/03/99 04/15/23 20.437 0.000 6.6695 457.65 0.120945 0.124978 0.129146 0.133453 0.137903 44.89 47.93 Philadelphia Authority 71781LBC2 02/03/99 04/15/25 17.878 0.000 6.6796 401.36 0.106145 0.109690 0.113353 0.117139 0.121051 39.40 42.07 Philadelphia Authority 71781LBD0 02/03/99 04/15/26 16.697 0.000 6.6896 375.79 0.099452 0.102779 0.106216 0.109769 0.113441 36.92 39.43 Piatt and Champaign Coun 719457BT9 02/25/16 12/01/17 101.730 2.750 1.7515 15.11 0.049134 0.048895 16.17 Piatt and Champaign Coun 719457BU6 02/25/16 12/01/18 102.007 2.750 2.0009 17.32 0.056392 0.056192 0.055990 0.055785 20.25 18.44 Piatt and Champaign Coun 719457BV4 02/25/16 12/01/19 102.692 3.000 2.2507 19.62 0.063871 0.063652 0.063431 0.063207 0.062980 22.94 22.78 Piatt and Champaign Coun 719457BW2 02/25/16 12/01/20 102.231 3.000 2.5007 21.71 0.070776 0.070618 0.070460 0.070299 0.070136 25.44 25.33 Piatt and Champaign Coun 719457BX0 02/25/16 12/01/21 102.646 3.250 2.7507 23.98 0.078180 0.078013 0.077845 0.077674 0.077500 28.10 27.98 Pike & Calhoun CNTYS, IL 721068BF0 08/08/13 12/01/23 111.543 VARIES 4.3459 0.126973 0.126280 0.125572 0.124849 0.124111 45.54 45.03 Pike & Calhoun CNTYS, IL 721068BG8 08/08/13 12/01/24 110.329 VARIES 4.5669 0.130461 0.129820 0.129164 0.128495 0.127810 46.81 46.34 Pike & Calhoun CNTYS, IL 721068BH6 08/08/13 12/01/25 109.132 VARIES 4.7572 0.133883 0.133297 0.132698 0.132086 0.131460 48.06 47.62 Pike & Calhoun CNTYS, IL 721068BJ2 08/08/13 12/01/26 108.343 VARIES 4.8857 0.136131 0.135585 0.135026 0.134454 0.133868 48.88 48.47 Pike & Calhoun CNTYS, IL 721068BK9 08/08/13 12/01/27 106.399 VARIES 5.1092 0.141646 0.141204 0.140752 0.140290 0.139815 50.89 50.56 Pike & Calhoun CNTYS, IL 721068BL7 08/08/13 12/01/28 106.016 VARIES 5.1714 0.142728 0.142309 0.141879 0.141440 0.140989 51.28 50.97 Pike & Calhoun CNTYS, IL 721068BM5 08/08/13 12/01/29 104.498 VARIES 5.3285 0.147002 0.146676 0.146341 0.145998 0.145646 52.84 52.60 Playboy Enterprises, Inc 728117AA0 03/15/05 03/15/25 100.000 VARIES 7.7501 0.395615 0.407255 0.419332 0.431859 0.444854 147.03 155.92 Playboy Enterprises, Inc 728117AB8 03/15/05 03/15/25 100.000 VARIES 7.7501 0.395615 0.407255 0.419332 0.431859 0.444854 147.03 155.92 Presidio Independent 741020EB3 05/14/98 02/15/17 26.541 0.000 7.1992 726.10 0.193030 8.49 Presidio Independent 741020EC1 05/14/98 02/15/18 24.728 0.000 7.1994 676.52 0.179852 0.186327 0.193034 67.70 8.49 Presidio Independent 741020ED9 05/14/98 02/15/19 22.810 0.000 7.2493 631.74 0.168531 0.174640 0.180970 0.187529 0.194327 63.46 68.15 Presidio Independent 741020EE7 05/14/98 02/15/20 21.242 0.000 7.2494 588.32 0.156948 0.162637 0.168532 0.174640 0.180971 59.10 63.46 Presidio Independent 741020EF4 05/14/98 02/15/21 19.782 0.000 7.2494 547.88 0.146160 0.151458 0.156948 0.162636 0.168531 55.04 59.10 Presidio Independent 741020EG2 05/14/98 02/15/22 18.422 0.000 7.2494 510.22 0.136114 0.141048 0.146161 0.151459 0.156949 51.26 55.04 Pride International 741932AE7 01/16/01 01/16/21 60.841 0.000 2.5000 296.06 0.062099 0.062876 0.063661 0.064457 0.065263 22.75 23.33 Quicksilver Resources In 74837RAA2 11/01/04 11/01/24 98.500 VARIES 6.7503 0.343279 0.352725 0.362476 0.372543 0.382934 126.43 133.53 Quicksilver Resources In 74837RAB0 11/01/04 11/01/24 98.500 VARIES 6.7503 0.343279 0.352725 0.362476 0.372543 0.382934 126.43 133.53 Randolph & Perry CNTYS 752368AX8 05/16/13 12/01/17 106.596 VARIES 2.2345 0.062994 0.062534 20.71 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Randolph & Perry CNTYS 752368AY6 05/16/13 12/01/18 106.586 VARIES 2.4855 0.070735 0.070319 0.069899 0.069473 25.36 22.99 Randolph & Perry CNTYS 752368AZ3 05/16/13 12/01/19 107.293 VARIES 2.7850 0.080049 0.079616 0.079178 0.078733 0.078282 28.71 28.40 Randolph & Perry CNTYS 752368BA7 05/16/13 12/01/20 107.856 VARIES 3.0845 0.089412 0.088970 0.088521 0.088066 0.087603 32.08 31.76 Randolph & Perry CNTYS 752368BB5 05/16/13 12/01/21 108.667 VARIES 3.3340 0.097547 0.097089 0.096624 0.096151 0.095670 35.01 34.67 Randolph & Perry CNTYS 752368BC3 05/16/13 12/01/22 107.818 VARIES 3.5344 0.103262 0.102878 0.102487 0.102089 0.101685 37.08 36.80 Randolph County, IL 752535DK7 01/30/13 12/01/17 89.744 0.000 2.2498 82.27 0.061112 0.061799 20.29 Randolph County, IL 752535DL5 01/30/13 12/01/18 85.511 0.000 2.6997 94.80 0.071076 0.072036 0.073008 0.073994 25.82 24.27 Randolph County, IL 752535DM3 01/30/13 12/01/19 81.034 0.000 3.0997 103.87 0.078514 0.079730 0.080966 0.082221 0.083495 28.56 29.45 Randolph County, IL 752535DN1 01/30/13 12/01/20 76.487 0.000 3.4497 109.77 0.083572 0.085014 0.086480 0.087972 0.089489 30.43 31.49 Randolph County, IL 752535DP6 01/30/13 12/01/21 72.328 0.000 3.6997 111.81 0.085558 0.087140 0.088752 0.090394 0.092066 31.18 32.35 Randolph County, IL 752535DQ4 01/30/13 12/01/22 68.391 0.000 3.8997 111.83 0.085919 0.087595 0.089302 0.091044 0.092819 31.33 32.57 Readers Digest Assn, Inc 755267AJ0 02/11/10 02/15/17 97.340 VARIES 10.0375 25.97 0.014217 0.63 Regal Beloit Corporation 758750AA1 04/05/04 03/15/24 100.000 VARIES 8.7500 0.551309 0.571431 0.592404 0.614267 0.637056 206.45 221.93 Regal Beloit Corporation 758750AB9 04/05/04 03/15/24 100.000 VARIES 8.7500 0.551309 0.571431 0.592404 0.614267 0.637056 206.45 221.93 Reliant Energy, Inc. 75952J207 09/21/99 09/15/29 100.000 2.000 9.8184 1.161654 1.215955 1.272921 1.332683 1.395380 439.76 481.99 City of Reno, NV 759830AQ5 09/22/16 06/01/20 99.117 2.000 2.2506 0.64 0.006436 0.006508 0.006581 0.006655 0.006730 2.33 2.39 City of Reno, NV 759830AR3 09/22/16 06/01/21 98.102 2.000 2.4304 1.06 0.010725 0.010855 0.010987 0.011121 0.011256 3.89 3.99 City of Reno, NV 759830AS1 09/22/16 06/01/22 98.689 2.500 2.7504 0.59 0.005985 0.006067 0.006151 0.006235 0.006321 2.17 2.23 City of Reno, NV 759830AT9 09/22/16 06/01/25 97.746 3.000 3.3004 0.62 0.006317 0.006422 0.006528 0.006635 0.006745 2.30 2.38 Rock Island Counties, IL 772283CZ8 10/02/15 12/01/17 104.132 VARIES 1.5411 0.043158 0.042516 14.30 Rock Island Counties, IL 772283DA2 10/02/15 12/01/18 105.489 VARIES 1.9915 0.056642 0.055859 0.055686 0.054899 20.50 18.46 Royal Bank of Canada 78008HUA6 01/28/10 01/28/20 100.000 VARIES 4.5517 0.134305 0.133255 0.132182 0.131084 0.129961 47.84 47.05 Royal Bank of Canada 78008HWF3 02/16/10 02/16/17 100.000 VARIES 3.8708 0.108254 4.87 Royal Bank of Canada 78008KN33 03/31/11 03/31/21 100.000 VARIES 4.1703 0.116589 0.116513 0.116435 0.116355 0.116274 41.94 41.89 Royal Bank of Canada 78008KYV9 01/27/11 01/27/31 100.000 VARIES 4.9792 0.133583 0.133697 0.133813 0.133931 0.134053 48.15 48.23 Royal Bank of Canada 78008SJY3 11/05/12 11/04/19 100.000 0.000 0.6002 0.017078 0.017129 0.017180 0.017232 0.017284 6.16 6.20 Royal Bank of Canana 78008SMC7 11/05/12 11/04/19 100.000 0.000 0.6002 0.017078 0.017129 0.017180 0.017232 0.017284 6.16 6.20 Royal Bank of Canada 78008SVM5 02/04/13 02/04/20 100.000 0.000 2.2565 0.067802 0.068567 0.069340 0.070122 0.070914 24.77 25.33 Royal Bank of Canada 78008TLZ5 08/18/11 08/18/31 100.000 VARIES 4.0300 0.108140 0.108234 0.108329 0.108426 0.108526 38.97 39.04 Royal Bank of Canada 78008TR89 02/17/12 02/17/33 100.000 3.570 3.5700 0.099167 0.099167 0.099167 0.099167 0.099167 35.70 35.70 ABN AMRO BANK N.V. 78009KAB8 01/13/05 01/13/20 100.000 VARIES 4.7502 562.40 0.133263 0.133119 0.132966 0.132789 0.132587 47.90 47.77 Royal Bank of Scotland 78009KLF7 08/11/10 08/11/20 100.000 VARIES 4.9855 0.142193 0.141929 0.141659 0.141382 0.141098 51.07 50.87 Royal Bank of Scotland 78009KMB5 08/19/10 08/19/17 100.000 VARIES 2.6316 0.021421 0.021702 4.93 Royal Bank of Scotland 78009KME9 09/16/10 09/16/20 100.000 VARIES 3.6714 0.021577 0.021973 0.022376 0.022787 0.023205 7.92 8.22 Royal Bank of Scotland 78009KMF6 09/20/10 09/20/17 100.000 VARIES 2.5212 0.019810 0.020059 5.18 Royal Bank of Scotland 78009KMG4 09/30/10 09/28/18 100.000 VARIES 2.6928 0.018045 0.018188 0.018534 0.018681 6.66 5.03 Royal Bank of Scotland 78009KNB4 10/27/10 10/27/17 100.000 VARIES 2.4219 0.023968 0.024258 7.15 Royal Bank of Scotland 78009KNQ1 11/16/10 11/16/30 100.000 VARIES 5.5209 0.147595 0.147734 0.147877 0.148024 0.148175 53.17 53.28 Royal Bank of Scotland 78009KNR9 11/16/10 11/16/20 100.000 VARIES 4.5134 0.129752 0.129546 0.129335 0.129120 0.128899 46.65 46.50 Royal Bank of Scotland 78009KPH9 12/13/10 12/13/28 100.000 VARIES 5.3208 0.138492 0.138774 0.139064 0.139361 0.139666 49.92 50.13 Royal Bank of Scotland 78009KPR7 12/30/10 12/30/30 100.000 VARIES 5.7104 0.151556 0.151725 0.151898 0.152076 0.152259 54.59 54.72 Royal Bank of Scotland 78009KQW5 02/25/11 02/25/31 100.000 VARIES 5.4494 0.142869 0.143065 0.143267 0.143474 0.143687 51.52 51.67 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Scotland 78009KRJ3 03/15/11 03/15/21 100.000 VARIES 5.5247 0.153048 0.153090 0.153132 0.153175 0.153220 55.11 55.14 Royal Bank of Scotland 78009KRY0 03/31/11 03/31/18 100.000 VARIES 4.3799 0.121455 0.121524 0.121594 43.75 10.82 Royal Bank of Scotland 78009PAM3 05/25/11 05/25/21 100.000 VARIES 4.4729 0.125755 0.125705 0.125579 0.125451 0.125319 45.26 45.18 Royal Bank of Scotland 78009PAP6 06/14/11 06/14/21 100.000 VARIES 2.5505 0.014883 0.015072 0.015265 0.015459 0.015656 5.40 5.54 Royal Bank of Scotland 78009PBD2 07/21/11 07/21/21 100.000 VARIES 2.8322 0.020084 0.020368 0.020657 0.020949 0.021246 7.37 7.58 Royal Bank of Sctland 78009PBG5 08/31/11 02/28/17 100.000 0.000 4.0028 0.134807 7.82 Royal Bank of Scotland 78009PBK6 08/26/11 08/26/31 100.000 VARIES 4.7435 0.120098 0.121534 0.123004 0.124509 0.126049 43.86 44.93 Royal Bank of Scotland 78009PBR1 09/30/11 03/30/17 100.000 0.000 3.8462 0.129256 11.50 Royal Bank of Scotland 78009PCD1 12/06/11 06/07/17 100.000 0.000 5.2976 0.191153 29.82 Royal Bank of Scotland 78009PCG4 12/30/11 07/03/17 100.000 0.000 5.2551 0.184434 0.189281 34.44 Royal Bank of Canada 78009Q489 09/26/13 09/26/22 100.000 0.000 3.5770 0.110512 0.112489 0.114501 0.116549 0.118633 40.52 41.98 Royal Bank of Canada 78010UDH7 12/30/13 12/30/20 100.000 VARIES 1.1631 0.007059 0.007100 0.007141 0.007183 0.007225 2.55 2.58 Royal Bank of Canada 78010UDK0 01/30/14 01/30/19 100.000 VARIES 0.9099 0.007465 0.007499 0.007534 0.007568 0.007602 2.70 2.73 Royal Bank of Canada 78010UDR5 01/30/14 01/30/19 100.000 2.250 2.2500 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 4.0700 0.098947 0.097597 0.099488 0.098140 0.100052 35.93 36.13 Royal Bank of Canada 78010UVV6 05/30/14 11/30/17 100.000 VARIES 0.5884 0.007060 0.007042 2.35 Royal Bank of Canada 78010UVX2 06/30/14 06/30/29 100.000 VARIES 3.5597 0.095740 0.095840 0.095943 0.096047 0.096154 34.48 34.56 Royal Bank of Canada 78010UWN3 09/29/14 09/29/34 100.000 VARIES 3.6300 0.095575 0.095679 0.095786 0.095895 0.096005 34.45 34.52 Royal Bank of Canada 78010UWR4 11/28/14 11/28/34 100.000 VARIES 3.3500 0.087957 0.088061 0.088167 0.088275 0.088384 31.69 31.77 Royal Bank of Canana 78010UWU7 12/23/14 12/23/24 100.000 VARIES 2.8500 0.078341 0.078387 0.078434 0.078482 0.078530 28.21 28.25 Royal Bank of Canada 78012KDH7 06/29/15 06/29/35 100.000 VARIES 3.4100 0.088810 0.086773 0.086934 0.087099 0.087266 31.60 31.33 SG Structured Prods, Inc 78423A2D3 07/29/11 07/29/31 100.000 VARIES 3.8136 0.078473 0.077994 0.077505 0.077008 0.076500 28.02 27.66 SG Structured Prods, Inc 78423A2E1 07/29/11 07/29/31 100.000 VARIES 3.8227 0.081030 0.080427 0.079812 0.079106 0.078386 28.88 28.39 SG Structured Prods, Inc 78423A2P6 07/29/11 07/29/31 100.000 VARIES 3.8133 0.080632 0.079948 0.079251 0.078540 0.077817 28.69 28.18 SG Structured Prods, Inc 78423A3B6 08/31/11 08/29/31 100.000 VARIES 3.8090 0.079883 0.079647 0.078528 0.078259 0.077121 28.94 28.44 SG Structured Prods, Inc 78423AC42 12/31/10 12/31/30 100.000 VARIES 4.1616 0.094907 0.093617 0.092300 0.090956 0.089584 33.93 32.98 SG Structured Prods, Inc 78423AD90 01/31/11 01/31/31 100.000 VARIES 4.1899 0.091907 0.091020 0.090114 0.089190 0.088246 32.66 31.99 SG Structured Prods, Inc 78423AE99 02/25/11 02/25/26 100.000 VARIES 4.0468 0.095047 0.095092 0.095137 0.095184 0.095679 34.24 34.33 SG Structured Prods, Inc 78423AF80 02/28/11 02/28/31 100.000 VARIES 4.1578 0.094477 0.092167 0.092895 0.090577 0.091160 33.86 33.27 SG Structured Prods, Inc 78423AG63 03/18/11 03/18/21 100.000 VARIES 4.1694 0.115438 0.115565 0.115665 0.115766 0.115824 41.60 41.67 SG Structured Prods, Inc 78423AJ45 03/31/11 03/31/26 100.000 VARIES 3.9820 0.091288 0.091257 0.091687 0.092126 0.092573 32.89 33.17 SG Structured Prods, Inc 78423AL75 03/31/11 03/31/31 100.000 VARIES 4.2878 0.098688 0.098159 0.097618 0.097065 0.096447 35.34 34.94 SG Structured Prods, Inc 78423AP48 04/29/11 04/29/31 100.000 VARIES 4.1591 0.094292 0.093755 0.093208 0.092649 0.091905 33.78 33.37 SG Structured Prods, Inc 78423AR20 04/29/11 04/30/26 100.000 VARIES 4.1342 0.099233 0.099301 0.099371 0.099443 0.099923 35.74 35.82 SG Structured Prods, Inc 78423AT93 05/31/11 05/30/31 100.000 VARIES 4.0970 0.093790 0.091706 0.092651 0.090563 0.091321 33.81 33.39 SG Structured Prods, Inc 78423AU26 05/31/11 05/30/23 100.000 VARIES 4.1100 0.110991 0.109300 0.111234 0.109544 0.111526 40.21 40.30 SG Structured Prods, Inc 78423AU75 05/31/11 05/30/31 100.000 VARIES 4.0953 0.089741 0.087788 0.088736 0.086781 0.087696 32.36 32.00 SG Structured Prods, Inc 78423AU83 05/31/11 05/29/26 100.000 VARIES 4.1202 0.098141 0.096718 0.098504 0.097082 0.098882 35.57 35.70 SG Structured Prods, Inc 78423AV90 06/17/11 06/16/17 100.000 0.000 2.1965 0.068799 11.35 SG Structured Prods, Inc 78423AW65 06/30/11 06/30/31 100.000 VARIES 4.0040 0.086055 0.085483 0.084900 0.084305 0.083642 30.88 30.46 SG Structured Prods, Inc 78423AW73 06/30/11 06/30/31 100.000 VARIES 4.0073 0.088479 0.086406 0.087184 0.085107 0.085658 31.91 31.44 SG Structured Prods, Inc 78423AW81 06/30/11 06/30/23 100.000 VARIES 3.9769 0.109526 0.109716 0.109909 0.110106 0.110216 39.46 39.60 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SG Structured Prods, Inc 78423AW99 06/30/11 06/30/26 100.000 VARIES 3.9854 0.095520 0.093730 0.095041 0.093250 0.095191 34.53 34.36 SG Structured Products, 78423AYJ5 08/31/10 08/29/25 100.000 VARIES 3.6972 0.076303 0.074393 0.075354 0.077169 0.078166 27.38 28.19 SG Structured Prods, Inc 78423EBE3 06/29/12 06/30/32 100.000 VARIES 2.6184 0.062098 0.061608 0.061598 0.061587 0.061577 22.27 22.17 SG Structured Prods, Inc 78423EBR4 07/31/12 07/30/32 100.000 VARIES 2.2858 0.053482 0.054041 0.052833 0.053740 0.052894 19.52 19.46 SG Structured Prods, Inc 78423ECC6 07/31/12 07/30/32 100.000 VARIES 4.6280 0.118567 0.118734 0.118904 0.119079 0.119257 42.77 42.89 SG Structured Prods, Inc 78423ECE2 08/31/12 08/31/32 100.000 VARIES 2.2189 0.051975 0.050941 0.051594 0.050828 0.051748 18.73 18.71 SG Structured Prods, Inc 78423ECF9 08/31/12 08/31/27 100.000 VARIES 2.2060 0.055563 