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 2021 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 2021 1st 2021 2nd 2022 2nd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period 2022 1st Period 2021 2022 ______________ _________ ________ ________ ___________ _______ _________ ________ ________ ________ ______ ______ Sallie Mae 863871AM1 10/03/84 10/03/22 2.734 0.000 820.35 0.225222 0.247599 84.22 68.09 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 2021 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ ABILENE TEX INDPT SCH DI 003464MG6 07/23/20 02/15/25 94.017 0.000 1.3572 5.60 0.035473 0.035713 0.035956 0.036200 0.036445 12.88 13.05 ABILENE TEX INDPT SCH DI 003464MH4 07/23/20 02/15/26 91.448 0.000 1.6140 6.48 0.041040 0.041371 0.041705 0.042041 0.042381 14.92 15.17 ACADEMY TEX INDPT SCH DI 004014GQ3 05/05/21 08/15/28 85.895 0.000 2.0999 0.050104 0.050396 0.050925 0.051460 11.86 18.38 ACADEMY TEX INDPT SCH DI 004014GR1 05/05/21 08/15/29 83.776 0.000 2.1498 0.050029 0.050328 0.050869 0.051416 11.85 18.36 ALEDO TEX INDPT SCH DIST 014464XL0 02/04/21 02/15/22 99.702 0.000 0.2898 0.008026 0.008027 0.008038 2.63 0.35 ALEDO TEX INDPT SCH DIST 014464XM8 02/04/21 02/15/23 99.169 0.000 0.4114 0.011332 0.011334 0.011357 0.011380 0.011404 3.71 4.10 ALEDO TEX INDPT SCH DIST 014464XN6 02/04/21 02/15/24 98.040 0.000 0.6542 0.017817 0.017820 0.017879 0.017937 0.017996 5.84 6.46 ALEDO TEX INDPT SCH DIST 014464XP1 02/04/21 02/15/25 96.817 0.000 0.8042 0.021627 0.021632 0.021719 0.021806 0.021894 7.09 7.86 ALEDO TEX INDPT SCH DIST 014464XQ9 02/04/21 02/15/26 94.773 0.000 1.0700 0.028169 0.028179 0.028329 0.028481 0.028633 9.23 10.27 ALEDO TEX INDPT SCH DIST 014464XS5 02/04/21 02/15/27 93.206 0.000 1.1701 0.030294 0.030305 0.030482 0.030661 0.030840 9.93 11.05 ALLEN TEX INDPT SCH DIST 018106UV4 05/27/21 02/15/26 94.159 0.000 1.2800 0.033478 0.033571 0.033786 0.034002 7.18 12.18 ALLEN TEX INDPT SCH DIST 018106UW2 05/27/21 02/15/27 91.292 0.000 1.5999 0.040573 0.040713 0.041039 0.041367 8.70 14.80 ALTERYX INC 02156BAA1 05/18/18 06/01/23 98.000 0.500 0.9072 10.29 0.011057 0.011108 0.011158 0.011209 0.011259 3.99 4.03 ALTERYX INC 02156BAB9 05/18/18 06/01/23 98.000 0.500 0.9072 10.29 0.011057 0.011108 0.011158 0.011209 0.011259 3.99 4.03 ALVARADO TEX INDPT SCH D 022357H26 10/28/20 02/15/25 96.321 0.000 0.8741 1.47 0.023388 0.023449 0.023551 0.023654 0.023758 8.45 8.53 ALVARADO TEX INDPT SCH D 022357H34 10/28/20 02/15/26 94.240 0.000 1.1230 1.85 0.029398 0.029496 0.029662 0.029828 0.029996 10.64 10.75 ALVARADO TEX INDPT SCH D 022357H42 10/28/20 02/15/27 92.609 0.000 1.2230 1.98 0.031461 0.031575 0.031768 0.031963 0.032158 11.39 11.52 ALVARADO TEX INDPT SCH D 022357H59 10/28/20 02/15/28 89.415 0.000 1.5390 2.41 0.038225 0.038400 0.038695 0.038993 0.039293 13.86 14.07 ALVARADO TEX INDPT SCH D 022357H67 10/28/20 02/15/29 87.333 0.000 1.6390 2.50 0.039760 0.039953 0.040281 0.040611 0.040944 14.42 14.65 ALVARADO TEX INDPT SCH D 022357H75 10/28/20 02/15/30 85.130 0.000 1.7390 2.59 0.041123 0.041336 0.041695 0.042057 0.042423 14.92 15.17 AMARILLO TEX INDPT SCH D 023051YU3 10/14/20 02/01/23 98.612 0.000 0.6093 1.29 0.016691 0.016721 0.016772 0.016823 0.016874 6.03 6.06 AMARILLO TEX INDPT SCH D 023051YV1 10/14/20 02/01/24 97.347 0.000 0.8171 1.70 0.022095 0.022148 0.022239 0.022330 0.022421 7.99 8.05 AMARILLO TEX INDPT SCH D 023051YW9 10/14/20 02/01/25 96.350 0.000 0.8671 1.79 0.023207 0.023267 0.023368 0.023469 0.023571 8.39 8.46 Amgen Inc. 031162AK6 03/01/05 03/01/32 72.947 VARIES 4.4730 0.178411 0.182203 0.186079 0.190042 0.194071 65.83 68.66 ANHEUSER-BUSCH COMPANIES 03522AAD2 11/13/18 02/01/26 96.122 3.650 4.2802 10.27 0.013868 0.014165 0.014468 0.014778 0.015094 5.14 5.36 ANHEUSER-BUSCH COMPANIES 03522AAE0 11/13/18 02/01/36 93.636 4.700 5.2667 5.16 0.007033 0.007218 0.007408 0.007603 0.007803 2.62 2.76 Republic of Argentina 040114BD1 03/01/99 03/01/29 75.576 8.875 N/A 0.025117 0.025111 0.025105 0.025098 0.025091 9.04 9.03 Argentina, Republic 040114GB0 07/21/00 07/21/30 80.144 10.250 12.8670 56.96 0.020890 0.022234 0.023664 0.025186 0.026807 8.21 9.30 Republic of Argentina 040114GH7 06/19/01 06/19/31 75.250 0.000 N/A 0.617476 0.616037 0.621506 0.620332 0.626136 225.17 226.70 ARGYLE TEX INDPT SCH DIS 040319L29 10/14/20 08/15/25 95.120 0.000 1.0371 2.11 0.027404 0.027499 0.027642 0.027785 0.027929 9.91 10.02 ARGYLE TEX INDPT SCH DIS 040319L37 10/14/20 08/15/26 92.991 0.000 1.2489 2.48 0.032261 0.032397 0.032599 0.032803 0.033007 11.68 11.83 ARGYLE TEX INDPT SCH DIS 040319L45 10/14/20 08/15/27 91.280 0.000 1.3390 2.61 0.033952 0.034105 0.034333 0.034563 0.034795 12.30 12.46 ARGYLE TEX INDPT SCH DIS 040319L52 10/14/20 08/15/30 84.028 0.000 1.7770 3.19 0.041476 0.041724 0.042095 0.042469 0.042846 15.06 15.32 ARLINGTON TEX INDPT SCH 0418265M6 07/30/20 02/15/24 95.925 0.000 1.1781 4.74 0.031407 0.031592 0.031778 0.031965 0.032154 11.39 11.52 BRE Properties, Inc. 05564EBM7 04/04/14 01/15/23* 94.166 3.375 4.1754 42.85 0.020051 0.020469 3.37* Banco de Galicia 059538AR9 07/19/16 07/19/26 100.000 VARIES 8.7499 393.63 0.248726 0.249582 0.250475 0.249867 0.249233 89.98 89.86 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06048WB74 08/02/19 08/02/49 100.000 0.000 4.1568 59.93 0.120316 0.122817 0.125370 0.127975 0.130635 44.52 46.39 Bank of America Corp. 06048WCB4 05/28/10 05/28/30* 100.000 VARIES 5.5514 0.138709 8.32* Bank of America Corp. 06048WCS7 07/12/10 07/12/30* 100.000 VARIES 5.8002 0.152309 1.68* Bank of America Corp. 06048WEE6 10/14/10 10/15/30 100.000 VARIES 5.2017 0.134878 0.135251 0.135633 0.136025 0.136427 48.68 48.96 Bank of America Corp. 06048WEJ5 11/19/10 11/19/30 100.000 VARIES 5.6999 0.148729 0.149092 0.149465 0.149849 0.150244 53.64 53.91 Bank of America Corp. 06048WET3 12/15/10 12/15/30 100.000 VARIES 5.9911 0.154542 0.154984 0.155440 0.155909 0.156392 55.73 56.06 Bank of America Corp. 06048WEY2 01/13/11 01/13/31* 100.000 VARIES 5.1717 0.137990 1.66* Bank of America Corp. 06048WFA3 01/14/11 01/14/21 100.000 VARIES 5.4019 0.149991 1.95 Bank of America Corp. 06048WFE5 02/18/11 02/18/21 100.000 VARIES 5.5089 0.152972 7.19 Bank of America Corp. 06048WFG0 02/24/11 02/24/31* 100.000 VARIES 5.9293 0.160050 8.64* Bank of America Corp. 06048WFJ4 03/04/11 03/04/31 100.000 VARIES 5.6399 0.150890 0.151095 0.151306 0.151523 0.151747 54.41 54.56 Bank of America Corp. 06048WFK1 02/25/11 02/25/21 100.000 VARIES 5.2650 0.146174 7.89 Bank of America Corp. 06048WFM7 03/11/11 03/11/21 100.000 VARIES 5.0284 0.139902 9.79 Bank of America Corp. 06048WFT2 03/31/11 03/31/21 100.000 VARIES 5.2102 0.144832 12.89 Bank of America Corp. 06048WFU9 03/29/11 03/29/21 100.000 VARIES 2.3129 0.010515 0.93 Bank of America Corp. 06048WFW5 04/12/11 04/12/21 100.000 VARIES 5.3401 0.148416 14.99 Bank of America Corp. 06048WG61 12/23/19 12/23/49 100.000 0.000 3.6664 37.84 0.105613 0.107549 0.109520 0.111528 0.113572 38.40 39.82 Bank of America Corp. 06048WGC8 05/27/11 05/27/31* 100.000 VARIES 5.1375 0.136086 8.17* Bank of America Corp. 06048WGE4 06/14/11 06/14/21 100.000 VARIES 2.2369 0.061985 10.10 Bank of America Corp. 06048WGF1 06/16/11 06/16/23 100.000 VARIES 4.8974 0.135977 0.135989 0.136001 0.136013 0.136026 48.95 48.96 Bank of America Corp. 06048WGN4 07/07/11 07/07/21 100.000 VARIES 5.1062 0.141858 0.141848 26.38 Bank of America Corp. 06048WGP9 06/28/11 06/28/21 100.000 VARIES 2.3483 0.016544 2.93 Bank of America Corp. 06048WGQ7 07/14/11 07/14/31* 100.000 VARIES 5.5582 0.147337 1.92* Bank of America Corp. 06048WGR5 07/14/11 07/14/23 100.000 VARIES 5.1475 0.142721 0.142763 0.142805 0.142849 0.142894 51.40 51.43 Bank of America Corp. 06048WGZ7 08/15/11 08/15/31* 100.000 VARIES 5.2773 0.139661 0.139897 6.42* Bank of America Corp. 06048WHA1 08/15/11 08/15/23 100.000 VARIES 4.7457 0.131650 0.131678 0.131706 0.131734 0.131763 47.41 47.43 Bank of America Corp. 06048WHF0 08/26/11 08/26/31 100.000 VARIES 5.0293 0.132421 0.132673 0.132931 0.133196 0.133467 47.78 47.97 Bank of America Corp. 06048WHN3 09/30/11 09/30/31 100.000 VARIES 5.3142 0.139627 0.139899 0.140178 0.140464 0.140759 50.36 50.57 Bank of America Corp. 06048WKG4 01/31/12 01/31/32* 100.000 VARIES 5.8093 0.155193 0.155387 4.81* Bank of America Corp. 06048WNH9 11/09/12 11/09/22 100.000 VARIES 1.6066 0.009512 0.009589 0.009666 0.009743 3.45 2.99 Bank of America Corp. 06048WNK2 12/10/12 12/10/22 100.000 VARIES 1.4139 0.038762 0.038889 0.039016 0.039145 13.98 13.25 Bank of America Corp. 06048WNZ9 07/11/13 07/11/33 100.000 VARIES 5.0043 0.133262 0.133422 0.133585 0.133753 0.133925 48.06 48.18 Bank of America Corp. 06048WPB0 08/06/13 08/06/33 100.000 VARIES 4.8453 0.129145 0.129298 0.129454 0.129615 0.129779 46.56 46.68 Bank of America Corp. 06048WPD6 08/30/13 08/30/33 100.000 VARIES 4.9958 0.131837 0.131266 0.132141 0.131576 0.132461 48.05 48.17 Bank of America Corp. 06048WPE4 09/23/13 09/23/33 100.000 VARIES 4.8735 0.129656 0.129816 0.129980 0.130148 0.130320 46.74 46.86 Bank of America Corp. 06048WPF1 10/10/13 10/10/33 100.000 VARIES 4.7034 0.125236 0.125389 0.125546 0.125707 0.125871 45.14 45.25 Bank of America Corp. 06048WPJ3 12/23/13 12/23/33 100.000 VARIES 4.8649 0.129685 0.129838 0.129994 0.130154 0.130319 46.72 46.83 Bank of America Corp. 06048WPM6 02/28/14 02/29/24 100.000 VARIES 3.7879 0.102726 0.101305 0.103247 0.101827 0.103787 37.30 37.49 Bank of America Corp. 06048WPN4 03/20/14 03/20/34 100.000 VARIES 4.4527 0.118201 0.118351 0.118505 0.118662 0.118822 42.61 42.72 Bank of America Corp. 06048WRU6 09/30/15 09/30/30 100.000 VARIES 2.8047 0.015447 0.015664 0.015884 0.016106 0.016332 5.64 5.80 Bank of America Corp. 06048WRV4 10/30/15 10/30/25 100.000 VARIES 2.4485 0.008818 0.008926 0.009035 0.009146 0.009258 3.21 3.29 Bank of America Corp. 06048WTR1 10/28/16 10/28/26 100.000 VARIES 2.1950 11.41 0.007431 0.007513 0.007595 0.007679 0.007763 2.70 2.76 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06048WUR9 08/25/17 08/25/29 100.000 VARIES 1.6609 9.45 0.007441 0.007503 0.007565 0.007628 0.007692 2.71 2.75 Bank of America Corp. 06048WUT5 08/28/17 08/28/27 100.000 VARIES 1.7157 12.20 0.009753 0.009837 0.009921 0.010006 0.010092 3.55 3.61 Bank of America Corp. 06048WVM9 01/30/18 01/30/28 100.000 VARIES 3.1591 10.97 0.009422 0.009571 0.009722 0.009875 0.010031 3.46 3.57 Bank of America Corp. 06048WWA4 03/27/18 03/27/28 100.000 VARIES 3.7904 104.87 0.105554 0.105539 0.105523 0.105507 0.105491 37.99 37.98 Bank of America Corp. 06048WWX4 06/13/18 06/13/28 100.000 VARIES 3.6250 13.44 0.012794 0.013026 0.013262 0.013502 0.013747 4.66 4.83 Bank of America Corp. 06048WWY2 06/27/18 06/27/28 100.000 VARIES 3.6179 15.77 0.015357 0.014630 0.014894 0.015164 0.015438 5.40 5.41 Bank of America Corp. 06048WZE3 02/06/19 02/06/39 100.000 0.000 4.7730 93.95 0.142305 0.145702 0.149179 0.152739 0.156384 52.84 55.39 Bank of America Corp. 06051GHN2 08/29/18 12/15/37 43.329 0.000 4.3817 46.27 0.058255 0.059531 0.060835 0.062168 0.063530 21.24 22.18 Bank of America Corp. 06053M427 09/05/14 08/27/21 100.000 0.000 2.9178 0.096374 0.097780 23.00 Bank of America Corp. 06053M518 10/02/14 09/24/21 100.000 0.000 3.1046 0.103678 0.105288 27.56 Bank of America Corp. 06053M534 11/06/14 10/29/21 100.000 0.000 2.9616 0.098081 0.099533 29.49 Bank of America Corp. 06053M674 12/03/14 11/24/21 100.000 0.000 2.8708 0.094550 0.095908 30.78 Bank of America Corp. 06053M864 02/12/15 02/26/27 100.000 0.000 3.3492 0.111825 0.113698 0.115602 0.117538 0.119506 41.07 42.45 Bank of America Corp. 06053U106 02/05/15 01/28/22 100.000 0.000 2.5377 0.080940 0.081967 0.083007 29.64 2.24 Bank of America Corp. 06053W169 04/02/15 03/25/22 100.000 0.000 2.7072 0.087142 0.088322 0.089517 31.81 7.52 Bank of America Corp. 06053W359 06/04/15 05/27/22 100.000 0.000 2.8843 0.093736 0.095088 0.096459 34.08 14.08 Bank of America Corp. 06053W458 07/02/15 06/24/22 100.000 0.000 3.1925 0.105483 0.107167 0.108878 38.30 18.84 Bank of America Corp. 06053W631 08/10/15 08/27/21 100.000 0.000 2.7830 0.088877 0.090114 21.20 Bank of America Corp. 06053W649 08/10/15 08/26/22 100.000 0.000 3.0325 0.098047 0.099533 0.101042 0.102574 35.94 24.02 Bank of America Corp. 06053W730 10/01/15 09/30/22 100.000 0.000 2.9206 0.092746 0.093586 0.095474 0.096339 34.26 26.13 Bank of America Corp. 06053W888 10/23/15 10/28/22 100.000 0.000 2.9889 0.096339 0.097779 0.099240 0.100723 35.12 29.74 Bank of Nova Scotia 064159MP8 11/09/18 11/04/21 100.000 0.000 3.6704 81.16 0.109593 0.111604 33.57 Bank of Nova Scotia 064159PJ9 07/09/19 08/04/21 100.000 0.000 2.2132 33.08 0.062942 0.063639 13.53 Bank of Nova Scotia 064159X92 06/16/21 06/16/36 100.000 VARIES 2.3423 0.065065 0.064200 0.063325 0.063035 12.67 22.94 Bank of Nova Scotia 06417P124 08/01/19 07/26/24 100.000 0.000 2.5003 35.84 0.071176 0.072066 0.072967 0.073879 0.074803 26.06 26.72 Bank of Nova Scotia 06417P330 06/06/19 05/30/25 100.000 0.000 3.0038 47.93 0.087213 0.088523 0.089853 0.091202 0.092572 31.71 32.67 Bank of Nova Scotia 06417P538 01/31/19 01/27/23 100.000 0.000 3.6098 71.11 0.105769 0.107678 0.109622 0.111601 0.113615 39.01 40.43 Bank of Nova Scotia 06417P611 12/28/18 12/20/24 100.000 0.000 3.9396 81.52 0.118213 0.120542 0.122916 0.125337 0.127806 43.03 44.74 Bank of Nova Scotia 06417P819 11/01/18 10/25/24 100.000 0.000 3.9550 88.61 0.118735 0.121083 0.123477 0.125919 0.128409 43.48 45.22 Barclays Bank PLC 067387HW3 03/28/14 03/28/24 100.000 0.000 3.5500 0.123955 0.126155 0.128394 0.130673 0.132993 45.43 47.06 Barclays Bank PLC 067387HZ6 04/10/14 04/10/24 100.000 0.000 3.6100 0.126533 0.128817 0.131142 0.133509 0.135919 46.34 48.02 Barclays Bank PLC 06738G8A1 01/30/20 02/04/25 104.000 0.000 2.1300 20.47 0.062203 0.062865 0.063535 0.064211 0.064895 22.71 23.19 Barclays Bank PLC 06738JFL3 11/12/10 11/12/22 100.000 VARIES 3.8891 0.110297 0.110011 0.109720 0.108883 39.63 33.97 Barclays Bank PLC 06738JHL1 10/15/10 10/15/22 100.000 VARIES 4.2147 0.119483 0.118900 0.118304 0.117696 42.82 33.49 Barclays Bank PLC 06738JL28 03/24/11 03/24/21 100.000 VARIES 4.4416 0.124920 10.37 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 06738JLX0 10/07/10 10/07/22 100.000 VARIES 4.2148 0.119510 0.118921 0.118320 0.117706 42.82 32.55 Barclays Bank PLC 06738JMB7 08/19/10 08/19/22 100.000 VARIES 4.2846 449.29 0.120607 0.120513 0.120417 0.119723 43.38 27.33 Barclays Bank PLC 06738KAM3 02/25/11 02/25/31 100.000 VARIES 5.5651 0.130170 0.131499 0.132864 0.134268 0.135640 47.44 48.43 Barclays Bank PLC 06738KBW0 02/09/11 02/09/21 100.000 VARIES 4.8413 0.134836 5.12 Barclays Bank PLC 06738KCN9 03/16/11 03/16/21 100.000 VARIES 4.8210 0.134276 10.07 Barclays Bank PLC 06738KEA5 03/09/11 03/09/21 100.000 VARIES 5.1731 0.144968 9.86 ----------------------------- ** 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06738KEM9 04/08/11 04/08/21 100.000 VARIES 5.0807 0.141563 13.73 Barclays Bank PLC 06738KHK0 05/12/11 05/12/21 100.000 VARIES 4.6809 0.130371 17.08 Barclays Bank PLC 06738KLP4 06/28/11 06/28/23 100.000 VARIES 4.8717 0.137480 0.137008 0.136569 0.136119 0.135726 49.41 49.08 Barclays Bank PLC 06738KMV0 07/28/11 07/28/21 100.000 VARIES 4.8123 0.134742 0.134215 27.80 Barclays Bank PLC 06738KN98 02/29/12 02/28/22 100.000 VARIES 4.0104 0.111085 0.109173 0.110884 40.17 6.43 Barclays Bank PLC 06738KQ53 02/14/12 02/14/22 100.000 0.500 4.1087 0.155530 0.158440 0.161410 57.32 6.94 Barclays Bank PLC 06738KQS3 08/31/11 08/31/31 100.000 VARIES 6.1336 0.151793 0.150950 0.155162 0.154367 0.158742 55.66 56.93 Barclays Bank PLC 06738KQT1 08/05/11 08/05/21 100.000 VARIES 4.6124 0.129833 0.128987 27.63 Barclays Bank PLC 06738KTB7 09/30/11 09/30/31 100.000 VARIES 5.4570 0.144235 0.145647 0.147096 0.148586 0.150115 52.44 53.50 Barclays Bank PLC 06738KVE8 09/29/11 09/30/31 100.000 VARIES 5.2986 0.140386 0.141382 0.142406 0.143456 0.144534 50.90 51.65 Barclays Bank PLC 06738KWX5 10/31/11 11/01/31 100.000 VARIES 4.5597 0.123772 0.122575 0.125460 0.124273 0.127225 45.06 45.68 Barclays Bank PLC 06739FJA0 12/18/15 12/19/22 100.000 0.125 2.3109 122.33 0.071587 0.072374 0.073170 0.073975 25.93 25.61 Barclays Bank PLC 06739FJF9 03/11/16 03/13/23 100.000 0.125 2.2608 113.80 0.069124 0.069866 0.070616 0.071375 0.072143 25.18 25.72 Barclays Bank PLC 06739FJQ5 10/30/18 10/30/23 100.000 0.000 3.9200 87.91 0.117680 0.119987 0.122338 0.124736 0.127181 43.06 44.77 Barclays Bank PLC 06739GCF4 02/20/20 02/18/25 104.000 0.000 3.2800 29.67 0.096291 0.097871 0.099476 0.101107 0.102765 35.37 36.54 Barclays Bank PLC 06740ASJ9 02/29/12 02/28/22 100.000 VARIES 3.2529 0.091654 0.089609 0.090481 32.93 5.25 Barclays Bank PLC 06740D558 02/04/15 08/03/22 100.000 0.000 2.2500 0.070680 0.071475 0.072279 0.073092 25.82 15.47 Barclays Bank PLC 06740PC38 11/29/10 11/29/30 100.000 VARIES 4.9296 0.110962 0.112150 0.113368 0.114721 0.116106 40.24 41.14 Barclays Bank PLC 06740PMQ6 09/16/10 09/16/25* 100.000 VARIES 4.4380 0.111986 8.29* Barclays Bank PLC 06740PV29 12/30/10 12/30/30 100.000 VARIES 5.2624 0.133430 0.134507 0.135613 0.136749 0.137914 48.23 49.03 Barclays Bank PLC 06740PVH6 10/20/10 10/20/25 100.000 VARIES 4.6203 0.130087 0.129930 0.129769 0.129604 0.129436 46.78 46.66 Barclays Bank PLC 06740PVZ6 09/30/10 09/30/25* 100.000 VARIES 4.7399 0.114827 10.22* Barclays Bank PLC 06740PYE0 12/30/10 12/30/30 100.000 VARIES 5.6003 0.135840 0.137595 0.139398 0.141252 0.143158 49.22 50.52 Barclays Bank PLC 06740PYG5 01/14/11 01/14/21 100.000 VARIES 4.9825 0.139270 1.81 Barclays Bank PLC 06740PZ33 01/27/11 01/27/31 100.000 VARIES 5.5228 0.138720 0.139495 0.140594 0.141724 0.142885 50.37 51.17 Barclays Bank PLC 06741J7V5 09/27/18 09/26/23 100.000 0.000 3.8900 91.07 0.116698 0.118967 0.121281 0.123640 0.126045 42.86 44.54 Barclays Bank PLC 06741JS59 05/20/14 05/20/21 100.000 0.000 2.7400 0.090838 12.63 Barclays Bank PLC 06741JV30 07/23/14 07/23/21 100.000 0.000 2.8400 0.093431 0.094758 19.11 Barclays Bank PLC 06741JV89 08/18/14 08/18/21 100.000 0.000 2.8000 0.091899 0.093185 21.09 Barclays Bank PLC 06741RGQ8 04/18/13 04/18/30 100.000 VARIES 3.0513 0.089523 0.089618 0.089714 0.089811 0.089910 32.26 32.33 Barclays Bank PLC 06741T2W6 12/23/13 12/23/33 100.000 VARIES 4.3876 0.093413 0.094471 0.095552 0.096891 0.098260 33.84 34.66 Barclays Bank PLC 06741T6B8 02/28/14 02/28/34 100.000 VARIES 4.0797 0.092061 0.091444 0.093877 0.093267 0.095900 33.71 34.40 Barclays Bank PLC 06741T6S1 03/28/14 03/28/34 100.000 VARIES 4.1532 0.074247 0.075062 0.076621 0.078212 0.079836 27.10 28.17 Barclays Bank PLC 06741T6U6 03/04/14 03/04/24 100.000 0.250 3.4337 0.117286 0.119180 0.121107 0.123067 0.125060 43.01 44.41 Barclays Bank PLC 06741TPR2 03/21/13 03/21/33 100.000 VARIES 3.9299 0.067113 0.068432 0.069777 0.071148 0.072546 24.66 25.64 Barclays Bank PLC 06741TRP4 03/28/13 03/28/33 100.000 VARIES 3.9300 0.067114 0.068433 0.069777 0.071148 0.072546 24.65 25.62 Barclays Bank PLC 06741TRR0 04/09/13 04/09/28 100.000 VARIES 3.5338 0.078002 0.079121 0.080519 0.081941 0.083389 28.49 29.48 Barclays Bank PLC 06741TSE8 04/19/13 04/19/33 100.000 VARIES 3.7861 0.073909 0.074953 0.076372 0.077817 0.079291 26.97 27.96 Barclays Bank PLC 06741TUA3 05/10/13 05/10/28 100.000 VARIES 3.2563 0.070993 0.072149 0.073324 0.074518 0.075731 25.88 26.73 Barclays Bank PLC 06741TUB1 05/03/13 05/03/33 100.000 VARIES 3.4200 0.062177 0.063241 0.064322 0.065422 0.066541 22.70 23.48 Barclays Bank PLC 06741TVK0 05/31/13 05/31/33 100.000 VARIES 3.5100 0.063112 0.064219 0.065346 0.066493 0.067660 22.99 23.80 Barclays Bank PLC 06741TWH6 06/17/13 06/17/33 100.000 VARIES 3.6856 0.066283 0.067486 0.068730 0.069996 0.071286 24.11 25.01 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06741TYX9 07/24/13 07/24/28 100.000 VARIES 3.9848 233.78 0.080728 0.082336 0.083976 0.085650 0.087356 29.86 31.06 Barclays Bank PLC 06741TZW0 08/15/13 08/15/33 100.000 VARIES 4.2320 229.20 0.072625 0.073486 0.074524 0.075733 0.077138 26.56 27.40 Barclays Bank PLC 06741TZX8 08/01/13 08/01/23 100.000 0.250 3.5547 0.124421 0.126509 0.128634 0.130797 0.132998 45.80 47.35 Barclays Bank PLC 06741U2A1 12/31/15 12/31/21 100.000 0.000 2.5800 0.081468 0.082519 29.44 Barclays Bank PLC 06741UBA1 04/25/14 04/25/34 100.000 VARIES 3.4516 0.066550 0.067699 0.068867 0.070056 0.071265 24.32 25.16 Barclays Bank PLC 06741UBX1 04/30/14 04/30/24 100.000 VARIES 3.4912 0.099421 0.099150 0.098836 0.098517 0.098157 35.71 35.48 Barclays Bank PLC 06741UDA9 05/30/14 05/30/34 100.000 VARIES 3.8795 0.083132 0.083559 0.083994 0.084438 0.085289 30.03 30.36 Barclays Bank PLC 06741UFK5 07/28/14 07/28/34 100.000 VARIES 3.8226 0.065109 0.065022 0.064933 0.066160 0.067409 23.40 23.98 Barclays Bank PLC 06741UFM1 07/31/14 07/31/34 100.000 VARIES 3.8919 0.085668 0.086261 0.086865 0.087480 0.088108 31.13 31.57 Barclays Bank PLC 06741UFY5 07/30/14 07/29/21 100.000 0.000 2.8200 0.092658 0.093964 19.51 Barclays Bank PLC 06741UGX6 08/29/14 08/28/29* 100.000 VARIES 3.7703 0.088814 0.089331 5.42* Barclays Bank PLC 06741UJW5 09/29/14 09/29/34 100.000 VARIES 3.7464 0.085526 0.086031 0.086545 0.087068 0.087602 30.97 31.35 Barclays Bank PLC 06741UKP8 10/30/14 10/30/34 100.000 VARIES 3.5915 0.084775 0.085015 0.085258 0.085695 0.086140 30.59 30.83 Barclays Bank PLC 06741UMK7 12/04/14 12/06/21 100.000 0.000 2.6300 0.085467 0.086591 28.83 Barclays Bank PLC 06741UQZ0 02/20/15 02/25/22 100.000 0.000 2.6399 0.084742 0.085860 0.086994 30.99 4.70 Barclays Bank PLC 06741VAN2 09/30/16 09/29/23 100.000 0.000 2.2200 98.46 0.067356 0.068104 0.068860 0.069624 0.070397 24.52 25.07 Barclays Bank PLC 06741VAY8 09/30/16 09/30/21 100.000 0.000 2.0500 90.62 0.061785 0.062418 16.73 Barclays Bank PLC 06741VCG5 10/31/16 10/31/23 100.000 0.000 2.5499 111.45 0.078387 0.079387 0.080399 0.081424 0.082462 28.52 29.25 Barclays Bank PLC 06741VCH3 10/31/16 10/29/21 100.000 0.000 2.2199 96.43 0.067354 0.068101 20.21 Barclays Bank PLC 06741VDS8 11/28/16 11/24/23 100.000 0.000 3.0999 134.15 0.097350 0.098859 0.100392 0.101948 0.103528 35.43 36.54 Barclays Bank PLC 06741VE40 11/28/16 11/26/21 100.000 0.000 2.6500 113.75 0.081773 0.082857 26.77 Barclays Bank PLC 06741VE65 11/28/16 11/26/21 100.000 0.000 2.6500 113.75 0.081773 0.082857 26.77 Barclays Bank PLC 06741VEJ7 12/30/16 12/29/23 100.000 0.000 3.3400 141.78 0.105913 0.107681 0.109480 0.111308 0.113167 38.45 39.75 Barclays Bank PLC 06741VFP2 12/30/16 12/30/21 100.000 0.000 2.9701 125.26 0.092828 0.094206 33.57 Barclays Bank PLC 06741VFX5 12/30/16 12/31/21 100.000 0.000 2.9684 125.27 0.092265 0.092108 33.56 Barclays Bank PLC 06741VG30 01/27/17 01/25/23 100.000 0.000 3.1501 130.63 0.097600 0.099138 0.100699 0.102285 0.103896 35.90 37.04 Barclays Bank PLC 06741VG63 01/31/17 01/31/22 100.000 0.000 2.9201 120.35 0.089775 0.091086 0.092416 32.95 2.68 Barclays Bank PLC 06741VHH8 01/27/17 01/27/27 100.000 VARIES 2.3799 12.44 0.008481 0.008582 0.008684 0.008787 0.008892 3.10 3.18 Barclays Bank PLC 06741VHQ8 02/10/17 02/08/23 100.000 0.000 3.1499 129.36 0.097596 0.099133 0.100694 0.102280 0.103891 35.85 36.99 Barclays Bank PLC 06741VJB9 02/02/17 02/03/21 100.000 0.000 2.7601 113.27 0.084395 2.70 Barclays Bank PLC 06741VJH6 03/03/17 03/03/22 100.000 0.000 2.9401 118.23 0.090453 0.091783 0.093132 33.12 5.77 Barclays Bank PLC 06741VJJ2 02/28/17 08/28/23 100.000 0.000 3.1900 129.31 0.098990 0.100569 0.102173 0.103803 0.105458 36.31 37.48 Barclays Bank PLC 06741VLW0 03/31/17 03/28/24 100.000 0.000 3.2600 129.06 0.101388 0.103040 0.104720 0.106427 0.108161 37.11 38.33 Barclays Bank PLC 06741VLY6 03/31/17 09/29/23 100.000 0.000 3.2100 126.98 0.099673 0.101273 0.102898 0.104550 0.106228 36.47 37.65 Barclays Bank PLC 06741VLZ3 04/05/17 04/05/22 100.000 0.000 2.8900 113.28 0.088760 0.090043 0.091344 32.41 8.59 Barclays Bank PLC 06741VQQ8 04/28/17 04/25/24 100.000 0.000 3.0900 119.32 0.095534 0.097010 0.098509 0.100031 0.101576 34.85 35.94 Barclays Bank PLC 06741VQR6 04/28/17 10/30/23 100.000 0.000 3.1299 120.93 0.096942 0.098459 0.100000 0.101565 0.103154 35.36 36.47 Barclays Bank PLC 06741VQS4 05/03/17 05/03/22 100.000 0.000 2.9001 111.19 0.089098 0.090390 0.091701 32.46 11.19 Barclays Bank PLC 06741VTW2 05/31/17 05/30/24 100.000 0.000 3.0612 115.11 0.094042 0.093924 0.096942 0.096821 0.099933 34.40 35.46 Barclays Bank PLC 06741VU83 05/26/17 05/23/24 100.000 0.000 3.0400 114.66 0.093826 0.095252 0.096700 0.098170 0.099662 34.14 35.19 Barclays Bank PLC 06741VUR1 05/19/17 05/19/27 100.000 VARIES 2.5708 13.43 0.009877 0.010004 0.010132 0.010263 0.010394 3.59 3.68 Barclays Bank PLC 06741VXA5 06/30/17 06/27/24 100.000 0.000 2.9300 107.26 0.090090 0.091410 0.092750 0.094108 0.095487 32.68 33.65 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06741VXB3 06/30/17 06/28/23 100.000 0.000 2.8299 103.44 0.086720 0.087947 0.089192 0.090454 0.091734 31.45 32.34 Barclays Bank PLC 06741VXF4 07/06/17 07/06/22 100.000 0.000 2.7400 99.52 0.082584 0.083716 0.084863 0.086025 30.33 15.91 Barclays Bank PLC 06741WCJ7 06/05/17 06/03/22 100.000 0.000 2.6701 99.40 0.081372 0.082459 0.083560 29.55 12.70 Barclays Bank PLC 06741WDG2 12/04/17 06/02/23 100.000 1.000 3.0301 95.91 0.089512 0.090869 0.091404 0.092788 0.093352 32.52 33.21 Barclays Bank PLC 06741WEM8 12/26/18 12/26/23 100.000 0.000 2.8900 59.49 0.085020 0.086249 0.087495 0.088760 0.090042 30.84 31.74 Barclays Bank PLC 06742B634 03/05/14 03/05/21 100.000 0.000 2.8400 0.094760 6.06 Barclays Bank PLC 06742W752 06/25/14 06/25/21 100.000 0.000 2.8300 0.094364 16.42 Barclays Bank PLC 06744C3B5 09/29/17 09/30/24 100.000 0.000 3.1200 106.08 0.095110 0.096593 0.098100 0.099630 0.101185 34.78 35.87 Barclays Bank PLC 06744C3C3 09/29/17 03/31/21 100.000 0.000 2.6100 88.11 0.078370 6.97 Barclays Bank PLC 06744C3D1 10/04/17 10/05/22 100.000 0.000 2.7800 93.65 0.083897 0.085063 0.086246 0.087444 30.61 23.85 Barclays Bank PLC 06744C4C2 09/15/17 09/15/27 100.000 VARIES 2.4839 10.23 0.008131 0.008232 0.008335 0.008438 0.008543 2.97 3.04 Barclays Bank PLC 06744C6M8 10/31/17 04/29/21 100.000 0.000 2.8100 92.49 0.084864 10.01 Barclays Bank PLC 06744C6N6 10/31/17 10/31/24 100.000 0.000 3.2400 107.27 0.099110 0.100716 0.102347 0.104005 0.105690 36.17 37.35 Barclays Bank PLC 06744C6P1 11/03/17 11/03/22 100.000 0.000 2.6500 86.80 0.079660 0.080716 0.081785 0.082869 28.99 24.89 Barclays Bank PLC 06744C7B1 10/27/17 10/24/24 100.000 0.000 3.2400 107.57 0.099082 0.100688 0.102319 0.103976 0.105661 36.18 37.36 Barclays Bank PLC 06744C7C9 10/27/17 10/25/23 100.000 0.000 3.1300 103.76 0.095418 0.096911 0.098428 0.099968 0.101532 34.82 35.92 Barclays Bank PLC 06744CAL5 07/31/17 07/31/24 100.000 0.000 3.0701 109.82 0.093441 0.094876 0.096332 0.097811 0.099312 34.33 35.40 Barclays Bank PLC 06744CAM3 07/31/17 01/29/21 100.000 0.000 2.5600 90.89 0.076746 2.15 Barclays Bank PLC 06744CAN1 08/03/17 08/04/22 100.000 0.000 2.6899 95.44 0.080962 0.082051 0.083154 0.084273 29.66 17.91 Barclays Bank PLC 06744CBB6 07/28/17 07/25/24 100.000 0.000 3.0200 108.13 0.091759 0.093145 0.094551 0.095979 0.097428 33.72 34.74 Barclays Bank PLC 06744CBC4 07/28/17 07/27/22 100.000 0.000 2.6601 94.74 0.079981 0.081045 0.082123 0.083215 29.31 17.11 Barclays Bank PLC 06744CD65 10/25/17 10/24/24 100.000 0.000 3.2400 107.76 0.099101 0.100706 0.102338 0.103995 0.105680 36.18 37.36 Barclays Bank PLC 06744CD73 10/25/17 10/24/24 100.000 0.000 3.2400 107.76 0.099101 0.100707 0.102338 0.103996 0.105681 36.18 37.36 Barclays Bank PLC 06744CEV9 08/31/17 08/30/24 100.000 0.000 2.9100 101.20 0.088151 0.089419 0.090735 0.092040 0.093394 32.28 33.22 Barclays Bank PLC 06744CEX5 08/31/17 02/26/21 100.000 0.000 2.4699 85.36 0.073831 4.06 Barclays Bank PLC 06744CGK1 08/25/17 08/22/24 100.000 0.000 2.9600 103.47 0.089776 0.091105 0.092453 0.093821 0.095210 32.90 33.88 Barclays Bank PLC 06744CHA2 08/17/17 08/19/21 100.000 0.000 2.5199 88.13 0.075469 0.076420 17.38 Barclays Bank PLC 06744CJQ5 11/27/17 11/21/24 100.000 0.000 3.1199 100.57 0.095051 0.096534 0.098040 0.099569 0.101122 34.60 35.69 Barclays Bank PLC 06744CJR3 11/27/17 11/22/23 100.000 0.000 3.0299 97.55 0.092073 0.093468 0.094884 0.096322 0.097781 33.51 34.53 Barclays Bank PLC 06744CJY8 11/30/17 05/28/21 100.000 0.000 2.8000 89.62 0.084530 12.43 Barclays Bank PLC 06744CJZ5 11/30/17 11/29/24 100.000 0.000 3.1200 100.28 0.095093 0.096577 0.098083 0.099613 0.101167 34.60 35.68 Barclays Bank PLC 06744CKH3 12/05/17 12/05/22 100.000 0.000 2.9000 92.50 0.087823 0.089096 0.090388 0.091699 31.91 30.43 Barclays Bank PLC 06744CKT7 12/05/17 12/05/22 100.000 0.000 2.9800 95.15 0.090459 0.091807 0.093175 0.094563 32.88 31.37 Barclays Bank PLC 06744CMQ1 12/27/17 12/30/22 100.000 0.000 3.0300 94.78 0.092136 0.093532 0.094949 0.096388 33.42 34.35 Barclays Bank PLC 06744CMR9 12/27/17 06/30/21 100.000 0.000 2.8799 89.92 0.087185 15.61 Barclays Bank PLC 06744CN72 12/29/17 12/27/24 100.000 0.000 3.2100 100.45 0.098088 0.099662 0.101261 0.102887 0.104538 35.61 36.76 Barclays Bank PLC 06744CN80 12/29/17 12/27/23 100.000 0.000 3.1400 98.17 0.095751 0.097254 0.098781 0.100332 0.101907 34.75 35.85 Barclays Bank PLC 06744CP21 12/13/17 12/13/22 100.000 0.000 2.9000 91.80 0.087823 0.089096 0.090388 0.091699 31.89 31.15 Barclays Bank PLC 06744CPC9 01/05/18 01/06/23 100.000 1.300 3.0300 92.86 0.088490 0.088737 0.090081 0.090352 0.091720 32.18 32.76 Barclays Bank PLC 06744CQA2 01/31/18 07/29/21 100.000 0.000 2.9600 89.58 0.088481 0.089791 18.64 Barclays Bank PLC 06744CQB0 01/31/18 01/30/25 100.000 0.000 3.2700 99.34 0.098506 0.100116 0.101753 0.103417 0.105108 36.24 37.44 Barclays Bank PLC 06744CQE4 01/31/18 01/31/23 100.000 1.000 3.0900 92.78 0.090902 0.091448 0.092861 0.093437 0.094881 33.12 33.84 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06744CQJ3 02/05/18 02/03/23 100.000 1.000 3.3800 101.34 0.100133 0.100887 0.102592 0.103387 0.105134 36.55 37.45 Barclays Bank PLC 06744CQZ7 01/26/18 01/24/25 100.000 0.000 3.2700 99.74 0.098488 0.100098 0.101734 0.103398 0.105088 36.26 37.45 Barclays Bank PLC 06744CR29 01/26/18 01/24/24 100.000 0.000 3.2100 97.83 0.096538 0.098088 0.099662 0.101262 0.102887 35.52 36.67 Barclays Bank PLC 06744CRB9 12/29/17 06/30/23 100.000 0.000 3.0800 96.22 0.093779 0.095223 0.096690 0.098179 0.099691 34.02 35.08 Barclays Bank PLC 06744CRJ2 01/10/18 01/07/21 100.000 0.000 2.8899 89.12 0.086226 0.52 Barclays Bank PLC 06744CSB8 01/18/18 01/14/21 100.000 0.000 3.0399 93.19 0.091027 1.18 Barclays Bank PLC 06744CT50 01/26/18 01/26/28 100.000 VARIES 3.1964 10.72 0.009161 0.009308 0.009456 0.009607 0.009761 3.37 3.48 Barclays Bank PLC 06744CTC5 02/14/18 02/12/25 100.000 0.000 3.7700 113.62 0.114947 0.117114 0.119321 0.121570 0.123862 42.38 43.99 Barclays Bank PLC 06744CTD3 02/01/18 02/01/21 100.000 VARIES 3.2299 93.94 0.089621 2.69 Barclays Bank PLC 06744CTM3 03/05/18 03/05/25 100.000 VARIES 3.7200 104.41 0.103452 0.103736 0.103840 0.103802 0.103722 37.34 37.36 Barclays Bank PLC 06744CTR2 02/26/18 02/21/25 100.000 0.000 3.3199 98.32 0.100088 0.101749 0.103438 0.105155 0.106901 36.77 38.00 Barclays Bank PLC 06744CTS0 02/26/18 11/21/23 100.000 0.000 3.2994 97.72 0.100239 0.101892 0.103573 0.105282 0.107019 36.52 37.73 Barclays Bank PLC 06744CU90 01/31/18 07/29/22 100.000 0.000 3.0600 92.72 0.091696 0.093099 0.094524 0.095970 33.69 19.92 Barclays Bank PLC 06744CUA7 01/31/18 07/29/22 100.000 0.000 3.0600 92.72 0.091697 0.093100 0.094524 0.095971 33.69 19.92 Barclays Bank PLC 06744CUB5 02/28/18 02/28/25 100.000 0.000 3.7300 110.77 0.113640 0.115759 0.117918 0.120117 0.122358 41.82 43.39 Barclays Bank PLC 06744CUC3 02/28/18 02/28/23 100.000 1.100 3.5359 103.70 0.104977 0.105753 0.107623 0.108445 0.110362 38.26 39.23 Barclays Bank PLC 06744CUD1 02/28/18 02/26/21 100.000 0.000 3.2938 97.31 0.099262 5.46 Barclays Bank PLC 06744CUP4 03/05/18 03/03/23 100.000 1.000 3.5700 104.10 0.106262 0.107167 0.109080 0.110035 0.112000 38.75 39.79 Barclays Bank PLC 06744CUQ2 03/05/18 03/03/23 100.000 0.000 3.5700 105.06 0.108317 0.110251 0.112219 0.114222 0.116260 39.80 41.24 Barclays Bank PLC 06744CVE8 02/09/18 02/09/21 100.000 VARIES 3.1999 92.30 0.088709 3.37 Barclays Bank PLC 06744CVY4 02/14/18 02/14/23 100.000 0.000 3.5600 107.02 0.108009 0.109932 0.111888 0.113880 0.115907 39.76 41.19 Barclays Bank PLC 06744CWD9 02/16/18 02/16/21 100.000 VARIES 2.8899 82.77 0.080074 3.60 Barclays Bank PLC 06744CWE7 02/13/18 02/16/21 100.000 0.000 2.8899 86.27 0.086267 3.88 Barclays Bank PLC 06744CWV9 02/21/18 02/19/21 100.000 0.000 2.8900 85.58 0.086233 4.14 Barclays Bank PLC 06744CWY3 02/22/18 02/22/21 100.000 VARIES 3.3299 95.08 0.092495 4.72 Barclays Bank PLC 06744CY62 03/29/18 03/28/23 100.000 0.000 3.5100 100.67 0.106350 0.108217 0.110116 0.112049 0.114015 38.97 40.35 Barclays Bank PLC 06744CY70 03/29/18 09/26/24 100.000 0.000 3.6400 104.55 0.110619 0.112632 0.114682 0.116769 0.118894 40.57 42.06 Barclays Bank PLC 06744CYD7 03/29/18 03/31/21 100.000 0.000 3.3000 94.42 0.099491 8.85 Barclays Bank PLC 06744CYE5 04/03/18 04/05/23 100.000 0.000 3.5300 100.84 0.107040 0.108929 0.110851 0.112808 0.114799 39.20 40.60 Barclays Bank PLC 06744CYF2 03/29/18 03/31/23 100.000 1.250 3.5081 99.49 0.103775 0.104377 0.106208 0.106853 0.108727 37.69 38.58 Barclays Bank PLC 06744CYT2 03/08/18 03/08/21 100.000 VARIES 3.3300 93.62 0.092526 6.20 Barclays Bank PLC 06744CYW5 03/09/18 03/09/28 100.000 VARIES 3.4394 12.55 0.011042 0.011232 0.011425 0.011622 0.011822 4.05 4.19 Barclays Bank PLC 06746L125 09/14/17 09/16/21 100.000 0.000 2.5900 88.58 0.077729 0.078736 20.00 Barclays Bank PLC 06746M107 09/14/17 09/15/22 100.000 0.000 2.7800 95.33 0.083897 0.085063 0.086245 0.087444 30.66 22.12 Barclays Bank PLC 06746M206 09/14/17 09/14/23 100.000 0.000 2.9700 102.12 0.090129 0.091467 0.092826 0.094204 0.095603 32.98 33.96 Barclays Bank PLC 06746M404 09/14/17 09/16/21 100.000 0.000 2.5900 88.58 0.077729 0.078736 20.00 Barclays Bank PLC 06746N451 01/03/18 01/03/25 100.000 0.000 3.2700 102.00 0.098506 0.100116 0.101753 0.103417 0.105108 36.33 37.53 Barclays Bank PLC 06746P795 02/05/18 02/03/23 100.000 0.000 3.3800 102.31 0.102075 0.103800 0.105555 0.107338 0.109152 37.57 38.85 Barclays Bank PLC 06746Q462 03/01/18 03/03/21 100.000 0.000 3.2599 95.98 0.098196 6.09 Barclays Bank PLC 06746Q702 03/05/18 03/03/21 100.000 0.000 3.3199 97.42 0.100115 6.21 Barclays Bank PLC 06746R338 06/01/18 05/27/22 100.000 0.000 3.5899 96.30 0.108954 0.110909 0.112900 39.71 16.48 Barclays Bank PLC 06746R841 05/03/18 05/06/21 100.000 0.000 3.4899 96.48 0.105731 13.22 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06746T250 09/06/18 09/04/25 100.000 0.000 3.8400 92.28 0.115073 0.117282 0.119534 0.121829 0.124168 42.35 43.99 Barclays Bank PLC 06746T805 07/05/18 07/03/25 100.000 0.000 3.8500 99.57 0.115395 0.117616 0.119880 0.122188 0.124540 42.74 44.40 Barclays Bank PLC 06746U448 10/03/18 10/03/23 100.000 0.000 3.9800 92.53 0.119622 0.122002 0.124430 0.126906 0.129432 43.92 45.68 Barclays Bank PLC 06746V776 12/06/18 11/29/24 100.000 0.000 3.9099 83.47 0.117265 0.119558 0.121895 0.124278 0.126708 42.78 44.47 Barclays Bank PLC 06746X2A0 03/13/18 03/11/21 100.000 0.000 3.3499 97.52 0.101094 7.08 Barclays Bank PLC 06746X2B8 03/16/18 03/16/21 100.000 VARIES 3.2600 90.93 0.090638 6.80 Barclays Bank PLC 06746X2F9 03/21/18 03/22/21 100.000 0.000 3.3500 96.71 0.101123 8.19 Barclays Bank PLC 06746X3C5 03/28/18 03/29/21 100.000 0.000 3.3000 94.52 0.099491 8.76 Barclays Bank PLC 06746X3U5 04/30/18 04/30/21 100.000 0.000 3.4900 96.80 0.105703 12.58 Barclays Bank PLC 06746X3V3 04/30/18 04/30/25 100.000 0.000 3.8700 107.78 0.118311 0.120601 0.122934 0.125313 0.127738 43.29 44.98 Barclays Bank PLC 06746X3W1 04/30/18 04/28/23 100.000 1.250 3.7000 101.76 0.109977 0.110727 0.112776 0.113577 0.115679 39.90 40.92 Barclays Bank PLC 06746X3X9 05/03/18 05/03/23 100.000 0.000 3.7000 102.52 0.112643 0.114727 0.116850 0.119011 0.121213 41.17 42.71 Barclays Bank PLC 06746X4M2 05/03/18 05/03/23 100.000 0.000 3.7000 102.52 0.112643 0.114727 0.116850 0.119011 0.121213 41.17 42.71 Barclays Bank PLC 06746X4W0 04/27/18 04/25/23 100.000 0.000 3.7000 103.20 0.112619 0.114702 0.116824 0.118986 0.121187 41.20 42.73 Barclays Bank PLC 06746X4X8 04/27/18 07/25/24 100.000 0.000 3.8193 106.69 0.115498 0.117703 0.119951 0.122242 0.124576 42.67 44.32 Barclays Bank PLC 06746X5F6 04/30/18 04/30/21 100.000 0.000 3.4900 96.80 0.105703 12.58 Barclays Bank PLC 06746X5W9 04/11/18 04/09/21 100.000 0.000 3.3399 94.40 0.100767 9.88 Barclays Bank PLC 06746X6A6 04/25/18 04/25/28 100.000 VARIES 3.6446 14.80 0.013583 0.012934 0.013170 0.013410 0.013654 4.75 4.82 Barclays Bank PLC 06746X6Q1 04/30/18 04/28/23 100.000 0.000 3.7000 102.86 0.112619 0.114702 0.116824 0.118985 0.121187 41.18 42.72 Barclays Bank PLC 06746X6R9 04/30/18 04/30/21 100.000 VARIES 3.4902 93.78 0.097631 11.62 Barclays Bank PLC 06746X6S7 04/30/18 04/30/21 100.000 VARIES 3.4905 93.99 0.097969 11.66 Barclays Bank PLC 06746X6T5 05/03/18 04/29/21 100.000 0.000 3.4899 96.48 0.105659 12.47 Barclays Bank PLC 06746X6Z1 05/02/18 04/29/21 100.000 0.000 3.4999 96.87 0.105999 12.51 Barclays Bank PLC 06746X7C1 05/30/18 05/27/21 100.000 0.000 3.3699 90.29 0.101738 14.85 Barclays Bank PLC 06746X7E7 05/30/18 05/30/23 100.000 1.000 3.6100 96.17 0.107582 0.108521 0.110479 0.111471 0.113483 38.99 40.04 Barclays Bank PLC 06746XA45 05/30/18 05/28/21 100.000 0.000 3.3700 90.29 0.101748 14.96 Barclays Bank PLC 06746XAE3 05/25/18 05/23/24 100.000 0.000 3.8000 102.86 0.115947 0.118150 0.120394 0.122682 0.125013 42.31 43.93 Barclays Bank PLC 06746XAF0 05/25/18 05/23/23 100.000 0.000 3.6900 99.76 0.112287 0.114359 0.116469 0.118617 0.120806 40.96 42.48 Barclays Bank PLC 06746XAM5 05/02/18 05/02/23 100.000 1.000 3.7100 102.04 0.110837 0.111862 0.113937 0.115020 0.117154 40.27 41.40 Barclays Bank PLC 06746XAV5 06/05/18 06/04/21 100.000 0.000 3.4600 92.27 0.104707 16.02 Barclays Bank PLC 06746XBF9 06/05/18 06/05/23 100.000 0.000 3.6901 98.64 0.112313 0.114385 0.116496 0.118645 0.120834 40.91 42.44 Barclays Bank PLC 06746XBJ1 05/09/18 05/06/21 100.000 0.000 3.5199 96.70 0.106657 13.33 Barclays Bank PLC 06746XBL6 05/30/18 05/31/23 100.000 1.750 3.6101 95.57 0.106024 0.106183 0.108100 0.108296 0.110251 38.26 39.02 Barclays Bank PLC 06746XBU6 05/16/18 05/13/21 100.000 0.000 3.5899 97.94 0.108965 14.38 Barclays Bank PLC 06746XBZ5 05/14/18 05/14/21 100.000 VARIES 3.5104 93.04 0.098356 13.08 Barclays Bank PLC 06746XCC5 05/25/18 05/21/26 100.000 0.000 3.9200 106.24 0.119934 0.122284 0.124681 0.127125 0.129616 43.79 45.52 Barclays Bank PLC 06746XCW1 05/30/18 05/30/23 100.000 VARIES 2.9247 7.32 0.008204 0.008092 0.007979 0.007864 0.007748 2.93 2.84 Barclays Bank PLC 06746XD34 06/29/18 06/27/24 100.000 0.000 3.8100 99.18 0.116280 0.118495 0.120752 0.123053 0.125397 42.28 43.90 Barclays Bank PLC 06746XD42 06/29/18 06/27/23 100.000 0.000 3.7300 97.02 0.113616 0.115735 0.117893 0.120092 0.122331 41.30 42.86 Barclays Bank PLC 06746XD75 05/31/18 05/31/23 100.000 VARIES 3.1075 8.99 0.010097 0.009952 0.009804 0.009654 0.009502 3.60 3.49 Barclays Bank PLC 06746XDT7 06/29/18 06/30/21 100.000 0.000 3.5300 91.63 0.107029 19.16 Barclays Bank PLC 06746XE41 06/29/18 06/29/23 100.000 1.750 3.7100 95.16 0.109234 0.109457 0.111487 0.111752 0.113825 39.37 40.19 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06746XE58 06/29/18 06/29/23 100.000 1.000 3.7100 95.72 0.110837 0.111862 0.113937 0.115020 0.117154 40.09 41.22 Barclays Bank PLC 06746XEK5 07/05/18 07/02/21 100.000 0.000 3.5099 90.46 0.104494 0.106328 19.24 Barclays Bank PLC 06746XFD0 06/18/18 06/17/22 100.000 0.000 3.6600 96.36 0.111304 0.113341 0.115415 40.49 19.16 Barclays Bank PLC 06746XFE8 06/29/18 06/29/23 100.000 VARIES 3.3273 9.73 0.010418 0.010591 0.010768 0.010947 0.011129 3.78 3.91 Barclays Bank PLC 06746XG31 07/23/18 01/23/26 100.000 VARIES 3.8703 93.33 0.105008 0.106346 0.107355 0.108076 0.108531 38.41 38.96 Barclays Bank PLC 06746XGT4 07/31/18 07/30/21 100.000 0.000 3.5100 87.85 0.104527 0.106361 22.18 Barclays Bank PLC 06746XGV9 07/18/18 07/16/21 100.000 0.000 3.5499 90.16 0.105779 0.107656 20.96 Barclays Bank PLC 06746XH71 07/27/18 07/25/24 100.000 0.000 3.8699 97.55 0.116039 0.118284 0.120573 0.122906 0.125284 42.89 44.56 Barclays Bank PLC 06746XH89 07/27/18 04/25/23 100.000 0.000 3.7791 95.24 0.114181 0.116338 0.118537 0.120776 0.123059 41.78 43.37 Barclays Bank PLC 06746XHH9 07/31/18 07/31/23 100.000 1.750 3.7399 92.58 0.108126 0.110148 0.110389 0.112453 0.112738 39.64 40.48 Barclays Bank PLC 06746XHJ5 07/31/18 07/31/23 100.000 1.000 3.7400 93.12 0.109764 0.111816 0.112868 0.114979 0.116090 40.35 41.50 Barclays Bank PLC 06746XHK2 07/31/18 01/29/21 100.000 0.000 3.4500 86.30 0.102608 2.87 Barclays Bank PLC 06746XHP1 08/03/18 08/04/21 100.000 0.000 3.5100 87.54 0.104536 0.106370 22.60 Barclays Bank PLC 06746XJK0 07/31/18 07/31/23 100.000 VARIES 3.8007 91.35 0.106407 0.107295 0.107675 0.107634 0.107206 38.66 38.68 Barclays Bank PLC 06746XK28 08/01/18 07/29/21 100.000 0.000 3.6199 90.59 0.108012 0.109967 22.82 Barclays Bank PLC 06746XKF9 08/31/18 02/26/21 100.000 0.000 3.4999 84.47 0.104165 5.73 Barclays Bank PLC 06746XKX0 09/06/18 06/05/23 100.000 0.000 3.7091 89.05 0.111905 0.113981 0.116094 0.118247 0.120440 40.77 42.29 Barclays Bank PLC 06746XKZ5 09/06/18 09/03/21 100.000 0.000 3.5399 84.83 0.105449 0.107315 25.85 Barclays Bank PLC 06746XL50 08/31/18 08/31/21 100.000 0.000 3.5400 85.47 0.105482 0.107329 25.55 Barclays Bank PLC 06746XLB7 08/31/18 06/01/23 100.000 0.000 3.6892 89.22 0.111277 0.113330 0.115420 0.117549 0.119718 40.55 42.06 Barclays Bank PLC 06746XLE1 08/31/18 06/01/23 100.000 1.000 3.6891 88.41 0.109150 0.110139 0.112170 0.113214 0.115303 39.56 40.66 Barclays Bank PLC 06746XLJ0 08/31/18 03/03/21 100.000 0.000 3.5199 84.97 0.104873 6.50 Barclays Bank PLC 06746XM34 08/31/18 08/31/23 100.000 VARIES 3.7102 85.89 0.103227 0.103923 0.104256 0.104268 0.104053 37.41 37.51 Barclays Bank PLC 06746XM42 09/04/18 08/31/21 100.000 0.000 3.5733 85.87 0.106501 0.108383 25.80 Barclays Bank PLC 06746XME0 08/31/18 08/31/23 100.000 0.000 3.7100 89.71 0.110918 0.112952 0.115071 0.117182 0.119380 40.80 42.33 Barclays Bank PLC 06746XNG4 08/31/18 08/31/23 100.000 0.000 3.7100 89.71 0.110918 0.112952 0.115071 0.117182 0.119380 40.80 42.33 Barclays Bank PLC 06746XPP2 10/03/18 09/29/21 100.000 0.000 3.7899 87.97 0.113436 0.115586 30.79 Barclays Bank PLC 06746XPX5 09/28/18 09/29/21 100.000 0.000 3.7200 86.85 0.111249 0.113319 30.19 Barclays Bank PLC 06746XQ63 10/03/18 06/30/23 100.000 0.000 3.9789 92.51 0.120738 0.123140 0.125590 0.128088 0.130637 43.90 45.67 Barclays Bank PLC 06746XR62 09/26/18 09/26/24 100.000 0.000 3.9700 93.13 0.119298 0.121666 0.124081 0.126544 0.129056 43.83 45.59 Barclays Bank PLC 06746XRK1 11/05/18 10/29/21 100.000 0.000 3.8098 84.80 0.114054 0.116226 34.38 Barclays Bank PLC 06746XRP0 10/31/18 10/31/23 100.000 0.000 3.9400 88.38 0.118327 0.120658 0.123035 0.125459 0.127930 43.30 45.03 Barclays Bank PLC 06746XRQ8 10/31/18 10/29/21 100.000 0.000 3.7700 84.44 0.112832 0.114959 34.01 Barclays Bank PLC 06746XS20 10/22/18 10/21/21 100.000 0.000 3.7800 85.58 0.113154 0.115292 33.20 Barclays Bank PLC 06746XTF0 11/05/18 08/03/23 100.000 0.000 3.9789 88.72 0.118395 0.120750 0.123153 0.125603 0.128102 43.75 45.51 Barclays Bank PLC 06746XVF7 11/30/18 11/30/21 100.000 0.000 3.6100 77.52 0.107716 0.109661 35.79 Barclays Bank PLC 06746XW41 11/30/18 08/31/22 100.000 0.000 3.6834 79.20 0.109069 0.111056 0.113124 0.115184 40.12 27.41 Barclays Bank PLC 06746XW58 12/05/18 08/31/22 100.000 0.000 3.7217 79.49 0.110220 0.112248 0.114360 0.116464 40.55 27.71 Barclays Bank PLC 06746XX40 11/30/18 11/30/23 100.000 0.000 3.7600 80.84 0.112523 0.114638 0.116793 0.118989 0.121226 41.02 42.58 Barclays Bank PLC 06746XX73 12/05/18 11/30/21 100.000 0.000 3.6498 77.86 0.108936 0.110924 36.20 Barclays Bank PLC 06746XXL2 11/09/18 05/06/22 100.000 0.000 3.8599 85.48 0.115703 0.117936 0.120212 42.30 15.03 Barclays Bank PLC 06746XXN8 12/05/18 09/05/23 100.000 0.000 3.7791 80.76 0.112086 0.114204 0.116362 0.118561 0.120801 41.23 42.80 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06746XYH0 11/15/18 11/15/21 100.000 0.000 3.7300 81.84 0.111560 0.113640 35.40 Barclays Bank PLC 06746XZK2 12/24/18 12/22/23 100.000 0.000 3.5300 73.23 0.105142 0.106998 0.108887 0.110808 0.112764 38.22 39.58 Barclays Bank PLC 06746XZL0 12/24/18 12/23/21 100.000 0.000 3.3700 69.82 0.100072 0.101758 35.53 Barclays Bank PLC 06746XZY2 12/26/18 12/23/21 100.000 0.000 2.7400 56.34 0.080349 0.081450 28.48 Barclays Bank PLC 06746Y325 04/04/19 03/28/25 100.000 0.000 3.5099 62.52 0.102662 0.104464 0.106297 0.108163 0.110061 37.62 38.95 Barclays Bank PLC 06747A631 04/18/19 04/21/22 100.000 0.000 2.8999 50.27 0.084129 0.085349 0.086587 30.68 9.52 Barclays Bank PLC 06747A862 05/03/19 05/05/26 100.000 0.000 3.2600 55.22 0.095073 0.096623 0.098198 0.099798 0.101425 34.68 35.82 Barclays Bank PLC 06747B449 07/03/19 07/06/26 100.000 0.000 3.2200 48.90 0.092372 0.093859 0.095370 0.096905 0.098466 34.05 35.15 Barclays Bank PLC 06747B506 06/05/19 06/04/25 100.000 0.000 3.2000 51.20 0.093216 0.094707 0.096222 0.097762 0.099326 33.91 35.00 Barclays Bank PLC 06747B704 06/06/19 05/26/23 100.000 0.000 2.8899 46.08 0.083738 0.084948 0.086175 0.087420 0.088684 30.45 31.34 Barclays Bank PLC 06747C546 09/06/19 08/29/24 100.000 0.000 2.3000 30.65 0.065336 0.066084 0.066848 0.067612 0.068394 23.84 24.39 Barclays Bank PLC 06747C686 09/05/19 09/03/26 100.000 0.000 2.5000 33.41 0.071181 0.072071 0.072972 0.073884 0.074808 26.00 26.65 Barclays Bank PLC 06747D882 11/05/19 11/04/26 100.000 0.000 2.7100 31.61 0.077326 0.078373 0.079435 0.080512 0.081603 28.15 28.91 Barclays Bank PLC 06747G331 04/22/20 05/05/27 100.000 0.000 2.3999 16.66 0.067523 0.068333 0.069153 0.069983 0.070823 24.55 25.14 Barclays Bank PLC 06747H636 06/03/20 06/03/27 100.000 0.000 2.1700 12.56 0.060932 0.061593 0.062261 0.062937 0.063620 22.09 22.57 Barclays Bank PLC 06747J400 07/06/20 07/06/27 100.000 0.000 1.8800 9.14 0.052222 0.052713 0.053209 0.053709 0.054214 19.06 19.42 Barclays Bank PLC 06747M3U8 12/26/18 09/25/23 100.000 0.000 2.8095 57.85 0.081941 0.083093 0.084260 0.085443 0.086644 29.93 30.78 Barclays Bank PLC 06747M6P6 01/31/19 01/29/21 100.000 0.000 3.4500 67.88 0.100868 2.82 Barclays Bank PLC 06747M6S0 01/31/19 01/31/24 100.000 0.000 3.6200 71.31 0.106115 0.108036 0.109991 0.111982 0.114009 39.13 40.56 Barclays Bank PLC 06747MA22 01/31/19 01/31/22 100.000 0.000 3.4400 67.68 0.100572 0.102302 0.104061 37.04 3.02 Barclays Bank PLC 06747MA63 01/25/19 01/25/21 100.000 0.000 3.4499 68.38 0.100876 2.42 Barclays Bank PLC 06747MA89 01/25/19 01/25/21 100.000 0.000 3.4499 68.38 0.100877 2.42 Barclays Bank PLC 06747MBN5 03/05/19 11/30/22 100.000 0.000 3.2591 60.73 0.095761 0.097321 0.098907 0.100519 34.85 32.83 Barclays Bank PLC 06747MC38 02/28/19 02/29/24 100.000 0.000 3.6879 69.66 0.108226 0.110211 0.112254 0.114313 0.116432 39.81 41.29 Barclays Bank PLC 06747MC87 03/05/19 02/28/22 100.000 0.000 3.1998 59.59 0.093162 0.094653 0.096167 34.18 5.48 Barclays Bank PLC 06747MCR5 02/28/19 02/26/21 100.000 0.000 3.3704 63.52 0.098418 5.41 Barclays Bank PLC 06747MCT1 02/28/19 02/28/22 100.000 0.000 3.4800 65.64 0.101801 0.103572 0.105375 37.41 6.01 Barclays Bank PLC 06747MF92 03/29/19 06/25/21 100.000 0.000 3.1486 56.41 0.092347 16.07 Barclays Bank PLC 06747MFA9 03/29/19 06/25/21 100.000 0.000 3.1486 56.41 0.092347 16.07 Barclays Bank PLC 06747MFG6 03/29/19 03/31/22 100.000 0.000 3.1900 57.17 0.092927 0.094409 0.095915 33.99 8.54 Barclays Bank PLC 06747MG59 03/29/19 03/29/24 100.000 0.000 3.3800 60.64 0.098730 0.100398 0.102095 0.103821 0.105575 36.15 37.38 Barclays Bank PLC 06747MG67 04/03/19 03/31/22 100.000 0.000 3.1899 56.80 0.092893 0.094375 0.095880 33.98 8.53 Barclays Bank PLC 06747MGE0 03/29/19 03/31/23 100.000 0.000 3.2800 58.81 0.095675 0.097244 0.098839 0.100460 0.102107 35.01 36.17 Barclays Bank PLC 06747MGL4 03/06/19 03/03/21 100.000 0.000 3.1399 58.35 0.091369 5.66 Barclays Bank PLC 06747MGT7 03/12/19 03/10/22 100.000 0.000 3.2000 58.93 0.093206 0.094698 0.096213 34.16 6.64 Barclays Bank PLC 06747MHG4 03/29/19 03/29/29* 100.000 4.600 3.7092 64.77 0.101677 0.41* Barclays Bank PLC 06747MHX7 03/29/19 06/30/21 100.000 0.000 3.1486 56.41 0.092387 16.54 Barclays Bank PLC 06747MHY5 03/29/19 12/29/23 100.000 0.000 3.3592 60.26 0.098915 0.100577 0.102266 0.103984 0.105730 35.92 37.13 Barclays Bank PLC 06747MHZ2 04/03/19 12/30/22 100.000 0.000 3.2491 57.87 0.095467 0.097018 0.098594 0.100196 34.65 35.68 Barclays Bank PLC 06747MJ72 03/11/19 03/11/26 100.000 VARIES 3.1873 7.65 0.010978 0.011153 0.011331 0.011511 0.011695 4.02 4.15 Barclays Bank PLC 06747MJP2 03/14/19 03/14/29 100.000 VARIES 3.5244 10.14 0.013950 0.012884 0.013111 0.013342 0.013577 4.74 4.81 Barclays Bank PLC 06747MKF2 03/27/19 03/25/21 100.000 0.000 3.1399 56.43 0.091378 7.68 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747MKK1 04/30/19 04/28/22 100.000 0.000 3.1900 54.29 0.092902 0.094383 0.095889 33.90 11.22 Barclays Bank PLC 06747MKS4 04/30/19 04/30/24 100.000 0.000 3.3800 57.58 0.098729 0.100398 0.102095 0.103820 0.105575 36.05 37.28 Barclays Bank PLC 06747MKT2 04/30/19 04/28/23 100.000 0.000 3.2800 55.85 0.095650 0.097218 0.098813 0.100433 0.102080 34.92 36.07 Barclays Bank PLC 06747MKU9 05/03/19 01/31/23 100.000 0.000 2.9015 49.06 0.083533 0.084745 0.085975 0.087222 0.088487 30.66 31.55 Barclays Bank PLC 06747MLB0 05/03/19 04/29/22 100.000 0.000 2.8499 48.15 0.082571 0.083748 0.084941 30.08 10.02 Barclays Bank PLC 06747MLW4 04/26/19 07/22/21 100.000 0.000 3.1487 53.95 0.090918 0.092350 18.53 Barclays Bank PLC 06747MLX2 04/26/19 07/22/21 100.000 0.000 3.1487 53.95 0.090917 0.092348 18.53 Barclays Bank PLC 06747MMQ6 04/30/19 10/28/21 100.000 0.000 3.1599 53.77 0.091986 0.093439 27.58 Barclays Bank PLC 06747MMR4 05/03/19 10/29/21 100.000 0.000 2.8200 47.64 0.081668 0.082820 24.54 Barclays Bank PLC 06747MNJ1 04/11/19 04/11/22 100.000 VARIES 2.8762 4.93 0.007848 0.007961 0.008075 2.86 0.81 Barclays Bank PLC 06747MPF7 05/14/19 05/12/22 100.000 0.000 2.8500 47.25 0.082585 0.083762 0.084956 30.06 11.13 Barclays Bank PLC 06747MPG5 05/14/19 05/12/22 100.000 0.000 2.8500 47.25 0.082586 0.083762 0.084956 30.06 11.13 Barclays Bank PLC 06747MPH3 05/03/19 11/03/21 100.000 VARIES 3.2253 8.20 0.013447 0.013664 4.10 Barclays Bank PLC 06747MPU4 05/01/19 04/29/21 100.000 0.000 3.0800 52.29 0.089554 10.57 Barclays Bank PLC 06747MQ66 05/13/19 11/12/26 100.000 0.000 2.3000 38.07 0.066114 0.066875 0.067644 0.068421 0.069208 24.01 24.57 Barclays Bank PLC 06747MQR0 05/31/19 05/30/24 100.000 0.000 3.0400 49.03 0.088353 0.089696 0.091059 0.092443 0.093848 32.13 33.12 Barclays Bank PLC 06747MQS8 05/31/19 05/31/24 100.000 0.000 3.0400 49.04 0.088354 0.089697 0.091060 0.092444 0.093849 32.13 33.12 Barclays Bank PLC 06747MQT6 05/31/19 05/30/24 100.000 0.000 3.0400 49.04 0.088354 0.089697 0.091060 0.092444 0.093849 32.13 33.12 Barclays Bank PLC 06747MQZ2 06/05/19 02/28/23 100.000 0.000 2.8993 46.35 0.083442 0.084652 0.085879 0.087124 0.088387 30.56 31.45 Barclays Bank PLC 06747MR57 05/31/19 05/31/23 100.000 0.000 2.9400 47.40 0.085321 0.086576 0.087848 0.089140 0.090450 31.02 31.94 Barclays Bank PLC 06747MR81 06/05/19 05/31/22 100.000 0.000 2.8499 45.51 0.082565 0.083741 0.084934 30.01 12.66 Barclays Bank PLC 06747MRB4 05/31/19 05/31/22 100.000 0.000 2.8500 45.92 0.082599 0.083776 0.084970 30.02 12.66 Barclays Bank PLC 06747MRC2 06/05/19 05/28/21 100.000 0.000 2.7898 44.54 0.080740 11.87 Barclays Bank PLC 06747MRQ1 05/31/19 05/31/29* 100.000 4.500 3.3743 53.22 0.092168 0.37* Barclays Bank PLC 06747MSK3 06/03/19 12/03/21 100.000 VARIES 3.2739 9.41 0.016233 0.016499 5.44 Barclays Bank PLC 06747MSN7 05/30/19 05/25/22 100.000 0.000 2.9399 47.40 0.085284 0.086538 0.087810 31.02 12.64 Barclays Bank PLC 06747MSQ0 05/31/19 11/30/21 100.000 0.000 2.8300 45.59 0.081994 0.083155 27.19 Barclays Bank PLC 06747MSR8 06/05/19 11/30/21 100.000 0.000 2.8199 45.03 0.081658 0.082810 27.07 Barclays Bank PLC 06747MSS6 05/08/19 05/12/21 100.000 0.000 2.7899 46.72 0.080811 10.59 Barclays Bank PLC 06747MU46 06/03/19 06/02/22 100.000 0.000 2.8500 45.68 0.082593 0.083770 0.084963 30.01 12.83 Barclays Bank PLC 06747MUJ3 05/22/19 05/19/22 100.000 0.000 2.8499 46.58 0.082578 0.083755 0.084948 30.04 11.72 Barclays Bank PLC 06747MV78 05/29/19 05/27/21 100.000 0.000 2.7999 45.19 0.081076 11.84 Barclays Bank PLC 06747MVE3 05/22/19 05/20/22 100.000 0.000 2.8500 46.58 0.082585 0.083762 0.084956 30.04 11.81 Barclays Bank PLC 06747MVL7 05/29/19 05/29/29 100.000 VARIES 3.3999 54.07 0.093894 0.093301 0.092751 0.092272 0.091890 33.66 33.28 Barclays Bank PLC 06747MVV5 06/19/19 12/19/22 100.000 VARIES 3.3078 12.27 0.021956 0.021809 0.021660 0.022018 7.87 7.60 Barclays Bank PLC 06747MW85 06/28/19 06/28/24 100.000 0.000 3.0400 46.56 0.088354 0.089697 0.091061 0.092445 0.093850 32.06 33.04 Barclays Bank PLC 06747MWA0 06/28/19 06/30/23 100.000 0.000 2.9300 44.85 0.085034 0.086279 0.087543 0.088826 0.090127 30.84 31.75 Barclays Bank PLC 06747MWE2 07/03/19 06/30/22 100.000 0.000 2.8099 42.58 0.081371 0.082514 0.083674 29.50 14.98 Barclays Bank PLC 06747MWH5 07/03/19 03/31/23 100.000 0.000 2.8815 43.74 0.082937 0.084132 0.085344 0.086574 0.087821 30.29 31.17 Barclays Bank PLC 06747MXC5 06/28/19 06/30/22 100.000 0.000 2.8500 43.61 0.082611 0.083788 0.084982 29.95 15.21 Barclays Bank PLC 06747MXD3 