0.054545 0.055334 0.054317 0.055100 20.07 19.98 SG Structured Prods, Inc 78423ECS1 08/31/12 08/31/32 100.000 VARIES 4.5638 0.116974 0.115205 0.117259 0.115492 0.117557 42.41 42.51 SG Structured Prods, Inc 78423EDB7 09/28/12 09/30/32 100.000 VARIES 4.0173 0.104190 0.104326 0.104465 0.104606 0.104750 37.56 37.66 SG Structured Prods, Inc 78423EDJ0 09/28/12 09/30/32 100.000 VARIES 2.1721 0.050800 0.050671 0.050540 0.050710 0.050883 18.24 18.26 SG Structured Prods, Inc 78423EDN1 10/31/12 10/29/27 100.000 VARIES 2.3465 0.057980 0.057961 0.057941 0.058202 0.058467 20.87 20.94 SG Structured Prods, Inc 78423EDQ4 10/31/12 10/29/32 100.000 VARIES 3.5854 0.093071 0.092999 0.092926 0.093092 0.093261 33.48 33.50 SG Structured Prods, Inc 78423EEA8 12/31/12 12/31/32 100.000 VARIES 2.3864 0.057690 0.057376 0.057058 0.057008 0.056957 20.71 20.53 SG Structured Prods, Inc 78423EEJ9 10/31/12 10/29/32 100.000 VARIES 2.3463 0.057676 0.057581 0.057486 0.057659 0.057835 20.73 20.75 SG Structured Prods, Inc 78423EES9 11/30/12 11/30/32 100.000 VARIES 2.3877 0.058771 0.058632 0.058492 0.058547 0.058603 21.12 21.07 SG Structured Prods, Inc 78423EJF2 11/27/13 11/27/23 100.000 VARIES 3.9019 0.101401 0.101290 0.101177 0.101663 0.102159 36.48 36.54 SG Structured Prods, Inc 78423EJG0 12/18/13 12/18/23 100.000 VARIES 3.8787 0.101087 0.101042 0.100996 0.101487 0.101989 36.38 36.46 SM Energy Company 78454LAM2 08/09/16 07/01/21 86.000 1.500 4.7379 10.16 0.072852 0.074578 0.076345 0.078153 26.54 27.81 SCH DIST Clair CNTY, IL 788550JM4 06/15/11 01/01/18 102.758 VARIES 4.9870 0.139213 0.138875 50.06 St. Clair CNTY SD #187, 788550JQ5 06/20/12 01/01/21 107.017 5.500 4.5004 0.129539 0.129016 0.128481 0.127934 46.54 46.15 St. Clair County, IL 788550JU6 06/25/15 01/01/21 79.080 0.000 4.3001 52.71 0.100198 0.100684 0.104553 0.105060 36.66 38.26 St. Clair County, IL 788550JV4 06/25/15 01/01/22 74.588 0.000 4.5500 52.68 0.100371 0.100981 0.104990 0.105628 36.75 38.44 St. Clair County, IL 788550JW2 06/25/15 01/01/23 70.267 0.000 4.7499 51.86 0.099004 0.099703 0.103763 0.104495 36.27 38.01 St. Clair County, IL 788550JX0 06/25/15 01/01/24 65.665 0.000 5.0000 51.08 0.097753 0.098563 0.102701 0.103553 35.83 37.64 St. Clair County, IL 788553GR0 04/13/17 12/01/22 99.225 2.850 3.0005 0.003536 0.003550 0.003603 0.003657 0.003712 0.92 1.31 St. Clair County, IL 788553GS8 04/13/17 12/01/23 101.777 3.500 3.2006 0.090485 0.090456 0.090348 0.090238 0.090126 23.34 32.50 St. Clair County, IL 788553GT6 04/13/17 12/01/26 102.645 4.000 3.6716 0.104685 0.104654 0.104535 0.104415 0.104292 27.00 37.60 St. Clair County, IL 788553GU3 04/13/17 12/01/27 101.642 4.000 3.8108 0.107592 0.107575 0.107507 0.107438 0.107368 27.75 38.69 San Luis Obispo County 798703AQ7 07/02/03 09/01/18 45.439 0.000 5.2696 462.64 0.131915 0.135390 0.138958 0.142619 48.96 34.01 San Luis Obispo County 798703AR5 07/02/03 09/01/19 42.462 0.000 5.3696 443.68 0.127233 0.130649 0.134157 0.137758 0.141457 47.25 49.82 San Luis Obispo County 798703AS3 07/02/03 09/01/20 39.603 0.000 5.4696 424.52 0.122437 0.125785 0.129225 0.132759 0.136390 45.49 48.02 San Luis Obispo County 798703AT1 07/02/03 09/01/21 37.061 0.000 5.5396 404.37 0.117090 0.120333 0.123666 0.127092 0.130612 43.53 45.97 San Luis Obispo County 798703AU8 07/02/03 09/01/22 34.700 0.000 5.5996 384.35 0.111672 0.114799 0.118013 0.121317 0.124714 41.53 43.88 San Luis Obispo County 798703AV6 07/02/03 09/01/23 32.578 0.000 5.6397 364.48 0.106139 0.109132 0.112210 0.115374 0.118627 39.48 41.74 San Luis Obispo County 798703AW4 07/02/03 09/01/24 30.563 0.000 5.6797 345.34 0.100795 0.103658 0.106601 0.109629 0.112742 37.50 39.66 San Luis Obispo County 798703AX2 07/02/03 09/01/25 28.774 0.000 5.6997 326.74 0.095474 0.098195 0.100993 0.103871 0.106831 35.52 37.58 San Luis Obispo County 798703AY0 07/02/03 09/01/26 27.018 0.000 5.7298 309.08 0.090467 0.093059 0.095725 0.098467 0.101288 33.67 35.62 San Luis Obispo County 798703AZ7 07/02/03 09/01/27 25.534 0.000 5.7298 292.10 0.085498 0.087948 0.090467 0.093059 0.095725 31.82 33.67 San Luis Obispo County 798703BA1 07/02/03 09/01/28 24.132 0.000 5.7297 276.06 0.080802 0.083117 0.085498 0.087947 0.090467 30.07 31.82 San Luis Obispo County 798703BB9 07/02/03 09/01/29 22.806 0.000 5.7298 260.90 0.076364 0.078552 0.080802 0.083117 0.085498 28.42 30.07 San Luis Obispo County 798703BC7 07/02/03 09/01/30 21.553 0.000 5.7298 246.57 0.072170 0.074237 0.076364 0.078552 0.080803 26.86 28.42 Santa Monica School, CA 802498PT6 10/11/16 07/01/32 95.746 3.000 3.3503 0.46 0.005813 0.005911 0.006010 0.006110 2.11 2.18 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SEACOR HOLDINGS INC 81170YAA7 11/13/13 11/15/28 100.000 3.000 8.2500 277.57 0.269277 0.276947 0.284933 0.293249 0.301908 99.04 104.85 Seacor Holdings, Inc. 81170YAB5 11/13/13 11/15/28 100.000 VARIES 8.2503 0.269293 0.276964 0.284952 0.293269 0.301929 99.05 104.86 Seacor Holdings, Inc. 811904AL5 12/11/12 12/15/27 100.000 VARIES 7.1504 0.240674 0.246796 0.253136 0.259704 0.266506 87.94 92.53 Seacor Holdings, Inc. 811904AM3 12/11/12 12/15/27 100.000 VARIES 7.1504 0.240674 0.246796 0.253136 0.259704 0.266506 87.94 92.53 Sears Holdings Corp. 812350AF3 11/21/14 12/15/19 82.600 8.000 12.7676 59.64 0.091357 0.097189 0.103394 0.109994 0.117016 34.13 38.63 Shelby Christian CNTYS, 821510AX2 02/24/16 12/01/17 103.912 3.750 1.5019 13.24 0.042647 0.042185 13.99 Shelby Christian CNTYS, 821510AY0 02/24/16 12/01/18 105.242 3.750 1.8015 16.10 0.051948 0.051477 0.051003 0.050524 18.59 16.74 Shelby Christian CNTYS, 821510AZ7 02/24/16 12/01/19 105.947 3.750 2.1010 18.92 0.061146 0.060694 0.060237 0.059775 0.059309 21.90 21.57 Shelby Christian CNTYS, 821510BA1 02/24/16 12/01/20 106.279 3.750 2.3508 21.25 0.068769 0.068353 0.067932 0.067506 0.067075 24.66 24.35 Shelby Christian CNTYS, 821510BB9 02/24/16 12/01/21 106.397 3.750 2.5508 23.09 0.074819 0.074445 0.074066 0.073682 0.073293 26.84 26.57 SG Structured Prods, Inc 83367TAN9 09/28/12 09/28/27 100.000 VARIES 4.2451 0.107749 0.107230 0.106699 0.106756 0.106814 38.60 38.43 SG Structured Prods, Inc 83368W2F7 07/28/15 07/28/21 100.000 0.000 3.0305 0.086751 0.088066 0.089400 0.090755 0.092130 31.87 32.85 SG Structured Prods, Inc 83368W2V2 08/31/15 09/03/30 100.000 VARIES 3.4214 0.088679 0.088572 0.088464 0.088353 0.088241 31.88 31.80 SG Structured Prods, Inc 83368WB59 01/30/15 01/30/30 100.000 VARIES 2.8761 0.079756 0.079801 0.079847 0.079893 0.080031 28.73 28.78 SG Structured Prods, Inc 83368WBD2 01/31/13 01/31/33 100.000 VARIES 3.8966 0.101926 0.102530 0.103147 0.103775 0.104478 36.99 37.45 SG Structured Prods, Inc 83368WBG5 01/31/13 01/31/33 100.000 VARIES 3.8943 0.098466 0.098156 0.097841 0.097520 0.097763 35.30 35.15 SG Structured Prods, Inc 83368WBT7 02/28/13 02/28/33 100.000 VARIES 3.4646 0.085226 0.083700 0.085494 0.084508 0.086330 30.86 31.13 SG Structured Prods, Inc 83368WBX8 03/28/13 03/31/33 100.000 VARIES 2.9028 0.072541 0.072664 0.072790 0.072918 0.073281 26.16 26.27 SG Structured Prods, Inc 83368WCB5 04/12/13 04/12/33 100.000 VARIES 3.9684 0.099222 0.099351 0.099482 0.099615 0.100063 35.76 35.88 SG Structured Prods, Inc 83368WCG4 04/30/13 04/29/33 100.000 VARIES 3.9499 0.099228 0.099476 0.099729 0.099986 0.100556 35.80 36.00 SG Structured Prods, Inc 83368WCQ2 04/30/13 05/01/23 100.000 VARIES 1.6708 0.009914 0.009997 0.010081 0.010165 0.010250 3.59 3.65 SG Structured Prods, Inc 83368WCY5 05/03/13 05/03/23 100.000 VARIES 3.1496 0.086773 0.086759 0.086780 0.086801 0.086857 31.24 31.25 SG Structured Prods, Inc 83368WDL2 06/28/13 06/28/33 100.000 VARIES 4.7629 0.129985 0.131469 0.132987 0.134542 0.136262 47.07 48.17 SG Structured Prods, Inc 83368WDM0 06/28/13 06/28/33 100.000 VARIES 4.7593 0.119666 0.120200 0.120748 0.121308 0.122162 43.18 43.57 SG Structured Prods, Inc 83368WDR9 07/31/13 07/31/33 100.000 VARIES 4.5906 0.115535 0.115300 0.115060 0.115551 0.116053 41.48 41.66 SG Structured Prods, Inc 83368WDT5 07/31/13 07/31/33 100.000 VARIES 4.5832 0.114622 0.115144 0.115678 0.116589 0.117520 41.52 42.09 SG Structured Prods, Inc 83368WDV0 07/31/13 07/31/33 100.000 VARIES 4.5941 0.112617 0.111367 0.110088 0.110191 0.110296 39.94 39.68 SG Structured Prods, Inc 83368WDW8 08/30/13 08/31/33 100.000 VARIES 4.6389 0.114310 0.112778 0.114993 0.113466 0.115708 41.53 41.78 SG Structured Prods, Inc 83368WDX6 08/30/13 08/31/33 100.000 VARIES 4.6414 0.118039 0.116792 0.119433 0.118195 0.120893 43.03 43.54 SG Structured Prods, Inc 83368WDZ1 08/30/13 08/31/28 100.000 VARIES 4.5931 0.118382 0.117381 0.120293 0.119304 0.122293 43.26 43.97 SG Structured Prods, Inc 83368WEL1 09/30/13 09/30/33 100.000 VARIES 4.5116 0.114582 0.114564 0.114546 0.115214 0.115897 41.24 41.48 SG Structured Prods, Inc 83368WFA4 10/31/13 10/31/33 100.000 VARIES 4.2945 0.107775 0.107260 0.106733 0.107043 0.107359 38.64 38.52 SG Structured Prods, Inc 83368WFL0 10/31/13 10/31/33 100.000 VARIES 4.2911 0.109692 0.109809 0.109928 0.110559 0.111204 39.52 39.77 SG Structured Prods, Inc 83368WGF2 11/29/13 11/30/33 100.000 VARIES 4.4027 0.112043 0.111828 0.111609 0.112075 0.112552 40.28 40.29 SG Structured Prods, Inc 83368WGM7 11/29/13 11/29/32 90.000 VARIES 4.3778 0.096936 0.097102 0.097271 0.098229 0.099209 34.94 35.25 SG Structured Prods, Inc 83368WGR6 11/29/13 11/29/32 90.000 VARIES 4.3778 0.096935 0.097100 0.097269 0.098228 0.099207 34.94 35.25 SG Structured Prods, Inc 83368WGZ8 12/30/13 12/30/33 100.000 VARIES 4.4481 0.113389 0.113894 0.114411 0.114938 0.115478 40.91 41.28 SG Structured Prods, Inc 83368WHA2 12/30/13 12/30/32 93.000 VARIES 4.4186 0.104019 0.104451 0.104893 0.105937 0.107004 37.53 37.95 SG Structured Prods, Inc 83368WHD6 12/30/13 12/30/33 100.000 VARIES 4.4457 0.110641 0.110731 0.110823 0.110916 0.111012 39.85 39.91 SG Structured Prods, Inc 83368WHS3 01/31/14 01/31/34 100.000 VARIES 4.0888 0.103081 0.103383 0.103691 0.104005 0.104723 37.26 37.54 SG Structured Prods, Inc 83368WJB8 01/31/14 01/31/33 91.000 VARIES 4.0761 0.093637 0.094218 0.094810 0.095414 0.096384 33.99 34.48 SG Structured Prods, Inc 83368WKA8 02/21/14 02/21/24 100.000 0.000 3.6893 0.112287 0.114358 0.116468 0.118616 0.120804 41.34 42.88 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SG Structured Prods, Inc 83368WKB6 02/28/14 02/28/34 91.000 VARIES 4.0373 0.092502 0.091667 0.093885 0.093055 0.095784 33.78 34.35 SG Structured Prods, Inc 83368WKC4 02/28/14 02/28/34 100.000 VARIES 4.0411 0.103184 0.101828 0.103854 0.102500 0.104857 37.49 37.78 SG Structured Prods, Inc 83368WKZ3 03/31/14 03/31/34 100.000 VARIES 4.4731 0.113299 0.112861 0.112413 0.111956 0.112227 40.63 40.37 SG Structured Prods, Inc 83368WL58 04/17/15 04/17/25 100.000 VARIES 2.7151 0.075517 0.075523 0.075507 0.075490 0.075465 27.19 27.18 SG Structured Prods, Inc 83368WLG4 03/31/14 03/31/34 91.000 VARIES 4.4572 0.096430 0.097159 0.097905 0.098667 0.099818 34.98 35.56 SG Structured Prods, Inc 83368WLH2 03/31/14 03/31/34 100.000 VARIES 4.4742 0.111738 0.110859 0.109961 0.109043 0.108999 39.91 39.33 SG Structured Prods, Inc 83368WMW8 05/14/14 05/14/21 100.000 VARIES 2.9301 0.081776 0.081774 0.081735 0.081695 0.081634 29.44 29.41 SG Structured Prods, Inc 83368WNR8 05/22/14 05/22/34 91.000 VARIES 3.6947 0.084612 0.084888 0.085170 0.085456 0.085990 30.53 30.74 SG Structured Prods, Inc 83368WP21 05/20/15 05/21/35 100.000 VARIES 3.3762 0.090229 0.089007 0.089207 0.089410 0.089617 32.22 32.17 SG Structured Prods, Inc 83368WPM7 06/26/14 06/26/34 100.000 VARIES 3.6333 0.093051 0.093130 0.093210 0.093291 0.093702 33.51 33.57 SG Structured Prods, Inc 83368WRU7 08/29/14 08/29/34 100.000 VARIES 3.4030 0.086681 0.087472 0.087313 0.088118 0.087966 31.86 32.10 SG Structured Prods, Inc 83368WSX0 08/29/14 08/29/34 100.000 VARIES 3.4025 0.086512 0.087122 0.086782 0.087398 0.087061 31.72 31.82 SG Structured Prods, Inc 83368WTC5 09/30/14 09/30/29 100.000 VARIES 3.5292 0.096747 0.096578 0.096407 0.096498 0.096590 34.77 34.74 SG Structured Prods, Inc 83368WTS0 09/30/14 09/30/24 100.000 VARIES 3.2998 0.087301 0.087505 0.087712 0.087988 0.088268 31.50 31.68 SG Structured Prods, Inc 83368WU58 06/30/15 06/30/35 100.000 VARIES 3.7086 0.095518 0.095071 0.094616 0.094153 0.094461 34.31 33.98 SG Structured Prods, Inc 83368WUJ8 09/30/14 09/30/34 100.000 VARIES 3.5842 0.092998 0.092937 0.092874 0.093150 0.093430 33.46 33.53 SG Structured Prods, Inc 83368WUL3 09/30/14 09/30/34 100.000 VARIES 3.5616 0.091442 0.091707 0.091976 0.092250 0.092530 33.02 33.21 SG Structured Prods, Inc 83368WVM0 10/31/14 10/31/34 100.000 VARIES 3.4502 0.089372 0.089425 0.089480 0.089953 0.090435 32.19 32.36 SG Structured Prods, Inc 83368WXN6 11/26/14 11/26/34 100.000 VARIES 3.3123 0.084883 0.085206 0.085535 0.085869 0.086209 30.64 30.88 SG Structured Prods, Inc 83368WXV8 11/14/14 11/16/21 100.000 0.000 2.6926 0.078915 0.079978 0.081054 0.082146 0.083252 28.70 29.47 SG Structured Prods, Inc 83368WZJ3 12/31/14 12/31/34 100.000 VARIES 3.0162 0.079708 0.080218 0.080736 0.081261 0.081794 28.79 29.16 SG Structured Prods, Inc 83368WZV6 12/16/14 11/16/21 101.640 0.000 2.4786 0.073362 0.074271 0.075192 0.076124 0.077067 26.66 27.32 SG Structured Prods, Inc 83369ECH1 10/30/15 11/01/27 100.000 VARIES 3.1962 0.087746 0.087217 0.086679 0.086557 0.086433 31.43 31.17 SOCIETE GENERALE MEDIUM 83369EE30 10/19/17 10/19/20 100.000 VARIES 1.9157 0.053215 0.053724 0.054239 3.83 19.32 SG Structured Prods, Inc 83369EEM8 01/29/16 01/29/36 100.000 VARIES 3.1196 28.43 0.084433 0.082176 0.082036 0.081893 0.081747 29.63 29.46 SG Structured Prods, Inc 83369EGC8 02/26/16 02/26/21 100.000 VARIES 1.8853 2.53 0.008226 0.008113 0.007998 0.007882 0.007957 2.91 2.85 SG Structured Prods, Inc 83369EGU8 03/23/16 03/23/26 100.000 VARIES 1.6326 7.69 0.027357 0.026864 0.026367 0.025866 0.025360 9.66 9.30 SG Structured Prods, Inc 83369EKC3 06/24/16 06/26/23 100.000 0.000 1.8500 9.61 0.051870 0.052350 0.052834 0.053323 0.053816 18.76 19.11 SG Structured Prods, Inc 83369EUT5 03/31/17 03/31/37 100.000 VARIES 3.2302 0.089727 0.087587 0.085412 0.085843 24.12 30.98 SOCIETE GENERALE MEDIUM 83369EZS2 08/30/17 08/30/29 100.000 VARIES 2.7704 0.076956 0.076508 0.076182 9.31 27.53 Solectron Corporation 834182AK3 05/08/00 05/08/20 57.912 0.000 2.7500 333.39 0.069424 0.070378 0.071346 0.072327 0.073322 25.27 25.97 Sunsource, Inc. 867948AA9 09/30/97 09/30/27 110.000 11.600 10.4990 0.312299 0.311778 0.311230 0.310653 0.310045 112.24 111.83 Time Warner Inc. 887315AZ2 01/17/96 01/15/36 17.038 VARIES 8.8001 0.233146 0.233260 0.233379 0.233503 0.233633 83.99 84.08 Toll Brothers Finance 88947EAL4 09/11/12 09/15/32* 100.000 VARIES 5.9845 0.206889 0.212664 53.17* Toll Brothers Finance 88947EAM2 09/11/12 09/15/32* 100.000 VARIES 5.9845 0.206889 0.212664 53.17* Tornillo Indpt SCH DIST 891084NY7 12/06/12 02/01/20 83.718 0.000 2.4998 89.09 0.063657 0.064453 0.065258 0.066074 0.066900 23.30 23.89 Tornillo Indpt SCH DIST 891084NZ4 12/06/12 02/01/21 80.360 0.000 2.6998 92.69 0.066469 0.067366 0.068275 0.069197 0.070131 24.36 25.02 Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38 24.099 0.000 4.8000 124.14 0.048088 0.049243 0.050424 0.051635 0.052874 17.74 18.60 Transportadora Gas Norte 893871AS2 08/22/12 08/22/19* 25.000 VARIES N/A 0.621915 0.670984 201.19* Transportadora Gas Norte 893871AZ6 08/22/12 08/22/19* 25.000 VARIES N/A 0.621915 0.670984 201.19* Trenton, City of 895130K35 03/13/03 04/01/22 31.423 0.000 6.1698 412.71 0.122694 0.126479 0.130381 0.134403 0.138550 45.54 48.40 Trinity Industries, Inc. 896522AF6 06/07/06 06/01/36 100.000 VARIES 8.5855 0.423502 0.437061 0.451202 0.465950 0.479678 155.73 165.94 ----------------------------- * Called in 2017; 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ UBS AG 90261JGR8 03/25/11 03/25/21 100.000 VARIES 4.6496 0.132261 0.132153 0.131858 0.131555 0.131199 47.56 47.35 UBS AG 90261JHP1 09/21/11 09/21/21 100.000 VARIES 2.4224 0.066273 0.066370 0.066467 0.066566 0.066665 23.90 23.97 UBS AG 90261JHQ9 09/23/11 09/23/19 100.000 VARIES 2.3048 0.005051 0.005109 0.005168 0.005227 0.005288 1.84 1.88 UBS AG 90261JHS5 09/29/11 09/29/21 100.000 VARIES 2.5378 0.010232 0.010362 0.010493 0.010626 0.010761 3.73 3.83 UBS AG 90261XDU3 07/20/07 07/20/27 100.000 VARIES 5.7801 0.110283 0.109777 0.109256 0.108721 0.108169 39.45 39.06 UBS AG 90261XEU2 03/06/08 03/06/18 100.000 VARIES 4.6052 0.124307 0.125270 0.126581 45.19 8.23 Union CNTY SD #531, IL 904842CV1 05/17/11 12/01/17 108.762 VARIES 4.1180 0.116088 0.115247 38.16 Union CNTY SD #531, IL 904842CW9 05/17/11 12/01/18 107.234 VARIES 4.3708 0.124008 0.123380 0.122737 0.122081 44.49 40.39 Hudson County, NJ 905734MG1 02/07/07 11/01/17 55.340 0.000 5.5883 401.79 0.146905 0.151010 44.81 Union CNTY NJ IMPT Auth 906347UT4 11/25/15 12/01/47 18.159 0.000 5.4001 10.97 0.028755 0.029532 0.030329 0.031148 0.031989 10.54 11.12 United Technologies Corp 913017AR0 11/13/89 11/15/19 98.974 8.875 8.9742 7.80 0.002106 0.002164 0.002299 0.002363 0.002510 0.79 0.86 Uruguay, Republic 917288AX0 05/29/03 01/20/17 73.000 7.625 11.6166 268.01 0.104791 1.99 Uruguay, Republic 917288BA9 05/29/03 01/15/33 61.000 3.875 N/A 0.142576 0.143776 0.145052 0.146408 0.147848 51.95 52.93 VeriSign, Inc. 92343EAC6 08/20/07 08/15/37 100.000 VARIES 8.5009 0.397516 0.409608 0.422213 0.435354 0.449053 148.64 158.01 VeriSign, Inc. 92343EAD4 08/20/07 08/15/37 100.000 VARIES 8.5009 0.397516 0.409608 0.422213 0.435354 0.449053 148.64 158.01 Veritas Capital Trust 92343W300 12/22/97 01/01/28 100.000 10.000 10.0000 0.277778 0.277778 0.277778 0.277778 100.00 100.00 Virginia Pub School Auth 92817SPA0 11/13/09 09/15/26 90.643 6.050 7.0050 27.14 0.013325 0.013792 0.014275 0.014775 0.015292 4.98 5.34 Wells Fargo & Company 94986RA35 11/30/15 11/30/27 100.000 VARIES 2.3691 0.010413 0.010062 0.009706 0.009347 0.008983 3.66 3.41 Wells Fargo & Company 94986RB59 12/24/15 12/24/25 100.000 VARIES 2.3798 0.009420 0.008973 0.008522 0.008623 0.008726 3.30 3.09 Wells Fargo & Company 94986RB75 12/23/15 12/23/27 100.000 VARIES 2.4986 0.010364 0.009996 0.009624 0.009247 0.008865 3.66 3.39 Wells Fargo & Company 94986RB91 12/23/15 12/23/30 100.000 VARIES 2.5508 0.011469 0.010924 0.010373 0.009814 0.009249 4.02 3.62 Wells Fargo & Co. 94986RBH3 11/05/10 11/05/17 100.000 VARIES 2.5030 0.070668 0.070101 21.38 Wells Fargo & Co. 94986RBQ3 12/07/10 06/07/17 100.000 0.000 2.4502 0.078768 12.29 Wells Fargo & Company 94986RBY6 01/05/11 01/06/17 100.000 0.000 2.6501 0.085091 0.43 Wells Fargo & Co. 94986RBZ3 01/05/11 07/07/17 100.000 0.000 2.7700 0.089526 0.090766 16.87 Wells Fargo & Company 94986RCG4 02/07/11 02/07/17 100.000 1.250 2.5699 0.076916 2.77 Wells Fargo & Company 94986RCP4 02/07/11 02/07/18 100.000 1.500 2.9500 0.088984 0.089682 0.090390 32.36 3.25 Wells Fargo & Company 94986RCW9 03/07/11 03/07/17 100.000 1.250 2.5500 0.076234 5.03 Wells Fargo & Company 94986RD40 01/26/16 01/26/26 100.000 VARIES 2.1764 3.56 0.010394 0.009967 0.009534 0.009097 0.009196 3.53 3.30 Wells Fargo & Co. 94986RDD0 03/31/11 03/31/21 100.000 VARIES 4.1709 0.116571 0.116605 0.116587 0.116568 0.116499 41.97 41.96 Wells Fargo & Co. 94986RDL2 04/29/11 04/30/21 100.000 VARIES 4.3019 0.120464 0.120469 0.120415 0.120360 0.120267 43.36 43.33 Wells Fargo & Company 94986RDU2 06/07/11 06/07/17 100.000 0.000 2.3100 0.072805 11.36 Wells Fargo & Company 94986RDV0 05/31/11 05/28/21 100.000 VARIES 4.1141 0.116301 0.116244 0.116101 0.115955 0.115737 41.85 41.76 Wells Fargo & Company 94986RDX6 07/06/11 01/08/18 100.000 0.000 1.9900 0.061039 0.061646 0.062260 22.29 0.44 Wells Fargo & Company 94986RE72 02/24/16 02/24/28 100.000 VARIES 1.9880 3.93 0.012601 0.012255 0.011905 0.011551 0.011194 4.39 4.13 Wells Fargo & Company 94986REQ0 08/05/11 02/07/18 100.000 0.000 2.4203 0.075833 0.076751 0.077680 27.73 2.80 Wells Fargo & Company 94986RF71 02/29/16 03/01/23 100.000 VARIES 1.9956 3.00 0.009833 0.009597 0.009358 0.009117 0.009208 3.44 3.31 Wells Fargo & Comany 94986RFA4 09/08/11 03/07/18 100.000 0.000 2.3000 0.071624 0.072447 0.073281 26.12 4.84 Wells Fargo & Company 94986RFL0 10/05/11 10/05/18 100.000 0.000 2.4700 0.077572 0.078530 0.079500 0.080481 28.26 21.96 Wells Fargo & Company 94986RFS5 10/05/11 04/06/18 100.000 0.000 2.3000 0.071634 0.072458 0.073291 26.08 6.96 Wells Fargo & Company 94986RFX4 11/08/11 05/07/18 100.000 0.000 2.3200 0.072317 0.073156 0.074005 26.28 9.32 Wells Fargo & Company 94986RG21 03/23/16 03/23/26 100.000 VARIES 2.2005 3.30 0.011566 0.011085 0.010599 0.010108 0.010219 3.98 3.69 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Wells Fargo & Company 94986RGE5 12/07/11 06/07/18 100.000 0.000 2.3300 0.072669 0.073516 0.074372 26.35 11.60 Wells Fargo & Company 94986RGS4 01/04/12 07/06/18 100.000 0.000 2.3699 0.073203 0.074071 0.074948 0.075836 26.81 14.03 Wells Fargo & Company 94986RH53 03/16/16 03/16/22 100.000 0.000 2.2405 17.81 0.062933 0.063638 0.064351 0.065072 0.065801 22.93 23.45 Wells Fargo & Company 94986RHA2 02/07/12 08/07/18 100.000 0.000 2.0501 0.062422 0.063062 0.063709 0.064362 22.77 13.88 Wells Fargo & Company 94986RHB0 01/27/12 01/27/17 100.000 VARIES 1.6991 0.015951 0.41 Wells Fargo & Company 94986RHC8 01/27/12 01/28/19 100.000 VARIES 1.7472 0.015641 0.015777 0.015915 0.016054 0.016195 5.70 5.80 Wells Fargo & Company 94986RHG9 03/07/12 09/10/18 100.000 0.000 1.9799 0.060106 0.060701 0.061302 0.061909 21.88 15.37 Wells Fargo & Company 94986RHH7 02/15/12 02/15/17 100.000 VARIES 1.4533 0.010955 0.48 Wells Fargo & Company 94986RHQ7 03/05/12 03/05/19 100.000 VARIES 1.4012 0.010887 0.010785 0.011040 0.010936 0.011195 3.97 4.03 Wells Fargo & Company 94986RHR5 03/07/12 09/10/18 100.000 0.000 2.1000 0.064094 0.064767 0.065447 0.066135 23.35 16.42 Wells Fargo & Company 94986RHX2 04/04/12 10/05/18 100.000 0.000 1.9801 0.060106 0.060701 0.061302 0.061909 21.85 16.91 Wells Fargo & Company 94986RHZ7 03/21/12 03/21/19 100.000 VARIES 1.3790 0.010869 0.010944 0.011020 0.011096 0.011172 3.94 4.00 Wells Fargo & Company 94986RJ28 03/29/16 03/29/21 100.000 0.125 2.5923 19.67 0.072897 0.073797 0.074708 0.075631 0.076567 26.57 27.23 Wells Fargo & Company 94986RJK8 04/24/12 04/24/19 100.000 VARIES 1.3828 0.011186 0.011264 0.011342 0.011420 0.011499 4.05 4.11 Wells Fargo & Company 94986RJR3 06/07/12 12/07/18 100.000 0.000 1.9898 0.060425 0.061026 0.061633 0.062246 21.89 20.82 Wells Fargo & Company 94986RJW2 05/29/12 05/29/19 100.000 0.000 2.2700 0.069796 0.070588 0.071389 0.072200 0.073019 25.32 25.90 Wells Fargo & Company 94986RK67 04/21/16 04/21/26 100.000 VARIES 2.1558 2.80 0.011017 0.010759 0.010499 0.010236 0.009970 3.88 3.70 Wells Fargo & Company 94986RKE0 07/05/12 07/08/19 100.000 0.000 1.8099 0.054039 0.054528 0.055021 0.055519 0.056022 19.71 20.07 Wells Fargo & Company 94986RKN0 08/07/12 08/07/19 100.000 0.000 1.7000 0.050529 0.050959 0.051392 0.051828 0.052269 18.39 18.71 Wells Fargo & Company 94986RKY6 08/17/12 08/19/19 100.000 VARIES 1.2320 0.007903 0.007952 0.008001 0.008050 0.008099 2.87 2.90 Wells Fargo & Company 94986RLH2 09/21/12 09/23/19 100.000 VARIES 1.1737 0.007904 0.007950 0.007997 0.008044 0.008091 2.86 2.90 Wells Fargo & Company 94986RLK5 10/03/12 10/07/19 100.000 0.000 1.5700 0.046434 0.046798 0.047165 0.047536 0.047909 16.84 17.11 Wells Fargo & Company 94986RLM1 10/03/12 10/07/19 100.000 0.000 1.7300 0.051495 0.051940 0.052389 0.052842 0.053300 18.69 19.02 Wells Fargo & Company 94986RLR0 10/03/12 10/03/22 100.000 VARIES 1.2945 0.011194 0.011266 0.011339 0.011412 0.011486 4.06 4.11 Wells Fargo & Company 94986RLU3 11/07/12 11/07/19 100.000 0.000 1.7202 0.051171 0.051611 0.052055 0.052502 0.052954 18.55 18.87 Wells Fargo & Company 94986RLV1 10/19/12 10/19/20 100.000 VARIES 1.1744 0.009263 0.009317 0.009372 0.009427 0.009482 3.35 3.39 Wells Fargo & Company 94986RLY5 11/07/12 11/07/22 100.000 VARIES 1.1530 0.008816 0.008867 0.008918 0.008969 0.009021 3.19 3.23 Wells Fargo & Company 94986RMD0 11/16/12 11/16/20 100.000 VARIES 1.0417 0.007491 0.007531 0.007570 0.007609 0.007649 2.71 2.74 Wells Fargo & Company 94986RME8 12/07/12 12/06/19 100.000 0.000 1.3600 0.039880 0.040151 0.040424 0.040699 0.040975 14.42 14.62 Wells Fargo & Company 94986RMF5 12/07/12 12/06/19 100.000 0.000 1.6200 0.047999 0.048387 0.048779 0.049174 0.049573 17.37 17.65 Wells Fargo & Company 94986RMH1 01/03/13 01/08/20 100.000 0.000 1.0001 0.028773 0.028917 0.029061 0.029206 0.029353 10.43 10.54 Wells Fargo & Company 94986RMJ7 01/03/13 01/08/20 100.000 0.000 1.6998 0.050109 0.050535 0.050964 0.051397 0.051834 18.26 18.58 Wells Fargo & Company 94986RMK4 12/27/12 12/28/22 100.000 VARIES 1.2833 0.010890 0.010959 0.011030 0.011101 0.011172 3.93 3.98 Wells Fargo & Company 94986RMT5 02/07/13 02/07/20 100.000 0.000 1.3701 0.039923 0.040196 0.040471 0.040749 0.041028 14.50 14.70 Wells Fargo & Company 94986RMU2 02/07/13 02/07/20 100.000 0.000 1.6097 0.047296 0.047676 0.048060 0.048447 0.048837 17.20 17.48 Wells Fargo & Company 94986RMV0 01/25/13 01/27/25 100.000 VARIES 1.1863 0.009653 0.009711 0.009768 0.009826 0.009884 3.50 3.54 Wells Fargo & Company 94986RNF4 03/06/13 03/06/20 100.000 0.000 1.5600 0.045754 0.046111 0.046471 0.046833 0.047199 16.62 16.88 Wells Fargo & Company 94986RNG2 03/06/13 03/06/20 100.000 0.000 1.3399 0.039001 0.039262 0.039525 0.039790 0.040057 14.15 14.34 Wells Fargo & Company 94986RNJ6 02/22/13 02/22/21 100.000 VARIES 1.0349 0.011565 0.011817 0.011685 0.011940 0.011806 4.28 4.33 Wells Fargo & Company 94986RNU1 04/03/13 04/07/20 100.000 0.000 1.4905 0.043620 0.043945 0.044273 0.044603 0.044935 15.82 16.05 Wells Fargo & Company 94986RNV9 04/03/13 04/07/20 100.000 0.000 1.5698 0.046068 0.046429 0.046794 0.047161 0.047531 16.71 16.97 Wells Fargo & Company 94986RNW7 03/06/13 03/06/23 100.000 VARIES 1.1812 0.010243 0.010304 0.010364 0.010426 0.010487 3.71 3.76 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Wells Fargo & Company 94986RNX5 03/27/13 03/27/25 100.000 VARIES 1.3587 0.010499 0.010570 0.010642 0.010714 0.010787 3.81 3.86 Wells Fargo & Company 94986RPA3 03/20/13 03/20/20 100.000 VARIES 1.1707 0.007669 0.007714 0.007759 0.007805 0.007850 2.78 2.81 Wells Fargo & Company 94986RPF2 05/08/13 05/07/20 100.000 0.000 1.5101 0.044214 0.044548 0.044884 0.045223 0.045564 16.01 16.26 Wells Fargo & Company 94986RPG0 05/08/13 05/07/20 100.000 0.000 1.4899 0.043591 0.043916 0.044243 0.044572 0.044904 15.79 16.02 Wells Fargo & Company 94986RPH8 04/24/13 04/24/23 100.000 VARIES 1.3234 0.007568 0.007618 0.007669 0.007719 0.007770 2.74 2.78 Wells Fargo & Company 94986RPJ4 04/10/13 01/24/20 95.000 0.000 1.9490 0.054819 0.055353 0.055893 0.056437 0.056987 20.00 20.39 Wells Fargo & Company 94986RPS4 06/07/13 06/05/20 100.000 0.000 1.8198 0.053855 0.054345 0.054839 0.055338 0.055842 19.50 19.86 Wells Fargo & Company 94986RPT2 06/07/13 06/05/20 100.000 0.000 1.8598 0.055114 0.055627 0.056144 0.056666 0.057193 19.96 20.33 Wells Fargo & Company 94986RQA2 07/02/13 07/08/20 100.000 0.000 2.4199 0.072279 0.073153 0.074038 0.074934 0.075841 26.48 27.13 Wells Fargo & Company 94986RQB0 07/02/13 07/08/20 100.000 0.000 2.2502 0.066872 0.067624 0.068385 0.069155 0.069933 24.47 25.02 Wells Fargo & Company 94986RQF1 06/12/13 06/05/20 100.000 0.000 2.3333 0.070266 0.071086 0.071915 0.072754 0.073603 25.49 26.08 Wells Fargo & Company 94986RQH7 06/17/13 06/10/20 100.000 0.000 2.4817 0.075114 0.076046 0.076990 0.077945 0.078912 27.25 27.93 Wells Fargo & Company 94986RQJ3 06/17/13 01/24/20 93.099 0.000 2.3705 0.065954 0.066735 0.067526 0.068327 0.069137 24.13 24.71 Wells Fargo & Company 94986RQR5 08/08/13 08/07/20 100.000 0.000 2.4500 0.073209 0.074106 0.075014 0.075933 0.076863 26.78 27.44 Wells Fargo & company 94986RQS3 08/08/13 08/07/20 100.000 0.000 2.3798 0.070964 0.071809 0.072663 0.073528 0.074403 25.94 26.56 Wells Fargo & Company 94986RQZ7 09/09/13 09/08/20 100.000 0.000 2.0800 0.061475 0.062115 0.062761 0.063414 0.064073 22.39 22.86 Wells Fargo & Company 94986RRG8 10/03/13 10/07/19 100.000 0.000 1.9198 0.056487 0.057029 0.057577 0.058129 0.058687 20.52 20.92 Wells Fargo & Company 94986RRH6 10/03/13 10/07/20 100.000 0.000 1.9199 0.056488 0.057030 0.057577 0.058130 0.058688 20.52 20.92 Wells Fargo & Company 94986RRS2 11/07/13 05/07/20 100.000 0.000 1.7499 0.051216 0.051664 0.052117 0.052573 0.053033 18.57 18.89 Wells Fargo & Company 94986RSM4 01/03/14 01/04/19 100.000 0.000 1.7402 0.050481 0.050921 0.051364 0.051811 0.052261 18.41 18.73 Wells Fargo & Company 94986RTK7 03/13/14 03/13/19 110.000 0.125 2.1760 0.069994 0.070717 0.071449 0.072189 0.072936 25.49 26.02 Wells Fargo & Company 94986RTM3 03/27/14 03/27/23 100.000 0.000 3.5789 0.108632 0.110576 0.112555 0.114569 0.116619 39.83 41.26 Wells Fargo & Company 94986RUS8 08/25/14 08/25/21 100.000 VARIES 1.0019 0.027473 0.027508 0.027543 0.027578 0.027614 9.91 9.93 Wells Fargo & Company 94986RUW9 09/23/14 09/23/24 100.000 VARIES 2.5651 0.006587 0.006672 0.006757 0.006844 0.006932 2.40 2.47 Wells Fargo & Company 94986RVA6 09/30/14 09/30/24 100.000 VARIES 2.5155 0.006616 0.006700 0.006784 0.006869 0.006956 2.41 2.47 Wells Fargo & Company 94986RVY4 02/23/15 02/21/20 110.000 0.125 2.3385 0.073858 0.074681 0.075513 0.076356 0.077208 26.95 27.56 Wells Fargo & Company 94986RVZ1 02/27/15 02/27/25 100.000 VARIES 2.1821 0.010537 0.010270 0.009999 0.009726 0.009832 3.68 3.53 Wells Fargo & Company 94986RWD9 04/06/15 04/06/22 100.000 0.000 2.0104 0.057544 0.058123 0.058707 0.059297 0.059893 20.92 21.34 Wells Fargo & Company 94986RWJ6 03/31/15 03/31/25 100.000 VARIES 2.0659 0.056691 0.056454 0.056215 0.055974 0.056068 20.32 20.18 Wells Fargo & Company 94986RWQ0 04/22/15 04/22/30 100.000 