07/03/19 06/30/21 100.000 0.000 2.7999 42.43 0.081070 14.51 Barclays Bank PLC 06747MXV3 06/28/19 06/29/22 100.000 0.000 2.8500 43.61 0.082605 0.083783 0.084976 29.95 15.13 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747MYJ9 06/28/19 12/27/24 100.000 0.000 3.1200 47.81 0.090778 0.092194 0.093633 0.095093 0.096577 32.95 33.98 Barclays Bank PLC 06747MYK6 06/28/19 12/27/24 100.000 0.000 3.1200 47.81 0.090778 0.092194 0.093633 0.095093 0.096577 32.95 33.98 Barclays Bank PLC 06747MYU4 07/03/19 07/03/24 100.000 0.000 2.9900 45.35 0.085557 0.086836 0.088134 0.089452 0.090789 31.49 32.44 Barclays Bank PLC 06747MYV2 06/28/19 06/30/25 100.000 0.000 3.2000 49.05 0.093240 0.094732 0.096247 0.097787 0.099352 33.84 34.93 Barclays Bank PLC 06747MZ74 06/19/19 06/17/21 100.000 0.000 2.7999 43.57 0.081076 13.46 Barclays Bank PLC 06747MZF6 07/02/19 07/01/21 100.000 0.000 2.7900 42.36 0.080782 14.54 Barclays Bank PLC 06747MZK5 06/14/19 06/15/23 100.000 0.000 2.9300 46.04 0.085025 0.086271 0.087535 0.088817 0.090118 30.87 31.78 Barclays Bank PLC 06747MZM1 06/28/19 12/28/21 100.000 VARIES 2.7624 5.19 0.009489 0.009620 3.41 Barclays Bank PLC 06747N2S2 07/26/19 07/31/24 100.000 0.000 2.9716 43.12 0.085044 0.086308 0.087590 0.088892 0.090213 31.23 32.16 Barclays Bank PLC 06747N2T0 07/26/19 07/31/24 100.000 0.000 2.9716 43.12 0.085044 0.086307 0.087590 0.088891 0.090212 31.23 32.16 Barclays Bank PLC 06747N2Y9 07/31/19 07/31/23 100.000 0.000 2.6600 38.23 0.075868 0.076877 0.077899 0.078936 0.079985 27.80 28.55 Barclays Bank PLC 06747N3E2 08/05/19 01/31/22 100.000 0.000 2.2325 31.71 0.063385 0.064093 0.064808 23.16 1.88 Barclays Bank PLC 06747N3J1 07/31/19 07/31/24 100.000 0.000 2.5801 37.07 0.073530 0.074478 0.075439 0.076412 0.077398 26.93 27.63 Barclays Bank PLC 06747N3K8 08/05/19 07/29/22 100.000 0.000 2.4099 34.26 0.068538 0.069364 0.070200 0.071046 25.07 14.75 Barclays Bank PLC 06747N3U6 08/05/19 04/28/23 100.000 0.000 2.4695 35.14 0.070702 0.071575 0.072459 0.073353 0.074259 25.72 26.36 Barclays Bank PLC 06747N5J9 07/31/19 07/31/25 100.000 0.000 2.4500 35.18 0.069734 0.070589 0.071453 0.072329 0.073215 25.52 26.15 Barclays Bank PLC 06747N5K6 08/05/19 07/31/24 100.000 0.000 2.5814 36.72 0.073543 0.074492 0.075453 0.076427 0.077414 26.93 27.63 Barclays Bank PLC 06747N5W0 07/10/19 07/09/21 100.000 0.000 2.8000 41.87 0.079964 0.081084 15.23 Barclays Bank PLC 06747N6Z2 08/02/19 02/02/23 100.000 VARIES 2.7752 6.06 0.011682 0.011463 0.011622 0.011783 0.011947 4.16 4.26 Barclays Bank PLC 06747NAC8 08/30/19 08/28/24 100.000 0.000 2.2800 30.77 0.064777 0.065516 0.066262 0.067018 0.067782 23.64 24.18 Barclays Bank PLC 06747NAD6 08/30/19 08/28/24 100.000 0.000 2.2800 30.77 0.064777 0.065516 0.066263 0.067018 0.067782 23.64 24.18 Barclays Bank PLC 06747NAQ7 08/30/19 08/30/24 100.000 0.000 2.2798 30.77 0.064781 0.065511 0.066266 0.067013 0.067785 23.63 24.18 Barclays Bank PLC 06747NB37 08/30/19 08/31/23 100.000 0.000 2.2000 29.68 0.062462 0.063142 0.063844 0.064538 0.065256 22.78 23.28 Barclays Bank PLC 06747NB45 08/30/19 08/30/24 100.000 0.000 2.2800 30.77 0.064787 0.065517 0.066273 0.067020 0.067792 23.64 24.18 Barclays Bank PLC 06747NB60 09/05/19 08/31/22 100.000 0.000 2.1619 28.85 0.061341 0.061997 0.062674 0.063344 22.36 15.10 Barclays Bank PLC 06747NBA1 09/05/19 02/28/22 100.000 0.000 2.1599 28.83 0.061274 0.061936 0.062605 22.34 3.57 Barclays Bank PLC 06747NCC6 09/05/19 09/05/24 100.000 0.000 2.3100 30.85 0.065658 0.066416 0.067183 0.067959 0.068744 23.95 24.51 Barclays Bank PLC 06747NDT8 08/21/19 03/08/22 100.000 0.000 2.1497 29.55 0.061065 0.061721 0.062385 22.25 4.18 Barclays Bank PLC 06747NEG5 09/05/19 03/03/22 100.000 0.000 2.1599 28.83 0.061294 0.061956 0.062625 22.34 3.88 Barclays Bank PLC 06747NEN0 09/27/19 03/25/25 100.000 0.000 2.5300 32.23 0.072057 0.072968 0.073891 0.074826 0.075772 26.28 26.95 Barclays Bank PLC 06747NEP5 09/27/19 09/25/24 100.000 0.000 2.4600 31.33 0.070015 0.070876 0.071747 0.072630 0.073523 25.53 26.16 Barclays Bank PLC 06747NG32 10/03/19 06/30/23 100.000 0.000 2.1595 27.10 0.061607 0.062272 0.062945 0.063624 0.064311 22.30 22.78 Barclays Bank PLC 06747NG99 10/03/19 09/30/22 100.000 0.000 2.1000 26.35 0.059554 0.060179 0.060811 0.061450 21.67 16.47 Barclays Bank PLC 06747NGC2 10/03/19 03/31/23 100.000 0.000 2.1416 26.88 0.060760 0.061411 0.062069 0.062733 0.063405 22.11 22.59 Barclays Bank PLC 06747NGJ7 10/03/19 10/03/24 100.000 0.000 2.2800 28.63 0.064785 0.065524 0.066271 0.067026 0.067790 23.59 24.13 Barclays Bank PLC 06747NGL2 09/18/19 09/18/24 100.000 0.000 2.5500 33.15 0.072651 0.073577 0.074515 0.075465 0.076428 26.51 27.19 Barclays Bank PLC 06747NHF4 10/03/19 10/05/26 100.000 0.000 2.4700 31.04 0.070326 0.071194 0.072073 0.072963 0.073865 25.62 26.26 Barclays Bank PLC 06747NHP2 10/23/19 10/21/22 100.000 0.000 2.3300 27.94 0.066230 0.067001 0.067782 0.068572 24.09 19.80 Barclays Bank PLC 06747NHT4 10/02/19 10/02/24 100.000 0.000 2.3500 29.59 0.066821 0.067606 0.068400 0.069204 0.070017 24.34 24.91 Barclays Bank PLC 06747NHX5 10/02/19 10/02/24 100.000 0.000 2.3500 29.59 0.066821 0.067606 0.068400 0.069204 0.070017 24.34 24.91 Barclays Bank PLC 06747NJG0 10/25/19 04/24/25 100.000 0.000 2.6100 31.18 0.074399 0.075370 0.076354 0.077350 0.078359 27.09 27.80 Barclays Bank PLC 06747NJH8 10/25/19 10/23/24 100.000 0.000 2.5400 30.34 0.072348 0.073267 0.074198 0.075140 0.076094 26.34 27.01 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747NK86 11/05/19 10/31/22 100.000 0.000 2.3021 26.82 0.065407 0.066160 0.066921 0.067692 23.77 20.15 Barclays Bank PLC 06747NKC7 11/05/19 10/31/22 100.000 0.000 2.3021 26.82 0.065408 0.066161 0.066923 0.067693 23.77 20.15 Barclays Bank PLC 06747NKX1 10/31/19 04/28/23 100.000 VARIES 2.4511 5.91 0.013491 0.013656 0.013823 0.013993 0.014164 4.91 5.03 Barclays Bank PLC 06747NKZ6 10/31/19 10/30/26 100.000 0.000 2.6300 31.05 0.074990 0.075976 0.076975 0.077987 0.079013 27.29 28.02 Barclays Bank PLC 06747NL28 10/31/19 10/31/23 100.000 0.000 2.3400 27.60 0.066530 0.067309 0.068096 0.068893 0.069699 24.19 24.76 Barclays Bank PLC 06747NL36 11/05/19 11/05/24 100.000 0.000 2.4900 29.03 0.070900 0.071783 0.072676 0.073581 0.074497 25.78 26.43 Barclays Bank PLC 06747NMK7 11/29/19 05/27/25 100.000 0.000 2.3900 26.22 0.067976 0.068788 0.069610 0.070442 0.071284 24.67 25.27 Barclays Bank PLC 06747NML5 11/29/19 11/27/24 100.000 0.000 2.4500 26.88 0.069723 0.070577 0.071442 0.072317 0.073203 25.31 25.94 Barclays Bank PLC 06747NMS0 11/01/19 10/04/21 100.000 0.000 2.1896 25.75 0.062060 0.062740 17.06 Barclays Bank PLC 06747NPD0 11/27/19 11/23/22 100.000 0.000 2.2100 24.36 0.062736 0.063430 0.064131 0.064839 22.76 20.78 Barclays Bank PLC 06747NPF5 11/29/19 11/30/26 100.000 0.000 2.6500 29.09 0.075580 0.076581 0.077596 0.078624 0.079666 27.45 28.18 Barclays Bank PLC 06747NPH1 11/29/19 11/30/23 100.000 0.000 2.3400 25.67 0.066533 0.067312 0.068099 0.068896 0.069702 24.14 24.71 Barclays Bank PLC 06747NPJ7 12/03/19 12/01/22 100.000 0.000 2.1600 23.43 0.061295 0.061957 0.062626 0.063302 22.23 20.79 Barclays Bank PLC 06747NPN8 12/03/19 12/01/22 100.000 0.000 2.1600 23.43 0.061295 0.061957 0.062626 0.063303 22.23 20.79 Barclays Bank PLC 06747NQV9 12/02/19 06/02/23 100.000 VARIES 2.3648 4.85 0.011965 0.012107 0.012250 0.012395 0.012541 4.34 4.44 Barclays Bank PLC 06747NRD8 12/04/19 12/05/22 100.000 0.000 2.2200 24.03 0.063047 0.063747 0.064454 0.065170 22.86 21.66 Barclays Bank PLC 06747NS88 12/02/19 12/01/22 100.000 0.000 2.2600 24.59 0.064200 0.064926 0.065659 0.066401 23.29 21.80 Barclays Bank PLC 06747NTB0 01/03/20 12/30/22 100.000 0.000 2.2000 22.00 0.062452 0.063139 0.063834 0.064536 22.61 23.04 Barclays Bank PLC 06747NTU8 12/30/19 06/25/25 100.000 0.000 2.5700 25.94 0.073208 0.074149 0.075102 0.076067 0.077044 26.54 27.22 Barclays Bank PLC 06747NTV6 12/30/19 12/26/24 100.000 0.000 2.4100 24.32 0.068548 0.069374 0.070210 0.071056 0.071913 24.83 25.44 Barclays Bank PLC 06747NU51 12/24/19 12/24/26 100.000 0.000 2.7900 28.65 0.079677 0.080789 0.081916 0.083058 0.084217 28.90 29.71 Barclays Bank PLC 06747NU69 12/24/19 12/22/23 100.000 0.000 2.4600 25.24 0.070015 0.070876 0.071748 0.072630 0.073523 25.38 26.00 Barclays Bank PLC 06747NU77 01/03/20 01/04/27 100.000 0.000 2.5300 25.32 0.071172 0.072072 0.072984 0.073907 0.074842 26.10 26.77 Barclays Bank PLC 06747NUS1 01/03/20 01/03/25 100.000 0.000 2.3200 23.20 0.065192 0.065948 0.066713 0.067487 0.068270 23.88 24.43 Barclays Bank PLC 06747NVN1 12/11/19 12/11/29 100.000 VARIES 2.4256 4.38 0.010799 0.010277 0.009749 0.009867 0.009987 3.77 3.54 Barclays Bank PLC 06747NWE0 01/02/20 01/02/25 100.000 0.000 2.4000 24.08 0.067466 0.068276 0.069095 0.069925 0.070764 24.73 25.32 Barclays Bank PLC 06747NXQ2 01/31/20 01/29/27 100.000 0.000 2.1400 19.77 0.060077 0.060720 0.061370 0.062026 0.062690 21.94 22.41 Barclays Bank PLC 06747NXS8 01/31/20 01/31/24 100.000 0.000 1.8800 17.36 0.052713 0.053209 0.053709 0.054214 0.054724 19.22 19.58 Barclays Bank PLC 06747NXT6 02/05/20 02/05/25 100.000 0.000 1.9400 17.64 0.054412 0.054940 0.055473 0.056011 0.056554 19.84 20.22 Barclays Bank PLC 06747NYF5 02/05/20 01/26/23 100.000 0.000 1.8499 16.82 0.051838 0.052318 0.052802 0.053290 0.053783 18.90 19.25 Barclays Bank PLC 06747NYG3 02/05/20 07/31/23 100.000 0.000 1.8715 17.02 0.052459 0.052950 0.053445 0.053945 0.054450 19.12 19.48 Barclays Bank PLC 06747NZE7 01/31/20 07/29/25 100.000 0.000 2.0100 18.57 0.056391 0.056958 0.057530 0.058108 0.058692 20.58 20.99 Barclays Bank PLC 06747NZF4 01/31/20 01/29/25 100.000 0.000 1.9400 17.92 0.054408 0.054936 0.055469 0.056007 0.056550 19.84 20.23 Barclays Bank PLC 06747P2Z1 01/23/20 01/20/23 100.000 0.000 2.1600 20.38 0.060637 0.061291 0.061953 0.062622 0.063299 22.16 22.64 Barclays Bank PLC 06747P4P1 02/11/20 02/11/25 100.000 0.000 1.9400 17.32 0.054412 0.054940 0.055473 0.056011 0.056554 19.83 20.22 Barclays Bank PLC 06747P7E3 02/28/20 08/26/25 100.000 0.000 1.6900 14.27 0.047337 0.047737 0.048140 0.048547 0.048957 17.21 17.51 Barclays Bank PLC 06747P7G8 02/28/20 02/26/25 100.000 0.000 1.6100 13.60 0.045078 0.045441 0.045807 0.046175 0.046547 16.38 16.65 Barclays Bank PLC 06747PAM1 03/04/20 03/03/23 100.000 0.000 1.4900 12.33 0.041695 0.042006 0.042319 0.042634 0.042952 15.14 15.37 Barclays Bank PLC 06747PAX7 03/04/20 08/31/23 100.000 0.000 1.5212 12.59 0.042570 0.042890 0.043220 0.043545 0.043880 15.46 15.70 Barclays Bank PLC 06747PB57 02/07/20 08/08/23 100.000 0.000 1.8700 16.90 0.052433 0.052923 0.053418 0.053917 0.054421 19.10 19.46 Barclays Bank PLC 06747PBH1 02/28/20 02/26/27 100.000 0.000 1.8200 15.38 0.051010 0.051475 0.051943 0.052416 0.052893 18.56 18.90 Barclays Bank PLC 06747PBJ7 02/28/20 02/28/25 100.000 0.000 1.6100 13.60 0.045083 0.045445 0.045811 0.046180 0.046552 16.38 16.65 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747PBK4 03/04/20 03/04/24 100.000 0.000 1.5201 12.58 0.042545 0.042868 0.043194 0.043522 0.043853 15.45 15.69 Barclays Bank PLC 06747PD89 02/27/20 02/26/24 100.000 0.000 1.6500 13.98 0.046209 0.046590 0.046975 0.047362 0.047753 16.80 17.08 Barclays Bank PLC 06747PET2 03/27/20 03/25/26 100.000 0.000 2.8100 21.49 0.079139 0.080251 0.081379 0.082522 0.083682 28.91 29.72 Barclays Bank PLC 06747PEU9 03/27/20 03/25/25 100.000 0.000 2.6800 20.49 0.075431 0.076442 0.077466 0.078504 0.079556 27.53 28.28 Barclays Bank PLC 06747PH36 04/03/20 03/31/23 100.000 0.000 3.4131 25.55 0.096400 0.098046 0.099719 0.101421 0.103151 35.30 36.52 Barclays Bank PLC 06747PHD4 03/31/20 03/31/26 100.000 0.000 3.8100 28.86 0.107849 0.109903 0.111997 0.114131 0.116305 39.57 41.10 Barclays Bank PLC 06747PHE2 03/31/20 03/31/27 100.000 0.000 3.7900 28.71 0.107273 0.109306 0.111377 0.113488 0.115639 39.36 40.86 Barclays Bank PLC 06747PHJ1 04/03/20 03/29/24 100.000 0.000 3.5299 26.43 0.099744 0.101505 0.103296 0.105119 0.106975 36.55 37.85 Barclays Bank PLC 06747PLM9 04/20/20 04/21/25 100.000 0.000 2.2700 15.88 0.063775 0.064499 0.065231 0.065971 0.066720 23.19 23.72 Barclays Bank PLC 06747PLN7 04/17/20 04/18/24 100.000 0.000 2.1600 15.29 0.060653 0.061308 0.061970 0.062639 0.063316 22.05 22.53 Barclays Bank PLC 06747PM97 04/08/20 04/08/27 100.000 0.000 3.7900 27.85 0.107273 0.109306 0.111377 0.113488 0.115638 39.32 40.83 Barclays Bank PLC 06747PN39 04/22/20 04/22/27 100.000 0.000 2.4000 16.66 0.067467 0.068276 0.069096 0.069925 0.070764 24.55 25.14 Barclays Bank PLC 06747PNC9 04/24/20 04/26/27 100.000 0.000 2.3700 16.31 0.066622 0.067411 0.068210 0.069018 0.069836 24.23 24.81 Barclays Bank PLC 06747PNU9 04/30/20 04/30/25 100.000 0.000 2.2800 15.31 0.064056 0.064786 0.065524 0.066271 0.067027 23.28 23.81 Barclays Bank PLC 06747PNV7 05/05/20 04/30/24 100.000 0.000 2.1000 13.80 0.058928 0.059547 0.060172 0.060804 0.061442 21.40 21.85 Barclays Bank PLC 06747PP52 04/22/20 04/22/27 100.000 0.000 2.4000 16.66 0.067467 0.068276 0.069095 0.069925 0.070764 24.55 25.14 Barclays Bank PLC 06747PPH6 04/28/20 04/28/25 100.000 0.000 2.2600 15.30 0.063487 0.064205 0.064930 0.065664 0.066406 23.08 23.60 Barclays Bank PLC 06747PPJ2 04/30/20 04/30/25 100.000 VARIES 2.4441 4.56 0.018676 0.018344 0.018008 0.017668 0.017884 6.62 6.41 Barclays Bank PLC 06747PQL6 05/19/20 05/19/23 100.000 VARIES 1.6262 4.58 0.020373 0.020041 0.020204 0.020369 0.020534 7.27 7.32 Barclays Bank PLC 06747PRH4 05/20/20 05/20/27 100.000 0.000 2.3700 14.58 0.066614 0.067403 0.068202 0.069010 0.069828 24.19 24.76 Barclays Bank PLC 06747PRK7 05/20/20 05/20/27* 100.000 0.000 2.3700 14.58 0.066615 0.067404 0.068203 21.53* Barclays Bank PLC 06747PSV2 06/03/20 06/01/23 100.000 0.000 1.5201 8.79 0.042542 0.042865 0.043191 0.043519 0.043850 15.39 15.63 Barclays Bank PLC 06747PUF4 05/22/20 05/23/22 100.000 0.000 1.8100 11.03 0.050735 0.051194 0.051657 18.38 7.34 Barclays Bank PLC 06747PUY3 05/28/20 05/28/25 100.000 0.000 2.2200 13.16 0.062351 0.063043 0.063743 0.064451 0.065166 22.62 23.12 Barclays Bank PLC 06747PWE5 06/30/20 06/30/27 100.000 0.000 2.0600 10.36 0.057812 0.058407 0.059009 0.059617 0.060231 20.92 21.35 Barclays Bank PLC 06747PWV7 06/30/20 06/30/25 100.000 0.000 1.7400 8.75 0.048755 0.049179 0.049607 0.050038 0.050474 17.63 17.94 Barclays Bank PLC 06747PWW5 07/06/20 06/28/24 100.000 0.000 1.3600 6.61 0.038023 0.038281 0.038542 0.038804 0.039068 13.74 13.92 Barclays Bank PLC 06747PXF1 06/30/20 06/30/27 100.000 0.000 2.0600 10.36 0.057812 0.058407 0.059009 20.92 0.12 Barclays Bank PLC 06747PYD5 07/06/20 07/06/23 100.000 0.000 1.2599 6.12 0.034996 0.035217 0.035439 0.035662 0.035887 12.72 12.88 Barclays Bank PLC 06747Q3Z8 07/31/20 07/30/27 100.000 0.000 1.8100 7.59 0.050278 0.050733 0.051192 0.051655 0.052123 18.32 18.65 Barclays Bank PLC 06747QA49 07/29/20 07/29/25 100.000 0.000 1.4600 6.16 0.040555 0.040852 0.041150 0.041450 0.041753 14.74 14.96 Barclays Bank PLC 06747QA56 07/29/20 07/29/27 100.000 0.000 1.8100 7.64 0.050278 0.050733 0.051192 0.051655 0.052123 18.32 18.65 Barclays Bank PLC 06747QDH7 08/26/20 08/26/27 100.000 0.000 1.5300 5.31 0.042500 0.042825 0.043153 0.043483 0.043815 15.44 15.68 Barclays Bank PLC 06747QDJ3 08/26/20 08/26/26 100.000 0.000 1.4200 4.93 0.039444 0.039724 0.040006 0.040290 0.040577 14.32 14.52 Barclays Bank PLC 06747QFK8 09/30/20 09/30/27 100.000 0.000 1.3300 3.36 0.036944 0.037190 0.037437 0.037686 0.037937 13.39 13.57 Barclays Bank PLC 06747QGU5 09/03/20 09/03/27 100.000 0.000 1.3000 4.26 0.036111 0.036346 0.036582 0.036820 0.037059 13.10 13.27 Barclays Bank PLC 06747QLW5 10/30/20 10/29/27 100.000 0.000 1.4500 2.46 0.040278 0.040568 0.040863 0.041159 0.041457 14.59 14.80 Barclays Bank PLC 06747QM87 11/04/20 10/31/23 100.000 0.000 0.6907 1.09 0.019186 0.019251 0.019317 0.019384 0.019451 6.93 6.97 Barclays Bank PLC 06747QQA8 11/30/20 11/30/27 100.000 0.000 1.4300 1.23 0.039722 0.040006 0.040292 0.040580 0.040871 14.37 14.58 Barclays Bank PLC 06747QSH1 12/29/20 12/29/27 100.000 0.000 1.4500 0.08 0.040278 0.040570 0.040864 0.041160 0.041459 14.55 14.77 Barclays Bank PLC 06747QVA2 01/29/21 01/31/28 100.000 0.000 1.4406 0.040016 0.040017 0.040306 0.040596 0.040888 13.33 14.65 Barclays Bank PLC 06747QVE4 01/27/21 01/27/28 100.000 0.000 1.4100 0.039167 0.039443 0.039721 0.040001 13.12 14.34 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747QVF1 01/27/21 06/26/26 100.000 0.000 1.2699 0.035276 0.035462 0.035687 0.035914 0.036142 11.82 12.89 Barclays Bank PLC 06747QYE1 01/29/21 01/31/41 100.000 VARIES 2.0890 0.058028 0.058031 0.054575 0.051083 0.047608 18.74 17.97 Barclays Bank PLC 06747RAA3 04/16/21 04/14/28 100.000 0.000 1.8600 0.051666 0.052142 0.052627 0.053116 13.21 18.93 Barclays Bank PLC 06747T259 07/06/21 07/06/28 100.000 0.000 1.7400 0.048333 0.048754 0.049178 8.46 17.62 Barclays Bank PLC 06747W518 08/04/21 08/03/28 100.000 0.000 1.6100 0.044722 0.045080 0.045443 6.57 16.27 Barclays Bank PLC 06748E2V4 02/24/21 02/25/28 100.000 0.000 1.6800 0.046669 0.047061 0.047456 0.047855 14.38 17.11 Barclays Bank PLC 06748E2W2 02/24/21 07/23/26 100.000 0.000 1.2999 0.036110 0.036304 0.036540 0.036777 11.12 13.19 Barclays Bank PLC 06748E4K6 02/26/21 02/28/28 100.000 0.000 1.7600 0.048889 0.048893 0.049324 0.049758 0.050196 14.97 17.94 Barclays Bank PLC 06748ECE1 03/24/21 03/23/28 100.000 0.000 1.8500 0.051389 0.051861 0.052341 0.052825 14.28 18.85 Barclays Bank PLC 06748ECG6 03/24/21 09/24/26 100.000 0.000 1.4700 0.040833 0.041133 0.041436 0.041740 11.34 14.92 Barclays Bank PLC 06748ED42 03/31/21 03/30/28 100.000 0.000 2.0000 0.055556 0.056111 0.056672 0.057239 15.11 20.40 Barclays Bank PLC 06748EGJ6 04/30/21 04/28/28 100.000 0.000 1.9100 0.053055 0.053556 0.054068 0.054584 12.82 19.44 Barclays Bank PLC 06748EGK3 05/05/21 05/05/26 100.000 0.000 1.3500 0.037500 0.037753 0.038008 0.038264 8.86 13.67 Barclays Bank PLC 06748EJ53 04/28/21 04/27/28 100.000 0.000 1.9000 0.052778 0.053276 0.053782 0.054293 12.86 19.34 Barclays Bank PLC 06748EJ61 04/28/21 10/28/26 100.000 0.000 1.5300 0.042500 0.042825 0.043153 0.043483 10.35 15.52 Barclays Bank PLC 06748ENX7 05/26/21 11/27/26 100.000 0.000 1.5200 0.042224 0.042545 0.042868 0.043194 9.09 15.40 Barclays Bank PLC 06748ENY5 05/26/21 05/25/28 100.000 0.000 1.9000 0.052778 0.053276 0.053782 0.054293 11.37 19.31 Barclays Bank PLC 06748EPG2 05/28/21 05/31/28 100.000 0.000 1.9300 0.053611 0.053617 0.054134 0.054656 0.055184 11.44 19.61 Barclays Bank PLC 06748EPH0 06/03/21 06/02/26 100.000 0.000 1.4100 0.039166 0.039441 0.039719 0.039999 8.15 14.27 Barclays Bank PLC 06748ESX2 06/03/21 06/03/36 100.000 VARIES 2.5612 0.071145 0.069833 0.068504 0.067158 14.76 24.83 Barclays Bank PLC 06748EU84 06/23/21 12/23/26 100.000 0.000 1.5600 0.043333 0.043671 0.044011 0.044355 8.15 15.79 Barclays Bank PLC 06748EU92 06/23/21 06/22/28 100.000 0.000 1.8700 0.051944 0.052427 0.052917 0.053412 9.77 18.97 Barclays Bank PLC 06748EUZ4 06/30/21 06/30/28 100.000 0.000 1.8500 0.051389 0.051864 0.052344 0.052828 9.30 18.76 Barclays Bank PLC 06748EVE0 07/06/21 06/30/26 100.000 0.000 1.3100 0.036388 0.036619 0.036859 0.037100 6.37 13.23 Barclays Bank PLC 06748W3B7 07/28/21 07/27/28 100.000 0.000 1.6500 0.045833 0.046209 0.046591 7.01 16.68 Barclays Bank PLC 06748W3C5 07/28/21 01/28/27 100.000 0.000 1.3700 0.038056 0.038316 0.038579 5.82 13.83 Barclays Bank PLC 06748W3D3 07/30/21 07/31/28 100.000 0.000 1.6500 0.045834 0.046212 0.046593 6.92 16.68 Barclays Bank PLC 06748W3L5 08/04/21 07/31/26 100.000 0.000 1.2107 0.033629 0.033828 0.034033 4.94 12.20 BellSouth 079867AS6 12/13/95 12/15/95 25.235 VARIES 6.8500 0.184758 0.184759 0.184760 0.184762 0.184763 66.51 66.51 BEMIS COMPANY INC 081437AQ8 06/13/19 09/15/26 95.210 3.100 3.8632 9.16 0.016852 0.017177 0.017509 0.017847 0.018192 6.19 6.44 BETHEL OHIO LOC SCH DIST 086851DA7 07/28/20 11/01/21 98.859 0.000 0.9138 3.84 0.025154 0.025269 7.57 BETHEL OHIO LOC SCH DIST 086851DB5 07/28/20 11/01/22 97.741 0.000 1.0142 4.22 0.027608 0.027748 0.027888 0.028030 9.98 8.39 BETHEL OHIO LOC SCH DIST 086851DC3 07/28/20 11/01/23 96.513 0.000 1.0921 4.48 0.029362 0.029522 0.029684 0.029846 0.030009 10.62 10.73 BETHEL OHIO LOC SCH DIST 086851DD1 07/28/20 11/01/24 94.579 0.000 1.3130 5.28 0.034612 0.034839 0.035068 0.035298 0.035530 12.53 12.69 BETHEL OHIO LOC SCH DIST 086851DE9 07/28/20 11/01/25 92.621 0.000 1.4630 5.77 0.037782 0.038058 0.038336 0.038617 0.038899 13.68 13.89 BIOMARIN PHARMACEUTICAL 09061GAH4 08/11/17 08/01/24 98.000 0.599 0.8955 9.57 0.007948 0.007984 0.008019 0.008055 0.008091 2.88 2.90 BLACKSTONE MORTGAGE TRUS 09257WAC4 03/27/18 03/15/23 98.500 4.750 5.0956 7.88 0.008466 0.008682 0.008903 0.009130 0.009362 3.13 3.29 BOFA Finance LLC 097097166 11/29/17 11/25/22 100.000 0.000 2.7075 86.64 0.081505 0.082608 0.083727 0.084860 29.62 27.33 BOFA Finance LLC 097098297 02/28/19 02/28/25 100.000 0.000 3.3423 62.98 0.097576 0.099207 0.100865 0.102550 0.104264 35.83 37.03 BOFA Finance LLC 097098479 03/12/19 03/12/21 100.000 0.000 2.7766 50.99 0.080386 5.71 BOFA Finance LLC 09709T5V9 07/29/21 07/29/36 100.000 VARIES 2.5499 0.070829 0.069785 0.068727 10.77 24.99 BOFA Finance LLC 09709T5W7 07/30/21 07/30/31 100.000 VARIES 2.1299 0.059165 0.058908 0.058648 8.93 21.18 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BOFA Finance LLC 09709T5X5 08/03/21 08/03/31 100.000 VARIES 2.1400 0.059443 0.059039 0.058630 8.80 21.21 BOFA Finance LLC 09709TED9 04/10/18 05/01/23 100.000 0.250 3.1425 88.45 0.093962 0.095329 0.096718 0.098129 0.099562 34.24 35.24 BOFA Finance LLC 09709TGH8 09/28/18 03/28/23 100.000 0.000 3.6451 85.04 0.108840 0.110824 0.112844 0.114900 0.116994 39.91 41.38 BOFA Finance LLC 09709TGZ8 06/20/19 06/18/24 100.000 0.000 2.5962 40.28 0.074951 0.075924 0.076910 0.077908 0.078919 27.18 27.89 BOFA Finance LLC 09709THH7 01/27/20 09/01/22 103.250 0.125 1.7700 17.02 0.051262 0.051685 0.052112 0.052542 18.63 12.58 BOFA Finance LLC 09709THJ3 01/30/20 01/30/35* 100.000 VARIES 3.1839 29.15 0.087638 0.086822 2.63* BOFA Finance LLC 09709TJL6 12/27/18 12/27/23 100.000 0.000 3.6325 75.09 0.108436 0.110405 0.112411 0.114452 0.116531 39.41 40.85 BOFA Finance LLC 09709TJM4 01/31/19 01/26/24 100.000 0.000 3.3706 66.28 0.098405 0.100064 0.101750 0.103465 0.105209 36.24 37.47 BOFA Finance LLC 09709TJS1 09/28/18 09/28/23 100.000 0.000 3.7178 86.79 0.111167 0.113233 0.115338 0.117482 0.119666 40.78 42.31 BOFA Finance LLC 09709TKK6 11/30/18 11/30/23 100.000 0.000 3.7226 80.01 0.111322 0.113394 0.115505 0.117654 0.119844 40.58 42.10 BOFA Finance LLC 09709TKV2 02/04/19 02/04/21 100.000 0.000 2.8401 55.31 0.082300 2.72 BOFA Finance LLC 09709TKW0 10/31/18 10/31/23 100.000 0.000 3.7689 84.42 0.112809 0.114935 0.117101 0.119308 0.121556 41.26 42.83 BOFA Finance LLC 09709TMV0 09/28/18 09/28/23 100.000 0.000 3.6449 85.04 0.108833 0.110816 0.112836 0.114892 0.116986 39.91 41.38 Bank of America Corp. 09709TNJ6 02/28/19 02/25/22 100.000 0.000 3.0213 56.81 0.087765 0.089090 0.090436 32.17 4.88 BOFA Finance LLC 09709TPF2 03/22/19 03/24/26 100.000 0.000 3.1229 56.58 0.090890 0.092309 0.093751 0.095215 0.096701 33.25 34.30 Bank of America Corp. 09709TPQ8 04/02/19 03/31/22 100.000 0.000 2.8493 50.70 0.082566 0.083742 0.084935 30.15 7.56 BOFA Finance LLC 09709TQE4 04/30/19 04/29/21 100.000 0.000 2.7200 46.16 0.078674 9.28 BOFA Finance LLC 09709TSJ1 05/28/19 05/26/22 100.000 0.000 2.7700 44.78 0.080173 0.081284 0.082409 29.14 11.95 BOFA Finance LLC 09709TSN2 05/28/19 05/26/22 100.000 0.000 2.7700 44.78 0.080174 0.081284 0.082410 29.14 11.95 BOFA Finance LLC 09709TSS1 05/28/19 05/26/22 100.000 0.000 2.7600 44.61 0.079872 0.080975 0.082092 29.03 11.90 BOFA Finance LLC 09709TSW2 05/28/19 05/26/22 100.000 0.000 2.7700 44.78 0.080174 0.081284 0.082410 29.14 11.95 BOFA Finance LLC 09709TTC5 08/30/19 03/02/23 100.000 0.000 2.0808 28.06 0.059015 0.059629 0.060249 0.060876 0.061509 21.50 21.95 BOFA Finance LLC 09709TTF8 08/30/19 03/04/21 100.000 0.000 1.9095 25.73 0.054071 3.41 BOFA Finance LLC 09709TTW1 07/31/19 01/31/23 100.000 0.000 2.2849 32.78 0.064928 0.065670 0.066420 0.067179 0.067946 23.73 24.28 BOFA Finance LLC 09709TUA7 07/31/19 01/31/24 100.000 0.000 2.3707 34.03 0.067423 0.068222 0.069031 0.069849 0.070677 24.66 25.25 BOFA Finance LLC 09709TUH2 09/30/19 06/30/21 100.000 0.000 1.7242 21.75 0.048933 8.76 BOFA Finance LLC 09709TVC2 09/18/19 09/16/22 100.000 0.000 2.2021 28.58 0.062516 0.063205 0.063901 0.064604 22.78 16.42 BOFA Finance LLC 09709TVP3 10/31/19 11/02/21 100.000 0.000 1.7400 20.48 0.049182 0.049609 14.88 BOFA Finance LLC 09709TWV9 11/27/19 11/25/22 100.000 0.000 1.9000 20.92 0.053780 0.054291 0.054806 0.055327 19.49 17.85 BOFA Finance LLC 09709TXD8 11/27/19 11/28/24 100.000 0.000 2.3000 25.35 0.065371 0.066122 0.066883 0.067652 0.068430 23.72 24.27 BOFA Finance LLC 09709TYU9 01/31/20 01/31/23 100.000 0.000 1.7000 15.69 0.047624 0.048028 0.048437 0.048848 0.049264 17.34 17.64 BOFA Finance LLC 09709TZV6 02/28/20 03/02/23 100.000 0.000 1.7400 14.70 0.048763 0.049187 0.049615 0.050047 0.050482 17.73 18.04 City of Boston, MA 100853GH7 11/04/09 09/15/24 89.556 6.050 7.2063 67.43 0.024198 0.025070 0.025973 0.026909 0.027878 9.06 9.72 BP CAPITAL MARKETS AMERI 10373QAL4 12/14/18 05/10/23 96.839 2.750 3.5309 14.09 0.019875 0.020226 0.020583 0.020947 0.021317 7.25 7.51 BP CAPITAL MARKETS AMERI 10373QAT7 12/14/18 05/04/26 95.741 3.119 3.7851 10.65 0.015055 0.015340 0.015630 0.015926 0.016227 5.50 5.71 BP CAPITAL MARKETS AMERI 10373QAU4 12/14/18 09/16/21 96.502 2.112 3.4532 25.69 0.036002 0.036624 9.29 BP CAPITAL MARKETS AMERI 10373QAV2 12/14/18 01/16/27 94.278 3.017 3.8468 12.87 0.017994 0.018340 0.018692 0.019052 0.019418 6.66 6.91 BP CAPITAL MARKETS AMERI 10373QAW0 12/14/18 11/28/23* 98.310 3.216 3.5913 6.63 0.009369 0.009537 0.009709 3.34* BP CAPITAL MARKETS AMERI 10373QAY6 12/14/18 04/14/24* 98.067 3.224 3.6258 6.99 0.009842 0.010021 0.010202 3.52* BP CAPITAL MARKETS AMERI 10373QAZ3 12/14/18 04/14/27 97.935 3.588 3.8804 4.48 0.006326 0.006449 0.006574 0.006701 0.006831 2.32 2.41 BP CAPITAL MARKETS AMERI 10373QBA7 12/14/18 09/19/22* 96.498 2.520 3.5213 18.49 0.025939 0.026396 5.03* BRAZOS TEX INDPT SCH DIS 106239FA9 03/23/21 02/15/23 99.058 0.000 0.5002 0.013763 0.013791 0.013825 0.013860 3.83 4.98 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BRENHAM TEX INDPT SCH DI 107133PG9 11/06/20 02/15/22 99.327 0.000 0.5303 0.80 0.014630 0.014652 0.014691 5.28 0.65 BRENHAM TEX INDPT SCH DI 107133PH7 11/06/20 02/15/23 98.422 0.000 0.7003 1.05 0.019146 0.019183 0.019250 0.019318 0.019385 6.91 6.96 BRENHAM TEX INDPT SCH DI 107133PJ3 11/06/20 02/15/24 96.943 0.000 0.9502 1.41 0.025587 0.025653 0.025775 0.025898 0.026021 9.25 9.33 BRENHAM TEX INDPT SCH DI 107133PK0 11/06/20 02/15/25 95.621 0.000 1.0501 1.53 0.027892 0.027973 0.028120 0.028267 0.028416 10.09 10.19 BRENHAM TEX INDPT SCH DI 107133PL8 11/06/20 02/15/26 93.491 0.000 1.2799 1.83 0.033239 0.033356 0.033569 0.033784 0.034000 12.03 12.18 BRENHAM TEX INDPT SCH DI 107133PM6 11/06/20 02/15/27 91.617 0.000 1.4001 1.96 0.035630 0.035767 0.036018 0.036270 0.036524 12.90 13.08 BRENHAM TEX INDPT SCH DI 107133PN4 11/06/20 02/15/28 88.094 0.000 1.7500 2.36 0.042823 0.043029 0.043405 0.043785 0.044168 15.53 15.80 BROOKHAVEN N Y LOC DEV C 113168BH0 10/29/20 10/01/25 98.910 4.500 4.7509 0.34 0.005531 0.005642 0.005776 0.005914 0.006054 2.03 2.13 BROOKS CNTY TEX INDPT SC 114385FR3 11/26/19 08/15/22 94.401 0.000 2.1295 22.22 0.056699 0.057303 0.057913 0.058530 20.69 13.08 BROOKS CNTY TEX INDPT SC 114385FS1 11/26/19 08/15/23 91.893 0.000 2.2856 23.23 0.059304 0.059982 0.060668 0.061361 0.062062 21.66 22.15 BRYAN OHIO CITY SCH DIST 117529EP8 02/27/20 01/01/22 96.506 0.000 1.9370 15.85 0.052778 0.053290 19.09 BRYAN OHIO CITY SCH DIST 117529EQ6 02/27/20 01/01/23 94.597 0.000 1.9619 15.74 0.052411 0.052925 0.053445 0.053969 18.96 19.33 BRYAN OHIO CITY SCH DIST 117529ER4 02/27/20 01/01/24 92.363 0.000 2.0769 16.27 0.054223 0.054786 0.055355 0.055930 19.62 20.03 Burea County SD #84, IL 121012AS7 06/04/10 12/01/21 104.162 VARIES 5.9681 0.166623 0.166208 54.91 Burea County SD #84, IL 121012AT5 06/04/10 12/01/22 104.788 VARIES 6.1676 0.173173 0.172731 0.172276 0.171806 62.24 56.77 Bureau County SD #502, I 121133CK6 10/10/13 12/01/23 100.125 VARIES 4.9874 0.138586 0.138579 0.138571 0.138563 0.138555 49.89 49.88 Bureau County, SD #205, 121133CL4 10/10/13 12/01/29 100.148 VARIES 5.8866 0.163669 0.163662 0.163656 0.163649 0.163642 58.92 58.91 BUREAU LEE & WHITESIDE C 121158BT5 06/13/18 12/01/21 101.945 4.000 3.3723 88.17 0.094249 0.093965 31.05 BUREAU LEE & WHITESIDE C 121158BU2 06/13/18 12/01/22 101.635 4.000 3.5768 93.42 0.100160 0.099964 0.099765 0.099562 36.01 32.89 BURLESON TEX INDPT SCH D 1214033Y3 07/01/20 08/01/22 97.135 0.000 1.4000 6.81 0.037819 0.038083 0.038350 0.038619 13.74 8.10 BURLESON TEX INDPT SCH D 1214033Z0 07/01/20 08/01/23 95.342 0.000 1.5529 7.41 0.041180 0.041499 0.041822 0.042146 0.042473 14.98 15.21 BURLESON TEX INDPT SCH D 1214034A4 07/01/20 08/01/24 92.838 0.000 1.8281 8.50 0.047216 0.047647 0.048083 0.048522 0.048966 17.21 17.52 BURLESON TEX INDPT SCH D 1214034B2 07/01/20 08/01/25 90.706 0.000 1.9281 8.76 0.048658 0.049127 0.049600 0.050078 0.050561 17.74 18.09 BURLESON TEX INDPT SCH D 1214034C0 07/01/20 08/01/26 87.833 0.000 2.1439 9.43 0.052400 0.052962 0.053529 0.054103 0.054683 19.13 19.55 BURLESON TEX INDPT SCH D 1214034D8 07/01/20 08/01/27 85.379 0.000 2.2439 9.59 0.053318 0.053916 0.054521 0.055133 0.055751 19.48 19.92 BURLESON TEX INDPT SCH D 1214034E6 07/01/20 08/01/28 82.817 0.000 2.3459 9.73 0.054073 0.054708 0.055349 0.055999 0.056655 19.77 20.24 BURLESON TEX INDPT SCH D 1214034F3 07/01/20 08/01/29 80.401 0.000 2.4159 9.73 0.054065 0.054719 0.055380 0.056048 0.056726 19.78 20.26 CBIZ, Inc. 124805AA0 05/30/06 06/01/26 100.000 VARIES 8.9994 0.655000 0.679676 0.705269 0.732015 0.759964 241.75 260.35 CBIZ, Inc. 124805AB8 05/30/06 06/01/26 100.000 VARIES 8.9994 0.655000 0.679676 0.705269 0.732015 0.759964 241.75 260.35 Canadian Imperial Bank 13605WUR0 12/27/19 02/03/22 100.000 0.000 2.2144 22.54 0.062329 0.063020 0.063717 22.77 2.04 Canadian Imperial Bank 13605WVN8 02/10/20 02/03/22 100.000 0.000 1.8706 16.75 0.052429 0.052919 0.053414 19.11 1.71 Canadian Imperial Bank 13607G302 05/02/19 04/28/23 100.000 0.000 2.9112 49.29 0.084424 0.085653 0.086899 0.088164 0.089448 30.77 31.67 CANUTILLO TEX INDPT SCH 138735YK5 07/29/20 02/15/27 89.327 0.000 1.7320 6.54 0.043010 0.043382 0.043758 0.044137 0.044519 15.65 15.92 CANUTILLO TEX INDPT SCH 138735YL3 07/29/20 02/15/28 86.749 0.000 1.8930 6.94 0.045655 0.046087 0.046523 0.046964 0.047408 16.63 16.95 CANUTILLO TEX INDPT SCH 138735YM1 07/29/20 02/15/29 84.413 0.000 1.9930 7.11 0.046773 0.047239 0.047709 0.048185 0.048665 17.05 17.39 CANUTILLO TEX INDPT SCH 138735YN9 07/29/20 02/15/30 81.977 0.000 2.0930 7.25 0.047705 0.048204 0.048709 0.049218 0.049733 17.40 17.77 CAREY OHIO EXMP VLG SCH 141771BR5 03/04/20 11/01/31 69.862 0.000 3.0999 17.99 0.061389 0.062340 0.063307 0.064288 0.065284 22.39 23.09 CAREY OHIO EXMP VLG SCH 141771BS3 03/04/20 11/01/32 67.325 0.000 3.1499 17.62 0.060133 0.061080 0.062042 0.063019 0.064011 21.93 22.63 CAREY OHIO EXMP VLG SCH 141771BT1 03/04/20 11/01/33 64.382 0.000 3.2499 17.39 0.059368 0.060333 0.061313 0.062310 0.063322 21.66 22.37 CAREY OHIO EXMP VLG SCH 141771BU8 03/04/20 11/01/34 61.892 0.000 3.2998 16.98 0.057968 0.058925 0.059897 0.060885 0.061890 21.16 21.86 CAREY OHIO EXMP VLG SCH 141771BV6 03/04/20 11/01/35 59.439 0.000 3.3499 16.55 0.056534 0.057481 0.058444 0.059422 0.060418 20.64 21.33 CAREY OHIO EXMP VLG SCH 141771BW4 03/04/20 11/01/36 57.028 0.000 3.3998 16.12 0.055068 0.056004 0.056956 0.057924 0.058909 20.11 20.80 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Carol Stream, IL 143735TV0 12/30/11 11/01/21 59.208 0.000 5.3993 364.57 0.142198 0.146037 43.35 Carol Stream, IL 143735TW8 12/30/11 11/01/22 54.964 0.000 5.5993 354.15 0.139272 0.143171 0.147180 0.151300 51.31 44.90 Carol Stream, IL 143735TX6 12/30/11 11/01/23 50.827 0.000 5.7993 342.27 0.135704 0.139639 0.143688 0.147854 0.152142 50.04 52.98 Carol Stream, IL 143735TY4 12/30/11 11/01/24 46.530 0.000 6.0492 330.55 0.132395 0.136399 0.140524 0.144775 0.149154 48.87 51.87 Carol Stream, IL 143735TZ1 12/30/11 11/01/25 42.963 0.000 6.1994 314.91 0.126903 0.130837 0.134892 0.139074 0.143384 46.87 49.82 Carol Stream, IL 143735UA4 12/30/11 11/01/26 39.556 0.000 6.3493 298.98 0.121212 0.125061 0.129031 0.133127 0.137353 44.80 47.69 Carol Stream, IL 143735UB2 12/30/11 11/01/27 36.593 0.000 6.4493 282.22 0.114880 0.118584 0.122408 0.126355 0.130430 42.48 45.26 Carol Stream, IL 143735UC0 12/30/11 11/01/28 33.512 0.000 6.5994 266.28 0.109048 0.112646 0.116363 0.120203 0.124169 40.34 43.05 Carol Stream, IL 143735UD8 12/30/11 11/01/29 30.868 0.000 6.6994 250.12 0.102841 0.106286 0.109846 0.113526 0.117328 38.06 40.66 Carol Stream, IL 143735UE6 12/30/11 11/01/30 28.377 0.000 6.7995 234.44 0.096780 0.100070 0.103472 0.106990 0.110627 35.83 38.31 Carol Stream, IL 143735UF3 12/30/11 11/01/31 26.288 0.000 6.8495 219.28 0.090702 0.093809 0.097021 0.100344 0.103781 33.59 35.93 Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29 100.000 VARIES 9.9395 1.686829 1.767473 1.852125 1.940983 2.034258 639.30 702.07 Champaign County, IL 158199BA6 11/04/15 12/01/23 124.115 VARIES N/A 0.116760 0.114779 0.112760 0.110702 0.218056 41.56 43.38 Champaign County, IL 158199BB4 11/04/15 12/01/26 98.267 VARIES 4.1631 0.112367 0.112220 0.112070 0.111916 0.111759 40.42 40.31 Cheniere Energy, Inc. 16411RAF6 11/28/14 05/28/21 100.000 0.000 N/A 0.181600 26.51 Cheniere Energy, Inc. 16411RAG4 03/09/15 03/15/45 80.000 4.250 5.6397 17.73 0.009827 0.009940 0.010389 3.67 3.88 Cheniere Energy, Inc. 16411RAH2 11/28/14 05/28/21 100.000 0.000 N/A 0.181600 26.51 CHESAPEAKE ENERGY CORP 165167DD6 12/19/19 01/01/25^ 94.912 11.500 12.9059 8.00 0.023680 0.025209 0.026835 0.028567 8.80^ 9.97 CHINA SPRING TEX INDPT S 169412RP0 07/22/20 08/15/33 71.045 0.000 2.6339 8.28 0.052067 0.052753 0.053448 0.054152 0.054865 19.06 19.56 CHINA SPRING TEX INDPT S 169412RQ8 07/22/20 08/15/34 68.731 0.000 2.6840 8.16 0.051330 0.052019 0.052717 0.053424 0.054141 18.79 19.30 Christian & Sangamon CNT 170592BH1 03/28/13 12/01/21 107.041 VARIES 3.3309 0.093354 0.092943 30.73 Christian & Sangamon CNT 170592BJ7 03/28/13 12/01/22 99.442 VARIES 3.5341 0.098013 0.098051 0.098090 0.098130 35.29 32.38 Christian & Sangamon CNT 170592BK4 03/28/13 12/01/23 99.390 VARIES 3.6841 0.102093 0.102131 0.102171 0.102211 0.102251 36.76 36.79 CHRISTIAN SHELBY & MONTG 170790DK2 06/06/17 12/01/21 101.259 3.000 2.6866 97.31 0.074857 0.074743 24.68 Citigroup Inc. 17298C2B3 09/30/15 09/29/22 100.000 0.000 3.0163 0.097309 0.098776 0.100266 0.101778 35.57 27.14 Citigroup Inc. 17298C2C1 09/30/15 09/29/22 100.000 0.000 3.0163 0.097309 0.098776 0.100266 0.101778 35.57 27.14 Citigroup Inc. 17298C2U1 11/03/15 05/04/21 100.000 0.250 2.7771 0.087528 10.77 Citigroup Inc. 17298C2Z0 10/30/15 11/01/22 100.000 0.000 2.9688 0.095568 0.096987 0.098427 0.099888 34.83 29.79 Citigroup Inc. 17298C3A4 10/30/15 11/01/22 100.000 0.000 2.9688 0.095568 0.096987 0.098427 0.099888 34.83 29.79 Citigroup Inc. 17298C3F3 10/28/15 10/28/25 100.000 VARIES 2.3916 0.008746 0.008851 0.008957 0.009064 0.009172 3.18 3.26 Citigroup Inc. 17298C3Z9 11/30/15 05/27/21 100.000 0.250 2.8050 0.088504 12.92 Citigroup Inc. 17298C4A3 11/30/15 11/30/22 100.000 0.000 3.0605 0.098957 0.100471 0.102009 0.103570 35.99 33.84 Citigroup Inc. 17298C4B1 11/30/15 11/30/22 100.000 0.000 3.0605 0.098957 0.100471 0.102009 0.103570 35.99 33.84 Citigroup Inc. 17298C4W5 12/31/15 01/05/23 100.000 0.000 3.1984 0.102527 0.104167 0.105833 0.107525 0.109245 37.79 39.00 Citigroup Inc. 17298C4Z8 12/28/15 06/25/21 100.000 0.250 2.8488 0.090081 15.67 Citigroup Inc. 17298C5L8 02/01/16 07/30/21 100.000 0.250 2.9080 151.71 0.091014 0.092237 19.24 Citigroup Inc. 17298C5U8 01/29/16 01/31/23 100.000 0.000 3.1492 166.38 0.100703 0.102288 0.103899 0.105535 0.107197 37.02 38.20 Citigroup Inc. 17298C6K9 01/29/16 01/29/26 100.000 VARIES 2.4179 24.00 0.013092 0.013250 0.013410 0.013572 0.013737 4.79 4.91 Citigroup Inc. 17298C6X1 02/29/16 03/01/23 100.000 0.000 2.8956 149.18 0.091548 0.092873 0.094218 0.095582 0.096965 33.52 34.49 Citigroup Inc. 17298C6Y9 02/29/16 08/27/21 100.000 0.250 2.7865 142.46 0.086727 0.087838 20.67 Citigroup Inc. 17298C6Z6 02/29/16 03/01/23 100.000 0.000 2.8956 149.18 0.091548 0.092873 0.094218 0.095582 0.096965 33.52 34.49 Citigroup Inc. 17298CAF5 05/15/15 05/15/30 100.000 VARIES 2.6421 0.009138 0.009259 0.009381 0.009505 0.009630 3.32 3.41 ----------------------------- ^ Issuer filed for bankruptcy on 6/28/2020. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 17298CAP3 05/28/15 05/26/22 100.000 0.000 3.0095 0.098506 0.099989 0.101493 35.83 14.72 Citigroup Inc. 17298CAQ1 05/28/15 05/26/22 100.000 0.000 3.0095 0.098506 0.099989 0.101493 35.83 14.72 Citigroup Inc. 17298CAR9 05/28/15 05/28/35 100.000 VARIES 4.3835 0.106452 0.108141 0.110396 0.112700 0.115055 38.76 40.31 Citigroup Inc. 17298CAT5 05/27/15 05/27/25 100.000 VARIES 2.5639 0.007131 0.007223 0.007315 0.007409 0.007504 2.59 2.66 Citigroup Inc. 17298CB56 04/04/16 10/05/21 100.000 0.250 2.6050 129.91 0.080446 0.081403 22.21 Citigroup Inc. 17298CB64 04/04/16 04/05/21 100.000 0.000 2.4511 122.48 0.075982 7.14 Citigroup Inc. 17298CBT4 06/30/15 06/30/22 100.000 0.000 3.2000 0.105847 0.107541 0.109261 38.41 19.56 Citigroup Inc. 17298CBV9 06/30/15 06/30/22 100.000 0.000 3.2000 0.105847 0.107541 0.109261 38.41 19.56 Citigroup Inc. 17298CDH8 09/02/15 03/04/21 100.000 0.300 1.6120 0.047827 3.01 Citigroup Inc. 17298CDJ4 08/31/15 08/31/22 100.000 0.000 3.1499 0.101731 0.101648 0.104961 0.104875 37.51 25.38 Citigroup Inc. 17298CDK1 08/31/15 08/31/22 100.000 0.000 3.1499 0.101731 0.101648 0.104961 0.104875 37.51 25.38 Citigroup Inc. 17298CDV7 10/02/15 04/01/21 100.000 0.250 2.6650 0.083516 7.52 Citigroup Inc. 17298CFQ6 12/01/17 12/01/27 100.000 VARIES 2.8600 13.64 0.010907 0.011063 0.011221 0.011381 0.011544 3.96 4.08 Citigroup Inc. 17298CFV5 01/22/18 01/22/28 100.000 VARIES 3.0673 11.68 0.009999 0.010152 0.010308 0.010466 0.010626 3.68 3.79 Citigroup Inc. 17298CGC6 08/16/18 08/16/28 100.000 VARIES 3.4666 6.66 0.006544 0.006660 0.006776 0.006896 0.007016 2.44 2.53 Citigroup Inc. 17298CGD4 09/26/18 09/26/28 100.000 VARIES 3.8142 6.39 0.006554 0.006679 0.006806 0.006936 0.007068 2.41 2.50 Citigroup Inc. 17298CGK8 11/20/18 11/20/23 100.000 VARIES 3.5118 7.26 0.008954 0.009112 0.009272 0.009434 0.009600 3.26 3.38 Citigroup Inc. 17298CGL6 11/28/18 11/28/28 100.000 VARIES 3.8162 13.39 0.016045 0.015291 0.014522 0.014799 0.015082 5.59 5.30 Citigroup Inc. 17298CGS1 03/29/19 03/29/29 100.000 VARIES 3.1121 9.72 0.013839 0.012913 0.013114 0.013318 0.013525 4.75 4.80 Citigroup Inc. 17298CGZ5 06/19/19 06/19/26 100.000 VARIES 2.5629 8.68 0.014775 0.014281 0.014464 0.014649 0.014837 5.23 5.24 Citigroup Inc. 17298CJ74 03/04/20 03/04/30 100.000 VARIES 1.9573 2.74 0.009020 0.008684 0.008345 0.008003 0.008081 3.11 2.91 Citigroup Inc. 17298CJ82 03/20/20 03/20/30 100.000 VARIES 2.2121 2.99 0.010350 0.009918 0.009480 0.009038 0.009138 3.56 3.30 Citigroup Inc. 1730T02B4 10/30/14 10/30/34 100.000 VARIES 4.5064 0.115030 0.116028 0.117049 0.118093 0.119161 41.71 42.45 Citigroup Inc. 1730T02D0 10/31/14 10/31/29 100.000 VARIES 4.0094 0.096144 0.096876 0.097623 0.098385 0.099163 34.83 35.38 Citigroup Inc. 1730T02P3 10/31/14 10/31/34 100.000 VARIES 4.7455 0.115802 0.115572 0.115336 0.115095 0.114848 41.62 41.45 Citigroup Inc. 1730T02V0 11/26/14 11/26/34 100.000 VARIES 4.2546 0.102624 0.104753 0.106927 0.109148 0.111416 37.48 39.05 Citigroup Funding, Inc. 1730T03J6 12/29/14 12/29/34 100.000 VARIES 4.3208 0.113954 0.114666 0.115394 0.116053 0.116726 41.15 41.66 Citigroup Inc. 1730T03V9 01/30/15 02/01/22 100.000 0.000 2.8404 0.092147 0.093455 0.094783 33.80 2.84 Citigroup Inc. 1730T03W7 01/30/15 01/30/35 100.000 VARIES 3.9694 0.108817 0.110943 0.113112 0.115324 0.117258 40.21 41.74 Citigroup Inc. 1730T03Z0 01/30/15 02/01/22 100.000 0.000 2.8404 0.092147 0.093455 0.094783 33.80 2.84 Citigroup Inc. 1730T04J5 02/26/15 02/28/22 100.000 0.000 2.2326 0.069693 0.069322 0.071258 25.56 4.13 Citigroup Inc. 1730T04L0 02/26/15 02/28/22 100.000 0.000 2.2326 0.069693 0.069322 0.071258 25.56 4.13 Citigroup Inc. 1730T05X3 03/30/15 03/30/22 100.000 0.000 2.9238 0.095273 0.096666 0.098079 34.80 8.73 Citigroup Inc. 1730T05Y1 03/30/15 03/30/22 100.000 0.000 2.9238 0.095273 0.096666 0.098079 34.80 8.73 Citigroup Inc. 1730T06D6 03/27/15 03/27/25 100.000 VARIES 3.1775 0.091141 0.090979 0.090769 0.090555 0.090252 32.75 32.59 Citigroup Inc. 1730T06L8 03/23/15 03/23/22 100.000 0.000 2.8171 0.091269 0.092554 0.093858 33.34 7.70 Citigroup Inc. 1730T06V6 04/29/15 04/28/22 100.000 0.000 2.7395 0.088375 0.089585 0.090812 32.19 10.63 Citigroup Inc. 1730T06X2 04/29/15 04/28/22 100.000 0.000 2.7395 0.088375 0.089585 0.090812 32.19 10.63 Citigroup Inc. 1730T07D5 04/27/15 04/27/25 100.000 VARIES 2.3818 0.065155 0.065262 0.065369 0.065478 0.065589 23.49 23.57 Citigroup Inc. 1730T07K9 04/30/15 04/30/35 100.000 VARIES 4.1098 0.101875 0.101654 0.101428 0.101198 0.101176 36.61 36.46 Citigroup Inc. 1730T0A58 10/22/13 10/22/33 100.000 VARIES 4.6765 0.104521 0.105429 0.106359 0.107848 0.109372 37.92 38.77 Citigroup Inc. 1730T0A82 11/15/13 11/15/28 100.000 VARIES 4.5367 0.108786 0.109731 0.110697 0.111880 0.113089 39.42 40.17 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 1730T0A90 10/30/13 10/30/33 100.000 VARIES 4.6216 0.108290 0.109292 0.110316 0.111675 0.113065 39.29 40.13 Citigroup Funding, Inc. 1730T0AK5 05/15/06 05/15/36 11.570 0.000 7.3200 215.51 0.066721 0.069163 0.071694 0.074318 0.077038 24.69 26.53 Citigroup Inc. 1730T0B99 11/14/13 11/14/23* 100.000 VARIES 4.0136 0.101571 4.77* Citigroup Funding, Inc. 1730T0BT5 02/14/07 02/14/37 100.000 VARIES 5.8404 0.157471 0.157558 0.157649 0.157742 0.157837 56.73 56.80 Citigroup Inc. 1730T0C23 11/12/13 11/12/33 100.000 VARIES 4.7621 0.109376 0.110182 0.111006 0.112373 0.113773 39.60 40.34 Citigroup Inc. 1730T0C56 11/26/13 11/26/33 100.000 VARIES 4.7711 0.112779 0.113838 0.114922 0.116263 0.117635 40.87 41.71 Citigroup Inc. 1730T0E88 01/29/14 01/29/29* 100.000 VARIES 4.3351 0.099813 2.79* Citigroup Inc. 1730T0E96 01/29/14 01/29/34 100.000 VARIES 4.6111 0.098941 0.099856 0.100792 0.101750 0.103267 36.06 36.83 Citigroup Inc. 1730T0G78 02/19/14 02/19/34 100.000 VARIES 4.7124 0.111777 0.113403 0.115067 0.116770 0.118724 40.97 42.21 Citigroup Funding, Inc. 1730T0GY9 04/28/09 04/28/24 100.000 VARIES 8.1832 0.214423 0.216054 0.217752 0.219520 0.221359 77.70 78.94 Citigroup Funding, Inc. 1730T0HN2 04/29/10 04/29/30 100.000 VARIES 5.9942 0.144128 0.145014 0.146133 0.147286 0.148474 52.17 52.96 Citigroup Funding, Inc. 1730T0KV0 11/19/10 11/19/30 100.000 VARIES 5.1246 0.132768 0.133141 0.133523 0.133915 0.134317 47.90 48.17 Citigroup Funding, Inc. 1730T0KZ1 11/09/10 11/09/30 100.000 VARIES 5.5699 0.132048 0.133300 0.134588 0.135911 0.137271 47.89 48.83 Citigroup Inc. 1730T0L31 03/28/14 03/28/34 100.000 VARIES 4.6422 0.109767 0.110783 0.111822 0.112886 0.114189 39.89 40.67 Citigroup Inc. 1730T0L64 03/12/14 03/12/34 100.000 VARIES 4.7152 0.103535 0.104426 0.105338 0.106271 0.107711 37.63 38.35 Citigroup Inc. 1730T0L72 03/28/14 03/28/21 100.000 VARIES 3.3141 0.092015 8.01 Citigroup Funding, Inc. 1730T0MA4 04/01/11 04/01/21 100.000 VARIES 5.0032 0.138961 12.51 Citigroup Funding, Inc. 1730T0ME6 04/26/11 04/26/21 100.000 VARIES 1.9785 0.019213 2.21 Citigroup Funding, Inc. 1730T0MR7 06/20/11 06/20/21 100.000 VARIES 4.6546 0.129263 21.85 Citigroup Inc. 1730T0N39 04/29/14 04/29/29* 100.000 VARIES 4.2731 0.102561 2.97* Citigroup Inc. 1730T0N62 04/29/14 04/29/34 100.000 VARIES 4.5423 0.104519 0.105450 0.106402 0.107376 0.108610 37.91 38.62 Citigroup Funding, Inc. 1730T0NM7 08/31/11 08/31/21 100.000 VARIES 2.3032 0.018661 0.018568 4.50 Citigroup Inc. 1730T0P78 05/30/14 05/30/29* 100.000 VARIES 4.1425 0.097453 5.55* Citigroup Inc. 1730T0P86 05/30/14 05/30/34 100.000 VARIES 4.4254 0.098350 0.099297 0.100265 0.101254 0.102704 35.64 36.35 Citigroup Inc. 1730T0R50 06/18/14 06/18/34 100.000 VARIES 4.4513 0.104849 0.106702 0.108596 0.110532 0.112941 38.13 39.50 Citigroup Inc. 1730T0R76 06/27/14 06/27/34 100.000 VARIES 4.4526 0.104716 0.105419 0.106137 0.106871 0.107912 37.83 38.35 Citigroup Inc. 1730T0RN1 02/27/13 02/27/28 100.000 VARIES 3.2574 0.076437 0.077151 0.077876 0.078614 0.079586 27.82 28.38 Citigroup Inc. 1730T0SM2 04/29/13 04/29/33 100.000 VARIES 3.4970 0.086239 0.087223 0.088225 0.089244 0.090307 31.35 32.07 Citigroup Inc. 1730T0SX8 04/22/13 04/22/23 100.000 VARIES 1.4141 0.007723 0.007778 0.007833 0.007888 0.007944 2.80 2.84 Citigroup Inc. 1730T0T58 06/27/14 06/27/34 100.000 VARIES 4.3618 0.104200 0.104163 0.104125 0.104087 0.104266 37.51 37.48 Citigroup Funding, Inc. 1730T0TK5 05/30/13 05/30/33 100.000 VARIES 4.1925 0.101515 0.103065 0.104646 0.106261 0.107943 36.92 38.07 Citigroup Inc. 1730T0TQ2 06/11/13 06/11/33 100.000 VARIES 4.2945 0.107476 0.108649 0.109847 0.111071 0.112387 38.95 39.82 Citigroup Inc. 1730T0TT6 06/28/13 06/28/33 100.000 VARIES 4.5398 0.112779 0.114511 0.116631 0.118799 0.121016 40.92 42.39 Citigroup Inc. 1730T0TZ2 06/27/13 06/27/33 100.000 VARIES 4.6405 0.117751 0.119077 0.120698 0.122356 0.124052 42.64 43.76 Citigroup Inc. 1730T0U49 07/31/14 07/31/34 100.000 VARIES 4.3417 0.106588 0.107328 0.108083 0.108855 0.109644 38.73 39.28 Citigroup Inc. 1730T0UB3 07/09/13 07/09/33 100.000 VARIES 4.7565 0.121926 0.123332 0.124771 0.126244 0.127752 44.64 45.70 Citigroup Inc. 1730T0UG2 07/09/13 07/09/28 100.000 VARIES 4.4999 0.112700 0.113680 0.114682 0.115867 0.117078 41.09 41.91 Citigroup Inc. 1730T0UK3 07/30/13 07/30/33 100.000 VARIES 4.8333 0.115376 0.116633 0.117921 0.119709 0.121540 42.15 43.32 Citigroup Inc. 1730T0VD8 09/18/13 09/18/33 100.000 VARIES 5.1093 0.122207 0.123750 0.125332 0.127278 0.129274 44.59 45.88 Citigroup Inc. 1730T0VK2 10/08/13 10/08/23* 100.000 VARIES 3.9667 0.101450 0.81* Citigroup Inc. 1730T0W21 08/28/14 08/28/34 100.000 VARIES 4.2433 0.109225 0.109871 0.110531 0.111205 0.111894 39.60 40.08 Citigroup Funding, Inc. 1730T0WR6 03/30/12 03/30/22 100.000 VARIES 3.8303 0.106900 0.106740 0.106570 38.43 9.48 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 1730T0Z28 10/07/14 10/07/21 100.000 1.000 3.1430 0.099554 0.100682 27.68 Citigroup Inc. 1730T0Z85 10/08/14 10/07/21 100.000 1.000 3.0942 205.02 0.097708 0.098790 27.16 Citigroup Funding, Inc. 1730T0ZJ1 11/27/12 11/27/22 100.000 VARIES 1.5729 0.017037 0.017171 0.017306 0.017442 6.17 5.67 Citigroup Inc. 1730T3AV5 08/31/15 08/31/35 100.000 VARIES 4.4143 0.103231 0.103417 0.107073 0.107280 0.111088 38.19 39.61 Citigroup Inc. 1730T3AW3 08/31/15 08/31/35 100.000 VARIES 4.4100 0.105023 0.104108 0.106662 0.105755 0.108374 38.37 38.98 Citigroup Inc. 1730T3AX1 09/30/15 09/30/35 100.000 VARIES 4.3723 0.101540 0.102366 0.103211 0.105122 0.107076 36.86 37.85 Citigroup Inc. 1730T3AY9 10/30/15 10/30/35 100.000 VARIES 4.3036 0.102207 0.103522 0.104865 0.107057 0.109297 37.19 38.42 Citigroup Inc. 1730T3AZ6 11/30/15 11/30/35 100.000 VARIES 4.3523 0.106161 0.107381 0.108628 0.110843 0.113107 38.51 39.64 Citigroup Inc. 17321F755 11/05/13 11/03/22 100.000 0.000 3.6500 0.130577 0.132960 0.135386 0.137857 47.72 41.33 Citigroup Inc. 17323P140 03/03/16 09/01/23 100.000 0.000 3.0322 156.40 0.096426 0.097888 0.099372 0.100878 0.102408 35.33 36.41 Citigroup Inc. 17323P249 02/03/16 08/03/23 100.000 0.000 2.9606 155.29 0.093868 0.095258 0.096668 0.098099 0.099551 34.46 35.48 Citigroup Inc. 17323P314 11/24/15 11/26/21 100.000 0.000 2.8522 0.091293 0.092595 29.90 Citigroup Inc. 17323P363 02/03/16 08/03/23 100.000 0.000 2.9606 155.29 0.093868 0.095258 0.096668 0.098099 0.099551 34.46 35.48 Citigroup Inc. 17323P496 01/05/16 07/06/23 100.000 0.000 3.1941 171.28 0.102334 0.103968 0.105629 0.107316 0.109030 37.71 38.93 Citigroup Inc. 17323Q643 10/05/15 04/04/23 100.000 0.000 3.1923 0.103879 0.105537 0.107222 0.108933 0.110672 37.99 39.21 Citigroup Inc. 17323Q692 09/18/15 03/20/23 100.000 0.000 3.1459 0.102164 0.103771 0.105404 0.107062 0.108746 37.40 38.58 Citigroup Global Markets 17324C2F2 04/29/16 10/29/21 100.000 0.250 N/A 129.00 0.081174 0.082148 24.37 Citigroup Global Markets 17324C2G0 04/29/16 10/29/21 100.000 0.250 2.6262 129.00 0.081173 0.082148 24.37 Citigroup Global Markets 17324C2J4 05/24/16 05/24/21 100.000 VARIES 2.5076 114.14 0.069408 9.93 Citigroup Global Markets 17324C2Z8 04/29/16 04/30/21 100.000 0.000 2.4478 120.40 0.075866 9.03 Citigroup Global Markets 17324C3D6 05/31/16 12/01/21 100.000 0.400 2.6323 126.41 0.080868 0.081786 26.85 Citigroup Global Markets 17324C3E4 05/27/16 05/27/21 100.000 0.000 2.5425 123.10 0.079128 11.55 Citigroup Global Markets 17324C3Y0 07/05/16 01/03/22 100.000 0.400 2.3787 111.11 0.071520 0.072238 0.072965 26.13 0.15 Citigroup Global Markets 17324C3Z7 07/05/16 07/02/21 100.000 0.000 2.2351 104.92 0.067845 0.068603 12.42 Citigroup Global Markets 17324C6L5 08/30/16 08/30/21 100.000 0.000 2.1695 98.20 0.064975 0.065321 15.72 Citigroup Global Markets 17324C6M3 08/02/16 02/02/22 100.000 0.300 2.3124 106.20 0.069618 0.070327 0.071044 25.40 2.20 Citigroup Global Markets 17324CA55 09/02/16 03/03/22 100.000 0.300 2.2650 101.89 0.068066 0.068743 0.069427 24.79 4.30 Citigroup Global Markets 17324CAQ9 09/30/16 03/31/22 100.000 0.250 2.2317 98.54 0.067102 0.067773 0.068452 24.40 6.09 Citigroup Global Markets 17324CBD7 11/02/16 05/03/22 100.000 0.250 2.4155 104.69 0.073165 0.073965 0.074774 26.58 9.12 Citigroup Global Markets 17324CBN5 11/02/16 11/02/21 100.000 0.000 2.3120 100.46 0.070406 0.071220 21.34 Citigroup Global Markets 17324CC53 11/28/16 05/26/22 100.000 0.250 2.7754 118.88 0.085259 0.086346 0.087448 30.97 12.68 Citigroup Global Markets 17324CCV6 12/13/16 12/13/46 100.000 VARIES 0.8469 19.07 0.013328 0.013385 0.013442 0.013432 0.013421 4.81 4.84 Citigroup Global Markets 17324CD29 12/28/16 06/27/22 100.000 0.500 3.0613 128.40 0.094223 0.095452 0.096701 34.15 17.02 Citigroup Global Markets 17324CDA1 12/30/16 01/02/24 100.000 0.000 3.3300 141.33 0.103854 0.105583 0.107341 0.109128 0.110945 38.32 39.61 Citigroup Global Markets 17324CDP8 01/30/17 07/28/22 100.000 0.500 3.0985 127.02 0.094257 0.095502 0.096767 0.098051 34.54 20.26 Citigroup Global Markets 17324CDY9 01/31/17 01/31/24 100.000 0.000 3.3783 140.33 0.105514 0.107297 0.109109 0.110952 0.112826 38.85 40.17 Citigroup Global Markets 17324CED4 02/16/17 02/16/27 100.000 VARIES 2.9107 18.82 0.012401 0.012581 0.012764 0.012950 0.013139 4.55 4.68 Citigroup Global Markets 17324CEW2 02/28/17 08/26/22 100.000 0.750 2.9987 119.50 0.090134 0.091173 0.092227 0.093298 32.90 21.87 Citigroup Global Markets 17324CFE1 03/10/17 03/10/27 100.000 VARIES 2.9100 15.34 0.010268 0.010418 0.010569 0.010723 0.010879 3.76 3.87 Citigroup Global Markets 17324CGS9 04/28/17 10/28/22 100.000 0.750 2.9296 111.51 0.087865 0.088847 0.089843 0.090854 31.93 26.87 Citigroup Global Markets 17324CHQ2 05/03/17 05/03/27 100.000 VARIES 2.7384 14.35 0.010204 0.010343 0.010485 0.010628 0.010774 3.71 3.82 Citigroup Global Markets 17324CHX7 05/31/17 05/31/22 100.000 0.000 2.7124 101.45 0.082795 0.083918 0.085056 30.08 12.67 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17324CHZ2 04/28/17 04/28/27 100.000 VARIES 2.7213 10.76 0.007766 0.007872 0.007979 0.008087 0.008197 2.83 2.91 Citigroup Global Markets 17324CJ64 04/28/17 04/28/27 100.000 VARIES 2.8252 17.93 0.012434 0.012610 0.012788 0.012969 0.013152 4.53 4.66 Citigroup Global Markets 17324CJF4 06/01/17 12/01/22 100.000 0.750 2.8210 104.40 0.084287 0.085182 0.086090 0.087010 30.56 28.58 Citigroup Global Markets 17324CJR8 06/30/17 12/30/22 100.000 0.600 2.7880 100.94 0.083629 0.084562 0.085509 0.086468 30.28 30.87 Citigroup Global Markets 17324CKB1 07/06/17 07/06/27 100.000 VARIES 2.8475 18.57 0.013320 0.013509 0.013702 0.013897 0.014095 4.90 5.04 Citigroup Global Markets 17324CKF2 07/03/17 07/01/22 100.000 0.000 2.7294 99.37 0.083350 0.084488 0.085641 30.21 15.42 Citigroup Global Markets 17324CKS4 07/28/17 01/30/23 100.000 0.500 2.8926 102.63 0.086344 0.087392 0.088455 0.089533 0.090627 31.59 32.37 Citigroup Global Markets 17324CKX3 08/01/17 08/01/22 100.000 0.000 2.7885 99.25 0.084168 0.085341 0.086531 0.087737 30.87 18.39 Citigroup Global Markets 17324CLA2 08/02/17 08/02/27 100.000 VARIES 2.7689 15.75 0.011547 0.011707 0.011869 0.012033 0.012200 4.23 4.35 Citigroup Global Markets 17324CLB0 09/01/17 03/03/23 100.000 0.500 2.7655 95.22 0.082233 0.083178 0.084136 0.085108 0.086092 30.00 30.69 Citigroup Global Markets 17324CLG9 09/01/17 09/01/22 100.000 0.000 2.6788 92.77 0.080594 0.081673 0.082767 0.083876 29.47 20.06 Citigroup Global Markets 17324CLR5 08/17/17 08/17/27 100.000 VARIES 2.6967 16.29 0.012107 0.012270 0.012436 0.012603 0.012773 4.43 4.55 Citigroup Global Markets 17324CLU8 08/25/17 08/25/29 100.000 VARIES 2.5876 8.45 0.006450 0.006533 0.006618 0.006703 0.006790 2.36 2.42 Citigroup Global Markets 17324CM86 09/29/17 09/29/22 100.000 0.000 2.7794 94.05 0.083871 0.085037 0.086218 0.087417 30.62 23.32 Citigroup Global Markets 17324CMJ2 09/21/17 09/21/27 100.000 VARIES 2.7273 15.88 0.012094 0.012259 0.012426 0.012595 0.012767 4.42 4.54 Citigroup Global Markets 17324CMP8 10/30/17 10/28/22 100.000 0.000 2.7828 91.57 0.083971 0.085139 