VARIES 2.2225 0.060567 0.060168 0.059765 0.059358 0.058945 21.68 21.39 Wells Fargo & Company 94986RWU1 04/30/15 03/29/17 100.000 VARIES N/A 0.012987 0.012978 1.14 Wells Fargo & Company 94986RWZ0 05/21/15 05/21/27 100.000 VARIES 2.2895 0.010707 0.010341 0.009971 0.009597 0.009707 3.76 3.51 Wells Fargo & Company 94986RX30 10/18/16 10/18/26 100.000 VARIES 2.2447 0.74 0.010098 0.009861 0.009622 0.009380 0.009135 3.56 3.38 Wells Fargo & Company 94986RXQ9 06/30/15 06/30/27 100.000 VARIES 2.5017 0.010704 0.010447 0.010188 0.009925 0.009658 3.81 3.62 Wells Fargo & Company 94986RXR7 06/24/15 06/24/22 100.000 0.250 2.4237 0.069547 0.070305 0.071073 0.071850 0.072637 25.18 25.74 Wells Fargo & Company 94986RXZ9 07/29/15 07/29/27 100.000 VARIES 2.4666 0.009902 0.009555 0.009203 0.008848 0.008488 3.40 3.14 Wells Fargo & Company 94986RYP0 09/03/15 09/03/27 100.000 VARIES 2.4323 0.009543 0.009213 0.008879 0.008541 0.008198 3.30 3.06 Wells Fargo & Company 94986RZ46 10/20/16 10/20/26 100.000 VARIES 2.2262 0.99 0.013895 0.013572 0.013245 0.012915 0.012580 4.90 4.66 Wells Fargo & Company 94986RZ79 11/04/16 11/06/23 100.000 0.250 2.8285 4.48 0.078580 0.079593 0.080620 0.081662 0.082719 28.58 29.33 Wells Fargo & Company 94986RZB0 10/05/15 10/05/27 100.000 VARIES 2.2452 0.011444 0.011077 0.010705 0.010330 0.009951 3.99 3.72 Wells Fargo & Company 94986RZJ3 10/09/15 10/09/25 100.000 VARIES 2.2547 0.010031 0.009778 0.009521 0.009262 0.009000 3.52 3.34 Wells Fargo & Company 94986RZL8 10/09/15 10/09/27 100.000 VARIES 2.3811 0.013165 0.012718 0.012267 0.011810 0.011347 4.59 4.26 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Wells Fargo & Company 94986RZN4 10/26/15 10/26/27 100.000 VARIES 2.3226 0.063809 0.063448 0.063084 0.062958 0.062831 22.86 22.67 Wells Fargo & Company 94986RZU8 11/13/15 11/13/30 100.000 VARIES 2.4455 0.009981 0.009526 0.009064 0.008597 0.008125 3.47 3.13 WELLS FARGO & CO 95000E3U1 10/20/17 10/22/24 100.000 0.250 1.8358 0.050994 0.051402 0.051810 3.62 18.49 Wells Fargo & Company 95000N2A6 02/23/17 02/23/22 100.000 VARIES 1.8572 0.008470 0.008169 0.007866 0.007939 2.57 2.86 Wells Fargo & Company 95000N2D0 02/24/17 02/24/27 100.000 VARIES 2.7668 0.076855 0.076765 0.076674 0.076582 23.58 27.60 Wells Fargo & Company 95000N2J7 05/19/17 05/19/27 100.000 VARIES 2.6993 0.014259 0.013812 0.013359 0.012900 3.15 4.85 WELLS FARGO & CO 95000N2K4 06/23/17 06/23/27 100.000 VARIES 2.5340 0.011499 0.010984 0.010463 0.009935 2.16 3.85 WELLS FARGO & CO 95000N2P3 07/25/17 07/25/29 100.000 VARIES 2.6059 0.009246 0.008729 0.008206 1.44 3.07 WELLS FARGO & CO 95000N2T5 08/16/17 08/16/27 100.000 VARIES 2.5861 0.010391 0.009918 0.009438 1.40 3.53 WELLS FARGO & CO 95000N2V0 08/31/17 08/31/29 100.000 VARIES 2.4309 0.009746 0.009238 0.008713 1.18 3.29 WELLS FARGO & CO 95000N2Y4 09/15/17 09/15/27 100.000 VARIES 2.8997 0.015995 0.015694 0.015388 1.70 5.64 WELLS FARGO & CO 95000N2Z1 09/20/17 09/20/27 100.000 VARIES 2.5328 0.009521 0.008918 0.008306 0.96 3.20 WELLS FARGO & CO 95000N3B3 09/21/17 09/21/27 100.000 VARIES 2.5668 0.009466 0.009037 0.008603 0.95 3.24 WELLS FARGO & CO 95000N3F4 10/25/17 10/25/27 100.000 VARIES 2.7552 0.009145 0.008705 0.008259 0.60 3.15 WELLS FARGO & CO 95000N3G2 10/20/17 10/20/27 100.000 VARIES 2.7158 0.009995 0.009520 0.009038 0.71 3.44 White CNTYS SD #533, IL 963806DJ0 08/04/10 12/01/17 108.163 VARIES 4.1817 0.117643 0.116908 38.69 White CNTYS SD #533, IL 963806DK7 08/04/10 12/01/18 105.851 VARIES 4.6311 0.130755 0.130245 0.129723 0.129189 46.95 42.71 White CNTYS SD #533, IL 963806DL5 08/04/10 12/01/19 102.631 VARIES 4.8822 0.136993 0.136778 0.136557 0.136330 0.136098 49.27 49.11 WHITE GALLATIN ETC CNTYS 963806ED2 08/03/17 12/01/23 103.545 3.875 3.2387 0.093153 0.094142 0.095666 0.092587 13.82 34.12 WHITE GALLATIN ETC CNTYS 963806EE0 08/03/17 12/01/24 103.054 3.875 3.3896 0.097030 0.098108 0.099771 0.096617 14.39 35.57 WHITE GALLATIN ETC CNTYS 963806EF7 08/03/17 12/01/25 104.477 4.250 3.5381 0.102682 0.103872 0.105710 0.102034 15.23 37.67 WHITE GALLATIN ETC CNTYS 963806EG5 08/03/17 12/01/26 103.497 4.250 3.6875 0.106012 0.107294 0.109272 0.105507 15.73 38.93 Will CNTY SD #88, IL 968794ED5 03/03/09 10/01/28 93.191 5.500 6.1006 18.24 0.008111 0.008358 0.008613 0.008876 0.009147 3.01 3.20 Will County, IL School 968852FH1 11/19/97 11/01/17 22.150 0.000 7.6998 717.63 0.198318 0.205953 60.87 Will County, IL 968852TN3 03/15/07 10/01/25 34.635 0.000 5.8000 260.07 0.096305 0.099098 0.101971 0.104929 0.107971 35.68 37.78 Will County, IL 968852TP8 03/15/07 10/01/26 32.402 0.000 5.8498 246.01 0.091292 0.093962 0.096710 0.099539 0.102450 33.83 35.84 Will County SD#122, IL 968852WL3 04/02/09 10/01/23 92.349 5.250 6.0501 0.023209 0.023935 0.024683 0.025455 0.026251 8.62 9.17 Will County SD #122, IL 968852WM1 04/02/09 10/01/28 24.364 0.000 7.3751 183.43 0.085907 0.089074 0.092359 0.095765 0.099296 32.08 34.49 Will CNTY SD #365, IL 969078QM9 03/17/09 11/01/27 23.731 0.000 7.8744 195.90 0.093530 0.097213 0.101040 0.105018 0.109153 34.78 37.58 Will CNTY SD #365, IL 969078QN7 03/17/09 11/01/28 21.864 0.000 7.8993 181.24 0.086603 0.090024 0.093579 0.097275 0.101117 32.21 34.81 Williamson Jackson , IL 970013EH7 11/20/14 12/01/17 101.326 VARIES 1.5475 0.043179 0.043083 14.23 Williamson Jackson , IL 970013EJ3 11/20/14 12/01/18 103.853 VARIES 1.9961 0.056533 0.056265 0.055995 0.055722 20.29 18.43 Williamson Jackson , IL 970013EK0 11/20/14 12/01/19 103.306 VARIES 2.2964 0.065082 0.064873 0.064661 0.064447 0.064230 23.38 23.23 Williamson Jackson , IL 970013EL8 11/20/14 12/01/20 102.500 VARIES 2.5464 0.071947 0.071802 0.071655 0.071506 0.071356 25.87 25.76 Williamson Jackson , IL 970013EM6 11/20/14 12/01/21 101.267 VARIES 2.7966 0.078417 0.078348 0.078278 0.078207 0.078136 28.21 28.16 Williamson Jackson , IL 970013EN4 11/20/14 12/01/22 100.000 VARIES 2.9965 0.083253 0.083252 0.083251 0.083249 0.083248 29.97 29.97 Woodford CNTYS SD #21, I 979293BF3 06/06/13 12/01/17 106.065 VARIES 1.6914 0.047637 0.047312 15.66 Woodford CNTYS SD #21, I 979293BG1 06/06/13 12/01/18 105.731 VARIES 1.9916 0.056519 0.056224 0.055926 0.055626 20.28 18.40 Woodford CNTY SD #60, IL 979319BC3 07/02/10 12/01/17 104.694 VARIES 4.4776 0.125308 0.124848 41.27 York County, PA 986812MC6 12/28/95 02/01/17 22.586 0.000 7.1796 768.36 0.192522 5.78 York County, PA 986812MD4 12/28/95 02/01/18 20.780 0.000 7.2396 718.13 0.180753 0.187295 0.194075 68.25 5.82 York County, PA 986812ME2 12/28/95 02/01/19 19.353 0.000 7.2397 668.84 0.168347 0.174441 0.180755 0.187298 0.194078 63.56 68.25 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 2017 1st 2017 2nd 2017 3rd 2018 2nd 2018 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/17 Period Period 2018 1st Period Period 2017 2018 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ York County, PA 986812MF9 12/28/95 02/01/20 18.025 0.000 7.2396 622.92 0.156788 0.162463 0.168344 0.174438 0.180752 59.20 63.56 York County, PA 986812MG7 12/28/95 02/01/21 16.787 0.000 7.2398 580.16 0.146027 0.151313 0.156791 0.162466 0.168347 55.14 59.20 York County, PA 986812MH5 12/28/95 02/01/22 15.635 0.000 7.2397 540.33 0.136002 0.140925 0.146026 0.151312 0.156789 51.35 55.14 York County, PA 986812MJ1 12/28/95 02/01/23 14.561 0.000 7.2398 503.24 0.126667 0.131252 0.136004 0.140927 0.146028 47.83 51.35 York County, PA 986812MK8 12/28/95 02/01/24 13.562 0.000 7.2397 468.69 0.117970 0.122241 0.126666 0.131251 0.136002 44.54 47.83 York County, PA 986812QD0 12/28/95 02/01/20 18.025 0.000 7.2396 622.92 0.156788 0.162463 0.168344 0.174438 0.180752 59.20 63.56 York County, PA 986812RC1 12/28/95 02/01/20 18.025 0.000 7.2396 622.92 0.156788 0.162463 0.168344 0.174438 0.180752 59.20 63.56 Zions Bancorporation 989701BB2 03/27/12 03/27/17 94.250 4.500 5.8427 54.38 0.036240 3.12 QBE Funding Trust G7303WAA9 04/15/02 04/15/22 59.358 0.000 2.6250 277.60 0.063173 0.064002 0.064842 0.065693 0.066556 23.02 23.63 Bumble Bee Holdco S.C.A. L13008AA2 03/10/11 03/15/18* 98.138 9.625 10.0007 0.276376 0.276827 69.73* BANCO DE GALICIA Y BUENO P0R66CAA6 07/19/16 07/19/26 100.000 VARIES 8.7499 0.243053 0.243660 0.244295 0.244956 0.245647 87.81 88.28 TRANSPORTADORA DE GAS DE P93081AL4 08/22/12 08/22/19* 100.000 VARIES N/A 0.621915 0.670984 200.56* Bank of America Corp. U0662KBL4 03/18/02 01/04/17 38.300 0.000 6.5925 616.47 0.177281 0.53 Caesars Entertainment U1229TAB2 02/15/13 02/15/20 97.500 9.000 9.4970 11.85 0.009978 0.010452 0.010948 0.011468 0.012013 3.81 4.18 Caesars Entertainment U1229TAC0 02/15/13 02/15/20 97.500 9.000 9.4970 11.85 0.009978 0.010452 0.010948 0.011468 0.012013 3.81 4.18 Caesars Entertainment U1229TAD8 02/15/13 02/15/20 97.500 9.000 9.4970 11.85 0.009978 0.010452 0.010948 0.011468 0.012013 3.81 4.18 Cheriere Energy, Inc. U16344AB6 11/28/14 05/28/21 100.000 0.000 4.8750 0.149110 0.152745 0.156468 0.160282 0.164189 54.58 57.27 CHESAPEAKE ENERGY CORP U16450AT2 12/31/15 12/15/22 48.000 8.000 23.5451 35.91 0.112288 0.124805 0.140246 0.155880 0.175165 43.75 54.64 Kansas City Southern U24468AB3 12/09/15 05/15/43 90.810 4.300 4.9136 1.75 0.004709 0.004824 0.004943 0.005064 0.005189 1.73 1.81 Kansas City Southern U24468AE7 12/09/15 05/15/20 97.300 2.350 3.0050 6.15 0.016391 0.016637 0.016887 0.017141 0.017398 5.97 6.15 Kansas City Southern U24468AF4 12/09/15 05/15/23 95.360 3.000 3.7202 5.88 0.015743 0.016036 0.016335 0.016638 0.016948 5.75 5.96 Eclipse Resources Corp. U2779QAA2 07/06/15 07/15/23 97.903 8.875 9.2509 2.83 0.005545 0.005801 0.006069 0.006350 0.006644 2.13 2.33 Goodrich Petroleum Corp. U38254AD7 10/12/16 08/30/19 74.590 0.000 24.6243 40.43 0.499111 0.554575 0.612700 0.699542 0.772861 206.53 259.53 Hovnanian Enterprises U48654AM6 11/01/11 11/01/21 53.000 5.000 13.8062 166.88 0.125483 0.134145 0.143405 0.153305 0.163887 47.81 54.64 Hovnanian Enterpirses U48654AN4 11/01/11 11/01/21 42.000 2.000 12.1926 0.212224 0.221775 0.231908 0.242659 0.254065 79.30 86.75 Liberty Media Corp. U52892AD5 01/11/01 01/15/31** 100.000 3.500 N/A 0.800393 0.833794 0.868781 0.905430 0.943820 305.51** 331.81 ----------------------------- * Called in 2017; reportable OID is computed to call date. ** These calculations may be revised. SECTION I-C Inflation Indexed Debt Instruments Inflation-Adj Stated Issue Maturity Principal on Interest Total OID 2017 1st 2017 2nd 2017 3rd Calendar Year Name of Issuer CUSIP No. Date Date Issue Date Rate to 1/1/17 Period Period Period 2017 ______________ _________ ________ _________ ___________ ________ _________ ________ ________ ________ _____________ U.S. Treasury 912810FD5 04/15/98 04/15/28 100.000 3.625% 494.56 0.087212 0.064918 0.122564 30.51 U.S. Treasury 912810FH6 04/15/99 04/15/29 100.000 3.875% 470.43 0.085769 0.063880 0.120513 30.01 U.S. Treasury 912810FQ6 10/15/01 04/15/32 100.000 3.375% 361.85 0.079423 0.059180 0.111667 27.80 U.S. Treasury 912810FR4 07/15/04 01/15/25 100.000 2.375% 282.40 -0.064286 0.089669 0.063824 26.18 U.S. Treasury 912810FS2 01/15/06 01/15/26 100.000 2.000% 217.91 -0.061429 0.085193 0.060588 24.86 U.S. Treasury 912810PS1 01/15/07 01/15/27 100.000 2.375% 198.66 -0.060000 0.083812 0.059647 24.47 U.S. Treasury 912828GD6 01/15/07 01/15/17 100.000 2.375% 198.66 -0.060000 -0.84 U.S. Treasury 912828GX2 07/15/07 07/15/17 100.000 2.625% 166.32 -0.058571 0.081547 13.94 U.S. Treasury 912828JE1 07/15/08 07/15/18 100.000 0.375% 120.98 -0.056429 0.078398 0.055765 22.88 U.S. Treasury 912828HN3 01/15/08 01/15/18 100.000 1.625% 153.85 -0.057857 0.080663 0.057412 23.55 U.S. Treasury 912810PV4 01/15/08 01/15/28 100.000 1.750% 153.85 -0.057857 0.080663 0.057412 23.55 U.S. Treasury 912810PZ5 01/15/09 01/15/29 100.000 2.500% 125.89 -0.056429 0.078729 0.056000 22.98 U.S. Treasury 912828JX9 01/15/09 01/15/19 100.000 2.125% 125.89 -0.056429 0.078729 0.056000 22.98 U.S. Treasury 912828LA6 07/15/09 07/15/19 100.000 1.875% 132.12 -0.057143 0.079171 0.056353 23.11 U.S. Treasury 912828MF4 01/15/10 01/15/20 100.000 1.375% 117.84 -0.056429 0.078177 0.055647 22.82 U.S. Treasury 912810QF8 02/15/10 02/15/40 100.000 2.125% 118.39 -0.034667 0.087956 0.060935 22.83 U.S. Treasury 912828NM8 07/15/10 07/15/20 100.000 1.250% 108.41 -0.055714 0.077514 0.055176 22.63 U.S. Treasury 912828PP9 01/15/11 01/15/21 100.000 1.125% 105.04 -0.055714 0.077293 0.055000 22.56 U.S. Treasury 912810QP6 02/15/11 02/15/41 100.000 2.125% 103.83 -0.034222 0.086796 0.060144 22.53 U.S. Treasury 912828QV5 07/15/11 07/15/21 100.000 0.625% 72.52 -0.053571 0.074972 0.053353 21.89 U.S. Treasury 912828SA9 01/15/12 01/15/22 100.000 0.125% 68.01 -0.053571 0.074696 0.053118 21.80 U.S. Treasury 912810QV3 02/15/12 02/15/42 100.000 0.750% 69.78 -0.033111 0.084144 0.058273 21.84 U.S. Treasury 912828SQ4 04/15/12 04/15/17 100.000 0.125% 64.27 0.062115 6.46 U.S. Treasury 912828TE0 07/15/12 07/15/22 100.000 0.125% 51.16 -0.052857 0.073536 0.052294 21.46 U.S. Treasury 912828UH1 01/15/13 01/15/23 100.000 0.125% 47.26 -0.052857 0.073260 0.052118 21.38 U.S. Treasury 912810RA8 02/15/13 02/15/43 100.000 0.625% 51.40 -0.032444 0.082652 0.057266 21.46 U.S. Treasury 912828UX6 04/15/13 04/15/18 100.000 0.125% 45.72 0.060962 0.045410 0.085769 21.34 U.S. Treasury 912828VM9 07/15/13 07/15/23 100.000 0.375% 38.72 -0.052143 0.072597 0.051706 21.20 U.S. Treasury 912828B25 01/15/14 01/15/24 100.000 0.625% 36.00 -0.052143 0.072486 0.051529 21.15 U.S. Treasury 912810RF7 02/15/14 02/15/44 100.000 1.375% 37.21 -0.032000 0.081547 0.056475 21.17 U.S. Treasury 912828C99 04/15/14 04/15/19 100.000 0.125% 31.63 0.060192 0.044809 0.084615 21.06 U.S. Treasury 912828WU0 07/15/14 07/15/24 100.000 0.125% 18.04 -0.051429 0.071160 0.050647 20.78 U.S. Treasury 912828H45 01/15/15 01/15/25 100.000 0.250% 20.58 -0.051429 0.071381 0.050765 20.83 U.S. Treasury 912810RL4 02/15/15 02/15/45 100.000 0.750% 26.53 -0.031778 0.080718 0.055899 20.95 U.S. Treasury 912828K33 04/15/15 04/15/20 100.000 0.125% 32.24 0.060192 0.044863 0.084615 21.07 U.S. Treasury 912828XL9 07/15/15 07/15/25 100.000 0.375% 19.34 -0.051429 0.071271 0.050706 20.80 U.S. Treasury 912828N71 01/15/16 01/15/26 100.000 0.625% 17.33 -0.050714 0.071105 0.050588 20.76 U.S. Treasury 912810RR1 02/15/16 02/15/46 100.000 1.000% 20.19 -0.031556 0.080221 0.055540 20.82 U.S. Treasury 912828Q60 04/15/16 04/15/21 100.000 0.125% 19.92 0.059519 0.044317 0.083590 20.82 U.S. Treasury 912828S50 07/15/16 07/15/26 100.000 0.125% 8.46 -0.050714 0.070497 0.050176 20.58 U.S. Treasury 912828V49 01/15/17 01/15/27 100.000 0.375% 0.070000 0.049765 21.13 U.S. Treasury 912810RW0 02/15/17 02/15/47 100.000 0.875% 0.078729 0.054532 21.83 U.S. Treasury 912828X39 04/15/17 04/15/22 100.000 0.125% 0.043169 0.081538 14.26 U.S. Treasury 9128282L3 07/15/17 07/15/27 100.000 0.375% 0.049176 8.36 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 2017). Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 01/01/17 03/31/17 1.26 07/01/27 09/30/27 19.42 04/01/17 06/30/17 3.09 10/01/27 12/31/27 19.35 07/01/17 09/30/17 5.51 01/01/28 03/31/28 19.29 10/01/17 12/31/17 8.55 04/01/28 06/30/28 19.29 01/01/18 03/31/18 9.52 07/01/28 09/30/28 19.23 04/01/18 06/30/18 10.28 10/01/28 12/31/28 19.16 07/01/18 09/30/18 11.13 01/01/29 03/31/29 19.09 10/01/18 12/31/18 11.78 04/01/29 06/30/29 19.02 01/01/19 03/31/19 12.41 07/01/29 09/30/29 18.95 04/01/19 06/30/19 13.04 10/01/29 12/31/29 18.82 07/01/19 09/30/19 13.66 01/01/30 03/31/30 18.75 10/01/19 12/31/19 14.18 04/01/30 06/30/30 18.68 01/01/20 03/31/20 14.68 07/01/30 09/30/30 18.61 04/01/20 06/30/20 15.18 10/01/30 12/31/30 18.54 07/01/20 09/30/20 15.76 01/01/31 03/31/31 18.41 10/01/20 12/31/20 16.15 04/01/31 06/30/31 18.34 01/01/21 03/31/21 16.61 07/01/31 09/30/31 18.27 04/01/21 06/30/21 17.07 10/01/31 12/31/31 18.19 07/01/21 09/30/21 17.43 01/01/32 03/31/32 18.12 10/01/21 12/31/21 17.78 04/01/32 06/30/32 17.99 01/01/22 03/31/22 18.12 07/01/32 09/30/32 17.91 04/01/22 06/30/22 18.45 10/01/32 12/31/32 17.84 07/01/22 09/30/22 18.77 01/01/33 03/31/33 17.71 10/01/22 12/31/22 19.00 04/01/33 06/30/33 17.64 01/01/23 03/31/23 19.22 07/01/33 09/30/33 17.56 04/01/23 06/30/23 19.36 10/01/33 12/31/33 17.48 07/01/23 09/30/23 19.48 01/01/34 03/31/34 17.36 10/01/23 12/31/23 19.61 04/01/34 06/30/34 17.28 01/01/24 03/31/24 19.64 07/01/34 09/30/34 17.20 04/01/24 06/30/24 19.68 10/01/34 12/31/34 17.12 07/01/24 09/30/24 19.71 01/01/35 03/31/35 16.99 10/01/24 12/31/24 19.74 04/01/35 06/30/35 16.91 01/01/25 03/31/25 19.77 07/01/35 09/30/35 16.83 04/01/25 06/30/25 19.79 10/01/35 12/31/35 16.75 07/01/25 09/30/25 19.74 01/01/36 03/31/36 16.63 10/01/25 12/31/25 19.76 04/01/36 06/30/36 16.54 01/01/26 03/31/26 19.70 07/01/36 09/30/36 16.46 04/01/26 06/30/26 19.72 10/01/36 12/31/36 16.37 07/01/26 09/30/26 19.66 01/01/37 03/31/37 16.29 10/01/26 12/31/26 19.60 04/01/37 06/30/37 16.17 01/01/27 03/31/27 19.54 07/01/37 09/30/37 16.09 04/01/27 06/30/27 19.48 10/01/37 12/31/37 16.00 (continued) Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 01/01/38 03/31/38 15.91 01/01/48 03/31/48 11.96 04/01/38 06/30/38 15.82 04/01/48 06/30/48 11.87 07/01/38 09/30/38 15.76 07/01/48 09/30/48 11.77 10/01/38 12/31/38 15.67 10/01/48 12/31/48 11.68 01/01/39 03/31/39 15.58 01/01/49 03/31/49 11.59 04/01/39 06/30/39 15.49 04/01/49 06/30/49 11.49 07/01/39 09/30/39 15.40 07/01/49 09/30/49 11.40 10/01/39 12/31/39 15.33 10/01/49 12/31/49 11.31 01/01/40 03/31/40 15.23 01/01/50 03/31/50 11.22 04/01/40 06/30/40 15.14 04/01/50 06/30/50 11.13 07/01/40 09/30/40 15.04 07/01/50 09/30/50 11.05 10/01/40 12/31/40 14.94 10/01/50 12/31/50 10.96 01/01/41 03/31/41 14.85 01/01/51 03/31/51 10.87 04/01/41 06/30/41 14.75 04/01/51 06/30/51 10.79 07/01/41 09/30/41 14.65 07/01/51 09/30/51 10.70 10/01/41 12/31/41 14.55 10/01/51 12/31/51 10.62 01/01/42 03/31/42 14.45 01/01/52 03/31/52 10.53 04/01/42 06/30/42 14.34 04/01/52 06/30/52 10.45 07/01/42 09/30/42 14.24 07/01/52 09/30/52 10.37 10/01/42 12/31/42 14.14 10/01/52 12/31/52 10.28 01/01/43 03/31/43 14.02 01/01/53 03/31/53 10.20 04/01/43 06/30/43 13.92 04/01/53 06/30/53 10.12 07/01/43 09/30/43 13.81 07/01/53 09/30/53 10.04 10/01/43 12/31/43 13.70 10/01/53 12/31/53 9.96 01/01/44 03/31/44 13.60 01/01/54 03/31/54 9.89 04/01/44 06/30/44 13.49 04/01/54 06/30/54 9.81 07/01/44 09/30/44 13.38 07/01/54 09/30/54 9.73 10/01/44 12/31/44 13.28 10/01/54 12/31/54 9.66 01/01/45 03/31/45 13.18 01/01/55 03/31/55 9.58 04/01/45 06/30/45 13.07 04/01/55 06/30/55 9.50 07/01/45 09/30/45 12.97 07/01/55 09/30/55 9.43 10/01/45 12/31/45 12.86 10/01/55 12/31/55 9.36 01/01/46 03/31/46 12.76 01/01/56 03/31/56 9.28 04/01/46 06/30/46 12.65 04/01/56 06/30/56 9.21 07/01/46 09/30/46 12.55 07/01/56 09/30/56 9.14 10/01/46 12/31/46 12.45 10/01/56 12/31/56 9.07 01/01/47 03/31/47 12.35 01/01/57 03/31/57 9.00 04/01/47 06/30/47 12.25 04/01/57 06/30/57 8.93 07/01/47 09/30/47 12.16 07/01/57 09/30/57 8.86 10/01/47 12/31/47 12.06 10/01/57 12/31/57 8.79 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 2017, 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 2017 - December 2018 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 2.28 912796JE0 03/02/17 03/03/16 99.333 6.67 912796KM0 03/09/17 09/08/16 99.762 2.38 912796QG7 03/15/17 02/09/17 99.950 0.50 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 912796KS7 04/13/17 10/13/16 99.750 2.50 912796KT5 04/20/17 10/20/16 99.762 2.38 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 912796LG2 07/06/17 01/05/17 99.682 3.19 912796LK3 07/13/17 01/12/17 99.702 2.98 912796KB4 07/20/17 07/21/16 99.444 5.56 912796LL1 07/27/17 01/26/17 99.697 3.03 912796LM9 08/03/17 02/02/17 99.684 3.16 912796LP2 08/10/17 02/09/17 99.687 3.13 912796RE1 08/15/17 08/01/17 99.961 0.39 912796KF5 08/17/17 08/18/16 99.424 5.76 912796LQ0 08/24/17 02/23/17 99.661 3.39 912796LR8 08/31/17 03/02/17 99.661 3.39 912796LT4 09/07/17 03/09/17 99.578 4.22 912796KL2 09/14/17 09/15/16 99.363 6.37 912796RL5 09/15/17 09/07/17 99.978 0.22 912796LU1 09/21/17 03/23/17 99.550 4.50 912796LV9 09/28/17 03/30/17 99.542 4.58 912796LW7 10/05/17 04/06/17 99.540 4.60 912796KR9 10/12/17 10/13/16 99.312 6.88 912796LY3 10/19/17 04/20/17 99.522 4.78 912796LZ0 10/26/17 04/27/17 99.517 4.83 912796MA4 11/02/17 05/04/17 99.507 4.93 Section III-A (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912796KX6 11/09/17 11/10/16 99.297 7.03 912796MC0 11/16/17 05/18/17 99.484 5.16 912796MD8 11/24/17 05/25/17 99.466 5.34 912796ME6 11/30/17 06/01/17 99.464 5.36 912796LB3 12/07/17 12/08/16 99.161 8.39 912796RX9 12/08/17 11/01/17 99.894 1.06 912796MG1 12/14/17 06/15/17 99.444 5.56 912796MH9 12/21/17 06/22/17 99.434 5.66 912796MJ5 12/28/17 06/29/17 99.439 5.61 Discount to be Issue Price Reported as 2018 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912796RK7 01/02/18 09/01/17 99.638 3.62 912796LC1 01/04/18 01/05/17 99.120 8.80 912796ML0 01/11/18 07/13/17 99.431 5.69 912796NN5 01/18/18 07/20/17 99.441 5.59 912796NP0 01/25/18 07/27/17 99.429 5.71 912796LJ6 02/01/18 02/02/17 99.181 8.19 912796NR6 02/08/18 08/10/17 99.424 5.76 912796NS4 02/15/18 08/17/17 99.436 5.64 912796NT2 02/22/18 08/24/17 99.436 5.64 912796LN7 03/01/18 03/02/17 99.141 8.59 912796NU9 03/08/18 09/07/17 99.436 5.64 912796NW5 03/15/18 09/14/17 99.424 5.76 912796NX3 03/22/18 09/21/17 99.403 5.97 912796LS6 03/29/18 03/30/17 98.964 10.36 912796NY1 04/05/18 10/05/17 99.398 6.02 912796PA1 04/12/18 10/12/17 99.383 6.17 912796PB9 04/19/18 10/19/17 99.373 6.27 912796LX5 04/26/18 04/27/17 98.928 10.72 912796PC7 05/03/18 11/02/17 99.363 6.37 912796PF0 05/10/18 11/09/17 99.343 6.57 912796PG8 05/17/18 11/16/17 99.312 6.88 912796MB2 05/24/18 05/25/17 98.842 11.58 912796PH6 05/31/18 11/30/17 99.275 7.25 Section III-B FEDERAL HOME LOAN BANKS Short-Term Obligations Issued at a Discount and Maturing in 2017 Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385AC0 01/03/17 02/05/16 99.676 3.24 313385AD8 01/04/17 01/07/16 99.244 7.56 313385AE6 01/05/17 01/12/16 99.302 6.98 313385AF3 01/06/17 01/14/16 99.254 7.46 313385AJ5 01/09/17 01/19/16 99.303 6.97 313385AK2 01/10/17 03/14/16 99.472 5.28 313385AL0 01/11/17 03/31/16 99.611 3.89 313385AM8 01/12/17 06/17/16 99.730 2.70 313385AN6 01/13/17 01/19/16 99.290 7.10 313385AS5 01/17/17 03/30/16 99.593 4.07 313385AT3 01/18/17 07/20/16 99.765 2.35 313385AU0 01/19/17 04/22/16 99.592 4.08 313385AV8 01/20/17 02/29/16 99.484 5.16 313385AY2 01/23/17 01/29/16 99.400 6.00 313385AZ9 01/24/17 04/29/16 99.633 3.68 313385BA3 01/25/17 01/25/16 99.339 6.61 313385BB1 01/26/17 01/27/16 99.366 6.34 313385BC9 01/27/17 01/28/16 99.366 6.34 313385BF2 01/30/17 02/23/16 99.454 5.46 313385BG0 01/31/17 03/22/16 99.466 5.34 313385BH8 02/01/17 02/02/16 99.371 6.29 313385BJ4 02/02/17 02/04/16 99.373 6.27 313385BK1 02/03/17 02/03/16 99.370 6.30 313385BN5 02/06/17 02/12/16 99.430 5.70 313385BP0 02/07/17 04/22/16 99.604 3.96 313385BQ8 02/08/17 02/10/16 99.403 5.97 313385BR6 02/09/17 02/10/16 99.402 5.98 313385BS4 02/10/17 02/10/16 99.390 6.10 313385BV7 02/13/17 05/04/16 99.612 3.88 313385BW5 02/14/17 09/19/16 99.827 1.73 313385BX3 02/15/17 02/17/16 99.414 5.86 313385BY1 02/16/17 02/19/16 99.415 5.85 313385BZ8 02/17/17 02/17/16 99.410 5.90 313385CD6 02/21/17 02/25/16 99.407 5.93 313385CE4 02/22/17 02/24/16 99.403 5.97 313385CF1 02/23/17 02/23/16 99.410 5.90 313385CG9 02/24/17 02/26/16 99.403 5.97 313385CK0 02/27/17 02/29/16 99.403 5.97 313385CL8 02/28/17 02/29/16 99.544 4.56 313385CM6 03/01/17 03/01/16 99.375 6.25 313385CN4 03/02/17 06/08/16 99.600 4.00 313385CP9 03/03/17 04/13/16 99.532 4.68 Section III-B (Continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385CS3 03/06/17 05/05/16 99.500 5.00 313385CT1 03/07/17 03/07/16 99.321 6.79 313385CU8 03/08/17 03/18/16 99.310 6.90 313385CV6 03/09/17 03/14/16 99.260 7.40 313385CW4 03/10/17 03/11/16 99.292 7.08 313385CZ7 03/13/17 04/13/16 99.490 5.10 313385DA1 03/14/17 03/14/16 99.250 7.50 313385DB9 03/15/17 03/15/16 99.250 7.50 313385DC7 03/16/17 09/19/16 99.754 2.46 313385DD5 03/17/17 08/26/16 99.752 2.48 313385DG8 03/20/17 08/26/16 99.748 2.52 313385DH6 03/21/17 03/21/16 99.300 7.00 313385DJ2 03/22/17 03/28/16 99.302 6.98 313385DK9 03/23/17 06/24/16 99.600 4.00 313385DL7 03/24/17 04/01/16 99.336 6.64 313385DP8 03/27/17 04/18/16 99.476 5.24 313385DQ6 03/28/17 12/12/16 99.841 1.59 313385DR4 03/29/17 04/29/16 99.434 5.66 313385DS2 03/30/17 03/30/16 99.311 6.89 313385DT0 03/31/17 03/31/16 99.411 5.89 313385DW3 04/03/17 04/04/16 99.368 6.32 313385DX1 04/04/17 04/05/16 99.353 6.47 313385DY9 04/05/17 10/05/16 99.748 2.52 313385DZ6 04/06/17 04/11/16 99.370 6.30 313385EA0 04/07/17 04/08/16 99.373 6.27 313385ED4 04/10/17 04/12/16 99.445 5.55 313385EE2 04/11/17 04/14/16 99.377 6.23 313385EF9 04/12/17 10/12/16 99.747 2.53 313385EG7 04/13/17 04/15/16 99.375 6.25 313385EL6 04/17/17 04/19/16 99.395 6.05 313385EM4 04/18/17 05/25/16 99.349 6.51 313385EN2 04/19/17 06/13/16 99.535 4.65 313385EP7 04/20/17 04/21/16 99.393 6.07 313385EQ5 04/21/17 04/22/16 99.373 6.27 313385ET9 04/24/17 04/25/16 99.373 6.27 313385EU6 04/25/17 04/27/16 99.355 6.45 313385EV4 04/26/17 05/02/16 99.377 6.23 313385EW2 04/27/17 05/03/16 99.367 6.33 313385EX0 04/28/17 04/29/16 99.383 6.17 313385FA9 05/01/17 05/02/16 99.363 6.37 313385FB7 05/02/17 05/03/16 99.358 6.42 313385FC5 05/03/17 05/03/16 99.356 6.44 313385FD3 05/04/17 07/11/16 99.579 4.21 313385FE1 05/05/17 05/05/16 99.392 6.08 313385FH4 05/08/17 05/11/16 99.387 6.13 313385FJ0 05/09/17 08/12/16 99.610 3.90 313385FK7 05/10/17 05/11/16 99.393 6.07 Section III-B (Continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385FL5 05/11/17 05/13/16 99.395 6.05 313385FM3 05/12/17 07/13/16 99.537 4.63 313385FQ4 05/15/17 05/19/16 99.358 6.42 313385FR2 05/16/17 05/18/16 99.355 6.45 313385FS0 05/17/17 05/18/16 99.353 6.47 313385FT8 05/18/17 05/19/16 99.353 6.47 313385FU5 05/19/17 05/24/16 99.360 6.40 313385FX9 05/22/17 05/25/16 99.356 6.44 313385FY7 05/23/17 05/24/16 99.353 6.47 313385FZ4 05/24/17 05/31/16 99.364 6.36 313385GA8 05/25/17 05/25/16 99.260 7.40 313385GB6 05/26/17 05/31/16 99.360 6.40 313385GF7 05/30/17 06/01/16 99.264 7.36 313385GG5 05/31/17 06/01/16 99.262 7.38 313385GH3 06/01/17 06/01/16 99.250 7.50 313385GJ9 06/02/17 06/08/16 99.342 6.58 313385GM2 06/05/17 09/06/16 99.600 4.00 313385GN0 06/06/17 06/08/16 99.335 6.65 313385GP5 06/07/17 06/08/16 99.323 6.77 313385GQ3 06/08/17 06/21/16 99.384 6.16 313385GR1 06/09/17 06/10/16 99.323 6.77 313385GU4 06/12/17 06/22/16 99.379 6.21 313385GV2 06/13/17 12/07/16 99.687 3.13 313385GW0 06/14/17 08/31/16 99.570 4.30 313385GX8 06/15/17 06/21/16 99.372 6.28 313385GY6 06/16/17 06/27/16 99.440 5.60 313385HB5 06/19/17 07/22/16 99.447 5.53 313385HC3 06/20/17 12/02/16 99.653 3.47 313385HD1 06/21/17 11/23/16 99.633 3.67 313385HE9 06/22/17 08/26/16 99.542 4.58 313385HF6 06/23/17 06/28/16 99.448 5.52 313385HJ8 06/26/17 06/28/16 99.445 5.55 313385HK5 06/27/17 06/28/16 99.434 5.66 313385HL3 06/28/17 06/28/16 99.412 5.88 313385HM1 06/29/17 06/29/16 99.442 5.58 313385HN9 06/30/17 06/30/16 99.442 5.58 313385HR0 07/03/17 07/13/16 99.408 5.92 313385HT6 07/05/17 12/19/16 99.659 3.41 313385HU3 07/06/17 07/08/16 99.435 5.65 313385HV1 07/07/17 07/13/16 99.402 5.98 313385HY5 07/10/17 07/13/16 99.397 6.03 313385HZ2 07/11/17 01/06/17 99.695 3.05 313385JA5 07/12/17 07/12/16 99.392 6.08 313385JB3 07/13/17 07/13/16 99.392 6.08 313385JC1 07/14/17 08/31/16 99.525 4.75 313385JF4 07/17/17 07/21/16 99.361 6.39 313385JG2 07/18/17 07/21/16 99.356 6.44 Section III-B (Continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385JH0 07/19/17 07/22/16 99.356 6.44 313385JJ6 07/20/17 07/21/16 99.363 6.37 313385JK3 07/21/17 12/15/16 99.612 3.88 313385JN7 07/24/17 07/28/16 99.368 6.32 313385JP2 07/25/17 07/27/16 99.365 6.35 313385JQ0 07/26/17 08/01/16 99.392 6.08 313385JR8 07/27/17 08/04/16 99.395 6.05 313385JS6 07/28/17 11/17/16 99.529 4.71 313385JV9 07/31/17 12/08/16 99.602 3.98 313385JW7 08/01/17 08/09/16 99.355 6.45 313385JX5 08/02/17 08/03/16 99.373 6.27 313385JY3 08/03/17 08/03/16 99.361 6.39 313385JZ0 08/04/17 12/13/16 99.587 4.13 313385KC9 08/07/17 01/27/17 99.669 3.31 313385KD7 08/08/17 08/09/16 99.343 6.57 313385KE5 08/09/17 02/03/17 99.678 3.22 313385KF2 08/10/17 08/10/16 99.341 6.59 313385KG0 08/11/17 08/11/16 99.341 6.59 313385KK1 08/14/17 11/17/16 99.483 5.18 313385KL9 08/15/17 08/18/16 99.477 5.23 313385KM7 08/16/17 08/29/16 99.335 6.65 313385KN5 08/17/17 08/19/16 99.335 6.65 313385KP0 08/18/17 08/29/16 99.331 6.69 313385KS4 08/21/17 11/22/16 99.547 4.53 313385KT2 08/22/17 08/23/16 99.464 5.36 313385KU9 08/23/17 08/23/16 99.356 6.44 313385KV7 08/24/17 08/30/16 99.322 6.78 313385KW5 08/25/17 12/13/16 99.550 4.50 313385KZ8 08/28/17 01/30/17 99.627 3.73 313385LA2 08/29/17 11/30/16 99.501 4.99 313385LB0 08/30/17 08/31/16 99.323 6.77 313385LC8 08/31/17 11/29/16 99.519 4.81 313385LD6 09/01/17 09/02/16 99.393 6.07 313385LH7 09/05/17 09/12/16 99.314 6.86 313385LJ3 09/06/17 03/08/17 99.550 4.50 313385LK0 09/07/17 02/17/17 99.641 3.59 313385LL8 09/08/17 09/15/16 99.324 6.76 313385LP9 09/11/17 09/22/16 99.312 6.88 313385LQ7 09/12/17 03/09/17 99.574 4.26 313385LR5 09/13/17 09/15/16 99.314 6.86 313385LS3 09/14/17 09/15/16 99.312 6.88 313385LT1 09/15/17 09/19/16 99.308 6.92 313385LW4 09/18/17 09/19/16 99.312 6.88 313385LX2 09/19/17 12/06/16 99.442 5.58 313385LY0 09/20/17 12/29/16 99.382 6.18 313385LZ7 09/21/17 09/30/16 99.357 6.43 313385MA1 09/22/17 09/28/16 99.332 6.68 Section III-B (Continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385MD5 09/25/17 12/14/16 99.422 5.78 313385ME3 09/26/17 03/23/17 99.540 4.60 313385MF0 09/27/17 11/30/16 99.440 5.60 313385MG8 09/28/17 09/28/16 99.341 6.59 313385MH6 09/29/17 12/22/16 99.422 5.78 313385ML7 10/02/17 