0.086324 0.087525 30.59 25.85 Citigroup Global Markets 17324CMQ6 10/31/17 05/01/23 100.000 0.750 2.8328 92.35 0.083787 0.084679 0.085583 0.086501 0.087431 30.43 31.09 Citigroup Global Markets 17324CN28 10/12/17 10/12/22 100.000 0.000 2.8215 94.42 0.085247 0.086450 0.087669 0.088906 31.10 24.86 Citigroup Global Markets 17324CNA0 10/31/17 10/31/22 100.000 0.000 2.7777 91.39 0.083817 0.084981 0.086161 0.087358 30.53 25.98 Citigroup Global Markets 17324CNH5 12/04/17 12/02/22 100.000 0.000 2.8697 91.59 0.086815 0.088061 0.089324 0.090606 31.55 29.80 Citigroup Global Markets 17324CNJ1 12/04/17 06/02/23 100.000 0.750 2.9364 92.90 0.087105 0.088078 0.089065 0.090067 0.091084 31.59 32.30 Citigroup Global Markets 17324CPJ9 12/26/17 12/23/22 100.000 0.000 2.9644 92.75 0.089923 0.091256 0.092608 0.093981 32.63 32.85 Citigroup Global Markets 17324CQ74 12/20/17 06/21/23 100.000 0.000 2.9374 92.40 0.089061 0.090369 0.091696 0.093043 0.094409 32.32 33.28 Citigroup Global Markets 17324CQ90 01/30/18 01/30/23 100.000 0.000 3.1864 96.70 0.095790 0.097316 0.098867 0.100442 0.102042 35.22 36.36 Citigroup Global Markets 17324CYD2 08/31/18 09/02/21 100.000 0.000 3.4364 82.89 0.102207 0.103963 24.95 Citigroup Global Markets 17324CYX8 08/31/18 08/31/21 100.000 VARIES 3.0075 15.50 0.018652 0.018789 4.50 Citigroup Global Markets 17324CZZ2 08/31/17 02/28/23 100.000 0.000 2.7931 96.98 0.084304 0.085482 0.086676 0.087886 0.089113 30.85 31.72 Citigroup Global Markets 17324P156 05/05/16 11/03/23 100.000 0.000 2.9324 145.17 0.092841 0.094202 0.095583 0.096985 0.098407 33.83 34.83 Citigroup Global Markets 17324P248 06/03/16 12/05/23 100.000 0.000 2.8709 139.40 0.090678 0.091979 0.093300 0.094639 0.095997 32.95 33.90 Citigroup Global Markets 17324P396 08/03/16 02/05/24 100.000 0.000 2.5904 120.24 0.079771 0.080804 0.081851 0.082911 0.083985 29.21 29.97 Citigroup Global Markets 17324P784 10/05/16 04/03/24 100.000 0.000 2.6555 118.34 0.081959 0.083048 0.084150 0.085268 0.086400 29.89 30.69 Citigroup Global Markets 17325E242 01/05/17 07/03/24 100.000 0.000 3.3441 141.44 0.104307 0.106051 0.107825 0.109627 0.111460 38.49 39.79 Citigroup Global Market 17325E275 03/03/17 03/03/22 100.000 0.000 3.0465 122.72 0.094070 0.095503 0.096958 34.46 6.01 Citigroup Global Markets 17325E408 03/01/17 03/01/22 100.000 0.000 2.8923 116.39 0.088837 0.090122 0.091425 32.52 5.49 Citigroup Global Markets 17325E804 04/12/17 12/12/24 100.000 0.000 3.3138 130.08 0.103841 0.105561 0.107310 0.109088 0.110896 37.76 39.02 Citigroup Global Markets 17325K156 05/24/17 05/24/22 100.000 0.000 2.7177 102.15 0.082970 0.084098 0.085241 30.16 12.19 Citigroup Global Markets 17325K263 07/06/17 01/03/24 100.000 0.000 3.1136 113.73 0.094865 0.096342 0.097842 0.099365 0.100912 34.95 36.04 Citigroup Global Markets 17325K511 09/14/17 09/15/22 100.000 0.000 2.7285 93.50 0.082218 0.083339 0.084476 0.085629 30.04 21.66 Citigroup Global Markets 17325K776 08/03/17 02/05/24 100.000 0.000 3.0276 107.96 0.092048 0.093441 0.094855 0.096291 0.097749 33.80 34.83 Citigroup Global Markets 17325K792 09/14/17 09/14/23 100.000 0.000 2.8890 99.22 0.087463 0.088726 0.090008 0.091308 0.092627 31.99 32.92 Citigroup Global Markets 17326E365 12/06/17 12/06/22 100.000 0.000 2.9046 92.56 0.087975 0.089253 0.090549 0.091864 31.97 30.57 Citigroup Global Markets 17326E530 01/03/18 01/04/23 100.000 0.000 2.9118 90.42 0.086951 0.088217 0.089501 0.090805 0.092127 31.98 32.92 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17326W134 02/05/19 02/03/21 100.000 0.000 3.4498 67.37 0.100854 3.23 Citigroup Global Markets 17326W274 02/05/19 09/06/22 100.000 0.000 3.6717 71.86 0.108054 0.110038 0.112058 0.114115 39.72 27.82 Citigroup Global Markets 17326W282 03/05/19 03/04/26 100.000 0.000 3.7445 69.98 0.109956 0.112014 0.114112 0.116248 0.118425 40.44 41.97 Citigroup Global Markets 17326W423 02/21/19 08/18/22 100.000 0.000 3.2955 62.75 0.096115 0.097699 0.099309 0.100945 35.31 22.84 Citigroup Global Markets 17326W696 06/05/19 06/03/22 100.000 0.000 2.6587 42.41 0.076825 0.077846 0.078881 27.90 11.99 Citigroup Global Markets 17326W779 03/05/19 11/02/22 100.000 0.000 3.4589 64.55 0.101705 0.103464 0.105253 0.107073 37.14 32.01 Citigroup Global Markets 17326W795 03/05/19 03/03/21 100.000 0.000 3.0964 57.62 0.090052 5.58 Citigroup Global Markets 17326X595 11/15/18 11/14/23 100.000 0.000 4.0525 89.16 0.121961 0.124432 0.126953 0.129526 0.132150 44.59 46.41 Citigroup Global Markets 17326X819 01/04/19 01/05/26 100.000 0.000 4.1130 84.47 0.121458 0.123956 0.126505 0.129107 0.131762 45.06 46.94 Citigroup Global Markets 17326Y2M7 03/05/19 03/03/22 100.000 0.000 3.2140 59.85 0.093634 0.095138 0.096667 34.34 5.99 Citigroup Global Markets 17326Y2P0 11/02/18 11/04/21 100.000 0.000 3.6919 82.42 0.110359 0.112396 33.81 Citigroup Global Markets 17326Y2U9 02/25/19 02/25/21 100.000 0.000 3.0879 58.35 0.089810 4.85 Citigroup Global Markets 17326Y3D6 01/30/19 01/27/21 100.000 0.000 3.3884 66.64 0.098959 2.57 Citigroup Global Markets 17326Y3H7 06/04/19 06/03/22 100.000 0.000 2.7045 43.23 0.078208 0.079265 0.080337 28.40 12.21 Citigroup Global Markets 17326Y4G8 04/26/19 04/27/29 100.000 2.000 3.7071 63.22 0.106765 0.106685 0.108662 0.108617 0.110630 38.53 39.23 Citigroup Global Markets 17326Y4M5 07/03/19 07/01/22 100.000 0.000 2.4527 37.10 0.070657 0.071524 0.072401 25.59 13.03 Citigroup Global Markets 17326Y5J1 03/20/19 03/18/21 100.000 0.000 2.5319 45.84 0.073026 5.62 Citigroup Global Markets 17326Y5K8 06/14/19 12/15/22 100.000 0.000 2.5783 40.44 0.074430 0.075389 0.076361 0.077346 27.00 26.45 Citigroup Global Markets 17326Y5W2 05/31/19 06/02/22 100.000 0.000 2.8420 45.79 0.082371 0.083542 0.084729 29.93 12.79 Citigroup Global Markets 17326Y5Z5 09/28/18 09/30/21 100.000 0.000 3.5957 83.85 0.107280 0.109209 29.21 Citigroup Global Markets 17326Y6Q4 06/28/19 06/28/24* 100.000 0.000 2.5844 39.49 0.074609 0.075573 13.36* Citigroup Global Markets 17326YAH9 07/03/19 07/03/24 100.000 0.000 2.5848 39.13 0.073668 0.074620 0.075584 0.076561 0.077550 27.03 27.74 Citigroup Global Markets 17326YAR7 06/05/19 06/03/22 100.000 0.000 2.6588 42.41 0.076830 0.077851 0.078886 27.90 11.99 Citigroup Global Markets 17326YB62 02/20/19 02/17/22 100.000 0.000 3.2683 62.32 0.095284 0.096841 0.098423 35.00 4.53 Citigroup Global Markets 17326YCA2 04/26/19 04/26/29 100.000 VARIES 3.0551 8.66 0.012854 0.012011 0.012195 0.012381 0.012570 4.43 4.45 Citigroup Global Markets 17326YDF0 05/10/19 05/12/22 100.000 0.000 2.9343 49.01 0.085164 0.086414 0.087681 31.01 11.49 Citigroup Global Markets 17326YDZ6 03/13/19 03/11/21 100.000 0.000 3.0633 56.28 0.089046 6.23 Citigroup Global Markets 17326YF68 03/29/19 03/28/24 100.000 0.000 3.1838 57.05 0.092723 0.094199 0.095698 0.097222 0.098770 33.92 35.01 Citigroup Global Markets 17326YFF8 05/03/19 05/05/22 100.000 0.000 2.9032 49.07 0.084222 0.085444 0.086685 30.68 10.75 Citigroup Global Markets 17326YFG6 02/28/19 03/01/22 100.000 VARIES 2.5400 47.10 0.071635 0.072030 0.072944 26.02 4.38 Citigroup Global Markets 17326YFJ0 06/28/19 12/31/24 100.000 0.000 2.6784 40.95 0.077442 0.078479 0.079530 0.080595 0.081674 28.07 28.82 Citigroup Global Markets 17326YFK7 04/03/19 04/01/22 100.000 0.000 2.9546 52.53 0.085750 0.087016 0.088302 31.33 7.95 Citigroup Global Markets 17326YFQ4 04/30/19 10/30/24 100.000 0.000 3.2236 54.87 0.093943 0.095458 0.096996 0.098560 0.100148 34.28 35.39 Citigroup Global Markets 17326YG34 06/28/19 06/30/22 100.000 0.000 2.3796 36.33 0.068496 0.069311 0.070136 24.81 12.55 Citigroup Global Markets 17326YGW0 03/29/19 03/30/22 100.000 0.000 2.9164 52.17 0.084615 0.085849 0.087101 30.91 7.75 Citigroup Global Markets 17326YJF4 02/28/19 03/02/22 100.000 0.000 3.3909 63.92 0.099102 0.100782 0.102491 36.38 6.25 Citigroup Global Markets 17326YJM9 03/05/19 03/04/21 100.000 0.000 3.0869 57.44 0.089773 5.66 Citigroup Global Markets 17326YK96 03/29/19 03/31/22 100.000 0.000 2.9227 52.29 0.084805 0.086045 0.087302 30.98 7.77 Citigroup Global Markets 17326YL20 10/31/18 10/29/21 100.000 0.000 3.1711 70.67 0.093797 0.095285 28.22 Citigroup Global Markets 17326YLG9 11/16/18 11/18/21 100.000 0.000 3.6795 80.59 0.109963 0.111986 35.22 Citigroup Global Markets 17326YLJ3 09/12/18 09/10/21 100.000 0.000 3.4831 82.80 0.103650 0.105455 26.13 Citigroup Global Markets 17326YLW4 12/11/18 12/11/25 100.000 VARIES 3.4423 10.49 0.012725 0.012944 0.013167 0.013394 0.013624 4.63 4.79 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17326YMA1 09/28/18 09/30/21 100.000 0.000 3.5948 83.83 0.107252 0.109180 29.20 Citigroup Global Markets 17326YML7 02/05/19 02/04/21 100.000 0.000 3.1450 61.29 0.091539 3.02 Citigroup Global Markets 17326YNA0 03/04/19 03/03/22 100.000 0.000 3.2230 60.12 0.093917 0.095430 0.096968 34.44 6.01 Citigroup Global Markets 17326YNG7 03/29/19 03/31/21 100.000 0.000 2.5320 45.18 0.073043 6.50 Citigroup Global Markets 17326YNS1 03/29/19 04/01/24 100.000 0.500 3.2003 57.24 0.092799 0.093840 0.095341 0.096422 0.097965 33.82 34.75 Citigroup Global Markets 17326YNT9 03/29/19 04/01/24 100.000 0.000 3.2016 57.38 0.093288 0.094782 0.096299 0.097840 0.099407 34.12 35.22 Citigroup Global Markets 17326YP83 02/28/19 03/02/22 100.000 0.000 3.3909 63.92 0.099102 0.100782 0.102491 36.38 6.25 Citigroup Global Markets 17326YQE9 03/01/19 03/02/21 100.000 0.000 3.0810 57.68 0.089607 5.47 Citigroup Global Markets 17326YQL3 04/15/19 04/14/22 100.000 0.000 3.0130 52.53 0.087528 0.088846 0.090185 31.95 9.29 Citigroup Global Markets 17326YRY4 12/26/18 12/23/21 100.000 0.000 3.5858 74.21 0.106911 0.108828 37.98 Citigroup Global Markets 17326YS49 11/15/18 11/12/21 100.000 0.000 3.7806 82.99 0.113151 0.115290 35.58 Citigroup Global Markets 17326YS72 04/23/19 04/21/22 100.000 0.000 3.0064 51.72 0.087320 0.088632 0.089964 31.86 9.90 Citigroup Global Markets 17326YS98 03/29/19 03/31/22 100.000 0.000 2.9227 52.29 0.084805 0.086045 0.087302 30.98 7.77 Citigroup Global Markets 17326YSN7 02/28/19 03/04/24 100.000 0.000 3.5717 67.41 0.104688 0.106558 0.108461 0.110398 0.112370 38.47 39.85 Citigroup Global Markets 17326YTV8 09/25/18 09/25/23 100.000 1.000 3.1087 71.97 0.090094 0.091495 0.092053 0.093484 0.094074 32.87 33.59 Citigroup Global Markets 17326YU95 03/13/19 03/13/26 100.000 0.000 3.6227 66.80 0.106200 0.108123 0.110082 0.112076 0.114106 39.00 40.42 Citigroup Global Markets 17326YVM5 01/31/19 02/02/22 100.000 0.000 3.5319 69.53 0.103417 0.105244 0.107102 38.11 3.32 Citigroup Global Markets 17326YW51 05/31/19 06/03/22 100.000 0.000 2.6953 43.39 0.077954 0.079004 0.080069 28.31 12.17 Citigroup Global Markets 17326YWM4 07/02/19 01/03/23 100.000 0.000 2.5315 38.38 0.072115 0.073027 0.073952 0.074888 0.075836 26.45 27.13 Citigroup Global Markets 17326YX43 05/22/19 05/20/22 100.000 0.000 2.8898 47.25 0.083790 0.085001 0.086229 30.48 11.99 Citigroup Global Markets 17326YX84 04/23/19 04/22/21 100.000 0.000 2.9226 50.25 0.084789 9.41 Citigroup Global Markets 17326YXC5 01/31/19 02/02/22 100.000 0.000 3.5319 69.53 0.103417 0.105244 0.107102 38.11 3.32 Citigroup Global Markets 17326YXR2 04/30/19 04/28/22 100.000 0.000 2.9308 49.80 0.085030 0.086276 0.087540 30.99 10.24 Citigroup Global Markets 17326YY59 03/01/19 03/03/25 100.000 1.000 3.5616 66.60 0.103328 0.104179 0.106034 0.106933 0.108837 37.67 38.66 Citigroup Global Markets 17326YY67 05/23/19 05/25/22 100.000 0.000 2.8574 46.62 0.082836 0.084019 0.085219 30.12 12.27 Citigroup Global Markets 17326YYH3 05/31/19 12/04/24 100.000 0.000 3.1681 51.14 0.092283 0.093745 0.095230 0.096738 0.098271 33.56 34.64 Citigroup Global Markets 17326YYM2 11/15/18 11/15/21 100.000 0.000 3.7481 82.25 0.112140 0.114242 35.59 Citigroup Global Markets 17326YYQ3 10/18/18 10/18/22 100.000 VARIES 3.0322 66.30 0.082555 0.083232 0.083701 0.084010 29.93 24.08 Citigroup Global Markets 17326YYU4 11/30/18 12/02/21 100.000 0.000 3.7678 81.01 0.112796 0.114921 37.72 Citigroup Global Markets 17326YYZ3 05/03/19 05/05/21 100.000 0.000 2.8327 47.86 0.082089 10.18 Citigroup Global Markets 17326YZF6 04/30/19 04/28/22 100.000 0.000 2.9308 49.80 0.085030 0.086276 0.087540 30.99 10.24 Citigroup Global Markets 17326YZM1 02/15/19 02/16/21 100.000 0.000 2.6213 50.14 0.075721 3.41 Citigroup Global Markets 17327P526 08/05/19 08/03/22 100.000 0.000 2.9111 41.48 0.083222 0.084434 0.085663 0.086909 30.54 18.38 Citigroup Global Markets 17327T2G0 12/24/19 12/22/22 100.000 0.000 2.1806 22.36 0.061892 0.062566 0.063249 0.063938 22.41 22.32 Citigroup Global Markets 17327T3H7 12/17/19 12/15/22 100.000 0.000 2.2284 23.30 0.063278 0.063983 0.064696 0.065417 22.93 22.39 Citigroup Global Markets 17327T3N4 02/28/20 05/31/23 100.000 0.000 1.8421 15.57 0.051885 0.052363 0.052845 0.053332 0.053823 18.79 19.14 Citigroup Global Markets 17327T3P9 02/05/20 02/03/23 100.000 0.000 2.1859 19.89 0.061377 0.062048 0.062726 0.063411 0.064104 22.42 22.91 Citigroup Global Markets 17327T3Q7 02/28/20 05/31/23 100.000 0.000 1.8421 15.57 0.051885 0.052363 0.052845 0.053332 0.053823 18.79 19.14 Citigroup Global Markets 17327T4W3 12/24/19 12/24/24 100.000 0.000 2.4008 24.63 0.068299 0.069119 0.069949 0.070789 0.071638 24.75 25.34 Citigroup Global Markets 17327T6F8 03/02/20 08/31/23 100.000 0.000 2.1027 17.54 0.059015 0.059629 0.060263 0.060889 0.061537 21.51 21.96 Citigroup Global Markets 17327T6P6 03/04/20 08/31/23 100.000 0.000 1.7725 14.67 0.049662 0.050097 0.050546 0.050989 0.051446 18.06 18.39 Citigroup Global Markets 17327TA55 03/02/20 08/29/25 100.000 0.000 2.1805 18.19 0.061218 0.061882 0.062560 0.063238 0.063931 22.32 22.81 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17327TCN4 08/29/19 11/03/21 100.000 0.000 2.1349 28.87 0.060805 0.061454 18.48 Citigroup Global Markets 17327TCX2 08/05/19 08/04/22 100.000 0.000 2.9115 41.48 0.083239 0.084451 0.085680 0.086927 30.54 18.47 Citigroup Global Markets 17327TDB9 08/07/19 08/05/22 100.000 0.000 2.1339 30.17 0.060540 0.061186 0.061839 0.062499 22.10 13.35 Citigroup Global Markets 17327TET9 12/02/19 12/02/24 100.000 0.000 2.4449 26.62 0.069583 0.070434 0.071295 0.072166 0.073048 25.25 25.87 Citigroup Global Markets 17327TF92 01/31/20 02/02/23 100.000 0.000 2.2035 20.36 0.061892 0.062574 0.063263 0.063960 0.064665 22.61 23.11 Citigroup Global Markets 17327TFC5 12/04/19 12/02/22 100.000 0.000 2.3164 25.08 0.065834 0.066597 0.067368 0.068148 23.88 22.44 Citigroup Global Markets 17327TFV3 07/02/19 12/30/21 100.000 0.000 2.3854 36.14 0.068652 0.069471 24.79 Citigroup Global Markets 17327TFW1 09/30/19 09/30/25 100.000 0.000 2.5748 32.59 0.073374 0.074319 0.075276 0.076245 0.077226 26.76 27.45 Citigroup Global Markets 17327TFX9 11/13/19 11/10/22 100.000 0.000 2.2910 26.17 0.065092 0.065837 0.066591 0.067354 23.64 20.71 Citigroup Global Markets 17327TGP5 09/03/19 03/04/21 100.000 0.000 1.8413 24.64 0.052096 3.28 Citigroup Global Markets 17327TGV2 09/09/19 03/08/21 100.000 0.000 1.8413 24.33 0.052092 3.49 Citigroup Global Markets 17327TH41 02/03/20 02/02/23 100.000 0.000 2.1983 20.13 0.061730 0.062409 0.063094 0.063788 0.064489 22.55 23.05 Citigroup Global Markets 17327THY5 11/01/19 11/01/24 100.000 0.000 2.5315 29.80 0.072111 0.073023 0.073948 0.074884 0.075832 26.23 26.90 Citigroup Global Markets 17327TJ80 02/28/20 03/02/27* 100.000 0.000 2.4605 20.81 0.069206 4.22* Citigroup Global Markets 17327TJJ6 11/04/19 11/04/21 100.000 0.000 2.0636 24.08 0.058512 0.059116 17.84 Citigroup Global Markets 17327TJN7 12/24/19 12/22/22 100.000 0.000 2.1805 22.36 0.061891 0.062565 0.063248 0.063937 22.41 22.32 Citigroup Global Markets 17327TJQ0 10/03/19 10/05/22 100.000 0.000 2.2658 28.45 0.064382 0.065111 0.065849 0.066595 23.43 18.18 Citigroup Global Markets 17327TKD7 12/26/19 12/23/22 100.000 0.000 2.2329 22.77 0.063406 0.064114 0.064830 0.065553 22.96 22.95 Citigroup Global Markets 17327TMF0 12/24/19 12/22/22 100.000 0.000 2.1805 22.36 0.061891 0.062565 0.063248 0.063937 22.41 22.32 Citigroup Global Markets 17327TMZ6 08/30/19 03/04/25 100.000 0.000 2.1981 29.66 0.062424 0.063110 0.063804 0.064505 0.065214 22.76 23.26 Citigroup Global Markets 17327TN28 02/04/20 12/05/22 100.000 0.000 2.0124 18.37 0.056846 0.057418 0.057995 0.058579 20.60 19.48 Citigroup Global Markets 17327TNB8 09/19/19 09/21/22 100.000 0.000 2.4325 31.53 0.069231 0.070073 0.070925 0.071788 25.24 18.60 Citigroup Global Markets 17327TND4 11/05/19 11/03/22 100.000 0.000 1.6705 19.42 0.047176 0.047570 0.047968 0.048368 17.10 14.56 Citigroup Global Markets 17327TNH5 07/31/19 02/01/23 100.000 0.000 2.4950 35.83 0.071052 0.071938 0.072835 0.073744 0.074664 26.01 26.66 Citigroup Global Markets 17327TNM4 07/10/19 08/04/21 100.000 0.000 2.3844 35.60 0.067931 0.068741 14.62 Citigroup Global Markets 17327TNS1 09/03/19 09/03/24 100.000 0.000 1.8671 24.99 0.052838 0.053331 0.053829 0.054331 0.054839 19.23 19.59 Citigroup Global Markets 17327TPG5 11/13/19 11/10/22 100.000 0.000 2.2691 25.92 0.064458 0.065189 0.065928 0.066676 23.41 20.51 Citigroup Global Markets 17327TPJ9 11/29/19 11/30/22 100.000 0.000 2.0339 22.29 0.057656 0.058242 0.058835 0.059433 20.90 19.46 Citigroup Global Markets 17327TPT7 09/30/19 03/30/23 100.000 0.000 2.3505 29.72 0.066835 0.067620 0.068415 0.069219 0.070033 24.35 24.92 Citigroup Global Markets 17327TQA7 09/04/19 03/03/23 100.000 0.000 2.1796 29.15 0.061868 0.062542 0.063224 0.063913 0.064610 22.55 23.05 Citigroup Global Markets 17327TRQ1 07/31/19 01/30/25 100.000 0.000 2.8012 40.29 0.080006 0.081127 0.082263 0.083415 0.084584 29.34 30.17 Citigroup Global Markets 17327TSD9 07/24/19 07/22/22 100.000 0.000 2.4497 35.59 0.069715 0.070569 0.071433 0.072308 25.52 14.52 Citigroup Global Markets 17327TSJ6 10/31/19 10/31/25 100.000 0.000 2.6129 30.84 0.074489 0.075462 0.076448 0.077447 0.078459 27.11 27.82 Citigroup Global Markets 17327TSM9 11/27/19 11/28/22 100.000 0.000 2.2265 24.54 0.063237 0.063941 0.064653 0.065372 22.94 21.27 Citigroup Global Markets 17327TSV9 08/14/19 08/13/26 100.000 0.000 2.5545 35.68 0.072778 0.073708 0.074649 0.075602 0.076568 26.63 27.31 Citigroup Global Markets 17327TT63 01/31/20 02/02/23 100.000 0.000 2.2035 20.36 0.061892 0.062574 0.063263 0.063960 0.064665 22.61 23.11 Citigroup Global Markets 17327TT97 02/11/20 02/10/22 100.000 0.000 1.8965 16.93 0.053176 0.053681 0.054190 19.38 2.11 Citigroup Global Markets 17327TTR7 10/22/19 10/20/22 100.000 0.000 2.2321 26.82 0.063386 0.064094 0.064809 0.065532 23.05 18.86 Citigroup Global Markets 17327TTT3 11/29/19 11/30/22 100.000 0.000 2.0339 22.29 0.057656 0.058242 0.058835 0.059433 20.90 19.46 Citigroup Global Markets 17327TUT1 11/29/19 05/30/25 100.000 0.000 2.5704 28.21 0.073253 0.074194 0.075148 0.076113 0.077092 26.60 27.29 Citigroup Global Markets 17327TUX2 08/12/19 08/12/21 100.000 0.000 2.1207 29.68 0.060164 0.060802 13.41 Citigroup Global Markets 17327TV86 12/20/19 12/23/26 100.000 0.170 2.6310 27.29 0.074910 0.075833 0.076768 0.077716 0.078676 27.15 27.82 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17327TW36 01/24/20 01/26/22 100.000 0.000 2.0546 19.33 0.057664 0.058257 0.058855 21.05 1.47 Citigroup Global Markets 17327TWP7 10/02/19 10/02/23 100.000 0.000 2.3580 29.69 0.067053 0.067844 0.068644 0.069453 0.070272 24.42 25.00 Citigroup Global Markets 17327TX84 02/04/20 02/04/25 100.000 0.000 2.4251 22.15 0.068181 0.069008 0.069845 0.070692 0.071549 24.94 25.55 Citigroup Global Markets 17327TXH4 10/02/19 10/02/24 100.000 0.000 2.4893 31.36 0.070879 0.071762 0.072655 0.073559 0.074475 25.83 26.48 Citigroup Global Markets 17327TXK7 12/02/19 12/01/22 100.000 0.000 2.2585 24.57 0.064156 0.064880 0.065613 0.066354 23.27 21.79 Citigroup Global Markets 17327TXT8 09/10/19 09/10/24 100.000 0.250 2.3208 30.63 0.065810 0.066493 0.067184 0.067883 0.068591 23.97 24.47 Citigroup Global Markets 17327TYG5 10/08/19 11/03/21 100.000 0.000 2.0870 25.90 0.059275 0.059893 18.01 Citigroup Global Markets 17327TZ33 03/03/20 03/04/30* 100.000 0.000 2.4353 20.26 0.068476 4.31* Citigroup Global Markets 17327TZ82 01/31/20 02/02/27 100.000 0.000 2.6047 24.09 0.073304 0.074259 0.075226 0.076206 0.077198 26.85 27.55 Citigroup Global Markets 17327TZF6 10/31/19 05/03/23 100.000 0.000 2.3404 27.60 0.066555 0.067334 0.068122 0.068919 0.069726 24.19 24.76 Citigroup Global Markets 17328V3K4 04/14/20 04/11/25 100.000 1.000 2.6920 19.30 0.075791 0.076064 0.077087 0.077377 0.078419 27.43 27.90 Citigroup Global Markets 17328V3S7 03/31/20 10/01/25 100.000 0.000 3.3432 25.31 0.094429 0.096008 0.097613 0.099244 0.100903 34.57 35.73 Citigroup Global Markets 17328V4B3 04/13/20 10/12/23 100.000 0.000 2.6242 18.88 0.073845 0.074814 0.075796 0.076790 0.077798 26.91 27.62 Citigroup Global Markets 17328V5E6 04/15/20 03/31/25 100.000 0.000 2.4947 17.81 0.070088 0.070963 0.071848 0.072744 0.073651 25.55 26.19 Citigroup Global Markets 17328VA59 03/24/20 09/22/23 100.000 0.000 4.1210 31.94 0.116803 0.119210 0.121666 0.124173 0.126732 42.96 44.75 Citigroup Global Markets 17328VB58 03/31/20 07/01/24 100.000 0.000 3.2340 24.48 0.092033 0.093521 0.095033 0.096570 33.40 34.49 Citigroup Global Markets 17328VCM0 03/31/20 04/01/27 100.000 0.000 3.4611 26.21 0.097814 0.099506 0.101228 0.102980 0.104762 35.82 37.08 Citigroup Global Markets 17328VD64 04/15/20 03/31/25 100.000 0.000 2.4947 17.81 0.070088 0.070963 0.071848 0.072744 0.073651 25.55 26.19 Citigroup Global Markets 17328VE55 04/01/20 10/02/23 100.000 0.000 2.8014 21.11 0.078912 0.080018 0.081139 0.082275 0.083428 28.81 29.62 Citigroup Global Markets 17328VEE6 03/31/20 03/29/23 100.000 0.000 2.7726 20.97 0.078078 0.079161 0.080258 0.081371 0.082499 28.50 29.30 Citigroup Global Markets 17328VEP1 03/31/20 03/31/25 100.000 0.750 3.2898 24.91 0.092929 0.093772 0.095315 0.096197 0.097779 33.81 34.68 Citigroup Global Markets 17328VF62 04/03/20 04/05/23 100.000 0.000 2.2190 16.58 0.062331 0.063022 0.063721 0.064428 0.065143 22.68 23.19 Citigroup Global Markets 17328VHK9 04/03/20 04/05/23 100.000 0.000 2.2190 16.58 0.062331 0.063022 0.063721 0.064428 0.065143 22.68 23.19 Citigroup Global Markets 17328VHM5 03/31/20 07/01/24 100.000 0.000 3.2340 24.48 0.092033 0.093521 0.095033 0.096570 33.40 34.49 Citigroup Global Markets 17328VJW1 06/30/20 06/30/27 100.000 0.000 1.8120 9.11 0.050789 0.051249 0.051714 0.052182 0.052655 18.37 18.70 Citigroup Global Markets 17328VK58 05/19/20 11/18/27 100.000 0.000 2.4153 14.93 0.067898 0.068718 0.069548 0.070388 0.071238 24.66 25.26 Citigroup Global Markets 17328VKX7 05/05/20 05/04/23 100.000 0.000 1.6435 10.80 0.046025 0.046404 0.046785 0.047169 0.047557 16.68 16.96 Citigroup Global Markets 17328VL40 06/22/20 06/20/25 100.000 0.500 1.4840 7.79 0.041531 0.041633 0.041942 0.042047 0.042359 14.97 15.12 Citigroup Global Markets 17328VL65 06/03/20 06/03/25 100.000 0.000 1.8512 10.71 0.051899 0.052379 0.052864 0.053353 0.053847 18.80 19.15 Citigroup Global Markets 17328VL81 05/20/20 05/20/25 100.000 0.000 1.9603 12.06 0.054987 0.055526 0.056071 0.056620 0.057175 19.94 20.33 Citigroup Global Markets 17328VLH1 05/20/20 05/20/25 100.000 0.000 1.9603 12.06 0.054987 0.055526 0.056071 0.056620 0.057175 19.94 20.33 Citigroup Global Markets 17328VME7 05/20/20 05/22/28 100.000 0.000 2.3713 14.59 0.066659 0.067449 0.068249 0.069058 0.069877 24.20 24.78 Citigroup Global Markets 17328VNJ5 06/22/20 03/21/24 100.000 0.000 1.2560 6.60 0.034998 0.035218 0.035439 0.035661 0.035885 12.68 12.84 Citigroup Global Markets 17328VP61 05/20/20 05/20/25 100.000 0.000 1.9603 12.06 0.054987 0.055526 0.056071 0.056620 0.057175 19.94 20.33 Citigroup Global Markets 17328VPK0 07/01/20 04/01/24 100.000 0.000 1.2260 6.14 0.034160 0.034369 0.034580 0.034792 0.035005 12.37 12.53 Citigroup Global Markets 17328VPL8 05/20/20 05/20/25* 100.000 0.000 1.0871 6.68 0.030361 4.22* Citigroup Global Markets 17328VPV6 05/20/20 05/18/28 100.000 0.000 2.3763 14.62 0.066784 0.067577 0.068380 0.069193 0.070015 24.25 24.83 Citigroup Global Markets 17328VPY0 06/03/20 12/04/23 100.000 0.000 1.5242 8.82 0.042663 0.042989 0.043316 0.043646 0.043979 15.43 15.67 Citigroup Global Markets 17328VQB9 05/20/20 05/20/25 100.000 0.000 1.9603 12.06 0.054987 0.055526 0.056071 0.056620 0.057175 19.94 20.33 Citigroup Global Markets 17328VQM5 05/19/20 11/17/23 100.000 0.000 1.6533 10.21 0.046301 0.046684 0.047070 0.047459 0.047851 16.77 17.05 Citigroup Global Markets 17328VQN3 04/29/20 04/29/25 100.000 0.000 2.2376 15.08 0.062850 0.063553 0.064264 0.064983 0.065710 22.84 23.35 Citigroup Global Markets 17328VQS2 04/30/20 05/01/25 100.000 0.000 2.2285 14.96 0.062598 0.063295 0.064001 0.064714 0.065435 22.74 23.25 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328VR44 05/29/20 05/30/25 100.000 0.000 1.9013 11.21 0.053317 0.053824 0.054336 0.054852 0.055374 19.32 19.69 Citigroup Global Markets 17328VRU6 06/30/20 06/30/25 100.000 0.000 1.5040 7.56 0.042092 0.042408 0.042727 0.043048 0.043372 15.21 15.44 Citigroup Global Markets 17328VSB7 06/03/20 06/05/28 100.000 0.000 2.2772 13.18 0.063984 0.064712 0.065449 0.066194 0.066948 23.20 23.73 Citigroup Global Markets 17328VSU5 04/29/20 10/27/23 100.000 0.000 1.9316 13.02 0.054168 0.054691 0.055219 0.055753 0.056291 19.66 20.04 Citigroup Global Markets 17328VSX9 06/22/20 06/22/28 100.000 0.000 2.4751 13.00 0.069603 0.070464 0.071337 0.072219 0.073113 25.23 25.86 Citigroup Global Markets 17328VTY6 05/20/20 05/20/27 100.000 0.000 2.2283 13.71 0.062587 0.063284 0.063989 0.064702 0.065423 22.71 23.22 Citigroup Global Markets 17328VUJ7 05/19/20 05/19/25 100.000 0.000 1.9503 12.05 0.054704 0.055238 0.055776 0.056320 0.056869 19.83 20.22 Citigroup Global Markets 17328VUY4 04/30/20 05/01/25 100.000 0.000 2.2185 14.89 0.062314 0.063005 0.063704 0.064410 0.065125 22.64 23.15 Citigroup Global Markets 17328VW22 07/06/20 07/03/25 100.000 0.000 1.4650 7.12 0.040695 0.040988 0.041288 0.041591 0.041895 14.81 15.03 Citigroup Global Markets 17328VWV8 05/05/20 05/05/25 100.000 0.000 1.9904 13.08 0.055840 0.056395 0.056956 0.057523 0.058096 20.26 20.67 Citigroup Global Markets 17328VXE5 07/01/20 07/01/25 100.000 0.000 1.4940 7.47 0.041810 0.042122 0.042437 0.042754 15.11 15.33 Citigroup Global Markets 17328VXW5 07/06/20 07/06/28 100.000 0.000 1.8910 9.19 0.052529 0.053025 0.053527 0.054033 0.054544 19.17 19.54 Citigroup Global Markets 17328VY79 08/05/20 08/05/25 100.000 0.000 1.2061 4.89 0.033503 0.033705 0.033909 0.034113 0.034319 12.16 12.30 Citigroup Global Markets 17328VYC8 06/30/20 06/30/27 100.000 0.000 1.7917 9.01 0.050215 0.050665 0.051119 0.051576 0.052038 18.16 18.49 Citigroup Global Markets 17328VYQ7 07/31/20 08/02/27 100.000 0.000 1.5241 6.39 0.042340 0.042663 0.042988 0.043315 0.043645 15.40 15.63 Citigroup Global Markets 17328VYS3 07/06/20 07/05/24 100.000 0.000 1.2060 5.86 0.033501 0.033702 0.033905 0.034110 0.034315 12.17 12.31 Citigroup Global Markets 17328VYX2 06/30/20 06/30/27 100.000 0.000 1.7917 9.01 0.050215 0.050665 0.051119 0.051576 0.052038 18.16 18.49 Citigroup Global Markets 17328VZR4 07/31/20 08/02/27 100.000 0.000 1.5241 6.39 0.042340 0.042663 0.042988 0.043315 0.043645 15.40 15.63 Citigroup Global Markets 17328VZX1 07/06/20 07/05/24 100.000 0.000 1.2060 5.86 0.033501 0.033702 0.033905 0.034110 0.034315 12.17 12.31 Citigroup Global Markets 17328VZZ6 08/05/20 08/05/25 100.000 0.000 1.2061 4.89 0.033503 0.033705 0.033909 0.034113 0.034319 12.16 12.30 Citigroup Global Markets 17328W2G2 07/31/20 02/02/26 100.000 0.000 1.3551 5.68 0.037645 0.037900 0.038157 0.038415 0.038675 13.67 13.86 Citigroup Global Markets 17328W2Y3 08/05/20 08/04/28 100.000 0.000 1.5941 6.47 0.044281 0.044632 0.044988 0.045347 0.045708 16.11 16.37 Citigroup Global Markets 17328W3C0 07/20/20 07/18/25 100.000 0.000 1.3751 6.15 0.038197 0.038457 0.038721 0.038987 0.039255 13.88 14.07 Citigroup Global Markets 17328W3W6 07/31/20 07/31/25 100.000 0.000 1.2561 5.27 0.034892 0.035111 0.035332 0.035554 0.035777 12.67 12.83 Citigroup Global Markets 17328W4Q8 07/31/20 08/02/27 100.000 0.000 1.5441 6.48 0.042896 0.043227 0.043561 0.043897 0.044236 15.60 15.84 Citigroup Global Markets 17328W4W5 08/03/20 05/02/24 100.000 0.000 1.0070 4.14 0.028043 0.028184 0.028326 0.028469 0.028612 10.14 10.24 Citigroup Global Markets 17328W6M5 07/22/20 07/22/24 100.000 0.000 1.1071 4.89 0.030752 0.030923 0.031094 0.031266 0.031439 11.16 11.28 Citigroup Global Markets 17328W6Y9 08/21/20 02/23/24 100.000 0.000 0.8681 3.13 0.024115 0.024220 0.024325 0.024431 0.024537 8.73 8.80 Citigroup Global Markets 17328W7B8 09/03/20 09/05/25 100.000 0.000 1.1571 3.79 0.032145 0.032331 0.032518 0.032706 0.032895 11.65 11.78 Citigroup Global Markets 17328WA73 08/31/20 08/31/27 100.000 0.000 1.4842 4.99 0.041227 0.041529 0.041841 0.042148 0.042464 14.97 15.19 Citigroup Global Markets 17328WAA6 09/30/20 09/30/27 100.000 0.000 1.5842 4.00 0.044006 0.044355 0.044706 0.045060 0.045417 15.97 16.22 Citigroup Global Markets 17328WB80 08/21/20 11/21/25 100.000 0.000 1.2860 4.65 0.035838 0.036069 0.036301 0.036534 0.036769 12.96 13.13 Citigroup Global Markets 17328WBA5 09/30/20 09/30/30 100.000 0.000 2.0203 5.11 0.056118 0.056685 0.057258 0.057836 0.058420 20.41 20.82 Citigroup Global Markets 17328WBY3 08/31/20 03/02/28 100.000 0.000 1.4842 4.99 0.041230 0.041536 0.041844 0.042155 0.042467 14.97 15.19 Citigroup Global Markets 17328WC71 09/18/20 12/18/25 100.000 0.000 1.2660 3.62 0.035278 0.035502 0.035727 0.035953 0.036180 12.75 12.91 Citigroup Global Markets 17328WCK2 10/05/20 10/03/25 100.000 0.000 1.2962 3.10 0.036006 0.036236 0.036471 0.036708 0.036946 13.04 13.21 Citigroup Global Markets 17328WEQ7 09/30/20 09/30/25 100.000 0.000 1.2862 3.25 0.035728 0.035958 0.036189 0.036422 0.036656 12.95 13.11 Citigroup Global Markets 17328WF60 09/03/20 09/05/25 100.000 0.000 1.1571 3.79 0.032145 0.032331 0.032518 0.032706 0.032895 11.65 11.78 Citigroup Global Markets 17328WFH6 09/11/20 03/13/24 100.000 0.000 0.8181 2.50 0.022726 0.022819 0.022912 0.023006 0.023100 8.22 8.29 Citigroup Global Markets 17328WFL7 08/31/20 08/31/27 100.000 0.000 1.4942 5.02 0.041505 0.041811 0.042127 0.042438 0.042759 15.07 15.30 Citigroup Global Markets 17328WFW3 09/30/20 06/30/26 100.000 0.000 1.4250 3.60 0.039725 0.040008 0.040293 0.040580 0.040869 14.35 14.56 Citigroup Global Markets 17328WHM3 08/31/20 05/29/26 100.000 0.000 1.3060 4.39 0.036396 0.036634 0.036873 0.037114 0.037356 13.16 13.33 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328WHP6 09/30/20 03/31/28 100.000 0.000 1.7012 4.30 0.047257 0.047659 0.048064 0.048473 0.048885 17.16 17.45 Citigroup Global Markets 17328WJ58 09/30/20 12/31/26 100.000 0.000 1.5240 3.85 0.042495 0.042819 0.043145 0.043474 0.043805 15.36 15.59 Citigroup Global Markets 17328WJG4 09/21/20 09/21/27 100.000 0.000 1.4782 4.11 0.041061 0.041365 0.041670 0.041978 0.042289 14.90 15.12 Citigroup Global Markets 17328WJT6 08/12/20 08/12/25 100.000 0.000 1.0971 4.24 0.030475 0.030642 0.030810 0.030979 0.031149 11.05 11.17 Citigroup Global Markets 17328WKC1 09/21/20 09/21/27 100.000 0.000 1.4782 4.11 0.041061 0.041365 0.041670 0.041978 0.042289 14.90 15.12 Citigroup Global Markets 17328WLC0 09/30/20 09/30/27 100.000 0.000 1.5842 4.00 0.044006 0.044355 0.044706 0.045060 0.045417 15.97 16.22 Citigroup Global Markets 17328WLU0 10/05/20 10/03/25 100.000 0.000 1.2962 3.10 0.036006 0.036236 0.036471 0.036708 0.036946 13.04 13.21 Citigroup Global Markets 17328WML9 11/30/20 11/30/27 100.000 0.000 1.4941 1.29 0.041503 0.041813 0.042125 0.042440 0.042757 15.02 15.24 Citigroup Global Markets 17328WMR6 11/30/20 11/30/27 100.000 0.000 1.4941 1.29 0.041503 0.041813 0.042125 0.042440 0.042757 15.02 15.24 Citigroup Global Markets 17328WND6 11/04/20 11/04/25 100.000 0.000 1.2962 2.05 0.036005 0.036238 0.036473 0.036710 0.036947 13.03 13.20 Citigroup Global Markets 17328WNR5 12/03/20 12/04/25 100.000 0.000 1.1771 0.92 0.032698 0.032890 0.033084 0.033278 0.033474 11.82 11.96 Citigroup Global Markets 17328WPG7 10/19/20 10/19/27 100.000 0.000 1.5142 3.03 0.042061 0.042379 0.042700 0.043024 0.043349 15.25 15.48 Citigroup Global Markets 17328WPR3 11/04/20 11/04/25 100.000 0.000 1.2962 2.05 0.036005 0.036238 0.036473 0.036710 0.036947 13.03 13.20 Citigroup Global Markets 17328WPW2 10/30/20 11/01/27 100.000 0.000 1.5642 2.65 0.043452 0.043791 0.044134 0.044479 0.044827 15.74 15.99 Citigroup Global Markets 17328WPY8 11/27/20 11/29/21 100.000 0.000 0.3300 0.31 0.009167 0.009182 3.01 Citigroup Global Markets 17328WRX8 11/30/20 05/30/24 100.000 0.000 0.8281 0.71 0.023002 0.023097 0.023193 0.023289 0.023385 8.30 8.37 Citigroup Global Markets 17328WSY5 10/30/20 11/01/27 100.000 0.000 1.5642 2.65 0.043452 0.043791 0.044134 0.044479 0.044827 15.74 15.99 Citigroup Global Markets 17328WTW8 12/03/20 12/04/25 100.000 0.000 1.1771 0.92 0.032698 0.032890 0.033084 0.033278 0.033474 11.82 11.96 Citigroup Global Markets 17328WU48 10/23/20 10/25/27 100.000 0.000 1.5475 2.92 0.042989 0.043322 0.043657 0.043995 0.044335 15.58 15.82 Citigroup Global Markets 17328WUD8 10/30/20 02/01/27 100.000 0.000 1.4941 2.53 0.041501 0.041658 0.041969 0.042283 0.042599 15.04 15.26 Citigroup Global Markets 17328WUG1 10/01/20 01/02/26 100.000 0.000 1.3750 3.44 0.038195 0.038327 0.038591 0.038856 0.039123 13.84 14.04 Citigroup Global Markets 17328WV96 12/01/20 03/02/26 100.000 0.000 1.2860 1.07 0.035723 0.035840 0.036070 0.036302 0.036535 12.92 13.08 Citigroup Global Markets 17328WVK1 11/04/20 11/04/25 100.000 0.000 1.2962 2.05 0.036005 0.036238 0.036473 0.036710 0.036947 13.03 13.20 Citigroup Global Markets 17328WVS4 10/30/20 07/30/26 100.000 0.000 1.3950 2.36 0.038751 0.038886 0.039158 0.039431 0.039706 14.04 14.23 Citigroup Global Markets 17328WX60 10/30/20 11/01/27 100.000 0.000 1.5642 2.65 0.043452 0.043791 0.044134 0.044479 0.044827 15.74 15.99 Citigroup Global Markets 17328WXE3 10/23/20 10/25/27 100.000 0.000 1.5742 2.97 0.043732 0.044076 0.044423 0.044773 0.045125 15.85 16.10 Citigroup Global Markets 17328WXK9 11/02/20 02/02/26 100.000 0.000 1.3450 2.20 0.037362 0.037488 0.037740 0.037994 0.038249 13.53 13.71 Citigroup Global Markets 17328WXL7 12/03/20 12/04/25 100.000 0.000 1.1771 0.92 0.032698 0.032890 0.033084 0.033278 0.033474 11.82 11.96 Citigroup Global Markets 17328WYB8 10/26/20 04/25/24 100.000 0.000 0.8781 1.59 0.024392 0.024499 0.024606 0.024714 0.024823 8.81 8.89 Citigroup Global Markets 17328WYN2 11/30/20 11/30/27 100.000 0.000 1.4941 1.29 0.041503 0.041813 0.042125 0.042440 0.042757 15.02 15.24 Citigroup Global Markets 17328WZH4 11/30/20 11/29/30* 100.000 0.000 1.9011 1.64 0.052809 0.053308 0.053815 17.47* Citigroup Global Markets 17328WZR2 10/30/20 11/01/27 100.000 0.000 1.5642 2.65 0.043452 0.043791 0.044134 0.044479 0.044827 15.74 15.99 Citigroup Global Markets 17328WZS0 10/30/20 11/01/27* 100.000 0.000 1.5642 2.65 0.043452 0.043791 13.10* Citigroup Global Markets 17328WZT8 10/30/20 10/31/30* 100.000 0.000 2.0002 3.39 0.055562 0.056117 0.056679 16.77* Citigroup Global Markets 17328Y2D5 11/24/20 11/24/27 100.000 0.000 1.5489 1.59 0.043026 0.043359 0.043695 0.044034 0.044375 15.57 15.82 Citigroup Global Markets 17328Y2F0 12/28/20 12/26/25 100.000 0.000 1.1170 0.09 0.031028 0.031199 0.031374 0.031549 0.031725 11.20 11.33 Citigroup Global Markets 17328Y2S2 12/24/20 12/27/27 100.000 0.000 1.4840 0.29 0.041228 0.041534 0.041842 0.042152 0.042465 14.90 15.12 Citigroup Global Markets 17328Y2T0 12/24/20 12/27/27 100.000 0.000 1.4840 0.29 0.041228 0.041534 0.041842 0.042152 0.042465 14.90 15.12 Citigroup Global Markets 17328Y2W3 12/28/20 12/26/25 100.000 0.000 1.1170 0.09 0.031028 0.031199 0.031374 0.031549 0.031725 11.20 11.33 Citigroup Global Markets 17328Y2Y9 12/24/20 03/26/26 100.000 0.000 1.2260 0.24 0.034056 0.034163 0.034372 0.034583 0.034795 12.31 12.45 Citigroup Global Markets 17328Y3M4 12/24/20 12/27/27 100.000 0.000 1.4840 0.29 0.041228 0.041534 0.041842 0.042152 0.042465 14.90 15.12 Citigroup Global Markets 17328Y3T9 12/24/20 12/27/30* 100.000 0.000 1.9800 0.39 0.055010 0.055554 19.68* ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328Y5D2 02/02/21 02/02/28 100.000 0.000 1.4841 0.041225 0.041531 0.041840 0.042150 13.61 15.10 Citigroup Global Markets 17328Y5K6 12/24/20 09/24/26 100.000 0.000 1.2860 0.25 0.035723 0.035837 0.036068 0.036300 0.036533 12.91 13.07 Citigroup Global Markets 17328Y6B5 02/03/21 02/03/26 100.000 0.000 1.0671 0.029641 0.029800 0.029959 0.030118 9.75 10.80 Citigroup Global Markets 17328Y6K5 01/12/21 01/10/25 100.000 0.000 0.8580 0.023834 0.023935 0.024038 0.024141 8.34 8.67 Citigroup Global Markets 17328Y7D0 12/21/20 06/20/24 100.000 0.000 0.7780 0.22 0.021611 0.021695 0.021779 0.021864 0.021949 7.80 7.86 Citigroup Global Markets 17328Y7E8 01/29/21 01/29/27 100.000 0.000 1.2761 0.035447 0.035673 0.035901 0.036130 11.80 12.95 Citigroup Global Markets 17328YAT1 01/12/21 01/10/25 100.000 0.000 0.8580 0.023834 0.023935 0.024038 0.024141 8.34 8.67 Citigroup Global Markets 17328YB37 01/06/21 01/08/29 100.000 0.000 1.5840 0.044001 0.044005 0.044353 0.044704 0.045059 15.68 16.15 Citigroup Global Markets 17328YBB9 02/03/21 02/03/26 100.000 0.000 1.0671 0.029641 0.029800 0.029959 0.030118 9.75 10.80 Citigroup Global Markets 17328YBM5 12/21/20 12/21/40 100.000 VARIES 2.5695 0.71 0.071374 0.069864 0.068335 0.067920 0.067530 25.39 24.52 Citigroup Global Markets 17328YCM4 01/29/21 01/30/31 100.000 0.000 2.0301 0.056396 0.056968 0.057547 0.058131 18.81 20.79 Citigroup Global Markets 17328YCP7 01/29/21 01/30/31 100.000 0.000 2.0301 0.056396 0.056968 0.057547 0.058131 18.81 20.79 Citigroup Global Markets 17328YDA9 01/29/21 01/31/28 100.000 0.000 1.4841 0.041225 0.041227 0.041533 0.041841 0.042152 13.73 15.10 Citigroup Global Markets 17328YDL5 01/25/21 01/25/31 100.000 VARIES 1.4542 0.040394 0.040082 0.039768 0.039119 13.52 14.22 Citigroup Global Markets 17328YEA8 01/29/21 04/30/26 100.000 0.000 1.1770 0.032695 0.032793 0.032986 0.033180 0.033375 10.89 11.93 Citigroup Global Markets 17328YEG5 01/25/21 07/25/24 100.000 0.000 0.7090 0.019696 0.019765 0.019836 0.019906 6.63 7.15 Citigroup Global Markets 17328YEM2 02/03/21 02/05/29 100.000 0.000 1.7231 0.047865 0.047870 0.048282 0.048698 0.049118 15.76 17.58 Citigroup Global Markets 17328YET7 12/30/20 12/30/27 100.000 0.000 1.4932 0.04 0.041478 0.041787 0.042099 0.042414 0.042730 14.99 15.21 Citigroup Global Markets 17328YFN9 01/29/21 01/31/28 100.000 0.000 1.4841 0.041225 0.041227 0.041533 0.041841 0.042152 13.73 15.10 Citigroup Global Markets 17328YHA5 01/29/21 01/31/28 100.000 0.000 1.4841 0.041225 0.041227 0.041533 0.041841 0.042152 13.73 15.10 Citigroup Global Markets 17328YHB3 12/30/20 12/30/27 100.000 0.000 1.4932 0.04 0.041478 0.041787 0.042099 0.042414 0.042730 14.99 15.21 Citigroup Global Markets 17328YHR8 02/18/21 05/15/26 100.000 0.000 1.1860 0.032946 0.033040 0.033236 0.033433 0.033631 10.34 12.02 Citigroup Global Markets 17328YHU1 02/26/21 02/27/31 100.000 0.000 2.3173 0.064373 0.065119 0.065874 0.066637 19.73 23.77 Citigroup Global Markets 17328YHW7 02/26/21 02/26/27 100.000 0.000 1.4752 0.040978 0.041280 0.041584 0.041891 12.54 14.99 Citigroup Global Markets 17328YHY3 01/29/21 01/29/41 100.000 VARIES 2.6993 0.074981 0.074448 0.073934 0.073435 24.81 26.55 Citigroup Global Markets 17328YJG0 01/29/21 01/31/29 100.000 0.000 1.6831 0.046753 0.046756 0.047149 0.047546 0.047946 15.58 17.17 Citigroup Global Markets 17328YJV7 03/03/21 03/03/26 100.000 0.000 1.3652 0.037923 0.038181 0.038442 0.038704 11.33 13.85 Citigroup Global Markets 17328YJX3 02/26/21 02/28/28 100.000 0.000 1.7232 0.047867 0.047872 0.048284 0.048701 0.049120 14.65 17.56 Citigroup Global Markets 17328YK94 02/26/21 02/28/28 100.000 0.000 1.7232 0.047867 0.047872 0.048284 0.048701 0.049120 14.65 17.56 Citigroup Global Markets 17328YLL6 02/26/21 02/28/28 100.000 0.000 1.7232 0.047867 0.047872 0.048284 0.048701 0.049120 14.65 17.56 Citigroup Global Markets 17328YME1 03/03/21 03/03/26 100.000 0.000 1.3652 0.037923 0.038181 0.038442 0.038704 11.33 13.85 Citigroup Global Markets 17328YN26 02/24/21 08/22/24 100.000 0.000 0.6991 0.019419 0.019486 0.019554 0.019622 5.97 7.04 Citigroup Global Markets 17328YND2 03/02/21 05/29/26 100.000 0.000 1.3451 0.037363 0.037484 0.037736 0.037990 0.038246 11.21 13.65 Citigroup Global Markets 17328YQH0 02/26/21 02/28/28 100.000 0.000 1.7232 0.047867 0.047872 0.048284 0.048701 0.049120 14.65 17.56 Citigroup Global Markets 17328YQN7 01/29/21 01/31/28 100.000 0.000 1.4841 0.041225 0.041227 0.041533 0.041841 0.042152 13.73 15.10 Citigroup Global Markets 17328YQP2 03/03/21 03/05/29 100.000 0.000 2.0693 0.057480 0.057487 0.058082 0.058683 0.059290 17.20 21.16 Citigroup Global Markets 17328YQV9 02/19/21 02/19/41 100.000 VARIES 2.8472 0.079089 0.078408 0.077750 0.077114 24.59 27.94 Citigroup Global Markets 17328YRC0 04/06/21 04/06/26 100.000 0.000 1.6533 0.045926 0.046306 0.046689 0.047075 12.20 16.80 Citigroup Global Markets 17328YRG1 03/31/21 03/30/28 100.000 0.000 2.0694 0.057483 0.058078 0.058679 0.059286 15.63 21.13 Citigroup Global Markets 17328YRL0 04/06/21 04/06/26 100.000 0.000 1.6533 0.045926 0.046306 0.046689 0.047075 12.20 16.80 Citigroup Global Markets 17328YSU9 02/26/21 02/26/41 100.000 VARIES 2.9720 0.082555 0.080892 0.079205 0.077224 24.97 28.36 Citigroup Global Markets 17328YSW5 02/22/21 02/22/41 100.000 VARIES 2.8536 0.079265 0.078018 0.076754 0.075982 24.33 27.60 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328YT38 02/26/21 02/26/31 100.000 VARIES 1.6111 0.044752 0.044441 0.044128 0.043038 13.61 15.77 Citigroup Global Markets 17328YTF1 03/01/21 02/27/26 100.000 0.000 1.1861 0.032948 0.033139 0.033336 0.033534 9.91 12.01 Citigroup Global Markets 17328YTQ7 03/23/21 09/23/24 100.000 0.000 1.0472 0.029089 0.029241 0.029394 0.029548 8.10 10.58 Citigroup Global Markets 17328YUN2 03/01/21 02/27/26 100.000 0.000 1.1861 0.032948 0.033139 0.033336 0.033534 9.91 12.01 Citigroup Global Markets 17328YUP7 03/31/21 03/30/28 100.000 0.000 2.0694 0.057483 0.058078 0.058679 0.059286 15.63 21.13 Citigroup Global Markets 17328YVZ4 04/06/21 04/06/29 100.000 0.000 2.3564 0.065456 0.066228 0.067008 0.067797 17.41 24.12 Citigroup Global Markets 17328YWJ9 03/31/21 03/31/31 100.000 0.000 2.6134 0.072595 0.073544 0.074505 0.075478 19.76 26.82 Citigroup Global Markets 17328YWY6 03/31/21 04/01/27 100.000 0.000 1.8423 0.051179 0.051650 0.052126 0.052606 13.91 18.77 Citigroup Global Markets 17328YXX7 03/31/21 03/30/28 100.000 0.000 2.0694 0.057483 0.058078 0.058679 0.059286 15.63 21.13 Citigroup Global Markets 17328YY24 04/06/21 10/05/26 100.000 0.000 1.8324 0.050899 0.051363 0.051834 0.052309 13.53 18.66 Citigroup Global Markets 17328YYU2 03/31/21 03/31/31 100.000 VARIES 1.6136 0.044822 0.044063 0.043298 0.041899 12.08 15.53 Citigroup Global Markets 17328YZV9 03/17/21 03/17/31 100.000 VARIES 1.6101 0.044724 0.044190 0.043651 0.043405 12.65 15.73 Citigroup Global Markets 17329B848 04/21/21 05/07/26 100.000 0.000 1.5037 0.041769 0.041797 0.042111 0.042428 0.042747 10.47 15.25 Citigroup Global Markets 17329F3G7 05/05/21 05/05/26 100.000 0.000 1.5643 0.043452 0.043792 0.044134 0.044479 10.27 15.87 Citigroup Global Markets 17329F3J1 04/28/21 10/28/26 100.000 0.000 1.7233 0.047870 0.048282 0.048698 0.049118 11.66 17.51 Citigroup Global Markets 17329F3P7 04/30/21 05/02/28 100.000 0.000 2.0793 0.057759 0.057766 0.058366 0.058973 0.059586 13.96 21.19 Citigroup Global Markets 17329F4C5 04/15/21 04/17/31 100.000 0.000 2.6134 0.072594 0.072605 0.073554 0.074515 0.075489 18.66 26.80 Citigroup Global Markets 17329F4Q4 05/05/21 05/05/26 100.000 0.000 1.5643 0.043452 0.043792 0.044134 0.044479 10.27 15.87 Citigroup Global Markets 17329F4R2 04/28/21 04/27/28 100.000 0.000 2.0693 0.057482 0.058073 0.058674 0.059281 14.01 21.09 Citigroup Global Markets 17329F4Z4 04/28/21 10/28/26 100.000 0.000 1.7233 0.047870 0.048282 0.048698 0.049118 11.66 17.51 Citigroup Global Markets 17329F5L4 04/30/21 04/30/27 100.000 0.000 1.8423 0.051176 0.051647 0.052123 0.052603 12.36 18.74 Citigroup Global Markets 17329F5V2 04/30/21 05/02/28 100.000 0.000 2.0793 0.057759 0.057766 0.058366 0.058973 0.059586 13.96 21.19 Citigroup Global Markets 17329F6U3 04/30/21 05/02/28 100.000 0.000 2.0793 0.057759 0.057766 0.058366 0.058973 0.059586 13.96 21.19 Citigroup Global Markets 17329F6W9 04/28/21 04/26/24 100.000 0.000 0.9482 0.026338 0.026461 0.026587 0.026713 6.41 9.56 Citigroup Global Markets 17329F7G3 04/30/21 05/02/28 100.000 0.000 2.0793 0.057759 0.057766 0.058366 0.058973 0.059586 13.96 21.19 Citigroup Global Markets 17329FAD6 04/30/21 05/01/31 100.000 0.000 2.5734 0.071487 0.072407 0.073339 0.074283 17.28 26.35 Citigroup Global Markets 17329FAK0 04/21/21 04/21/31 100.000 0.000 2.5734 0.071483 0.072403 0.073334 0.074278 17.94 26.36 Citigroup Global Markets 17329FCF9 04/30/21 10/30/26 100.000 0.000 1.7623 0.048953 0.049385 0.049820 0.050259 11.82 17.91 Citigroup Global Markets 17329FCV4 06/30/21 06/29/28 100.000 0.000 1.9800 0.055000 0.055541 0.056091 0.056646 9.96 20.10 Citigroup Global Markets 17329FCW2 05/26/21 05/27/26 100.000 0.000 1.4552 0.040423 0.040717 0.041013 0.041311 8.70 14.73 Citigroup Global Markets 17329FD43 06/30/21 06/29/28 100.000 0.000 1.9800 0.055000 0.055541 0.056091 0.056646 9.96 20.10 Citigroup Global Markets 17329FD68 05/28/21 12/01/26 100.000 0.000 1.6332 0.045365 0.045372 0.045742 0.046116 0.046492 9.68 16.56 Citigroup Global Markets 17329FE26 06/30/21 06/30/27 100.000 0.000 1.7920 0.049778 0.050224 0.050674 0.051128 9.01 18.16 Citigroup Global Markets 17329FE42 06/30/21 06/29/28 100.000 0.000 1.9800 0.055000 0.055541 0.056091 0.056646 9.96 20.10 Citigroup Global Markets 17329FED2 06/02/21 06/01/26 100.000 0.000 1.4151 0.039309 0.039586 0.039866 0.040148 8.22 14.32 Citigroup Global Markets 17329FEG5 06/09/21 06/09/33 100.000 VARIES 2.0633 0.057313 0.056041 0.054757 0.053459 11.55 19.89 Citigroup Global Markets 17329FF74 05/26/21 05/26/27 100.000 0.000 1.7422 0.048394 0.048816 0.049241 0.049670 10.42 17.68 Citigroup Global Markets 17329FFH2 04/19/21 04/20/28 100.000 0.000 2.1036 0.058436 0.059050 0.059671 0.060299 14.77 21.46 Citigroup Global Markets 17329FFZ2 05/28/21 05/31/28 100.000 0.000 1.9802 0.055005 0.055011 0.055556 0.056106 0.056661 11.73 20.13 Citigroup Global Markets 17329FGA6 05/24/21 11/24/26 100.000 0.000 1.7032 0.047311 0.047714 0.048121 0.048530 10.28 17.28 Citigroup Global Markets 17329FH23 05/28/21 05/30/31 100.000 0.000 2.5342 0.070395 0.070405 0.071297 0.072200 0.073115 15.02 25.89 Citigroup Global Markets 17329FHB3 07/06/21 07/06/26 100.000 0.000 1.5640 0.043445 0.043785 0.044128 7.60 15.82 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17329FJC9 05/28/21 05/31/28 100.000 0.000 1.9802 0.055005 0.055011 0.055556 0.056106 0.056661 11.73 20.13 Citigroup Global Markets 17329FJR6 06/30/21 06/29/28 100.000 0.000 1.9800 0.055000 0.055541 0.056091 0.056646 9.96 20.10 Citigroup Global Markets 17329FKC7 05/28/21 05/31/28 100.000 0.000 1.9802 0.055005 0.055011 0.055556 0.056106 0.056661 11.73 20.13 Citigroup Global Markets 17329FKL7 05/28/21 05/31/28 100.000 0.000 1.9802 0.055005 0.055011 0.055556 0.056106 0.056661 11.73 20.13 Citigroup Global Markets 17329FL93 05/21/21 05/21/31 100.000 VARIES 2.1464 0.059623 0.059070 0.058512 0.057947 13.09 21.12 Citigroup Global Markets 17329FML5 06/30/21 06/30/31 100.000 0.000 2.3860 0.066278 0.067068 0.067869 0.068678 12.00 24.29 Citigroup Global Markets 17329FPB4 06/02/21 06/01/26 100.000 0.000 1.4151 0.039309 0.039586 0.039866 0.040148 8.22 14.32 Citigroup Global Markets 17329FPC2 05/28/21 12/01/26 100.000 0.000 1.6332 0.045365 0.045372 0.045742 0.046116 0.046492 9.68 16.56 Citigroup Global Markets 17329FQ56 06/09/21 06/09/31 100.000 0.000 2.5442 0.070671 0.071570 0.072481 0.073403 14.30 25.97 Citigroup Global Markets 17329FQL1 05/28/21 05/28/27 100.000 0.000 1.7232 0.047866 0.048279 0.048695 0.049114 10.21 17.48 Citigroup Global Markets 17329FRK2 07/06/21 07/06/26 100.000 0.000 1.5640 0.043445 0.043785 0.044128 7.60 15.82 Citigroup Global Markets 17329FRM8 06/30/21 12/31/26 100.000 0.000 1.7230 0.047861 0.048273 0.048689 0.049109 8.66 17.45 Citigroup Global Markets 17329FS96 06/30/21 06/30/33 100.000 VARIES 2.0721 0.057558 0.056427 0.055285 0.054131 10.42 20.11 Citigroup Global Markets 17329FSP0 07/30/21 02/01/27 100.000 0.000 1.6132 0.044810 0.044812 0.045174 0.045538 6.77 16.31 Citigroup Global Markets 17329FTW4 08/04/21 08/04/26 100.000 0.000 1.4752 0.040977 0.041279 0.041583 6.02 14.90 Citigroup Global Markets 17329FTY0 08/04/21 08/04/26 100.000 0.000 1.4752 0.040977 0.041279 0.041583 6.02 14.90 Citigroup Global Markets 17329FUE2 07/01/21 12/31/26 100.000 0.000 1.7520 0.048667 0.049090 0.049520 0.049954 8.76 17.75 Citigroup Global Markets 17329FVK7 06/16/21 06/16/31 100.000 VARIES 2.0752 0.057645 0.057090 0.056529 0.055963 11.23 20.43 Citigroup Global Markets 17329FVL5 07/30/21 07/31/31 100.000 0.000 2.2282 0.061894 0.062583 0.063281 9.35 22.62 Citigroup Global Markets 17329FY81 06/22/21 06/22/26 100.000 VARIES 2.0841 0.057891 0.057337 0.056924 0.056667 10.94 20.56 Citigroup Global Markets 17329FZ72 06/25/21 06/27/29 100.000 0.000 2.1190 0.058862 0.058869 0.059493 0.060123 0.060760 10.95 21.54 Citigroup Global Markets 17329FZJ6 07/30/21 08/01/28 100.000 0.000 1.8422 0.051171 0.051174 0.051645 0.052121 7.73 18.65 Citigroup Global Markets 17329FZT4 07/30/21 08/01/28 100.000 0.000 1.8422 0.051171 0.051174 0.051645 0.052121 7.73 18.65 Citigroup Global Markets 17329FZY3 07/30/21 08/01/28 100.000 0.000 1.8422 0.051171 0.051174 0.051645 0.052121 7.73 18.65 Citigroup Global Markets 17329Q2K5 07/20/21 07/19/29 100.000 0.000 2.0691 0.057476 0.058067 0.058668 9.25 20.99 Citigroup Global Markets 17329Q6K1 08/02/21 02/02/27 100.000 0.000 1.5942 0.044283 0.044636 0.044991 6.60 16.11 Citigroup Global Markets 17329Q7D6 09/03/21 09/03/26 100.000 0.000 1.4843 0.041229 0.041535 0.041844 4.87 14.97 Citigroup Global Markets 17329QCW8 08/31/21 08/31/28 100.000 0.000 1.9013 0.052814 0.053310 0.053822 6.39 19.23 Citigroup Global Markets 17329QCY4 08/04/21 08/03/28 100.000 0.000 1.8322 0.050894 0.051357 0.051828 7.48 18.54 Citigroup Global Markets 17329QD72 08/31/21 08/31/28 100.000 0.000 1.9013 0.052814 0.053310 0.053822 6.39 19.23 Citigroup Global Markets 17329QE89 09/02/21 03/04/27 100.000 0.000 1.6633 0.046202 0.046206 0.046591 0.046978 5.50 16.79 Citigroup Global Markets 17329QGU8 08/31/21 03/03/27 100.000 0.000 1.6733 0.046480 0.046486 0.046875 0.047267 5.62 16.90 Citigroup Global Markets 17329QGW4 08/04/21 08/03/28 100.000 0.000 1.8322 0.050894 0.051357 0.051828 7.48 18.54 Citigroup Global Markets 17329QH29 08/31/21 08/31/28 100.000 0.000 1.9013 0.052814 0.053310 0.053822 6.39 19.23 Citigroup Global Markets 17329QHM5 08/31/21 08/31/28 100.000 0.000 1.9013 0.052814 0.053310 0.053822 6.39 19.23 Citigroup Global Markets 17329QKY5 09/03/21 09/03/33 100.000 VARIES 1.7822 0.049505 0.048461 0.047408 5.84 17.39 Citigroup Global Markets 17329QM56 09/03/21 09/03/26 100.000 0.000 1.4843 0.041229 0.041535 0.041844 4.87 14.97 Citigroup Global Markets 17329QMJ6 08/06/21 08/06/26 100.000 0.000 1.4152 0.039310 0.039588 0.039868 5.70 14.28 Citigroup Global Markets 17329QVX5 09/15/21 09/15/33 100.000 VARIES 1.7790 0.049416 0.048620 0.047817 5.24 17.48 Citigroup Global Markets 17329QXG0 07/30/21 08/01/28 100.000 0.000 1.8422 0.051171 0.051174 0.051645 0.052121 7.73 18.65 Clark CNTY SCH DIST, NV 181059QF6 07/08/10 06/15/24 91.490 5.510 6.4445 56.56 0.020790 0.021460 0.022152 0.022865 0.023602 7.63 8.13 CLEVELAND-CLIFFS INC 185899AD3 03/16/20 10/15/25* 81.514 6.375 10.8800 20.19 0.073678 5.23* ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CLEVELAND-CLIFFS INC 185899AE1 03/16/20 03/15/27 81.330 7.000 10.8801 14.93 0.054134 0.057079 0.060184 0.063458 0.066910 20.66 22.97 CLEVELAND-CLIFFS INC 185899AJ0 04/17/20 10/17/25 94.500 9.875 11.2428 5.37 0.021989 0.023226 0.024531 0.025910 0.027367 8.33 9.29 CLINT TEX INDPT SCH DIST 187270F99 09/29/20 02/15/22 99.269 0.000 0.5332 1.35 0.014702 0.014732 0.014771 5.31 0.65 CLINT TEX INDPT SCH DIST 187270G23 09/29/20 02/15/23 98.431 0.000 0.6662 1.68 0.018214 0.018260 0.018321 0.018382 0.018443 6.58 6.62 CLINT TEX INDPT SCH DIST 187270G31 09/29/20 02/15/24 97.067 0.000 0.8832 2.19 0.023814 0.023893 0.023999 0.024105 0.024211 8.61 8.69 CLINT TEX INDPT SCH DIST 187270G49 09/29/20 02/15/25 95.506 0.000 1.0530 2.57 0.027936 0.028048 0.028195 0.028344 0.028493 10.11 10.22 CLINT TEX INDPT SCH DIST 187270G56 09/29/20 02/15/26 93.518 0.000 1.2500 2.99 0.032471 0.032625 0.032829 0.033034 0.033240 11.77 11.91 CLINT TEX INDPT SCH DIST 187270G64 09/29/20 02/15/27 91.776 0.000 1.3501 3.17 0.034418 0.034593 0.034827 0.035062 0.035299 12.48 12.64 CLINT TEX INDPT SCH DIST 187270G72 09/29/20 02/15/28 88.641 0.000 1.6409 3.72 0.040404 0.040654 0.040988 0.041324 0.041663 14.67 14.91 CLINT TEX INDPT SCH DIST 187270G80 09/29/20 02/15/29 86.482 0.000 1.7410 3.85 0.041824 0.042099 0.042466 0.042835 0.043208 15.19 15.46 CLINT TEX INDPT SCH DIST 187270G98 09/29/20 02/15/30 84.210 0.000 1.8409 3.96 0.043062 0.043362 0.043761 0.044164 0.044570 15.65 15.94 CLINT TEX INDPT SCH DIST 187270H22 09/29/20 02/15/31 81.919 0.000 1.9309 4.04 0.043938 0.044259 0.044686 0.045117 0.045553 15.98 16.28 CLINT TEX INDPT SCH DIST 187270H30 09/29/20 02/15/32 79.370 0.000 2.0409 4.14 0.044995 0.045342 0.045805 0.046272 0.046745 16.37 16.70 CLINT TEX INDPT SCH DIST 187270H48 09/29/20 02/15/33 76.828 0.000 2.1408 4.20 0.045688 0.046057 0.046550 0.047049 0.047552 16.63 16.98 CLINT TEX INDPT SCH DIST 