10/05/16 99.296 7.04 313385MM5 10/03/17 01/11/17 99.499 5.01 313385MN3 10/04/17 03/09/17 99.524 4.76 313385MP8 10/05/17 12/30/16 99.450 5.50 313385MQ6 10/06/17 10/11/16 99.303 6.97 313385MU7 10/10/17 10/11/16 99.262 7.38 313385MV5 10/11/17 10/11/16 99.260 7.40 313385MW3 10/12/17 05/10/17 99.582 4.18 313385MX1 10/13/17 12/28/16 99.310 6.90 313385NA0 10/16/17 11/04/16 99.346 6.54 313385NB8 10/17/17 05/17/17 99.592 4.08 313385NC6 10/18/17 12/30/16 99.424 5.76 313385ND4 10/19/17 05/17/17 99.587 4.13 313385NE2 10/20/17 02/03/17 99.540 4.60 313385NH5 10/23/17 03/31/17 99.479 5.21 313385NJ1 10/24/17 04/27/17 99.540 4.60 313385NK8 10/25/17 10/28/16 99.316 6.84 313385NL6 10/26/17 01/30/17 99.477 5.23 313385NM4 10/27/17 04/28/17 99.508 4.92 313385NQ5 10/30/17 11/15/16 99.283 7.17 313385NR3 10/31/17 12/29/16 99.397 6.04 313385NS1 11/01/17 11/03/16 99.294 7.06 313385NT9 11/02/17 11/03/16 99.312 6.88 313385NU6 11/03/17 11/04/16 99.292 7.08 313385NX0 11/06/17 02/09/17 99.475 5.25 313385NY8 11/07/17 11/30/16 99.335 6.65 313385NZ5 11/08/17 11/08/16 99.280 7.20 313385PA8 11/09/17 11/09/16 99.280 7.20 313385PB6 11/10/17 11/16/16 99.292 7.08 313385PE0 11/13/17 11/16/16 99.196 8.04 313385PF7 11/14/17 11/14/16 99.189 8.11 313385PG5 11/15/17 11/16/16 99.191 8.09 313385PH3 11/16/17 04/17/17 99.426 5.74 313385PJ9 11/17/17 12/22/16 99.166 8.34 313385PM2 11/20/17 02/23/17 99.415 5.85 313385PN0 11/21/17 11/25/16 99.178 8.22 313385PP5 11/22/17 11/22/16 99.179 8.21 313385PR1 11/24/17 02/28/17 99.410 5.90 313385PU4 11/27/17 11/29/16 99.163 8.37 313385PV2 11/28/17 11/29/16 99.160 8.40 313385PW0 11/29/17 05/02/17 99.461 5.39 313385PX8 11/30/17 12/09/16 99.288 7.12 Section III-B (Continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385PY6 12/01/17 12/02/16 99.151 8.49 313385QB5 12/04/17 04/04/17 99.322 6.78 313385QC3 12/05/17 03/15/17 99.242 7.58 313385QD1 12/06/17 12/08/16 99.143 8.57 313385QE9 12/07/17 12/07/16 99.145 8.55 313385QF6 12/08/17 02/21/17 99.388 6.12 313385QJ8 12/11/17 12/12/16 99.272 7.28 313385QK5 12/12/17 12/12/16 99.098 9.02 313385QL3 12/13/17 12/13/16 99.148 8.52 313385QM1 12/14/17 12/14/16 99.057 9.43 313385QN9 12/15/17 05/12/17 99.367 6.33 313385QR0 12/18/17 12/19/16 99.060 9.40 313385QS8 12/19/17 12/20/16 99.039 9.61 313385QT6 12/20/17 12/20/16 99.038 9.62 313385QU3 12/21/17 12/22/16 99.070 9.30 313385QV1 12/22/17 03/27/17 99.381 6.19 313385QZ2 12/26/17 06/14/17 99.383 6.17 313385RA6 12/27/17 12/28/16 99.039 9.61 313385RB4 12/28/17 12/30/16 99.042 9.58 313385RC2 12/29/17 12/30/16 99.039 9.61 Section III-C FEDERAL NATIONAL MORTGAGE ASSOCIATION Short-Term Obligations Issued at a Discount and Maturing in 2017 Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313589AC7 01/03/17 01/15/16 99.361 6.39 313589AD5 01/04/17 07/15/16 99.805 1.95 313589AE3 01/05/17 01/15/16 99.407 5.93 313589AF0 01/06/17 04/06/16 99.664 3.36 313589AJ2 01/09/17 03/15/16 99.542 4.58 313589AK9 01/10/17 01/09/17 99.999 0.01 313589AL7 01/11/17 02/02/16 99.455 5.45 313589AM5 01/12/17 02/02/16 99.454 5.46 313589AN3 01/13/17 03/17/16 99.606 3.94 313589AS2 01/17/17 02/03/16 99.438 5.62 313589AT0 01/18/17 08/01/16 99.811 1.89 313589AU7 01/19/17 01/29/16 99.466 5.34 313589AV5 01/20/17 02/02/16 99.431 5.69 313589AY9 01/23/17 05/03/16 99.683 3.17 313589AZ6 01/24/17 01/23/17 99.999 0.01 313589BA0 01/25/17 05/09/16 99.696 3.05 313589BB8 01/26/17 01/25/17 99.999 0.01 313589BC6 01/27/17 02/03/16 99.422 5.78 313589BF9 01/30/17 01/27/17 99.996 0.04 313589BG7 01/31/17 02/24/16 99.525 4.75 313589BH5 02/01/17 02/25/16 99.516 4.84 313589BJ1 02/02/17 08/29/16 99.810 1.90 313589BK8 02/03/17 02/11/16 99.463 5.37 313589BN2 02/06/17 08/01/16 99.780 2.21 313589BP7 02/07/17 08/10/16 99.799 2.01 313589BQ5 02/08/17 07/26/16 99.759 2.41 313589BR3 02/09/17 06/16/16 99.709 2.91 313589BS1 02/10/17 02/17/16 99.471 5.29 313589BV4 02/13/17 02/10/17 99.996 0.04 313589BW2 02/14/17 05/06/16 99.645 3.55 313589BX0 02/15/17 04/27/16 99.608 3.92 313589BY8 02/16/17 05/20/16 99.584 4.16 313589BZ5 02/17/17 08/25/16 99.800 2.00 313589CD3 02/21/17 06/29/16 99.733 2.67 313589CE1 02/22/17 08/04/16 99.773 2.27 313589CF8 02/23/17 08/04/16 99.772 2.28 313589CG6 02/24/17 04/27/16 99.596 4.04 313589CK7 02/27/17 05/13/16 99.638 3.62 313589CL5 02/28/17 05/13/16 99.636 3.64 313589CM3 03/01/17 03/18/16 99.478 5.22 313589CN1 03/02/17 08/02/16 99.741 2.59 313589CP6 03/03/17 05/09/16 99.603 3.97 313589CS0 03/06/17 06/01/16 99.552 4.48 Section III-C (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313589CT8 03/07/17 05/19/16 99.530 4.70 313589CU5 03/08/17 05/19/16 99.528 4.72 313589CV3 03/09/17 05/19/16 99.526 4.74 313589CW1 03/10/17 09/12/16 99.786 2.14 313589CZ4 03/13/17 06/15/16 99.624 3.76 313589DA8 03/14/17 09/30/16 99.817 1.83 313589DB6 03/15/17 05/31/16 99.536 4.64 313589DC4 03/16/17 05/24/16 99.515 4.85 313589DD2 03/17/17 05/19/16 99.513 4.87 313589DG5 03/20/17 05/24/16 99.500 5.00 313589DH3 03/21/17 05/17/16 99.572 4.28 313589DJ9 03/22/17 05/19/16 99.497 5.03 313589DK6 03/23/17 07/08/16 99.692 3.08 313589DL4 03/24/17 05/23/16 99.492 5.08 313589DP5 03/27/17 09/08/16 99.756 2.44 313589DQ3 03/28/17 09/19/16 99.752 2.48 313589DR1 03/29/17 05/19/16 99.485 5.15 313589DS9 03/30/17 05/12/16 99.571 4.29 313589DT7 03/31/17 04/07/16 99.463 5.37 313589DW0 04/03/17 04/12/16 99.456 5.44 313589DX8 04/04/17 04/22/16 99.484 5.16 313589DY6 04/05/17 05/27/16 99.461 5.39 313589DZ3 04/06/17 05/11/16 99.523 4.77 313589EA7 04/07/17 04/28/16 99.484 5.16 313589ED1 04/10/17 05/04/16 99.507 4.93 313589EE9 04/11/17 09/09/16 99.733 2.67 313589EF6 04/12/17 05/19/16 99.490 5.10 313589EG4 04/13/17 02/01/17 99.903 0.97 313589EH2 04/14/17 05/12/16 99.532 4.68 313589EL3 04/17/17 08/26/16 99.717 2.83 313589EM1 04/18/17 12/19/16 99.830 1.70 313589EN9 04/19/17 10/19/16 99.762 2.38 313589EP4 04/20/17 12/13/16 99.822 1.78 313589EQ2 04/21/17 04/28/16 99.463 5.37 313589ET6 04/24/17 09/20/16 99.706 2.94 313589EU3 04/25/17 02/09/17 99.898 1.02 313589EV1 04/26/17 06/10/16 99.511 4.89 313589EW9 04/27/17 12/28/16 99.827 1.73 313589EX7 04/28/17 05/05/16 99.473 5.27 313589FA6 05/01/17 05/17/16 99.467 5.33 313589FB4 05/02/17 06/09/16 99.464 5.36 313589FC2 05/03/17 06/10/16 99.464 5.36 313589FD0 05/04/17 08/19/16 99.681 3.19 313589FE8 05/05/17 05/18/16 99.433 5.67 313589FH1 05/08/17 08/01/16 99.627 3.73 313589FJ7 05/09/17 11/04/16 99.752 2.48 313589FK4 05/10/17 05/17/16 99.453 5.47 313589FL2 05/11/17 01/20/17 99.843 1.57 Section III-C (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313589FM0 05/12/17 05/25/16 99.340 6.60 313589FQ1 05/15/17 05/23/16 99.355 6.45 313589FR9 05/16/17 09/19/16 99.661 3.39 313589FS7 05/17/17 05/24/16 99.334 6.66 313589FT5 05/18/17 05/23/16 99.350 6.50 313589FU2 05/19/17 05/25/16 99.327 6.73 313589FX6 05/22/17 06/29/16 99.591 4.09 313589FY4 05/23/17 02/01/17 99.843 1.57 313589FZ1 05/24/17 11/21/16 99.719 2.81 313589GA5 05/25/17 06/02/16 99.326 6.74 313589GB3 05/26/17 06/02/16 99.324 6.76 313589GF4 05/30/17 01/12/17 99.797 2.03 313589GG2 05/31/17 06/08/16 99.385 6.15 313589GH0 06/01/17 06/09/16 99.375 6.25 313589GJ6 06/02/17 06/10/16 99.375 6.25 313589GM9 06/05/17 06/10/16 99.370 6.30 313589GN7 06/06/17 06/29/16 99.563 4.37 313589GP2 06/07/17 06/15/16 99.375 6.25 313589GQ0 06/08/17 01/27/17 99.813 1.87 313589GR8 06/09/17 06/16/16 99.403 5.97 313589GU1 06/12/17 02/06/17 99.818 1.82 313589GV9 06/13/17 02/17/17 99.832 1.68 313589GW7 06/14/17 06/29/16 99.553 4.47 313589GX5 06/15/17 06/20/16 99.420 5.80 313589GY3 06/16/17 06/28/16 99.529 4.71 313589HB2 06/19/17 12/30/16 99.739 2.61 313589HC0 06/20/17 04/07/17 99.846 1.54 313589HD8 06/21/17 03/22/17 99.808 1.92 313589HE6 06/22/17 07/08/16 99.515 4.85 313589HF3 06/23/17 06/30/16 99.533 4.67 313589HJ5 06/26/17 01/31/17 99.781 2.19 313589HK2 06/27/17 06/26/17 99.997 0.03 313589HL0 06/28/17 07/18/16 99.483 5.17 313589HM8 06/29/17 01/31/17 99.777 2.24 313589HN6 06/30/17 07/08/16 99.504 4.96 313589HR7 07/03/17 07/14/16 99.459 5.41 313589HT3 07/05/17 08/01/16 99.484 5.16 313589HU0 07/06/17 07/13/16 99.453 5.47 313589HV8 07/07/17 07/13/16 99.452 5.48 313589HY2 07/10/17 07/15/16 99.450 5.50 313589HZ9 07/11/17 07/19/16 99.425 5.75 313589JA2 07/12/17 07/18/16 99.432 5.68 313589JB0 07/13/17 07/18/16 99.430 5.70 313589JC8 07/14/17 07/20/16 99.422 5.78 313589JF1 07/17/17 07/26/16 99.417 5.83 313589JG9 07/18/17 03/27/17 99.758 2.42 313589JH7 07/19/17 07/29/16 99.448 5.52 313589JJ3 07/20/17 07/19/17 99.997 0.03 Section III-C (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313589JK0 07/21/17 05/12/17 99.846 1.54 313589JN4 07/24/17 03/28/17 99.744 2.56 313589JP9 07/25/17 04/07/17 99.764 2.36 313589JQ7 07/26/17 08/02/16 99.453 5.47 313589JR5 07/27/17 08/01/16 99.440 5.60 313589JS3 07/28/17 09/01/16 99.496 5.04 313589JV6 07/31/17 08/15/16 99.446 5.54 313589JW4 08/01/17 08/17/16 99.447 5.53 313589JX2 08/02/17 09/06/16 99.487 5.13 313589JY0 08/03/17 11/01/16 99.568 4.32 313589JZ7 08/04/17 03/30/17 99.725 2.75 313589KC6 08/07/17 08/15/16 99.435 5.65 313589KD4 08/08/17 05/26/17 99.823 1.77 313589KE2 08/09/17 04/07/17 99.728 2.72 313589KF9 08/10/17 04/20/17 99.751 2.49 313589KG7 08/11/17 08/18/16 99.433 5.67 313589KK8 08/14/17 04/12/17 99.718 2.82 313589KL6 08/15/17 05/01/17 99.762 2.39 313589KM4 08/16/17 04/11/17 99.714 2.86 313589KN2 08/17/17 11/01/16 99.526 4.74 313589KP7 08/18/17 09/23/16 99.488 5.12 313589KS1 08/21/17 06/05/17 99.799 2.01 313589KT9 08/22/17 04/17/17 99.707 2.93 313589KU6 08/23/17 10/31/16 99.515 4.85 313589KV4 08/24/17 08/23/17 99.997 0.03 313589KW2 08/25/17 08/30/16 99.410 5.90 313589KZ5 08/28/17 04/26/17 99.718 2.82 313589LA9 08/29/17 10/17/16 99.465 5.35 313589LB7 08/30/17 10/31/16 99.495 5.05 313589LC5 08/31/17 09/12/16 99.451 5.49 313589LD3 09/01/17 09/19/16 99.431 5.69 313589LH4 09/05/17 09/15/16 99.408 5.92 313589LJ0 09/06/17 05/03/17 99.699 3.01 313589LK7 09/07/17 05/04/17 99.696 3.05 313589LL5 09/08/17 05/11/17 99.700 3.00 313589LP6 09/11/17 09/20/16 99.387 6.13 313589LQ4 09/12/17 10/24/16 99.444 5.56 313589LR2 09/13/17 10/12/16 99.393 6.07 313589LS0 09/14/17 09/19/16 99.380 6.20 313589LT8 09/15/17 10/12/16 99.390 6.10 313589LW1 09/18/17 10/12/16 99.384 6.16 313589LX9 09/19/17 07/05/17 99.789 2.11 313589LY7 09/20/17 11/02/16 99.445 5.55 313589LZ4 09/21/17 09/20/17 99.997 0.03 313589MA8 09/22/17 11/01/16 99.440 5.60 313589MD2 09/25/17 07/12/17 99.796 2.04 313589ME0 09/26/17 10/20/16 99.413 5.87 313589MF7 09/27/17 05/30/17 99.697 3.03 Section III-C (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313589MG5 09/28/17 07/17/17 99.803 1.97 313589MH3 09/29/17 06/02/17 99.693 3.07 313589ML4 10/02/17 10/12/16 99.325 6.75 313589MM2 10/03/17 07/21/17 99.788 2.12 313589MN0 10/04/17 10/31/16 99.399 6.01 313589MP5 10/05/17 06/16/17 99.689 3.11 313589MQ3 10/06/17 10/17/16 99.341 6.59 313589MU4 10/10/17 11/08/16 99.403 5.97 313589MV2 10/11/17 06/13/17 99.667 3.33 313589MW0 10/12/17 10/19/16 99.344 6.56 313589MX8 10/13/17 10/20/16 99.344 6.56 313589NA7 10/16/17 10/24/16 99.336 6.64 313589NB5 10/17/17 10/16/17 99.997 0.03 313589NC3 10/18/17 06/19/17 99.654 3.46 313589ND1 10/19/17 10/24/16 99.330 6.70 313589NE9 10/20/17 10/27/16 99.334 6.66 313589NH2 10/23/17 06/27/17 99.669 3.31 313589NJ8 10/24/17 06/28/17 99.666 3.34 313589NK5 10/25/17 11/01/16 99.334 6.66 313589NL3 10/26/17 06/26/17 99.658 3.42 313589NM1 10/27/17 06/26/17 99.655 3.45 313589NQ2 10/30/17 07/05/17 99.656 3.44 313589NR0 10/31/17 07/06/17 99.656 3.44 313589NS8 11/01/17 05/01/17 99.368 6.32 313589NT6 11/02/17 09/29/17 99.910 0.90 313589NU3 11/03/17 07/17/17 99.685 3.15 313589NX7 11/06/17 07/17/17 99.673 3.27 313589NY5 11/07/17 09/25/17 99.883 1.17 313589NZ2 11/08/17 07/19/17 99.680 3.20 313589PA5 11/09/17 07/18/17 99.674 3.26 313589PB3 11/10/17 07/18/17 99.671 3.29 313589PE7 11/13/17 07/26/17 99.679 3.21 313589PF4 11/14/17 11/13/17 99.997 0.03 313589PG2 11/15/17 05/15/17 99.365 6.35 313589PH0 11/16/17 09/08/17 99.812 1.88 313589PJ6 11/17/17 08/28/17 99.785 2.15 313589PM9 11/20/17 07/31/17 99.676 3.24 313589PN7 11/21/17 07/31/17 99.674 3.26 313589PP2 11/22/17 07/31/17 99.671 3.29 313589PR8 11/24/17 08/02/17 99.687 3.14 313589PU1 11/27/17 09/11/17 99.786 2.14 313589PV9 11/28/17 08/08/17 99.695 3.05 313589PW7 11/29/17 08/16/17 99.708 2.92 313589PX5 11/30/17 08/17/17 99.711 2.89 313589PY3 12/01/17 12/29/16 99.260 7.40 313589QB2 12/04/17 08/15/17 99.692 3.08 313589QC0 12/05/17 10/03/17 99.825 1.75 Section III-C (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313589QD8 12/06/17 09/06/17 99.744 2.56 313589QE6 12/07/17 12/06/17 99.997 0.03 313589QF3 12/08/17 09/25/17 99.797 2.04 313589QJ5 12/11/17 08/29/17 99.720 2.80 313589QK2 12/12/17 08/23/17 99.695 3.05 313589QL0 12/13/17 08/23/17 99.692 3.08 313589QM8 12/14/17 10/05/17 99.806 1.94 313589QN6 12/15/17 10/03/17 99.797 2.03 313589QR7 12/18/17 10/02/17 99.784 2.16 313589QS5 12/19/17 10/10/17 99.806 1.94 313589QT3 12/20/17 08/29/17 99.692 3.08 313589QU0 12/21/17 10/16/17 99.815 1.85 313589QV8 12/22/17 11/01/17 99.857 1.43 313589QZ9 12/26/17 09/05/17 99.689 3.11 313589RA3 12/27/17 06/28/17 99.439 5.61 313589RB1 12/28/17 10/19/17 99.800 2.00 313589RC9 12/29/17 09/14/17 99.700 3.00 Section III-D FEDERAL FARM CREDIT BANKS Short-Term Obligations Issued at a Discount and Maturing in 2017 Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313AC2 01/03/17 06/01/16 99.622 3.78 313313AD0 01/04/17 04/18/16 99.594 4.06 313313AE8 01/05/17 05/09/16 99.639 3.62 313313AF5 01/06/17 04/25/16 99.602 3.98 313313AJ7 01/09/17 05/26/16 99.588 4.12 313313AK4 01/10/17 07/19/16 99.772 2.29 313313AL2 01/11/17 07/19/16 99.770 2.30 313313AM0 01/12/17 04/20/16 99.585 4.15 313313AN8 01/13/17 01/14/16 99.229 7.71 313313AS7 01/17/17 01/20/16 99.264 7.36 313313AT5 01/18/17 04/06/16 99.530 4.70 313313AU2 01/19/17 05/24/16 99.567 4.33 313313AV0 01/20/17 01/22/16 99.282 7.18 313313AY4 01/23/17 03/23/16 99.413 5.87 313313AZ1 01/24/17 06/07/16 99.634 3.66 313313BA5 01/25/17 03/31/16 99.467 5.33 313313BB3 01/26/17 03/30/16 99.455 5.45 313313BC1 01/27/17 01/29/16 99.333 6.67 313313BF4 01/30/17 09/07/16 99.815 1.85 313313BG2 01/31/17 06/27/16 99.709 2.91 313313BH0 02/01/17 02/12/16 99.428 5.72 313313BJ6 02/02/17 02/03/16 99.331 6.69 313313BK3 02/03/17 03/30/16 99.423 5.77 313313BN7 02/06/17 11/28/16 99.901 0.99 313313BP2 02/07/17 03/07/16 99.345 6.55 313313BQ0 02/08/17 05/31/16 99.536 4.64 313313BR8 02/09/17 04/12/16 99.503 4.97 313313BS6 02/10/17 02/11/16 99.412 5.88 313313BV9 02/13/17 02/17/16 99.366 6.34 313313BW7 02/14/17 02/16/16 99.363 6.37 313313BX5 02/15/17 08/17/16 99.752 2.48 313313BY3 02/16/17 04/14/16 99.495 5.05 313313BZ0 02/17/17 02/19/16 99.373 6.27 313313CD8 02/21/17 05/06/16 99.539 4.61 313313CE6 02/22/17 03/22/16 99.335 6.65 313313CF3 02/23/17 06/30/16 99.676 3.24 313313CG1 02/24/17 05/13/16 99.546 4.54 313313CK2 02/27/17 02/29/16 99.343 