187270H55 09/29/20 02/15/34 74.122 0.000 2.2509 4.26 0.046344 0.046738 0.047264 0.047796 0.048334 16.88 17.26 Clinton & Wash CNTYS, IL 187327AY7 09/30/16 12/01/21 110.588 4.750 2.5511 115.92 0.072392 0.071632 23.75 Clinton & Wash CNTYS, IL 187327BA8 09/30/16 12/01/22 112.683 5.000 2.7510 127.51 0.079739 0.078926 0.078101 0.077265 28.51 25.62 CLINTON CNTY ILL SCH DIS 18739CAM5 08/24/21 12/01/22 100.631 1.000 0.4988 0.013942 0.013961 0.013995 1.77 4.61 CLINTON CNTY ILL SCH DIS 18739CAN3 08/24/21 12/01/23 100.674 1.000 0.6986 0.019535 0.019572 0.019640 0.019463 2.48 7.05 CLINTON CNTY ILL SCH DIS 18739CAP8 08/24/21 12/01/24 100.000 1.000 0.9984 0.027733 0.027808 0.027947 0.027734 3.52 10.03 CLINTON CNTY ILL SCH DIS 18739CAQ6 08/24/21 12/01/25 100.000 1.150 1.1484 0.031899 0.031998 0.032182 0.031901 4.05 11.55 CLINTON CNTY ILL SCH DIS 18739CAR4 08/24/21 12/01/26 100.000 1.300 1.2983 0.036064 0.036190 0.036425 0.036066 4.58 13.07 CLINTON CNTY ILL SCH DIS 18739CAS2 08/24/21 12/01/27 100.000 1.500 1.4981 0.041613 0.041781 0.042094 0.041617 5.29 15.09 Coles Counties, IL 193792EU8 11/26/13 12/01/21 105.395 VARIES 4.2404 0.118655 0.118226 39.08 Coles Counties, IL 193792EV6 11/26/13 12/01/22 104.771 VARIES 4.3909 0.123377 0.123036 0.122688 0.122332 44.33 40.42 Coles Counties, IL 193792EW4 11/26/13 12/01/23 99.115 VARIES 4.5919 0.127050 0.127129 0.127210 0.127292 0.127377 45.76 45.82 Coles Counties, IL 193792EX2 11/26/13 12/01/23 99.043 VARIES 4.7528 0.131465 0.131553 0.131642 0.131734 0.131828 47.35 47.41 Coles Counties, IL 193792EY0 11/26/13 12/01/23 98.985 VARIES 4.9628 0.137236 0.137333 0.137432 0.137534 0.137638 49.43 49.50 Coles Counties, IL 193792EZ7 11/26/13 12/01/23 98.936 VARIES 5.1717 0.142981 0.143086 0.143195 0.143306 0.143420 51.50 51.58 Coles Counties, IL 193792FA1 11/26/13 12/01/23 98.886 VARIES 5.3302 0.147330 0.147444 0.147561 0.147681 0.147804 53.07 53.15 Coles Counties, IL 193792FB9 11/26/13 12/01/23 99.347 VARIES 5.4215 0.150098 0.150176 0.150256 0.150338 0.150422 54.05 54.11 Coles Counties, IL 193792FC7 11/26/13 12/01/23 99.318 VARIES 5.5264 0.152982 0.153064 0.153149 0.153236 0.153325 55.09 55.15 Coles & Cumberland CNTYS 193792FD5 11/26/13 12/01/23 99.293 VARIES 5.6308 0.155853 0.155940 0.156029 0.156120 0.156214 56.13 56.19 Coles Counties, IL 193792FE3 11/26/13 12/01/23 99.301 VARIES 5.9329 0.164210 0.164302 0.164396 0.164494 0.164594 59.14 59.21 Coles Counties, IL 193792FF0 11/26/13 12/01/23 99.314 VARIES 6.2344 0.172549 0.172645 0.172745 0.172848 0.172954 62.14 62.21 Coles Counties, IL 193792FG8 11/26/13 12/01/23 99.331 VARIES 6.5352 0.180873 0.180974 0.181079 0.181187 0.181298 65.14 65.21 Coles Counties, IL 193792FH6 11/26/13 12/01/23 118.448 VARIES 6.4777 0.191892 0.190055 0.188158 0.186200 0.184179 68.64 67.27 COLUMBUS-FRANKLIN CNTY O 19909PAG1 03/11/21 06/15/27 93.000 8.750 10.2938 0.022867 0.023481 0.024690 0.025961 0.027297 6.77 9.16 COLUMBUS-FRANKLIN CNTY O 19909PAK2 03/18/21 06/15/25 93.000 8.750 10.8515 0.037274 0.038251 0.040327 0.042515 0.044821 10.77 14.98 Comcast Corporation 200300507 10/15/99 10/15/29 100.000 2.000 10.5154 2.090581 2.197577 2.310198 2.428741 2.553516 788.56 871.50 Comcast Corporation 200300606 11/15/99 11/15/29 100.000 2.000 10.3811 2.005487 2.106699 2.213165 2.325157 2.442961 749.75 827.47 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Compucredit Corporation 20478NAA8 05/27/05 05/30/25 100.000 VARIES 9.1299 0.693344 0.707870 0.747027 0.763022 0.805582 257.46 277.48 Compucredit Corporation 20478NAB6 05/27/05 05/30/25 100.000 VARIES 9.1299 0.693344 0.707870 0.747027 0.763022 0.805582 257.46 277.48 CompuCredit Corporation 20478NAC4 11/23/05 11/15/35* 100.000 5.786 N/A 0.462860 0.483453 95.59* CompuCredit Corporation 20478NAD2 11/23/05 11/15/35* 100.000 5.786 N/A 0.462860 0.483453 95.59* COOK CNTY ILL SCH DIST N 214183KP9 06/15/10 06/01/30 25.818 0.000 6.8998 269.80 0.100615 0.104086 0.107677 0.111392 0.115234 37.06 39.66 COOK CNTY ILL SCH DIST N 214183KR5 06/15/10 12/01/26 33.796 0.000 6.6998 339.21 0.125325 0.129523 0.133862 0.138346 0.142980 46.13 49.27 COOK CNTY ILL SCH DIST N 214183KS3 06/15/10 12/01/27 31.375 0.000 6.7498 318.12 0.117808 0.121784 0.125894 0.130143 0.134535 43.37 46.35 COOK CNTY ILL SCH DIST N 214183KT1 06/15/10 12/01/28 29.098 0.000 6.7998 298.04 0.110630 0.114391 0.118280 0.122301 0.126459 40.73 43.55 COOK CNTY ILL SCH DIST N 214183KU8 06/15/10 12/01/29 26.961 0.000 6.8498 278.94 0.103782 0.107337 0.111013 0.114815 0.118747 38.22 40.88 Cook County, IL SD #89 214201GJ8 12/13/07 12/01/21 41.765 0.000 6.3499 526.72 0.165697 0.170958 55.63 Cook County, IL SD #89 214201GK5 12/13/07 12/01/22 38.951 0.000 6.3998 496.81 0.156729 0.161744 0.166920 0.172261 57.63 56.04 Cook County, IL SD #89 214201GL3 12/13/07 12/01/23 36.291 0.000 6.4499 468.13 0.148095 0.152871 0.157801 0.162890 0.168143 54.46 58.03 Cook County, IL SD #89 214201GM1 12/13/07 12/01/24 33.947 0.000 6.4699 439.86 0.139309 0.143816 0.148468 0.153271 0.158229 51.24 54.61 Cook County, IL SD #89 214201GP4 11/29/10 12/15/24 34.234 0.000 7.7796 397.12 0.159248 0.165442 0.171877 0.178563 0.185509 58.65 63.30 Cook County, IL SD #89 214201GQ2 11/29/10 12/15/25 30.724 0.000 7.9997 370.74 0.150122 0.156126 0.162371 0.168866 0.175620 55.32 59.83 Cook County, IL SD #89 214201GR0 11/29/10 12/15/26 109.444 VARIES 7.6950 0.224427 0.223710 0.222966 0.222193 0.221390 80.64 80.10 Cook County, IL SD #89 214201GS8 11/29/10 12/15/26 27.332 0.000 8.2497 344.61 0.141086 0.146905 0.152965 0.159274 0.165844 52.03 56.41 Cook County, Illinois 214471HQ0 12/30/02 12/01/22 21.989 0.000 7.7497 644.59 0.184901 0.192065 0.199507 0.207238 68.29 67.23 Cook County, IL SD #123 214651KD2 10/15/07 12/01/21 41.802 0.000 6.2695 527.03 0.163726 0.168858 54.95 Cook County, IL SD #123 214651KE0 10/15/07 12/01/22 39.242 0.000 6.2794 495.89 0.154140 0.158979 0.163971 0.169119 56.66 55.04 Cook County, IL SD #123 214651KF7 10/15/07 12/01/23 36.831 0.000 6.2895 466.50 0.145088 0.149651 0.154357 0.159211 0.164218 53.33 56.74 Cook County, IL SD #123 214651KG5 10/15/07 12/01/24 34.562 0.000 6.2995 438.76 0.136540 0.140840 0.145277 0.149852 0.154572 50.19 53.40 Cook County, IL SD #123 214651KH3 10/15/07 12/01/25 32.426 0.000 6.3096 412.60 0.128471 0.132524 0.136705 0.141017 0.145466 47.23 50.25 Cook County, IL SD #123 214651KJ9 10/15/07 12/01/26 30.417 0.000 6.3195 387.91 0.120853 0.124672 0.128611 0.132675 0.136867 44.43 47.28 Cook County, IL SD #123 214651KK6 10/15/07 06/01/27 29.429 0.000 6.3296 376.17 0.117263 0.120974 0.124803 0.128753 0.132827 43.11 45.88 Cook County, Illinois 214723CX4 09/07/05 12/01/21 41.315 0.000 5.5195 538.21 0.145194 0.149201 48.64 Cook County, Illinois 214723CY2 09/07/05 12/01/22 38.734 0.000 5.5795 512.60 0.138832 0.142705 0.146686 0.150779 50.91 49.14 Cook County, Illinois 214723CZ9 09/07/05 12/01/23 36.271 0.000 5.6396 487.60 0.132582 0.136321 0.140165 0.144117 0.148181 48.63 51.41 Cook County, Illinois 214723DA3 09/07/05 12/01/24 33.990 0.000 5.6895 462.88 0.126274 0.129866 0.133561 0.137360 0.141268 46.32 49.00 Cook County, IL SD #148 215075FA5 07/09/08 12/01/27* 94.524 6.000 6.5008 0.016211 0.016748 5.45* Cook County, Illinois 215219FR2 06/30/03 12/01/21 36.482 0.000 5.5497 586.29 0.145947 0.149997 48.89 Cook County, Illinois 215219FS0 06/30/03 12/01/22 33.892 0.000 5.6497 559.85 0.140389 0.144355 0.148433 0.152626 51.50 49.74 Cook County, Illinois 215219GG5 06/02/05 12/01/21 41.054 0.000 5.4700 541.24 0.143962 0.147900 48.22 Cook County, Illinois 215219GH3 06/02/05 12/01/22 38.699 0.000 5.5000 514.29 0.137067 0.140837 0.144710 0.148689 50.25 48.47 Cook County, Illinois 215219GQ3 06/02/05 12/01/23 36.261 0.000 5.5601 489.62 0.131017 0.134659 0.138402 0.142250 0.146205 48.04 50.75 Cook County, Illinois 215219GR1 06/02/05 12/01/24 34.002 0.000 5.6101 465.19 0.124897 0.128400 0.132002 0.135704 0.139511 45.81 48.41 Cook County, IL 215219HG4 06/29/06 12/01/21 39.173 0.000 6.1697 554.15 0.161277 0.166252 54.12 Cook County, IL 215219HH2 06/29/06 12/01/22 36.688 0.000 6.1997 522.74 0.152417 0.157142 0.162013 0.167035 56.01 54.37 Cook County, IL 215219HJ8 06/29/06 12/01/23 34.398 0.000 6.2198 492.48 0.143770 0.148241 0.152851 0.157605 0.162506 52.83 56.17 Cook County, IL 215219HK5 06/29/06 12/01/24 32.181 0.000 6.2498 464.05 0.135724 0.139965 0.144339 0.148849 0.153501 49.88 53.05 Cook County, IL 215219HL3 06/29/06 12/01/25 30.147 0.000 6.2697 436.79 0.127906 0.131916 0.136051 0.140316 0.144715 47.01 50.01 Cook County, IL 215219HM1 06/29/06 06/01/26 29.062 0.000 6.2997 424.07 0.124412 0.128331 0.132373 0.136542 0.140843 45.73 48.66 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, IL SD #155 215219JR8 10/08/09 12/01/23 39.094 0.000 6.7493 433.11 0.153629 0.158814 0.164173 0.169714 0.175441 56.56 60.44 Cook County, IL SD #155 215219JS6 10/08/09 12/01/24 36.316 0.000 6.7994 406.50 0.144548 0.149462 0.154543 0.159797 0.165230 53.22 56.90 Cook County, IL SD #155 215219JT4 10/08/09 12/01/25 33.703 0.000 6.8494 381.14 0.135864 0.140517 0.145330 0.150307 0.155454 50.03 53.52 Cook County, IL SD #155 215219JU1 10/08/09 12/01/26 31.248 0.000 6.8993 357.00 0.127572 0.131973 0.136525 0.141235 0.146107 46.99 50.28 Cook County, IL SD #155 215219JV9 10/08/09 12/01/27 28.691 0.000 6.9993 334.50 0.120118 0.124322 0.128673 0.133176 0.137837 44.26 47.41 Cook County, IL SD #155 215219JW7 10/08/09 12/01/28 26.292 0.000 7.0995 312.76 0.112860 0.116866 0.121014 0.125310 0.129758 41.60 44.60 Cook County, IL SD #155 215219JX5 10/08/09 06/01/29 25.151 0.000 7.1494 302.18 0.109309 0.113216 0.117264 0.121455 0.125797 40.29 43.23 COPPELL TEX INDPT SCH DI 217490CL3 10/22/20 08/15/22 99.128 0.000 0.4834 0.92 0.013310 0.013331 0.013363 0.013395 4.80 3.00 COPPELL TEX INDPT SCH DI 217490CM1 10/22/20 08/15/23 98.331 0.000 0.5990 1.13 0.016361 0.016392 0.016441 0.016490 0.016539 5.91 5.94 COPPELL TEX INDPT SCH DI 217490CN9 10/22/20 08/15/24 97.081 0.000 0.7782 1.45 0.020986 0.021037 0.021119 0.021201 0.021284 7.58 7.64 COPPELL TEX INDPT SCH DI 217490CP4 10/22/20 08/15/25 95.732 0.000 0.9081 1.67 0.024148 0.024217 0.024327 0.024437 0.024548 8.73 8.81 COPPELL TEX INDPT SCH DI 217490EE7 04/22/21 08/15/24 97.594 0.000 0.7362 0.019958 0.020005 0.020078 0.020152 4.98 7.23 COPPELL TEX INDPT SCH DI 217490EF4 04/22/21 08/15/25 95.194 0.000 1.1449 0.030275 0.030383 0.030557 0.030732 7.55 11.02 COPPELL TEX INDPT SCH DI 217490EG2 04/22/21 08/15/26 93.222 0.000 1.3251 0.034313 0.034456 0.034684 0.034914 8.56 12.51 CORONADO FINANCE PTY LTD 21979LAA4 05/12/21 05/15/26 98.122 10.750 11.2507 0.008039 0.008499 0.008977 0.009482 1.86 3.19 CORSICANA TEX INDPT SCH 220435RX1 07/21/20 02/15/22 98.603 0.000 0.8999 3.95 0.024664 0.024775 0.024886 8.93 1.09 CORSICANA TEX INDPT SCH 220435RY9 07/21/20 02/15/23 97.171 0.000 1.1212 4.85 0.030285 0.030455 0.030625 0.030797 0.030970 10.98 11.10 CORSICANA TEX INDPT SCH 220435RZ6 07/21/20 02/15/24 95.338 0.000 1.3430 5.69 0.035597 0.035836 0.036077 0.036319 0.036563 12.92 13.10 CORSICANA TEX INDPT SCH 220435SA0 07/21/20 02/15/25 93.644 0.000 1.4431 6.01 0.037575 0.037847 0.038120 0.038395 0.038672 13.65 13.85 CORSICANA TEX INDPT SCH 220435SB8 07/21/20 02/15/26 91.047 0.000 1.6920 6.85 0.042840 0.043202 0.043568 0.043936 0.044308 15.59 15.85 Corvallie, Benton County 2208855S2 03/12/02 01/01/22 25.504 0.000 7.0194 678.30 0.181984 0.188371 66.66 Corvallie, Benton County 2208855T0 03/12/02 01/01/23 23.613 0.000 7.0594 634.31 0.170689 0.176714 0.182951 0.189409 62.53 67.02 Crawford CNTY, IL 224759EZ9 10/30/14 12/01/21 99.043 VARIES 2.9004 0.080447 0.080506 26.56 Crawford CNTY, IL 224759FB1 10/30/14 12/01/23** 98.821 VARIES 3.1502 0.087133 0.087192 0.087253 0.087315 0.087378 31.38** 31.43 CREDIT AGRICOLE CORPORAT 22533ADU8 05/26/21 05/26/36 100.000 VARIES 2.1485 0.059679 0.059679 0.059679 0.059679 12.83 21.48 CREDIT AGRICOLE CORPORAT 22533AE29 06/11/21 06/11/36 100.000 VARIES 2.0640 0.057332 0.057332 0.057332 0.057332 11.47 20.64 Credit Suisse USA, Inc. 22539T431 03/05/15 02/25/22 100.000 0.000 1.9373 0.059802 0.060382 0.060966 21.78 3.29 Credit Suisse USA, Inc. 22542DFF2 02/28/17 02/28/24 103.000 0.125 2.1990 90.11 0.067645 0.068350 0.069064 0.069785 0.070514 24.65 25.17 Credit Suisse USA, Inc. 22545F136 01/02/15 12/28/21 100.000 0.000 2.1699 0.068593 0.069338 24.62 Credit Suisse USA, Inc. 22546VMW3 10/30/15 10/31/25 100.000 1.500 2.5533 0.074469 0.073670 0.075318 0.074516 0.076189 27.09 27.40 Credit Suisse USA, Inc. 22546VP42 10/29/15 10/29/21 100.000 0.000 1.6599 0.050082 0.050498 15.00 Credit Suisse USA, Inc. 22546VPQ3 11/30/15 11/28/25 100.000 1.500 2.5442 0.074575 0.074994 0.075418 0.075847 0.076282 26.95 27.26 Credit Suisse USA, Inc. 22546VPR1 11/30/15 11/28/23 100.000 0.000 1.9529 0.059778 0.060362 0.060951 0.061546 0.062147 21.66 22.09 Credit Suisse USA, Inc. 22546VPW0 11/30/15 05/30/23 100.000 0.000 1.9020 0.058079 0.058631 0.059189 0.059752 0.060320 21.04 21.44 Credit Suisse USA, Inc. 22546VRL2 12/23/15 12/23/25 100.000 VARIES 2.4835 0.008435 0.008540 0.008646 0.008753 0.008862 3.06 3.13 Credit Suisse USA, Inc. 22546VRM0 12/28/15 12/27/22 100.000 0.500 1.9028 0.056723 0.057130 0.057542 0.057957 20.50 20.56 Credit Suisse USA, Inc. 22546VTS5 01/29/16 01/29/21 100.000 0.000 1.7999 92.21 0.054197 1.52 Credit Suisse USA, Inc. 22546VU79 01/22/16 04/22/21 100.000 0.000 1.7997 92.60 0.054434 6.04 Credit Suisse USA, Inc. 22546VUX2 02/10/16 02/10/26 100.000 VARIES 2.2723 28.62 0.015740 0.015919 0.016100 0.016283 0.016468 5.75 5.88 Credit Suisse USA, Inc. 22546VW77 02/26/16 02/26/21 100.000 0.000 1.8101 91.28 0.054527 3.00 Credit Suisse USA, Inc. 22546VY91 03/28/16 03/25/21 100.000 0.000 1.4700 72.19 0.043611 3.66 ----------------------------- ** 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse USA, Inc. 22546VYY6 03/18/16 03/18/21 100.000 VARIES 1.9748 15.39 0.009208 0.71 Credit Suisse USA, Inc. 22547QER3 12/27/13 12/28/21 100.000 0.000 2.6361 0.087963 0.089122 31.61 Credit Suisse USA, Inc. 22547QXM3 01/30/15 01/29/21 100.000 0.000 1.5402 0.046547 1.30 Credit Suisse USA, Inc. 22547QY83 12/29/14 06/28/22 100.000 0.000 2.2049 0.069856 0.070626 0.071405 25.29 12.64 Credit Suisse USA, Inc. 22547QZ82 12/12/14 12/14/22 100.000 0.000 2.1598 0.068255 0.068993 0.069738 0.070491 24.73 24.06 Credit Suisse USA, Inc. 22547W5D1 02/07/14 02/05/21 100.000 0.000 2.0912 0.066493 2.26 Credit Suisse USA, Inc. 22547WKH5 06/12/15 06/14/22 100.000 0.000 2.2646 0.071208 0.072014 0.072830 25.81 11.87 Credit Suisse USA, Inc. 22547WPN7 12/29/15 12/29/22 100.000 0.000 1.9233 0.058791 0.059356 0.059927 0.060503 21.27 21.56 Credit Suisse 22547WQ22 02/11/16 02/10/23 100.000 0.000 1.8032 91.74 0.054301 0.054791 0.055285 0.055783 0.056286 19.78 20.13 Credit Suisse USA, Inc. 22547WQ89 04/27/16 05/01/23 100.000 0.000 1.5175 73.28 0.045126 0.045469 0.045814 0.046161 0.046512 16.35 16.60 Credit Suisse USA, Inc. 22547WQA4 06/20/16 06/16/21 100.000 0.000 1.8619 87.60 0.056207 9.27 Credit Suisse USA, Inc. 22547WQB2 06/23/16 06/21/21 100.000 0.000 2.0800 98.16 0.062712 10.72 Credit Suisse USA, Inc. 22547WQE6 08/12/16 08/14/23 100.000 VARIES N/A 16.96 0.010741 0.010694 0.010647 0.010599 0.010551 3.85 3.81 Credit Suisse USA, Inc. 22548Q2Q7 04/28/16 04/28/26 100.000 VARIES 2.7488 41.29 0.023542 0.023865 0.024193 0.024526 0.024863 8.57 8.81 Credit Suisse USA, Inc. 22548Q3E3 04/14/16 04/14/26 100.000 VARIES 2.5023 25.85 0.015077 0.015266 0.015457 0.015650 0.015846 5.49 5.63 Credit Suisse USA, Inc. 22548Q5R2 05/27/16 05/27/21 100.000 0.000 2.5650 124.24 0.079908 11.67 Credit Suisse USA, Inc. 22548Q6L4 05/20/16 05/20/31 100.000 VARIES 3.7259 171.91 0.103498 0.103499 0.103500 0.103501 0.103500 37.26 37.26 Credit Suisse USA, Inc. 22548QHX6 09/28/16 09/26/24 100.000 0.000 1.3289 58.03 0.038921 0.039179 0.039440 0.039702 0.039966 14.11 14.30 Credit Suisse USA, Inc. 22548QKG9 10/28/16 10/30/23 100.000 0.000 1.6003 68.82 0.047385 0.047764 0.048146 0.048531 0.048920 17.17 17.45 Credit Suisse USA, Inc. 22548QL37 10/20/16 10/20/26 100.000 VARIES 2.2705 26.20 0.016508 0.016695 0.016885 0.017076 0.017270 6.00 6.14 Credit Suisse USA, Inc. 22548QN35 11/28/16 11/28/23 100.000 0.000 1.9557 82.90 0.058723 0.059297 0.059877 0.060463 0.061054 21.28 21.70 Credit Suisse USA, Inc. 22548X2E9 12/05/16 12/05/23 100.000 0.125 2.0339 85.71 0.060967 0.061551 0.062142 0.062738 0.063341 22.08 22.51 Credit Suisse AG London 22548Y124 07/05/19 06/27/25 100.000 0.000 2.3699 35.71 0.068164 0.068972 0.069789 0.070616 0.071453 24.69 25.28 Credit Suisse AG Nassau 22549E606 04/05/18 04/05/23 100.000 0.000 3.4300 97.66 0.103733 0.105512 0.107322 0.109162 0.111035 37.97 39.29 Credit Suisse AG London 22549JY95 08/14/19 03/25/24 100.000 0.125 2.2368 31.19 0.063604 0.064277 0.064957 0.065645 0.066340 23.15 23.64 Credit Suisse AG Nassau 22549K2A4 06/23/17 06/24/24 100.000 0.500 1.9627 70.69 0.057404 0.057831 0.058262 0.058698 0.059138 20.75 21.06 Credit Suisse AG Nassau 22549M137 05/03/18 05/06/25 100.000 0.000 3.7900 105.12 0.115675 0.117867 0.120100 0.122376 0.124695 42.28 43.90 Credit Suisse AG London 22549M780 08/03/18 08/03/22 100.000 0.000 2.9664 73.59 0.087397 0.088693 0.090009 0.091344 32.08 19.32 Credit Suisse USA, Inc. 2254M0CR5 02/18/11 02/18/21 100.000 VARIES 2.0492 0.012035 0.57 Credit Suisse AG Nassau 22550BMY6 10/31/17 04/28/23 100.000 0.000 2.2940 74.99 0.068228 0.069010 0.069802 0.070603 0.071412 24.80 25.37 Credit Suisse AG London 22550V521 03/31/20 03/31/25 100.000 0.000 3.1499 23.84 0.088876 0.090275 0.091697 0.093141 0.094608 32.50 33.54 Credit Suisse AG Nassau 22550WHJ9 03/07/18 03/07/23 100.000 0.000 3.2901 96.31 0.099159 0.100790 0.102448 0.104133 0.105846 36.37 37.57 Credit Suisse AG Nassau 22550WHK6 03/08/18 03/05/21 100.000 0.000 3.0200 88.03 0.090396 5.79 Credit Suisse AG London 22550WNS2 04/18/18 04/18/23 100.000 0.000 3.4700 97.48 0.105045 0.106867 0.108721 0.110608 0.112527 38.41 39.76 Credit Suisse AG London 22550WP43 04/30/18 04/28/23 100.000 0.000 3.5000 97.09 0.106013 0.107869 0.109756 0.111677 0.113632 38.73 40.10 Credit Suisse AG London 22550WR82 05/30/18 11/29/22 100.000 0.000 2.8700 76.50 0.085604 0.086832 0.088078 0.089342 31.12 29.12 Credit Suisse AG London 22550WRD1 06/05/18 06/03/21 100.000 0.000 2.8999 76.88 0.086552 13.16 Credit Suisse AG London 22550WVQ7 07/05/18 07/02/21 100.000 0.000 2.8699 73.50 0.084376 0.085587 15.49 Credit Suisse AG London 22550WYM3 08/03/18 08/04/21 100.000 0.000 2.9399 72.92 0.086578 0.087851 18.67 Credit Suisse AG London 22550WZX8 07/27/18 01/28/21 100.000 0.000 2.9400 73.44 0.086582 2.34 Credit Suisse AG London 22551L2C3 09/06/18 09/03/21 100.000 0.000 2.8600 68.11 0.084067 0.085269 20.56 Credit Suisse AG London 22551L2R0 08/31/18 03/04/21 100.000 0.000 2.8797 69.10 0.084727 5.34 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse AG London 22551L3R9 08/10/18 08/12/25 100.000 0.000 2.9800 73.33 0.087837 0.089145 0.090474 0.091822 0.093190 32.22 33.19 Credit Suisse AG London 22551L6G0 10/03/18 10/01/21 100.000 0.000 3.0600 70.57 0.090307 0.091689 24.63 Credit Suisse AG London 22551L6Z8 09/28/18 03/30/21 100.000 0.000 3.0401 70.55 0.089715 7.98 Credit Suisse AG London 22551L7B0 10/03/18 04/01/21 100.000 0.000 3.0299 69.86 0.089368 8.04 Credit Suisse AG London 22551LDC1 11/05/18 11/03/21 100.000 0.000 3.0900 68.36 0.091247 0.092657 27.81 Credit Suisse AG London 22551LDT4 10/30/18 04/29/21 100.000 0.000 3.0499 67.90 0.090001 10.62 Credit Suisse AG London 22551LF96 10/17/18 10/15/21 100.000 0.000 3.1055 70.36 0.091731 0.093156 26.31 Credit Suisse AG London 22551LFL9 10/30/18 10/30/24 100.000 0.000 3.0899 68.81 0.091260 0.092670 0.094102 0.095555 0.097032 33.28 34.32 Credit Suisse AG London 22551LJM3 12/05/18 12/03/21 100.000 0.000 3.0200 64.10 0.089058 0.090403 29.81 Credit Suisse AG London 22551LJP6 11/30/18 11/30/23 100.000 0.000 3.0301 64.76 0.089386 0.090740 0.092115 0.093510 0.094927 32.51 33.50 Credit Suisse AG London 22551LJQ4 11/30/18 06/02/21 100.000 0.000 3.0198 64.54 0.089080 13.45 Credit Suisse AG London 22551LK58 11/30/18 06/02/21 100.000 0.000 3.0198 64.54 0.089080 13.45 Credit Suisse AG London 22551LMG2 01/03/19 12/31/21 100.000 0.000 2.6999 54.95 0.079112 0.080180 28.59 Credit Suisse AG London 22551LMT4 12/31/18 06/28/21 100.000 0.000 2.7900 57.06 0.081904 14.50 Credit Suisse AG London 22551LN30 12/31/18 12/29/23 100.000 0.000 2.7300 55.81 0.080053 0.081145 0.082253 0.083376 0.084514 29.02 29.82 Credit Suisse AG London 22551LN48 01/03/19 01/03/24 100.000 0.000 2.8700 58.48 0.083204 0.084398 0.085609 0.086837 0.088083 30.60 31.48 Credit Suisse AG London 22551LN55 12/31/18 06/28/21 100.000 0.000 2.7900 57.06 0.081904 14.50 Credit Suisse AG London 22551LN63 12/31/18 12/29/23 100.000 0.000 2.7268 55.74 0.079954 0.081044 0.082149 0.083269 0.084404 28.98 29.78 Credit Suisse AG London 22551LP95 12/27/18 12/24/21 100.000 0.000 2.7299 56.05 0.080039 0.081131 28.45 Credit Suisse AG London 22551LPX2 12/19/18 12/17/21 100.000 0.000 2.8499 59.23 0.083759 0.084953 29.20 Credit Suisse AG London 22551LPZ7 12/19/18 12/17/21 100.000 0.000 2.8499 59.23 0.083759 0.084953 29.20 Credit Suisse AG London 22551LQ29 12/19/18 12/17/21 100.000 0.000 2.8499 59.23 0.083759 0.084953 29.20 Credit Suisse AG London 22551LQ37 12/19/18 12/17/21 100.000 0.000 2.8499 59.23 0.083759 0.084953 29.20 Credit Suisse AG London 22551LQ86 12/19/18 12/17/21 100.000 0.000 2.8499 59.23 0.083759 0.084953 29.20 Credit Suisse AG London 22551LQ94 12/19/18 12/17/21 100.000 0.000 2.8499 59.23 0.083759 0.084953 29.20 Credit Suisse AG London 22551LQA1 12/19/18 12/17/21 100.000 0.000 2.8499 59.23 0.083759 0.084953 29.20 Credit Suisse AG London 22551LQB9 12/19/18 12/17/21 100.000 0.000 2.8499 59.23 0.083759 0.084953 29.20 Credit Suisse AG London 22551LQP8 01/03/19 01/03/24 100.000 0.000 2.8700 58.48 0.083204 0.084398 0.085609 0.086837 0.088083 30.60 31.48 Credit Suisse AG London 22551LRA0 01/31/19 02/02/22 100.000 0.000 2.8699 56.24 0.083215 0.084409 0.085620 30.53 2.65 Credit Suisse AG London 22551LRH5 01/31/19 02/01/24 100.000 0.000 2.8700 56.23 0.083209 0.084403 0.085614 0.086843 0.088089 30.53 31.41 Credit Suisse AG London 22551LRS1 02/05/19 02/03/22 100.000 0.000 2.5500 49.48 0.073568 0.074506 0.075456 26.93 2.41 Credit Suisse AG London 22551LRW2 02/05/19 02/05/24 100.000 0.000 2.6101 50.67 0.075377 0.076361 0.077358 0.078367 0.079390 27.60 28.33 Credit Suisse AG London 22551LSG6 01/31/19 02/02/22 100.000 0.000 2.8699 56.24 0.083215 0.084409 0.085620 30.53 2.65 Credit Suisse AG London 22551LSS0 01/25/19 01/24/24 100.000 0.000 2.8700 56.65 0.083197 0.084391 0.085602 0.086831 0.088077 30.54 31.43 Credit Suisse AG London 22551LST8 01/25/19 01/24/24 100.000 0.000 2.8700 56.65 0.083197 0.084391 0.085602 0.086831 0.088077 30.54 31.43 Credit Suisse AG 22551LUZ1 03/05/19 03/03/22 100.000 0.000 2.5701 47.65 0.074168 0.075121 0.076087 27.10 4.72 Credit Suisse AG London 22551LVC1 02/22/19 02/22/24 100.000 0.000 2.6101 49.39 0.075377 0.076361 0.077358 0.078367 0.079390 27.57 28.29 Credit Suisse AG London 22551LVE7 02/22/19 02/22/24 100.000 0.000 2.6101 49.39 0.075377 0.076361 0.077358 0.078367 0.079390 27.57 28.29 Credit Suisse AG 22551LVQ0 03/05/19 03/04/24 100.000 0.000 2.5700 47.65 0.074171 0.075124 0.076089 0.077067 0.078057 27.10 27.80 Credit Suisse AG London 22551LW22 02/06/19 02/03/21 100.000 0.000 2.6499 51.38 0.076555 2.45 Credit Suisse AG 22551LW89 02/28/19 03/02/22 100.000 0.000 2.6052 48.85 0.075255 0.076235 0.077228 27.50 4.71 Credit Suisse AG London 22551LW97 02/28/19 03/02/22 100.000 0.000 2.6052 48.85 0.075255 0.076235 0.077228 27.50 4.71 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse AG London 22551LWA4 02/28/19 03/02/22 100.000 0.000 3.0343 57.06 0.088209 0.089548 0.090906 32.32 5.55 Credit Suisse AG London 22551LXW5 03/29/19 03/29/24 100.000 0.000 2.5700 45.87 0.074176 0.075129 0.076094 0.077072 0.078063 27.05 27.75 Credit Suisse AG 22551LXX3 03/29/19 03/29/24 100.000 0.000 2.5700 45.87 0.074176 0.075129 0.076094 0.077072 0.078063 27.05 27.75 Credit Suisse AG London 22551LYG9 04/03/19 04/01/22 100.000 0.000 2.4998 44.31 0.072066 0.072967 0.073879 26.27 6.65 Credit Suisse AG London 22551LZD5 03/29/19 03/31/22 100.000 0.000 2.5701 45.87 0.074185 0.075138 0.076104 27.05 6.77 Credit Suisse AG London 22551LZU7 03/29/19 03/29/24 100.000 0.000 2.5700 45.87 0.074176 0.075129 0.076094 0.077072 0.078063 27.05 27.75 Credit Suisse AG London 22551LZV5 04/03/19 04/02/24 100.000 0.000 2.5300 44.85 0.072973 0.073896 0.074831 0.075778 0.076736 26.60 27.28 Credit Suisse AG London 22551N4H6 11/29/19 05/29/25 100.000 0.000 2.2500 24.67 0.063914 0.064633 0.065360 0.066095 0.066839 23.18 23.71 Credit Suisse AG London 22551N4J2 11/29/19 11/29/23 100.000 0.000 2.1299 23.35 0.060431 0.061074 0.061725 0.062382 0.063046 21.91 22.38 Credit Suisse AG London 22551N4R4 11/07/19 11/07/29 100.000 0.000 2.4600 28.53 0.070024 0.070886 0.071757 0.072640 0.073533 25.46 26.09 Credit Suisse AG London 22551N6J0 11/29/19 08/30/23 100.000 0.000 2.0196 22.15 0.056955 0.057524 0.058111 0.058692 0.059291 20.75 21.17 Credit Suisse AG 22551N6K7 11/29/19 02/29/24 100.000 0.000 2.0697 22.70 0.058388 0.058989 0.059603 0.060217 0.060843 21.28 21.72 Credit Suisse AG London 22551NAX4 12/02/19 12/01/26 100.000 0.000 2.2800 24.81 0.064782 0.065520 0.066267 0.067023 0.067787 23.50 24.04 Credit Suisse AG London 22551NCE4 12/30/19 06/27/25 100.000 0.000 2.3800 24.01 0.067681 0.068486 0.069301 0.070126 0.070960 24.52 25.10 Credit Suisse AG London 22551NCF1 12/30/19 12/28/23 100.000 0.000 2.0500 20.66 0.058111 0.058707 0.059308 0.059916 0.060530 21.03 21.46 Credit Suisse AG 22551ND78 12/31/19 09/29/23 100.000 0.000 2.0695 20.89 0.058379 0.058983 0.059593 0.060210 0.060833 21.24 21.68 Credit Suisse AG London 22551NH33 01/31/20 01/29/27* 100.000 0.000 2.0500 18.94 0.057525 1.61* Credit Suisse AG London 22551NH41 01/31/20 11/02/23 100.000 0.000 1.7996 16.63 0.050672 0.051128 0.051588 0.052052 0.052520 18.38 18.71 Credit Suisse AG London 22551NH58 01/31/20 05/02/24 100.000 0.000 1.8197 16.81 0.051245 0.051712 0.052182 0.052657 0.053136 18.59 18.93 Credit Suisse AG London 22551NHA7 01/31/20 07/31/25 100.000 0.000 2.0500 18.94 0.057528 0.058118 0.058714 0.059315 0.059923 21.00 21.43 Credit Suisse AG London 22551NHB5 01/31/20 01/31/24 100.000 0.000 1.7401 16.06 0.048756 0.049180 0.049608 0.050040 0.050475 17.76 18.07 Credit Suisse AG London 22551NMV5 02/28/20 03/02/26 100.000 0.000 1.7500 14.78 0.049046 0.049475 0.049908 0.050345 0.050786 17.84 18.15 Credit Suisse AG London 22551NMX1 02/28/20 02/28/24 100.000 0.000 1.5699 13.26 0.043952 0.044297 0.044644 0.044995 0.045348 15.97 16.22 Credit Suisse AG London 22551NNC6 02/28/20 08/29/24 100.000 0.000 1.7501 14.78 0.049041 0.049468 0.049903 0.050338 0.050780 17.84 18.15 Credit Suisse AG 22551NWL6 04/01/20 10/02/25 100.000 0.000 3.0199 22.76 0.085160 0.086446 0.087752 0.089077 0.090422 31.12 32.07 Credit Suisse AG London 22551NWN2 04/07/20 04/07/25 100.000 0.000 2.4500 18.04 0.068890 0.069734 0.070588 0.071453 0.072328 25.10 25.71 Credit Suisse AG London 22551NXV3 04/24/20 10/22/25 100.000 0.000 1.8700 12.86 0.052424 0.052914 0.053409 0.053908 0.054412 19.03 19.39 Credit Suisse AG London 22551NY67 04/21/20 04/21/25 100.000 0.000 2.6886 18.74 0.075687 0.076704 0.077736 0.078781 0.079840 27.57 28.32 Credit Suisse AG London 22552F4S8 05/03/19 05/04/22 100.000 0.000 2.3599 39.76 0.067906 0.068707 0.069518 24.68 8.55 Credit Suisse AG London 22552F5M0 04/26/19 04/25/22 100.000 0.000 2.5000 42.66 0.072077 0.072978 0.073890 26.23 8.42 Credit Suisse AG London 22552F5N8 04/26/19 04/25/22 100.000 0.000 2.5000 42.66 0.072077 0.072978 0.073890 26.23 8.42 Credit Suisse AG London 22552F5R9 04/30/19 04/28/22 100.000 0.000 2.4998 42.37 0.072066 0.072967 0.073879 26.22 8.64 Credit Suisse AG London 22552F5S7 04/30/19 04/28/22 100.000 0.000 2.7841 47.27 0.080600 0.081722 0.082860 29.36 9.69 Credit Suisse AG London 22552FA36 04/30/19 04/30/24 100.000 0.000 2.5300 42.88 0.072979 0.073902 0.074837 0.075784 0.076742 26.55 27.23 Credit Suisse AG London 22552FA44 05/03/19 05/03/24 100.000 0.000 2.3601 39.76 0.067905 0.068707 0.069517 0.070338 0.071168 24.68 25.27 Credit Suisse AG London 22552FBV3 05/31/19 06/03/24 100.000 0.000 2.3600 37.93 0.067918 0.068719 0.069530 0.070351 0.071181 24.64 25.22 Credit Suisse AG London 22552FBX9 05/31/19 06/03/24 100.000 0.000 2.3600 37.93 0.067918 0.068719 0.069530 0.070351 0.071181 24.64 25.22 Credit Suisse AG London 22552FCP5 06/05/19 06/03/22 100.000 0.000 2.3599 37.58 0.067892 0.068693 0.069504 24.63 10.56 Credit Suisse AG London 22552FDM1 05/31/19 05/31/24 100.000 0.000 2.3601 37.93 0.067905 0.068707 0.069517 0.070338 0.071168 24.64 25.23 Credit Suisse AG London 22552FDN9 06/05/19 06/03/21 100.000 0.000 2.3602 37.59 0.067900 10.32 Credit Suisse AG London 22552FDP4 05/31/19 05/31/24 100.000 0.000 2.7591 44.44 0.079856 0.080958 0.082075 0.083207 0.084355 29.02 29.82 Credit Suisse AG London 22552FDQ2 06/05/19 06/03/21 100.000 0.000 1.8831 29.91 0.053795 8.18 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse AG London 22552FDV1 05/31/19 05/31/24 100.000 0.000 2.3601 37.93 0.067905 0.068707 0.069517 0.070338 0.071168 24.64 25.23 Credit Suisse AG 22552FDW9 06/05/19 06/05/24 100.000 0.000 2.3699 37.75 0.068200 0.069008 0.069826 0.070653 0.071491 24.74 25.33 Credit Suisse AG London 22552FGF3 07/03/19 07/01/22 100.000 0.000 2.1198 32.02 0.060769 0.061414 0.062065 21.99 11.17 Credit Suisse AG London 22552FHJ4 06/28/19 06/30/22 100.000 0.000 2.3700 36.18 0.068209 0.069018 0.069836 24.70 12.50 Credit Suisse AG London 22552FHK1 06/28/19 06/30/22 100.000 0.000 2.3700 36.18 0.068209 0.069018 0.069836 24.70 12.50 Credit Suisse AG London 22552FHW5 06/28/19 09/30/24 100.000 0.000 2.3697 36.21 0.067803 0.068606 0.069419 0.070241 0.071074 24.70 25.29 Credit Suisse AG London 22552FJ45 06/28/19 06/28/24 100.000 0.000 2.3699 36.18 0.068200 0.069008 0.069826 0.070653 0.071491 24.70 25.29 Credit Suisse AG 22552FJ52 06/28/19 06/28/24 100.000 0.000 2.3699 36.18 0.068200 0.069008 0.069826 0.070653 0.071491 24.70 25.29 Credit Suisse AG London 22552FL26 07/29/19 07/29/24 100.000 0.000 2.4409 35.12 0.069468 0.070315 0.071174 0.072042 0.072921 25.42 26.04 Credit Suisse AG London 22552FLG5 07/26/19 07/26/24 100.000 0.000 2.4299 35.17 0.069149 0.069989 0.070839 0.071700 0.072571 25.31 25.93 Credit Suisse AG London 22552FLJ9 07/26/19 07/26/24 100.000 0.000 2.4299 35.17 0.069149 0.069989 0.070839 0.071700 0.072571 25.31 25.93 Credit Suisse AG London 22552FLZ3 07/29/19 04/27/23 100.000 0.000 2.3133 33.29 0.066126 0.066891 0.067665 0.068448 0.069239 24.04 24.60 Credit Suisse AG London 22552FM25 07/29/19 01/27/23 100.000 0.000 2.3138 33.27 0.065759 0.066520 0.067289 0.068068 0.068855 24.05 24.61 Credit Suisse AG London 22552FMC3 08/01/19 08/03/23 100.000 0.000 2.3500 33.66 0.066829 0.067614 0.068408 0.069212 0.070025 24.43 25.01 Credit Suisse AG London 22552FP22 07/23/19 07/21/22 100.000 0.000 2.2599 32.87 0.064195 0.064920 0.065654 0.066396 23.47 13.26 Credit Suisse AG London 22552FVG4 09/27/19 03/27/25 100.000 0.000 2.1800 27.74 0.061881 0.062556 0.063238 0.063927 0.064624 22.53 23.02 Credit Suisse AG London 22552FVH2 09/27/19 09/27/23 100.000 0.000 2.0499 26.07 0.058116 0.058712 0.059313 0.059921 0.060535 21.14 21.58 Credit Suisse AG London 22552FWD0 09/30/19 12/29/23 100.000 0.000 2.0796 26.27 0.059277 0.059894 0.060517 0.061146 0.061782 21.45 21.90 Credit Suisse AG London 22552FWE8 09/30/19 06/28/24 100.000 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Exelon Corporation 30161NAE1 06/17/14 06/01/24 100.000 VARIES 4.8846 0.141188 0.140458 0.139709 0.138942 0.138156 50.65 50.11 EXPEDIA GROUP INC 30212PAS4 05/05/20 05/01/25 100.000 6.250 6.7500 44.25 0.187500 0.187500 0.187500 0.187500 0.187500 67.50 67.50 EXPEDIA GROUP INC 30212PAU9 05/05/20 05/01/25* 100.000 7.000 7.5001 49.17 0.208335 12.92* EXPEDIA GROUP INC 30212PAZ8 07/14/20 12/15/23 99.922 3.600 3.8746 17.96 0.107554 0.107566 0.107578 0.107590 0.107602 38.72 38.73 EXPEDIA GROUP INC 30212PBB0 07/14/20 08/01/27 99.997 4.625 4.8755 22.62 0.135427 0.135427 0.135427 0.135427 0.135428 48.75 48.75 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ EXPEDIA GROUP INC 30212PBF1 03/03/21 03/15/31 99.081 2.950 3.3084 0.091056 0.091094 0.091131 0.091168 27.14 32.81 FAIRFIELD OHIO CITY SCH 304657NV7 11/06/19 11/01/29 73.964 0.000 3.0430 26.23 0.064410 0.065390 0.066385 0.067395 0.068421 23.48 24.20 FAIRFIELD OHIO CITY SCH 304657NW5 11/06/19 11/01/30 71.376 0.000 3.0931 25.73 0.063210 0.064187 0.065180 0.066188 0.067212 23.05 23.77 FAIRFIELD OHIO CITY SCH 304657NX3 11/06/19 11/01/31 68.568 0.000 3.1731 25.36 0.062342 0.063331 0.064336 0.065357 0.066393 22.74 23.47 FAIRFIELD OHIO CITY SCH 304657NY1 11/06/19 11/01/32 66.020 0.000 3.2230 24.81 0.061000 0.061983 0.062982 0.063997 0.065028 22.26 22.98 Federal Home Loan 3128X0AZ2 10/03/02 01/02/34 19.160 0.000 5.3582 311.21 0.072896 0.074849 0.076854 0.078913 0.081027 27.30 28.78 Federal Home Loan 3128X52H0 04/03/07 04/02/37 21.177 0.000 5.2422 219.53 0.062001 0.063626 0.065294 0.067006 0.068762 22.91 24.12 Federal Home Loan 3128X5LK2 10/02/06 10/02/34 24.784 0.000 5.0446 256.20 0.069761 0.071520 0.073324 0.075174 0.077070 25.75 27.06 Freddie Mac 3128X6WP7 12/21/07 12/21/37 22.860 0.000 4.9803 205.32 0.059946 0.061439 0.062969 0.064537 0.066144 21.88 22.98 Freddie Mac 3128X74S0 11/04/08 11/15/38 26.387 0.000 4.4860 188.69 0.056072 0.057330 0.058616 0.059931 0.061275 20.53 21.46 Freddie Mac 3128X75U4 11/24/08 11/15/38 27.529 0.000 4.3499 188.16 0.055690 0.056901 0.058139 0.059403 0.060695 20.38 21.28 Freddie Mac 3128X7N59 06/30/08 06/30/38 21.820 0.000 5.1394 193.32 0.058741 0.060251 0.061799 0.063387 0.065016 21.42 22.54 Freddie Mac 3128X8DG4 12/29/08 02/15/39 40.774 0.000 2.9999 175.24 0.048037 0.048757 0.049488 0.050231 0.050984 17.62 18.15 Freddie Mac 3128X9MF4 11/10/09 09/15/36 29.930 0.000 4.5439 194.51 0.061506 0.062903 0.064332 0.065794 0.067289 22.69 23.74 Freddie Mac 3128X9MG2 11/10/09 12/15/36 29.600 0.000 4.5434 192.32 0.061504 0.062901 0.064330 0.065791 0.067286 22.44 23.47 Federal Home Loan 312902LX5 12/17/99 12/17/29 14.255 0.000 6.6001 416.31 0.102197 0.105570 0.109054 0.112652 0.116370 37.49 40.01 Federal Home Loan 312902VG1 04/25/00 01/04/21 25.643 0.000 6.6857 743.03 0.179708 0.54 Federal Home Loan 312902VH9 04/25/00 01/04/22 24.042 0.000 6.6796 695.48 0.168129 0.173744 0.179547 63.56 0.54 Federal Home Loan 312902VJ5 04/25/00 01/04/23 22.536 0.000 6.6749 651.11 0.157346 0.162597 0.168024 0.173632 0.179427 59.48 63.52 Federal Home Loan 312902VK2 04/25/00 01/04/24 21.145 0.000 6.6664 609.52 0.147201 0.152108 0.157178 0.162417 0.167831 55.64 59.41 Federal Home Loan 312902VL0 04/25/00 01/04/25 20.007 0.000 6.6235 570.07 0.137227 0.141771 0.146467 0.151317 0.156328 51.86 55.35 Federal Home Loan 312902VM8 04/25/00 01/04/26 18.780 0.000 6.6160 534.02 0.128475 0.132725 0.137116 0.141652 0.146337 48.55 51.81 Federal Home Loan 312902VN6 04/25/00 01/04/27 17.654 0.000 6.6034 500.29 0.120245 0.124215 0.128317 0.132553 0.136930 45.43 48.48 Federal Home Loan Banks 3130A0MR8 01/22/14 01/22/21 100.000 VARIES 2.3229 0.065076 1.37 Federal Home Loan Banks 3130A1DD7 03/26/14 03/26/21 100.000 VARIES 2.2862 0.064051 5.44 Federal Home Loan Banks 3130A1DV7 03/26/14 03/26/21 100.000 VARIES 2.3282 0.065225 5.54 Federal Home Loan 3134A1H60 10/22/97 06/03/24 16.813 0.000 6.8127 627.05 0.149687 0.154786 0.160059 0.165511 0.171149 55.10 58.91 Federal Home Loan 3134A2G77 12/28/98 11/15/28 20.230 0.000 5.4199 454.14 0.098150 0.100809 0.103541 0.106347 0.109229 36.06 38.04 Federal Home Loan 3134A2HG6 06/30/98 12/11/25 19.896 0.000 5.9700 548.69 0.123575 0.127264 0.131062 0.134975 0.139004 45.30 48.05 Federal Home Loan 3134A3D29 09/09/99 08/15/27 14.928 0.000 6.9258 487.86 0.119449 0.123585 0.127865 0.132293 0.136874 44.89 48.05 Federal Home Loan 3134A3ZU3 08/02/99 12/14/29 15.469 0.000 6.2411 422.16 0.099711 0.102823 0.106031 0.109340 0.112752 36.56 38.88 Federal National 3136F1EQ9 12/27/01 03/17/31 16.751 0.000 6.2082 368.19 0.090755 0.093572 0.096476 0.099471 0.102559 33.77 35.90 Federal National 3136F3LA2 04/04/03 10/03/33 20.285 0.000 5.2999 310.32 0.074583 0.076559 0.078588 0.080671 0.082808 27.56 29.04 Federal National 3136F3ZC3 06/09/03 12/15/33 23.674 0.000 N/A 0.072611 0.074356 0.076143 0.077972 0.079846 26.51 27.80 Federal National 3136F4R55 01/07/04 12/15/34 18.268 0.000 5.5708 281.83 0.071703 0.073700 0.075753 0.077863 0.080032 26.24 27.72 Federal National 3136F7NM5 11/15/05 11/15/30 26.938 0.000 5.3159 326.40 0.087383 0.089705 0.092089 0.094537 0.097050 32.09 33.82 FLORIDA DEV FIN CORP EDL 34061UGW2 01/28/21 06/15/31 93.000 8.250 9.3165 0.011510 0.011918 0.012473 0.013054 0.013662 3.92 4.61 FLOUR BLUFF TEX INDPT SC 343400EQ6 08/19/20 08/15/23 97.548 0.000 0.8323 2.98 0.022553 0.022645 0.022739 0.022834 0.022929 8.16 8.23 FLOUR BLUFF TEX INDPT SC 343400ER4 08/19/20 08/15/24 96.122 0.000 0.9940 3.50 0.026541 0.026670 0.026802 0.026935 0.027069 9.61 9.71 Forney Independent SD, T 3464242U7 02/18/14 08/15/39 16.888 0.000 7.1001 103.88 0.052390 0.054250 0.056176 0.058170 0.060235 19.71 21.13 Forney Independent SD, T 3464242V5 02/18/14 08/15/40 15.550 0.000 7.1501 96.48 0.048731 0.050473 0.052277 0.054146 0.056082 18.34 19.67 Forney Independent SD, T 3464242W3 02/18/14 08/15/41 14.304 0.000 7.2001 89.52 0.045281 0.046911 0.048600 0.050350 0.052162 17.05 18.30 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Forney Independent SD, T 3464242X1 02/18/14 08/15/42 13.145 0.000 7.2501 82.98 0.042033 0.043557 0.045136 0.046772 0.048468 15.83 17.00 Forney Independent SD, T 3464242Y9 02/18/14 08/15/43 12.068 0.000 7.3002 76.84 0.038978 0.040401 0.041876 0.043404 0.044989 14.68 15.77 Forney Independent SD, T 3464242Z6 02/18/14 08/15/44 11.069 0.000 7.3502 71.08 0.036109 0.037436 0.038812 0.040239 0.041718 13.61 14.62 Forney Independent SD, T 3464243A0 02/18/14 08/15/45 10.143 0.000 7.4002 65.68 0.033418 0.034655 0.035937 0.037266 0.038645 12.60 13.54 Forney Independent SD, T 3464243B8 02/18/14 08/15/46 9.141 0.000 7.5003 60.20 0.030716 0.031868 0.033063 0.034303 0.035589 11.58 12.47 Forney Independent SD, T 3464243C6 02/18/14 08/15/47 8.223 0.000 7.6001 55.06 0.028174 0.029245 0.030356 0.031510 0.032707 10.63 11.46 Forney Independent SD, T 3464243D4 02/18/14 08/15/48 7.382 0.000 7.7003 50.25 0.025787 0.026780 0.027811 0.028882 0.029994 9.74 10.50 Forney Independent SD, T 3464243E2 02/18/14 08/15/49 6.615 0.000 7.8003 45.76 0.023554 0.024473 0.025428 0.026419 0.027450 8.90 9.61 Forney Independent SD, T 3464243F9 02/18/14 08/15/50 6.021 0.000 7.8503 41.99 0.021644 0.022494 0.023377 0.024294 0.025248 8.18 8.84 Forney Independent SD, T 3464243G7 02/18/14 08/15/51 5.475 0.000 7.9003 38.49 0.019869 0.020654 0.021470 0.022318 0.023200 7.51 8.12 Forney Independent SD, T 3464243H5 02/18/14 08/15/52 4.974 0.000 7.9503 35.25 0.018222 0.018946 0.019699 0.020482 0.021297 6.89 7.45 Forney Independent SD, T 3464243J1 02/18/14 08/15/53 4.514 0.000 8.0005 32.25 0.016693 0.017361 0.018056 0.018778 0.019529 6.32 6.83 Forney Independent SD, T 346424X90 08/27/13 08/15/38 17.946 0.000 7.0000 118.04 0.056356 0.058329 0.060370 0.062483 0.064670 21.19 22.70 Forney Independent SD, T 346424Y24 08/27/13 08/15/39 16.544 0.000 7.0499 109.79 0.052501 0.054352 0.056268 0.058251 0.060304 19.75 21.16 Forney Independent SD, T 346424Y32 08/27/13 08/15/40 15.436 0.000 7.0501 102.44 0.048986 0.050713 0.052501 0.054351 0.056267 18.42 19.75 Forney Independent SD, T 346424Y40 08/27/13 08/15/41 14.210 0.000 7.0999 95.14 0.045567 0.047185 0.048860 0.050594 0.052391 17.14 18.38 Forney Independent SD, T 346424Y57 08/27/13 08/15/42 13.252 0.000 7.1001 88.73 0.042496 0.044005 0.045567 0.047185 0.048860 15.99 17.14 Forney Independent SD, T 346424Y65 08/27/13 08/15/43 12.359 0.000 7.1000 82.75 0.039632 0.041039 0.042496 0.044005 0.045567 14.91 15.99 Franklin CNTYS, IL 352415EL3 09/30/16 12/01/21 106.144 4.500 3.2012 141.57 0.090049 0.089490 29.62 FRENSHIP TEX INDPT SCH D 357866YY2 12/17/19 02/15/21 97.847 0.000 1.8825 19.25 0.051804 2.28 FRENSHIP TEX INDPT SCH D 357866ZH8 10/29/20 02/15/22 99.262 0.000 0.5730 0.98 0.015799 0.015825 0.015871 5.70 0.70 FRENSHIP TEX INDPT SCH D 357866ZJ4 10/29/20 02/15/23 98.355 0.000 0.7241 1.23 0.019784 0.019827 0.019898 0.019970 0.020043 7.15 7.20 FRISCO TEX INDPT SCH DIS 35880CD27 07/15/20 02/15/22 98.549 0.000 0.9252 4.21 0.025346 0.025463 0.025581 9.18 1.13 FRISCO TEX INDPT SCH DIS 35880CD35 07/15/20 02/15/23 97.133 0.000 1.1291 5.06 0.030494 0.030666 0.030839 0.031013 0.031188 11.06 11.18 FRISCO TEX INDPT SCH DIS 35880CD43 07/15/20 02/15/24 95.313 0.000 1.3441 5.91 0.035625 0.035864 0.036105 0.036348 0.036592 12.93 13.11 FRISCO TEX INDPT SCH DIS 35880CD50 07/15/20 02/15/25 93.831 0.000 1.3940 6.04 0.036377 0.036630 0.036885 0.037142 0.037401 13.21 13.40 FRISCO TEX INDPT SCH DIS 35880CS54 06/22/21 02/15/29 87.101 0.000 1.8140 0.043889 0.044006 0.044405 0.044808 8.31 16.02 GCI LIBERTY INC 36164VAA5 06/18/18 09/30/46 100.000 1.750 6.9511 186.22 0.217505 0.223375 0.229449 0.235734 0.242238 80.45 84.90 GS Finance Corp. 362273AG9 12/17/15 06/19/23 100.000 0.000 2.9199 0.093772 0.095141 0.096530 0.097940 0.099369 34.04 35.04 GS Finance Corp. 362273BK9 07/06/17 07/08/24 100.000 0.250 2.8998 105.06 0.087094 0.088256 0.089435 0.090631 0.091845 31.97 32.83 GS Finance Corp. 36253M679 09/14/17 09/16/21 100.000 0.000 2.2324 75.96 0.066291 0.067031 17.04 GS Finance Corp. 36253M687 09/14/17 09/15/22 100.000 0.000 2.3683 80.74 0.070604 0.071440 0.072286 0.073142 25.75 18.51 GS Finance Corp. 36253M695 09/14/17 09/14/23 100.000 0.000 2.6628 91.16 0.080074 0.081141 0.082221 0.083316 0.084425 29.25 30.03 GS Finance Corp. 36253M703 09/14/17 09/15/22 100.000 0.000 2.3683 80.74 0.070604 0.071440 0.072286 0.073142 25.75 18.51 GS Finance Corp. 36253M711 09/14/17 09/14/23 100.000 0.000 2.6628 91.16 0.080074 0.081141 0.082221 0.083316 0.084425 29.25 30.03 GS Finance Corp. 36254F582 02/05/18 02/05/25 100.000 0.000 3.4781 105.41 0.105313 0.107144 0.109008 0.110904 0.112832 38.78 40.14 GS Fin Corp Medium Term 36255H2A5 06/22/18 06/23/25 100.000 0.500 4.0576 106.23 0.123164 0.125381 0.127643 0.129951 0.132306 44.77 46.40 GS Finance Corp. 36255U232 08/03/18 08/05/25 100.000 0.000 4.0135 100.59 0.120736 0.123159 0.125631 0.128152 0.130724 44.62 46.42 GS Finance Corp. 36256M502 11/15/18 07/28/22 100.000 0.000 3.7853 83.13 0.112083 0.114205 0.116366 0.118569 41.39 24.48 GS Finance Corp. 36256M569 11/15/18 11/14/23 100.000 0.000 3.9688 87.26 0.119246 0.121613 0.124026 0.126487 0.128997 43.58 45.33 GS Finance Corp. 36256M858 02/05/19 02/05/24 100.000 0.000 3.5778 69.94 0.104813 0.106688 0.108597 0.110539 0.112517 38.62 40.02 GS Finance Corp. 36257D436 05/01/19 09/20/23 100.000 0.000 3.1913 54.24 0.092627 0.094105 0.095607 0.097132 0.098682 33.91 35.00 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 36257D808 07/03/19 01/03/24 100.000 0.000 2.6546 40.20 0.075710 0.076714 0.077733 0.078764 0.079810 27.80 28.54 GS Finance Corp. 36257W178 08/05/19 08/05/24 100.000 0.000 2.7442 39.07 0.078334 0.079409 0.080499 0.081603 0.082723 28.71 29.50 GS Finance Corp. 36257W517 08/14/19 08/12/22 100.000 0.000 2.2407 31.25 0.063636 0.064349 0.065070 0.065799 23.24 14.51 GS Finance Corp. 36258L742 12/04/19 06/04/25 100.000 0.000 2.4932 27.00 0.070993 0.071878 0.072774 0.073681 0.074599 25.76 26.41 GS Finance Corp. 36259E770 02/05/20 08/05/25 100.000 0.000 2.1693 19.74 0.060913 0.061574 0.062242 0.062917 0.063599 22.24 22.73 GS Finance Corp. 36259Y735 04/07/21 04/05/28 100.000 0.000 2.1083 0.058565 0.059175 0.059799 0.060429 15.51 21.52 GS Finance Corp. 36260W405 04/20/21 04/20/26 100.000 0.000 0.8823 0.024508 0.024616 0.024724 0.024833 6.16 8.90 GS Finance Corp. 36260W421 05/06/21 05/04/28 100.000 0.000 1.9831 0.055085 0.055625 0.056177 0.056734 12.98 20.19 GS Finance Corp. 36260W587 05/19/21 06/03/26 100.000 0.000 1.4218 0.039494 0.039516 0.039796 0.040079 0.040364 8.78 14.39 GDB DEBT RECOVERY AUTH O 36829QAA3 11/29/18 08/20/40 70.440 7.500 3.1900 62.89 0.053257 0.052659 0.049337 0.048757 0.045413 18.81 17.38 General Cable Corp. 369300AL2 12/18/09 11/15/29 100.000 VARIES 12.5014 0.960283 1.012848 1.068699 1.127185 1.189327 360.15 400.81 Genworth Holdings Inc 372491AF7 10/03/18 08/15/23* 86.900 4.900 8.2191 54.16 0.072405 0.075381 0.078478 26.17* Genworth Holdings Inc 372491AG5 10/03/18 02/15/24 85.790 4.800 8.1180 52.23 0.069761 0.072592 0.075539 0.078605 0.081796 26.41 28.60 GLADEWATER CNTY LINE IND 376470DB3 12/31/20 08/15/24 97.131 0.000 0.8046 0.02 0.021709 0.021731 0.021818 0.021906 0.021994 7.83 7.89 GLADEWATER CNTY LINE IND 376470DC1 12/31/20 08/15/25 95.691 0.000 0.9546 0.03 0.025373 0.025404 0.025525 0.025647 0.025769 9.16 9.24 GLADEWATER CNTY LINE IND 376470DD9 12/31/20 08/15/26 93.714 0.000 1.1575 0.03 0.030131 0.030174 0.030349 0.030524 0.030701 10.88 11.01 Goldman Sachs Group, Inc 38141GGV0 10/30/12 10/30/27 100.000 VARIES 4.6427 0.118845 0.119440 0.120049 0.120770 0.121507 42.96 43.44 Goldman Sachs Group, Inc 38141GHQ0 11/19/12 11/19/27 100.000 VARIES 4.0948 0.105286 0.105764 0.106251 0.106833 0.107427 38.03 38.40 Goldman Sachs Group, Inc 38141GMD3 01/23/13 01/23/28 100.000 VARIES 4.3421 0.108406 0.109016 0.109640 0.110278 0.111060 39.33 39.81 Goldman Sachs Group, Inc 38141GMR2 02/11/13 02/11/28 100.000 VARIES 4.2924 0.107620 0.108211 0.108815 0.109432 0.110171 39.02 39.47 Goldman Sachs Group, Inc 38141GPC2 02/28/13 02/29/28 100.000 VARIES 4.2915 0.104383 0.103265 0.105584 0.104472 0.107076 38.04 38.52 Goldman Sachs Group, Inc 38141GPU2 03/06/13 03/06/28 100.000 VARIES 4.1925 0.103449 0.104030 0.104623 0.105229 0.106045 37.48 37.94 Goldman Sachs Group, Inc 38141GQL1 03/22/13 03/22/28 100.000 VARIES 4.6902 0.117928 0.118388 0.119056 0.119740 0.120440 42.65 43.12 Goldman Sachs Group, Inc 38141GQW7 03/27/13 03/27/28 100.000 VARIES 4.6888 0.117837 0.118312 0.118994 0.119692 0.120406 42.62 43.10 Goldman Sachs Group, Inc 38141GSM7 04/30/13 04/30/28 100.000 VARIES 4.3925 0.111480 0.111986 0.112502 0.113030 0.113678 40.29 40.67 Goldman Sachs Group, Inc 38141GST2 05/31/13 06/03/21 100.000 0.000 3.4201 0.122553 18.63 Goldman Sachs Group, Inc 38141GTW4 05/30/13 05/30/28 100.000 VARIES 4.3920 0.110839 0.111395 0.111964 0.112545 0.113255 40.04 40.45 Goldman Sachs Group, Inc 38141GTZ7 05/23/13 05/23/28 100.000 VARIES 4.4916 0.112668 0.113276 0.113898 0.114535 0.115298 40.72 41.17 Goldman Sachs Group, Inc 38141GUF9 06/06/13 06/06/28 100.000 VARIES 4.4921 0.113702 0.114274 0.114860 0.115459 0.116165 41.06 41.49 Goldman Sachs Group, Inc 38141GWH3 05/31/17 05/31/27 100.000 VARIES 3.6188 14.95 0.010778 0.010973 0.011137 0.011304 0.011447 3.93 4.05 Goldman Sachs Group, Inc 38143USM4 03/18/11 03/18/21 100.000 VARIES 5.2914 0.147677 11.37 Goldman Sachs Group, Inc 38143UTN1 04/13/11 04/13/21 100.000 VARIES 5.2208 0.145462 14.84 Goldman Sachs Group, Inc 38143UUA7 04/29/11 04/29/21 100.000 VARIES 2.1672 0.017676 2.09 Goldman Sachs Group, Inc 38143UUY5 07/20/11 07/20/21 100.000 0.000 5.1298 0.224792 0.230558 45.77 Goldman Sachs Group, Inc 38143UVG3 06/07/11 06/07/21 100.000 VARIES 2.2754 0.018441 2.88 Goldman Sachs Group, Inc 38147Q2D7 04/30/14 05/03/21 100.000 0.000 3.0002 0.101162 12.34 Goldman Sachs Group, Inc 38147Q2G0 04/30/14 11/02/21 100.000 0.000 3.1299 0.106410 0.108075 32.33 Goldman Sachs Group, Inc 38147Q2H8 04/14/14 04/14/29* 100.000 VARIES 4.5255 0.111562 1.56* Goldman Sachs Group, Inc 38147Q4M5 05/30/14 12/02/21 100.000 0.000 3.0000 0.101146 0.102663 33.75 Goldman Sachs Group, Inc 38147Q5E2 12/13/13 12/13/28 100.000 VARIES 4.9491 0.118299 0.118964 0.119646 0.120609 0.121594 42.73 43.28 Goldman Sachs Group, Inc 38147Q5M4 05/21/14 05/21/29 100.000 VARIES 4.4103 0.112034 0.112487 0.112951 0.113424 0.113940 40.45 40.79 Goldman Sachs Group, Inc 38147Q7D2 06/30/14 12/30/21 100.000 0.000 3.0001 0.101133 0.102650 36.58 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38147QA89 06/26/14 06/26/29 100.000 VARIES 4.3665 0.112677 0.113025 0.113381 0.113745 0.114200 40.63 40.89 Goldman Sachs Group, Inc 38147QAK2 01/10/14 01/10/29* 100.000 VARIES 4.9699 0.118877 0.119451 1.19* Goldman Sachs Group, Inc 38147QB39 06/18/14 06/17/21 100.000 0.000 3.2500 0.111313 18.48 Goldman Sachs Group, Inc 38147QBB1 01/31/14 02/03/21 100.000 0.000 3.2502 0.111362 3.56 Goldman Sachs Group, Inc 38147QC20 10/25/13 10/25/28 100.000 VARIES 4.8590 0.121209 0.121760 0.122324 0.123067 0.123828 43.81 44.27 Goldman Sachs Group, Inc 38147QC46 07/31/14 08/03/21 100.000 0.000 3.1497 0.105564 0.107226 22.68 Goldman Sachs Group, Inc 38147QCN4 06/19/13 06/19/28 100.000 VARIES 4.6926 0.119993 0.120510 0.121039 0.121581 0.122221 43.30 43.69 Goldman Sachs Group, Inc 38147QDF0 01/23/14 01/23/29* 100.000 VARIES 4.9794 0.125244 0.126083 3.01* Goldman Sachs Group, Inc 38147QDL7 08/18/14 08/18/29* 100.000 VARIES 4.3047 0.108979 5.23* Goldman Sachs Group, Inc 38147QDV5 08/29/14 09/01/21 100.000 0.000 3.0001 0.099656 0.101150 24.19 Goldman Sachs Group, Inc 38147QEX0 01/24/14 01/24/29* 100.000 VARIES 4.8384 0.116175 0.116754 2.79* Goldman Sachs Group, Inc 38147QFL5 09/30/14 09/30/21 100.000 0.000 3.0002 0.099641 0.101136 27.07 Goldman Sachs Group, Inc 38147QGA8 07/22/13 07/22/28 100.000 VARIES 4.9007 0.124420 0.125034 0.125663 0.126307 0.126968 45.10 45.56 Goldman Sachs Group, Inc 38147QGP5 02/05/14 02/05/29* 100.000 VARIES 4.7103 0.118083 4.13* Goldman Sachs Group, Inc 38147QH58 10/10/14 02/10/22 100.000 0.000 3.4944 0.118808 0.120884 0.122996 43.74 4.80 Goldman Sachs Group, Inc 38147QH74 10/10/14 02/10/22 100.000 0.000 3.4944 0.118808 0.120884 0.122996 43.74 4.80 Goldman Sachs Group, Inc 38147QHS8 08/02/13 08/02/28 100.000 VARIES 4.8903 0.124169 0.124792 0.125429 0.126082 0.126751 45.00 45.47 Goldman Sachs Group, Inc 38147QHT6 02/28/14 03/03/21 100.000 0.000 3.0001 0.101158 6.27 Goldman Sachs Group, Inc 38147QHU3 10/30/14 11/01/21 100.000 2.000 3.0152 191.68 0.089312 0.089821 26.89 Goldman Sachs Group, Inc 38147QHX7 02/28/14 08/31/21 100.000 0.000 3.1500 0.106618 0.106531 25.79 Goldman Sachs Group, Inc 38147QHY5 10/30/14 11/01/21 100.000 0.000 3.0012 0.099690 0.101186 30.18 Goldman Sachs Group, Inc 38147QJU1 10/16/14 10/16/29* 100.000 VARIES 3.7998 0.097485 1.85* Goldman Sachs Group, Inc 38147QK21 11/13/13 11/13/28 100.000 VARIES 4.9004 0.121995 0.122624 0.123268 0.124052 0.124854 44.09 44.59 Goldman Sachs Group, Inc 38147QLJ3 08/15/13 08/15/28* 100.000 VARIES 4.8879 0.119535 0.120130 5.50* Goldman Sachs Group, Inc 38147QLV6 11/28/14 05/27/22 100.000 0.000 3.1503 0.105551 0.107213 0.108902 38.41 15.90 Goldman Sachs Group, Inc 38147QM78 11/21/14 11/21/29* 100.000 VARIES 3.9468 0.101958 5.40* Goldman Sachs Group, Inc 38147QMB9 02/24/14 02/24/29* 100.000 VARIES 4.6770 0.114173 6.17* Goldman Sachs Group, Inc 38147QMC7 11/26/14 05/26/22 100.000 0.000 3.1499 0.105543 0.107205 0.108894 38.41 15.79 Goldman Sachs Group, Inc 38147QNU6 12/30/14 06/29/22 100.000 0.000 2.9500 0.097677 0.099118 0.100580 35.43 17.90 Goldman Sachs Group, Inc 38147QNY8 12/29/14 06/28/22 100.000 0.000 2.9499 0.097673 0.099113 0.100575 35.43 17.80 Goldman Sachs Group, Inc 38147QPN0 08/30/13 08/30/23 100.000 VARIES 4.5507 0.126480 0.125579 0.126052 0.125129 0.125577 45.95 45.78 Goldman Sachs Group, Inc 38147QQJ8 09/05/13 09/05/28 100.000 VARIES 5.0554 0.122955 0.123648 0.124358 0.125086 0.125832 44.55 45.07 Goldman Sachs Group, Inc 38147QQM1 01/30/15 08/01/22 100.000 0.000 2.4699 0.078532 0.079502 0.080484 0.081477 28.74 17.08 Goldman Sachs Group, Inc 38147QQR0 01/30/15 08/01/22 100.000 0.000 2.5001 0.079621 0.080617 0.081624 0.082645 29.14 17.32 Goldman Sachs Group, Inc 38147QQV1 01/29/15 07/29/22 100.000 0.000 2.4698 0.078523 0.079493 0.080475 0.081469 28.74 16.92 Goldman Sachs Group, Inc 38147QS31 01/30/15 01/30/30* 100.000 VARIES 3.6879 0.099069 0.099264 2.97* Goldman Sachs Group, Inc 38147QST4 03/19/14 03/19/29 100.000 VARIES 4.6202 0.116266 0.116814 0.117375 0.117949 0.118580 42.07 42.48 Goldman Sachs Group, Inc 38147QT89 02/27/15 02/28/23 100.000 0.000 2.9999 0.097624 0.097473 0.100575 0.100419 0.103614 35.97 37.05 Goldman Sachs Group, Inc 38147QT97 02/26/15 02/28/23 100.000 0.000 3.0001 0.097642 0.097490 0.100593 0.100437 0.103634 35.97 37.06 Goldman Sachs Group, Inc 38147QTP1 03/31/14 09/30/21 100.000 0.000 3.1501 0.107214 0.108903 29.14 Goldman Sachs Group, Inc 38147QTT3 03/31/14 04/01/21 100.000 0.000 2.9998 0.101129 9.10 Goldman Sachs Group, Inc 38147QTV8 02/27/15 08/29/22 100.000 0.000 3.0000 0.096559 0.098546 0.099478 0.101525 35.97 24.25 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38147QTX4 03/21/14 03/21/29 100.000 VARIES 4.6241 0.113897 0.114573 0.115264 0.115972 0.116727 41.26 41.77 Goldman Sachs Group, Inc 38147QUR5 02/27/15 02/27/30* 100.000 VARIES 3.6524 0.097487 0.097680 5.95* Goldman Sachs Group, Inc 38147QV78 03/30/15 03/30/23 100.000 0.000 2.8001 0.090634 0.091903 0.093190 0.094495 0.095818 33.09 34.02 Goldman Sachs Group, Inc 38147QV86 02/27/15 02/28/25 100.000 0.000 2.9501 0.095745 0.095574 0.098591 0.098414 0.101521 35.27 36.31 Goldman Sachs Group, Inc 38147QV94 03/27/15 03/27/23 100.000 0.000 3.1002 0.101991 0.103572 0.105178 0.106808 0.108464 37.30 38.47 Goldman Sachs Group, Inc 38147QVM5 03/31/15 09/29/22 100.000 0.000 2.8501 0.092496 0.093814 0.095151 0.096507 33.78 25.74 Goldman Sachs Group, Inc 38147QVU7 03/12/15 03/12/21 100.000 0.000 2.7499 0.088766 6.30 Goldman Sachs Group, Inc 38147QW77 03/31/15 04/01/21 100.000 0.000 2.1498 0.067173 6.05 Goldman Sachs Group, Inc 38147QXD3 04/24/15 04/24/23 100.000 0.000 3.0000 0.098164 0.099637 0.101131 0.102648 0.104188 35.80 36.89 Goldman Sachs Group, Inc 38147QXQ4 03/27/15 09/27/22 100.000 0.000 2.9999 0.098157 0.099630 0.101124 0.102641 35.88 27.17 Goldman Sachs Group, Inc 38147QXX9 03/31/15 03/31/25 100.000 VARIES 3.3914 0.094422 0.094471 0.094483 0.094495 0.094474 34.01 34.02 Goldman Sachs Group, Inc 38147QXY7 04/30/15 05/02/23 100.000 0.000 2.5999 0.083256 0.084338 0.085434 0.086545 0.087670 30.30 31.09 Goldman Sachs Group, Inc 38147QY34 04/30/15 11/02/22 100.000 0.000 3.0000 0.098179 0.099651 0.101146 0.102663 35.78 30.72 Goldman Sachs Group, Inc 38147QYN0 10/17/13 10/17/23 100.000 VARIES 3.9815 0.112005 0.111810 0.111612 0.111399 0.111182 40.26 40.11 Goldman Sachs Group, Inc 38147QYV2 05/08/15 05/08/23 100.000 0.000 2.9999 0.098160 0.099633 0.101127 0.102644 0.104184 35.76 36.84 Goldman Sachs Group, Inc 38147QZQ2 06/01/15 05/30/23 100.000 0.000 3.1502 0.103910 0.105546 0.107209 0.108897 0.110613 37.80 39.00 Goldman Sachs Group, Inc 38147QZR0 04/30/15 04/30/30 100.000 VARIES 3.7833 0.009815 0.009837 0.010144 0.010123 0.010401 3.61 3.71 Goldman Sachs Group, Inc 38148T2C2 05/29/15 06/01/23 100.000 0.000 3.2499 0.107809 0.109561 0.111341 0.113151 0.114989 39.23 40.52 Goldman Sachs Group, Inc 38148T2E8 05/07/15 05/07/25 100.000 VARIES 3.7599 0.015822 0.015736 0.015603 0.015467 0.015291 5.67 5.58 Goldman Sachs Group, Inc 38148T2H1 05/29/15 12/01/22 100.000 0.000 3.1002 0.102012 0.103593 0.105199 0.106829 37.10 35.01 Goldman Sachs Group, Inc 38148T3L1 05/29/15 05/30/25 100.000 0.000 3.5000 0.117674 0.119733 0.121829 0.123960 0.126130 42.86 44.38 Goldman Sachs Group, Inc 38148T3N7 06/10/15 06/10/25 100.000 VARIES 3.9250 0.013242 0.013196 0.013061 0.012924 0.012785 4.75 4.67 Goldman Sachs Group, Inc 38148T3V9 06/30/15 06/29/23 100.000 0.000 3.3498 0.111694 0.113565 0.115467 0.117401 0.119367 40.55 41.92 Goldman Sachs Group, Inc 38148T4E6 06/30/15 12/30/22 100.000 0.000 3.2498 0.107785 0.109536 0.111316 0.113125 39.12 40.29 Goldman Sachs Group, Inc 38148T4F3 06/26/15 06/26/23 100.000 0.000 3.2500 0.107791 0.109543 0.111323 0.113132 0.114970 39.14 40.42 Goldman Sachs Group, Inc 38148T5T2 07/07/15 07/07/23 100.000 0.000 3.3501 0.109876 0.111716 0.113587 0.115490 0.117425 40.53 41.90 Goldman Sachs Group, Inc 38148T5U9 07/07/15 07/08/25 100.000 0.000 3.6499 0.121499 0.123716 0.125974 0.128273 0.130614 44.91 46.57 Goldman Sachs Group, Inc 38148T6Q7 07/31/15 01/31/23 100.000 0.000 3.2500 0.106069 0.107793 0.109545 0.111325 0.113134 39.02 40.30 Goldman Sachs Group, Inc 38148T6S3 07/31/15 02/02/23 100.000 0.000 3.2489 0.106044 0.107767 0.109518 0.111297 0.113105 39.00 40.28 Goldman Sachs Group, Inc 38148T7B9 07/30/15 08/01/23 100.000 0.000 3.3498 0.109874 0.111714 0.113586 0.115488 0.117422 40.44 41.81 Goldman Sachs Group, Inc 38148T7C7 07/31/15 02/02/23 100.000 0.000 3.2489 0.106044 0.107767 0.109518 0.111297 0.113105 39.00 40.28 Goldman Sachs Group, Inc 38148TAE9 07/31/15 07/31/25 100.000 0.000 3.7000 0.123456 0.125740 0.128066 0.130435 0.132848 45.55 47.25 Goldman Sachs Group, Inc 38148TAG4 07/22/15 07/21/22 100.000 0.000 3.1500 0.102290 0.103901 0.105538 0.107200 37.63 21.41 Goldman Sachs Group, Inc 38148TAK5 07/29/15 07/29/27 100.000 VARIES 3.9238 0.010573 0.010642 0.010713 0.010740 0.010767 3.84 3.87 Goldman Sachs Group, Inc 38148TAY5 08/04/15 08/04/21 100.000 0.000 2.8500 0.091200 0.092499 19.66 Goldman Sachs Group, Inc 38148TB57 08/31/15 03/02/23 100.000 0.000 3.1988 0.104154 0.105819 0.107512 0.109231 0.110978 38.19 39.43 Goldman Sachs Group, Inc 38148TB65 08/31/15 08/29/25 100.000 0.000 3.5990 0.119480 0.121630 0.123819 0.126047 0.128315 43.93 45.52 Goldman Sachs Group, Inc 38148TB73 08/31/15 03/02/23 100.000 0.000 3.1988 0.104154 0.105819 0.107512 0.109231 0.110978 38.19 39.43 Goldman Sachs Group, Inc 38148TB81 08/28/15 08/30/23 100.000 0.000 3.3014 0.106850 0.108020 0.110406 0.111616 0.114081 39.66 40.98 Goldman Sachs Group, Inc 38148TBA6 08/28/15 02/28/23 100.000 0.000 3.1965 0.103501 0.103440 0.106835 0.106773 0.110278 38.18 39.41 Goldman Sachs Group, Inc 38148TBN8 08/26/15 08/26/25 100.000 VARIES 3.9131 0.009268 0.009227 0.009185 0.009094 0.009002 3.32 3.27 Goldman Sachs Group, Inc 38148TCH0 09/02/15 09/03/25 100.000 2.000 3.6202 0.109387 0.110361 0.111353 0.112363 0.113392 39.79 40.51 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38148TD63 09/25/15 09/25/23 100.000 0.000 3.2499 0.106064 0.107787 0.109539 0.111319 0.113128 38.83 40.10 Goldman Sachs Group, Inc 38148TD89 09/30/15 07/03/23 100.000 0.000 3.2490 0.105211 0.106920 0.108657 0.110422 0.112216 38.80 40.07 Goldman Sachs Group, Inc 38148TD97 09/30/15 09/28/23 100.000 0.000 3.2992 0.107916 0.109696 0.111505 0.113345 0.115215 39.50 40.82 Goldman Sachs Group, Inc 38148TDA4 09/30/15 09/30/25 100.000 0.000 3.6001 0.119534 0.121685 0.123876 0.126106 0.128375 43.81 45.41 Goldman Sachs Group, Inc 38148TDB2 09/29/15 09/28/23 100.000 0.000 3.3000 0.107956 0.109738 0.111548 0.113389 0.115260 39.52 40.83 Goldman Sachs Group, Inc 38148TDE6 09/08/15 09/07/22 100.000 0.000 3.1000 0.100419 0.101976 0.103556 0.105161 36.79 25.76 Goldman Sachs Group, Inc 38148TEP0 09/30/15 09/30/25 100.000 VARIES 3.7872 0.010851 0.010814 0.010777 0.010676 0.010573 3.89 3.84 Goldman Sachs Group, Inc 38148TF46 09/24/15 09/24/22 100.000 VARIES 3.2799 0.104749 0.106239 0.107753 0.109292 38.27 28.62 Goldman Sachs Group, Inc 38148TFK0 10/30/15 10/30/23 100.000 0.000 3.1502 0.102307 0.103918 0.105555 0.107218 0.108907 37.32 38.50 Goldman Sachs Group, Inc 38148TFN4 10/30/15 11/01/23 100.000 0.000 3.1491 0.102274 0.103885 0.105520 0.107182 0.108869 37.30 38.49 Goldman Sachs Group, Inc 38148TFP9 10/30/15 10/30/25 100.000 0.000 3.4498 0.113702 0.115664 0.117659 0.119688 0.121753 41.53 42.97 Goldman Sachs Group, Inc 38148TFV6 10/29/15 10/31/23 100.000 0.000 3.1500 0.102319 0.103931 0.105568 0.107231 0.108919 37.32 38.51 Goldman Sachs Group, Inc 38148TGL7 10/30/15 10/30/25 100.000 VARIES 3.6654 0.008806 0.008816 0.008825 0.008783 0.008740 3.17 3.16 Goldman Sachs Group, Inc 38148TGM5 10/22/15 10/22/27 100.000 VARIES 3.9047 0.013481 0.013588 0.013697 0.013808 0.013921 4.89 4.97 Goldman Sachs Group, Inc 38148TGT0 11/30/15 11/28/25 100.000 0.000 3.4490 0.113649 0.115609 0.117603 0.119631 0.121694 41.40 42.84 Goldman Sachs Group, Inc 38148TGX1 11/10/15 11/10/26 100.000 VARIES 3.8760 0.011139 0.011199 0.011260 0.011268 0.011277 4.03 4.06 Goldman Sachs Group, Inc 38148TGZ6 11/27/15 11/29/23 100.000 0.000 3.1499 0.102316 0.103927 0.105564 0.107227 0.108915 37.23 38.41 Goldman Sachs Group, Inc 38148TH44 11/30/15 11/28/23 100.000 0.000 3.1488 0.102238 0.103847 0.105482 0.107143 0.108830 37.20 38.38 Goldman Sachs Group, Inc 38148THG7 11/10/15 11/10/21 100.000 1.750 2.8620 151.12 0.084216 0.084726 26.11 Goldman Sachs Group, Inc 38148THX0 11/18/15 11/18/25 100.000 VARIES 3.7095 0.008224 0.008216 0.008209 0.008144 0.008078 2.96 2.94 Goldman Sachs Group, Inc 38148TJ26 11/30/15 11/29/23 100.000 0.000 3.1489 0.102250 0.103860 0.105495 0.107156 0.108843 37.20 38.38 Goldman Sachs Group, Inc 38148TJN0 12/31/15 07/03/24 100.000 0.000 3.2988 0.106200 0.107951 0.109732 0.111542 0.113381 39.18 40.48 Goldman Sachs Group, Inc 38148TJP5 12/31/15 01/02/26 100.000 0.000 3.4990 0.113638 0.115626 0.117649 0.119707 0.121801 41.99 43.47 Goldman Sachs Group, Inc 38148TJU4 12/29/15 12/29/23 100.000 0.000 3.0000 0.096713 0.098164 0.099637 0.101131 0.102648 35.08 36.14 Goldman Sachs Group, Inc 38148TJY6 12/28/15 12/26/23 100.000 0.000 3.2000 0.104161 0.105828 0.107521 0.109241 0.110989 37.81 39.03 Goldman Sachs Group, Inc 38148TLJ6 02/16/16 02/16/26 100.000 VARIES 3.7570 31.49 0.018362 0.018586 0.018707 0.018831 0.018865 6.70 6.78 Goldman Sachs Group, Inc 38148TNV7 09/29/16 09/29/26 100.000 VARIES 2.3290 6.52 0.004278 0.004328 0.004378 0.004429 0.004481 1.56 1.59 Goldman Sachs Group, Inc 38148TP94 11/18/16 11/18/26 100.000 VARIES 2.2302 11.56 0.007835 0.007923 0.008011 0.008100 0.008191 2.84 2.91 Goldman Sachs Group, Inc 38150A2F1 02/21/17 02/21/27 100.000 VARIES 3.8872 149.98 0.108122 0.108258 0.108321 0.108384 0.108449 38.97 39.02 Goldman Sachs Group, Inc 38150A2Z7 04/28/17 04/28/27 100.000 VARIES 3.6989 13.68 0.010041 0.010227 0.010360 0.010495 0.010586 3.67 3.77 Goldman Sachs Group, Inc 38150A3C7 05/19/17 05/19/27 100.000 VARIES 3.6688 13.19 0.009464 0.009637 0.009779 0.009924 0.010046 3.45 3.56 Goldman Sachs Group, Inc 38150A3S2 07/10/17 07/10/27 100.000 VARIES 3.6160 124.68 0.099896 0.100071 0.100222 0.100349 0.100454 36.05 36.14 Goldman Sachs Group, Inc 38150A3U7 08/02/17 08/02/27 100.000 VARIES 3.5643 120.92 0.097892 0.098106 0.098293 0.098455 0.098594 35.34 35.46 Goldman Sachs Group, Inc 38150A3Z6 08/15/17 08/15/24 100.000 VARIES 3.1510 106.62 0.088025 0.088080 0.088101 0.088087 0.088040 31.71 31.71 Goldman Sachs Group, Inc 38150A4K8 09/22/17 09/22/27 100.000 VARIES 3.5451 115.34 0.097070 0.097290 0.097485 0.097658 0.097809 35.03 35.16 Goldman Sachs Group, Inc 38150A4M4 10/06/17 10/06/27 100.000 VARIES 3.5757 114.83 0.098918 0.099098 0.099254 0.099384 0.099487 35.67 35.77 Goldman Sachs Group, Inc 38150A4P7 09/29/17 09/29/27 100.000 VARIES 3.6040 116.67 0.098866 0.099083 0.099275 0.099442 0.099586 35.67 35.80 Goldman Sachs Group, Inc 38150A4Q5 09/29/17 09/29/27 100.000 VARIES 3.6048 115.91 0.098530 0.098767 0.098980 0.099170 0.099337 35.55 35.70 Goldman Sachs Group, Inc 38150A5G6 12/01/17 12/01/27 100.000 VARIES 3.5339 108.72 0.097652 0.097756 0.097845 0.097921 0.097985 35.18 35.24 Goldman Sachs Group, Inc 38150A5K7 12/12/17 12/12/27 100.000 VARIES 2.7977 10.48 0.008866 0.008990 0.009116 0.009244 0.009373 3.22 3.31 Goldman Sachs Group, Inc 38150A5R2 01/31/18 01/31/28 100.000 VARIES 3.1064 9.64 0.008297 0.008426 0.008557 0.008690 0.008825 3.05 3.14 Goldman Sachs Group, Inc 38150A6K6 03/28/18 03/28/28 100.000 VARIES 3.3846 14.87 0.013429 0.012838 0.013055 0.013276 0.013501 4.69 4.78 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38150AAC9 06/13/18 06/13/28 100.000 VARIES 3.7824 16.90 0.015990 0.016292 0.016601 0.016914 0.017234 5.82 6.04 Goldman Sachs Group, Inc 38150AAG0 06/19/18 06/19/30 100.000 VARIES 3.7644 8.86 0.008076 0.008228 0.008383 0.008541 0.008702 2.94 3.05 Goldman Sachs Group, Inc 38150ABH7 09/26/18 09/26/28 100.000 VARIES 3.7555 7.13 0.007332 0.007470 0.007610 0.007753 0.007898 2.69 2.79 Goldman Sachs Group, Inc 38150ABW4 11/28/18 11/28/28 100.000 VARIES 3.7010 12.23 0.014695 0.014026 0.013345 0.013592 0.013843 5.13 4.87 Goldman Sachs Group, Inc 38150ABY0 12/11/18 12/11/28 100.000 VARIES 3.6601 7.20 0.008066 0.008214 0.008364 0.008517 0.008673 2.94 3.04 Goldman Sachs Group, Inc 38150AC52 01/30/19 01/30/26 100.000 VARIES 3.5868 11.16 0.015060 0.014344 0.014601 0.014863 0.015130 5.22 5.38 GOOSE CREEK TEX CONS IND 382604Y83 11/17/20 02/15/26 93.148 0.000 1.3579 1.55 0.035136 0.035252 0.035491 0.035732 0.035975 12.72 12.89 GOOSE CREEK TEX CONS IND 382604Z33 11/17/20 02/15/27 91.656 0.000 1.4001 1.57 0.035646 0.035768 0.036018 0.036270 0.036524 12.91 13.08 GRANBURY TEX INDPT SCH D 385064SA9 06/25/20 08/01/23 96.350 0.000 1.2030 5.99 0.032234 0.032428 0.032623 0.032820 0.033017 11.70 11.84 GRANBURY TEX INDPT SCH D 385064SB7 06/25/20 08/01/24 94.332 0.000 1.4281 6.97 0.037475 0.037743 0.038013 0.038284 0.038557 13.62 13.82 GRANBURY TEX INDPT SCH D 385064SC5 06/25/20 08/01/25 92.530 0.000 1.5280 7.31 0.039334 0.039635 0.039938 0.040243 0.040550 14.30 14.52 GRANBURY TEX INDPT SCH D 385064SD3 06/25/20 08/01/26 89.407 0.000 1.8439 8.53 0.045879 0.046302 0.046729 0.047160 0.047594 16.72 17.03 GRANBURY TEX INDPT SCH D 385064SE1 06/25/20 08/01/27 87.165 0.000 1.9440 8.77 0.047161 0.047620 0.048083 0.048550 0.049022 17.20 17.53 GRANBURY TEX INDPT SCH D 385064SF8 06/25/20 08/01/28 83.987 0.000 2.1660 9.42 0.050640 0.051189 0.051743 0.052304 0.052870 18.49 18.90 Great Plains Energy, Inc 391164AF7 03/22/12 06/15/22 103.480 VARIES 4.8564 0.134250 0.133247 0.133703 48.81 22.06 GREENVILLE OHIO CITY SCH 396352HA7 11/26/19 01/01/22 95.481 0.000 2.2167 23.39 0.060232 0.060900 21.80 GREENVILLE OHIO CITY SCH 396352HB5 11/26/19 01/01/23 93.085 0.000 2.3267 23.94 0.061708 0.062426 0.063152 0.063887 22.34 22.87 GREENVILLE OHIO CITY SCH 396352HC3 11/26/19 01/01/24 90.772 0.000 2.3768 23.85 0.061504 0.062235 0.062975 0.063723 22.27 22.81 GREENVILLE OHIO CITY SCH 396352HD1 11/26/19 01/01/25 87.834 0.000 2.5610 24.88 0.064253 0.065076 0.065909 0.066753 23.28 23.88 GREENVILLE OHIO CITY SCH 396352HE9 11/26/19 01/01/26 85.114 0.000 2.6608 25.06 0.064761 0.065622 0.066495 0.067380 23.47 24.10 GREENVILLE OHIO CITY SCH 396352HF6 11/26/19 01/01/27 82.085 0.000 2.8008 25.45 0.065842 0.066764 0.067699 0.068647 23.87 24.54 GREENVILLE OHIO CITY SCH 396352HG4 11/26/19 01/01/28 79.515 0.000 2.8508 25.10 0.064955 0.065881 0.066820 0.067773 23.55 24.23 GREENVILLE OHIO CITY SCH 396352HH2 11/26/19 01/01/29 76.605 0.000 2.9509 25.04 0.064845 0.065802 0.066773 0.067758 23.52 24.22 GREENVILLE TEX INDPT SCH 396730MQ3 09/24/20 02/15/22 99.155 0.000 0.6106 1.63 0.016819 0.016859 0.016911 6.07 0.74 GREENVILLE TEX INDPT SCH 396730MR1 09/24/20 02/15/23 98.265 0.000 0.7331 1.94 0.020010 0.020068 0.020141 0.020215 0.020289 7.23 7.28 GREENWOOD TEX INDPT SCH 397370HV2 12/05/19 02/15/21 97.721 0.000 1.9385 20.44 0.053330 2.35 GREENWOOD TEX INDPT SCH 397370HW0 12/05/19 02/15/22 95.398 0.000 2.1578 22.23 0.058041 0.058667 0.059300 21.18 2.61 GREENWOOD TEX INDPT SCH 397370HX8 12/05/19 02/15/23 92.896 0.000 2.3197 23.29 0.060825 0.061530 0.062244 0.062966 0.063696 22.22 22.74 GREENWOOD TEX INDPT SCH 397370HY6 12/05/19 02/15/24 90.290 0.000 2.4497 23.91 0.062488 0.063253 0.064028 0.064812 0.065606 22.84 23.41 GREENWOOD TEX INDPT SCH 397370HZ3 12/05/19 02/15/25 87.541 0.000 2.5777 24.41 0.063809 0.064631 0.065464 0.066308 0.067163 23.34 23.95 GREENWOOD TEX INDPT SCH 397370JA6 12/05/19 02/15/26 84.807 0.000 2.6777 24.57 0.064258 0.065119 0.065991 0.066874 0.067770 23.52 24.16 GS Finance Corp. 40054CAB0 12/31/15 01/03/23 100.000 0.000 2.7988 0.088124 0.089357 0.090608 0.091876 0.093162 32.39 33.30 GS Finance Corp. 40054CAD6 01/29/16 07/31/24 100.000 0.000 3.3498 177.78 0.108073 0.109883 0.111724 0.113595 0.115497 39.78 41.13 GS Finance Corp. 40054CAE4 01/29/16 01/29/26 100.000 0.000 3.6001 192.02 0.117420 0.119534 0.121685 0.123876 0.126106 43.30 44.87 GS Finance Corp. 40054CAF1 01/29/16 01/29/24 100.000 0.000 3.0501 160.69 0.097091 0.098571 0.100075 0.101601 0.103150 35.67 36.77 GS Finance Corp. 40054CAM6 01/28/16 07/28/23 100.000 0.000 2.9500 155.16 0.093487 0.094866 0.096265 0.097685 0.099126 34.33 35.35 GS Finance Corp. 40054CBT0 02/18/16 02/17/22 100.000 0.000 2.8500 147.77 0.089913 0.091194 0.092493 32.95 4.25 GS Finance Corp. 40054CBU7 02/26/16 02/28/23 100.000 0.000 2.7500 141.60 0.085920 0.085682 0.088299 0.088054 0.090744 31.61 32.48 GS Finance Corp. 40054CCB8 02/29/16 02/29/24 100.000 0.000 3.3000 171.68 0.105628 0.105620 0.109142 0.109134 0.112774 38.98 40.28 GS Finance Corp. 40054K2A3 02/29/16 02/27/26 100.000 0.000 3.6002 188.39 0.117388 0.119502 0.121653 0.123842 0.126072 43.17 44.74 GS Finance Corp. 40054K2B1 02/29/16 03/01/22 100.000 0.000 2.8998 149.54 0.091192 0.091006 0.093856 33.58 5.54 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054K2H8 02/26/16 08/28/23 100.000 0.000 3.2000 166.39 0.102557 0.104198 0.105865 0.107559 0.109280 37.62 38.84 GS Finance Corp. 40054K7D2 04/29/16 05/01/23 100.000 0.000 2.8501 141.39 0.089938 0.091219 0.092519 0.093838 0.095175 32.76 33.70 GS Finance Corp. 40054K7H3 04/29/16 04/29/22 100.000 0.000 2.6000 128.30 0.081124 0.082179 0.083247 29.53 9.82 GS Finance Corp. 40054K7J9 04/29/16 05/01/24 100.000 0.000 3.0000 149.30 0.095299 0.096729 0.098180 0.099653 0.101147 34.74 35.79 GS Finance Corp. 40054K7K6 04/29/16 04/30/26 100.000 0.000 3.2999 165.27 0.106219 0.107971 0.109753 0.111564 0.113404 38.77 40.06 GS Finance Corp. 40054K7L4 04/28/16 04/30/24 100.000 0.000 3.0000 149.40 0.095299 0.096729 0.098180 0.099653 0.101147 34.74 35.79 GS Finance Corp. 40054KAB2 04/29/16 04/27/23 100.000 1.250 2.8316 136.83 0.084574 0.085280 0.085996 0.086722 0.087458 30.66 31.18 GS Finance Corp. 40054KAE6 04/28/16 01/28/22 100.000 0.000 2.5498 125.79 0.078884 0.079889 0.080908 28.89 2.18 GS Finance Corp. 40054KB62 05/31/16 05/31/23 100.000 0.000 2.8999 141.17 0.091695 0.093025 0.094374 0.095742 0.097130 33.33 34.31 GS Finance Corp. 40054KB70 05/31/16 05/28/21 100.000 0.000 2.4003 115.65 0.074223 10.91 GS Finance Corp. 40054KBA3 05/27/16 05/30/24 100.000 0.000 2.8998 141.44 0.091712 0.093042 0.094391 0.095759 0.097148 33.34 34.31 GS Finance Corp. 40054KBP0 05/27/16 05/30/23 100.000 0.000 2.8998 141.51 0.091205 0.091019 0.093869 0.093678 0.096611 33.34 34.31 GS Finance Corp. 40054KBR6 05/31/16 08/30/22 100.000 0.000 N/A 131.06 0.082291 0.084786 0.084530 0.086140 30.77 20.67 GS Finance Corp. 40054KBS4 05/31/16 05/31/24 100.000 0.000 3.0499 148.93 0.097083 0.098564 0.100067 0.101593 0.103142 35.31 36.39 GS Finance Corp. 40054KBT2 05/31/16 05/29/26 100.000 0.000 3.2989 161.92 0.106162 0.107913 0.109693 0.111503 0.113342 38.65 39.93 GS Finance Corp. 40054KBW5 05/31/16 05/29/23 100.000 1.250 2.9093 138.11 0.087204 0.087967 0.088742 0.089527 0.090325 31.58 32.14 GS Finance Corp. 40054KD29 06/29/16 06/27/24 100.000 0.000 2.7999 133.47 0.088129 0.089362 0.090614 0.091882 0.093168 31.96 32.86 GS Finance Corp. 40054KD86 06/24/16 06/26/23 100.000 0.000 2.6499 126.34 0.082876 0.083975 0.085087 0.086214 0.087357 30.04 30.85 GS Finance Corp. 40054KD94 06/30/16 09/30/22 100.000 0.000 2.4488 115.87 0.075436 0.076359 0.077294 0.078241 27.49 20.96 GS Finance Corp. 40054KDA1 06/03/16 06/05/23 100.000 0.000 3.0002 146.07 0.095306 0.096736 0.098187 0.099660 0.101155 34.64 35.69 GS Finance Corp. 40054KDE3 06/30/16 07/02/24 100.000 0.000 2.7499 130.86 0.085217 0.086388 0.087576 0.088780 0.090001 31.31 32.18 GS Finance Corp. 40054KDF0 06/30/16 07/02/26 100.000 0.000 3.0000 143.49 0.093890 0.095299 0.096728 0.098179 0.099652 34.56 35.61 GS Finance Corp. 40054KDJ2 06/30/16 06/28/23 100.000 1.250 2.6041 120.53 0.076968 0.077519 0.078076 0.078640 0.079212 27.81 28.21 GS Finance Corp. 40054KDK9 06/30/16 07/01/21 100.000 0.000 2.1388 100.53 0.065022 11.77 GS Finance Corp. 40054KDL7 06/30/16 09/30/22 100.000 0.000 2.4488 115.87 0.075436 0.076359 0.077294 0.078241 27.49 20.96 GS Finance Corp. 40054KDM5 06/30/16 07/12/23 100.000 0.000 2.6003 123.38 0.080163 0.081205 0.082261 0.083331 0.084414 29.40 30.17 GS Finance Corp. 40054KDT0 06/09/16 06/09/23 100.000 0.000 2.9998 145.48 0.095276 0.096705 0.098155 0.099628 0.101122 34.62 35.67 GS Finance Corp. 40054KDV5 06/17/16 06/15/23 100.000 2.000 2.6630 122.53 0.076287 0.076563 0.076843 0.077126 0.077413 27.52 27.72 GS Finance Corp. 40054KEY8 07/29/16 05/01/23 100.000 0.000 2.4799 115.20 0.076506 0.077455 0.078416 0.079388 0.080372 27.83 28.52 GS Finance Corp. 40054KEZ5 07/29/16 04/29/21 100.000 0.000 2.0500 94.41 0.062100 7.33 GS Finance Corp. 40054KF27 07/29/16 05/01/25 100.000 0.000 2.7700 129.42 0.086503 0.087701 0.088916 0.090147 0.091396 31.50 32.38 GS Finance Corp. 40054KF35 07/29/16 07/30/26 100.000 0.000 2.9298 137.28 0.091432 0.092771 0.094130 0.095509 0.096908 33.56 34.55 GS Finance Corp. 40054KF43 07/29/16 07/29/21 100.000 0.000 2.1200 97.79 0.062678 0.064392 13.41 GS Finance Corp. 40054KF50 07/29/16 08/09/23 100.000 0.000 2.5301 117.62 0.077770 0.078754 0.079750 0.080759 0.081781 28.46 29.18 GS Finance Corp. 40054KF84 07/29/16 07/31/23 100.000 0.000 2.6502 123.57 0.081805 0.082889 0.083987 0.085100 0.086228 29.97 30.77 GS Finance Corp. 40054KFB7 07/28/16 07/30/24 100.000 0.000 2.6502 123.57 0.081805 0.082889 0.083987 0.085100 0.086228 29.97 30.77 GS Finance Corp. 40054KGJ9 08/31/16 06/01/21 100.000 0.000 1.9502 87.81 0.058833 8.83 GS Finance Corp. 40054KGK6 08/31/16 06/01/22 100.000 0.000 2.1998 99.54 0.067065 0.067803 0.068549 24.32 10.28 GS Finance Corp. 40054KGL4 08/31/16 06/01/23 100.000 0.000 2.3999 109.01 0.073785 0.074670 0.075566 0.076473 0.077390 26.78 27.42 GS Finance Corp. 40054KGM2 08/31/16 05/30/25 100.000 0.000 2.6499 120.96 0.082324 0.083415 0.084520 0.085640 0.086774 29.90 30.70 GS Finance Corp. 40054KGN0 08/31/16 09/12/23 100.000 0.000 2.4502 111.40 0.075085 0.076005 0.076936 0.077878 0.078832 27.40 28.07 GS Finance Corp. 40054KGP5 08/31/16 08/31/26 100.000 0.000 2.8001 128.28 0.086452 0.086233 0.088890 0.088665 0.091396 31.81 32.71 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054KGQ3 08/31/16 08/31/21 100.000 0.000 2.0001 90.22 0.059831 0.059444 14.41 GS Finance Corp. 40054KGR1 08/04/16 08/06/26 100.000 0.000 2.8502 132.90 0.088677 0.089941 0.091222 0.092522 0.093841 32.52 33.45 GS Finance Corp. 40054KGT7 08/26/16 08/28/23 100.000 0.000 2.5001 114.08 0.076715 0.077674 0.078645 0.079628 0.080624 28.03 28.73 GS Finance Corp. 40054KH41 08/30/16 08/29/24 100.000 0.000 2.5993 118.59 0.078742 0.080204 0.080802 0.082302 0.082916 29.26 30.03 GS Finance Corp. 40054KHR0 08/24/16 08/24/26 100.000 0.000 2.8998 133.53 0.090381 0.091691 0.093021 0.094370 0.095738 33.11 34.08 GS Finance Corp. 40054KJ72 09/30/16 10/02/23 100.000 0.000 2.6002 116.16 0.080103 0.081145 0.082200 0.083269 0.084351 29.21 29.98 GS Finance Corp. 40054KJA5 09/30/16 09/30/21 100.000 0.000 2.0998 92.91 0.063410 0.064075 17.18 GS Finance Corp. 40054KJB3 09/30/16 06/30/22 100.000 0.000 2.1888 97.02 0.066694 0.067424 0.068162 24.14 12.20 GS Finance Corp. 40054KJC1 09/30/16 10/02/23 100.000 0.000 2.5002 111.48 0.076719 0.077678 0.078649 0.079633 0.080628 27.96 28.67 GS Finance Corp. 40054KJD9 09/30/16 10/02/25 100.000 0.000 2.8001 125.56 0.086945 0.088162 0.089396 0.090648 0.091917 31.74 32.63 GS Finance Corp. 40054KJE7 09/30/16 10/01/26 100.000 0.000 3.0000 135.04 0.093883 0.095291 0.096721 0.098171 0.099644 34.31 35.34 GS Finance Corp. 40054KJF4 09/30/16 09/30/21 100.000 0.000 2.0998 92.91 0.063410 0.064075 17.18 GS Finance Corp. 40054KJG2 09/30/16 10/12/23 100.000 0.000 2.5000 111.47 0.076766 0.077725 0.078697 0.079681 0.080677 27.96 28.66 GS Finance Corp. 40054KJJ6 09/29/16 10/01/24 100.000 0.000 2.7000 120.93 0.083507 0.084634 0.085777 0.086935 0.088109 30.47 31.30 GS Finance Corp. 40054KL87 10/28/16 10/30/24 100.000 0.000 2.7498 120.80 0.085213 0.086385 0.087572 0.088776 0.089997 31.03 31.89 GS Finance Corp. 40054KLC8 10/31/16 11/09/23 100.000 0.000 2.6003 113.76 0.080146 0.081188 0.082243 0.083312 0.084396 29.15 29.91 GS Finance Corp. 40054KLF1 10/31/16 07/29/21 100.000 0.000 2.1986 95.48 0.066289 0.067018 13.92 GS Finance Corp. 40054KLG9 10/31/16 10/31/22 100.000 0.000 2.4001 104.61 0.073345 0.074225 0.075116 0.076017 26.67 22.62 GS Finance Corp. 40054KLJ3 10/28/16 10/30/23 100.000 0.000 2.5999 113.90 0.080091 0.081132 0.082187 0.083255 0.084338 29.15 29.91 GS Finance Corp. 40054KLQ7 10/31/16 10/31/23 100.000 0.000 2.6000 113.74 0.080085 0.081126 0.082181 0.083249 0.084331 29.15 29.91 GS Finance Corp. 40054KLR5 10/31/16 10/29/26 100.000 0.000 2.9991 132.18 0.093836 0.095244 0.096672 0.098122 0.099593 34.21 35.24 GS Finance Corp. 40054KLS3 10/31/16 07/29/21 100.000 0.000 2.1986 95.48 0.066289 0.067018 13.92 GS Finance Corp. 40054KNC6 11/28/16 11/28/23 100.000 0.000 3.0998 134.14 0.097379 0.098888 0.100421 0.101977 0.103558 35.43 36.54 GS Finance Corp. 40054KNF9 11/28/16 11/28/23 100.000 0.000 3.0601 132.33 0.095982 0.097450 0.098941 0.100455 0.101992 34.92 35.99 GS Finance Corp. 40054KNH5 11/28/16 11/27/26 100.000 0.000 3.4699 151.18 0.110596 0.112515 0.114467 0.116453 0.118473 40.29 41.70 GS Finance Corp. 40054KNL6 11/28/16 08/26/21 100.000 0.000 2.5402 108.85 0.077558 0.078544 18.40 GS Finance Corp. 40054KNU6 11/28/16 11/27/24 100.000 0.000 3.2301 140.11 0.101985 0.103632 0.105306 0.107006 0.108735 37.12 38.33 GS Finance Corp. 40054KNV4 11/28/16 11/28/22 100.000 0.000 2.8500 122.78 0.088655 0.089918 0.091200 0.092499 32.23 30.06 GS Finance Corp. 40054KP67 11/28/16 11/26/21 100.000 0.000 2.6201 112.40 0.080755 0.081813 26.44 GS Finance Corp. 40054KPR1 11/25/16 11/26/24 100.000 0.000 3.2499 141.33 0.102710 0.104379 0.106075 0.107798 0.109550 37.39 38.62 GS Finance Corp. 40054KQH2 12/30/16 01/03/25 100.000 0.000 3.3999 144.48 0.106300 0.108107 0.109944 0.111813 0.113714 39.24 40.59 GS Finance Corp. 40054KQQ2 12/30/16 07/01/24 100.000 0.000 3.4000 144.48 0.108090 0.109927 0.111796 0.113697 39.24 40.59 GS Finance Corp. 40054KQU3 12/30/16 12/31/26 100.000 0.000 3.6499 155.90 0.117180 0.119318 0.121496 0.123713 0.125971 42.57 44.14 GS Finance Corp. 40054KQV1 12/30/16 07/02/24 100.000 0.000 3.3199 140.88 0.103503 0.105221 0.106968 0.108743 0.110548 38.19 39.47 GS Finance Corp. 40054KQW9 12/30/16 12/30/22 100.000 0.000 3.0500 128.81 0.095629 0.097087 0.098568 0.100071 34.69 35.66 GS Finance Corp. 40054KR65 12/21/16 12/21/23 100.000 0.000 3.2002 136.42 0.100931 0.102546 0.104187 0.105854 0.107548 36.66 37.84 GS Finance Corp. 40054KS23 12/21/16 12/21/23 100.000 0.000 3.2002 136.42 0.100931 0.102546 0.104187 0.105854 0.107548 36.66 37.84 GS Finance Corp. 40054KSN7 01/30/17 01/30/25 100.000 0.000 3.3999 141.29 0.106270 0.108076 0.109914 0.111782 0.113682 39.13 40.47 GS Finance Corp. 40054KT48 01/31/17 01/29/27 100.000 0.000 3.6999 154.55 0.116834 0.118996 0.121197 0.123439 0.125723 43.11 44.72 GS Finance Corp. 40054KT55 01/31/17 01/31/24 100.000 0.000 3.2500 134.71 0.101060 0.102702 0.104371 0.106067 0.107790 37.18 38.40 GS Finance Corp. 40054KT63 01/31/17 07/29/22 100.000 0.000 2.9200 120.34 0.089766 0.091077 0.092406 0.093756 32.95 19.46 GS Finance Corp. 40054KTB2 01/27/17 01/29/24 100.000 0.000 3.1998 132.81 0.099346 0.100936 0.102551 0.104191 0.105858 36.54 37.72 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054KTD8 01/30/17 01/30/24 100.000 0.000 3.2500 134.71 0.101060 0.102702 0.104371 0.106067 0.107790 37.18 38.40 GS Finance Corp. 40054KTP1 01/31/17 01/26/23 100.000 1.250 3.0595 123.75 0.090604 0.091458 0.092326 0.093207 0.094102 33.04 33.67 GS Finance Corp. 40054KUL8 01/30/17 07/30/24 100.000 0.000 3.3302 138.23 0.103843 0.105572 0.107330 0.109117 0.110934 38.22 39.50 GS Finance Corp. 40054KUQ7 02/01/17 06/02/22 100.000 0.000 2.8998 119.40 0.089957 0.091262 0.092585 32.70 13.98 GS Finance Corp. 40054KV29 02/27/17 08/26/24 100.000 0.000 3.2501 131.98 0.101054 0.102696 0.104365 0.106061 0.107785 37.09 38.30 GS Finance Corp. 40054KVB9 02/27/17 02/27/25 100.000 0.000 3.3001 134.13 0.102798 0.104494 0.106218 0.107971 0.109752 37.74 38.99 GS Finance Corp. 40054KVC7 02/27/17 02/27/24 100.000 0.000 3.1501 127.71 0.097619 0.099157 0.100718 0.102305 0.103916 35.80 36.94 GS Finance Corp. 40054KVS2 02/28/17 02/28/24 100.000 0.000 3.0999 125.47 0.095897 0.097383 0.098893 0.100425 0.101982 35.16 36.26 GS Finance Corp. 40054KVT0 02/28/17 08/26/22 100.000 0.000 2.6997 108.37 0.082347 0.083459 0.084585 0.085727 30.12 20.08 GS Finance Corp. 40054KW77 02/28/17 02/26/23 100.000 1.250 2.9063 114.86 0.083750 0.085873 0.085207 0.087376 0.086707 31.14 31.69 GS Finance Corp. 40054KWL6 02/17/17 08/19/24 100.000 0.000 3.2499 132.99 0.101077 0.102719 0.104388 0.106085 0.107808 37.12 38.34 GS Finance Corp. 40054KXL5 02/28/17 08/29/22 100.000 0.000 2.0900 83.16 0.061415 0.062398 0.062705 0.063709 22.76 15.23 GS Finance Corp. 40054KXX9 03/30/17 04/01/25 100.000 0.000 3.3001 130.74 0.102807 0.104504 0.106228 0.107981 0.109763 37.62 38.88 GS Finance Corp. 40054KXY7 03/30/17 04/01/24 100.000 0.000 3.1002 122.41 0.095914 0.097401 0.098911 0.100444 0.102001 35.07 36.16 GS Finance Corp. 40054KYE0 03/31/17 10/03/22 100.000 0.000 2.7999 110.01 0.085744 0.086944 0.088161 0.089395 31.30 24.20 GS Finance Corp. 40054KYF7 03/31/17 04/02/24 100.000 0.000 3.1000 122.41 0.095916 0.097403 0.098912 0.100446 0.102002 35.06 36.16 GS Finance Corp. 40054KYH3 03/31/17 03/31/23 100.000 1.250 2.9099 112.24 0.085735 0.086477 0.087230 0.087994 0.088769 31.13 31.68 GS Finance Corp. 40054KYJ9 03/31/17 03/31/25 100.000 0.000 3.2999 130.73 0.102791 0.104487 0.106211 0.107963 0.109745 37.62 38.87 GS Finance Corp. 40054L2S2 03/27/17 03/28/22 100.000 1.000 2.7411 106.11 0.080981 0.081710 0.082449 29.42 7.17 GS Finance Corp. 40054L2W3 03/30/17 09/30/22 100.000 0.000 2.8001 110.02 0.085730 0.086930 0.088147 0.089381 31.30 23.93 GS Finance Corp. 40054L3Q5 04/28/17 01/28/21 100.000 0.000 2.3002 87.71 0.068827 1.86 GS Finance Corp. 40054L3R3 04/28/17 10/28/22 100.000 0.000 2.7000 103.60 0.082381 0.083493 0.084620 0.085762 30.00 25.34 GS Finance Corp. 40054L3S1 04/28/17 04/30/24 100.000 0.000 3.0498 117.69 0.094199 0.095635 0.097094 0.098574 0.100077 34.35 35.40 GS Finance Corp. 40054L3U6 04/27/17 04/29/25 100.000 0.000 3.3000 127.96 0.102810 0.104507 0.106231 0.107984 0.109766 37.53 38.78 GS Finance Corp. 40054L3Y8 04/28/17 04/28/25 100.000 0.000 3.3000 127.85 0.102794 0.104490 0.106214 0.107967 0.109749 37.53 38.78 GS Finance Corp. 40054L4B7 04/28/17 04/24/23 100.000 1.250 2.8079 105.82 0.082419 0.083089 0.083768 0.084457 0.085155 29.88 30.37 GS Finance Corp. 40054L4C5 04/25/17 04/25/24 100.000 0.000 3.0999 120.00 0.095897 0.097383 0.098893 0.100425 0.101982 34.99 36.08 GS Finance Corp. 40054L4L5 04/28/17 01/30/24 100.000 0.000 3.0000 115.69 0.091820 0.093198 0.094596 0.096015 0.097455 33.72 34.74 GS Finance Corp. 40054L6W9 05/09/17 05/07/21 100.000 0.000 2.1501 81.07 0.064358 8.11 GS Finance Corp. 40054LA53 04/28/17 10/31/24 100.000 0.000 3.1210 120.57 0.096638 0.098146 0.099678 0.101233 0.102813 35.25 36.36 GS Finance Corp. 40054LA95 05/08/17 05/10/21 100.000 0.000 2.3697 89.74 0.071493 9.22 GS Finance Corp. 40054LAE4 03/20/17 09/20/22 100.000 0.000 2.9898 118.76 0.092141 0.093519 0.094917 0.096336 33.70 24.84 GS Finance Corp. 40054LAM6 05/31/17 11/30/22 100.000 0.000 2.6502 99.03 0.080721 0.081791 0.082875 0.083973 29.32 27.46 GS Finance Corp. 40054LAP9 05/31/17 05/31/24 100.000 0.000 2.9498 110.74 0.090783 0.092122 0.093481 0.094859 0.096258 33.01 33.99 GS Finance Corp. 40054LAQ7 05/30/17 05/30/25 100.000 0.000 3.1002 116.66 0.095905 0.097392 0.098902 0.100435 0.101991 34.89 35.98 GS Finance Corp. 40054LAR5 05/30/17 11/29/22 100.000 0.000 2.6501 99.02 0.080712 0.081782 0.082865 0.083963 29.32 27.38 GS Finance Corp. 40054LBG8 05/31/17 03/02/21 100.000 0.000 2.2248 82.61 0.066418 4.05 GS Finance Corp. 40054LBJ2 05/31/17 06/11/24 100.000 0.000 2.9497 110.74 0.090862 0.092202 0.093562 0.094942 0.096342 33.01 33.99 GS Finance Corp. 40054LBL7 05/31/17 05/26/23 100.000 1.250 2.7568 101.22 0.080772 0.081407 0.082050 0.082703 0.083364 29.24 29.70 GS Finance Corp. 40054LBV5 05/31/17 05/31/24 100.000 0.000 2.9498 110.74 0.090783 0.092122 0.093481 0.094859 0.096258 33.01 33.99 GS Finance Corp. 40054LCA0 05/18/17 05/19/22 100.000 0.000 2.5602 96.46 0.077743 0.078739 0.079747 28.25 11.01 GS Finance Corp. 40054LCJ1 05/18/17 05/20/24 100.000 0.000 3.0299 115.01 0.093523 0.094939 0.096378 0.097838 0.099320 34.04 35.08 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054LEE0 06/30/17 07/02/24 100.000 0.000 2.8998 106.11 0.087831 0.089105 0.090397 0.091707 0.093037 32.31 33.25 GS Finance Corp. 40054LEF7 06/30/17 03/30/23 100.000 0.000 2.6506 96.67 0.080209 0.081273 0.082350 0.083441 0.084547 29.26 30.04 GS Finance Corp. 40054LEM2 06/29/17 07/01/25 100.000 0.000 3.0998 113.86 0.095908 0.097395 0.098904 0.100437 34.79 35.88 GS Finance Corp. 40054LEN0 06/29/17 06/29/23 100.000 0.000 2.6999 98.58 0.082378 0.083490 0.084617 0.085759 0.086917 29.86 30.67 GS Finance Corp. 40054LER1 06/30/17 04/01/21 100.000 0.000 2.2248 80.61 0.066411 5.98 GS Finance Corp. 40054LFC3 06/30/17 07/02/24 100.000 0.000 2.8998 106.11 0.087831 0.089105 0.090397 0.091707 0.093037 32.31 33.25 GS Finance Corp. 40054LFP4 06/30/17 06/26/23 100.000 1.250 2.7083 96.98 0.079206 0.079808 0.080419 0.081038 0.081665 28.63 29.07 GS Finance Corp. 40054LGG3 06/30/17 06/30/25 100.000 0.000 3.0999 113.77 0.095895 0.097381 0.098891 0.100423 0.101980 34.79 35.88 GS Finance Corp. 40054LH23 07/31/17 07/31/24 100.000 0.000 2.9499 105.34 0.089467 0.090787 0.092126 0.093485 0.094864 32.85 33.82 GS Finance Corp. 40054LH31 07/31/17 05/01/23 100.000 0.000 2.6501 94.25 0.080198 0.081261 0.082337 0.083428 0.084534 29.19 29.97 GS Finance Corp. 40054LHH0 07/28/17 07/28/23 100.000 0.000 2.7502 98.08 0.082917 0.084057 0.085213 0.086385 0.087573 30.41 31.25 GS Finance Corp. 40054LHJ6 07/28/17 07/30/25 100.000 0.000 3.0997 111.12 0.094441 0.095905 0.097391 0.098900 0.100433 34.71 35.79 GS Finance Corp. 40054LJ39 07/31/17 08/09/24 100.000 0.000 2.9498 105.34 0.089527 0.090848 0.092188 0.093547 0.094927 32.85 33.82 GS Finance Corp. 40054LJ47 07/31/17 08/09/24 100.000 0.000 2.9498 105.34 0.089527 0.090848 0.092188 0.093547 0.094927 32.85 33.82 GS Finance Corp. 40054LJ54 07/31/17 08/09/27 100.000 0.000 3.3497 120.33 0.102886 0.104609 0.106361 0.108142 0.109954 37.84 39.12 GS Finance Corp. 40054LJA3 07/31/17 08/09/24 100.000 0.000 2.9498 105.34 0.089527 0.090848 0.092188 0.093547 0.094927 32.85 33.82 GS Finance Corp. 40054LJJ4 07/31/17 07/31/24 100.000 0.000 2.9499 105.34 0.089467 0.090787 0.092126 0.093485 0.094864 32.85 33.82 GS Finance Corp. 40054LJP0 07/31/17 07/31/24 100.000 0.000 2.9499 105.34 0.089467 0.090787 0.092126 0.093485 0.094864 32.85 33.82 GS Finance Corp. 40054LKQ6 07/31/17 07/26/23 100.000 1.250 2.7589 96.46 0.080201 0.080828 0.081464 0.082109 0.082763 29.18 29.64 GS Finance Corp. 40054LKV5 07/28/17 07/28/25 100.000 0.000 3.1002 111.13 0.094441 0.095905 0.097392 0.098902 0.100435 34.71 35.80 GS Finance Corp. 40054LL85 07/27/17 04/29/21 100.000 0.000 2.2251 78.83 0.066426 7.84 GS Finance Corp. 40054LLF9 07/28/17 07/30/24 100.000 0.000 2.9497 105.51 0.089474 0.090793 0.092132 0.093491 0.094870 32.85 33.83 GS Finance Corp. 40054LLJ1 07/31/17 08/09/24 100.000 0.000 2.9498 105.34 0.089527 0.090848 0.092188 0.093547 0.094927 32.85 33.82 GS Finance Corp. 40054LLU6 08/16/17 08/26/24 100.000 0.000 2.9499 103.91 0.089538 0.090859 0.092199 0.093559 0.094939 32.80 33.78 GS Finance Corp. 40054LME1 08/30/17 08/28/25 100.000 0.000 3.0491 106.25 0.092730 0.094143 0.095579 0.097036 0.098515 33.99 35.03 GS Finance Corp. 40054LMF8 08/30/17 08/30/23 100.000 0.000 2.7001 93.62 0.081285 0.082371 0.083495 0.084610 0.085765 29.73 30.54 GS Finance Corp. 40054LMZ4 08/31/17 09/03/24 100.000 0.000 2.9002 100.85 0.087850 0.089124 0.090417 0.091728 0.093058 32.16 33.10 GS Finance Corp. 40054LN26 08/31/17 06/02/23 100.000 0.000 2.6505 91.85 0.080216 0.081279 0.082356 0.083448 0.084554 29.13 29.91 GS Finance Corp. 40054LN34 08/31/17 09/12/24 100.000 0.000 2.8996 100.84 0.087896 0.089170 0.090463 0.091775 0.093105 32.15 33.09 GS Finance Corp. 40054LN59 08/31/17 09/12/24 100.000 0.000 2.8996 100.84 0.087896 0.089170 0.090463 0.091775 0.093105 32.15 33.09 GS Finance Corp. 40054LN67 08/31/17 09/14/27 100.000 0.000 2.9002 100.86 0.087929 0.089204 0.090498 0.091810 0.093141 32.16 33.10 GS Finance Corp. 40054LN75 08/31/17 08/28/23 100.000 1.250 2.7089 92.28 0.078624 0.079218 0.079821 0.080432 0.081051 28.56 29.00 GS Finance Corp. 40054LNK6 08/31/17 09/03/24 100.000 0.000 2.9002 100.85 0.087850 0.089124 0.090417 0.091728 0.093058 32.16 33.10 GS Finance Corp. 40054LNL4 08/31/17 09/03/24 100.000 0.000 2.9002 100.85 0.087850 0.089124 0.090417 0.091728 0.093058 32.16 33.10 GS Finance Corp. 40054LQJ6 09/05/17 09/02/21 100.000 0.000 2.2497 77.17 0.066818 0.067570 16.24 GS Finance Corp. 40054LQQ0 09/15/17 09/26/24 100.000 0.000 2.8003 95.98 0.084627 0.085812 0.087013 0.088231 0.089467 30.91 31.78 GS Finance Corp. 40054LQS6 09/15/17 06/15/23 100.000 0.000 2.5996 88.84 0.078534 0.079555 0.080589 0.081637 0.082698 28.49 29.23 GS Finance Corp. 40054LQU1 09/28/17 09/30/25 100.000 0.000 3.1000 105.46 0.094451 0.095915 0.097402 0.098911 0.100444 34.53 35.61 GS Finance Corp. 40054LQZ0 09/28/17 09/28/23 100.000 0.000 2.7500 93.10 0.082912 0.084053 0.085208 0.086380 0.087568 30.27 31.11 GS Finance Corp. 40054LR89 09/29/17 10/10/24 100.000 0.000 2.9500 100.07 0.089549 0.090870 0.092210 0.093571 0.094951 32.69 33.66 GS Finance Corp. 40054LR97 09/29/17 10/10/24 100.000 0.000 2.9500 100.07 0.089549 0.090870 0.092210 0.093571 0.094951 32.69 33.66 GS Finance Corp. 40054LRA4 09/29/17 10/10/24 100.000 0.000 2.9500 100.07 0.089549 0.090870 0.092210 0.093571 0.094951 32.69 33.66 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054LRB2 09/29/17 10/12/27 100.000 0.000 3.3500 114.27 0.102934 0.104658 0.106411 0.108194 0.110006 37.64 38.91 GS Finance Corp. 40054LRL0 09/28/17 10/11/22 100.000 0.000 2.5499 86.09 0.076495 0.077471 0.078458 0.079459 27.87 22.15 GS Finance Corp. 40054LS21 09/29/17 10/01/24 100.000 0.000 2.9500 100.06 0.089485 0.090805 0.092145 0.093504 0.094883 32.69 33.66 GS Finance Corp. 40054LS39 09/29/17 06/29/23 100.000 0.000 2.6502 89.52 0.080195 0.081257 0.082334 0.083425 0.084530 29.07 29.84 GS Finance Corp. 40054LS47 09/29/17 10/01/24 100.000 0.000 2.9500 100.06 0.089485 0.090805 0.092145 0.093504 0.094883 32.69 33.66 GS Finance Corp. 40054LSS4 09/29/17 09/26/24 100.000 1.500 2.9596 98.34 0.085926 0.086581 0.087246 0.087920 0.088605 31.18 31.66 GS Finance Corp. 40054LST2 09/29/17 09/29/22 100.000 0.000 2.5498 86.01 0.076422 0.077397 0.078383 0.079383 27.87 21.19 GS Finance Corp. 40054LSU9 09/29/17 10/01/24 100.000 0.000 2.9500 100.06 0.089485 0.090805 0.092145 0.093504 0.094883 32.69 33.66 GS Finance Corp. 40054LSV7 09/13/17 09/12/24 100.000 0.000 2.8499 97.91 0.086171 0.087399 0.088644 0.089907 0.091188 31.51 32.42 GS Finance Corp. 40054LSZ8 09/20/17 09/22/25 100.000 0.000 3.0502 104.44 0.092798 0.094213 0.095650 0.097109 0.098590 33.94 34.99 GS Finance Corp. 40054LTA2 09/29/17 09/30/24 100.000 0.000 2.9501 100.06 0.089478 0.090798 0.092137 0.093496 0.094876 32.69 33.66 GS Finance Corp. 40054LTJ3 09/29/17 12/29/21 100.000 0.000 2.3500 79.05 0.070430 0.071257 25.36 GS Finance Corp. 40054LTR5 09/25/17 09/25/23 100.000 0.000 2.7000 91.59 0.081285 0.082383 0.083495 0.084622 0.085765 29.67 30.48 GS Finance Corp. 40054LUA0 10/13/17 10/25/24 100.000 0.000 2.9399 98.46 0.089223 0.090534 0.091865 0.093215 0.094586 32.53 33.49 GS Finance Corp. 40054LUF9 10/30/17 10/30/25 100.000 0.000 3.1001 102.44 0.094438 0.095902 0.097388 0.098898 0.100431 34.44 35.52 GS Finance Corp. 40054LUG7 10/30/17 10/30/24 100.000 0.000 3.0002 99.01 0.091126 0.092493 0.093880 0.095289 0.096718 33.22 34.22 GS Finance Corp. 40054LUM4 09/29/17 03/31/23 100.000 0.000 2.6512 89.55 0.079705 0.080762 0.081832 0.082917 0.084016 29.08 29.85 GS Finance Corp. 40054LUT9 10/31/17 07/31/23 100.000 0.000 2.7496 90.45 0.082335 0.083467 0.084615 0.085778 0.086957 30.19 31.02 GS Finance Corp. 40054LUU6 10/31/17 10/31/24 100.000 0.000 2.9999 99.00 0.091118 0.092485 0.093872 0.095280 0.096709 33.22 34.22 GS Finance Corp. 40054LV76 10/31/17 11/12/24 100.000 0.000 3.0000 99.01 0.091212 0.092581 0.093969 0.095379 0.096810 33.22 34.22 GS Finance Corp. 40054LV84 10/31/17 11/12/24 100.000 0.000 3.0000 99.01 0.091212 0.092581 0.093969 0.095379 0.096810 33.22 34.22 GS Finance Corp. 40054LV92 10/31/17 11/12/24 100.000 0.000 3.0000 99.01 0.091212 0.092581 0.093969 0.095379 0.096810 33.22 34.22 GS Finance Corp. 40054LVA9 10/31/17 11/09/27 100.000 0.000 3.3500 111.08 0.102893 0.104617 0.106369 0.108151 0.109962 37.53 38.80 GS Finance Corp. 40054LVS0 10/31/17 10/31/24 100.000 0.000 2.9999 99.00 0.091118 0.092485 0.093872 0.095280 0.096709 33.22 34.22 GS Finance Corp. 40054LVX9 10/31/17 10/31/22 100.000 0.000 2.6001 85.34 0.078045 0.079059 0.080087 0.081128 28.40 24.13 GS Finance Corp. 40054LW67 10/30/17 11/08/22 100.000 0.000 2.6000 85.34 0.078086 0.079101 0.080129 0.081171 28.40 24.79 GS Finance Corp. 40054LWV2 10/25/17 04/25/23 100.000 0.000 2.6502 87.44 0.079666 0.080721 0.081791 0.082875 0.083973 29.01 29.78 GS Finance Corp. 40054LXN9 10/31/17 10/31/24 100.000 0.000 2.9999 99.00 0.091118 0.092485 0.093872 0.095280 0.096709 33.22 34.22 GS Finance Corp. 40054LXR0 10/31/17 11/10/27 100.000 0.000 3.3499 111.08 0.102900 0.104624 0.106376 0.108158 0.109970 37.53 38.80 GS Finance Corp. 40054LXT6 10/31/17 11/12/24 100.000 0.000 3.0000 99.01 0.091212 0.092581 0.093969 0.095379 0.096810 33.22 34.22 GS Finance Corp. 40054LY57 11/09/17 05/11/23 100.000 0.000 2.5499 82.95 0.076436 0.077411 0.078398 0.079397 0.080410 27.79 28.50 GS Finance Corp. 40054LYD0 11/15/17 11/25/24 100.000 0.000 2.9499 95.94 0.089538 0.090859 0.092199 0.093559 0.094939 32.57 33.54 GS Finance Corp. 40054LZ72 11/30/17 12/03/24 100.000 0.000 2.9998 96.26 0.091138 0.092505 0.093892 0.095301 0.096730 33.13 34.13 GS Finance Corp. 40054LZ80 11/30/17 12/03/24 100.000 0.000 2.9998 96.26 0.091138 0.092505 0.093892 0.095301 0.096730 33.13 34.13 GS Finance Corp. 40054LZ98 11/30/17 12/03/24 100.000 0.000 2.9998 96.26 0.091138 0.092505 0.093892 0.095301 0.096730 33.13 34.13 GS Finance Corp. 40054LZB3 11/30/17 08/31/23 100.000 0.000 2.7995 89.63 0.083945 0.085107 0.086312 0.087507 0.088745 30.72 31.58 GS Finance Corp. 40054LZC1 11/30/17 12/03/24 100.000 0.000 2.9998 96.26 0.091138 0.092505 0.093892 0.095301 0.096730 33.13 34.13 GS Finance Corp. 40054LZE7 11/30/17 12/03/25 100.000 0.000 3.1001 99.61 0.094462 0.095927 0.097413 0.098923 0.100457 34.35 35.43 GS Finance Corp. 40054LZS6 11/30/17 12/12/24 100.000 0.000 2.9999 96.27 0.091208 0.092577 0.093965 0.095375 0.096805 33.13 34.14 GS Finance Corp. 40054LZT4 11/30/17 12/12/24 100.000 0.000 2.9999 96.27 0.091208 0.092577 0.093965 0.095375 0.096805 33.13 34.14 GS Finance Corp. 40054LZU1 11/30/17 12/12/24 100.000 0.000 2.9999 96.27 0.091208 0.092577 0.093965 0.095375 0.096805 33.13 34.14 GS Finance Corp. 40054LZV9 11/30/17 12/13/27 100.000 0.000 3.3000 106.31 0.101245 0.102915 0.104613 0.106339 0.108094 36.81 38.03 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055A2P1 11/10/17 11/10/21 100.000 0.000 2.4000 77.85 0.071613 0.072472 22.28 GS Finance Corp. 40055A2Z9 11/30/17 12/12/22 100.000 0.000 2.6499 84.65 0.079729 0.080785 0.081856 0.082940 28.93 28.11 GS Finance Corp. 40055A3B1 11/30/17 05/31/23 100.000 0.000 2.7000 86.30 0.081283 0.082381 0.083493 0.084620 0.085762 29.53 30.33 GS Finance Corp. 40055A3G0 12/05/17 12/05/22 100.000 0.000 2.6501 84.25 0.079663 0.080718 0.081788 0.082872 28.92 27.51 GS Finance Corp. 40055A3P0 11/30/17 05/31/23 100.000 0.000 2.7499 87.95 0.082907 0.084047 0.085202 0.086374 0.087561 30.12 30.96 GS Finance Corp. 40055A3U9 11/22/17 05/31/23 100.000 0.000 2.7513 88.67 0.083004 0.084146 0.085303 0.086477 0.087666 30.16 30.99 GS Finance Corp. 40055A4B0 11/27/17 05/27/25 100.000 0.000 3.1501 101.57 0.096104 0.097618 0.099156 0.100717 0.102304 34.97 36.08 GS Finance Corp. 40055A4C8 11/30/17 12/12/24 100.000 0.000 2.9999 96.27 0.091208 0.092577 0.093965 0.095375 0.096805 33.13 34.14 GS Finance Corp. 40055A4D6 11/30/17 12/13/27 100.000 0.000 3.3000 106.31 0.101245 0.102915 0.104613 0.106339 0.108094 36.81 38.03 GS Finance Corp. 40055A4K0 11/27/17 11/24/25 100.000 0.000 3.2000 103.25 0.097745 0.099309 0.100898 0.102513 0.104153 35.59 36.73 GS Finance Corp. 40055A4N4 11/24/17 11/26/21 100.000 0.000 2.5000 80.15 0.074829 0.075764 24.49 GS Finance Corp. 40055A5G8 12/26/17 12/26/24 100.000 0.000 3.0002 93.90 0.091126 0.092493 0.093880 0.095289 0.096718 33.07 34.06 GS Finance Corp. 40055A5H6 12/26/17 12/26/24 100.000 0.000 3.0002 93.90 0.091126 0.092493 0.093880 0.095289 0.096718 33.07 34.06 GS Finance Corp. 40055A5L7 12/26/17 01/07/25 100.000 0.000 2.9999 93.90 0.089854 0.091202 0.092570 0.093958 0.095368 33.06 34.06 GS Finance Corp. 40055A5T0 12/13/17 12/23/24 100.000 0.000 3.0499 96.73 0.092852 0.094268 0.095705 0.097165 0.098646 33.70 34.74 GS Finance Corp. 40055A5W3 12/26/17 12/26/24 100.000 0.000 3.0002 93.90 0.091126 0.092493 0.093880 0.095289 0.096718 33.07 34.06 GS Finance Corp. 40055A6F9 12/27/17 01/08/25 100.000 0.000 2.9998 93.81 0.089850 0.091198 0.092566 0.093954 0.095364 33.06 34.06 GS Finance Corp. 40055A6H5 12/27/17 01/08/25 100.000 0.000 2.9998 93.81 0.089850 0.091198 0.092566 0.093954 0.095364 33.06 34.06 GS Finance Corp. 40055A6J1 12/27/17 01/04/28 100.000 0.000 3.2999 103.58 0.099545 0.101187 0.102857 0.104554 0.106279 36.72 37.94 GS Finance Corp. 40055A6K8 12/27/17 01/08/25 100.000 0.000 2.9998 93.81 0.089850 0.091198 0.092566 0.093954 0.095364 33.06 34.06 GS Finance Corp. 40055A7J0 12/26/17 01/05/23 100.000 0.000 2.6999 84.19 0.080252 0.081335 0.082433 0.083546 0.084674 29.47 30.27 GS Finance Corp. 40055AAD9 01/03/18 01/03/23 100.000 0.000 2.6999 83.62 0.080199 0.081282 0.082379 0.083491 0.084618 29.45 30.26 GS Finance Corp. 40055ABF3 12/19/17 06/19/25 100.000 0.000 3.1000 97.81 0.094435 0.095899 0.097386 0.098895 0.100428 34.30 35.37 GS Finance Corp. 40055AC54 01/31/18 01/30/25 100.000 0.000 3.4101 103.77 0.103079 0.104837 0.106624 0.108442 0.110291 37.96 39.27 GS Finance Corp. 40055AC62 01/31/18 02/11/25 100.000 0.000 3.4199 104.10 0.103508 0.105278 0.107078 0.108909 0.110772 38.08 39.39 GS Finance Corp. 40055AC70 01/31/18 02/11/25 100.000 0.000 3.4199 104.10 0.103508 0.105278 0.107078 0.108909 0.110772 38.08 39.39 GS Finance Corp. 40055AC88 01/31/18 01/30/25 100.000 0.000 3.4101 103.77 0.103079 0.104837 0.106624 0.108442 0.110291 37.96 39.27 GS Finance Corp. 40055ACE5 01/18/18 01/29/25 100.000 0.000 3.3498 103.09 0.101212 0.102908 0.104631 0.106384 0.108166 37.26 38.52 GS Finance Corp. 40055ACF2 01/18/18 01/29/25 100.000 0.000 3.3498 103.09 0.101212 0.102908 0.104631 0.106384 0.108166 37.26 38.52 GS Finance Corp. 40055ACK1 01/31/18 10/31/23 100.000 0.000 3.2433 98.55 0.098429 0.100025 0.101647 0.103296 0.104971 35.92 37.09 GS Finance Corp. 40055ACL9 01/31/18 01/30/25 100.000 0.000 3.3896 103.13 0.102410 0.104146 0.105911 0.107706 0.109531 37.71 39.00 GS Finance Corp. 40055ACW5 01/30/18 01/29/26 100.000 0.000 3.4733 105.78 0.105145 0.106972 0.108829 0.110719 0.112642 38.74 40.10 GS Finance Corp. 40055AD20 01/30/18 02/08/23 100.000 0.000 3.1499 95.56 0.094676 0.096167 0.097681 0.099220 0.100782 34.78 35.89 GS Finance Corp. 40055ADC8 01/31/18 02/11/25 100.000 0.000 3.4199 104.10 0.103508 0.105278 0.107078 0.108909 0.110772 38.08 39.39 GS Finance Corp. 40055ADD6 01/31/18 02/11/25 100.000 0.000 3.4199 104.10 0.103508 0.105278 0.107078 0.108909 0.110772 38.08 39.39 GS Finance Corp. 40055ADF1 01/31/18 02/11/25 100.000 0.000 3.4199 104.10 0.103508 0.105278 0.107078 0.108909 0.110772 38.08 39.39 GS Finance Corp. 40055ADG9 01/31/18 02/11/28 100.000 0.000 3.6599 111.73 0.111438 0.113477 0.115554 0.117669 0.119822 41.06 42.58 GS Finance Corp. 40055ADK0 01/31/18 02/11/25 100.000 0.000 3.4199 104.10 0.103508 0.105278 0.107078 0.108909 0.110772 38.08 39.39 GS Finance Corp. 40055ADU8 02/05/18 02/03/23 100.000 0.000 3.2054 96.82 0.096389 0.097933 0.099503 0.101098 0.102718 35.44 36.58 GS Finance Corp. 40055AE78 02/05/18 02/03/23 100.000 0.000 3.2054 96.82 0.096389 0.097933 0.099503 0.101098 0.102718 35.44 36.58 GS Finance Corp. 40055AES2 01/29/18 02/07/25 100.000 0.000 3.4299 104.52 0.103809 0.105589 0.107400 0.109242 0.111115 38.21 39.53 GS Finance Corp. 40055AF51 01/31/18 02/11/28 100.000 0.000 3.6599 111.73 0.111438 0.113477 0.115554 0.117669 0.119822 41.06 42.58 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055AGK7 02/16/18 02/28/25 100.000 0.000 3.6799 110.58 0.112113 0.114176 0.116277 0.118416 0.120595 41.24 42.78 GS Finance Corp. 40055AGL5 02/16/18 02/28/25 100.000 0.000 3.6799 110.58 0.112113 0.114176 0.116277 0.118416 0.120595 41.24 42.78 GS Finance Corp. 40055AGZ4 01/31/18 02/12/25 100.000 0.000 3.4499 105.05 0.104506 0.106308 0.108142 0.110007 0.111905 38.45 39.79 GS Finance Corp. 40055AHD2 02/28/18 03/11/25 100.000 0.000 3.6869 109.45 0.112359 0.114430 0.116539 0.118688 0.120876 41.28 42.82 GS Finance Corp. 40055AHE0 02/28/18 02/27/25 100.000 0.000 3.6753 109.08 0.111812 0.113867 0.115960 0.118090 0.120261 41.14 42.66 GS Finance Corp. 40055AHF7 02/28/18 02/27/25 100.000 0.000 3.6753 109.08 0.111812 0.113867 0.115960 0.118090 0.120261 41.14 42.66 GS Finance Corp. 40055AHG5 02/28/18 02/27/25 100.000 0.000 3.7053 110.01 0.112807 0.114897 0.117026 0.119194 0.121402 41.51 43.06 GS Finance Corp. 40055AHH3 02/28/18 03/11/25 100.000 0.000 3.6869 109.45 0.112359 0.114430 0.116539 0.118688 0.120876 41.28 42.82 GS Finance Corp. 40055AHJ9 02/28/18 03/11/25 100.000 0.000 3.6869 109.45 0.112359 0.114430 0.116539 0.118688 0.120876 41.28 42.82 GS Finance Corp. 40055AHK6 02/28/18 03/10/28 100.000 0.000 3.9678 118.18 0.121752 0.124168 0.126631 0.129143 0.131705 44.81 46.60 GS Finance Corp. 40055AHL4 02/28/18 03/11/25 100.000 0.000 3.6869 109.45 0.112359 0.114430 0.116539 0.118688 0.120876 41.28 42.82 GS Finance Corp. 40055AHM2 02/28/18 03/11/25 100.000 0.000 3.6869 109.45 0.112359 0.114430 0.116539 0.118688 0.120876 41.28 42.82 GS Finance Corp. 40055AHN0 02/28/18 11/29/23 100.000 0.000 3.5414 104.97 0.108357 0.110276 0.112229 0.114216 0.116238 39.48 40.89 Goldman Sachs Group, Inc 40055AHP5 03/05/18 03/03/23 100.000 0.000 3.4453 101.25 0.104216 0.106012 0.107838 0.109696 0.111585 38.27 39.60 GS Finance Corp. 40055AHU4 02/28/18 03/11/25 100.000 0.000 3.6869 109.45 0.112359 0.114430 0.116539 0.118688 0.120876 41.28 42.82 Goldman Sachs Group, Inc 40055AJF5 03/05/18 03/03/23 100.000 0.000 3.4453 101.25 0.104216 0.106012 0.107838 0.109696 0.111585 38.27 39.60 GS Finance Corp. 40055AJG3 02/22/18 06/22/26 100.000 0.000 3.8739 115.96 0.119970 0.122294 0.124662 0.127077 0.129538 43.65 45.36 GS Finance Corp. 40055AJN8 02/27/18 03/08/23 100.000 0.000 3.4252 101.47 0.103684 0.105460 0.107266 0.109103 0.110971 38.05 39.37 GS Finance Corp. 40055AJS7 02/28/18 08/31/23 100.000 0.000 3.4583 102.37 0.104680 0.106470 0.108332 0.110184 0.112110 38.45 39.79 GS Finance Corp. 40055AJY4 02/27/18 02/26/26 100.000 0.000 3.8056 113.23 0.116145 0.118355 0.120607 0.122902 0.125241 42.77 44.41 GS Finance Corp. 40055AK89 02/27/18 02/27/25 100.000 0.000 3.7200 110.58 0.113308 0.115415 0.117562 0.119749 0.121976 41.70 43.26 GS Finance Corp. 40055AKQ9 02/28/18 03/10/28 100.000 0.000 3.9678 118.18 0.121752 0.124168 0.126631 0.129143 0.131705 44.81 46.60 GS Finance Corp. 40055AL21 02/14/18 02/14/23 100.000 0.000 3.3099 99.21 0.099806 0.101457 0.103137 0.104843 0.106578 36.68 37.91 GS Finance Corp. 40055ALA3 02/20/18 02/20/25 100.000 0.000 3.7500 112.31 0.114305 0.116449 0.118632 0.120856 0.123122 42.10 43.70 GS Finance Corp. 40055ALY1 02/28/18 08/28/25 100.000 0.000 3.7368 110.98 0.113868 0.115995 0.118162 0.120370 0.122619 41.90 43.48 GS Finance Corp. 40055AMP9 02/26/18 03/05/25 100.000 0.000 3.7000 110.08 0.112748 0.114834 0.116959 0.119123 0.121326 41.45 43.00 GS Finance Corp. 40055AMU8 02/28/18 03/10/28 100.000 0.000 3.9678 118.18 0.121752 0.124168 0.126631 0.129143 0.131705 44.81 46.60 GS Finance Corp. 40055AMV6 02/28/18 03/10/28 100.000 0.000 3.9678 118.18 0.121752 0.124168 0.126631 0.129143 0.131705 44.81 46.60 GS Finance Corp. 40055AMX2 02/28/18 03/10/28 100.000 0.000 3.9678 118.18 0.121752 0.124168 0.126631 0.129143 0.131705 44.81 46.60 GS Finance Corp. 40055ANA1 02/28/18 03/12/25 100.000 0.000 3.6670 108.84 0.111706 0.113755 0.115840 0.117964 0.120127 41.03 42.55 GS Finance Corp. 40055ANE3 03/16/18 03/27/25 100.000 0.000 3.8098 111.17 0.116436 0.118654 0.120914 0.123217 0.125564 42.74 44.38 GS Finance Corp. 40055ANF0 03/16/18 03/27/25 100.000 0.000 3.8098 111.17 0.116436 0.118654 0.120914 0.123217 0.125564 42.74 44.38 GS Finance Corp. 40055ANM5 03/16/18 03/27/25 100.000 0.000 3.8098 111.17 0.116436 0.118654 0.120914 0.123217 0.125564 42.74 44.38 GS Finance Corp. 40055APD3 03/29/18 03/30/23 100.000 0.000 3.6000 103.36 0.109340 0.111308 0.113311 0.115351 0.117427 40.08 41.53 GS Finance Corp. 40055APE1 03/29/18 10/01/25 100.000 0.000 3.9000 112.36 0.119343 0.121670 0.124043 0.126462 0.128928 43.81 45.53 GS Finance Corp. 40055APF8 03/29/18 12/31/24 100.000 0.000 3.8275 110.18 0.118022 0.120280 0.122582 0.124928 0.127319 42.90 44.56 GS Finance Corp. 40055APG6 04/05/18 04/17/23 100.000 0.000 3.4899 99.45 0.105824 0.107671 0.109550 0.111461 0.113406 38.70 40.07 GS Finance Corp. 40055APL5 03/29/18 04/09/25 100.000 0.000 3.8700 111.46 0.118438 0.120729 0.123066 0.125447 0.127874 43.43 45.13 GS Finance Corp. 40055APM3 03/29/18 04/09/25 100.000 0.000 3.8700 111.46 0.118438 0.120729 0.123066 0.125447 0.127874 43.43 45.13 GS Finance Corp. 40055APN1 03/29/18 04/09/25 100.000 0.000 3.8700 111.46 0.118438 0.120729 0.123066 0.125447 0.127874 43.43 45.13 GS Finance Corp. 40055APP6 03/29/18 04/09/25 100.000 0.000 3.8700 111.46 0.118438 0.120729 0.123066 0.125447 0.127874 43.43 45.13 GS Finance Corp. 40055APR2 03/29/18 04/10/28 100.000 0.000 4.0900 118.10 0.125871 0.128445 0.131071 0.133752 0.136487 46.20 48.11 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055APU5 03/29/18 10/10/25 100.000 0.000 3.9000 112.37 0.119459 0.121788 0.124163 0.126584 0.129053 43.81 45.53 GS Finance Corp. 40055APV3 03/29/18 04/09/25 100.000 0.000 3.8700 111.46 0.118438 0.120729 0.123066 0.125447 0.127874 43.43 45.13 GS Finance Corp. 40055AQA8 03/28/18 03/27/25 100.000 0.000 3.8492 110.94 0.117602 0.119865 0.122172 0.124524 0.126920 43.17 44.85 GS Finance Corp. 40055AQB6 03/28/18 03/26/26 100.000 0.000 3.9333 113.48 0.120407 0.122775 0.125190 0.127652 0.130163 44.23 45.98 GS Finance Corp. 40055AQE0 