6.57 313313CL0 02/28/17 05/04/16 99.508 4.92 313313CM8 03/01/17 03/10/16 99.258 7.42 313313CN6 03/02/17 05/09/16 99.513 4.87 313313CP1 03/03/17 05/02/16 99.475 5.25 313313CS5 03/06/17 05/09/16 99.507 4.93 Section III-D (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313CT3 03/07/17 05/09/16 99.505 4.95 313313CU0 03/08/17 03/08/16 99.250 7.50 313313CV8 03/09/17 02/28/17 99.987 0.13 313313CW6 03/10/17 04/18/16 99.429 5.71 313313CZ9 03/13/17 05/03/16 99.468 5.32 313313DA3 03/14/17 04/29/16 99.442 5.58 313313DB1 03/15/17 04/12/16 99.401 5.99 313313DC9 03/16/17 04/15/16 99.414 5.86 313313DD7 03/17/17 04/18/16 99.408 5.92 313313DG0 03/20/17 06/20/16 99.560 4.40 313313DH8 03/21/17 02/14/17 99.950 0.50 313313DJ4 03/22/17 05/12/16 99.485 5.15 313313DK1 03/23/17 03/23/16 99.290 7.10 313313DL9 03/24/17 05/23/16 99.407 5.93 313313DP0 03/27/17 05/06/16 99.458 5.42 313313DQ8 03/28/17 06/28/16 99.606 3.94 313313DR6 03/29/17 02/22/17 99.950 0.50 313313DS4 03/30/17 06/10/16 99.495 5.05 313313DT2 03/31/17 06/28/16 99.601 3.99 313313DW5 04/03/17 05/12/16 99.439 5.61 313313DX3 04/04/17 05/12/16 99.437 5.63 313313DY1 04/05/17 11/14/16 99.767 2.33 313313DZ8 04/06/17 05/26/16 99.370 6.30 313313EA2 04/07/17 04/07/16 99.331 6.69 313313ED6 04/10/17 04/29/16 99.375 6.25 313313EE4 04/11/17 05/09/16 99.410 5.90 313313EF1 04/12/17 06/15/16 99.473 5.27 313313EG9 04/13/17 07/01/16 99.571 4.29 313313EL8 04/17/17 08/17/16 99.629 3.71 313313EM6 04/18/17 09/23/16 99.707 2.93 313313EN4 04/19/17 04/19/16 99.341 6.59 313313EP9 04/20/17 11/21/16 99.742 2.58 313313EQ7 04/21/17 06/17/16 99.487 5.13 313313ET1 04/24/17 05/24/16 99.311 6.89 313313EU8 04/25/17 06/21/16 99.470 5.30 313313EV6 04/26/17 06/29/16 99.540 4.60 313313EW4 04/27/17 04/28/16 99.333 6.67 313313EX2 04/28/17 07/05/16 99.546 4.54 313313FA1 05/01/17 07/12/16 99.536 4.64 313313FB9 05/02/17 06/14/16 99.419 5.81 313313FC7 05/03/17 07/08/16 99.543 4.57 313313FD5 05/04/17 05/23/16 99.279 7.21 313313FE3 05/05/17 05/06/16 99.363 6.37 313313FH6 05/08/17 08/11/16 99.550 4.50 313313FJ2 05/09/17 05/09/16 99.331 6.69 313313FK9 05/10/17 06/22/16 99.428 5.72 313313FL7 05/11/17 05/13/16 99.345 6.55 313313FM5 05/12/17 05/13/16 99.343 6.57 Section III-D (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313FQ6 05/15/17 06/13/16 99.384 6.16 313313FR4 05/16/17 10/06/16 99.636 3.64 313313FS2 05/17/17 08/16/16 99.559 4.41 313313FT0 05/18/17 06/16/16 99.412 5.88 313313FU7 05/19/17 11/21/16 99.672 3.28 313313FX1 05/22/17 04/17/17 99.925 0.75 313313FY9 05/23/17 06/28/16 99.479 5.21 313313FZ6 05/24/17 07/27/16 99.498 5.02 313313GA0 05/25/17 05/26/16 99.232 7.68 313313GB8 05/26/17 07/01/16 99.497 5.03 313313GF9 05/30/17 06/27/16 99.476 5.24 313313GG7 05/31/17 11/10/16 99.652 3.48 313313GH5 06/01/17 06/28/16 99.437 5.63 313313GJ1 06/02/17 08/08/16 99.478 5.22 313313GM4 06/05/17 08/18/16 99.499 5.01 313313GN2 06/06/17 09/16/16 99.540 4.60 313313GP7 06/07/17 06/22/16 99.358 6.42 313313GQ5 06/08/17 06/09/16 99.302 6.98 313313GR3 06/09/17 06/10/16 99.312 6.88 313313GU6 06/12/17 07/19/16 99.426 5.74 313313GV4 06/13/17 08/18/16 99.477 5.23 313313GW2 06/14/17 06/14/16 99.331 6.69 313313GX0 06/15/17 07/15/16 99.423 5.77 313313GY8 06/16/17 06/17/16 99.353 6.47 313313HB7 06/19/17 08/17/16 99.464 5.36 313313HC5 06/20/17 09/20/16 99.507 4.93 313313HD3 06/21/17 06/22/16 99.312 6.88 313313HE1 06/22/17 05/18/17 99.925 0.75 313313HF8 06/23/17 06/24/16 99.383 6.17 313313HJ0 06/26/17 05/22/17 99.925 0.75 313313HK7 06/27/17 06/28/16 99.383 6.17 313313HL5 06/28/17 08/08/16 99.415 5.85 313313HM3 06/29/17 06/30/16 99.393 6.07 313313HN1 06/30/17 05/25/17 99.917 0.83 313313HR2 07/03/17 08/15/16 99.410 5.90 313313HT8 07/05/17 07/06/16 99.434 5.66 313313HU5 07/06/17 07/07/16 99.424 5.76 313313HV3 07/07/17 07/11/16 99.418 5.82 313313HY7 07/10/17 08/30/16 99.424 5.76 313313HZ4 07/11/17 08/03/16 99.401 5.99 313313JA7 07/12/17 07/14/16 99.355 6.45 313313JB5 07/13/17 08/16/16 99.393 6.07 313313JC3 07/14/17 07/15/16 99.343 6.57 313313JF6 07/17/17 06/12/17 99.904 0.96 313313JG4 07/18/17 08/24/16 99.426 5.74 313313JH2 07/19/17 09/02/16 99.413 5.87 313313JJ8 07/20/17 09/22/16 99.448 5.52 Section III-D (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313JK5 07/21/17 09/19/16 99.415 5.85 313313JN9 07/24/17 03/16/17 99.693 3.07 313313JP4 07/25/17 07/26/16 99.333 6.67 313313JQ2 07/26/17 06/21/17 99.901 0.99 313313JR0 07/27/17 08/29/16 99.391 6.09 313313JS8 07/28/17 07/29/16 99.323 6.77 313313JV1 07/31/17 08/17/16 99.362 6.38 313313JW9 08/01/17 06/27/17 99.901 0.99 313313JX7 08/02/17 10/06/16 99.417 5.83 313313JY5 08/03/17 08/03/16 99.331 6.69 313313JZ2 08/04/17 08/05/16 99.323 6.77 313313KC1 08/07/17 08/30/16 99.344 6.56 313313KD9 08/08/17 09/06/16 99.347 6.53 313313KE7 08/09/17 09/29/16 99.416 5.84 313313KF4 08/10/17 08/12/16 99.335 6.66 313313KG2 08/11/17 08/31/16 99.329 6.71 313313KK3 08/14/17 07/10/17 99.901 0.99 313313KL1 08/15/17 08/16/16 99.312 6.88 313313KM9 08/16/17 09/08/16 99.344 6.56 313313KN7 08/17/17 08/24/16 99.354 6.46 313313KP2 08/18/17 08/22/16 99.308 6.92 313313KS6 08/21/17 02/15/17 99.642 3.58 313313KT4 08/22/17 10/17/16 99.408 5.92 313313KU1 08/23/17 10/05/16 99.365 6.35 313313KV9 08/24/17 08/23/17 99.997 0.03 313313KW7 08/25/17 09/23/16 99.356 6.44 313313KZ0 08/28/17 04/04/17 99.643 3.57 313313LA4 08/29/17 07/25/17 99.901 0.99 313313LB2 08/30/17 08/29/17 99.997 0.03 313313LC0 08/31/17 12/30/16 99.431 5.69 313313LD8 09/01/17 05/10/17 99.690 3.10 313313LH9 09/05/17 01/03/17 99.428 5.72 313313LJ5 09/06/17 09/07/16 99.282 7.18 313313LK2 09/07/17 09/08/16 99.292 7.08 313313LL0 09/08/17 09/08/16 99.290 7.10 313313LP1 09/11/17 09/21/16 99.290 7.10 313313LQ9 09/12/17 10/18/16 99.351 6.49 313313LR7 09/13/17 10/24/16 99.370 6.30 313313LS5 09/14/17 09/16/16 99.274 7.26 313313LT3 09/15/17 09/14/17 99.997 0.03 313313LW6 09/18/17 05/25/17 99.681 3.19 313313LX4 09/19/17 01/11/17 99.470 5.30 313313LY2 09/20/17 11/16/16 99.324 6.76 313313LZ9 09/21/17 12/22/16 99.378 6.22 313313MA3 09/22/17 09/21/17 99.997 0.03 313313MD7 09/25/17 09/22/17 99.991 0.09 313313ME5 09/26/17 06/14/17 99.694 3.06 313313MF2 09/27/17 09/28/16 99.292 7.08 Section III-D (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313MG0 09/28/17 10/21/16 99.335 6.65 313313MH8 09/29/17 10/05/16 99.282 7.18 313313ML9 10/02/17 10/11/16 99.268 7.32 313313MM7 10/03/17 10/14/16 99.272 7.28 313313MN5 10/04/17 10/24/16 99.310 6.90 313313MP0 10/05/17 11/04/16 99.339 6.61 313313MQ8 10/06/17 10/07/16 99.262 7.38 313313MU9 10/10/17 11/10/16 99.295 7.05 313313MV7 10/11/17 10/19/16 99.276 7.24 313313MW5 10/12/17 10/21/16 99.278 7.22 313313MX3 10/13/17 08/24/17 99.857 1.43 313313NA2 10/16/17 10/25/16 99.288 7.12 313313NB0 10/17/17 11/23/16 99.244 7.56 313313NC8 10/18/17 10/31/16 99.296 7.04 313313ND6 10/19/17 01/20/17 99.403 5.97 313313NE4 10/20/17 07/24/17 99.734 2.66 313313NH7 10/23/17 12/21/16 99.244 7.57 313313NJ3 10/24/17 09/19/17 99.900 1.00 313313NK0 10/25/17 09/20/17 99.901 0.99 313313NL8 10/26/17 09/21/17 99.901 0.99 313313NM6 10/27/17 01/17/17 99.371 6.29 313313NQ7 10/30/17 11/28/16 99.179 8.21 313313NR5 10/31/17 11/04/16 99.278 7.22 313313NS3 11/01/17 12/02/16 99.193 8.07 313313NT1 11/02/17 11/10/16 99.236 7.64 313313NU8 11/03/17 11/04/16 99.262 7.38 313313NX2 11/06/17 11/14/16 99.197 8.03 313313NY0 11/07/17 11/16/16 99.179 8.21 313313NZ7 11/08/17 02/13/17 99.419 5.81 313313PA0 11/09/17 11/17/16 99.177 8.23 313313PB8 11/10/17 11/09/17 99.997 0.03 313313PE2 11/13/17 11/09/17 99.988 0.12 313313PF9 11/14/17 12/08/16 99.148 8.53 313313PG7 11/15/17 07/31/17 99.682 3.18 313313PH5 11/16/17 11/28/16 99.137 8.63 313313PJ1 11/17/17 11/18/16 99.171 8.29 313313PM4 11/20/17 10/16/17 99.900 1.00 313313PN2 11/21/17 12/19/16 99.129 8.71 313313PP7 11/22/17 10/19/17 99.903 0.97 313313PR3 11/24/17 11/17/17 99.979 0.21 313313PU6 11/27/17 02/08/17 99.351 6.49 313313PV4 11/28/17 12/27/16 99.132 8.68 313313PW2 11/29/17 03/06/17 99.278 7.22 313313PX0 11/30/17 10/24/17 99.894 1.06 313313PY8 12/01/17 12/02/16 99.120 8.80 313313QB7 12/04/17 10/30/17 99.900 1.00 313313QC5 12/05/17 12/12/16 99.075 9.25 Section III-D (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313QD3 12/06/17 12/06/16 99.108 8.92 313313QE1 12/07/17 12/08/16 99.080 9.20 313313QF8 12/08/17 10/06/17 99.816 1.84 313313QJ0 12/11/17 12/14/16 99.045 9.55 313313QK7 12/12/17 12/20/16 99.058 9.42 313313QL5 12/13/17 01/05/17 99.117 8.84 313313QM3 12/14/17 08/24/17 99.673 3.27 313313QN1 12/15/17 12/15/16 98.996 10.04 313313QR2 12/18/17 12/29/16 99.066 9.34 313313QS0 12/19/17 07/24/17 99.535 4.65 313313QT8 12/20/17 12/29/16 99.051 9.49 313313QU5 12/21/17 12/30/16 99.041 9.59 313313QV3 12/22/17 12/21/17 99.996 0.04 313313QZ4 12/26/17 12/28/16 99.032 9.68 313313RA8 12/27/17 12/28/16 99.029 9.71 313313RB6 12/28/17 12/30/16 99.022 9.78 313313RC4 12/29/17 01/12/17 99.123 8.78 Section III-E FEDERAL HOME LOAN MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2017 Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313397AC5 01/03/17 01/06/16 99.355 6.45 313397AD3 01/04/17 01/20/16 99.417 5.83 313397AE1 01/05/17 01/22/16 99.418 5.82 313397AF8 01/06/17 01/22/16 99.417 5.83 313397AJ0 01/09/17 01/22/16 99.412 5.88 313397AK7 01/10/17 01/21/16 99.408 5.92 313397AL5 01/11/17 01/15/16 99.402 5.98 313397AM3 01/12/17 01/11/17 99.999 0.01 313397AN1 01/13/17 01/12/17 99.999 0.01 313397AS0 01/17/17 02/09/16 99.490 5.10 313397AT8 01/18/17 03/24/16 99.583 4.17 313397AU5 01/19/17 03/18/16 99.574 4.26 313397AV3 01/20/17 07/07/16 99.792 2.08 313397AY7 01/23/17 05/16/16 99.692 3.08 313397AZ4 01/24/17 05/27/16 99.684 3.16 313397BA8 01/25/17 05/31/16 99.688 3.12 313397BB6 01/26/17 02/01/16 99.450 5.50 313397BC4 01/27/17 01/26/17 99.999 0.01 313397BF7 01/30/17 07/07/16 99.787 2.13 313397BG5 01/31/17 07/07/16 99.786 2.14 313397BH3 02/01/17 02/19/16 99.493 5.07 313397BJ9 02/02/17 07/12/16 99.755 2.45 313397BK6 02/03/17 02/17/16 99.487 5.13 313397BN0 02/06/17 03/09/16 99.443 5.57 313397BP5 02/07/17 08/08/16 99.767 2.33 313397BQ3 02/08/17 07/15/16 99.752 2.48 313397BR1 02/09/17 08/18/16 99.801 1.99 313397BS9 02/10/17 02/22/16 99.484 5.16 313397BV2 02/13/17 05/06/16 99.662 3.38 313397BW0 02/14/17 06/23/16 99.692 3.08 313397BX8 02/15/17 04/13/16 99.589 4.11 313397BY6 02/16/17 02/15/17 99.999 0.01 313397BZ3 02/17/17 02/29/16 99.430 5.70 313397CD1 02/21/17 02/25/16 99.457 5.43 313397CE9 02/22/17 02/06/17 99.980 0.20 313397CF6 02/23/17 10/28/16 99.875 1.25 313397CG4 02/24/17 08/23/16 99.779 2.21 313397CK5 02/27/17 10/28/16 99.871 1.29 313397CL3 02/28/17 08/29/16 99.757 2.43 313397CM1 03/01/17 03/08/16 99.364 6.36 313397CN9 03/02/17 03/11/16 99.357 6.43 313397CP4 03/03/17 06/22/16 99.651 3.49 313397CS8 03/06/17 09/15/16 99.780 2.20 Section III-E (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313397CT6 03/07/17 03/14/16 99.354 6.46 313397CU3 03/08/17 03/07/17 99.999 0.01 313397CV1 03/09/17 04/20/16 99.524 4.76 313397CW9 03/10/17 03/30/16 99.473 5.27 313397CZ2 03/13/17 04/21/16 99.511 4.89 313397DA6 03/14/17 07/22/16 99.693 3.07 313397DB4 03/15/17 06/21/16 99.625 3.75 313397DC2 03/16/17 07/12/16 99.698 3.02 313397DD0 03/17/17 07/07/16 99.705 2.95 313397DG3 03/20/17 08/03/16 99.726 2.74 313397DH1 03/21/17 06/30/16 99.692 3.08 313397DJ7 03/22/17 07/20/16 99.673 3.27 313397DK4 03/23/17 09/01/16 99.735 2.65 313397DL2 03/24/17 03/28/16 99.428 5.72 313397DP3 03/27/17 05/31/16 99.542 4.58 313397DQ1 03/28/17 09/09/16 99.742 2.58 313397DR9 03/29/17 07/25/16 99.671 3.29 313397DS7 03/30/17 04/27/16 99.523 4.77 313397DT5 03/31/17 04/05/16 99.450 5.50 313397DW8 04/03/17 04/07/16 99.438 5.62 313397DX6 04/04/17 06/13/16 99.566 4.34 313397DY4 04/05/17 06/22/16 99.589 4.11 313397DZ1 04/06/17 04/20/16 99.464 5.36 313397EA5 04/07/17 04/13/16 99.452 5.48 313397ED9 04/10/17 04/18/16 99.455 5.45 313397EE7 04/11/17 06/30/16 99.660 3.40 313397EF4 04/12/17 06/09/16 99.540 4.60 313397EG2 04/13/17 07/22/16 99.639 3.61 313397EH0 04/14/17 06/23/16 99.578 4.22 313397EL1 04/17/17 06/23/16 99.574 4.26 313397EM9 04/18/17 10/06/16 99.758 2.42 313397EN7 04/19/17 04/18/17 99.998 0.02 313397EP2 04/20/17 10/06/16 99.755 2.45 313397EQ0 04/21/17 05/16/16 99.499 5.01 313397ET4 04/24/17 05/26/16 99.417 5.83 313397EU1 04/25/17 05/02/16 99.473 5.27 313397EV9 04/26/17 10/28/16 99.765 2.35 313397EW7 04/27/17 10/06/16 99.746 2.54 313397EX5 04/28/17 10/06/16 99.745 2.55 313397FA4 05/01/17 06/30/16 99.627 3.73 313397FB2 05/02/17 09/20/16 99.676 3.24 313397FC0 05/03/17 07/13/16 99.592 4.08 313397FD8 05/04/17 10/19/16 99.740 2.60 313397FE6 05/05/17 07/28/16 99.610 3.90 313397FH9 05/08/17 07/28/16 99.606 3.94 313397FJ5 05/09/17 09/30/16 99.721 2.79 313397FK2 05/10/17 09/06/16 99.672 3.28 313397FL0 05/11/17 05/25/16 99.366 6.34 Section III-E (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313397FM8 05/12/17 05/11/17 99.998 0.02 313397FQ9 05/15/17 05/31/16 99.375 6.25 313397FR7 05/16/17 09/22/16 99.682 3.18 313397FS5 05/17/17 10/21/16 99.711 2.89 313397FT3 05/18/17 06/23/16 99.507 4.93 313397FU0 05/19/17 10/03/16 99.696 3.04 313397FX4 05/22/17 10/21/16 99.704 2.96 313397FY2 05/23/17 10/06/16 99.682 3.18 313397FZ9 05/24/17 10/11/16 99.688 3.12 313397GA3 05/25/17 05/31/16 99.357 6.43 313397GB1 05/26/17 08/29/16 99.644 3.56 313397GF2 05/30/17 07/15/16 99.539 4.61 313397GG0 05/31/17 05/31/16 99.346 6.54 313397GH8 06/01/17 06/29/16 99.579 4.21 313397GJ4 06/02/17 10/18/16 99.691 3.09 313397GM7 06/05/17 12/12/16 99.742 2.58 313397GN5 06/06/17 12/12/16 99.741 2.59 313397GP0 06/07/17 07/06/16 99.580 4.20 313397GQ8 06/08/17 09/30/16 99.672 3.28 313397GR6 06/09/17 06/29/16 99.569 4.31 313397GU9 06/12/17 01/06/17 99.795 2.05 313397GV7 06/13/17 08/31/16 99.603 3.97 313397GW5 06/14/17 09/23/16 99.637 3.63 313397GX3 06/15/17 06/20/16 99.460 5.40 313397GY1 06/16/17 06/30/16 99.552 4.48 313397HB0 06/19/17 10/17/16 99.667 3.33 313397HC8 06/20/17 10/17/16 99.665 3.35 313397HD6 06/21/17 07/27/16 99.497 5.03 313397HE4 06/22/17 10/11/16 99.633 3.67 313397HF1 06/23/17 07/12/16 99.491 5.09 313397HJ3 06/26/17 12/23/16 99.723 2.77 313397HK0 06/27/17 07/14/16 99.488 5.12 313397HL8 06/28/17 12/29/16 99.749 2.51 313397HM6 06/29/17 06/28/17 99.997 0.03 313397HN4 06/30/17 03/03/17 99.775 2.25 313397HR5 07/03/17 07/15/16 99.461 5.39 313397HT1 07/05/17 07/28/16 99.459 5.41 313397HU8 07/06/17 09/27/16 99.601 3.99 313397HV6 07/07/17 08/18/16 99.538 4.62 313397HY0 07/10/17 01/12/17 99.736 2.64 313397HZ7 07/11/17 07/15/16 99.448 5.52 313397JA0 07/12/17 08/18/16 99.531 4.69 313397JB8 07/13/17 08/04/16 99.514 4.86 313397JC6 07/14/17 07/13/17 99.997 0.03 313397JF9 07/17/17 08/16/16 99.507 4.93 313397JG7 07/18/17 11/16/16 99.600 4.00 313397JH5 07/19/17 11/23/16 99.610 3.90 313397JJ1 07/20/17 08/04/16 99.494 5.06 Section III-E (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313397JK8 07/21/17 07/20/17 99.997 0.03 313397JN2 07/24/17 01/05/17 99.711 2.89 313397JP7 07/25/17 01/12/17 99.704 2.96 313397JQ5 07/26/17 01/27/17 99.705 2.95 313397JR3 07/27/17 01/11/17 99.710 2.90 313397JS1 07/28/17 07/27/17 99.997 0.03 313397JV4 07/31/17 07/28/17 99.992 0.08 313397JW2 08/01/17 09/14/16 99.483 5.17 313397JX0 08/02/17 02/02/17 99.688 3.12 313397JY8 08/03/17 01/23/17 99.680 3.20 313397JZ5 08/04/17 09/08/16 99.482 5.18 313397KC4 08/07/17 11/10/16 99.569 4.31 313397KD2 08/08/17 08/09/16 99.444 5.56 313397KE0 08/09/17 09/07/16 99.473 5.27 313397KF7 08/10/17 01/25/17 99.674 3.26 313397KG5 08/11/17 01/27/17 99.673 3.27 313397KK6 08/14/17 08/22/16 99.445 5.55 313397KL4 08/15/17 08/26/16 99.430 5.70 313397KM2 08/16/17 08/31/16 99.407 5.93 313397KN0 08/17/17 09/02/16 99.438 5.62 313397KP5 08/18/17 08/31/16 99.404 5.96 313397KS9 08/21/17 09/01/16 99.400 6.00 313397KT7 08/22/17 08/25/16 99.417 5.83 313397KU4 08/23/17 02/09/17 99.680 3.20 313397KV2 08/24/17 09/29/16 99.479 5.21 313397KW0 08/25/17 09/20/16 99.454 5.46 313397KZ3 08/28/17 12/20/16 99.561 4.39 313397LA7 08/29/17 03/07/17 99.606 3.94 313397LB5 08/30/17 09/21/16 99.447 5.53 313397LC3 08/31/17 09/09/16 99.417 5.83 313397LD1 09/01/17 09/12/16 99.400 6.00 313397LH2 09/05/17 10/04/16 99.440 5.60 313397LJ8 09/06/17 09/08/16 99.395 6.05 313397LK5 09/07/17 09/09/16 99.385 6.15 313397LL3 09/08/17 01/27/17 99.614 3.86 313397LP4 09/11/17 03/03/17 99.573 4.27 313397LQ2 09/12/17 09/14/16 99.380 6.20 313397LR0 09/13/17 11/14/16 99.478 5.22 313397LS8 09/14/17 02/16/17 99.627 3.73 313397LT6 09/15/17 11/16/16 99.466 5.34 313397LW9 09/18/17 09/22/16 99.368 6.32 313397LX7 09/19/17 03/03/17 99.539 4.61 313397LY5 09/20/17 09/30/16 99.408 5.92 313397LZ2 09/21/17 10/14/16 99.411 5.89 313397MA6 09/22/17 09/23/16 99.403 5.97 313397MD0 09/25/17 09/30/16 99.400 6.00 313397ME8 09/26/17 03/22/17 99.540 4.60 313397MF5 09/27/17 09/30/16 99.397 6.03 313397MG3 09/28/17 12/19/16 99.481 5.19 Section III-E (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313397MH1 09/29/17 09/28/17 99.997 0.03 313397ML2 10/02/17 10/06/16 99.358 6.42 313397MM0 10/03/17 10/21/16 99.393 6.07 313397MN8 10/04/17 03/02/17 99.508 4.92 313397MP3 10/05/17 10/13/16 99.375 6.25 313397MQ1 10/06/17 02/03/17 99.558 4.42 313397MU2 10/10/17 10/13/16 99.339 6.61 313397MV0 10/11/17 03/06/17 99.489 5.11 313397MW8 10/12/17 03/17/17 99.483 5.17 313397MX6 10/13/17 01/12/17 99.475 5.25 313397NA5 10/16/17 11/15/16 99.377 6.23 313397NB3 10/17/17 03/03/17 99.462 5.38 313397NC1 10/18/17 01/12/17 99.458 5.42 313397ND9 10/19/17 03/22/17 99.473 5.27 313397NE7 10/20/17 01/26/17 99.488 5.12 313397NH0 10/23/17 04/21/17 99.538 4.62 313397NJ6 10/24/17 01/25/17 99.479 5.21 313397NK3 10/25/17 02/21/17 99.535 4.65 313397NL1 10/26/17 03/17/17 99.443 5.57 313397NM9 10/27/17 01/24/17 99.471 5.29 313397NQ0 10/30/17 04/18/17 99.518 4.82 313397NR8 10/31/17 02/10/17 99.496 5.04 313397NS6 11/01/17 11/07/16 99.352 6.48 313397NT4 11/02/17 02/01/17 99.452 5.48 313397NU1 11/03/17 11/08/16 99.350 6.50 313397NX5 11/06/17 02/28/17 99.491 5.09 313397NY3 11/07/17 02/08/17 99.456 5.44 313397NZ0 11/08/17 05/02/17 99.514 4.86 313397PA3 11/09/17 02/08/17 99.452 5.48 313397PB1 11/10/17 11/15/16 99.310 6.90 313397PE5 11/13/17 11/10/17 99.992 0.08 313397PF2 11/14/17 11/22/16 99.306 6.94 313397PG0 11/15/17 03/23/17 99.388 6.12 313397PH8 11/16/17 11/23/16 99.304 6.96 313397PJ4 11/17/17 11/16/17 99.997 0.03 313397PM7 11/20/17 01/05/17 99.389 6.11 313397PN5 11/21/17 03/16/17 99.340 6.60 313397PP0 11/22/17 02/02/17 99.390 6.10 313397PR6 11/24/17 01/25/17 99.360 6.40 313397PU9 11/27/17 04/21/17 99.432 5.68 313397PV7 11/28/17 11/30/16 99.284 7.16 313397PW5 11/29/17 03/16/17 99.334 6.66 313397PX3 11/30/17 02/01/17 99.371 6.29 313397PY1 12/01/17 12/19/16 99.267 7.33 313397QB0 12/04/17 04/10/17 99.379 6.21 313397QC8 12/05/17 03/22/17 99.319 6.81 313397QD6 12/06/17 03/16/17 99.308 6.92 313397QE4 12/07/17 01/06/17 99.339 6.61 Section III-E (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313397QF1 12/08/17 04/04/17 99.352 6.48 313397QJ3 12/11/17 03/08/17 99.305 6.95 313397QK0 12/12/17 03/31/17 99.339 6.61 313397QL8 12/13/17 03/03/17 99.295 7.05 313397QM6 12/14/17 01/26/17 99.311 6.89 313397QR5 12/18/17 07/19/17 99.552 4.48 313397QS3 12/19/17 07/20/17 99.552 4.48 313397QV6 12/22/17 01/17/17 99.247 7.53 313397QZ7 12/26/17 03/27/17 99.267 7.33 313397RA1 12/27/17 01/18/17 99.219 7.81 313397RB9 12/28/17 01/24/17 99.249 7.51 313397RC7 12/29/17 01/25/17 99.249 7.51 Section III-F FEDERAL AGRICULTURAL MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2017 Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LAC2 01/03/17 03/30/16 99.512 4.88 31315LAD0 01/04/17 02/23/16 99.429 5.71 31315LAE8 01/05/17 12/29/16 99.993 0.07 31315LAF5 01/06/17 12/28/16 99.988 0.12 31315LAJ7 01/09/17 03/31/16 99.566 4.34 31315LAK4 01/10/17 01/09/17 99.999 0.01 31315LAL2 01/11/17 12/15/16 99.962 0.38 31315LAM0 01/12/17 10/07/16 99.907 0.93 31315LAN8 01/13/17 01/06/17 99.990 0.10 31315LAS7 01/17/17 06/30/16 99.727 2.73 31315LAT5 01/18/17 03/16/16 99.393 6.07 31315LAU2 01/19/17 01/18/17 99.999 0.01 31315LAV0 01/20/17 01/21/16 99.260 7.40 31315LAY4 01/23/17 04/08/16 99.541 4.59 31315LAZ1 01/24/17 01/23/17 99.999 0.01 31315LBA5 01/25/17 05/19/16 99.597 4.03 31315LBB3 01/26/17 01/17/17 99.988 0.12 31315LBC1 01/27/17 04/11/16 99.558 4.42 31315LBF4 01/30/17 10/27/16 99.902 0.98 31315LBG2 01/31/17 08/11/16 99.769 2.31 31315LBH0 02/01/17 02/02/16 99.333 6.67 31315LBJ6 02/02/17 02/01/17 99.999 0.01 31315LBK3 02/03/17 04/26/16 99.536 4.64 31315LBN7 02/06/17 02/24/16 99.356 6.44 31315LBP2 02/07/17 02/05/16 99.331 6.69 31315LBQ0 02/08/17 02/07/17 99.999 0.01 31315LBR8 02/09/17 02/10/16 99.351 6.49 31315LBS6 02/10/17 10/06/16 99.831 1.69 31315LBV9 02/13/17 02/06/17 99.992 0.08 31315LBW7 02/14/17 02/13/17 99.999 0.01 31315LBX5 02/15/17 05/05/16 99.539 4.61 31315LBY3 02/16/17 02/17/16 99.312 6.88 31315LBZ0 02/17/17 07/29/16 99.696 3.04 31315LCD8 02/21/17 02/02/17 99.975 0.25 31315LCE6 02/22/17 02/21/17 99.999 0.01 31315LCF3 02/23/17 02/22/17 99.999 0.01 31315LCG1 02/24/17 05/19/16 99.547 4.53 31315LCK2 02/27/17 02/17/17 99.985 0.15 31315LCL0 02/28/17 02/21/17 99.990 0.10 31315LCM8 03/01/17 02/28/17 99.999 0.01 31315LCN6 03/02/17 02/24/17 99.994 0.06 31315LCP1 03/03/17 03/02/17 99.999 0.01 Section III-F (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LCS5 03/06/17 07/29/16 99.664 3.36 31315LCT3 03/07/17 03/08/16 99.256 7.44 31315LCU0 03/08/17 02/27/17 99.989 0.11 31315LCV8 03/09/17 03/09/16 99.242 7.58 31315LCW6 03/10/17 03/10/16 99.219 7.81 31315LCZ9 03/13/17 02/13/17 99.958 0.42 31315LDA3 03/14/17 03/13/17 99.999 0.01 31315LDB1 03/15/17 08/22/16 99.681 3.19 31315LDC9 03/16/17 03/09/17 99.992 0.08 31315LDD7 03/17/17 02/22/17 99.965 0.35 31315LDG0 03/20/17 06/15/16 99.544 4.56 31315LDH8 03/21/17 02/28/17 99.971 0.29 31315LDJ4 03/22/17 03/21/17 99.998 0.02 31315LDK1 03/23/17 09/14/16 99.689 3.11 31315LDL9 03/24/17 08/11/16 99.650 3.50 31315LDP0 03/27/17 03/24/17 99.994 0.06 31315LDQ8 03/28/17 03/27/17 99.998 0.02 31315LDR6 03/29/17 03/28/17 99.998 0.02 31315LDS4 03/30/17 03/22/17 99.986 0.14 31315LDT2 03/31/17 08/30/16 99.682 3.18 31315LDW5 04/03/17 05/31/16 99.420 5.80 31315LDX3 04/04/17 03/28/17 99.986 0.14 31315LDY1 04/05/17 04/04/17 99.998 0.02 31315LDZ8 04/06/17 09/26/16 99.733 2.67 31315LEA2 04/07/17 03/29/17 99.984 0.16 31315LED6 04/10/17 12/09/16 99.802 1.98 31315LEE4 04/11/17 04/10/17 99.998 0.02 31315LEF1 04/12/17 12/08/16 99.807 1.93 31315LEG9 04/13/17 04/07/17 99.987 0.13 31315LEL8 04/17/17 09/06/16 99.667 3.33 31315LEM6 04/18/17 11/15/16 99.728 2.72 31315LEN4 04/19/17 04/21/16 99.336 6.64 31315LEP9 04/20/17 03/16/17 99.925 0.75 31315LEQ7 04/21/17 04/18/17 99.994 0.06 31315LET1 04/24/17 04/17/17 99.987 0.13 31315LEU8 04/25/17 03/28/17 99.939 0.61 31315LEV6 04/26/17 04/19/17 99.987 0.13 31315LEW4 04/27/17 01/25/17 99.853 1.47 31315LEX2 04/28/17 12/15/16 99.784 2.16 31315LFA1 05/01/17 11/23/16 99.722 2.78 31315LFB9 05/02/17 11/01/16 99.718 2.82 31315LFC7 05/03/17 04/03/17 99.937 0.63 31315LFD5 05/04/17 05/03/17 99.998 0.02 31315LFE3 05/05/17 04/28/17 99.985 0.15 31315LFH6 05/08/17 04/13/17 99.945 0.55 31315LFJ2 05/09/17 05/10/16 99.368 6.32 31315LFK9 05/10/17 12/09/16 99.723 2.77 31315LFL7 05/11/17 05/10/17 99.998 0.02 Section III-F (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LFM5 05/12/17 05/11/17 99.998 0.02 31315LFQ6 05/15/17 02/13/17 99.854 1.46 31315LFR4 05/16/17 05/16/16 99.331 6.69 31315LFS2 05/17/17 05/16/17 99.998 0.02 31315LFT0 05/18/17 11/15/16 99.658 3.42 31315LFU7 05/19/17 05/18/17 99.998 0.02 31315LFX1 05/22/17 05/15/17 99.987 0.13 31315LFY9 05/23/17 05/22/17 99.998 0.02 31315LFZ6 05/24/17 05/23/17 99.998 0.02 31315LGA0 05/25/17 05/24/17 99.998 0.02 31315LGB8 05/26/17 05/15/17 99.978 0.22 31315LGF9 05/30/17 11/22/16 99.659 3.41 31315LGG7 05/31/17 05/30/17 99.998 0.02 31315LGH5 06/01/17 08/12/16 99.484 5.16 31315LGJ1 06/02/17 09/07/16 99.561 4.39 31315LGM4 06/05/17 06/02/17 99.994 0.06 31315LGN2 06/06/17 09/30/16 99.592 4.08 31315LGP7 06/07/17 06/06/17 99.998 0.02 31315LGQ5 06/08/17 06/01/17 99.987 0.13 31315LGR3 06/09/17 11/23/16 99.615 3.85 31315LGU6 06/12/17 05/19/17 99.949 0.51 31315LGV4 06/13/17 06/12/17 99.998 0.02 31315LGW2 06/14/17 06/13/17 99.998 0.02 31315LGX0 06/15/17 08/16/16 99.463 5.37 31315LGY8 06/16/17 07/07/16 99.465 5.35 31315LHB7 06/19/17 05/31/17 99.958 0.42 31315LHC5 06/20/17 04/27/17 99.881 1.19 31315LHD3 06/21/17 06/15/17 99.986 0.14 31315LHE1 06/22/17 06/22/16 99.311 6.89 31315LHF8 06/23/17 06/24/16 99.424 5.76 31315LHJ0 06/26/17 12/14/16 99.644 3.56 31315LHK7 06/27/17 12/28/16 99.655 3.45 31315LHL5 06/28/17 12/14/16 99.641 3.59 31315LHM3 06/29/17 06/15/17 99.964 0.36 31315LHN1 06/30/17 08/10/16 99.410 5.90 31315LHR2 07/03/17 07/21/16 99.373 6.27 31315LHT8 07/05/17 06/02/17 99.922 0.78 31315LHU5 07/06/17 06/06/17 99.923 0.77 31315LHV3 07/07/17 06/14/17 99.935 0.65 31315LHY7 07/10/17 07/07/17 99.992 0.08 31315LHZ4 07/11/17 07/10/17 99.997 0.03 31315LJA7 07/12/17 06/12/17 99.918 0.82 31315LJB5 07/13/17 07/12/17 99.997 0.03 31315LJC3 07/14/17 05/11/17 99.851 1.49 31315LJF6 07/17/17 07/10/17 99.980 0.20 31315LJG4 07/18/17 06/21/17 99.926 0.74 31315LJH2 07/19/17 06/21/17 99.923 0.77 31315LJJ8 07/20/17 06/13/17 99.894 1.06 Section III-F (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LJK5 07/21/17 10/13/16 99.469 5.31 31315LJN9 07/24/17 07/21/17 99.992 0.08 31315LJP4 07/25/17 07/25/16 99.311 6.89 31315LJQ2 07/26/17 07/26/16 99.311 6.89 31315LJR0 07/27/17 07/27/16 99.312 6.88 31315LJS8 07/28/17 10/25/16 99.509 4.91 31315LJV1 07/31/17 08/10/16 99.329 6.71 31315LJW9 08/01/17 10/31/16 99.500 5.00 31315LJX7 08/02/17 08/01/17 99.997 0.03 31315LJY5 08/03/17 04/28/17 99.768 2.32 31315LJZ2 08/04/17 07/25/17 99.971 0.29 31315LKC1 08/07/17 07/06/17 99.908 0.92 31315LKD9 08/08/17 08/07/17 99.997 0.03 31315LKE7 08/09/17 08/08/17 99.997 0.03 31315LKF4 08/10/17 07/12/17 99.917 0.83 31315LKG2 08/11/17 08/31/16 99.320 6.80 31315LKK3 08/14/17 02/14/17 99.648 3.52 31315LKL1 08/15/17 08/17/16 99.314 6.86 31315LKM9 08/16/17 08/15/17 99.997 0.03 31315LKN7 08/17/17 08/16/17 99.997 0.03 31315LKP2 08/18/17 08/18/16 99.300 7.00 31315LKS6 08/21/17 07/25/17 99.922 0.78 31315LKT4 08/22/17 08/15/17 99.980 0.20 31315LKU1 08/23/17 08/16/17 99.983 0.17 31315LKV9 08/24/17 08/23/17 99.997 0.03 31315LKW7 08/25/17 09/08/16 99.391 6.09 31315LKZ0 08/28/17 08/25/17 99.991 0.09 31315LLA4 08/29/17 08/28/17 99.997 0.03 31315LLB2 08/30/17 08/30/16 99.262 7.38 31315LLC0 08/31/17 08/24/17 99.983 0.17 31315LLD8 09/01/17 09/07/16 99.332 6.68 31315LLH9 09/05/17 06/02/17 99.736 2.64 31315LLJ5 09/06/17 09/05/17 99.997 0.03 31315LLK2 09/07/17 08/31/17 99.982 0.18 31315LLL0 09/08/17 11/30/16 99.373 6.27 31315LLP1 09/11/17 09/15/16 99.313 6.87 31315LLQ9 09/12/17 09/01/17 99.970 0.30 31315LLR7 09/13/17 06/14/17 99.740 2.60 31315LLS5 09/14/17 09/13/17 99.997 0.03 31315LLT3 09/15/17 04/18/17 99.629 3.71 31315LLW6 09/18/17 09/12/17 99.984 0.16 31315LLX4 09/19/17 09/18/17 99.997 0.03 31315LLY2 09/20/17 06/19/17 99.731 2.69 31315LLZ9 09/21/17 08/23/17 99.919 0.81 31315LMA3 09/22/17 09/14/17 99.978 0.22 31315LMD7 09/25/17 12/05/16 99.330 6.70 31315LME5 09/26/17 09/19/17 99.981 0.19 31315LMF2 09/27/17 09/26/17 99.997 0.03 Section III-F (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LMG0 09/28/17 09/27/17 99.997 0.03 31315LMH8 09/29/17 10/27/16 99.373 6.27 31315LML9 10/02/17 10/18/16 99.341 6.59 31315LMM7 10/03/17 10/04/16 99.292 7.08 31315LMN5 10/04/17 10/03/17 99.997 0.03 31315LMP0 10/05/17 09/25/17 99.972 0.28 31315LMQ8 10/06/17 10/27/16 99.355 6.45 31315LMU9 10/10/17 10/06/17 99.989 0.11 31315LMV7 10/11/17 10/10/17 99.997 0.03 31315LMW5 10/12/17 09/12/17 99.916 0.84 31315LMX3 10/13/17 10/12/17 99.997 0.03 31315LNA2 10/16/17 12/29/16 99.321 6.79 31315LNB0 10/17/17 11/09/16 99.345 6.55 31315LNC8 10/18/17 09/20/17 99.921 0.79 31315LND6 10/19/17 10/13/17 99.983 0.17 31315LNE4 10/20/17 12/01/16 99.255 7.45 31315LNH7 10/23/17 09/22/17 99.912 0.88 31315LNJ3 10/24/17 10/24/16 99.290 7.10 31315LNK0 10/25/17 07/24/17 99.718 2.82 31315LNL8 10/26/17 10/26/16 99.270 7.30 31315LNM6 10/27/17 01/25/17 99.427 5.73 31315LNQ7 10/30/17 10/26/17 99.989 0.11 31315LNR5 10/31/17 11/21/16 99.236 7.64 31315LNS3 11/01/17 11/02/16 99.262 7.38 31315LNT1 11/02/17 05/04/17 99.489 5.11 31315LNU8 11/03/17 03/03/17 99.388 6.12 31315LNX2 11/06/17 10/16/17 99.941 0.59 31315LNY0 11/07/17 10/31/17 99.982 0.18 31315LNZ7 11/08/17 11/07/17 99.997 0.03 31315LPA0 11/09/17 11/08/17 99.997 0.03 31315LPB8 11/10/17 11/10/16 99.250 7.50 31315LPE2 11/13/17 02/14/17 99.403 5.97 31315LPF9 11/14/17 11/15/16 99.181 8.19 31315LPG7 11/15/17 12/09/16 99.148 8.52 31315LPH5 11/16/17 11/16/16 99.169 8.31 31315LPJ1 11/17/17 11/16/17 99.997 0.03 31315LPM4 11/20/17 08/18/17 99.726 2.74 31315LPN2 11/21/17 11/20/17 99.997 0.03 31315LPP7 11/22/17 02/21/17 99.391 6.09 31315LPU6 11/27/17 12/01/16 99.118 8.82 31315LPV4 11/28/17 04/12/17 99.348 6.52 31315LPW2 11/29/17 11/28/17 99.997 0.03 31315LPX0 11/30/17 09/11/17 99.771 2.29 31315LPY8 12/01/17 12/01/16 99.128 8.72 31315LQB7 12/04/17 08/02/17 99.635 3.65 31315LQC5 12/05/17 12/04/17 99.997 0.03 31315LQD3 12/06/17 12/05/17 99.997 0.03 31315LQE1 12/07/17 12/06/17 99.997 0.03 Section III-F (continued) Discount to be Issue Price Reported as 2017 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LQF8 12/08/17 11/07/17 99.911 0.89 31315LQJ0 12/11/17 06/08/17 99.427 5.73 31315LQK7 12/12/17 12/11/17 99.997 0.03 31315LQL5 12/13/17 12/06/17 99.980 0.20 31315LQM3 12/14/17 09/12/17 99.731 2.69 31315LQR2 12/18/17 12/11/17 99.980 0.20 31315LQT8 12/20/17 09/18/17 99.729 2.71 31315LQV3 12/22/17 11/21/17 99.904 0.96 31315LRA8 12/27/17 09/21/17 99.717 2.83 31315LRB6 12/28/17 12/28/16 99.037 9.63 104 73 102 105