03/29/18 03/31/25 100.000 0.000 3.8700 111.45 0.118325 0.120615 0.122949 0.125328 0.127753 43.43 45.13 GS Finance Corp. 40055AQK6 03/29/18 04/09/25 100.000 0.000 3.8700 111.46 0.118438 0.120729 0.123066 0.125447 0.127874 43.43 45.13 GS Finance Corp. 40055AQM2 03/29/18 04/09/25 100.000 0.000 3.8700 111.46 0.118438 0.120729 0.123066 0.125447 0.127874 43.43 45.13 GS Finance Corp. 40055AQP5 03/29/18 04/10/28 100.000 0.000 4.0900 118.10 0.125871 0.128445 0.131071 0.133752 0.136487 46.20 48.11 GS Finance Corp. 40055AQZ3 03/14/18 03/25/25 100.000 0.000 3.7899 110.79 0.115770 0.117964 0.120199 0.122477 0.124798 42.50 44.12 GS Finance Corp. 40055AR25 03/14/18 03/25/25 100.000 0.000 3.7899 110.79 0.115770 0.117964 0.120199 0.122477 0.124798 42.50 44.12 GS Finance Corp. 40055ARE9 04/02/18 03/31/23 100.000 0.000 3.5367 101.15 0.107219 0.109115 0.111045 0.113008 0.115007 39.29 40.69 GS Finance Corp. 40055ARR0 03/21/18 03/20/25 100.000 0.000 3.7991 110.25 0.115930 0.118133 0.120377 0.122663 0.124993 42.58 44.21 GS Finance Corp. 40055ART6 03/21/18 03/21/24 100.000 0.000 3.6850 106.80 0.112145 0.114211 0.116315 0.118459 0.120641 41.16 42.69 GS Finance Corp. 40055ARV1 03/21/18 03/20/25 100.000 0.000 3.7991 110.25 0.115930 0.118133 0.120377 0.122663 0.124993 42.58 44.21 GS Finance Corp. 40055ARW9 03/29/18 04/10/28 100.000 0.000 4.0900 118.10 0.125871 0.128445 0.131071 0.133752 0.136487 46.20 48.11 GS Finance Corp. 40055ATH0 04/17/18 04/28/25 100.000 0.000 3.7800 106.68 0.115439 0.117621 0.119844 0.122109 0.124417 42.23 43.84 GS Finance Corp. 40055ATJ6 04/17/18 04/28/25 100.000 0.000 3.7800 106.68 0.115439 0.117621 0.119844 0.122109 0.124417 42.23 43.84 GS Finance Corp. 40055ATK3 04/17/18 04/28/25 100.000 0.000 3.7800 106.68 0.115439 0.117621 0.119844 0.122109 0.124417 42.23 43.84 GS Finance Corp. 40055ATU1 04/02/18 10/03/24 100.000 0.000 3.7376 107.13 0.113903 0.116032 0.118200 0.120409 0.122659 41.77 43.34 GS Finance Corp. 40055ATX5 04/30/18 04/30/25 100.000 0.000 4.0400 112.73 0.124026 0.126531 0.129087 0.131694 0.134355 45.41 47.26 GS Finance Corp. 40055AU21 03/29/18 03/31/21 100.000 0.000 3.2700 93.53 0.098516 8.77 GS Finance Corp. 40055AU39 04/30/18 05/09/25 100.000 0.000 4.0400 112.74 0.124149 0.126656 0.129215 0.131825 0.134488 45.41 47.26 GS Finance Corp. 40055AU47 04/30/18 05/09/25 100.000 0.000 4.0400 112.74 0.124149 0.126656 0.129215 0.131825 0.134488 45.41 47.26 GS Finance Corp. 40055AU54 04/30/18 05/09/28 100.000 0.000 4.3200 120.92 0.133676 0.136563 0.139513 0.142526 0.145605 48.95 51.08 GS Finance Corp. 40055AU88 04/30/18 05/09/25 100.000 0.000 4.0400 112.74 0.124149 0.126656 0.129215 0.131825 0.134488 45.41 47.26 GS Finance Corp. 40055AUA3 04/30/18 05/09/25 100.000 0.000 4.0400 112.74 0.124149 0.126656 0.129215 0.131825 0.134488 45.41 47.26 GS Finance Corp. 40055AUB1 04/30/18 05/09/25 100.000 0.000 4.0400 112.74 0.124149 0.126656 0.129215 0.131825 0.134488 45.41 47.26 GS Finance Corp. 40055AUC9 04/30/18 05/09/28 100.000 0.000 4.3200 120.92 0.133676 0.136563 0.139513 0.142526 0.145605 48.95 51.08 GS Finance Corp. 40055AUD7 04/30/18 05/09/25* 100.000 0.000 4.0400 112.74 0.124149 0.126656 16.02* GS Finance Corp. 40055AUP0 04/30/18 11/10/25 100.000 0.000 4.0867 114.10 0.125743 0.128313 0.130935 0.133610 0.136340 45.99 47.89 GS Finance Corp. 40055AUQ8 04/30/18 11/10/25 100.000 0.000 4.0867 114.10 0.125743 0.128313 0.130935 0.133610 0.136340 45.99 47.89 GS Finance Corp. 40055AV79 04/03/18 04/01/21 100.000 0.000 3.1404 89.31 0.094284 8.49 GS Finance Corp. 40055AVN4 04/30/18 01/30/23 100.000 0.000 3.6788 102.27 0.110928 0.112969 0.115047 0.117163 0.119318 40.92 42.44 GS Finance Corp. 40055AVQ7 04/30/18 01/30/25 100.000 0.000 4.0014 111.64 0.121518 0.123949 0.126429 0.128958 0.131538 44.93 46.74 GS Finance Corp. 40055AVR5 04/30/18 10/30/25 100.000 0.000 4.0867 114.09 0.125600 0.128166 0.130785 0.133458 0.136185 45.99 47.89 GS Finance Corp. 40055AW37 04/27/18 04/29/26 100.000 0.000 4.0867 114.47 0.125628 0.128195 0.130815 0.133488 0.136215 46.01 47.91 GS Finance Corp. 40055AW45 04/27/18 04/29/24 100.000 0.000 3.8501 107.56 0.117669 0.119934 0.122243 0.124596 0.126995 43.05 44.73 GS Finance Corp. 40055AW52 04/30/18 10/31/23 100.000 0.000 3.7750 105.03 0.115137 0.117310 0.119524 0.121780 0.124079 42.11 43.71 GS Finance Corp. 40055AWC7 05/07/18 05/16/23 100.000 0.000 3.7100 102.36 0.113080 0.115177 0.117314 0.119490 0.121706 41.28 42.82 GS Finance Corp. 40055AWD5 04/30/18 05/09/28 100.000 0.000 4.3200 120.92 0.133676 0.136563 0.139513 0.142526 0.145605 48.95 51.08 GS Finance Corp. 40055AWP8 05/03/18 05/04/23 100.000 0.000 3.6800 101.94 0.111991 0.114051 0.116150 0.118287 0.120463 40.92 42.44 GS Finance Corp. 40055AWU7 05/03/18 05/04/23 100.000 0.000 3.6800 101.94 0.111991 0.114051 0.116150 0.118287 0.120463 40.92 42.44 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055AXA0 04/11/18 04/09/21 100.000 0.000 3.1014 87.42 0.093026 9.12 GS Finance Corp. 40055AXU6 04/18/18 04/15/21 100.000 0.000 3.1207 87.33 0.093641 9.74 GS Finance Corp. 40055AYK7 04/26/18 05/07/25 100.000 0.000 3.9700 111.18 0.121813 0.124231 0.126697 0.129212 0.131777 44.55 46.34 GS Finance Corp. 40055AYL5 04/26/18 05/07/25* 100.000 0.000 3.9700 111.18 0.121813 15.35* GS Finance Corp. 40055AYR2 04/26/18 10/28/25 100.000 0.000 4.0117 112.40 0.123098 0.125567 0.128086 0.130655 0.133276 45.07 46.90 GS Finance Corp. 40055AYT8 05/17/18 05/29/25 100.000 0.000 3.9900 109.20 0.122503 0.124947 0.127439 0.129982 0.132575 44.70 46.50 GS Finance Corp. 40055AYU5 05/17/18 05/29/25 100.000 0.000 3.9900 109.20 0.122503 0.124947 0.127439 0.129982 0.132575 44.70 46.50 GS Finance Corp. 40055AYW1 05/17/18 05/29/25 100.000 0.000 3.9900 109.20 0.122503 0.124947 0.127439 0.129982 0.132575 44.70 46.50 GS Finance Corp. 40055AZ67 05/09/18 05/08/25 100.000 0.000 3.9777 109.82 0.121913 0.124337 0.126810 0.129332 0.131904 44.58 46.38 GS Finance Corp. 40055AZG5 05/02/18 05/15/28 100.000 0.000 4.2400 118.32 0.131002 0.133780 0.136616 0.139512 0.142470 47.92 49.97 GS Finance Corp. 40055AZL4 05/30/18 05/30/25 100.000 0.000 4.0099 108.16 0.123011 0.125477 0.127993 0.130559 0.133177 44.88 46.70 GS Finance Corp. 40055AZM2 05/30/18 05/30/25 100.000 0.000 4.0099 108.16 0.123011 0.125477 0.127993 0.130559 0.133177 44.88 46.70 GS Finance Corp. 40055AZP5 05/17/18 05/30/28* 100.000 0.000 4.2500 116.64 0.131344 19.31* GS Finance Corp. 40055AZX8 05/29/18 05/29/24 100.000 0.000 3.9300 106.04 0.120322 0.122687 0.125098 0.127556 0.130062 43.89 45.64 GS Finance Corp. 40055AZY6 05/29/18 05/29/26 100.000 0.000 4.1267 111.58 0.126955 0.129574 0.132248 0.134976 0.137761 46.34 48.28 GS Finance Corp. 40055Q2P6 05/25/18 05/30/23 100.000 0.000 3.7700 102.01 0.115031 0.117199 0.119408 0.121659 0.123952 41.94 43.53 GS Finance Corp. 40055Q2R2 05/04/18 05/02/24 100.000 1.450 3.8675 105.91 0.114965 0.115631 0.117867 0.118588 0.120882 41.68 42.74 GS Finance Corp. 40055Q2V3 05/25/18 05/28/25 100.000 0.000 4.0600 110.20 0.124741 0.127273 0.129857 0.132493 0.135183 45.53 47.40 GS Finance Corp. 40055Q2W1 05/17/18 05/29/25* 100.000 0.000 3.9900 109.20 0.122503 18.01* GS Finance Corp. 40055Q2X9 05/17/18 05/29/25 100.000 0.000 3.9900 109.20 0.122503 0.124947 0.127439 0.129982 0.132575 44.70 46.50 GS Finance Corp. 40055Q3C4 05/30/18 02/27/25 100.000 0.000 3.9600 106.83 0.120112 0.122490 0.124916 0.127389 0.129911 44.26 46.03 GS Finance Corp. 40055Q3E0 05/30/18 03/01/23 100.000 0.000 3.6601 98.42 0.110329 0.112348 0.114404 0.116497 0.118629 40.57 42.07 GS Finance Corp. 40055Q3F7 05/30/18 05/30/28 100.000 0.000 4.3000 116.34 0.132849 0.135706 0.138623 0.141604 0.144648 48.52 50.63 GS Finance Corp. 40055Q3G5 05/30/18 06/10/25 100.000 0.000 4.0101 108.17 0.123151 0.125620 0.128139 0.130708 0.133329 44.88 46.70 GS Finance Corp. 40055Q3H3 05/30/18 06/10/25 100.000 0.000 4.0101 108.17 0.123151 0.125620 0.128139 0.130708 0.133329 44.88 46.70 GS Finance Corp. 40055Q3J9 05/30/18 06/08/28 100.000 0.000 4.3000 116.34 0.132976 0.135835 0.138755 0.141738 0.144786 48.52 50.63 GS Finance Corp. 40055Q3K6 05/30/18 06/10/25 100.000 0.000 4.0101 108.17 0.123151 0.125620 0.128139 0.130708 0.133329 44.88 46.70 GS Finance Corp. 40055Q3L4 05/30/18 06/10/25* 100.000 0.000 4.0101 108.17 0.123151 19.33* GS Finance Corp. 40055Q3M2 05/30/18 06/10/25 100.000 0.000 4.0101 108.17 0.123151 0.125620 0.128139 0.130708 0.133329 44.88 46.70 GS Finance Corp. 40055Q3N0 05/30/18 06/08/28* 100.000 0.000 4.3000 116.34 0.132976 20.88* GS Finance Corp. 40055Q3P5 05/30/18 06/10/25 100.000 0.000 4.0101 108.17 0.123151 0.125620 0.128139 0.130708 0.133329 44.88 46.70 GS Finance Corp. 40055Q3R1 05/30/18 11/28/25 100.000 0.000 4.0503 109.30 0.124345 0.126863 0.129433 0.132054 0.134728 45.39 47.24 GS Finance Corp. 40055Q3S9 05/30/18 06/08/28 100.000 0.000 4.3000 116.34 0.132976 0.135835 0.138755 0.141738 0.144786 48.52 50.63 GS Finance Corp. 40055Q3U4 05/30/18 12/11/25 100.000 0.000 4.0583 109.53 0.124798 0.127330 0.129914 0.132550 0.135240 45.49 47.35 GS Finance Corp. 40055Q3V2 05/30/18 06/12/28 100.000 0.000 4.3000 116.34 0.133039 0.135899 0.138821 0.141806 0.144855 48.52 50.63 GS Finance Corp. 40055Q4M1 05/30/18 06/10/25* 100.000 0.000 4.0101 108.17 0.123151 19.33* GS Finance Corp. 40055Q4W9 06/06/18 06/19/23* 100.000 0.000 3.7000 98.80 0.112793 18.72* GS Finance Corp. 40055Q5H1 06/05/18 06/05/23 100.000 0.000 3.6299 96.97 0.110320 0.112322 0.114360 0.116436 0.118549 40.18 41.65 GS Finance Corp. 40055Q5L2 06/05/18 06/05/23 100.000 0.000 3.6299 96.97 0.110320 0.112322 0.114360 0.116436 0.118549 40.18 41.65 GS Finance Corp. 40055Q6F4 05/29/18 06/07/23 100.000 0.000 3.7299 100.43 0.113732 0.115853 0.118014 0.120215 0.122457 41.43 42.99 GS Finance Corp. 40055Q6X5 05/25/18 11/25/26 100.000 0.000 4.2450 115.44 0.130974 0.133754 0.136593 0.139492 0.142453 47.85 49.91 GS Finance Corp. 40055QA28 05/31/18 06/12/25* 100.000 0.000 3.8600 103.96 0.118128 0.120408 19.38* ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055QA51 05/24/18 06/05/25* 100.000 0.000 4.0800 110.89 0.125533 0.128094 19.59* GS Finance Corp. 40055QA69 05/24/18 08/26/25 100.000 0.000 4.1042 111.64 0.124951 0.127515 0.130132 0.132802 0.135527 46.09 48.00 GS Finance Corp. 40055QAB8 06/04/18 06/13/25 100.000 0.000 3.9400 105.72 0.120777 0.123156 0.125582 0.128056 0.130579 43.99 45.74 GS Finance Corp. 40055QAH5 05/31/18 05/27/21 100.000 0.000 3.2181 86.09 0.096793 14.13 GS Finance Corp. 40055QAJ1 05/31/18 05/28/21 100.000 0.000 3.2182 86.09 0.096804 14.23 GS Finance Corp. 40055QAK8 05/31/18 06/12/25* 100.000 0.000 3.8600 103.96 0.118128 0.120408 19.38* GS Finance Corp. 40055QAR3 06/15/18 06/26/25 100.000 0.000 4.0700 107.98 0.125192 0.127740 0.130339 0.132992 0.135698 45.55 47.43 GS Finance Corp. 40055QAS1 06/15/18 06/26/25* 100.000 0.000 4.0700 107.98 0.125192 0.127740 22.16* GS Finance Corp. 40055QAU6 06/15/18 06/26/25* 100.000 0.000 4.0700 107.98 0.125192 0.127740 22.16* GS Finance Corp. 40055QAV4 06/15/18 06/26/25 100.000 0.000 4.0700 107.98 0.125192 0.127740 0.130339 0.132992 0.135698 45.55 47.43 GS Finance Corp. 40055QAZ5 06/01/18 06/12/25* 100.000 0.000 3.8600 103.84 0.118116 0.120395 19.38* GS Finance Corp. 40055QB84 06/29/18 07/11/25 100.000 0.000 4.0800 106.52 0.123037 0.125547 0.128108 0.130721 0.133388 45.61 47.49 GS Finance Corp. 40055QB92 06/29/18 07/11/25* 100.000 0.000 4.0800 106.52 0.123037 0.125547 0.128108 24.08* GS Finance Corp. 40055QBA9 06/29/18 07/11/25* 100.000 0.000 4.0800 106.52 0.123037 0.125547 0.128108 24.08* GS Finance Corp. 40055QBB7 06/29/18 07/11/25 100.000 0.000 4.0800 106.52 0.123037 0.125547 0.128108 0.130721 0.133388 45.61 47.49 GS Finance Corp. 40055QBF8 06/29/18 07/01/25* 100.000 0.000 4.1000 107.04 0.126081 22.69* GS Finance Corp. 40055QBG6 06/29/18 07/03/23* 100.000 0.000 3.7800 98.38 0.113214 0.115354 20.76* GS Finance Corp. 40055QBK7 06/08/18 10/08/26 100.000 0.000 4.1144 110.17 0.125688 0.128273 0.130912 0.133605 0.136354 46.15 48.06 GS Finance Corp. 40055QBU5 06/29/18 07/01/24 100.000 0.000 3.9250 102.29 0.120179 0.122538 0.124942 0.127394 43.69 45.42 GS Finance Corp. 40055QC42 06/29/18 07/01/26 100.000 0.000 4.1733 109.04 0.128566 0.131249 0.133987 0.136783 46.77 48.74 GS Finance Corp. 40055QC59 06/05/18 06/13/28* 100.000 0.000 4.2300 113.71 0.130584 0.133346 21.42* GS Finance Corp. 40055QCH3 06/29/18 07/11/28* 100.000 0.000 4.3600 114.15 0.132215 0.135097 0.138042 25.92* GS Finance Corp. 40055QCJ9 06/29/18 07/11/28 100.000 0.000 4.3600 114.15 0.132215 0.135097 0.138042 0.141051 0.144126 49.11 51.27 GS Finance Corp. 40055QCM2 06/29/18 03/30/23 100.000 0.000 3.7238 96.94 0.112408 0.114501 0.116632 0.118804 0.121016 41.23 42.78 GS Finance Corp. 40055QCN0 06/29/18 12/31/25 100.000 0.000 4.1267 107.77 0.126970 0.129590 0.132264 0.134993 0.137779 46.19 48.11 GS Finance Corp. 40055QCQ3 06/29/18 03/31/21 100.000 0.000 3.1168 80.64 0.092829 8.26 GS Finance Corp. 40055QCS9 06/29/18 03/31/25 100.000 0.000 4.0414 105.56 0.122855 0.125337 0.127870 0.130454 0.133090 45.13 46.97 GS Finance Corp. 40055QCU4 06/29/18 07/11/25 100.000 0.000 4.0800 106.52 0.123037 0.125547 0.128108 0.130721 0.133388 45.61 47.49 GS Finance Corp. 40055QCV2 06/29/18 06/29/23 100.000 0.000 3.7700 98.10 0.114971 0.117138 0.119347 0.121596 0.123888 41.79 43.38 GS Finance Corp. 40055QCW0 06/29/18 06/29/23 100.000 0.000 3.7700 98.10 0.114971 0.117138 0.119347 0.121596 0.123888 41.79 43.38 GS Finance Corp. 40055QDU3 06/29/18 07/11/28 100.000 0.000 4.3600 114.15 0.132215 0.135097 0.138042 0.141051 0.144126 49.11 51.27 GS Finance Corp. 40055QE40 06/29/18 12/29/23 100.000 0.000 3.7950 98.78 0.115805 0.118003 0.120242 0.122524 0.124848 42.09 43.71 GS Finance Corp. 40055QE81 06/20/18 03/22/21 100.000 1.000 3.1243 80.80 0.091517 7.41 GS Finance Corp. 40055QED0 07/05/18 07/05/23 100.000 0.000 3.7500 96.88 0.112203 0.114307 0.116450 0.118633 0.120858 41.52 43.09 GS Finance Corp. 40055QEJ7 07/05/18 10/04/21 100.000 0.000 3.4201 88.14 0.102528 0.104281 28.31 GS Finance Corp. 40055QEK4 07/05/18 07/18/23* 100.000 0.000 3.7500 96.91 0.112354 0.114461 22.28* GS Finance Corp. 40055QEU2 07/06/18 07/18/23* 100.000 0.000 3.7600 97.06 0.112665 0.114783 0.116941 22.69* GS Finance Corp. 40055QFR8 06/20/18 06/18/21 100.000 0.000 3.3057 86.52 0.099650 16.64 GS Finance Corp. 40055QFZ0 06/27/18 07/11/28* 100.000 0.000 4.3800 114.97 0.132905 0.135816 25.50* GS Finance Corp. 40055QGB2 06/29/18 12/31/25 100.000 0.000 4.1267 107.77 0.126970 0.129590 0.132264 0.134993 0.137779 46.19 48.11 GS Finance Corp. 40055QGE6 06/27/18 06/27/23 100.000 5.000 3.5005 87.34 0.097430 0.097637 0.097698 0.097636 0.097472 35.11 35.16 GS Finance Corp. 40055QGV8 07/17/18 07/28/25 100.000 0.000 4.0100 102.44 0.120741 0.123162 0.125632 0.128151 0.130720 44.65 46.46 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055QGW6 07/17/18 07/28/25* 100.000 0.000 4.0100 102.44 0.120741 0.123162 25.18* GS Finance Corp. 40055QGX4 07/17/18 07/28/25 100.000 0.000 4.0100 102.44 0.120741 0.123162 0.125632 0.128151 0.130720 44.65 46.46 GS Finance Corp. 40055QGY2 07/17/18 07/28/25* 100.000 0.000 4.0100 102.44 0.120741 0.123162 25.18* GS Finance Corp. 40055QHK1 06/28/18 07/10/25* 100.000 0.000 4.0800 106.65 0.123037 0.125547 0.128108 23.96* GS Finance Corp. 40055QJ52 07/31/18 07/30/26 100.000 0.000 4.1364 104.16 0.124706 0.127285 0.129917 0.132604 0.135347 46.15 48.07 GS Finance Corp. 40055QJ60 07/31/18 07/31/24 100.000 0.000 3.9250 98.64 0.117843 0.120155 0.122513 0.124918 0.127369 43.54 45.27 GS Finance Corp. 40055QK68 08/06/18 08/04/23 100.000 0.000 3.7554 93.55 0.112352 0.114462 0.116611 0.118800 0.121031 41.45 43.02 GS Finance Corp. 40055QKC5 07/27/18 08/23/23* 100.000 0.000 3.7600 94.71 0.112828 0.114949 26.56* GS Finance Corp. 40055QKF8 07/17/18 07/26/28* 100.000 0.000 4.2500 108.83 0.128551 0.131282 26.84* GS Finance Corp. 40055QKK7 07/27/18 08/25/25* 100.000 0.000 4.0300 101.79 0.121623 0.124073 28.65* GS Finance Corp. 40055QKV3 07/31/18 04/29/21 100.000 0.000 3.0668 76.48 0.091223 10.76 GS Finance Corp. 40055QKW1 07/31/18 05/01/25 100.000 0.000 4.0263 101.35 0.122355 0.124818 0.127330 0.129894 0.132509 44.79 46.61 GS Finance Corp. 40055QKX9 07/31/18 05/01/23 100.000 0.000 3.7275 93.56 0.112531 0.114628 0.116765 0.118941 0.121158 41.14 42.69 GS Finance Corp. 40055QKY7 07/31/18 08/11/25 100.000 0.000 4.0600 102.18 0.122371 0.124855 0.127390 0.129976 0.132614 45.20 47.06 GS Finance Corp. 40055QKZ4 07/31/18 08/11/25* 100.000 0.000 4.0600 102.18 0.122371 0.124855 27.12* GS Finance Corp. 40055QL26 07/31/18 08/11/25 100.000 0.000 4.0600 102.18 0.122371 0.124855 0.127390 0.129976 0.132614 45.20 47.06 GS Finance Corp. 40055QL75 07/31/18 08/11/25 100.000 0.000 4.0600 102.18 0.122371 0.124855 0.127390 0.129976 0.132614 45.20 47.06 GS Finance Corp. 40055QLC4 07/31/18 01/29/26 100.000 0.000 4.0947 103.07 0.123333 0.125858 0.128435 0.131064 0.133748 45.63 47.52 GS Finance Corp. 40055QLD2 07/31/18 08/11/25* 100.000 0.000 4.0600 102.18 0.122371 0.124855 27.12* GS Finance Corp. 40055QLG5 07/31/18 08/09/28* 100.000 0.000 4.3100 108.73 0.130522 0.133335 28.96* GS Finance Corp. 40055QLH3 07/31/18 08/09/28* 100.000 0.000 4.3100 108.73 0.130522 0.133335 28.96* GS Finance Corp. 40055QLJ9 07/31/18 08/11/25 100.000 0.000 4.0600 102.18 0.122371 0.124855 0.127390 0.129976 0.132614 45.20 47.06 GS Finance Corp. 40055QLK6 07/31/18 08/11/25* 100.000 0.000 4.0600 102.18 0.122371 0.124855 27.12* GS Finance Corp. 40055QLN0 08/06/18 08/15/23* 100.000 0.000 3.8000 94.71 0.113916 0.116080 0.118286 26.03* GS Finance Corp. 40055QLQ3 08/03/18 08/03/23 100.000 0.000 3.7700 94.26 0.112844 0.114971 0.117138 0.119347 0.121596 41.64 43.23 GS Finance Corp. 40055QLS9 08/03/18 11/03/21 100.000 0.000 3.4639 86.40 0.103952 0.105752 31.72 GS Finance Corp. 40055QM66 07/31/18 08/02/21 100.000 0.000 3.4500 86.30 0.102639 0.104409 21.98 GS Finance Corp. 40055QMJ8 07/31/18 08/11/25* 100.000 0.000 4.0600 102.18 0.122371 0.124855 27.12* GS Finance Corp. 40055QMS8 07/17/18 01/12/21 100.000 1.200 2.7520 68.61 0.078838 0.87 GS Finance Corp. 40055QMW9 07/27/18 07/29/25* 100.000 0.000 4.0300 101.74 0.121269 0.123713 25.66* GS Finance Corp. 40055QNJ7 07/31/18 08/12/25* 100.000 0.000 4.0601 102.19 0.122385 0.124869 27.49* GS Finance Corp. 40055QNS7 08/16/18 08/27/25 100.000 0.000 3.9600 97.66 0.119117 0.121475 0.123881 0.126333 0.128835 43.90 45.65 GS Finance Corp. 40055QPA4 08/31/18 09/07/21 100.000 0.000 3.3700 81.24 0.100147 0.101835 24.94 GS Finance Corp. 40055QPB2 08/31/18 09/02/26 100.000 0.000 4.0567 98.41 0.122137 0.124614 0.127142 0.129721 0.132352 45.01 46.86 GS Finance Corp. 40055QPC0 08/31/18 09/03/24 100.000 0.000 3.8250 92.60 0.114652 0.116844 0.119079 0.121357 0.123678 42.19 43.82 GS Finance Corp. 40055QQ96 08/31/18 09/20/23* 100.000 0.000 3.6399 87.98 0.108893 0.110874 28.56* GS Finance Corp. 40055QQB1 08/31/18 09/22/25* 100.000 0.000 3.9200 95.00 0.117963 0.120275 30.96* GS Finance Corp. 40055QR20 08/14/18 08/14/21 100.000 VARIES 3.0409 72.20 0.084521 0.084574 18.86 GS Finance Corp. 40055QR61 08/31/18 06/03/21 100.000 0.000 3.0618 73.61 0.091095 13.85 GS Finance Corp. 40055QR79 08/31/18 06/02/23 100.000 0.000 3.6500 88.24 0.110011 0.112019 0.114063 0.116145 0.118264 40.08 41.56 GS Finance Corp. 40055QR87 08/31/18 06/02/25 100.000 0.000 3.8963 94.41 0.118078 0.120379 0.122724 0.125115 0.127552 43.06 44.75 GS Finance Corp. 40055QR95 08/31/18 03/04/26 100.000 0.000 4.0083 97.20 0.120593 0.123010 0.125475 0.127990 0.130555 44.42 46.22 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055QRL8 08/08/18 08/05/21 100.000 0.000 3.2862 81.30 0.097408 0.099008 21.13 GS Finance Corp. 40055QRR5 08/31/18 09/12/25 100.000 0.000 3.9600 96.00 0.119132 0.121491 0.123896 0.126349 0.128851 43.83 45.58 GS Finance Corp. 40055QRY0 08/31/18 09/12/25* 100.000 0.000 3.9600 96.00 0.119132 0.121491 0.123896 30.57* GS Finance Corp. 40055QRZ7 08/31/18 09/12/25 100.000 0.000 3.9600 96.00 0.119132 0.121491 0.123896 0.126349 0.128851 43.83 45.58 GS Finance Corp. 40055QS29 08/31/18 09/12/25* 100.000 0.000 3.9600 96.00 0.119132 0.121491 0.123896 30.57* GS Finance Corp. 40055QS78 08/31/18 09/12/28* 100.000 0.000 4.2500 103.31 0.128596 0.131329 0.134120 33.04* GS Finance Corp. 40055QS94 09/07/18 09/08/23 100.000 0.000 3.7000 88.69 0.110609 0.112655 0.114739 0.116862 0.119024 40.65 42.17 GS Finance Corp. 40055QSB9 08/08/18 02/06/26 100.000 0.000 4.0319 100.46 0.121278 0.123723 0.126217 0.128761 0.131357 44.82 46.64 GS Finance Corp. 40055QSC7 08/08/18 02/06/26 100.000 0.000 4.0319 100.46 0.121278 0.123723 0.126217 0.128761 0.131357 44.82 46.64 GS Finance Corp. 40055QSF0 09/06/18 09/03/21 100.000 0.000 3.2375 77.37 0.095872 0.097424 23.48 GS Finance Corp. 40055QSN3 09/06/18 09/06/23 100.000 0.000 3.6500 87.56 0.108995 0.110984 0.113009 0.115072 0.117172 40.06 41.53 GS Finance Corp. 40055QSU7 08/09/18 08/13/25 100.000 0.000 3.9699 98.74 0.119349 0.121718 0.124134 0.126598 0.129111 44.05 45.82 GS Finance Corp. 40055QTG7 09/04/18 09/08/25 100.000 0.000 3.9400 95.01 0.118378 0.120710 0.123088 0.125513 0.127986 43.57 45.30 GS Finance Corp. 40055QU83 08/30/18 03/03/22 100.000 0.000 3.4200 82.48 0.101696 0.103435 0.105204 37.34 6.52 GS Finance Corp. 40055QUP5 09/19/18 09/30/25 100.000 0.000 4.0500 95.94 0.122043 0.124515 0.127036 0.129608 0.132233 44.83 46.67 GS Finance Corp. 40055QUQ3 09/19/18 09/30/25 100.000 0.000 4.0500 95.94 0.122043 0.124515 0.127036 0.129608 0.132233 44.83 46.67 GS Finance Corp. 40055QUR1 09/19/18 09/30/25* 100.000 0.000 4.0500 95.94 0.122043 0.124515 33.27* GS Finance Corp. 40055QUU4 09/28/18 10/09/25 100.000 0.000 4.1100 96.30 0.123998 0.126547 0.129147 0.131801 0.134510 45.52 47.41 GS Finance Corp. 40055QUW0 09/28/18 10/09/25 100.000 0.000 4.1100 96.30 0.123998 0.126547 0.129147 0.131801 0.134510 45.52 47.41 GS Finance Corp. 40055QUY6 09/28/18 10/09/25* 100.000 0.000 4.1100 96.30 0.123998 0.126547 0.129147 35.32* GS Finance Corp. 40055QUZ3 09/28/18 10/09/25 100.000 0.000 4.1100 96.30 0.123998 0.126547 0.129147 0.131801 0.134510 45.52 47.41 GS Finance Corp. 40055QV58 09/04/18 09/04/25 100.000 0.000 3.9600 95.50 0.118974 0.121329 0.123732 0.126182 0.128680 43.81 45.56 GS Finance Corp. 40055QV90 09/28/18 10/09/25 100.000 0.000 4.1100 96.30 0.123998 0.126547 0.129147 0.131801 0.134510 45.52 47.41 GS Finance Corp. 40055QVB5 09/04/18 09/06/23 100.000 0.000 3.6999 89.02 0.110618 0.112664 0.114749 0.116872 0.119034 40.67 42.18 GS Finance Corp. 40055QVC3 09/28/18 10/10/28 100.000 0.000 4.3700 102.63 0.132543 0.135439 0.138399 0.141423 0.144513 48.71 50.86 GS Finance Corp. 40055QVY5 09/28/18 10/04/21 100.000 0.000 3.5401 82.52 0.105547 0.107416 29.15 GS Finance Corp. 40055QWN8 09/28/18 09/30/24 100.000 0.000 3.9849 93.25 0.119809 0.122196 0.124631 0.127114 0.129647 44.00 45.77 GS Finance Corp. 40055QWR9 09/28/18 09/30/26 100.000 0.000 4.1967 98.40 0.126700 0.129359 0.132073 0.134845 0.137674 46.58 48.55 GS Finance Corp. 40055QX64 10/04/18 04/06/21 100.000 0.000 2.9167 67.09 0.085864 8.16 GS Finance Corp. 40055QXN7 09/10/18 09/19/25* 100.000 0.000 3.9900 95.55 0.120066 0.122461 0.124905 31.66* GS Finance Corp. 40055QXT4 10/03/18 10/01/21 100.000 0.000 3.4028 78.71 0.101102 0.102822 27.61 GS Finance Corp. 40055QXX5 09/28/18 06/30/25 100.000 0.000 4.0788 95.53 0.124110 0.126641 0.129223 0.131859 0.134548 45.14 47.00 GS Finance Corp. 40055QXZ0 09/28/18 06/30/21 100.000 0.000 3.2451 75.44 0.096932 17.35 GS Finance Corp. 40055QY48 09/28/18 06/29/23 100.000 0.000 3.8199 89.26 0.115556 0.117763 0.120012 0.122304 0.124640 42.01 43.63 GS Finance Corp. 40055QY63 10/03/18 10/03/23 100.000 0.000 3.8100 88.45 0.114132 0.116306 0.118522 0.120780 0.123081 41.87 43.48 GS Finance Corp. 40055QYA4 10/03/18 10/17/23 100.000 0.000 3.8100 88.46 0.114301 0.116479 0.118698 0.120959 0.123263 41.87 43.48 GS Finance Corp. 40055QYQ9 09/14/18 03/16/21 100.000 0.000 2.8918 68.21 0.085091 6.38 GS Finance Corp. 40056E3E6 10/31/18 10/29/21 100.000 0.000 3.4612 77.33 0.102966 0.104748 31.00 GS Finance Corp. 40056E3F3 10/31/18 10/29/26 100.000 0.000 4.2586 95.78 0.128680 0.131420 0.134219 0.137077 0.139995 47.16 49.19 GS Finance Corp. 40056E3G1 10/31/18 10/31/24 100.000 0.000 4.0300 90.46 0.121243 0.123686 0.126178 0.128721 0.131314 44.39 46.20 GS Finance Corp. 40056E4U9 10/31/18 07/29/21 100.000 0.000 3.1646 70.54 0.092865 0.094334 19.58 GS Finance Corp. 40056E4V7 10/31/18 07/31/23 100.000 0.000 3.8487 86.29 0.114288 0.116487 0.118729 0.121014 0.123343 42.21 43.85 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056E4W5 10/31/18 04/30/26 100.000 0.000 4.2103 94.66 0.127116 0.129792 0.132524 0.135314 0.138163 46.57 48.55 GS Finance Corp. 40056E4X3 10/31/18 07/31/25 100.000 0.000 4.1350 92.94 0.123397 0.125948 0.128552 0.131210 0.133923 45.66 47.57 GS Finance Corp. 40056E5Q7 11/06/18 05/06/21 100.000 0.000 3.0168 66.61 0.088972 11.12 GS Finance Corp. 40056E6K9 11/05/18 11/04/21 100.000 0.000 3.5292 78.36 0.105127 0.106982 32.19 GS Finance Corp. 40056E6S2 10/31/18 11/12/25* 100.000 0.000 4.1700 93.73 0.125974 0.128601 39.65* GS Finance Corp. 40056E6W3 11/05/18 11/03/23 100.000 0.000 3.9463 87.93 0.118506 0.120845 0.123229 0.125661 0.128140 43.36 45.08 GS Finance Corp. 40056EA32 10/12/18 10/24/25 100.000 0.000 4.2199 97.19 0.127611 0.130303 0.133053 0.135860 0.138727 46.79 48.78 GS Finance Corp. 40056EA81 10/29/18 04/28/22 100.000 0.000 3.6667 82.17 0.109520 0.111528 0.113572 40.04 13.29 GS Finance Corp. 40056EAL2 09/28/18 09/28/23 100.000 0.000 3.8299 89.50 0.114773 0.116971 0.119211 0.121494 0.123820 42.13 43.76 GS Finance Corp. 40056EB49 10/24/18 10/22/21 100.000 0.000 3.5584 80.20 0.106050 0.107937 31.20 GS Finance Corp. 40056EB72 10/22/18 10/21/21 100.000 0.000 3.5292 79.73 0.105127 0.106982 30.82 GS Finance Corp. 40056EBM9 10/24/18 10/21/21 100.000 0.000 3.5584 80.20 0.106037 0.107924 31.09 GS Finance Corp. 40056EBW7 11/07/18 05/06/21 100.000 0.000 2.9564 65.16 0.087079 10.88 GS Finance Corp. 40056EEG9 11/30/18 12/02/26 100.000 0.000 4.4667 96.57 0.135570 0.138597 0.141693 0.144857 0.148092 49.53 51.76 GS Finance Corp. 40056EEH7 11/30/18 12/02/21 100.000 0.000 3.7900 81.50 0.113511 0.115662 37.96 GS Finance Corp. 40056EEJ3 11/30/18 12/03/24 100.000 0.000 4.2600 91.95 0.128787 0.131530 0.134332 0.137193 0.140115 47.01 49.04 GS Finance Corp. 40056EEQ7 11/30/18 08/31/23 100.000 0.000 4.0588 87.54 0.120963 0.123390 0.125922 0.128449 0.131085 44.59 46.42 GS Finance Corp. 40056EER5 11/30/18 09/01/21 100.000 0.000 3.4558 74.17 0.101940 0.103702 24.78 GS Finance Corp. 40056EES3 11/30/18 09/02/25 100.000 0.000 4.3363 93.74 0.129882 0.132698 0.135575 0.138514 0.141518 47.94 50.04 GS Finance Corp. 40056EET1 11/30/18 06/01/26 100.000 0.000 4.4283 95.71 0.134286 0.137259 0.140298 0.143404 0.146579 49.06 51.25 GS Finance Corp. 40056EFT0 12/05/18 12/03/21 100.000 0.000 3.7236 79.48 0.111330 0.113403 37.33 GS Finance Corp. 40056EFX1 12/05/18 12/05/23 100.000 0.000 4.1700 89.32 0.125800 0.128423 0.131100 0.133834 0.136624 45.90 47.83 GS Finance Corp. 40056EGA0 11/30/18 11/30/28 100.000 0.000 4.6200 100.01 0.140610 0.143858 0.147181 0.150581 0.154059 51.41 53.81 GS Finance Corp. 40056EGG7 11/29/18 06/01/22 100.000 0.000 3.8525 83.00 0.115526 0.117751 0.120020 42.12 18.00 GS Finance Corp. 40056EGW2 11/20/18 11/18/21 100.000 0.000 3.5875 78.09 0.106976 0.108895 34.26 GS Finance Corp. 40056EJD1 01/03/19 12/31/21 100.000 0.000 3.7624 77.18 0.112564 0.114682 40.79 GS Finance Corp. 40056EJQ2 12/28/18 12/27/24 100.000 0.000 4.4909 93.30 0.136317 0.139378 0.142507 0.145707 0.148979 49.65 51.90 GS Finance Corp. 40056EJS8 12/06/18 12/08/22 100.000 0.000 4.0067 85.59 0.120516 0.122930 0.125393 0.127905 43.93 42.71 GS Finance Corp. 40056EK23 12/28/18 12/24/21 100.000 0.000 3.9180 81.05 0.117566 0.119869 41.92 GS Finance Corp. 40056EKC1 12/27/18 12/27/28 100.000 0.000 4.7400 98.80 0.144600 0.148027 0.151535 0.155126 0.158803 52.70 55.23 GS Finance Corp. 40056EKK3 12/27/18 09/24/21 100.000 0.000 3.5734 73.91 0.105581 0.107468 28.11 GS Finance Corp. 40056EKL1 12/27/18 09/26/23 100.000 0.000 4.3301 90.10 0.129636 0.132442 0.135310 0.138239 0.141232 47.71 49.80 GS Finance Corp. 40056EKM9 12/27/18 09/25/25 100.000 0.000 4.5267 94.34 0.135964 0.139041 0.142188 0.145406 0.148697 50.10 52.39 GS Finance Corp. 40056EKN7 12/27/18 06/25/26 100.000 0.000 4.5781 95.32 0.139185 0.142372 0.145631 0.148964 0.152374 50.72 53.07 GS Finance Corp. 40056EM21 01/03/19 01/03/24 100.000 0.000 4.2400 87.28 0.125427 0.128087 0.130802 0.133575 0.136407 46.59 48.59 GS Finance Corp. 40056EMU9 01/02/19 01/02/24 100.000 0.000 4.3600 89.96 0.129207 0.132024 0.134902 0.137843 0.140848 48.04 50.16 GS Finance Corp. 40056EMX3 12/14/18 12/16/21 100.000 0.000 3.9701 83.83 0.119327 0.121696 41.59 GS Finance Corp. 40056EN20 12/14/18 12/16/21 100.000 0.000 3.9701 83.83 0.119327 0.121696 41.59 GS Finance Corp. 40056ENM6 12/28/18 12/24/21 100.000 1.250 3.8908 79.72 0.113904 0.115444 40.49 GS Finance Corp. 40056EPF9 01/31/19 02/02/27 100.000 0.000 4.1367 81.80 0.122216 0.124744 0.127324 0.129957 0.132645 45.21 47.10 GS Finance Corp. 40056EPG7 01/31/19 01/31/25 100.000 0.000 3.9350 77.69 0.115885 0.118165 0.120490 0.122860 0.125277 42.82 44.53 GS Finance Corp. 40056EPQ5 01/31/19 02/02/22 100.000 0.000 3.5001 68.89 0.102438 0.104231 0.106055 37.74 3.29 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056EQK7 01/31/19 11/02/21 100.000 0.000 3.2268 63.43 0.094819 0.096349 28.82 GS Finance Corp. 40056EQL5 01/31/19 07/31/26 100.000 0.000 4.1350 81.76 0.122134 0.124659 0.127236 0.129867 0.132552 45.19 47.08 GS Finance Corp. 40056EQM3 01/31/19 11/02/23 100.000 0.000 3.8087 75.20 0.113048 0.115201 0.117395 0.119630 0.121908 41.34 42.93 GS Finance Corp. 40056EQN1 01/31/19 10/31/25 100.000 0.000 4.0688 80.49 0.121284 0.123752 0.126269 0.128838 0.131459 44.41 46.24 GS Finance Corp. 40056ESL3 02/05/19 02/05/24 100.000 0.000 3.5800 69.98 0.104881 0.106759 0.108670 0.110615 0.112595 38.65 40.04 GS Finance Corp. 40056ESM1 02/05/19 02/03/22 100.000 0.000 3.1595 61.58 0.091975 0.093428 0.094904 33.81 3.04 GS Finance Corp. 40056ESV1 02/05/19 02/04/21 100.000 0.000 2.5500 49.48 0.073572 2.43 GS Finance Corp. 40056EU22 01/29/19 01/27/22 100.000 0.000 3.4126 67.23 0.099712 0.101413 0.103144 36.73 2.68 GS Finance Corp. 40056EUU0 02/28/19 11/30/23 100.000 0.000 3.5488 66.99 0.104863 0.106724 0.108617 0.110545 0.112506 38.20 39.57 GS Finance Corp. 40056EUV8 02/28/19 12/01/25 100.000 0.000 3.8350 72.54 0.113890 0.116074 0.118300 0.120568 0.122880 41.53 43.13 GS Finance Corp. 40056EV47 02/28/19 03/02/27 100.000 0.000 3.9567 74.88 0.116612 0.118919 0.121271 0.123671 0.126117 42.95 44.67 GS Finance Corp. 40056EV54 02/28/19 02/28/25 100.000 0.000 3.7301 70.47 0.109519 0.111562 0.113642 0.115762 0.117921 40.30 41.82 GS Finance Corp. 40056EVD7 02/28/19 03/02/22 100.000 0.000 3.2599 61.40 0.095089 0.096639 0.098214 34.88 5.99 GS Finance Corp. 40056EW61 03/05/19 03/04/24 100.000 0.000 3.5562 66.38 0.104138 0.105990 0.107874 0.109793 0.111745 38.26 39.63 GS Finance Corp. 40056EW79 03/05/19 03/04/21 100.000 0.000 2.5500 47.27 0.073572 4.64 GS Finance Corp. 40056EWA2 02/20/19 10/19/21 100.000 0.000 2.8502 54.22 0.082993 0.084176 24.11 GS Finance Corp. 40056EWG9 02/28/19 12/01/21 100.000 0.000 2.9884 56.19 0.087457 0.088764 29.10 GS Finance Corp. 40056EWJ3 03/05/19 09/06/22 100.000 0.000 3.3375 62.21 0.097437 0.099063 0.100716 0.102396 35.75 24.98 GS Finance Corp. 40056EWK0 03/05/19 09/06/22 100.000 0.000 3.3375 62.21 0.097437 0.099063 0.100716 0.102396 35.75 24.98 GS Finance Corp. 40056EWT1 03/05/19 03/13/24 100.000 0.000 3.6000 67.23 0.105583 0.107483 0.109418 0.111388 0.113393 38.77 40.17 GS Finance Corp. 40056EXC7 02/21/19 02/18/22 100.000 0.000 3.2181 61.24 0.093751 0.095260 0.096793 34.43 4.55 GS Finance Corp. 40056EYE2 03/19/19 03/30/26* 100.000 0.000 3.8000 69.49 0.111815 9.84* GS Finance Corp. 40056EYF9 03/19/19 03/30/26* 100.000 0.000 3.8000 69.49 0.111815 9.84* GS Finance Corp. 40056EYS1 03/29/19 03/31/25 100.000 0.000 3.4250 61.47 0.100120 0.101835 0.103578 0.105352 0.107156 36.67 37.93 GS Finance Corp. 40056EYT9 03/29/19 03/31/22 100.000 0.000 2.9501 52.79 0.085633 0.086896 0.088178 31.29 7.85 GS Finance Corp. 40056EYX0 03/29/19 12/29/23 100.000 0.000 3.2563 58.38 0.095715 0.097273 0.098857 0.100466 0.102102 34.74 35.88 GS Finance Corp. 40056EYY8 03/29/19 12/30/21 100.000 0.000 2.7043 48.31 0.078741 0.079806 28.46 GS Finance Corp. 40056EZA9 03/29/19 04/01/27 100.000 0.000 3.6700 65.97 0.107683 0.109659 0.111672 0.113721 0.115808 39.48 40.94 GS Finance Corp. 40056EZB7 03/29/19 12/31/25 100.000 0.000 3.5625 64.00 0.105281 0.107156 0.109065 0.111008 0.112985 38.24 39.62 GS Finance Corp. 40056EZK7 03/29/19 04/09/26* 100.000 0.000 3.5700 64.14 0.104676 10.26* GS Finance Corp. 40056EZM3 03/29/19 04/09/26* 100.000 0.000 3.5700 64.14 0.104676 10.26* GS Finance Corp. 40056EZP6 03/29/19 04/09/26* 100.000 0.000 3.5700 64.14 0.104676 10.26* GS Finance Corp. 40056EZR2 03/29/19 04/09/26* 100.000 0.000 3.5700 64.14 0.104676 10.26* GS Finance Corp. 40056EZT8 04/03/19 04/01/21 100.000 0.000 2.4999 44.31 0.072070 6.49 GS Finance Corp. 40056EZU5 04/03/19 04/04/24 100.000 0.000 3.3401 59.52 0.097516 0.099144 0.100800 0.102483 0.104195 35.68 36.89 GS Finance Corp. 40056EZV3 03/29/19 09/30/21 100.000 0.000 2.5302 45.15 0.072989 0.073912 19.80 Goldman Sachs Group, Inc 40056EZX9 03/22/19 04/02/26* 100.000 0.000 3.7800 68.78 0.111183 10.12* GS Finance Corp. 40056F2M6 04/03/19 04/15/24* 100.000 0.000 3.3400 59.53 0.097613 9.96* GS Finance Corp. 40056F2N4 04/03/19 04/15/24* 100.000 0.000 3.3400 59.53 0.097613 9.96* GS Finance Corp. 40056F2T1 04/03/19 10/04/22 100.000 0.000 3.0851 54.89 0.089731 0.091115 0.092521 0.093948 32.80 25.52 GS Finance Corp. 40056F2U8 04/03/19 10/04/22 100.000 0.000 3.0851 54.89 0.089731 0.091115 0.092521 0.093948 32.80 25.52 Goldman Sachs Group, Inc 40056F2W4 03/22/19 04/02/26 100.000 0.000 3.7800 68.78 0.111183 0.113284 0.115425 0.117607 0.119830 40.78 42.34 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056F3T0 03/28/19 03/30/26 100.000 2.000 3.6081 64.11 0.102688 0.103538 0.104404 0.105285 0.106182 37.28 37.91 GS Finance Corp. 40056F3Y9 03/28/19 03/28/24 100.000 0.000 3.3001 59.28 0.096281 0.097870 0.099485 0.101127 0.102795 35.25 36.42 GS Finance Corp. 40056F3Z6 03/28/19 03/30/23 100.000 0.000 3.1250 56.07 0.090954 0.092375 0.093819 0.095284 0.096773 33.26 34.31 GS Finance Corp. 40056F4E2 03/26/19 04/06/26 100.000 0.000 3.6900 66.67 0.108391 0.110391 0.112427 0.114502 0.116614 39.72 41.20 GS Finance Corp. 40056F4H5 04/03/19 02/02/23 100.000 0.000 3.1275 55.67 0.090541 0.091957 0.093395 0.094856 0.096339 33.27 34.32 GS Finance Corp. 40056F5D3 04/22/19 04/30/26* 100.000 0.000 3.6700 63.50 0.107748 12.82* GS Finance Corp. 40056F5G6 04/30/19 05/11/26* 100.000 0.000 3.5900 61.24 0.105304 13.69* GS Finance Corp. 40056F5L5 04/30/19 04/30/25 100.000 0.000 3.4500 58.80 0.100877 0.102617 0.104388 0.106188 0.108020 36.84 38.13 GS Finance Corp. 40056F6B6 04/30/19 04/28/22 100.000 0.000 2.9263 49.72 0.084894 0.086136 0.087397 30.94 10.23 GS Finance Corp. 40056F6F7 04/30/19 01/28/22 100.000 0.000 2.6755 45.40 0.076820 0.077847 0.078889 28.16 2.13 GS Finance Corp. 40056F6L4 04/30/19 10/28/21 100.000 0.000 2.5001 42.37 0.072076 0.072977 21.57 GS Finance Corp. 40056F6N0 05/03/19 11/03/21 100.000 0.000 2.4752 41.73 0.071339 0.072222 21.70 GS Finance Corp. 40056F6R1 04/30/19 01/30/24 100.000 0.000 3.2726 55.74 0.094672 0.096221 0.097796 0.099396 0.101023 34.83 35.98 GS Finance Corp. 40056F6S9 04/30/19 01/29/26 100.000 0.000 3.5433 60.45 0.102838 0.104660 0.106514 0.108401 0.110322 37.91 39.26 GS Finance Corp. 40056F6W0 05/03/19 05/05/21 100.000 0.000 2.3802 40.10 0.068516 8.50 GS Finance Corp. 40056F6X8 05/03/19 05/03/24 100.000 0.000 3.2700 55.39 0.095362 0.096921 0.098506 0.100117 0.101754 34.79 35.94 GS Finance Corp. 40056F6Y6 05/03/19 11/03/22 100.000 0.000 3.0450 51.51 0.088507 0.089855 0.091223 0.092612 32.26 27.80 GS Finance Corp. 40056F6Z3 05/03/19 11/03/22 100.000 0.000 3.0450 51.51 0.088507 0.089855 0.091223 0.092612 32.26 27.80 GS Finance Corp. 40056F7A7 04/30/19 01/28/22 100.000 0.000 2.6755 45.40 0.076820 0.077847 0.078889 28.16 2.13 GS Finance Corp. 40056FA70 04/30/19 05/11/26* 100.000 0.000 3.5900 61.24 0.105304 13.69* GS Finance Corp. 40056FA88 04/30/19 05/11/26* 100.000 0.000 3.5900 61.24 0.105304 13.69* GS Finance Corp. 40056FAB1 05/03/19 05/14/24 100.000 0.000 3.2699 55.39 0.095455 0.097016 0.098602 0.100214 0.101852 34.79 35.94 GS Finance Corp. 40056FAX3 04/11/19 04/11/24 100.000 0.000 3.3601 59.10 0.098118 0.099767 0.101443 0.103147 0.104880 35.89 37.10 GS Finance Corp. 40056FB87 05/06/19 05/04/23 100.000 0.000 3.1376 52.83 0.091306 0.092738 0.094193 0.095670 0.097171 33.29 34.35 GS Finance Corp. 40056FBN4 04/25/19 05/06/26* 100.000 0.000 3.6400 62.65 0.106851 13.36* GS Finance Corp. 40056FBU8 05/02/19 05/02/24 100.000 0.000 3.3001 56.00 0.096281 0.097870 0.099485 0.101127 0.102795 35.14 36.31 GS Finance Corp. 40056FBV6 05/10/19 05/11/23 100.000 0.000 3.1001 51.83 0.090187 0.091585 0.093005 0.094447 0.095911 32.86 33.89 GS Finance Corp. 40056FBW4 05/02/19 11/03/21 100.000 0.000 2.4918 42.08 0.071841 0.072736 21.86 GS Finance Corp. 40056FC52 05/02/19 11/03/21 100.000 0.000 2.4918 42.08 0.071841 0.072736 21.86 GS Finance Corp. 40056FCP8 05/31/19 05/31/24 100.000 0.000 3.1099 50.18 0.090479 0.091886 0.093315 0.094766 0.096240 32.91 33.95 GS Finance Corp. 40056FDA0 05/17/19 05/29/26 100.000 0.000 3.4900 57.76 0.102227 0.104010 0.105825 0.107672 0.109551 37.24 38.55 GS Finance Corp. 40056FDH5 05/31/19 06/11/26 100.000 0.000 3.3900 54.79 0.099138 0.100818 0.102527 0.104265 0.106032 36.06 37.29 GS Finance Corp. 40056FDK8 05/31/19 06/11/26* 100.000 0.000 3.3900 54.79 0.099138 0.100818 16.16* GS Finance Corp. 40056FDQ5 06/05/19 06/14/24* 100.000 0.000 3.0200 48.27 0.087812 0.089138 14.40* GS Finance Corp. 40056FEG6 05/31/19 06/02/25 100.000 0.000 3.2500 52.49 0.094769 0.096309 0.097874 0.099465 0.101081 34.48 35.61 GS Finance Corp. 40056FEL5 05/31/19 06/02/22 100.000 0.000 2.8299 45.59 0.082007 0.083167 0.084344 29.80 12.74 GS Finance Corp. 40056FF59 05/31/19 06/03/27 100.000 0.000 3.4933 56.49 0.102240 0.104026 0.105843 0.107692 0.109573 37.23 38.54 GS Finance Corp. 40056FF83 05/31/19 06/02/26 100.000 0.000 3.3900 54.79 0.099055 0.100734 0.102441 0.104178 0.105944 36.06 37.29 GS Finance Corp. 40056FF91 05/31/19 05/31/24 100.000 0.000 3.1099 50.18 0.090479 0.091886 0.093315 0.094766 0.096240 32.91 33.95 GS Finance Corp. 40056FFN0 05/31/19 03/03/22 100.000 0.000 2.5943 41.77 0.074441 0.075407 0.076385 27.20 4.74 GS Finance Corp. 40056FFU4 06/05/19 06/04/21 100.000 0.000 2.3598 37.58 0.067893 10.39 GS Finance Corp. 40056FFV2 06/05/19 06/05/24 100.000 0.000 3.0199 48.27 0.087744 0.089069 0.090414 0.091779 0.093165 31.90 32.87 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056FFW0 06/05/19 12/05/22 100.000 0.000 2.8025 44.74 0.081167 0.082304 0.083458 0.084627 29.48 28.09 GS Finance Corp. 40056FFX8 06/05/19 12/05/22 100.000 0.000 2.8025 44.74 0.081167 0.082304 0.083458 0.084627 29.48 28.09 GS Finance Corp. 40056FG74 06/05/19 06/03/22 100.000 0.000 2.6543 42.34 0.076693 0.077711 0.078743 27.85 11.97 GS Finance Corp. 40056FGA7 05/22/19 01/21/21 100.000 0.000 2.3801 38.81 0.067961 1.36 GS Finance Corp. 40056FH65 05/17/19 05/19/22 100.000 0.000 2.9099 48.00 0.084423 0.085651 0.086898 30.72 11.99 GS Finance Corp. 40056FHT5 05/20/19 04/01/21 100.000 0.000 2.3800 38.95 0.068280 6.15 GS Finance Corp. 40056FJ89 05/23/19 05/24/21 100.000 0.000 2.3802 38.73 0.068510 9.80 GS Finance Corp. 40056FJF3 05/31/19 03/03/21 100.000 0.000 2.3802 38.28 0.068115 4.22 GS Finance Corp. 40056FJX4 06/12/19 06/16/21 100.000 0.000 2.3602 37.11 0.067926 11.21 GS Finance Corp. 40056FK46 06/17/19 06/26/26 100.000 0.000 3.2600 51.03 0.095134 0.096685 0.098261 0.099862 0.101490 34.54 35.68 GS Finance Corp. 40056FKB0 06/28/19 06/28/24 100.000 0.000 2.6900 41.13 0.077778 0.078824 0.079885 0.080959 0.082048 28.19 28.96 GS Finance Corp. 40056FKC8 06/28/19 06/30/26 100.000 0.000 2.9700 45.47 0.086244 0.087524 0.088824 0.090143 0.091482 31.28 32.22 GS Finance Corp. 40056FKD6 07/03/19 07/01/21 100.000 0.000 2.1201 32.02 0.060778 10.94 GS Finance Corp. 40056FKE4 07/03/19 07/03/24 100.000 0.000 2.7200 41.20 0.077623 0.078679 0.079749 0.080834 0.081933 28.51 29.29 GS Finance Corp. 40056FKS3 06/28/19 07/10/29* 100.000 0.000 3.2900 50.47 0.094523 0.096078 0.097659 18.34* GS Finance Corp. 40056FKT1 06/28/19 07/09/26* 100.000 0.000 2.9701 45.48 0.085047 0.086310 0.087592 16.48* GS Finance Corp. 40056FKU8 06/28/19 07/09/26* 100.000 0.000 2.9701 45.48 0.085047 0.086310 0.087592 16.48* GS Finance Corp. 40056FKY0 06/28/19 07/09/26 100.000 0.000 2.9701 45.48 0.085047 0.086310 0.087592 0.088893 0.090213 31.28 32.22 GS Finance Corp. 40056FKZ7 06/28/19 07/09/26* 100.000 0.000 2.9701 45.48 0.085047 0.086310 0.087592 16.48* GS Finance Corp. 40056FL29 06/21/19 01/15/21 100.000 0.000 2.3601 36.51 0.067219 0.94 GS Finance Corp. 40056FL60 06/28/19 12/31/24 100.000 0.000 2.7600 42.21 0.079898 0.081000 0.082118 0.083251 0.084400 28.96 29.77 GS Finance Corp. 40056FL94 07/03/19 01/03/23 100.000 0.000 2.5175 38.10 0.071702 0.072604 0.073518 0.074444 0.075381 26.30 26.96 GS Finance Corp. 40056FLC7 07/03/19 01/03/23 100.000 0.000 2.5175 38.10 0.071702 0.072604 0.073518 0.074444 0.075381 26.30 26.96 GS Finance Corp. 40056FLD5 07/03/19 07/15/24 100.000 0.000 2.7200 41.21 0.077695 0.078752 0.079823 0.080908 0.082009 28.51 29.29 GS Finance Corp. 40056FLG8 06/28/19 07/09/26* 100.000 0.000 2.9701 45.48 0.085047 0.086310 0.087592 16.48* GS Finance Corp. 40056FM44 06/28/19 03/30/22 100.000 0.000 2.3598 36.06 0.067512 0.068309 0.069115 24.59 6.15 GS Finance Corp. 40056FM85 06/28/19 06/30/25 100.000 0.000 2.8299 43.30 0.082007 0.083167 0.084344 0.085537 0.086748 29.73 30.58 GS Finance Corp. 40056FMH5 06/28/19 06/30/22 100.000 0.000 2.4001 36.64 0.069107 0.069936 0.070775 25.03 12.67 GS Finance Corp. 40056FMW2 07/03/19 07/01/22 100.000 0.000 2.3820 36.02 0.068549 0.069365 0.070191 24.82 12.63 GS Finance Corp. 40056FN27 06/28/19 12/31/26 100.000 0.000 3.0233 46.30 0.087863 0.089191 0.090539 0.091908 0.093297 31.87 32.84 GS Finance Corp. 40056FP90 06/21/19 06/23/22 100.000 0.000 2.5898 40.10 0.074782 0.075750 0.076731 27.11 13.20 GS Finance Corp. 40056FPL3 06/28/19 06/11/21 100.000 0.000 2.3601 36.04 0.067832 10.85 GS Finance Corp. 40056FPU3 07/03/19 07/08/24 100.000 0.000 2.7199 41.21 0.077651 0.078708 0.079778 0.080863 0.081963 28.51 29.29 GS Finance Corp. 40056FRU1 07/31/19 04/29/22 100.000 0.000 2.2579 32.41 0.064501 0.065229 0.065965 23.44 7.78 GS Finance Corp. 40056FRX5 07/31/19 07/31/25 100.000 0.000 2.8851 41.51 0.082469 0.083659 0.084866 0.086090 0.087332 30.26 31.14 GS Finance Corp. 40056FRY3 07/31/19 01/31/23 100.000 0.000 2.5974 37.32 0.074037 0.074999 0.075973 0.076960 0.077959 27.12 27.83 GS Finance Corp. 40056FSC0 07/31/19 08/10/26 100.000 0.000 3.0000 43.20 0.085923 0.087212 0.088520 0.089848 0.091195 31.53 32.48 GS Finance Corp. 40056FSD8 07/31/19 07/29/22 100.000 0.000 2.4693 35.46 0.070291 0.071158 0.072037 0.072926 25.73 15.14 GS Finance Corp. 40056FSG1 07/11/19 08/04/21 100.000 0.000 2.1199 31.55 0.060223 0.060861 12.94 GS Finance Corp. 40056FSN6 07/31/19 07/31/25 100.000 0.000 2.8851 41.51 0.082469 0.083659 0.084866 0.086090 0.087332 30.26 31.14 GS Finance Corp. 40056FSQ9 08/05/19 08/14/24 100.000 0.000 2.7501 39.16 0.078560 0.079641 0.080736 0.081846 0.082971 28.77 29.57 GS Finance Corp. 40056FSS5 08/05/19 02/05/25 100.000 0.000 2.8100 40.02 0.080265 0.081393 0.082537 0.083696 0.084872 29.43 30.26 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056FST3 08/05/19 02/03/22 100.000 0.000 2.0460 29.03 0.057997 0.058590 0.059189 21.16 1.89 GS Finance Corp. 40056FSU0 08/05/19 02/03/23 100.000 0.000 2.5838 36.76 0.073629 0.074580 0.075543 0.076519 0.077508 26.96 27.66 GS Finance Corp. 40056FT62 08/05/19 08/04/22 100.000 0.000 2.4693 35.11 0.070291 0.071158 0.072037 0.072926 25.72 15.50 GS Finance Corp. 40056FTA3 08/05/19 08/04/22 100.000 0.000 2.4693 35.11 0.070291 0.071158 0.072037 0.072926 25.72 15.50 GS Finance Corp. 40056FTJ4 07/10/19 07/09/21 100.000 0.000 2.1201 31.60 0.060143 0.060781 11.42 GS Finance Corp. 40056FTN5 07/31/19 08/09/29* 100.000 0.000 3.2400 46.71 0.093015 0.094522 20.55* GS Finance Corp. 40056FU86 07/17/19 07/15/21 100.000 0.000 2.1201 31.18 0.060141 0.060778 11.78 GS Finance Corp. 40056FUM5 07/22/19 07/21/22 100.000 0.000 2.4693 36.02 0.070291 0.071158 0.072037 0.072926 25.74 14.57 GS Finance Corp. 40056FUS2 07/24/19 07/22/21 100.000 0.000 2.1201 30.76 0.060141 0.060778 12.20 GS Finance Corp. 40056FUX1 08/02/19 02/03/22 100.000 0.000 2.0917 29.87 0.059329 0.059950 0.060577 21.65 1.94 GS Finance Corp. 40056FUY9 07/26/19 01/28/21 100.000 0.000 2.1200 30.64 0.060151 1.62 GS Finance Corp. 40056FV36 08/02/19 02/03/22 100.000 0.000 2.0917 29.87 0.059329 0.059950 0.060577 21.65 1.94 GS Finance Corp. 40056FVM4 07/31/19 07/29/21 100.000 0.000 2.1201 30.40 0.060143 0.060781 12.62 GS Finance Corp. 40056FVV4 08/09/19 08/04/21 100.000 0.000 1.8998 26.73 0.053766 0.054277 11.54 GS Finance Corp. 40056FWD3 08/30/19 09/11/26* 100.000 0.000 2.5401 34.32 0.072417 0.073336 0.074268 18.42* GS Finance Corp. 40056FWY7 08/30/19 09/11/26* 100.000 0.000 2.5401 34.32 0.072417 0.073336 0.074268 18.42* GS Finance Corp. 40056FX34 08/30/19 09/11/26* 100.000 0.000 2.5401 34.32 0.072417 0.073336 0.074268 18.42* GS Finance Corp. 40056FX42 08/30/19 09/11/26* 100.000 0.000 2.5401 34.32 0.072417 0.073336 0.074268 18.42* GS Finance Corp. 40056FX67 08/30/19 09/11/29* 100.000 0.000 2.7400 37.06 0.078276 0.079349 0.080436 19.92* GS Finance Corp. 40056FX75 08/30/19 09/02/25 100.000 0.000 2.4350 32.88 0.069306 0.070150 0.071004 0.071869 0.072744 25.30 25.92 GS Finance Corp. 40056FX83 09/05/19 03/03/22 100.000 0.000 1.8401 24.52 0.052053 0.052532 0.053015 18.94 3.29 GS Finance Corp. 40056FX91 09/05/19 03/05/25 100.000 0.000 2.3900 31.93 0.067984 0.068796 0.069618 0.070450 0.071292 24.81 25.41 GS Finance Corp. 40056FXA8 09/05/19 03/03/23 100.000 0.000 2.2054 29.44 0.062613 0.063303 0.064001 0.064707 0.065421 22.83 23.33 GS Finance Corp. 40056FXB6 09/05/19 09/16/24* 100.000 0.000 2.3400 31.26 0.066578 0.067357 16.98* GS Finance Corp. 40056FXS9 08/30/19 03/04/25 100.000 0.000 2.3825 32.17 0.067785 0.068592 0.069409 0.070236 0.071073 24.74 25.33 GS Finance Corp. 40056FY66 09/05/19 09/02/22 100.000 0.000 2.1097 28.15 0.059837 0.060468 0.061106 0.061750 21.81 14.84 GS Finance Corp. 40056FYB5 09/05/19 09/02/22 100.000 0.000 2.1097 28.15 0.059837 0.060468 0.061106 0.061750 21.81 14.84 GS Finance Corp. 40056FYH2 08/30/19 06/02/22 100.000 0.000 1.9802 26.70 0.056383 0.056941 0.057505 20.43 8.68 GS Finance Corp. 40056FYT6 08/22/19 08/31/22 100.000 0.000 2.2099 30.32 0.062781 0.063467 0.064176 0.064877 22.89 15.47 GS Finance Corp. 40056FYU3 08/30/19 09/01/22 100.000 0.000 2.1600 29.14 0.061308 0.061970 0.062639 0.063316 22.35 15.16 GS Finance Corp. 40056FYV1 08/30/19 03/04/27 100.000 0.000 2.5733 34.77 0.073351 0.074295 0.075251 0.076219 0.077200 26.80 27.49 GS Finance Corp. 40056FYW9 08/30/19 09/02/25 100.000 0.000 2.4350 32.88 0.069306 0.070150 0.071004 0.071869 0.072744 25.30 25.92 GS Finance Corp. 40056FZS7 08/30/19 09/04/24 100.000 0.000 2.3300 31.45 0.066255 0.067027 0.067808 0.068598 0.069397 24.17 24.74 GS Finance Corp. 40056FZX6 08/21/19 10/12/21 100.000 0.000 1.9000 26.09 0.053930 0.054442 15.25 GS Finance Corp. 40056X2D7 08/20/19 11/23/21 100.000 0.000 1.8999 26.14 0.054046 0.054560 17.50 GS Finance Corp. 40056X3M6 08/30/19 02/22/21 100.000 0.000 1.8999 25.60 0.053760 2.74 GS Finance Corp. 40056X3R5 08/14/19 08/12/21 100.000 0.000 1.9002 26.46 0.053785 0.054296 11.98 GS Finance Corp. 40056X3Y0 08/30/19 02/25/21 100.000 0.000 1.8998 25.60 0.053766 2.90 GS Finance Corp. 40056X4R4 08/30/19 11/22/21 100.000 0.000 1.9000 25.61 0.054019 0.054532 17.43 GS Finance Corp. 40056X5G7 08/29/19 08/31/21 100.000 0.000 1.9000 25.65 0.053789 0.054294 12.95 GS Finance Corp. 40056X5V4 09/30/19 10/09/26 100.000 0.000 2.7800 35.22 0.079439 0.080543 0.081662 0.082797 0.083948 28.98 29.79 GS Finance Corp. 40056X5Z5 10/03/19 10/15/24 100.000 0.000 2.4599 30.92 0.070081 0.070943 0.071815 0.072698 0.073593 25.52 26.15 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056X6B7 10/03/19 07/06/23 100.000 0.000 2.3413 29.41 0.066194 0.066969 0.067753 0.068546 0.069348 24.24 24.81 GS Finance Corp. 40056X6E1 09/30/19 10/10/29* 100.000 0.000 3.0300 38.43 0.086810 0.088125 0.089460 24.64* GS Finance Corp. 40056X6K7 09/30/19 09/29/22 100.000 0.000 2.2654 28.64 0.064358 0.065087 0.065824 0.066570 23.44 17.78 GS Finance Corp. 40056X6P6 09/30/19 10/09/26 100.000 0.000 2.7800 35.22 0.079439 0.080543 0.081662 0.082797 0.083948 28.98 29.79 GS Finance Corp. 40056X6X9 09/30/19 10/10/29* 100.000 0.000 3.0300 38.43 0.086810 0.088125 0.089460 24.64* GS Finance Corp. 40056XAG1 09/30/19 09/29/22 100.000 0.000 2.2654 28.64 0.064358 0.065087 0.065824 0.066570 23.44 17.78 GS Finance Corp. 40056XAS5 09/30/19 03/28/25 100.000 0.000 2.5900 32.79 0.073810 0.074766 0.075735 0.076715 0.077709 26.92 27.62 GS Finance Corp. 40056XAT3 09/30/19 09/30/27 100.000 0.000 2.8633 36.28 0.081829 0.083001 0.084189 0.085394 0.086617 29.88 30.75 GS Finance Corp. 40056XB39 10/03/19 10/05/22 100.000 0.000 2.2701 28.51 0.064506 0.065238 0.065979 0.066728 23.48 18.21 GS Finance Corp. 40056XBV7 09/18/19 09/28/26* 100.000 0.000 2.8901 37.62 0.082682 0.083877 22.21* GS Finance Corp. 40056XCP9 09/30/19 05/28/21 100.000 0.000 1.8399 23.23 0.052207 7.67 GS Finance Corp. 40056XCQ7 09/11/19 03/10/22 100.000 0.000 1.8400 24.21 0.052052 0.052531 0.053014 18.93 3.66 GS Finance Corp. 40056XCS3 09/23/19 09/18/29* 100.000 0.000 3.0928 39.85 0.088552 0.089921 0.091312 23.83* GS Finance Corp. 40056XDT0 09/27/19 10/05/26 100.000 0.000 2.7000 34.43 0.077085 0.078126 0.079181 0.080250 0.081333 28.12 28.88 GS Finance Corp. 40056XDX1 10/08/19 10/09/29 100.000 0.000 2.9000 36.09 0.082914 0.084116 0.085336 0.086573 0.087829 30.26 31.15 GS Finance Corp. 40056XEZ5 10/02/19 10/04/24 100.000 0.000 2.4700 31.11 0.070326 0.071195 0.072074 0.072964 0.073865 25.63 26.26 GS Finance Corp. 40056XFE1 11/05/19 08/03/23 100.000 0.000 2.2501 26.22 0.063553 0.064268 0.064991 0.065723 0.066462 23.22 23.75 GS Finance Corp. 40056XFJ0 10/31/19 05/01/25 100.000 0.000 2.5800 30.45 0.073534 0.074482 0.075443 0.076416 0.077402 26.76 27.45 GS Finance Corp. 40056XFQ4 10/31/19 11/02/27 100.000 0.000 2.8600 33.79 0.081744 0.082913 0.084099 0.085302 0.086521 29.78 30.64 GS Finance Corp. 40056XG34 10/31/19 11/02/22 100.000 0.000 2.3000 27.12 0.065374 0.066126 0.066886 0.067655 23.76 20.27 GS Finance Corp. 40056XG91 11/05/19 11/03/22 100.000 0.000 2.1195 24.68 0.060123 0.060760 0.061404 0.062055 21.83 18.66 GS Finance Corp. 40056XGF7 11/05/19 11/03/22 100.000 0.000 2.1195 24.68 0.060123 0.060760 0.061404 0.062055 21.83 18.66 GS Finance Corp. 40056XGY6 10/31/19 11/12/26* 100.000 0.000 2.7600 32.60 0.078870 0.079959 24.72* GS Finance Corp. 40056XGZ3 10/31/19 11/13/29* 100.000 0.000 3.0600 36.18 0.087719 0.089061 27.52* GS Finance Corp. 40056XH33 10/31/19 11/12/26* 100.000 0.000 2.7600 32.60 0.078870 0.079959 24.72* GS Finance Corp. 40056XH41 10/31/19 11/12/26* 100.000 0.000 2.7600 32.60 0.078870 0.079959 24.72* GS Finance Corp. 40056XH58 10/31/19 11/13/29* 100.000 0.000 3.0600 36.18 0.087719 0.089061 27.52* GS Finance Corp. 40056XHB5 10/24/19 05/05/27* 100.000 0.000 2.7683 33.17 0.079109 0.080204 24.17* GS Finance Corp. 40056XHC3 10/07/19 10/06/22 100.000 0.000 2.1388 26.60 0.060684 0.061333 0.061989 0.062651 22.07 17.17 GS Finance Corp. 40056XHF6 10/31/19 10/31/22 100.000 0.000 2.2999 27.12 0.065363 0.066114 0.066875 0.067644 23.76 20.13 GS Finance Corp. 40056XKH8 10/28/19 10/22/27 100.000 1.000 2.8087 33.29 0.079410 0.080525 0.080876 0.082012 0.082383 28.89 29.42 GS Finance Corp. 40056XLC8 11/04/19 01/05/21 100.000 0.000 1.6703 19.46 0.046916 0.19 GS Finance Corp. 40056XLD6 11/07/19 11/20/29* 100.000 0.000 2.9500 34.28 0.084469 0.085715 0.086979 27.34* GS Finance Corp. 40056XM37 12/02/19 12/01/22 100.000 0.000 2.1584 23.48 0.061252 0.061913 0.062581 0.063257 22.21 20.77 GS Finance Corp. 40056XM52 12/02/19 12/01/22 100.000 0.000 2.1584 23.48 0.061252 0.061913 0.062581 0.063257 22.21 20.77 GS Finance Corp. 40056XM78 12/02/19 11/30/23 100.000 0.000 2.3118 25.16 0.065700 0.066460 0.067228 0.068005 0.068791 23.84 24.39 GS Finance Corp. 40056XME3 11/29/19 05/30/25 100.000 0.000 2.4675 27.08 0.070248 0.071115 0.071992 0.072880 0.073779 25.50 26.13 GS Finance Corp. 40056XN77 11/29/19 12/01/27 100.000 0.000 2.7267 29.94 0.077832 0.078893 0.079969 0.081059 0.082164 28.27 29.05 GS Finance Corp. 40056XNB8 11/18/19 11/28/29* 100.000 0.000 3.0200 34.15 0.086513 0.087820 0.089146 28.70* GS Finance Corp. 40056XND4 12/02/19 12/04/24* 100.000 0.000 2.4200 26.34 0.068870 0.069703 0.070546 23.51* GS Finance Corp. 40056XNE2 12/02/19 12/04/24 100.000 0.000 2.4200 26.34 0.068870 0.069703 0.070546 0.071400 0.072264 24.99 25.60 GS Finance Corp. 40056XNH5 11/29/19 12/10/26 100.000 0.000 2.6400 28.98 0.075342 0.076336 0.077344 0.078365 0.079399 27.34 28.07 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056XNJ1 11/29/19 12/03/29* 100.000 0.000 2.9000 31.86 0.082936 0.084139 0.085359 28.35* GS Finance Corp. 40056XNK8 11/29/19 12/03/29* 100.000 0.000 2.9000 31.86 0.082936 0.084139 0.085359 28.35* GS Finance Corp. 40056XNL6 11/29/19 12/10/26 100.000 0.000 2.6400 28.98 0.075342 0.076336 0.077344 0.078365 0.079399 27.34 28.07 GS Finance Corp. 40056XNM4 11/29/19 12/10/26* 100.000 0.000 2.6400 28.98 0.075342 0.076336 25.72* GS Finance Corp. 40056XNS1 11/22/19 11/23/29 100.000 0.000 2.9800 33.35 0.085269 0.086539 0.087829 0.089137 0.090466 31.02 31.95 GS Finance Corp. 40056XNT9 11/13/19 11/10/22 100.000 0.000 2.2750 25.98 0.064628 0.065363 0.066107 0.066859 23.47 20.56 GS Finance Corp. 40056XPY6 11/19/19 12/01/26* 100.000 0.000 2.7100 30.53 0.077402 0.078451 25.65* GS Finance Corp. 40056XQ33 11/18/19 03/17/21 100.000 0.000 1.6802 18.92 0.047325 3.60 GS Finance Corp. 40056XQ66 11/21/19 11/15/29* 100.000 0.000 2.9200 32.76 0.083457 11.10* GS Finance Corp. 40056XQ74 12/03/19 12/02/21 100.000 0.000 1.6801 18.20 0.047455 0.047853 15.78 GS Finance Corp. 40056XQR0 11/29/19 12/10/29* 100.000 0.000 2.9000 31.86 0.082982 0.084185 28.35* GS Finance Corp. 40056XQW9 12/04/19 02/03/22 100.000 0.000 1.5999 17.29 0.044913 0.045273 0.045635 16.34 1.46 GS Finance Corp. 40056XRY4 01/03/20 10/03/24 100.000 0.000 2.4313 24.36 0.068773 0.069609 0.070456 0.071312 0.072179 25.06 25.67 GS Finance Corp. 40056XRZ1 01/03/20 01/05/24 100.000 0.000 2.3449 23.46 0.065909 0.066681 0.067463 0.068254 0.069054 24.14 24.71 GS Finance Corp. 40056XS23 01/03/20 01/14/25 100.000 0.000 2.4601 24.62 0.069228 0.070080 0.070942 25.36 0.85 GS Finance Corp. 40056XSF4 12/27/19 06/26/25 100.000 0.000 2.5775 26.24 0.073450 0.074397 0.075355 0.076327 0.077310 26.62 27.31 GS Finance Corp. 40056XSK3 12/27/19 01/08/27 100.000 0.000 2.7200 27.70 0.076648 0.077690 0.078747 0.079818 0.080904 28.14 28.91 GS Finance Corp. 40056XSL1 12/27/19 01/09/30 100.000 0.000 2.8800 29.35 0.081230 0.082400 0.083587 29.86 0.42 GS Finance Corp. 40056XSM9 12/27/19 01/08/27 100.000 0.000 2.7200 27.70 0.076648 0.077690 0.078747 28.14 0.39 GS Finance Corp. 40056XSN7 12/27/19 01/08/27 100.000 0.000 2.7200 27.70 0.076648 0.077690 0.078747 28.14 0.39 GS Finance Corp. 40056XSP2 12/27/19 01/08/27 100.000 0.000 2.7200 27.70 0.076648 0.077690 0.078747 0.079818 0.080904 28.14 28.91 GS Finance Corp. 40056XSQ0 12/27/19 01/09/30 100.000 0.000 2.8800 29.35 0.081230 0.082400 0.083587 0.084790 0.086011 29.86 30.72 GS Finance Corp. 40056XT30 01/03/20 01/05/23 100.000 0.000 2.2302 22.30 0.062647 0.063346 0.064052 0.064766 0.065489 22.93 23.44 GS Finance Corp. 40056XT48 01/03/20 01/05/23 100.000 0.000 2.2302 22.30 0.062647 0.063346 0.064052 0.064766 0.065489 22.93 23.44 GS Finance Corp. 40056XTK2 12/03/19 12/03/24 100.000 0.000 2.4500 26.60 0.069734 0.070588 0.071453 0.072328 0.073214 25.31 25.93 GS Finance Corp. 40056XTW6 12/27/19 12/28/27 100.000 0.000 2.7733 28.24 0.079195 0.080293 0.081406 0.082535 0.083679 28.71 29.52 GS Finance Corp. 40056XUH7 12/16/19 12/26/29* 100.000 0.000 2.8000 29.40 0.080033 0.081153 0.082290 28.70* GS Finance Corp. 40056XVK9 12/27/19 01/09/30 100.000 0.000 2.8800 29.35 0.081230 0.082400 0.083587 29.86 0.42 GS Finance Corp. 40056XW44 01/08/20 01/17/30 100.000 0.000 2.8100 27.75 0.079207 0.080320 0.081448 0.082593 29.08 1.39 GS Finance Corp. 40056XWE2 12/31/19 12/29/21 100.000 1.000 1.6015 16.12 0.044754 0.045112 16.09 GS Finance Corp. 40056XWF9 12/31/19 12/29/22 100.000 1.500 2.2043 22.23 0.061667 0.062346 0.062115 0.062800 22.32 22.36 GS Finance Corp. 40056XWG7 12/31/19 12/29/23 100.000 1.600 2.3779 23.89 0.066565 0.066828 0.067094 0.067363 0.067636 24.01 24.20 GS Finance Corp. 40056XWH5 12/31/19 12/30/24 100.000 2.000 2.4808 25.03 0.069253 0.070113 0.069604 0.070467 0.069963 25.09 25.21 GS Finance Corp. 40056XXQ4 02/05/20 02/05/24 100.000 0.000 2.0150 18.33 0.056536 0.057106 0.057681 0.058262 0.058849 20.62 21.04 GS Finance Corp. 40056XXR2 02/05/20 02/05/24 100.000 0.000 2.0150 18.33 0.056536 0.057106 0.057681 0.058262 0.058849 20.62 21.04 GS Finance Corp. 40056XXS0 02/05/20 02/14/25* 100.000 0.000 2.1100 19.20 0.059262 0.059887 2.67* GS Finance Corp. 40056XXT8 02/05/20 02/14/25 100.000 0.000 2.1100 19.20 0.059262 0.059887 0.060519 0.061157 0.061802 21.62 22.08 GS Finance Corp. 40056XXZ4 01/31/20 07/31/25 100.000 0.000 2.2875 21.14 0.064268 0.065003 0.065747 0.066499 0.067260 23.49 24.03 GS Finance Corp. 40056XYT7 01/31/20 02/02/28 100.000 0.000 2.5000 23.12 0.070323 0.071202 0.072092 0.072993 0.073905 25.74 26.39 GS Finance Corp. 40056XYY6 01/31/20 02/11/27 100.000 0.000 2.4300 22.47 0.068371 0.069202 0.070043 0.070894 0.071755 25.00 25.61 GS Finance Corp. 40056XYZ3 01/31/20 02/11/27 100.000 0.000 2.4300 22.47 0.068371 0.069202 0.070043 0.070894 0.071755 25.00 25.61 GS Finance Corp. 40056XZ25 01/31/20 02/11/30 100.000 0.000 2.6400 24.43 0.074361 0.075343 0.076337 0.077345 0.078366 27.22 27.95 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056XZ33 01/31/20 02/11/27 100.000 0.000 2.4300 22.47 0.068371 0.069202 0.070043 0.070894 0.071755 25.00 25.61 GS Finance Corp. 40056XZ41 01/31/20 02/11/27 100.000 0.000 2.4300 22.47 0.068371 0.069202 0.070043 0.070894 0.071755 25.00 25.61 GS Finance Corp. 40056XZC3 01/31/20 02/11/30 100.000 0.000 2.6400 24.43 0.074361 0.075343 0.076337 0.077345 0.078366 27.22 27.95 GS Finance Corp. 40056XZS8 02/05/20 02/03/23 100.000 0.000 1.8668 16.98 0.052335 0.052824 0.053317 0.053815 0.054317 19.07 19.43 GS Finance Corp. 40056XZU3 02/05/20 02/03/23 100.000 0.000 1.8668 16.98 0.052335 0.052824 0.053317 0.053815 0.054317 19.07 19.43 GS Finance Corp. 40056Y6J8 01/31/20 01/31/23 100.000 0.000 2.0501 18.94 0.057530 0.058120 0.058716 0.059318 0.059926 21.00 21.43 GS Finance Corp. 40056Y6P4 01/31/20 01/31/24 100.000 0.000 2.1851 20.19 0.061360 0.062031 0.062708 0.063393 0.064086 22.41 22.91 GS Finance Corp. 40056Y6Q2 01/31/20 01/31/23 100.000 0.000 2.1001 19.40 0.058948 0.059567 0.060193 0.060825 0.061464 21.52 21.98 GS Finance Corp. 40056Y7A6 01/27/20 02/05/30 100.000 0.000 2.6900 25.12 0.075772 0.076791 0.077824 0.078871 0.079932 27.76 28.51 GS Finance Corp. 40056Y7G3 01/22/20 03/20/25 100.000 0.000 2.3879 22.64 0.067381 0.068185 0.068999 0.069823 0.070657 24.57 25.16 GS Finance Corp. 40056YCH5 01/24/20 01/25/30 100.000 0.000 2.7100 25.53 0.076304 0.077338 0.078385 0.079448 0.080524 27.98 28.74 GS Finance Corp. 40056YDZ4 03/04/20 03/14/25 100.000 0.000 1.8399 15.24 0.051606 0.052080 0.052560 0.053043 0.053531 18.77 19.11 GS Finance Corp. 40056YE26 03/04/20 03/14/25* 100.000 0.000 1.8399 15.24 0.051606 0.052080 3.82* GS Finance Corp. 40056YE34 02/06/20 02/19/30 100.000 0.000 2.5700 23.34 0.072374 0.073304 0.074246 0.075200 0.076166 26.47 27.15 GS Finance Corp. 40056YET7 03/04/20 09/03/24 100.000 0.000 1.7759 14.70 0.049766 0.050208 0.050654 0.051103 0.051557 18.10 18.42 GS Finance Corp. 40056YFG4 03/04/20 03/03/23 100.000 0.000 1.5749 13.03 0.044088 0.044436 0.044786 0.045138 0.045494 16.02 16.27 GS Finance Corp. 40056YFZ2 02/28/20 03/01/28 100.000 0.000 2.3000 19.45 0.064635 0.065378 0.066130 0.066890 0.067659 23.58 24.13 GS Finance Corp. 40056YGN8 02/28/20 08/28/25 100.000 0.000 2.0300 17.16 0.056960 0.057538 0.058122 0.058712 0.059308 20.75 21.18 GS Finance Corp. 40056YGS7 02/28/20 03/11/27 100.000 0.000 2.2100 18.69 0.062117 0.062804 0.063498 0.064199 0.064909 22.64 23.14 GS Finance Corp. 40056YGT5 02/28/20 03/11/27 100.000 0.000 2.2100 18.69 0.062117 0.062804 0.063498 0.064199 0.064909 22.64 23.14 GS Finance Corp. 40056YGU2 02/28/20 03/11/27 100.000 0.000 2.2100 18.69 0.062117 0.062804 0.063498 0.064199 0.064909 22.64 23.14 GS Finance Corp. 40056YGZ1 02/28/20 03/11/30 100.000 0.000 2.4800 20.99 0.069805 0.070670 0.071547 0.072434 0.073332 25.48 26.11 GS Finance Corp. 40056YH23 02/28/20 03/11/30 100.000 0.000 2.4800 20.99 0.069805 0.070670 0.071547 0.072434 0.073332 25.48 26.11 GS Finance Corp. 40056YH56 02/28/20 03/11/27 100.000 0.000 2.2100 18.69 0.062117 0.062804 0.063498 0.064199 0.064909 22.64 23.14 GS Finance Corp. 40056YH64 02/28/20 08/28/24 100.000 0.000 1.9925 16.84 0.055899 0.056456 0.057018 0.057586 0.058160 20.36 20.77 GS Finance Corp. 40056YH72 02/28/20 02/28/23 100.000 0.000 1.8799 15.88 0.052711 0.053207 0.053707 0.054212 0.054721 19.19 19.55 GS Finance Corp. 40056YHR8 02/12/20 02/23/27 100.000 0.000 2.3500 20.94 0.066092 0.066869 0.067655 0.068450 0.069254 24.13 24.70 GS Finance Corp. 40056YJF2 02/20/20 02/15/23 100.000 0.000 1.9251 16.70 0.053975 0.054495 0.055019 0.055549 0.056084 19.67 20.05 GS Finance Corp. 40056YJM7 02/21/20 02/21/30 100.000 VARIES 2.5596 21.97 0.070587 0.070069 0.069543 0.069011 0.068671 25.18 24.83 GS Finance Corp. 40056YJX3 02/26/20 03/07/30 100.000 0.000 2.4900 21.21 0.070082 0.070954 0.071838 0.072732 0.073638 25.59 26.23 GS Finance Corp. 40056YJY1 02/26/20 03/07/30 100.000 0.000 2.4900 21.21 0.070082 0.070954 0.071838 0.072732 0.073638 25.59 26.23 GS Finance Corp. 40056YL77 03/09/20 05/11/22 100.000 0.000 1.4901 12.13 0.041807 0.042118 0.042432 15.14 5.52 GS Finance Corp. 40056YM76 04/03/20 04/05/23 100.000 0.000 2.5099 18.76 0.070605 0.071491 0.072388 0.073296 0.074216 25.73 26.38 GS Finance Corp. 40056YNK6 03/31/20 10/01/25 100.000 0.000 3.2325 24.47 0.091250 0.092725 0.094224 0.095747 0.097294 33.38 34.47 GS Finance Corp. 40056YNL4 04/03/20 04/04/24 100.000 0.000 2.6801 20.04 0.075449 0.076460 0.077485 0.078523 0.079575 27.52 28.26 GS Finance Corp. 40056YNR1 03/27/20 03/27/25 100.000 0.000 3.8599 29.57 0.109289 0.111399 0.113549 0.115740 0.117974 40.12 41.69 GS Finance Corp. 40056YNS9 03/27/20 03/27/23 100.000 0.000 3.5399 27.11 0.100072 0.101844 0.103646 0.105481 0.107348 36.68 37.99 GS Finance Corp. 40056YPD0 03/31/20 04/01/27 100.000 0.000 3.3000 24.98 0.093187 0.094725 0.096288 0.097876 0.099491 34.10 35.24 GS Finance Corp. 40056YQ56 03/31/20 03/30/28 100.000 0.000 3.3672 25.49 0.095107 0.096708 0.098336 0.099992 0.101675 34.82 36.00 GS Finance Corp. 40056YR30 03/31/20 04/09/30* 100.000 0.000 3.5200 26.66 0.099586 9.76* GS Finance Corp. 40056YR55 03/31/20 04/09/30* 100.000 0.000 3.5200 26.66 0.099586 9.76* GS Finance Corp. 40056YRP1 03/31/20 04/12/27* 100.000 0.000 3.3000 24.99 0.093282 9.14* ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056YRQ9 03/31/20 04/12/27 100.000 0.000 3.3000 24.99 0.093282 0.094821 0.096385 0.097976 0.099592 34.10 35.24 GS Finance Corp. 40056YRR7 03/31/20 04/12/27 100.000 0.000 3.3000 24.99 0.093282 0.094821 0.096385 0.097976 0.099592 34.10 35.24 GS Finance Corp. 40056YS39 03/31/20 04/01/27 100.000 0.000 3.3000 24.98 0.093187 0.094725 0.096288 0.097876 0.099491 34.10 35.24 GS Finance Corp. 40056YVU5 03/24/20 03/23/23 100.000 0.000 3.9958 30.96 0.113199 0.115461 0.117767 0.120120 0.122520 41.61 43.29 GS Finance Corp. 40056YXF6 04/14/20 10/15/25 100.000 0.000 2.1451 15.36 0.060228 0.060874 0.061526 0.062186 0.062853 21.90 22.37 GS Finance Corp. 40056YXG4 04/14/20 04/14/27 100.000 0.000 2.3699 16.98 0.066612 0.067401 0.068200 0.069008 0.069826 24.24 24.82 GS Finance Corp. 40056YXV1 04/13/20 04/11/25 100.000 0.000 2.5468 18.32 0.071634 0.072547 0.073470 0.074406 0.075353 26.10 26.77 GS Finance Corp. 40056YXW9 04/13/20 04/11/24 100.000 0.000 2.3867 17.17 0.067081 0.067881 0.068692 0.069511 0.070341 24.42 25.01 GS Finance Corp. 40056YXX7 04/14/20 04/23/27* 100.000 0.000 2.3700 16.98 0.066652 7.47* GS Finance Corp. 40056YYK4 04/22/20 05/01/30* 100.000 0.000 2.7300 18.96 0.076921 0.077971 9.39* GS Finance Corp. 40056YYL2 04/22/20 05/01/30* 100.000 0.000 2.7300 18.96 0.076921 0.077971 9.39* GS Finance Corp. 40056YZ49 04/13/20 04/13/27 100.000 0.000 2.8100 20.22 0.079151 0.080263 0.081391 0.082534 0.083694 28.87 29.69 GS Finance Corp. 40056YZD9 05/05/20 05/03/24 100.000 0.000 1.8596 12.22 0.052131 0.052615 0.053104 0.053598 0.054097 18.91 19.26 GS Finance Corp. 40056YZE7 04/30/20 10/30/25 100.000 0.000 2.2800 15.31 0.064056 0.064787 0.065525 0.066272 0.067028 23.28 23.82 GS Finance Corp. 40057C2Z3 05/29/20 06/23/21 100.000 0.000 0.4999 2.94 0.013925 2.40 GS Finance Corp. 40057C5A5 06/30/20 06/29/28 100.000 0.000 1.9400 9.76 0.054410 0.054938 0.055471 0.056009 0.056552 19.68 20.07 GS Finance Corp. 40057C5X5 07/06/20 01/03/25 100.000 0.000 1.2962 6.30 0.036005 0.036235 0.036470 0.036706 0.036944 13.09 13.26 GS Finance Corp. 40057C6F3 06/30/20 07/10/30* 100.000 0.000 2.1900 11.02 0.060871 0.061538 0.062211 11.75* GS Finance Corp. 40057C6G1 06/30/20 07/10/30* 100.000 0.000 2.1900 11.02 0.060871 0.061538 0.062211 11.75* GS Finance Corp. 40057C7A3 06/30/20 07/12/27* 100.000 0.000 1.8300 9.21 0.050865 0.051331 9.80* GS Finance Corp. 40057C7B1 06/30/20 07/12/27 100.000 0.000 1.8300 9.21 0.050865 0.051331 0.051800 0.052274 0.052753 18.55 18.89 GS Finance Corp. 40057C7E5 06/30/20 06/30/27 100.000 0.000 1.8299 9.20 0.051297 0.051766 0.052240 0.052718 0.053200 18.55 18.89 GS Finance Corp. 40057CDX6 07/31/20 08/02/28 100.000 0.000 1.6767 7.03 0.046581 0.046971 0.047365 0.047762 0.048163 16.96 17.24 GS Finance Corp. 40057CFR7 07/31/20 08/11/27 100.000 0.000 1.5700 6.59 0.043631 0.043974 0.044319 0.044667 0.045017 15.87 16.12 GS Finance Corp. 40057CFS5 07/31/20 08/11/27 100.000 0.000 1.5700 6.59 0.043631 0.043974 0.044319 0.044667 0.045017 15.87 16.12 GS Finance Corp. 40057CFT3 07/31/20 08/02/27 100.000 0.000 1.5699 6.59 0.043613 0.043956 0.044301 0.044648 0.044999 15.86 16.11 GS Finance Corp. 40057CFU0 07/31/20 08/02/27 100.000 0.000 1.5699 6.59 0.043613 0.043956 0.044301 0.044648 0.044999 15.86 16.11 GS Finance Corp. 40057CFX4 07/31/20 08/12/30* 100.000 0.000 1.8900 7.93 0.052533 0.053030 11.65* GS Finance Corp. 40057CG70 07/23/20 07/24/25 100.000 0.000 1.2699 5.57 0.035277 0.035501 0.035727 0.035954 0.036182 12.81 12.97 GS Finance Corp. 40057CKY6 09/03/20 09/06/24 100.000 0.000 0.9900 3.25 0.027503 0.027639 0.027776 0.027914 0.028052 9.96 10.06 GS Finance Corp. 40057CM73 08/31/20 08/31/26 100.000 0.000 1.3750 4.62 0.038194 0.038453 0.038720 0.038984 0.039255 13.86 14.05 GS Finance Corp. 40057CM81 08/31/20 08/31/26 100.000 0.000 1.3750 4.62 0.038194 0.038453 0.038720 0.038984 0.039255 13.86 14.05 GS Finance Corp. 40057CMG3 08/31/20 09/10/30 100.000 0.000 1.9400 6.52 0.053919 0.054442 0.054970 0.055503 0.056042 19.62 20.00 GS Finance Corp. 40057CQ53 09/03/20 09/06/23 100.000 0.000 0.8300 2.72 0.023057 0.023152 0.023248 0.023345 0.023442 8.34 8.41 GS Finance Corp. 40057CSE2 09/03/20 12/01/22 100.000 0.000 0.5992 1.96 0.016668 0.016718 0.016768 0.016819 6.01 5.54 GS Finance Corp. 40057CTV3 09/30/20 09/30/26 100.000 0.000 1.5050 3.80 0.041804 0.042119 0.042436 0.042755 0.043077 15.16 15.39 GS Finance Corp. 40057CTW1 09/30/20 09/30/26 100.000 0.000 1.5050 3.80 0.041804 0.042119 0.042436 0.042755 0.043077 15.16 15.39 GS Finance Corp. 40057E2G1 04/30/20 04/30/27 100.000 0.000 2.4600 16.52 0.069174 0.070025 0.070887 0.071759 0.072641 25.16 25.78 GS Finance Corp. 40057E2H9 04/30/20 01/30/26 100.000 0.000 2.3100 15.52 0.064537 0.065283 0.066037 0.066799 0.067571 23.59 24.14 GS Finance Corp. 40057E3L9 04/30/20 05/11/27* 100.000 0.000 2.4600 16.52 0.069226 9.00* GS Finance Corp. 40057E3U9 05/05/20 05/14/30* 100.000 0.000 2.6400 17.36 0.074351 9.89* GS Finance Corp. 40057E5Y9 06/03/20 12/04/24 100.000 0.000 1.7526 10.14 0.049112 0.049542 0.049976 0.050414 0.050856 17.78 18.09 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057E6D4 06/03/20 06/03/24 100.000 0.000 1.6451 9.52 0.046073 0.046452 0.046834 0.047219 0.047608 16.68 16.95 GS Finance Corp. 40057E6E2 05/29/20 05/29/26 100.000 0.000 2.0800 12.27 0.058378 0.058985 0.059598 0.060218 0.060844 21.16 21.61 GS Finance Corp. 40057E6W2 05/29/20 06/01/28 100.000 0.000 2.3367 13.79 0.065675 0.066442 0.067219 0.068004 0.068798 23.83 24.39 GS Finance Corp. 40057E6Y8 05/29/20 06/01/28 100.000 0.000 2.3367 13.79 0.065675 0.066442 0.067219 0.068004 0.068798 23.83 24.39 GS Finance Corp. 40057EAD9 05/29/20 06/11/30* 100.000 0.000 2.5500 15.05 0.071798 11.42* GS Finance Corp. 40057EAE7 05/29/20 06/01/27 100.000 0.000 2.2400 13.21 0.062928 0.063632 0.064345 0.065066 0.065795 22.82 23.34 GS Finance Corp. 40057EAF4 05/29/20 06/10/27* 100.000 0.000 2.2300 13.16 0.062678 9.97* GS Finance Corp. 40057EKU0 11/30/20 11/30/27 100.000 0.000 1.4899 1.28 0.041387 0.041696 0.042006 0.042319 0.042634 14.97 15.20 GS Finance Corp. 40057EKV8 11/30/20 11/30/27 100.000 0.000 1.4899 1.28 0.041387 0.041696 0.042006 0.042319 0.042634 14.97 15.20 GS Finance Corp. 40057EM38 11/30/20 05/30/28 100.000 0.000 1.5518 1.34 0.043104 0.043439 0.043776 0.044115 0.044458 15.60 15.84 GS Finance Corp. 40057EM46 11/30/20 05/30/28 100.000 0.000 1.5518 1.34 0.043104 0.043439 0.043776 0.044115 0.044458 15.60 15.84 GS Finance Corp. 40057EM53 11/30/20 12/10/30 100.000 0.000 1.8600 1.60 0.051694 0.052174 0.052660 0.053149 0.053644 18.72 19.07 GS Finance Corp. 40057EM61 11/30/20 12/10/30 100.000 0.000 1.8600 1.60 0.051694 0.052174 0.052660 0.053149 0.053644 18.72 19.07 GS Finance Corp. 40057EQ75 12/29/20 12/28/27 100.000 0.000 1.4339 0.08 0.039829 0.040113 0.040401 0.040690 0.040982 14.39 14.60 GS Finance Corp. 40057ER90 12/29/20 01/08/31 100.000 0.000 1.9000 0.11 0.052778 0.052803 0.053305 0.053811 0.054322 19.10 19.46 GS Finance Corp. 40057ERA7 12/29/20 06/28/28 100.000 0.000 1.5125 0.08 0.042015 0.042331 0.042651 0.042973 0.043298 15.18 15.41 GS Finance Corp. 40057ERB5 12/29/20 06/28/28 100.000 0.000 1.5125 0.08 0.042015 0.042331 0.042651 0.042973 0.043298 15.18 15.41 GS Finance Corp. 40057EZJ9 01/29/21 01/31/28 100.000 0.000 1.4700 0.040834 0.040835 0.041136 0.041438 0.041743 13.60 14.95 GS Finance Corp. 40057EZK6 01/29/21 07/31/28 100.000 0.000 1.5383 0.042729 0.042731 0.043060 0.043391 0.043725 14.24 15.66 GS Finance Corp. 40057EZL4 01/29/21 01/31/28 100.000 0.000 1.4700 0.040834 0.040835 0.041136 0.041438 0.041743 13.60 14.95 GS Finance Corp. 40057F2X1 01/29/21 02/10/31 100.000 0.000 1.8800 0.052223 0.052253 0.052744 0.053240 0.053740 17.42 19.22 GS Finance Corp. 40057F2Y9 01/29/21 02/10/31 100.000 0.000 1.8800 0.052223 0.052253 0.052744 0.053240 0.053740 17.42 19.22 GS Finance Corp. 40057F7J7 01/29/21 01/29/36 100.000 VARIES 2.3898 0.066384 0.065518 0.064641 0.063146 21.91 23.07 GS Finance Corp. 40057FBU7 02/26/21 02/28/28 100.000 0.000 1.6601 0.046113 0.046117 0.046500 0.046886 0.047275 14.11 16.90 GS Finance Corp. 40057FD43 01/29/21 01/29/36 100.000 VARIES 2.3895 0.066374 0.065508 0.064631 0.063057 21.90 23.05 GS Finance Corp. 40057FE42 02/03/21 02/03/28 100.000 0.000 1.4700 0.040832 0.041132 0.041434 0.041739 13.44 14.95 GS Finance Corp. 40057FEZ3 02/26/21 02/28/28 100.000 0.000 1.6601 0.046113 0.046117 0.046500 0.046886 0.047275 14.11 16.90 GS Finance Corp. 40057FF41 02/26/21 03/10/31 100.000 0.000 2.1500 0.059723 0.059773 0.060416 0.061065 0.061722 18.30 22.01 GS Finance Corp. 40057FF58 02/26/21 08/28/28 100.000 0.000 1.7417 0.048381 0.048386 0.048807 0.049232 0.049661 14.81 17.75 GS Finance Corp. 40057FF66 02/26/21 02/28/28 100.000 0.000 1.6601 0.046113 0.046117 0.046500 0.046886 0.047275 14.11 16.90 GS Finance Corp. 40057FF74 02/12/21 02/12/31 100.000 VARIES 1.9200 0.053334 0.052913 0.052487 0.052473 16.95 18.91 GS Finance Corp. 40057FFY5 02/22/21 02/23/28 100.000 0.000 1.5700 0.043614 0.043957 0.044302 0.044650 13.52 15.98 GS Finance Corp. 40057FGF5 02/11/21 02/11/24 100.000 0.000 0.6198 0.017218 0.017271 0.017325 0.017378 5.52 6.24 GS Finance Corp. 40057FJM7 02/24/21 02/24/28 100.000 0.000 1.5700 0.043612 0.043954 0.044299 0.044647 13.43 15.97 GS Finance Corp. 40057FLW2 03/11/21 03/11/31 100.000 VARIES 2.5191 0.069975 0.069107 0.068228 0.066388 20.20 24.42 GS Finance Corp. 40057FLX0 03/12/21 03/12/36 100.000 VARIES 2.8689 0.079692 0.078046 0.076376 0.073545 22.85 27.31 GS Finance Corp. 40057FN42 03/31/21 03/30/28 100.000 0.000 2.0392 0.056644 0.057222 0.057805 0.058394 15.40 20.81 GS Finance Corp. 40057FNX8 03/31/21 04/09/31 100.000 0.000 2.5000 0.069445 0.069488 0.070357 0.071236 0.072127 18.90 25.63 GS Finance Corp. 40057FNY6 03/31/21 04/09/31 100.000 0.000 2.5000 0.069445 0.069488 0.070357 0.071236 0.072127 18.90 25.63 GS Finance Corp. 40057FP24 03/31/21 04/01/27 100.000 0.000 1.8100 0.050281 0.050736 0.051195 0.051659 13.67 18.43 GS Finance Corp. 40057FP32 03/31/21 04/01/27 100.000 0.000 1.7900 0.049723 0.050168 0.050617 0.051070 13.52 18.22 GS Finance Corp. 40057FP40 03/31/21 09/29/28 100.000 0.000 2.1210 0.058918 0.059539 0.060171 0.060809 16.02 21.66 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057FP57 03/31/21 09/29/28 100.000 0.000 2.1210 0.058918 0.059539 0.060171 0.060809 16.02 21.66 GS Finance Corp. 40057FQ72 03/10/21 03/10/31 100.000 VARIES 2.5198 0.069995 0.069477 0.068952 0.068424 20.31 24.80 GS Finance Corp. 40057FS62 03/31/21 03/29/29 100.000 0.000 2.1944 0.060955 0.061620 0.062296 0.062979 16.58 22.43 GS Finance Corp. 40057FSG0 03/24/21 03/24/31 100.000 VARIES 2.5493 0.070813 0.069591 0.068354 0.066311 19.50 24.51 GS Finance Corp. 40057FSX3 03/24/21 03/24/31 100.000 VARIES 2.5501 0.070837 0.069969 0.069090 0.068465 19.54 24.88 GS Finance Corp. 40057FU28 04/09/21 04/09/31 100.000 VARIES 2.4795 0.068875 0.067318 0.065742 0.064240 17.92 23.70 GS Finance Corp. 40057FUA0 03/31/21 03/31/28 100.000 VARIES 2.1198 0.058883 0.058624 0.058362 0.058184 15.93 21.02 GS Finance Corp. 40057FW42 04/30/21 05/12/31 100.000 0.000 2.4800 0.068888 0.068945 0.069800 0.070665 0.071541 16.66 25.37 GS Finance Corp. 40057FW59 04/30/21 10/30/26 100.000 0.000 1.6375 0.045485 0.045858 0.046233 0.046612 10.98 16.62 GS Finance Corp. 40057FW67 04/30/21 10/30/26 100.000 0.000 1.6375 0.045485 0.045858 0.046233 0.046612 10.98 16.62 GS Finance Corp. 40057FW75 04/30/21 05/02/28 100.000 0.000 2.0200 0.056112 0.056118 0.056685 0.057258 0.057836 13.56 20.58 GS Finance Corp. 40057FW83 04/30/21 05/02/28 100.000 0.000 2.0200 0.056112 0.056118 0.056685 0.057258 0.057836 13.56 20.58 GS Finance Corp. 40057FWL4 04/30/21 05/02/28 100.000 0.000 2.0200 0.056112 0.056118 0.056685 0.057258 0.057836 13.56 20.58 GS Finance Corp. 40057FWV2 04/30/21 05/12/31 100.000 0.000 2.4800 0.068888 0.068945 0.069800 0.070665 0.071541 16.66 25.37 GS Finance Corp. 40057FX41 04/05/21 04/02/26 100.000 0.000 1.5814 0.043927 0.044268 0.044618 0.044971 11.71 16.06 GS Finance Corp. 40057FX58 04/05/21 10/03/24 100.000 0.000 1.0638 0.029549 0.029704 0.029862 0.030021 7.87 10.75 GS Finance Corp. 40057FX82 04/30/21 05/02/29 100.000 0.000 2.1733 0.060369 0.060376 0.061032 0.061695 0.062366 14.59 22.17 GS Finance Corp. 40057FXR0 04/06/21 01/06/23 100.000 0.000 0.5194 0.014428 0.014447 0.014484 0.014522 3.83 5.22 GS Finance Corp. 40057FXZ2 04/09/21 04/09/31 100.000 VARIES 2.4796 0.068878 0.068010 0.067132 0.066730 17.97 24.22 GS Finance Corp. 40057FYJ7 04/21/21 07/21/28 100.000 0.000 2.0792 0.057756 0.058057 0.058660 0.059270 14.49 21.20 GS Finance Corp. 40057FZC1 04/28/21 04/28/31 100.000 VARIES 2.4400 0.067777 0.067248 0.066713 0.066171 16.44 24.05 GS Finance Corp. 40057H2H2 04/21/21 04/21/27 100.000 0.000 1.7850 0.049585 0.050027 0.050474 0.050924 12.43 18.15 GS Finance Corp. 40057H3F5 05/05/21 05/05/28 100.000 0.000 2.0100 0.055833 0.056394 0.056961 0.057533 13.21 20.47 GS Finance Corp. 40057H4D9 05/03/21 05/01/28 100.000 0.000 1.9900 0.055277 0.055821 0.056376 0.056937 13.19 20.26 GS Finance Corp. 40057H4Z0 05/28/21 05/31/29 100.000 0.000 2.0800 0.057779 0.057785 0.058386 0.058993 0.059607 12.33 21.17 GS Finance Corp. 40057H5T3 05/19/21 05/19/31 100.000 VARIES 2.4694 0.068595 0.067041 0.065468 0.064216 15.16 23.73 GS Finance Corp. 40057H6P0 05/28/21 12/01/26 100.000 0.000 1.5051 0.041807 0.041812 0.042127 0.042444 0.042763 8.92 15.24 GS Finance Corp. 40057H6Q8 05/28/21 05/31/28 100.000 0.000 1.9100 0.053057 0.053063 0.053569 0.054081 0.054597 11.32 19.41 GS Finance Corp. 40057H6R6 05/28/21 05/31/28 100.000 0.000 1.9100 0.053057 0.053063 0.053569 0.054081 0.054597 11.32 19.41 GS Finance Corp. 40057H6S4 05/28/21 06/10/31 100.000 0.000 2.4200 0.067222 0.067276 0.068090 0.068914 0.069748 14.35 24.70 GS Finance Corp. 40057H6T2 05/28/21 06/10/31 100.000 0.000 2.4200 0.067222 0.067276 0.068090 0.068914 0.069748 14.35 24.70 GS Finance Corp. 40057H7F1 05/28/21 05/31/28 100.000 0.000 1.9100 0.053057 0.053063 0.053569 0.054081 0.054597 11.32 19.41 GS Finance Corp. 40057HAC4 05/14/21 05/14/31 100.000 VARIES 2.5799 0.071664 0.071155 0.070640 0.070118 16.24 25.47 GS Finance Corp. 40057HAL4 05/19/21 05/18/28 100.000 0.000 1.9374 0.053818 0.054336 0.054863 0.055394 11.97 19.70 GS Finance Corp. 40057HB33 05/28/21 05/31/28 100.000 0.000 1.9100 0.053057 0.053063 0.053569 0.054081 0.054597 11.32 19.41 GS Finance Corp. 40057HCZ1 05/28/21 05/28/31 100.000 VARIES 2.4405 0.067792 0.067178 0.066556 0.065927 14.42 24.03 GS Finance Corp. 40057HE48 05/28/21 05/28/31 100.000 VARIES 2.4396 0.067766 0.066221 0.064657 0.063515 14.38 23.47 GS Finance Corp. 40057HG53 06/30/21 03/30/27 100.000 0.000 1.7249 0.047915 0.048122 0.048537 0.048955 8.69 17.47 GS Finance Corp. 40057HG61 06/30/21 03/30/27 100.000 0.000 1.7249 0.047915 0.048122 0.048537 0.048955 8.69 17.47 GS Finance Corp. 40057HG79 06/30/21 06/29/28 100.000 0.000 1.9816 0.055046 0.055588 0.056139 0.056695 9.96 20.11 GS Finance Corp. 40057HG87 06/30/21 06/29/28 100.000 0.000 1.9816 0.055046 0.055588 0.056139 0.056695 9.96 20.11 GS Finance Corp. 40057HGN4 06/30/21 07/10/31 100.000 0.000 2.3900 0.066388 0.066432 0.067226 0.068030 12.02 24.33 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057HHL7 06/30/21 06/28/29 100.000 0.000 2.1192 0.058866 0.059483 0.060114 0.060750 10.66 21.53 GS Finance Corp. 40057HJ43 06/30/21 06/29/28 100.000 0.000 1.9816 0.055046 0.055588 0.056139 0.056695 9.96 20.11 GS Finance Corp. 40057HJ50 06/30/21 09/30/27 100.000 0.000 1.8350 0.050973 0.051207 0.051677 0.052151 9.25 18.60 GS Finance Corp. 40057HJG6 06/23/21 06/26/28 100.000 0.000 1.9299 0.053610 0.053618 0.054136 0.054658 0.055186 10.08 19.59 GS Finance Corp. 40057HJH4 06/23/21 12/28/26 100.000 0.000 1.6224 0.045068 0.045078 0.045444 0.045813 0.046184 8.48 16.43 GS Finance Corp. 40057HJK7 06/16/21 06/16/31 100.000 VARIES 2.3104 0.064177 0.063554 0.062923 0.062286 12.51 22.75 GS Finance Corp. 40057HKH2 07/06/21 07/06/28 100.000 0.000 1.9099 0.053054 0.053560 0.054072 9.28 19.37 GS Finance Corp. 40057HNH9 06/30/21 06/30/31 100.000 VARIES 2.3198 0.064440 0.063817 0.063188 0.062551 11.66 22.86 GS Finance Corp. 40057HQJ2 07/30/21 04/30/27 100.000 0.000 1.5401 0.042779 0.042944 0.043275 0.043608 6.47 15.56 GS Finance Corp. 40057HQK9 07/30/21 08/01/28 100.000 0.000 1.7900 0.049721 0.049724 0.050169 0.050618 7.51 18.11 GS Finance Corp. 40057HQL7 07/30/21 08/01/28 100.000 0.000 1.7900 0.049721 0.049724 0.050169 0.050618 7.51 18.11 GS Finance Corp. 40057HQM5 07/30/21 04/30/27 100.000 0.000 1.5401 0.042779 0.042944 0.043275 0.043608 6.47 15.56 GS Finance Corp. 40057HQN3 07/30/21 08/11/31 100.000 0.000 2.1800 0.060556 0.060596 0.061257 0.061924 9.15 22.12 GS Finance Corp. 40057HQP8 07/30/21 08/11/31 100.000 0.000 2.1800 0.060556 0.060596 0.061257 0.061924 9.15 22.12 GS Finance Corp. 40057HR51 07/30/21 08/01/29 100.000 0.000 1.9200 0.053333 0.053335 0.053847 0.054364 8.05 19.45 GS Finance Corp. 40057HS27 07/30/21 11/01/27 100.000 0.000 1.6399 0.045554 0.045743 0.046118 0.046496 6.89 16.58 GS Finance Corp. 40057HST8 07/30/21 08/01/28 100.000 0.000 1.7900 0.049721 0.049724 0.050169 0.050618 7.51 18.11 GS Finance Corp. 40057HTD2 07/28/21 07/31/28 100.000 0.000 1.8200 0.050555 0.050560 0.051020 0.051484 7.74 18.42 GS Finance Corp. 40057HTE0 07/28/21 02/01/27 100.000 0.000 1.5051 0.041807 0.041812 0.042127 0.042444 6.40 15.20 GS Finance Corp. 40057HU73 08/04/21 08/03/28 100.000 0.000 1.7533 0.048702 0.049127 0.049558 7.16 17.74 GS Finance Corp. 40057HUS7 08/04/21 08/04/31 100.000 0.000 2.1800 0.060555 0.061215 0.061883 8.90 22.11 GS Finance Corp. 40057HWP1 07/30/21 07/30/36 100.000 VARIES 2.5273 0.070203 0.068984 0.067750 10.60 24.68 GS Finance Corp. 40057HX39 07/30/21 07/31/28 100.000 0.000 1.7900 0.049723 0.050168 0.050617 7.51 18.12 GS Finance Corp. 40057HZB9 08/31/21 08/30/29 100.000 0.000 2.0160 0.056001 0.056560 0.057136 6.78 20.40 GS Finance Corp. 40057J2C9 08/31/21 08/31/26 100.000 0.000 1.5000 0.041665 0.041974 0.042293 5.04 15.13 GS Finance Corp. 40057J2D7 08/31/21 08/31/27 100.000 0.000 1.7001 0.047224 0.047621 0.048030 5.71 17.17 GS Finance Corp. 40057J2E5 08/31/21 08/31/27 100.000 0.000 1.7001 0.047224 0.047621 0.048030 5.71 17.17 GS Finance Corp. 40057J2F2 08/31/21 08/31/28 100.000 0.000 1.9000 0.052777 0.053272 0.053784 6.39 19.21 GS Finance Corp. 40057J2G0 08/31/21 08/31/28 100.000 0.000 1.9000 0.052777 0.053272 0.053784 6.39 19.21 GS Finance Corp. 40057J2H8 08/31/21 08/31/28 100.000 0.000 1.9000 0.052777 0.053272 0.053784 6.39 19.21 GS Finance Corp. 40057J3M6 08/31/21 09/12/28 100.000 0.000 1.9000 0.052779 0.052813 0.053314 0.053821 6.39 19.21 GS Finance Corp. 40057J3N4 08/31/21 09/10/31 100.000 0.000 2.2800 0.063333 0.063373 0.064096 0.064826 7.67 23.11 GS Finance Corp. 40057J3X2 08/31/21 08/31/28 100.000 0.000 1.9000 0.052777 0.053272 0.053784 6.39 19.21 GS Finance Corp. 40057J3Y0 08/31/21 03/02/28 100.000 0.000 1.7999 0.049999 0.050004 0.050454 0.050908 6.05 18.19 GS Finance Corp. 40057J4L7 08/25/21 08/28/28 100.000 0.000 1.8700 0.051945 0.051953 0.052439 0.052929 6.55 18.91 GS Finance Corp. 40057J4N3 08/25/21 03/01/27 100.000 0.000 1.5774 0.043818 0.043830 0.044175 0.044524 5.52 15.92 GS Finance Corp. 40057J5G7 09/03/21 09/06/28 100.000 0.000 1.8400 0.051112 0.051120 0.051590 0.052065 6.03 18.60 GS Finance Corp. 40057J6E1 08/31/21 08/31/36 100.000 VARIES 2.5599 0.071108 0.069875 0.068627 8.60 25.07 GS Finance Corp. 40057J7L4 08/17/21 08/16/29 100.000 0.000 2.0292 0.056367 0.056936 0.057514 7.55 20.55 GS Finance Corp. 40057JA89 09/03/21 09/05/31 100.000 0.000 2.2400 0.062222 0.062230 0.062927 0.063632 7.34 22.69 GS Finance Corp. 40057JAE6 08/31/21 09/12/28 100.000 0.000 1.9000 0.052779 0.052813 0.053314 0.053821 6.39 19.21 GS Finance Corp. 40057JGC4 09/15/21 09/15/31 100.000 VARIES 2.2298 0.061938 0.061390 0.060836 6.57 22.08 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 4042K1TC7 11/30/11 11/30/21 100.000 VARIES 4.1953 0.115952 0.116241 38.20 HSBC USA, Inc. 4042K1TZ6 12/20/11 12/20/21 100.000 VARIES 4.3009 0.119004 0.119235 41.57 HSBC USA, Inc. 40432X5F4 12/21/12 12/21/22 100.000 VARIES 1.3476 0.011291 0.011367 0.011444 0.011521 4.08 4.02 HSBC USA, Inc. 40432X5T4 01/15/13 01/15/43 100.000 0.000 4.5776 0.178550 0.182636 0.186816 0.191092 0.195466 66.39 69.46 HSBC USA, Inc. 40432X7E5 01/29/13 01/29/43 100.000 0.000 4.6460 0.182130 0.186361 0.190690 0.195119 0.199652 67.63 70.81 HSBC USA, Inc. 40432XHZ7 07/26/13 07/26/23 100.000 VARIES 1.5824 0.008278 0.008344 0.008410 0.008476 0.008543 3.01 3.06 HSBC USA, Inc. 40432XJY8 08/23/13 08/23/23 98.875 VARIES 1.6689 0.010807 0.010897 0.010988 0.011080 0.011172 3.93 4.00 HSBC USA, Inc. 40432XKQ3 09/26/13 09/26/23 100.000 VARIES 3.9579 0.109717 0.109753 0.109789 0.109826 0.109864 39.51 39.54 HSBC USA, Inc. 40432XKX8 09/12/13 09/12/23 98.875 VARIES 1.6700 0.010836 0.010926 0.011017 0.011109 0.011202 3.94 4.00 HSBC USA, Inc. 40432XLT6 09/30/13 10/02/23 100.000 VARIES 1.5394 0.007677 0.007736 0.007796 0.007856 0.007916 2.78 2.83 HSBC USA, Inc. 40432XNT4 12/04/13 12/04/28 100.000 VARIES 3.4249 0.091171 0.091388 0.091610 0.091835 0.092064 32.87 33.03 HSBC USA, Inc. 40432XZ79 05/21/14 05/21/29 100.000 VARIES 3.9810 0.107570 0.107721 0.107874 0.108031 0.108191 38.76 38.88 HSBC USA, Inc. 40433BEJ3 06/27/14 06/27/29 100.000 VARIES 4.0230 0.109492 0.109605 0.109720 0.109837 0.109957 39.44 39.52 HSBC USA, Inc. 40433BUB2 12/03/14 12/04/23 100.000 0.000 2.9962 0.099495 0.100985 0.102498 0.104034 0.105592 36.17 37.26 HSBC USA, Inc. 40433UFF8 12/31/15 01/02/24 100.000 0.000 1.6730 0.050095 0.050514 0.050937 0.051363 0.051792 18.26 18.57 HSBC USA, Inc. 40433UQV1 07/29/16 07/31/23 100.000 0.000 2.6252 122.34 0.080951 0.082014 0.083090 0.084181 0.085286 29.66 30.44 HSBC USA, Inc. 40433UQZ2 07/29/16 07/31/23 100.000 0.000 2.6252 122.35 0.080952 0.082015 0.083091 0.084182 0.085287 29.66 30.44 HSBC USA, Inc. 40433USA5 08/31/16 08/31/23 100.000 0.000 2.6052 118.90 0.079818 0.079539 0.081911 0.081625 0.084059 29.34 30.11 HSBC USA, Inc. 40433USB3 08/31/16 08/31/23 100.000 0.000 2.6052 118.90 0.079818 0.079539 0.081911 0.081625 0.084059 29.34 30.11 HSBC USA, Inc. 40433UTZ9 09/30/16 10/02/23 100.000 0.000 2.3972 106.67 0.073257 0.074135 0.075024 0.075923 0.076833 26.69 27.33 HSBC USA, Inc. 40433UUA2 09/30/16 10/02/23 100.000 0.000 2.3972 106.67 0.073257 0.074135 0.075024 0.075923 0.076833 26.69 27.33 HSBC USA, Inc. 40433UVZ6 10/31/16 10/31/23 100.000 0.000 2.6044 113.94 0.080234 0.081279 0.082337 0.083409 0.084495 29.20 29.97 HSBC USA, Inc. 40433UWA0 10/31/16 10/31/23 100.000 0.000 2.6044 113.94 0.080233 0.081277 0.082336 0.083408 0.084494 29.20 29.97 HSBC USA, Inc. 40433UZY5 11/10/16 11/10/22 100.000 0.000 2.5056 108.65 0.076888 0.077852 0.078827 0.079814 27.95 24.54 HSBC USA, Inc. 40433X316 08/12/13 08/14/23 100.000 0.000 3.8455 0.139491 0.142173 0.144906 0.147693 0.150532 51.44 53.44 HSBC USA, Inc. 40434B131 04/03/14 03/26/21 100.000 0.000 3.2029 0.109314 9.29 HSBC USA, Inc. 40434B545 02/06/14 01/29/21 100.000 0.000 3.0855 0.104522 2.93 HSBC USA, Inc. 40434B610 12/26/13 06/28/21 100.000 0.000 3.3585 0.117807 20.85 HSBC USA, Inc. 40434B636 12/31/13 01/04/21 100.000 0.000 3.4305 0.118917 0.36 HSBC USA, Inc. 40434C188 07/31/14 07/30/21 100.000 0.000 2.8870 0.093167 0.096079 20.09 HSBC USA, Inc. 40434C386 06/16/14 12/16/22 100.000 0.000 3.2386 0.110852 0.112647 0.114472 0.116325 40.28 39.83 HSBC USA, Inc. 40434C659 06/05/14 05/28/21 100.000 0.000 2.9290 0.098233 14.44 HSBC USA, Inc. 40434E127 03/03/16 02/24/23 100.000 0.000 2.1215 107.27 0.064766 0.065453 0.066147 0.066849 0.067558 23.61 24.12 HSBC USA, Inc. 40434E267 02/04/16 01/27/23 100.000 0.000 1.8122 92.60 0.054578 0.055073 0.055572 0.056075 0.056583 19.89 20.25 HSBC USA, Inc. 40434G775 04/30/15 05/02/22 100.000 0.000 2.2886 0.072057 0.072882 0.073716 26.19 8.92 HSBC USA, Inc. 40434K354 12/30/15 12/23/22 100.000 0.000 1.6731 0.050496 0.050918 0.051344 0.051774 18.26 18.15 HSBC USA, Inc. 40434N283 06/03/16 05/26/23 100.000 0.000 2.4858 119.75 0.077133 0.078091 0.079062 0.080045 0.081040 28.01 28.71 HSBC USA, Inc. 40434V293 09/02/16 08/25/23 100.000 0.000 2.5349 115.28 0.077841 0.078828 0.079827 0.080839 0.081863 28.45 29.18 HSBC USA, Inc. 40434V780 07/13/16 06/30/23 100.000 0.000 2.5156 118.22 0.078132 0.079115 0.080110 0.081118 0.082138 28.31 29.02 HSBC USA, Inc. 40435B247 12/30/16 12/22/23 100.000 0.000 3.3412 141.85 0.105889 0.107658 0.109456 0.111285 0.113144 38.47 39.77 HSBC USA, Inc. 40435B304 10/06/16 09/29/23 100.000 0.000 2.5061 111.29 0.076868 0.077831 0.078806 0.079793 0.080793 28.02 28.73 HSBC USA, Inc. 40435F3B1 09/19/18 09/19/25* 100.000 0.000 3.3749 79.45 0.100236 0.101927 0.103647 26.27* ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 40435F5B9 10/03/18 09/30/21 100.000 0.000 3.5071 81.20 0.104404 0.106234 28.41 HSBC USA, Inc. 40435F5Q6 10/23/18 10/25/21 100.000 0.000 3.5942 81.14 0.107232 0.109159 31.87 HSBC USA, Inc. 40435F5R4 10/23/18 10/23/23 100.000 0.000 3.8181 86.36 0.114392 0.116576 0.118801 0.121069 0.123381 41.87 43.49 HSBC USA, Inc. 40435F5S2 10/23/18 10/23/23 100.000 0.000 3.8181 86.36 0.114392 0.116576 0.118801 0.121069 0.123381 41.87 43.49 HSBC USA, Inc. 40435F5V5 10/26/18 10/26/21 100.000 0.000 3.5942 80.81 0.107211 0.109137 31.97 HSBC USA, Inc. 40435FA64 05/31/18 06/01/21 100.000 0.000 3.2917 88.12 0.099222 14.88 HSBC USA, Inc. 40435FAQ0 07/03/17 07/01/22 100.000 0.000 2.5570 92.85 0.077621 0.078613 0.079618 28.12 14.33 HSBC USA, Inc. 40435FB48 05/24/18 05/27/25 100.000 0.000 2.6745 71.61 0.079412 0.080474 0.081550 0.082641 0.083746 28.85 29.63 HSBC USA, Inc. 40435FBB2 07/27/17 07/27/22 100.000 0.000 2.6657 95.03 0.080170 0.081238 0.082321 0.083418 29.38 17.16 HSBC USA, Inc. 40435FCC9 07/28/17 07/29/24 100.000 0.000 3.0414 108.93 0.092498 0.093905 0.095333 0.096782 0.098254 33.98 35.02 HSBC USA, Inc. 40435FF69 05/30/18 06/01/21 100.000 0.000 3.2353 86.56 0.097386 14.61 HSBC USA, Inc. 40435FG35 06/29/18 06/30/25 100.000 0.000 3.7007 96.23 0.112678 0.114763 0.116886 0.119049 0.121252 40.94 42.47 HSBC USA, Inc. 40435FG43 06/29/18 06/29/23 100.000 0.000 3.5351 91.77 0.107188 0.109082 0.111010 0.112972 0.114969 38.94 40.32 HSBC USA, Inc. 40435FH91 08/09/18 08/09/23 100.000 VARIES 3.6010 86.01 0.099722 0.099771 0.099820 0.099871 0.099923 35.92 35.96 HSBC USA, Inc. 40435FHY6 10/12/17 10/12/22 100.000 0.000 2.6944 90.01 0.081103 0.082196 0.083303 0.084425 29.57 23.61 HSBC USA, Inc. 40435FJ99 07/27/18 07/28/25 100.000 0.000 3.7400 94.15 0.111891 0.113983 0.116115 0.118286 0.120498 41.30 42.86 HSBC USA, Inc. 40435FJB4 10/31/17 04/28/23 100.000 0.000 2.7712 91.17 0.083591 0.084749 0.085923 0.087114 0.088321 30.45 31.30 HSBC USA, Inc. 40435FJL2 10/25/17 10/25/24 100.000 0.000 3.0894 102.54 0.094083 0.095536 0.097012 0.098511 0.100032 34.32 35.39 HSBC USA, Inc. 40435FJQ1 10/30/17 10/30/24 100.000 0.500 3.1256 102.76 0.093944 0.095412 0.096469 0.097976 0.099073 34.24 35.16 HSBC USA, Inc. 40435FK22 07/27/18 07/27/23 100.000 0.000 3.5941 90.35 0.107209 0.109136 0.111097 0.113094 0.115126 39.54 40.97 HSBC USA, Inc. 40435FN29 07/09/18 07/10/23 100.000 0.000 3.5252 90.45 0.105020 0.106871 0.108755 0.110672 0.112622 38.78 40.16 HSBC USA, Inc. 40435FPC5 12/18/17 06/18/25 100.000 0.000 2.0994 65.47 0.062088 0.062740 0.063399 0.064064 0.064737 22.49 22.96 HSBC USA, Inc. 40435FPK7 12/27/17 12/29/25 100.000 0.000 3.2733 102.71 0.100244 0.101885 0.103552 0.105247 0.106969 36.39 37.59 HSBC USA, Inc. 40435FPX9 02/05/18 02/05/21 100.000 0.000 2.7928 83.94 0.083149 2.83 HSBC USA, Inc. 40435FPY7 01/31/18 01/31/25 100.000 0.000 3.4220 104.15 0.103472 0.105243 0.107043 0.108875 0.110738 38.11 39.42 HSBC USA, Inc. 40435FQZ3 12/29/17 12/31/24 100.000 0.000 2.1006 64.82 0.062130 0.062782 0.063442 0.064108 0.064781 22.49 22.96 HSBC USA, Inc. 40435FR90 08/31/18 09/02/25 100.000 0.000 3.6706 88.73 0.109677 0.111689 0.113739 0.115827 0.117952 40.33 41.82 HSBC USA, Inc. 40435FRS8 02/02/18 02/02/23 100.000 VARIES 3.1727 92.26 0.087946 0.087982 0.088018 0.088055 0.088093 31.68 31.70 HSBC USA, Inc. 40435FS24 08/31/18 08/31/23 100.000 0.000 3.5246 85.08 0.104990 0.106820 0.108723 0.110618 0.112589 38.58 39.95 HSBC USA, Inc. 40435FTA5 02/28/18 02/28/25 100.000 0.000 3.5313 104.62 0.107062 0.108952 0.110876 0.112834 0.114826 39.35 40.75 HSBC USA, Inc. 40435FTN7 02/08/18 02/09/23 100.000 0.000 3.1077 93.48 0.093252 0.094701 0.096172 0.097667 0.099184 34.25 35.32 HSBC USA, Inc. 40435FTR8 02/13/18 02/13/23 100.000 VARIES 3.1734 91.31 0.087964 0.088000 0.088037 0.088074 0.088112 31.68 31.71 HSBC USA, Inc. 40435FV38 07/30/18 07/30/21 100.000 0.000 2.7870 69.27 0.081822 0.082962 17.31 HSBC USA, Inc. 40435FV46 07/31/18 08/01/23 100.000 0.000 3.6433 91.31 0.108792 0.110774 0.112792 0.114847 0.116939 40.12 41.60 HSBC USA, Inc. 40435FVW4 03/06/18 03/06/26 100.000 0.000 3.5803 105.27 0.108680 0.110625 0.112606 0.114622 0.116673 39.93 41.37 HSBC USA, Inc. 40435FW29 08/07/18 08/09/21 100.000 0.000 2.7867 68.69 0.081827 0.082967 18.04 HSBC USA, Inc. 40435FW60 08/30/18 08/30/23 100.000 0.000 3.5443 85.57 0.105619 0.107470 0.109396 0.111313 0.113307 38.82 40.20 HSBC USA, Inc. 40435FXS1 04/30/18 05/01/23 100.000 0.000 3.7905 105.48 0.115666 0.117858 0.120092 0.122368 0.124687 42.30 43.92 HSBC USA, Inc. 40435FY35 08/29/18 08/26/21 100.000 0.000 3.3308 80.36 0.098814 0.100459 23.52 HSBC USA, Inc. 40435FZ26 09/28/18 09/29/25 100.000 0.000 3.8667 90.39 0.115972 0.118214 0.120499 0.122829 0.125204 42.57 44.23 HSBC USA, Inc. 40435FZ34 09/28/18 09/28/23 100.000 0.000 3.7109 86.63 0.110947 0.113006 0.115103 0.117238 0.119414 40.70 42.22 HSBC USA, Inc. 40435FZN0 05/02/18 05/02/23 100.000 0.000 3.6133 100.13 0.109768 0.111751 0.113770 0.115826 0.117918 40.11 41.57 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 40435G279 09/14/17 09/15/22 100.000 0.000 1.9322 65.47 0.056863 0.057412 0.057967 0.058527 20.69 14.82 HSBC USA, Inc. 40435G287 09/14/17 09/16/21 100.000 0.000 1.9325 65.48 0.056874 0.057424 14.60 HSBC USA, Inc. 40435G295 09/14/17 09/14/23 100.000 0.000 1.9320 65.46 0.056853 0.057402 0.057956 0.058516 0.059081 20.68 21.09 HSBC USA, Inc. 40435G725 08/31/17 08/30/24 100.000 0.000 2.8720 99.83 0.086904 0.088138 0.089418 0.090688 0.092005 31.81 32.73 HSBC USA, Inc. 40435U3S1 02/04/20 02/06/23 100.000 0.000 1.7448 15.91 0.048895 0.049322 0.049752 0.050186 0.050624 17.80 18.12 HSBC USA, Inc. 40435U3T9 02/04/20 02/05/24 100.000 0.000 1.7442 15.91 0.048876 0.049302 0.049732 0.050166 0.050604 17.80 18.11 HSBC USA, Inc. 40435UAK0 11/20/18 11/20/23 100.000 0.000 3.7182 81.02 0.111182 0.113249 0.115354 0.117499 0.119683 40.57 42.09 HSBC USA, Inc. 40435UAL8 11/16/18 11/16/23 100.000 2.000 3.7066 79.89 0.106574 0.107519 0.108482 0.109463 0.110462 38.62 39.32 HSBC USA, Inc. 40435UAX2 11/30/18 11/30/21 100.000 0.000 3.4829 74.71 0.103663 0.105469 34.43 HSBC USA, Inc. 40435UEV2 02/22/19 02/22/24 100.000 0.000 3.3153 63.04 0.096747 0.098351 0.099981 0.101639 0.103324 35.53 36.72 HSBC USA, Inc. 40435UEW0 02/22/19 02/22/24 100.000 0.000 3.3153 63.04 0.096747 0.098351 0.099981 0.101639 0.103324 35.53 36.72 HSBC USA, Inc. 40435UFW9 02/22/19 02/22/21 100.000 0.000 2.5577 48.38 0.073809 3.76 HSBC USA, Inc. 40435UGT5 02/27/19 02/25/21 100.000 0.000 3.0431 57.31 0.088433 4.78 HSBC USA, Inc. 40435UJM7 03/18/19 03/24/21 100.000 0.000 3.0343 55.30 0.088227 7.32 HSBC USA, Inc. 40435UJQ8 04/02/19 04/04/22 100.000 0.000 2.5379 45.07 0.073226 0.074155 0.075096 26.69 6.98 HSBC USA, Inc. 40435UJV7 03/27/19 04/01/21 100.000 0.000 2.8607 51.32 0.082949 7.47 HSBC USA, Inc. 40435ULL6 04/03/19 04/09/21 100.000 0.000 2.8372 50.40 0.082252 8.06 HSBC USA, Inc. 40435UNY6 06/19/19 06/20/22 100.000 0.000 2.3706 36.80 0.068224 0.069033 0.069851 24.72 11.80 HSBC USA, Inc. 40436A347 02/28/19 02/24/23 100.000 0.000 3.2374 60.96 0.094331 0.095858 0.097410 0.098987 0.100589 34.63 35.76 HAMILTON OHIO CITY SCH D 407774GJ1 09/10/20 12/01/25 93.492 0.000 1.2920 3.73 0.033650 0.033868 0.034087 0.034307 0.034528 12.17 12.32 HENDERSON TEX INDPT SCH 425308NW9 11/12/20 08/15/22 98.865 0.000 0.6502 0.87 0.017855 0.017885 0.017943 0.018002 6.45 4.03 HENDERSON TEX INDPT SCH 425308NX7 11/12/20 08/15/23 97.956 0.000 0.7500 1.00 0.020409 0.020448 0.020525 0.020602 0.020679 7.37 7.42 HENDERSON TEX INDPT SCH 425308NY5 11/12/20 08/15/24 96.681 0.000 0.9000 1.18 0.024171 0.024228 0.024337 0.024446 0.024556 8.73 8.81 HENDERSON TEX INDPT SCH 425308NZ2 11/12/20 08/15/25 95.364 0.000 1.0000 1.30 0.026491 0.026559 0.026692 0.026825 0.026959 9.58 9.67 HENDERSON TEX INDPT SCH 425308PA5 11/12/20 08/15/26 92.809 0.000 1.3001 1.64 0.033517 0.033629 0.033848 0.034068 0.034289 12.13 12.28 City of Hoboken 434110QH8 08/28/03 04/01/27 19.107 0.000 7.1398 454.06 0.125703 0.130191 0.134838 0.139652 0.144637 46.88 50.29 City of Hoboken 434110QJ4 08/28/03 04/01/28 17.813 0.000 7.1397 423.30 0.117186 0.121369 0.125702 0.130189 0.134837 43.71 46.88 City of Hoboken 434110QK1 08/28/03 04/01/29 16.606 0.000 7.1397 394.62 0.109247 0.113147 0.117186 0.121370 0.125703 40.75 43.71 City of Hoboken 434110QL9 08/28/03 04/01/30 15.481 0.000 7.1397 367.89 0.101846 0.105482 0.109247 0.113147 0.117186 37.99 40.75 City of Hoboken 434110QM7 08/28/03 04/01/31 14.432 0.000 7.1398 342.96 0.094946 0.098336 0.101846 0.105482 0.109248 35.41 37.99 City of Hoboken 434110QN5 08/28/03 04/01/32 13.454 0.000 7.1398 319.73 0.088514 0.091674 0.094947 0.098336 0.101847 33.01 35.41 City of Hoboken 434110QP0 08/28/03 04/01/33 12.543 0.000 7.1397 298.07 0.082517 0.085463 0.088514 0.091673 0.094946 30.78 33.01 Hovnanian Enterprises 442488BL5 11/01/11 11/01/21 53.000 5.000 13.8062 403.13 0.214046 0.228822 66.87 Hovnanian Enterprises 442488BM3 11/01/11 11/01/21 42.000 2.000 12.1926 0.307082 0.322415 94.88 K. HOVNANIAN ENTERPRISES 442488CH3 02/01/18 02/01/40 48.820 5.000 11.3861 18.72 0.020470 0.021636 0.022867 0.024169 0.025545 7.94 8.87 HUTTO TEX INDPT SCH DIST 4484922U1 09/23/21 08/01/23 99.096 0.000 0.4900 0.013487 0.013511 0.013544 1.32 4.87 HUTTO TEX INDPT SCH DIST 4484922V9 09/23/21 08/01/24 97.885 0.000 0.7500 0.020392 0.020446 0.020523 2.00 7.37 HUTTO TEX INDPT SCH DIST 4484922W7 09/23/21 08/01/25 96.116 0.000 1.0300 0.027501 0.027602 0.027744 2.70 9.95 HUTTO TEX INDPT SCH DIST 4484922X5 09/23/21 08/01/26 94.447 0.000 1.1800 0.030958 0.031088 0.031271 3.03 11.22 HUTTO TEX INDPT SCH DIST 4484922Y3 09/23/21 08/01/27 92.155 0.000 1.4000 0.035839 0.036017 0.036269 3.51 13.00 ILLINOIS FIN AUTH EDL FA 452029AH4 11/01/18 11/01/23 94.876 6.010 7.2500 20.01 0.027819 0.028827 0.029872 0.030955 0.032077 10.32 11.08 Illinois Student Asst Co 452281JD1 10/27/10 04/25/23 95.305 VARIES N/A 0.006409 0.005348 0.002711 0.002062 0.000676 1.52 0.53 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ ITERUM THERAPEUTICS BERM 46565JAA6 09/08/20 01/31/25 76.873 6.500 12.0451 29.06 0.257207 0.269427 0.285654 0.302857 0.321097 99.09 111.28 ITERUM THERAPEUTICS BERM 46565JAC2 01/21/20 01/31/25 76.873 6.500 11.1575 83.24 0.252245 0.266318 0.281175 0.296861 0.313422 97.71 108.92 JP Morgan Chase & Co. 46625HME7 07/31/15 07/31/35 100.000 VARIES 4.4624 0.124348 0.125488 0.126653 0.127565 0.128496 45.32 46.04 JPMorgan Chase Financial 46647MMB6 07/11/17 07/11/24 103.000 0.250 3.1279 116.79 0.097548 0.098965 0.100404 0.101866 0.103350 35.86 36.91 JPMorgan Chase Financial 46647MNK5 09/27/17 09/27/23 100.000 0.000 2.9208 99.20 0.088506 0.089799 0.091110 0.092441 0.093790 32.34 33.29 JPMorgan Chase Financial 46647MRM7 04/25/18 04/25/23 100.000 0.000 3.6617 102.31 0.111372 0.113412 0.115488 0.117602 0.119756 40.73 42.24 JPMorgan Chase Financial 46647MSA2 06/20/18 06/20/23 100.000 0.000 3.7406 98.33 0.113991 0.116123 0.118295 0.120507 0.122761 41.47 43.03 JPMorgan Chase Financial 46647MSD6 08/03/18 07/30/21 100.000 0.000 3.3214 82.69 0.098516 0.100152 20.88 Jackson CNTYS SD#165, IL 466484FF4 06/28/07 12/01/21 41.157 0.000 6.2497 533.64 0.163241 0.168342 54.79 Jackson CNTYS SD#165, IL 466484FG2 06/28/07 12/01/22 38.700 0.000 6.2498 501.80 0.153500 0.158296 0.163243 0.168344 56.42 54.79 Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23 36.102 0.000 6.2997 473.55 0.145280 0.149856 0.154576 0.159445 0.164467 53.40 56.82 Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24 33.931 0.000 6.2996 445.07 0.136542 0.140843 0.145279 0.149855 0.154575 50.19 53.40 Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25 31.890 0.000 6.2997 418.30 0.128331 0.132373 0.136543 0.140844 0.145280 47.17 50.19 Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26 29.691 0.000 6.3498 393.97 0.121218 0.125066 0.129037 0.133134 0.137361 44.57 47.44 Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27 28.707 0.000 6.3500 380.90 0.117490 0.121221 0.125070 0.129041 0.133138 43.09 45.87 JACKSON PERRY & RANDOLPH 468687BT4 09/12/17 12/01/21 105.525 4.250 2.8378 97.80 0.079916 0.079375 26.28 JACKSON PERRY & RANDOLPH 468687BU1 09/12/17 12/01/22 104.761 4.250 3.2383 111.41 0.091702 0.091275 0.090842 0.090401 32.91 29.90 JARRELL TEX INDPT SCH DI 471146TP5 01/19/21 08/15/24 97.673 0.000 0.6602 0.017912 0.017920 0.017979 0.018039 0.018098 6.14 6.50 JARRELL TEX INDPT SCH DI 471146TQ3 01/19/21 08/15/25 96.591 0.000 0.7600 0.020392 0.020403 0.020481 0.020558 0.020637 6.99 7.41 JARRELL TEX INDPT SCH DI 471146TS9 01/19/21 08/15/27 93.165 0.000 1.0801 0.027952 0.027974 0.028125 0.028277 0.028430 9.59 10.19 JARRELL TEX INDPT SCH DI 471146TT7 01/19/21 08/15/28 90.653 0.000 1.3001 0.032739 0.032769 0.032982 0.033197 0.033413 11.24 11.97 Jefferies Group LLC 47233JAK4 02/28/17 02/28/24 100.000 VARIES 2.8488 10.06 0.007164 0.007266 0.007370 0.007475 0.007581 2.62 2.70 Jefferies Group LLC 47233JAL2 04/28/17 04/28/33 100.000 VARIES 5.1690 177.20 0.128115 0.127747 0.127772 0.127797 0.127823 46.03 46.01 Jefferies Group LLC 47233JAP3 05/31/17 05/31/34 100.000 VARIES 5.0961 173.35 0.129412 0.128950 0.128477 0.127991 0.128050 46.48 46.15 Jefferies Group LLC 47233JAQ1 06/30/17 06/30/37 100.000 VARIES 5.1829 168.43 0.124467 0.124043 0.123743 0.123552 0.123470 44.73 44.51 Jefferies Group LLC 47233JAT5 07/31/17 07/31/37 100.000 VARIES 5.3560 175.84 0.138552 0.137429 0.136557 0.135890 0.135420 49.38 48.87 Jefferies Group LLC 47233JAV0 08/31/17 08/31/37 100.000 VARIES 5.1572 164.74 0.130199 0.127786 0.125385 0.122849 0.120319 45.85 44.06 Jefferies Group LLC 47233JAX6 08/31/17 08/31/37 100.000 VARIES 5.1565 162.96 0.129425 0.128405 0.127621 0.126929 0.126476 46.19 45.68 Jefferies Group LLC 47233JAY4 09/29/17 09/30/37 100.000 VARIES 5.0451 157.27 0.126912 0.126345 0.125875 0.125510 0.125265 45.49 45.19 Jefferies Group LLC 47233JBB3 10/31/17 10/31/37 100.000 VARIES 5.1557 155.84 0.132042 0.131198 0.130480 0.129901 0.129477 47.29 46.81 Jefferies Group LLC 47233JBC1 10/31/17 10/31/37 100.000 VARIES 5.1265 156.72 0.133284 0.132503 0.131876 0.131416 0.131111 47.76 47.35 Jefferies Group LLC 47233JBE7 12/28/17 12/28/37 100.000 VARIES 4.3011 20.53 0.015535 0.014498 0.013440 0.012359 0.011255 5.40 4.64 Jefferies Group LLC 47233JBG2 01/31/18 01/31/38 100.000 VARIES 5.0271 139.96 0.128469 0.128782 0.129069 0.129345 0.129647 46.40 46.60 Jefferies Group LLC 47233JBJ6 02/28/18 02/28/38 100.000 VARIES 4.1737 10.45 0.007380 0.006272 0.006404 0.006536 0.006674 2.34 2.36 Jefferies Group LLC 47233JBK3 03/29/18 03/29/38 100.000 VARIES 5.3355 144.14 0.141702 0.140295 0.140491 0.140711 0.140964 50.65 50.66 Jefferies Group LLC 47233JBT4 03/21/19 03/21/31 100.000 VARIES 4.2780 10.42 0.013618 0.011988 0.012245 0.012507 0.012774 4.47 4.51 Jefferies Group LLC 47233JBV9 04/30/19 04/30/34 100.000 VARIES 5.1653 9.15 0.013749 0.012892 0.012014 0.011112 0.010188 4.69 4.05 Jefferies Group LLC 47233JBW7 05/31/19 05/31/39 100.000 VARIES 5.4586 6.39 0.009637 0.008779 0.007896 0.006990 0.006059 3.26 2.62 Jefferies Group LLC 47233JBY3 06/26/19 06/26/39 100.000 VARIES 5.4862 9.16 0.015016 0.014074 0.013107 0.012113 0.011091 5.23 4.53 Jefferies Group LLC 47233JCE6 08/30/19 08/31/39 100.000 VARIES 4.1514 54.77 0.111997 0.110260 0.108538 0.106730 0.104934 39.58 38.31 Jefferies Group LLC 47233JCR7 11/29/19 11/29/34 100.000 VARIES 4.1288 44.84 0.113681 0.113160 0.112629 0.112087 0.111534 40.80 40.41 Jefferies Group LLC 47233JDF2 05/29/20 05/28/32 100.000 VARIES 3.1824 4.78 0.021275 0.019744 0.018189 0.016608 0.016873 7.28 6.22 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Jefferies Group LLC 47233JDQ8 08/21/20 08/28/35 100.000 VARIES 3.6012 13.01 0.100102 0.099307 0.098594 0.097869 0.097130 35.71 35.18 Jefferies Group LLC 47233JEB0 10/30/20 10/31/40 100.000 VARIES 3.6781 6.23 0.102168 0.100471 0.098743 0.096983 0.095191 36.27 35.01 Jefferies Group LLC 47233JFH6 06/28/21 06/28/41 100.000 VARIES 3.7162 0.103228 0.102565 0.101890 0.100533 18.89 36.80 Jefferson CNTYS #521, IL 474070HR3 05/30/13 12/01/22 107.317 VARIES 2.8895 0.081596 0.081270 0.080939 0.080604 29.30 26.65 Jefferson CNTYS #521, IL 474070HS1 05/30/13 12/01/23 105.651 VARIES 3.0399 0.085908 0.085673 0.085434 0.085192 0.084946 30.87 30.70 Johnson CNTYS, IL 478167HJ1 07/03/14 10/01/21 105.766 VARIES 3.3404 0.093611 0.093203 25.20 Johnson CNTYS, IL 478167HK8 07/03/14 10/01/22 104.620 VARIES 3.5910 0.101007 0.100701 0.100389 0.100072 36.25 27.05 Johnson CNTYS, IL 478167HL6 07/03/14 10/01/23 103.105 VARIES 3.8407 0.107913 0.107718 0.107520 0.107318 0.107111 38.78 38.63 JOHNSON & UN CNTYS ILL C 478169AA3 07/19/17 12/01/27 100.000 5.700 5.6760 198.01 0.157882 0.157869 0.157856 0.157843 0.157829 56.83 56.83 JOSHUA TEX INDPT SCH DIS 481052UD8 09/17/20 08/15/24 96.406 0.000 0.9380 2.61 0.025119 0.025216 0.025334 0.025453 0.025572 9.09 9.17 JOSHUA TEX INDPT SCH DIS 481052UE6 09/17/20 08/15/25 95.042 0.000 1.0381 2.85 0.027406 0.027523 0.027666 0.027809 0.027954 9.92 10.02 JOSHUA TEX INDPT SCH DIS 481052UF3 09/17/20 08/15/26 92.615 0.000 1.3020 3.48 0.033497 0.033676 0.033896 0.034116 0.034338 12.15 12.30 JOSHUA TEX INDPT SCH DIS 481052UG1 09/17/20 08/15/27 90.795 0.000 1.4021 3.68 0.035362 0.035566 0.035815 0.036066 0.036319 12.83 13.01 JOURDANTON TEX INDPT SCH 481124FE0 11/19/20 02/15/22 99.260 0.000 0.6003 0.70 0.016553 0.016576 0.016626 5.97 0.73 JOURDANTON TEX INDPT SCH 481124FF7 11/19/20 02/15/23 98.447 0.000 0.7002 0.80 0.019149 0.019181 0.019248 0.019316 0.019383 6.91 6.96 JOURDANTON TEX INDPT SCH 481124FG5 11/19/20 02/15/24 96.976 0.000 0.9502 1.08 0.025597 0.025655 0.025777 0.025899 0.026022 9.25 9.34 JOURDANTON TEX INDPT SCH 481124FH3 11/19/20 02/15/25 95.255 0.000 1.1500 1.28 0.030429 0.030513 0.030688 0.030865 0.031042 11.00 11.13 JOURDANTON TEX INDPT SCH 481124FJ9 11/19/20 02/15/26 92.951 0.000 1.4001 1.52 0.036149 0.036270 0.036524 0.036779 0.037037 13.09 13.26 JOURDANTON TEX INDPT SCH 481124FK6 11/19/20 02/15/27 90.367 0.000 1.6300 1.72 0.040917 0.041076 0.041411 0.041748 0.042088 14.83 15.06 JOURDANTON TEX INDPT SCH 481124FL4 11/19/20 02/15/28 87.771 0.000 1.8099 1.85 0.044127 0.044318 0.044719 0.045124 0.045532 16.00 16.28 JOURDANTON TEX INDPT SCH 481124GA7 11/19/20 02/15/29 85.363 0.000 1.9300 1.92 0.045763 0.045974 0.046418 0.046866 0.047318 16.60 16.91 J2 Global, Inc. 48123VAC6 06/17/14 06/15/29* 100.000 VARIES 8.0003 0.309899 0.318685 66.11* JP Morgan Chase & Co. 48125UL59 08/17/15 02/18/21 100.000 1.000 2.8256 0.086131 4.05 JP Morgan Chase & Co. 48125UTG7 06/30/15 06/30/30 100.000 VARIES 4.4810 0.110815 0.110980 0.111148 0.111320 0.111758 39.92 40.04 JP Morgan Chase & Co. 48125UUL4 08/31/15 08/31/35 100.000 VARIES 4.2124 0.114824 0.115894 0.116986 0.118170 0.119379 41.79 42.62 JP Morgan Chase & Co. 48125UUT7 08/31/15 08/31/25 100.000 VARIES 2.5712 0.008028 0.007998 0.008235 0.008205 0.008448 2.95 3.03 JP Morgan Chase & Co. 48125UY71 09/18/15 09/18/30 100.000 VARIES 2.6025 0.011230 0.011136 0.011040 0.011183 0.011329 4.01 4.03 JP Morgan Chase & Co. 48125XKB1 03/30/11 03/30/21 100.000 VARIES 5.0718 0.141613 12.60 JP Morgan Chase & Co. 48125XKM7 04/08/11 04/08/22 100.000 VARIES 5.1602 0.144722 0.144259 0.143805 51.94 13.95 JP Morgan Chase & Co. 48125XTB2 06/15/11 06/15/23 100.000 VARIES 5.0712 0.142471 0.142137 0.141821 0.141496 0.141186 51.22 50.99 JP Morgan Chase & Co. 48126D3X5 05/31/13 05/31/23 100.000 VARIES 3.5785 0.108341 0.109148 0.110056 0.110981 0.111922 39.20 39.84 JP Morgan Chase & Co. 48126DJ91 04/30/13 04/28/23 100.000 VARIES 3.1390 0.094128 0.094759 0.095473 0.096197 0.096933 34.08 34.59 JP Morgan Chase & Co. 48126DQL6 01/31/13 01/31/23 100.000 VARIES 3.1823 0.094265 0.094860 0.095494 0.096138 0.097667 34.23 34.82 JP Morgan Chase & Co. 48126DS59 04/30/13 04/30/28 100.000 VARIES 3.8928 0.095641 0.095935 0.096525 0.097127 0.097741 34.54 34.93 JP Morgan Chase & Co. 48126DV89 05/17/13 05/17/28 100.000 VARIES 3.8747 0.095123 0.095592 0.096269 0.096959 0.097662 34.38 34.84 JP Morgan Chase & Co. 48126DVG1 02/28/13 02/28/23 100.000 VARIES 3.2856 0.096996 0.096038 0.098324 0.097415 0.099784 35.39 35.90 JP Morgan Chase & Co. 48126DZQ5 03/28/13 03/31/23 100.000 VARIES 3.3453 0.101192 0.101946 0.102750 0.103569 0.104439 36.71 37.29 JP Morgan Chase & Co. 48126N5L7 03/28/14 03/28/29 100.000 VARIES 4.4199 0.115329 0.115432 0.115537 0.115645 0.115929 41.56 41.65 JP Morgan Chase & Co. 48126NCW5 06/28/13 06/30/23 100.000 VARIES 4.3049 0.130987 0.132132 0.133421 0.134738 0.136083 47.36 48.27 JP Morgan Chase & Co. 48126NHJ9 07/31/13 07/31/23 100.000 VARIES 3.9757 0.119929 0.120957 0.122005 0.123194 0.124406 43.67 44.50 JP Morgan Chase & Co. 48126NMH7 08/30/13 08/31/23 100.000 VARIES 4.2968 0.128498 0.127516 0.130786 0.129939 0.133428 47.00 47.91 JP Morgan Chase & Co. 48126NSZ1 10/31/13 10/31/28 100.000 VARIES 4.4385 0.114344 0.114866 0.115399 0.116072 0.116760 41.32 41.75 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP Morgan Chase & Co. 48126NTC1 11/20/13 11/20/28 100.000 VARIES 4.6982 0.121176 0.121799 0.122436 0.123213 0.124009 43.79 44.28 JP Morgan Chase & Co. 48126NU96 01/24/14 01/26/21 100.000 0.000 3.3005 0.113440 2.84 JP Morgan Chase & Co. 48126NWV5 10/31/13 10/31/23 100.000 VARIES 3.8580 0.115267 0.116146 0.117041 0.118039 0.119055 41.76 42.44 JP Morgan Chase & Co. 48127A351 12/26/13 06/24/21 100.000 0.000 3.6699 0.131470 22.74 JP Morgan Chase & Co. 48127F731 04/30/14 04/30/24 100.000 0.000 3.8108 0.135295 0.137873 0.140500 0.143177 0.145905 49.49 51.39 JP Morgan Chase & Co. 48128GF88 05/24/17 05/24/27 100.000 VARIES 2.5870 12.78 0.009426 0.009548 0.009671 0.009796 0.009923 3.42 3.51 JPMorgan Chase Financial 48128GJ27 08/31/17 08/31/27 100.000 VARIES 2.4049 8.89 0.006747 0.006827 0.006910 0.006992 0.007077 2.46 2.52 JP Morgan Chase & Co. 48128GYQ7 11/27/18 11/27/68 12.184 0.000 4.2547 11.24 0.015665 0.015998 0.016338 0.016686 0.017041 5.72 5.97 JP Morgan Chase & Co. 48128GYU8 12/19/18 11/10/36 47.489 0.000 4.2056 41.98 0.060023 0.061285 0.062574 0.063890 0.065233 21.97 22.90 JP Morgan Chase & Co. 48128GYV6 12/20/18 12/20/28 100.000 VARIES 3.6202 11.13 0.012617 0.012845 0.013078 0.013314 0.013555 4.59 4.76 JPMorgan Chase Financial 48129M3J3 06/27/18 06/26/25 100.000 0.000 3.9304 102.68 0.120323 0.122687 0.125098 0.127557 0.130064 43.77 45.50 JPMorgan Chase Financial 48129M7C4 07/31/18 07/31/25 100.000 0.000 3.8909 97.75 0.116738 0.119010 0.121325 0.123685 0.126091 43.13 44.82 JPMorgan Chase Financial 48129MBS4 03/29/18 04/01/25 100.000 0.000 2.5507 72.36 0.075498 0.076460 0.077436 0.078423 0.079423 27.53 28.23 JPMorgan Chase Financial 48129ME93 07/31/18 07/31/25 100.000 0.000 3.8909 97.75 0.116738 0.119010 0.121325 0.123685 0.126091 43.13 44.82 JPMorgan Chase Financial 48129MEQ5 03/28/18 03/26/21 100.000 0.000 2.5513 72.45 0.075495 6.42 JPMorgan Chase Financial 48129MF27 07/31/18 07/31/25 100.000 0.000 3.8909 97.75 0.116738 0.119010 0.121325 0.123685 0.126091 43.13 44.82 JPMorgan Chase Financial 48129MF84 07/31/18 07/31/25 100.000 0.000 3.8909 97.75 0.116738 0.119010 0.121325 0.123685 0.126091 43.13 44.82 JPMorgan Chase Financial 48129MG42 08/03/18 07/31/23 100.000 0.000 3.6608 91.44 0.109310 0.111311 0.113348 0.115423 0.117535 40.32 41.81 JPMorgan Chase Financial 48129MG59 08/03/18 07/30/21 100.000 0.000 3.3214 82.69 0.098516 0.100152 20.88 JPMorgan Chase Financial 48129MH25 08/03/18 07/31/23 100.000 0.000 3.6608 91.44 0.109310 0.111311 0.113348 0.115423 0.117535 40.32 41.81 JPMorgan Chase Financial 48129MKH8 04/30/18 04/30/25 100.000 0.000 3.9714 110.73 0.121713 0.124130 0.126594 0.129108 0.131672 44.55 46.34 JPMorgan Chase Financial 48129MKJ4 04/30/18 04/30/25 100.000 0.000 3.9714 110.73 0.121713 0.124130 0.126594 0.129108 0.131672 44.55 46.34 JPMorgan Chase Financial 48129MKK1 04/30/18 04/30/25 100.000 0.000 3.9714 110.73 0.121713 0.124130 0.126594 0.129108 0.131672 44.55 46.34 JPMorgan Chase Financial 48129MKS4 05/03/18 04/30/21 100.000 0.000 3.3521 92.53 0.101157 12.04 JPMorgan Chase Financial 48129MM60 07/25/18 07/25/23 100.000 0.000 3.6610 92.31 0.109348 0.111350 0.113388 0.115464 0.117577 40.36 41.85 JPMorgan Chase Financial 48129MPK6 05/31/18 05/30/25 100.000 0.000 3.9611 106.79 0.121367 0.123770 0.126222 0.128722 0.131271 44.28 46.05 JPMorgan Chase Financial 48129MQ74 07/30/18 07/28/23 100.000 0.000 3.6712 92.03 0.109653 0.111666 0.113715 0.115803 0.117928 40.46 41.96 JPMorgan Chase Financial 48129MQS8 05/31/18 05/30/25 100.000 0.000 3.9611 106.79 0.121367 0.123770 0.126222 0.128722 0.131271 44.28 46.05 JPMorgan Chase Financial 48129MSR8 06/04/18 06/02/23 100.000 0.000 3.7008 99.05 0.112646 0.114731 0.116854 0.119016 0.121218 41.05 42.58 JPMorgan Chase Financial 48129MX92 09/06/18 08/31/23 100.000 0.000 3.7714 90.58 0.112820 0.114924 0.117115 0.119299 0.121574 41.52 43.10 JPMorgan Chase Financial 48129MXY7 07/05/18 06/30/23 100.000 0.000 3.6903 95.29 0.112264 0.114336 0.116446 0.118594 0.120782 40.79 42.31 JPMorgan Chase Financial 48129MXZ4 07/05/18 06/30/21 100.000 0.000 3.3201 85.41 0.100094 17.92 JPMorgan Chase Financial 48129MY34 09/06/18 08/31/23 100.000 0.000 3.7714 90.58 0.112820 0.114924 0.117115 0.119299 0.121574 41.52 43.10 JPMorgan Chase Financial 48129MZX7 06/28/18 06/30/25 100.000 0.000 3.9300 102.55 0.120348 0.122713 0.125124 0.127583 0.130090 43.76 45.49 JUDSON TEX INDPT SCH DIS 481305KS8 12/17/20 02/01/38 60.454 0.000 2.9608 0.70 0.049720 0.049900 0.050639 0.051389 0.052149 18.07 18.59 JUDSON TEX INDPT SCH DIS 481305KT6 12/17/20 02/01/39 57.665 0.000 3.0607 0.69 0.049026 0.049210 0.049963 0.050727 0.051504 17.82 18.36 JPMorgan Chase Financial 48130U2L8 11/05/18 10/29/21 100.000 0.000 3.5020 77.75 0.104211 0.106036 31.38 JPMorgan Chase Financial 48130U2M6 10/31/18 10/29/21 100.000 0.000 3.5120 78.49 0.104582 0.106418 31.50 JP Morgan Chase & Co. 48130U2N4 10/31/18 10/31/25 100.000 0.000 4.1115 92.36 0.123893 0.126440 0.129039 0.131692 0.134399 45.37 47.26 JPMorgan Chase Financial 48130U2R5 10/31/18 10/31/25 100.000 0.000 4.1115 92.36 0.123893 0.126440 0.129039 0.131692 0.134399 45.37 47.26 JPMorgan Chase Financial 48130U4B8 11/05/18 10/29/21 100.000 0.000 3.5020 77.75 0.104211 0.106036 31.38 JPMorgan Chase Financial 48130U4D4 11/05/18 10/31/23 100.000 0.000 3.8416 85.53 0.115089 0.117300 0.119553 0.121850 0.124190 42.10 43.74 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48130U4E2 11/05/18 10/31/23 100.000 0.000 3.8416 85.53 0.115089 0.117300 0.119553 0.121850 0.124190 42.10 43.74 JPMorgan Chase Financial 48130U4F9 11/05/18 10/31/23 100.000 0.000 3.8416 85.53 0.115089 0.117300 0.119553 0.121850 0.124190 42.10 43.74 JPMorgan Chase Financial 48130U4G7 11/05/18 10/31/23 100.000 0.000 3.8416 85.53 0.115089 0.117300 0.119553 0.121850 0.124190 42.10 43.74 JPMorgan Chase Financial 48130U4H5 11/05/18 10/31/23 100.000 0.000 3.8416 85.53 0.115089 0.117300 0.119553 0.121850 0.124190 42.10 43.74 JPMorgan Chase Financial 48130U4J1 11/05/18 10/31/23 100.000 0.000 3.8416 85.53 0.115089 0.117300 0.119553 0.121850 0.124190 42.10 43.74 JPMorgan Chase Financial 48130U4K8 10/10/18 10/10/23 100.000 0.000 3.8717 89.12 0.116120 0.118368 0.120660 0.122995 0.125376 42.58 44.24 JPMorgan Chase Financial 48130U5P6 10/11/18 10/12/23 100.000 0.000 3.8719 89.01 0.116138 0.118386 0.120678 0.123014 0.125396 42.57 44.24 JPMorgan Chase Financial 48130UAC9 09/06/18 08/31/23 100.000 0.000 3.7714 90.58 0.112820 0.114924 0.117115 0.119299 0.121574 41.52 43.10 JPMorgan Chase Financial 48130UAD7 08/31/18 08/29/25 100.000 0.000 4.0210 97.51 0.120939 0.123357 0.125851 0.128367 0.130963 44.58 46.39 JPMorgan Chase Financial 48130UAE5 08/31/18 08/29/25 100.000 0.000 4.0210 97.51 0.120939 0.123357 0.125851 0.128367 0.130963 44.58 46.39 JPMorgan Chase Financial 48130UAG0 08/31/18 08/29/25 100.000 0.000 4.0210 97.51 0.120939 0.123357 0.125851 0.128367 0.130963 44.58 46.39 JPMorgan Chase Financial 48130UAQ8 09/06/18 09/03/21 100.000 0.000 3.4020 81.42 0.101066 0.102785 24.77 JPMorgan Chase Financial 48130UAT2 09/06/18 09/03/21 100.000 0.000 3.4020 81.42 0.101066 0.102785 24.77 JPMorgan Chase Financial 48130UD44 10/19/18 10/21/25 100.000 0.000 4.1114 93.72 0.123920 0.126467 0.129067 0.131720 0.134428 45.43 47.32 JPMorgan Chase Financial 48130UDH5 08/30/18 09/01/21 100.000 0.000 3.4016 82.02 0.101091 0.102811 24.57 JPMorgan Chase Financial 48130UE92 10/31/18 10/31/22 100.000 0.000 3.6920 82.64 0.110339 0.112376 0.114450 0.116563 40.34 34.60 JPMorgan Chase Financial 48130UEW1 09/28/18 09/30/21 100.000 0.000 3.5126 81.85 0.104629 0.106466 28.48 JPMorgan Chase Financial 48130UHC2 10/03/18 09/29/23 100.000 0.000 3.8721 89.94 0.116083 0.118330 0.120621 0.122956 0.125337 42.61 44.28 JPMorgan Chase Financial 48130UHE8 09/28/18 09/30/25 100.000 0.000 4.1116 96.33 0.123923 0.126471 0.129071 0.131724 0.134432 45.54 47.43 JPMorgan Chase Financial 48130UHF5 09/28/18 09/30/25 100.000 0.000 4.1116 96.33 0.123923 0.126471 0.129071 0.131724 0.134432 45.54 47.43 JPMorgan Chase Financial 48130UHG3 09/28/18 09/30/25 100.000 0.000 4.1116 96.33 0.123923 0.126471 0.129071 0.131724 0.134432 45.54 47.43 JPMorgan Chase Financial 48130UHK4 10/03/18 10/05/21 100.000 0.000 3.5126 81.33 0.104629 0.106466 29.00 JPMorgan Chase Financial 48130UHX6 10/03/18 09/29/23 100.000 0.000 3.8721 89.94 0.116083 0.118330 0.120621 0.122956 0.125337 42.61 44.28 JPMorgan Chase Financial 48130UHY4 10/03/18 09/29/23 100.000 0.000 3.8721 89.94 0.116083 0.118330 0.120621 0.122956 0.125337 42.61 44.28 JPMorgan Chase Financial 48130UHZ1 10/03/18 09/30/21 100.000 0.000 3.5124 81.33 0.104574 0.106411 28.46 JPMorgan Chase Financial 48130UJ97 10/25/18 10/27/25 100.000 0.000 4.1113 92.98 0.123916 0.126464 0.129063 0.131716 0.134424 45.40 47.28 JPMorgan Chase Financial 48130UK46 10/25/18 10/27/21 100.000 0.000 3.5123 79.02 0.104619 0.106456 31.30 JPMorgan Chase Financial 48130UMA0 09/27/18 09/28/23 100.000 0.000 3.8719 90.63 0.116138 0.118386 0.120678 0.123014 0.125396 42.64 44.30 JPMorgan Chase Financial 48130UNK7 10/31/18 10/29/21 100.000 0.000 3.5120 78.49 0.104582 0.106418 31.50 JPMorgan Chase Financial 48130UR80 11/30/18 11/30/21 100.000 0.000 3.5314 75.78 0.105208 0.107066 34.95 JPMorgan Chase Financial 48130URX5 08/21/19 08/23/21 100.000 0.000 2.4317 33.46 0.069209 0.070051 16.21 JPMorgan Chase Financial 48130US63 11/30/18 11/30/21 100.000 0.000 3.5314 75.78 0.105208 0.107066 34.95 JPMorgan Chase Financial 48130USG1 10/09/19 04/09/21 100.000 0.000 2.2115 27.39 0.062795 6.15 JPMorgan Chase Financial 48130USL0 10/30/19 04/30/21 100.000 0.000 2.0215 23.81 0.057294 6.82 JPMorgan Chase Financial 48130UTP0 02/28/20 02/26/27 100.000 0.000 2.6405 22.34 0.074304 0.075285 0.076279 0.077286 0.078307 27.17 27.90 JP Morgan Chase & Co. 48130UU29 11/30/18 11/28/25 100.000 0.000 4.1207 88.85 0.124164 0.126722 0.129333 0.131998 0.134718 45.33 47.22 JPMorgan Chase Financial 48130UZ57 12/05/18 11/30/21 100.000 0.000 3.5313 75.26 0.105153 0.107010 34.93 JPMorgan Chase Financial 48130UZ65 12/05/18 11/30/23 100.000 0.000 3.8710 82.72 0.116037 0.118283 0.120572 0.122906 0.125284 42.32 43.97 JPMorgan Chase Financial 48130UZ73 12/05/18 11/30/23 100.000 0.000 3.8710 82.72 0.116037 0.118283 0.120572 0.122906 0.125284 42.32 43.97 JPMorgan Chase Financial 48130UZ81 12/05/18 11/30/23 100.000 0.000 3.8710 82.72 0.116037 0.118283 0.120572 0.122906 0.125284 42.32 43.97 JPMorgan Chase Financial 48130UZ99 12/05/18 11/30/23 100.000 0.000 3.8710 82.72 0.116037 0.118283 0.120572 0.122906 0.125284 42.32 43.97 JPMorgan Chase Financial 48130W2J9 03/12/19 07/12/22 100.000 0.000 3.0703 56.50 0.088824 0.090187 0.091572 0.092977 32.69 17.74 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48130W4H1 03/29/19 09/30/21 100.000 0.000 2.6618 47.54 0.076937 0.077961 20.88 JPMorgan Chase Financial 48130W4J7 03/29/19 03/31/22 100.000 0.000 2.6812 47.89 0.077518 0.078557 0.079610 28.28 7.09 JPMorgan Chase Financial 48130W4K4 03/29/19 03/31/26 100.000 0.000 3.2713 58.65 0.095411 0.096972 0.098558 0.100170 0.101808 34.92 36.07 JPMorgan Chase Financial 48130W4L2 03/29/19 03/31/26 100.000 0.000 3.2713 58.65 0.095411 0.096972 0.098558 0.100170 0.101808 34.92 36.07 JPMorgan Chase Financial 48130W4V0 04/03/19 03/31/21 100.000 0.000 2.6320 46.69 0.076019 6.77 JPMorgan Chase Financial 48130W5D9 03/18/19 03/18/26 100.000 0.000 3.5710 65.30 0.104604 0.106472 0.108373 0.110308 0.112277 38.38 39.76 JPMorgan Chase Financial 48130W5H0 04/03/19 03/31/22 100.000 0.000 2.6818 47.59 0.077514 0.078553 0.079606 28.28 7.08 JPMorgan Chase Financial 48130W5K3 04/03/19 03/31/22 100.000 0.000 2.6818 47.59 0.077514 0.078553 0.079606 28.28 7.08 JPMorgan Chase Financial 48130W5N7 04/03/19 03/28/24 100.000 0.000 3.0015 53.38 0.087150 0.088458 0.089785 0.091132 0.092500 31.85 32.82 JPMorgan Chase Financial 48130W5P2 04/03/19 03/28/24 100.000 0.000 3.0015 53.38 0.087150 0.088458 0.089785 0.091132 0.092500 31.85 32.82 JPMorgan Chase Financial 48130W5S6 04/03/19 03/28/24 100.000 0.000 3.0015 53.38 0.087150 0.088458 0.089785 0.091132 0.092500 31.85 32.82 JPMorgan Chase Financial 48130W5T4 03/29/19 03/31/22 100.000 0.000 2.6812 47.89 0.077518 0.078557 0.079610 28.28 7.09 JP Morgan Chase & Co. 48130W5U1 03/29/19 03/31/26 100.000 0.000 3.2713 58.65 0.095411 0.096972 0.098558 0.100170 0.101808 34.92 36.07 JPMorgan Chase Financial 48130W5W7 04/03/19 03/28/24 100.000 0.000 3.0015 53.38 0.087150 0.088458 0.089785 0.091132 0.092500 31.85 32.82 JPMorgan Chase Financial 48130W6A4 04/03/19 03/28/24 100.000 0.000 3.0015 53.38 0.087150 0.088458 0.089785 0.091132 0.092500 31.85 32.82 JPMorgan Chase Financial 48130W6C0 04/03/19 03/28/24 100.000 0.000 3.0015 53.38 0.087150 0.088458 0.089785 0.091132 0.092500 31.85 32.82 JPMorgan Chase Financial 48130W7F2 04/03/19 03/31/21 100.000 0.000 2.6320 46.69 0.076019 6.77 JPMorgan Chase Financial 48130W7M7 04/03/19 12/31/21 100.000 0.000 2.6703 47.38 0.077684 0.078721 28.08 JPMorgan Chase Financial 48130WAB7 12/05/18 11/30/23 100.000 0.000 3.8710 82.72 0.116037 0.118283 0.120572 0.122906 0.125284 42.32 43.97 JPMorgan Chase Financial 48130WAC5 12/05/18 11/30/23 100.000 0.000 3.8710 82.72 0.116037 0.118283 0.120572 0.122906 0.125284 42.32 43.97 JPMorgan Chase Financial 48130WAJ0 12/05/18 11/30/21 100.000 0.000 3.5313 75.26 0.105153 0.107010 34.93 JPMorgan Chase Financial 48130WC58 02/05/19 01/29/21 100.000 0.000 2.9715 57.84 0.086234 2.41 JPMorgan Chase Financial 48130WEC1 11/26/18 11/26/21 100.000 0.000 3.0209 64.92 0.089101 0.090447 29.20 JPMorgan Chase Financial 48130WEF4 11/27/18 11/26/21 100.000 0.000 2.6812 57.38 0.078546 0.079599 25.72 JPMorgan Chase Financial 48130WFN6 12/31/18 12/31/21 100.000 0.000 3.4798 71.54 0.103564 0.105366 37.50 JPMorgan Chase Financial 48130WGM7 01/02/19 12/31/21 100.000 0.000 3.4801 71.34 0.103555 0.105357 37.50 JPMorgan Chase Financial 48130WGV7 12/31/18 06/30/21 100.000 0.000 3.4400 70.70 0.102302 18.31 JPMorgan Chase Financial 48130WGX3 01/02/19 12/31/21 100.000 0.000 3.5300 72.39 0.105143 0.106999 38.08 JPMorgan Chase Financial 48130WGY1 01/02/19 12/29/23 100.000 0.000 3.8699 79.56 0.116026 0.118271 0.120559 0.122892 0.125270 42.18 43.83 JPMorgan Chase Financial 48130WGZ8 01/02/19 12/29/23 100.000 0.000 3.8699 79.56 0.116026 0.118271 0.120559 0.122892 0.125270 42.18 43.83 JPMorgan Chase Financial 48130WHA2 01/02/19 12/29/23 100.000 0.000 3.8699 79.56 0.116026 0.118271 0.120559 0.122892 0.125270 42.18 43.83 JPMorgan Chase Financial 48130WHB0 01/02/19 12/29/23 100.000 0.000 3.8699 79.56 0.116026 0.118271 0.120559 0.122892 0.125270 42.18 43.83 JPMorgan Chase Financial 48130WHM6 01/02/19 12/29/23 100.000 0.000 3.8699 79.56 0.116026 0.118271 0.120559 0.122892 0.125270 42.18 43.83 JPMorgan Chase Financial 48130WHN4 01/02/19 12/29/23 100.000 0.000 3.8699 79.56 0.116026 0.118271 0.120559 0.122892 0.125270 42.18 43.83 JPMorgan Chase Financial 48130WJW2 12/19/18 12/19/23 100.000 0.000 3.8702 81.07 0.116071 0.118317 0.120607 0.122941 0.125320 42.24 43.90 JPMorgan Chase Financial 48130WLN9 12/24/18 12/22/23 100.000 0.000 3.8705 80.50 0.116055 0.118301 0.120591 0.122924 0.125303 42.22 43.88 JPMorgan Chase Financial 48130WMQ1 12/31/18 12/29/23 100.000 0.000 3.8703 79.80 0.116063 0.118309 0.120599 0.122933 0.125312 42.20 43.85 JP Morgan Chase & Co. 48130WND9 01/31/19 02/02/26 100.000 0.000 3.7407 73.76 0.109871 0.111926 0.114019 0.116152 0.118324 40.54 42.07 JPMorgan Chase Financial 48130WNE7 01/31/19 02/02/22 100.000 0.000 3.1416 61.68 0.091461 0.092897 0.094357 33.62 2.93 JPMorgan Chase Financial 48130WNF4 02/05/19 01/31/24 100.000 0.000 3.4409 67.20 0.100553 0.102283 0.104043 0.105833 0.107654 37.04 38.32 JPMorgan Chase Financial 48130WNG2 01/31/19 01/30/26 100.000 0.000 3.7407 73.75 0.109848 0.111902 0.113995 0.116127 0.118299 40.54 42.07 JPMorgan Chase Financial 48130WNH0 01/31/19 01/30/26 100.000 0.000 3.7407 73.75 0.109848 0.111902 0.113995 0.116127 0.118299 40.54 42.07 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48130WNV9 01/31/19 07/30/21 100.000 0.000 3.0917 60.68 0.089926 0.091316 19.04 JPMorgan Chase Financial 48130WNW7 01/31/19 01/31/22 100.000 0.000 3.1417 61.68 0.091446 0.092883 0.094342 33.62 2.74 JPMorgan Chase Financial 48130WPX3 02/05/19 01/29/21 100.000 0.000 3.0212 58.82 0.087739 2.46 JPMorgan Chase Financial 48130WPY1 02/05/19 01/31/22 100.000 0.000 3.1213 60.82 0.090786 0.092203 0.093642 33.37 2.72 JPMorgan Chase Financial 48130WPZ8 02/05/19 01/31/24 100.000 0.000 3.4409 67.20 0.100553 0.102283 0.104043 0.105833 0.107654 37.04 38.32 JPMorgan Chase Financial 48130WQA2 02/05/19 01/31/24 100.000 0.000 3.4409 67.20 0.100553 0.102283 0.104043 0.105833 0.107654 37.04 38.32 JPMorgan Chase Financial 48130WQB0 02/05/19 01/31/24 100.000 0.000 3.4409 67.20 0.100553 0.102283 0.104043 0.105833 0.107654 37.04 38.32 JPMorgan Chase Financial 48130WQC8 02/05/19 01/31/24 100.000 0.000 3.4409 67.20 0.100553 0.102283 0.104043 0.105833 0.107654 37.04 38.32 JPMorgan Chase Financial 48130WQD6 02/05/19 01/31/24 100.000 0.000 3.4409 67.20 0.100553 0.102283 0.104043 0.105833 0.107654 37.04 38.32 JPMorgan Chase Financial 48130WQE4 02/05/19 01/31/24 100.000 0.000 3.4409 67.20 0.100553 0.102283 0.104043 0.105833 0.107654 37.04 38.32 JPMorgan Chase Financial 48130WQZ7 02/05/19 01/31/22 100.000 0.000 3.1213 60.82 0.090786 0.092203 0.093642 33.37 2.72 JPMorgan Chase Financial 48130WR29 04/30/19 10/29/21 100.000 0.000 2.6617 45.15 0.076923 0.077946 23.11 JPMorgan Chase Financial 48130WR37 04/30/19 04/29/22 100.000 0.000 2.6815 45.49 0.077516 0.078556 0.079609 28.22 9.39 JPMorgan Chase Financial 48130WR78 04/30/19 04/30/26 100.000 0.000 3.2709 55.69 0.095390 0.096950 0.098535 0.100147 0.101785 34.81 35.96 JPMorgan Chase Financial 48130WR86 04/30/19 04/30/26 100.000 0.000 3.2709 55.69 0.095390 0.096950 0.098535 0.100147 0.101785 34.81 35.96 JPMorgan Chase Financial 48130WR94 04/30/19 10/31/22 100.000 0.000 2.8813 48.94 0.083545 0.084749 0.085970 0.087208 30.44 25.93 JPMorgan Chase Financial 48130WRE3 01/10/19 07/12/21 100.000 0.000 3.0405 61.42 0.088383 0.089726 17.12 JPMorgan Chase Financial 48130WS28 04/30/19 04/30/24 100.000 0.000 3.1311 53.26 0.091125 0.092552 0.094001 0.095473 0.096967 33.24 34.29 JPMorgan Chase Financial 48130WS44 04/30/19 04/30/26 100.000 0.000 3.4011 57.95 0.099377 0.101067 0.102786 0.104534 0.106312 36.29 37.53 JPMorgan Chase Financial 48130WT50 05/03/19 04/30/24 100.000 0.000 3.1311 52.99 0.091102 0.092528 0.093977 0.095448 0.096943 33.23 34.28 JPMorgan Chase Financial 48130WTC5 02/11/19 02/09/24 100.000 0.000 3.8413 74.55 0.112945 0.115115 0.117326 0.119579 0.121876 41.67 43.29 JPMorgan Chase Financial 48130WTS0 02/04/19 02/04/21 100.000 0.000 3.0218 58.92 0.087802 2.90 JPMorgan Chase Financial 48130WU82 05/03/19 04/30/21 100.000 0.000 2.7121 45.79 0.078425 9.33 JPMorgan Chase Financial 48130WV24 05/03/19 01/31/22 100.000 0.000 2.7705 46.80 0.079635 0.080738 0.081856 29.20 2.37 JPMorgan Chase Financial 48130WV32 05/03/19 04/29/22 100.000 0.000 2.8015 47.32 0.081111 0.082247 0.083399 29.55 9.84 JPMorgan Chase Financial 48130WV40 05/03/19 04/29/22 100.000 0.000 2.8015 47.32 0.081111 0.082247 0.083399 29.55 9.84 JPMorgan Chase Financial 48130WV57 05/03/19 04/30/24 100.000 0.000 3.1311 52.99 0.091102 0.092528 0.093977 0.095448 0.096943 33.23 34.28 JPMorgan Chase Financial 48130WV65 05/03/19 04/30/24 100.000 0.000 3.1311 52.99 0.091102 0.092528 0.093977 0.095448 0.096943 33.23 34.28 JPMorgan Chase Financial 48130WV73 04/18/19 04/20/26 100.000 0.000 3.2710 56.84 0.095411 0.096972 0.098558 0.100170 0.101808 34.85 36.00 JPMorgan Chase Financial 48130WVJ7 02/28/19 08/31/21 100.000 0.000 2.9420 55.28 0.085397 0.086639 20.64 JPMorgan Chase Financial 48130WVN8 02/28/19 02/28/22 100.000 0.000 2.9919 56.24 0.086893 0.088193 0.089512 31.84 5.10 JPMorgan Chase Financial 48130WXE6 02/28/19 05/31/22 100.000 0.000 3.0304 57.00 0.088743 0.090088 0.091452 32.27 13.63 JPMorgan Chase Financial 48130WXF3 02/28/19 02/27/26 100.000 0.000 3.5711 67.40 0.104595 0.106463 0.108364 0.110299 0.112268 38.46 39.84 JPMorgan Chase Financial 48130WXP1 03/05/19 02/29/24 100.000 0.000 3.2313 60.18 0.094130 0.095642 0.097196 0.098757 0.100362 34.53 35.66 JPMorgan Chase Financial 48130WXQ9 03/05/19 02/29/24 100.000 0.000 3.2313 60.18 0.094130 0.095642 0.097196 0.098757 0.100362 34.53 35.66 JPMorgan Chase Financial 48130WXR7 03/05/19 02/29/24 100.000 0.000 3.2313 60.18 0.094130 0.095642 0.097196 0.098757 0.100362 34.53 35.66 JPMorgan Chase Financial 48130WXS5 03/05/19 02/29/24 100.000 0.000 3.2313 60.18 0.094130 0.095642 0.097196 0.098757 0.100362 34.53 35.66 JPMorgan Chase Financial 48130WXT3 03/05/19 02/28/22 100.000 0.000 2.9917 55.63 0.086840 0.088139 0.089457 31.82 5.10 JPMorgan Chase Financial 48130WXU0 03/05/19 02/29/24 100.000 0.000 3.3109 61.70 0.096562 0.098151 0.099785 0.101428 0.103116 35.44 36.63 JPMorgan Chase Financial 48130WXV8 03/05/19 02/29/24 100.000 0.000 3.3109 61.70 0.096562 0.098151 0.099785 0.101428 0.103116 35.44 36.63 JPMorgan Chase Financial 48130WXX4 03/05/19 02/26/21 100.000 0.000 2.8919 53.74 0.083806 4.61 JPMorgan Chase Financial 48130WXZ9 03/05/19 02/29/24 100.000 0.000 3.3109 61.70 0.096562 0.098151 0.099785 0.101428 0.103116 35.44 36.63 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48130WYG0 02/28/19 02/27/26 100.000 0.000 3.7408 70.68 0.109841 0.111895 0.113988 0.116120 0.118292 40.43 41.95 JPMorgan Chase Financial 48130WYH8 02/28/19 02/27/26 100.000 0.000 3.7408 70.68 0.109841 0.111895 0.113988 0.116120 0.118292 40.43 41.95 JPMorgan Chase Financial 48130WYK1 02/19/19 02/19/26 100.000 0.000 3.6910 70.69 0.108309 0.110308 0.112344 0.114417 0.116528 39.88 41.37 JPMorgan Chase Financial 48130WYN5 03/05/19 03/04/21 100.000 0.000 2.8919 53.74 0.083858 5.28 JPMorgan Chase Financial 48130WYT2 03/05/19 02/28/22 100.000 0.000 2.9917 55.63 0.086840 0.088139 0.089457 31.82 5.10 JPMorgan Chase Financial 48130WZ20 05/03/19 04/30/21 100.000 0.000 2.7121 45.79 0.078425 9.33 JPMorgan Chase Financial 48130WZJ3 02/21/19 02/21/24 100.000 0.000 3.4413 65.59 0.100613 0.102344 0.104105 0.105896 0.107718 36.99 38.27 JPMorgan Chase Financial 48130WZZ7 02/25/19 02/25/26 100.000 0.000 3.6909 70.04 0.108305 0.110304 0.112340 0.114413 0.116524 39.86 41.34 JPMorgan Chase Financial 48130X133 05/01/19 05/27/21 100.000 0.000 2.7106 45.92 0.078551 11.47 JPMorgan Chase Financial 48132C3A9 08/05/19 07/30/21 100.000 0.000 2.4313 34.56 0.069165 0.070006 14.61 JPMorgan Chase Financial 48132C3P6 08/05/19 04/29/22 100.000 0.000 2.4505 34.86 0.070147 0.071007 0.071877 25.52 8.48 JPMorgan Chase Financial 48132C3Q4 08/05/19 07/29/22 100.000 0.000 2.4606 34.98 0.070014 0.070875 0.071747 0.072630 25.62 15.08 JPMorgan Chase Financial 48132C3R2 08/05/19 07/31/24 100.000 0.000 2.5905 36.85 0.073810 0.074766 0.075734 0.076715 0.077709 27.03 27.74 JPMorgan Chase Financial 48132C3S0 08/05/19 07/31/24 100.000 0.000 2.5905 36.85 0.073810 0.074766 0.075734 0.076715 0.077709 27.03 27.74 JPMorgan Chase Financial 48132C4Z3 07/17/19 01/18/22 100.000 0.000 2.1209 31.19 0.060172 0.060810 0.061455 21.99 1.04 JPMorgan Chase Financial 48132CCJ0 04/25/19 04/27/21 100.000 0.000 2.6319 45.02 0.076043 8.82 JPMorgan Chase Financial 48132CCY7 05/01/19 05/01/24 100.000 0.000 3.1313 53.18 0.091131 0.092558 0.094007 0.095479 0.096973 33.24 34.29 JPMorgan Chase Financial 48132CDT7 04/29/19 04/28/21 100.000 0.000 2.6324 44.72 0.076041 8.90 JPMorgan Chase Financial 48132CFA6 05/31/19 11/30/21 100.000 0.000 2.7509 44.30 0.079610 0.080705 26.39 JPMorgan Chase Financial 48132CFB4 05/31/19 05/31/22 100.000 0.000 2.8011 45.12 0.081123 0.082259 0.083411 29.48 12.43 JPMorgan Chase Financial 48132CFC2 06/05/19 05/31/24 100.000 0.000 2.8505 45.52 0.082581 0.083758 0.084952 0.086162 0.087390 30.01 30.88 JPMorgan Chase Financial 48132CFD0 05/31/19 11/30/22 100.000 0.000 2.8805 46.42 0.083521 0.084724 0.085945 0.087182 30.36 28.50 JPMorgan Chase Financial 48132CFE8 05/31/19 05/31/24 100.000 0.000 3.1310 50.53 0.091120 0.092547 0.093995 0.095467 0.096961 33.15 34.20 JPMorgan Chase Financial 48132CFG3 05/31/19 05/29/26 100.000 0.000 3.4005 54.96 0.099350 0.101039 0.102757 0.104504 0.106281 36.18 37.42 JPMorgan Chase Financial 48132CGN7 05/16/19 05/18/26 100.000 0.000 3.4010 56.36 0.099393 0.101083 0.102802 0.104550 0.106328 36.23 37.47 JPMorgan Chase Financial 48132CGP2 05/31/19 05/29/26 100.000 0.000 3.4005 54.96 0.099350 0.101039 0.102757 0.104504 0.106281 36.18 37.42 JPMorgan Chase Financial 48132CGQ0 05/31/19 05/29/26 100.000 0.000 3.4005 54.96 0.099350 0.101039 0.102757 0.104504 0.106281 36.18 37.42 JPMorgan Chase Financial 48132CHM8 06/05/19 05/28/21 100.000 0.000 2.4610 39.22 0.070883 10.42 JPMorgan Chase Financial 48132CHN6 06/05/19 02/28/22 100.000 0.000 2.5202 40.20 0.072199 0.073109 0.074030 26.38 4.22 JPMorgan Chase Financial 48132CHP1 06/05/19 05/31/22 100.000 0.000 2.5307 40.34 0.072975 0.073898 0.074833 26.49 11.15 JPMorgan Chase Financial 48132CHQ9 06/05/19 05/31/22 100.000 0.000 2.5307 40.34 0.072975 0.073898 0.074833 26.49 11.15 JPMorgan Chase Financial 48132CHR7 06/05/19 05/31/24 100.000 0.000 2.8505 45.52 0.082581 0.083758 0.084952 0.086162 0.087390 30.01 30.88 JPMorgan Chase Financial 48132CHT3 06/05/19 05/31/24 100.000 0.000 2.8505 45.52 0.082581 0.083758 0.084952 0.086162 0.087390 30.01 30.88 JPMorgan Chase Financial 48132CJ20 08/30/19 02/28/23 100.000 0.000 2.4808 33.51 0.070623 0.071499 0.072386 0.073284 0.074193 25.80 26.44 JPMorgan Chase Financial 48132CJ46 08/30/19 02/28/22 100.000 0.000 2.4410 32.97 0.069461 0.070309 0.071167 25.37 4.06 JPMorgan Chase Financial 48132CK51 09/05/19 08/31/21 100.000 0.000 2.0714 27.64 0.058721 0.059323 14.14 JPMorgan Chase Financial 48132CL35 09/05/19 08/30/24 100.000 0.000 2.1403 28.56 0.060714 0.061356 0.062020 0.062676 0.063354 22.13 22.61 JPMorgan Chase Financial 48132CL43 09/05/19 08/30/24 100.000 0.000 2.1403 28.56 0.060714 0.061356 0.062020 0.062676 0.063354 22.13 22.61 JPMorgan Chase Financial 48132CL92 08/30/19 02/29/24 100.000 0.000 2.5405 34.32 0.072369 0.073284 0.074220 0.075157 0.076117 26.44 27.12 JPMorgan Chase Financial 48132CM26 08/30/19 02/28/25 100.000 0.000 2.6709 36.11 0.076174 0.077191 0.078222 0.079267 0.080325 27.86 28.61 JPMorgan Chase Financial 48132CM34 08/30/19 08/31/26 100.000 0.000 2.8904 39.11 0.082627 0.083808 0.085033 0.086248 0.087508 30.25 31.13 JPMorgan Chase Financial 48132CP98 09/05/19 08/30/24 100.000 0.000 2.1403 28.56 0.060714 0.061356 0.062020 0.062676 0.063354 22.13 22.61 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132CPQ0 06/28/19 12/31/21 100.000 0.000 2.5004 38.19 0.072103 0.073004 26.05 JPMorgan Chase Financial 48132CPR8 06/28/19 06/30/22 100.000 0.000 2.5296 38.64 0.072977 0.073900 0.074835 26.44 13.40 JPMorgan Chase Financial 48132CPT4 06/28/19 06/30/26 100.000 0.000 2.8100 42.99 0.081404 0.082547 0.083707 0.084883 0.086076 29.51 30.35 JPMorgan Chase Financial 48132CPU1 06/28/19 06/30/26 100.000 0.000 2.8100 42.99 0.081404 0.082547 0.083707 0.084883 0.086076 29.51 30.35 JPMorgan Chase Financial 48132CPV9 06/28/19 06/28/24 100.000 0.000 2.5102 38.34 0.072386 0.073294 0.074214 0.075146 0.076089 26.23 26.89 JPMorgan Chase Financial 48132CPW7 06/28/19 06/30/26 100.000 0.000 2.8100 42.99 0.081404 0.082547 0.083707 0.084883 0.086076 29.51 30.35 JPMorgan Chase Financial 48132CPX5 06/28/19 03/31/23 100.000 0.000 2.2397 34.20 0.063979 0.064695 0.065420 0.066152 0.066893 23.29 23.82 JPMorgan Chase Financial 48132CPZ0 06/18/19 06/18/26 100.000 0.000 3.1201 48.72 0.090790 0.092207 0.093645 0.095106 0.096590 32.98 34.01 JPMorgan Chase Financial 48132CR39 08/30/19 08/31/26 100.000 0.000 2.8904 39.11 0.082627 0.083808 0.085033 0.086248 0.087508 30.25 31.13 JPMorgan Chase Financial 48132CR47 08/30/19 08/31/26 100.000 0.000 2.8904 39.11 0.082627 0.083808 0.085033 0.086248 0.087508 30.25 31.13 JPMorgan Chase Financial 48132CRH8 07/03/19 06/30/21 100.000 0.000 2.3601 35.69 0.067893 12.15 JPMorgan Chase Financial 48132CRL9 07/03/19 03/31/22 100.000 0.000 2.3601 35.72 0.067498 0.068294 0.069100 24.59 6.15 JPMorgan Chase Financial 48132CRM7 07/03/19 06/30/22 100.000 0.000 2.3700 35.84 0.068188 0.068996 0.069813 24.69 12.50 JPMorgan Chase Financial 48132CRN5 07/03/19 12/31/21 100.000 0.000 2.1196 32.01 0.060758 0.061402 21.93 JPMorgan Chase Financial 48132CRR6 07/03/19 06/30/22 100.000 0.000 2.3700 35.84 0.068188 0.068996 0.069813 24.69 12.50 JPMorgan Chase Financial 48132CRS4 07/03/19 06/28/24 100.000 0.000 2.3702 35.84 0.068186 0.068994 0.069812 0.070640 0.071477 24.70 25.29 JPMorgan Chase Financial 48132CRT2 07/03/19 06/28/24 100.000 0.000 2.3702 35.84 0.068186 0.068994 0.069812 0.070640 0.071477 24.70 25.29 JPMorgan Chase Financial 48132CT37 08/21/19 08/20/26 100.000 0.000 2.8906 39.86 0.082626 0.083821 0.085032 0.086261 0.087508 30.28 31.16 JPMorgan Chase Financial 48132CU76 09/05/19 08/31/22 100.000 0.000 2.0306 27.09 0.057542 0.058120 0.058716 0.059306 20.96 14.14 JPMorgan Chase Financial 48132CYB3 07/31/19 07/31/24 100.000 0.000 2.5104 36.06 0.071494 0.072391 0.073300 0.074220 0.075151 26.17 26.83 JPMorgan Chase Financial 48132CYC1 07/31/19 01/31/24 100.000 0.000 2.4204 34.75 0.068869 0.069703 0.070546 0.071400 0.072264 25.20 25.81 JPMorgan Chase Financial 48132CYE7 07/31/19 07/31/26 100.000 0.000 2.8103 40.42 0.080274 0.081402 0.082545 0.083705 0.084882 29.44 30.28 JPMorgan Chase Financial 48132CYG2 07/31/19 01/31/22 100.000 0.000 2.1006 30.11 0.059582 0.060208 0.060841 21.75 1.76 JPMorgan Chase Financial 48132CYH0 07/31/19 01/31/23 100.000 0.000 2.2402 32.13 0.063628 0.064341 0.065062 0.065791 0.066528 23.25 23.77 JPMorgan Chase Financial 48132CYS6 08/05/19 07/29/22 100.000 0.000 1.9004 26.95 0.053779 0.054290 0.054805 0.055326 19.61 11.49 JPMorgan Chase Financial 48132CYW7 07/31/19 07/31/26 100.000 0.000 2.8103 40.42 0.080274 0.081402 0.082545 0.083705 0.084882 29.44 30.28 JPMorgan Chase Financial 48132CYY3 07/31/19 07/31/26 100.000 0.000 2.8103 40.42 0.080274 0.081402 0.082545 0.083705 0.084882 29.44 30.28 JPMorgan Chase Financial 48132CZR7 07/19/19 07/21/26 100.000 0.000 2.9402 43.24 0.084106 0.085343 0.086597 0.087871 0.089162 30.90 31.81 JPMorgan Chase Financial 48132F2T2 10/31/19 11/02/26 100.000 0.000 2.6406 31.17 0.075311 0.076305 0.077312 0.078333 0.079367 27.41 28.14 JPMorgan Chase Financial 48132F5V4 12/03/19 05/31/22 100.000 0.000 2.0803 22.56 0.058984 0.059598 0.060218 21.38 8.97 JPMorgan Chase Financial 48132F6E1 11/29/19 05/31/24 100.000 0.000 2.2505 24.68 0.063932 0.064651 0.065379 0.066114 0.066858 23.19 23.71 JPMorgan Chase Financial 48132F6F8 11/29/19 05/30/25 100.000 0.000 2.4004 26.33 0.068291 0.069111 0.069940 0.070780 0.071629 24.78 25.38 JPMorgan Chase Financial 48132F6G6 11/29/19 11/30/26 100.000 0.000 2.6400 28.98 0.075287 0.076281 0.077287 0.078308 0.079341 27.34 28.07 JPMorgan Chase Financial 48132F6H4 12/03/19 11/30/22 100.000 0.000 2.1009 22.79 0.059580 0.060205 0.060838 0.061477 21.60 20.13 JPMorgan Chase Financial 48132F6L5 12/03/19 11/29/24 100.000 0.000 2.3202 25.19 0.065936 0.066701 0.067475 0.068258 0.069050 23.92 24.48 JPMorgan Chase Financial 48132F6U5 11/29/19 11/30/26 100.000 0.000 2.6400 28.98 0.075287 0.076281 0.077287 0.078308 0.079341 27.34 28.07 JPMorgan Chase Financial 48132F6W1 12/03/19 11/29/24 100.000 0.000 2.3202 25.19 0.065936 0.066701 0.067475 0.068258 0.069050 23.92 24.48 JPMorgan Chase Financial 48132F7E0 11/29/19 05/31/22 100.000 0.000 2.0810 22.81 0.059018 0.059632 0.060253 21.40 8.98 JPMorgan Chase Financial 48132F7K6 11/29/19 11/29/24 100.000 0.000 2.3202 25.45 0.065955 0.066721 0.067495 0.068278 0.069070 23.93 24.49 JPMorgan Chase Financial 48132F7L4 12/03/19 11/30/22 100.000 0.000 2.1009 22.79 0.059580 0.060205 0.060838 0.061477 21.60 20.13 JPMorgan Chase Financial 48132F7M2 12/03/19 11/30/22 100.000 0.000 2.1009 22.79 0.059580 0.060205 0.060838 0.061477 21.60 20.13 JPMorgan Chase Financial 48132FD37 11/29/19 11/30/22 100.000 0.000 2.1007 23.02 0.059587 0.060213 0.060846 0.061485 21.60 20.13 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132FDL7 08/28/19 08/26/22 100.000 0.000 2.4612 33.38 0.070050 0.070912 0.071785 0.072668 25.59 17.03 JPMorgan Chase Financial 48132FFS0 09/30/19 09/30/26 100.000 0.000 2.8905 36.63 0.082631 0.083825 0.085036 0.086265 0.087512 30.18 31.06 JPMorgan Chase Financial 48132FFT8 09/30/19 09/30/25 100.000 0.000 2.7505 34.84 0.078517 0.079597 0.080692 0.081802 0.082927 28.66 29.45 JPMorgan Chase Financial 48132FFU5 09/30/19 09/30/24 100.000 0.000 2.5908 32.80 0.073844 0.074801 0.075770 0.076751 0.077746 26.93 27.63 JPMorgan Chase Financial 48132FHY5 09/30/19 03/31/22 100.000 0.000 2.0511 25.91 0.058150 0.058746 0.059348 21.15 5.28 JPMorgan Chase Financial 48132FHZ2 09/30/19 09/30/24 100.000 0.000 2.1409 27.05 0.060749 0.061399 0.062056 0.062721 0.063392 22.11 22.58 JPMorgan Chase Financial 48132FJB3 10/03/19 03/31/22 100.000 0.000 2.2314 28.02 0.063363 0.064070 0.064785 23.07 5.77 JPMorgan Chase Financial 48132FJC1 10/03/19 09/30/22 100.000 0.000 2.2406 28.13 0.063628 0.064341 0.065062 0.065791 23.16 17.63 JPMorgan Chase Financial 48132FJD9 10/03/19 09/30/24 100.000 0.000 2.4507 30.80 0.069740 0.070594 0.071459 0.072335 0.073221 25.42 26.04 JPMorgan Chase Financial 48132FJE7 10/03/19 09/30/24 100.000 0.000 2.4507 30.80 0.069740 0.070594 0.071459 0.072335 0.073221 25.42 26.04 JPMorgan Chase Financial 48132FJP2 09/09/19 09/09/22 100.000 0.000 2.0307 26.86 0.057561 0.058145 0.058736 0.059332 20.96 14.67 JPMorgan Chase Financial 48132FKU9 09/30/19 09/30/26 100.000 0.000 2.4202 30.62 0.068866 0.069699 0.070543 0.071396 0.072260 25.09 25.71 JPMorgan Chase Financial 48132FNJ1 09/30/19 09/30/21 100.000 0.000 2.0711 26.16 0.058728 0.059337 15.91 JPMorgan Chase Financial 48132FPL4 10/07/19 10/04/21 100.000 0.000 2.2315 27.76 0.063365 0.064072 17.43 JPMorgan Chase Financial 48132FPT7 10/04/19 07/07/22 100.000 0.000 1.8407 23.02 0.051846 0.052323 0.052805 0.053291 18.92 9.91 JPMorgan Chase Financial 48132FPX8 10/31/19 10/30/26 100.000 0.000 2.7505 32.48 0.078519 0.079599 0.080693 0.081803 0.082928 28.59 29.39 JPMorgan Chase Financial 48132FPZ3 10/31/19 04/29/22 100.000 0.000 2.2311 26.30 0.063360 0.064067 0.064782 23.03 7.64 JPMorgan Chase Financial 48132FQ41 11/29/19 11/29/24 100.000 0.000 2.1904 24.01 0.062185 0.062866 0.063555 0.064251 0.064955 22.55 23.05 JPMorgan Chase Financial 48132FQG4 10/31/19 10/31/24 100.000 0.000 2.4504 28.91 0.069745 0.070599 0.071464 0.072340 0.073226 25.37 25.99 JPMorgan Chase Financial 48132FQL3 11/05/19 10/31/24 100.000 0.000 2.3206 27.04 0.065944 0.066709 0.067483 0.068266 0.069058 23.97 24.53 JPMorgan Chase Financial 48132FQN9 11/05/19 04/29/22 100.000 0.000 2.2312 25.99 0.063345 0.064052 0.064767 23.02 7.64 JPMorgan Chase Financial 48132FQP4 11/05/19 10/31/22 100.000 0.000 2.2406 26.10 0.063622 0.064334 0.065055 0.065784 23.12 19.58 JPMorgan Chase Financial 48132FR24 11/21/19 11/23/26 100.000 0.000 2.6402 29.59 0.075300 0.076294 0.077301 0.078322 0.079356 27.36 28.09 JPMorgan Chase Financial 48132FSA5 10/31/19 10/30/26 100.000 0.000 2.7505 32.48 0.078519 0.079599 0.080693 0.081803 0.082928 28.59 29.39 JPMorgan Chase Financial 48132FSB3 10/31/19 04/30/24 100.000 0.000 2.3812 28.08 0.067728 0.068534 0.069350 0.070176 0.071012 24.63 25.22 JPMorgan Chase Financial 48132FSC1 10/31/19 04/30/25 100.000 0.000 2.5307 29.86 0.072089 0.073001 0.073925 0.074860 0.075807 26.23 26.90 JPMorgan Chase Financial 48132FT22 11/27/19 11/30/21 100.000 0.000 2.0711 22.82 0.058739 0.059347 19.43 JPMorgan Chase Financial 48132FTZ9 11/05/19 10/31/24 100.000 0.000 2.4507 28.57 0.069731 0.070586 0.071451 0.072326 0.073213 25.36 25.99 JPMorgan Chase Financial 48132FU95 11/27/19 05/27/21 100.000 0.000 2.0208 22.26 0.057275 8.36 JPMorgan Chase Financial 48132FUA2 11/05/19 10/31/24 100.000 0.000 2.4507 28.57 0.069731 0.070586 0.071451 0.072326 0.073213 25.36 25.99 JPMorgan Chase Financial 48132FUW4 10/31/19 05/03/27 100.000 0.000 2.6405 31.17 0.075314 0.076309 0.077316 0.078337 0.079371 27.41 28.14 JPMorgan Chase Financial 48132FVJ2 10/08/19 10/07/21 100.000 0.000 2.2316 27.70 0.063375 0.064083 17.62 JPMorgan Chase Financial 48132FZK5 10/31/19 11/02/21 100.000 0.000 2.2314 26.30 0.063382 0.064089 19.21 JPMorgan Chase Financial 48132H2M3 02/28/20 05/30/25 100.000 0.000 2.3804 20.14 0.067317 0.068118 0.068929 0.069749 0.070580 24.43 25.01 JPMorgan Chase Financial 48132H2N1 02/28/20 02/27/26 100.000 0.000 2.5004 21.15 0.070318 0.071197 0.072087 0.072988 0.073901 25.69 26.34 JPMorgan Chase Financial 48132H2Q4 02/28/20 02/26/27 100.000 0.000 2.6405 22.34 0.074304 0.075285 0.076279 0.077286 0.078307 27.17 27.90 JPMorgan Chase Financial 48132H2V3 03/04/20 03/05/21 100.000 0.000 1.4912 12.34 0.041734 2.67 JPMorgan Chase Financial 48132H2W1 03/04/20 11/30/22 100.000 0.000 1.7402 14.41 0.048962 0.049388 0.049818 0.050252 17.73 16.47 JPMorgan Chase Financial 48132H2X9 03/04/20 02/28/23 100.000 0.000 1.7536 14.52 0.049124 0.049555 0.049990 0.050428 0.050870 17.87 18.18 JPMorgan Chase Financial 48132H2Y7 03/04/20 02/28/23 100.000 0.000 1.7504 14.49 0.049034 0.049463 0.049896 0.050333 0.050773 17.84 18.15 JPMorgan Chase Financial 48132H2Z4 03/04/20 02/28/25 100.000 0.000 1.9626 16.25 0.055033 0.055573 0.056118 0.056669 0.057225 20.04 20.44 JPMorgan Chase Financial 48132H3A8 03/04/20 02/28/25 100.000 0.000 1.9604 16.24 0.054971 0.055509 0.056053 0.056603 0.057158 20.02 20.41 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132H3B6 03/04/20 02/28/25 100.000 0.000 1.9604 16.24 0.054971 0.055509 0.056053 0.056603 0.057158 20.02 20.41 JPMorgan Chase Financial 48132H3G5 02/28/20 11/30/22 100.000 0.000 1.7401 14.70 0.048974 0.049400 0.049830 0.050263 17.73 16.47 JPMorgan Chase Financial 48132H3H3 02/28/20 02/28/23 100.000 0.000 1.7503 14.78 0.049044 0.049473 0.049906 0.050343 0.050783 17.84 18.15 JPMorgan Chase Financial 48132H3J9 02/28/20 02/28/25 100.000 0.000 1.9606 16.57 0.054995 0.055534 0.056079 0.056629 0.057184 20.03 20.42 JPMorgan Chase Financial 48132H4H2 02/28/20 11/30/22 100.000 0.000 2.1104 17.85 0.059561 0.060190 0.060825 0.061467 21.59 20.13 JPMorgan Chase Financial 48132H4J8 02/28/20 11/30/23 100.000 0.000 2.1703 18.36 0.061278 0.061943 0.062615 0.063295 0.063982 22.22 22.71 JPMorgan Chase Financial 48132H4K5 02/28/20 05/30/25 100.000 0.000 2.3804 20.14 0.067317 0.068118 0.068929 0.069749 0.070580 24.43 25.01 JPMorgan Chase Financial 48132H4M1 03/04/20 11/30/21 100.000 0.000 1.7297 14.32 0.048662 0.049083 16.09 JPMorgan Chase Financial 48132H4N9 03/04/20 03/05/21 100.000 0.000 1.4912 12.34 0.041734 2.67 JPMorgan Chase Financial 48132HAV4 01/02/20 01/05/21 100.000 0.000 1.8203 18.24 0.051031 0.20 JPMorgan Chase Financial 48132HAW2 01/02/20 09/30/22 100.000 0.000 2.0804 20.88 0.058688 0.059299 0.059915 0.060539 21.35 16.23 JPMorgan Chase Financial 48132HAX0 01/02/20 12/30/22 100.000 0.000 2.0900 20.95 0.059270 0.059889 0.060515 0.061147 21.45 21.84 JPMorgan Chase Financial 48132HAY8 01/02/20 12/30/22 100.000 0.000 2.1100 21.15 0.059848 0.060479 0.061117 0.061762 21.66 22.06 JPMorgan Chase Financial 48132HAZ5 01/02/20 12/30/22 100.000 0.000 2.1100 21.15 0.059848 0.060479 0.061117 0.061762 21.66 22.06 JPMorgan Chase Financial 48132HB92 01/31/20 10/31/24 100.000 0.000 2.3102 21.38 0.065289 0.066043 0.066806 0.067578 0.068359 23.73 24.28 JPMorgan Chase Financial 48132HBA9 01/02/20 12/27/24 100.000 0.000 2.3200 23.27 0.065928 0.066693 0.067466 0.068249 0.069041 23.88 24.44 JPMorgan Chase Financial 48132HBB7 01/02/20 12/27/24 100.000 0.000 2.3399 23.47 0.066506 0.067284 0.068071 0.068867 0.069673 24.09 24.66 JPMorgan Chase Financial 48132HBC5 12/26/19 09/30/22 100.000 0.000 2.0996 21.43 0.059258 0.059880 0.060508 0.061144 21.56 16.39 JPMorgan Chase Financial 48132HBE1 12/26/19 12/30/22 100.000 0.000 2.1096 21.51 0.059857 0.060488 0.061126 0.061771 21.66 22.06 JPMorgan Chase Financial 48132HBF8 12/26/19 12/27/24 100.000 0.000 2.3400 23.87 0.066535 0.067313 0.068101 0.068897 0.069704 24.10 24.67 JPMorgan Chase Financial 48132HC26 01/31/20 01/30/26 100.000 0.000 2.5004 23.12 0.070323 0.071202 0.072092 0.072994 0.073906 25.74 26.39 JPMorgan Chase Financial 48132HC34 01/31/20 01/29/27 100.000 0.000 2.6405 24.42 0.074311 0.075292 0.076286 0.077293 0.078313 27.23 27.95 JPMorgan Chase Financial 48132HCE0 12/26/19 12/31/26 100.000 0.000 2.6396 26.95 0.075291 0.076285 0.077292 0.078312 0.079345 27.29 28.01 JPMorgan Chase Financial 48132HDG4 12/26/19 12/31/26 100.000 0.000 2.6396 26.95 0.075291 0.076285 0.077292 0.078312 0.079345 27.29 28.01 JPMorgan Chase Financial 48132HDH2 12/26/19 12/31/25 100.000 0.000 2.4900 25.41 0.070920 0.071803 0.072697 0.073602 0.074519 25.69 26.34 JPMorgan Chase Financial 48132HDJ8 12/26/19 09/30/24 100.000 0.000 2.2798 23.28 0.064432 0.065167 0.065910 0.066661 0.067421 23.46 24.00 JPMorgan Chase Financial 48132HEZ1 12/06/19 12/08/22 100.000 0.000 2.1104 22.71 0.059872 0.060504 0.061142 0.061788 21.70 20.72 JPMorgan Chase Financial 48132HF98 02/28/20 02/28/22 100.000 0.000 2.1016 17.76 0.058992 0.059612 0.060239 21.50 3.43 JPMorgan Chase Financial 48132HFA5 12/06/19 12/08/22 100.000 0.000 2.1104 22.71 0.059872 0.060504 0.061142 0.061788 21.70 20.72 JPMorgan Chase Financial 48132HHV7 12/31/19 12/31/26 100.000 0.000 2.6398 26.65 0.075277 0.076271 0.077277 0.078297 0.079331 27.28 28.01 JPMorgan Chase Financial 48132HKD3 12/31/19 12/31/21 100.000 0.000 2.0701 20.87 0.058700 0.059308 21.18 JPMorgan Chase Financial 48132HKM3 12/24/19 12/22/23 100.000 0.000 2.2002 22.56 0.062461 0.063148 0.063843 0.064545 0.065255 22.62 23.12 JPMorgan Chase Financial 48132HLL4 01/15/20 01/15/25 100.000 0.000 2.3402 22.62 0.065768 0.066537 0.067316 0.068103 0.068900 24.07 24.64 JPMorgan Chase Financial 48132HMF6 02/05/20 02/08/21 100.000 0.000 1.7908 16.28 0.050197 1.86 JPMorgan Chase Financial 48132HMG4 02/05/20 10/31/22 100.000 0.000 2.1004 19.13 0.059250 0.059872 0.060501 0.061136 21.52 18.20 JPMorgan Chase Financial 48132HMH2 02/05/20 01/31/23 100.000 0.000 2.1108 19.21 0.059235 0.059861 0.060492 0.061131 0.061776 21.63 22.09 JPMorgan Chase Financial 48132HMK5 02/05/20 01/31/23 100.000 0.000 2.1108 19.21 0.059235 0.059861 0.060492 0.061131 0.061776 21.63 22.09 JPMorgan Chase Financial 48132HML3 02/05/20 01/31/23 100.000 0.000 2.1108 19.21 0.059235 0.059861 0.060492 0.061131 0.061776 21.63 22.09 JPMorgan Chase Financial 48132HMM1 02/05/20 01/31/25 100.000 0.000 2.3404 21.31 0.065752 0.066521 0.067300 0.068087 0.068884 24.04 24.61 JPMorgan Chase Financial 48132HMN9 02/05/20 01/31/25 100.000 0.000 2.3404 21.31 0.065752 0.066521 0.067300 0.068087 0.068884 24.04 24.61 JPMorgan Chase Financial 48132HMV1 01/31/20 10/31/22 100.000 0.000 2.1002 19.42 0.059260 0.059882 0.060511 0.061146 21.52 18.21 JPMorgan Chase Financial 48132HMX7 01/31/20 01/31/23 100.000 0.000 2.1102 19.50 0.059236 0.059861 0.060492 0.061130 0.061775 21.63 22.09 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132HMY5 01/31/20 01/31/25 100.000 0.000 2.3404 21.63 0.065773 0.066542 0.067321 0.068109 0.068906 24.05 24.62 JPMorgan Chase Financial 48132HPB2 02/05/20 10/29/21 100.000 0.000 1.5895 14.46 0.044668 0.045023 13.37 JPMorgan Chase Financial 48132HPD8 01/31/20 07/31/23 100.000 0.000 1.6802 15.51 0.047064 0.047460 0.047858 0.048260 0.048666 17.13 17.42 JPMorgan Chase Financial 48132HPE6 01/31/20 10/31/24 100.000 0.000 1.6800 15.52 0.047257 0.047654 0.048054 0.048458 0.048865 17.13 17.42 JPMorgan Chase Financial 48132HPG1 01/31/20 01/29/27 100.000 0.000 2.6405 24.42 0.074311 0.075292 0.076286 0.077293 0.078313 27.23 27.95 JPMorgan Chase Financial 48132HTV4 01/31/20 01/31/22 100.000 0.000 2.1007 19.41 0.058965 0.059584 0.060210 21.53 1.75 JPMorgan Chase Financial 48132HWD0 02/03/20 02/03/22 100.000 0.000 2.1007 19.23 0.058965 0.059584 0.060210 21.52 1.93 JPMorgan Chase Financial 48132HXQ0 02/28/20 02/26/27 100.000 0.000 2.6405 22.34 0.074304 0.075285 0.076279 0.077286 0.078307 27.17 27.90 JPMorgan Chase Financial 48132K2A2 05/29/20 05/28/27 100.000 0.000 3.0405 17.95 0.085736 0.087039 0.088363 0.089706 0.091070 31.19 32.14 JPMorgan Chase Financial 48132K2C8 05/29/20 08/29/25 100.000 0.000 2.8498 16.85 0.079725 0.080855 0.082013 0.083176 0.084367 29.18 30.02 JPMorgan Chase Financial 48132K3E3 06/03/20 05/31/23 100.000 0.000 2.7309 15.81 0.076875 0.077925 0.078989 0.080068 0.081161 27.93 28.70 JPMorgan Chase Financial 48132K3G8 06/03/20 05/31/23 100.000 0.000 2.7309 15.81 0.076875 0.077925 0.078989 0.080068 0.081161 27.93 28.70 JPMorgan Chase Financial 48132K4G7 05/29/20 05/28/27* 100.000 0.000 3.0405 17.95 0.085736 12.60* JPMorgan Chase Financial 48132KAB1 03/31/20 06/28/24 100.000 0.000 1.8698 14.12 0.052664 0.053157 0.053654 0.054155 0.054662 19.05 19.41 JPMorgan Chase Financial 48132KAD7 03/31/20 03/31/26 100.000 0.000 2.0908 15.79 0.058686 0.059299 0.059919 0.060545 0.061178 21.35 21.80 JPMorgan Chase Financial 48132KAE5 03/31/20 03/31/27 100.000 0.000 2.2306 16.85 0.062651 0.063350 0.064057 0.064771 0.065493 22.81 23.32 JPMorgan Chase Financial 48132KAF2 03/31/20 12/31/24 100.000 0.000 1.9300 14.58 0.054390 0.054915 0.055445 0.055980 0.056520 19.68 20.06 JPMorgan Chase Financial 48132KAH8 03/31/20 03/31/27* 100.000 0.000 2.2306 16.85 0.062651 5.58* JPMorgan Chase Financial 48132KAJ4 03/31/20 03/31/27* 100.000 0.000 2.2306 16.85 0.062651 5.58* JPMorgan Chase Financial 48132KAV7 03/31/20 03/31/26 100.000 0.000 2.0908 15.79 0.058686 0.059299 0.059919 0.060545 0.061178 21.35 21.80 JPMorgan Chase Financial 48132KBQ7 04/03/20 09/30/21 100.000 0.000 1.7413 13.00 0.048784 0.049208 13.20 JPMorgan Chase Financial 48132KBS3 04/03/20 12/30/22 100.000 0.000 1.7402 12.99 0.048964 0.049390 0.049820 0.050253 17.70 17.96 JPMorgan Chase Financial 48132KBU8 04/03/20 03/31/23 100.000 0.000 1.7507 13.07 0.049048 0.049477 0.049910 0.050347 0.050788 17.81 18.13 JPMorgan Chase Financial 48132KBV6 04/03/20 03/31/23 100.000 0.000 1.7507 13.07 0.049048 0.049477 0.049910 0.050347 0.050788 17.81 18.13 JPMorgan Chase Financial 48132KBW4 04/03/20 03/31/25 100.000 0.000 1.9606 14.64 0.054986 0.055525 0.056069 0.056618 0.057174 19.99 20.38 JPMorgan Chase Financial 48132KBX2 04/03/20 03/31/25 100.000 0.000 1.9606 14.64 0.054986 0.055525 0.056069 0.056618 0.057174 19.99 20.38 JPMorgan Chase Financial 48132KCA1 03/31/20 03/31/23 100.000 0.000 1.7509 13.22 0.049062 0.049491 0.049925 0.050362 0.050803 17.82 18.13 JPMorgan Chase Financial 48132KCB9 03/31/20 03/31/25 100.000 0.000 1.9604 14.81 0.054990 0.055529 0.056073 0.056623 0.057178 19.99 20.39 JPMorgan Chase Financial 48132KCD5 04/03/20 03/31/22 100.000 0.000 1.7210 12.85 0.048211 0.048625 0.049044 17.51 4.36 JPMorgan Chase Financial 48132KCE3 04/03/20 04/08/21 100.000 0.000 1.4513 10.83 0.040614 3.94 JPMorgan Chase Financial 48132KCF0 04/03/20 06/30/22 100.000 0.000 1.7300 12.92 0.048675 0.049096 0.049521 17.60 8.86 JPMorgan Chase Financial 48132KCG8 04/03/20 06/30/21 100.000 0.000 1.6006 11.95 0.044990 8.05 JPMorgan Chase Financial 48132KCH6 04/03/20 09/30/22 100.000 0.000 1.7309 12.92 0.048491 0.048911 0.049334 0.049761 17.61 13.35 JPMorgan Chase Financial 48132KPF6 04/30/20 10/31/24 100.000 0.000 2.7908 18.75 0.078605 0.079702 0.080814 0.081941 0.083085 28.63 29.43 JPMorgan Chase Financial 48132KPJ8 04/30/20 04/30/27 100.000 0.000 3.0407 20.43 0.085749 0.087053 0.088376 0.089720 0.091084 31.26 32.22 JPMorgan Chase Financial 48132KPW9 05/05/20 07/29/22 100.000 0.000 2.7205 17.91 0.076048 0.077083 0.078131 0.079194 27.88 16.44 JPMorgan Chase Financial 48132KPX7 05/05/20 01/31/23 100.000 0.000 1.7300 11.37 0.048253 0.048670 0.049091 0.049516 0.049944 17.57 17.88 JPMorgan Chase Financial 48132KPY5 04/30/20 04/30/27* 100.000 0.000 3.0407 20.43 0.085749 10.20* JPMorgan Chase Financial 48132M2E0 09/03/20 12/05/24 100.000 0.000 2.7805 9.13 0.077785 0.078866 0.079962 0.081074 0.082201 28.25 29.04 JPMorgan Chase Financial 48132M2F7 09/03/20 03/05/25 100.000 0.000 2.7911 9.15 0.077543 0.078625 0.079722 0.080835 0.081963 28.36 29.16 JPMorgan Chase Financial 48132M2H3 08/31/20 08/31/27 100.000 0.000 3.0406 10.22 0.084461 0.085731 0.087049 0.088358 0.089716 30.95 31.90 JPMorgan Chase Financial 48132M3R0 08/27/20 08/29/22 100.000 0.000 2.7124 9.34 0.075355 0.076371 0.077413 0.078457 27.56 18.61 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132MCL3 06/30/20 06/30/27 100.000 0.000 3.0400 15.29 0.085729 0.087032 0.088355 0.089698 0.091061 31.10 32.05 JPMorgan Chase Financial 48132MCQ2 06/30/20 06/30/27 100.000 0.000 3.0400 15.29 0.085729 0.087032 0.088355 0.089698 0.091061 31.10 32.05 JPMorgan Chase Financial 48132MCS8 06/30/20 06/30/25 100.000 0.000 2.8198 14.18 0.079432 0.080552 0.081688 0.082839 0.084007 28.80 29.62 JPMorgan Chase Financial 48132MCU3 06/30/20 06/30/25 100.000 0.000 2.8198 14.18 0.079432 0.080552 0.081688 0.082839 0.084007 28.80 29.62 JPMorgan Chase Financial 48132MCX7 07/06/20 06/30/23 100.000 0.000 2.7300 13.27 0.076835 0.077883 0.078946 0.080024 0.081116 27.85 28.62 JPMorgan Chase Financial 48132MCY5 07/06/20 06/30/23 100.000 0.000 2.7300 13.27 0.076835 0.077883 0.078946 0.080024 0.081116 27.85 28.62 JPMorgan Chase Financial 48132MSE2 07/31/20 08/02/27 100.000 0.000 3.0406 12.76 0.084476 0.085760 0.087064 0.088388 0.089732 31.03 31.98 JPMorgan Chase Financial 48132MSH5 08/05/20 11/05/24 100.000 0.000 2.7803 11.31 0.077768 0.078849 0.079945 0.081057 0.082184 28.31 29.11 JPMorgan Chase Financial 48132MSJ1 07/31/20 08/02/27 100.000 0.000 3.0406 12.76 0.084476 0.085760 0.087064 0.088388 0.089732 31.03 31.98 JPMorgan Chase Financial 48132MSW2 08/05/20 08/03/23 100.000 0.000 2.7311 11.08 0.075865 0.076889 0.077939 0.079003 0.080082 27.80 28.57 JPMorgan Chase Financial 48132PFE9 09/30/20 10/01/21 100.000 0.000 2.0526 5.19 0.057021 0.057606 15.50 Justice Park Dist, IL 48214PAU9 06/07/11 12/01/21 92.300 VARIES 5.9725 0.164360 0.165121 54.38 Kansas City Southern 485170AJ3 12/09/15 05/15/43 90.810 4.300 4.9136 9.19 0.005718 0.005858 0.006002 0.006149 0.006301 2.10 2.20 Kansas City Southern 485170AP9 12/09/15 05/15/23 95.360 3.000 3.7202 30.20 0.018245 0.018584 0.018930 0.019282 0.019640 6.66 6.91 Kansas City Southern 485170AQ7 12/09/15 05/15/43 90.810 4.300 4.9136 9.19 0.005718 0.005858 0.006002 0.006149 0.006301 2.10 2.20 Kansas City Southern 485170AV6 12/09/15 05/15/23 95.360 3.000 3.7202 30.20 0.018245 0.018584 0.018930 0.019282 0.019640 6.66 6.91 Kansas City Southern 485170AX2 12/09/15 05/15/43 90.810 4.300 4.9136 9.19 0.005718 0.005858 0.006002 0.006149 0.006301 2.10 2.20 KELLER TEX INDPT SCH DIS 487694TM3 10/14/20 02/15/25 95.895 0.000 0.9690 1.99 0.025811 0.025895 0.026020 0.026146 0.026273 9.34 9.42 KENEDY TEX INDPT SCH DIS 488836JD0 11/18/20 08/15/28 86.913 0.000 1.8199 1.89 0.043937 0.044130 0.044531 0.044937 0.045345 15.93 16.21 KENEDY TEX INDPT SCH DIS 488836JE8 11/18/20 08/15/29 84.616 0.000 1.9200 1.94 0.045127 0.045337 0.045772 0.046211 0.046655 16.37 16.68 KERMIT TEX INDPT SCH DIS 492224EX4 08/31/21 02/15/25 96.611 0.000 0.9994 0.026820 0.026943 0.027078 3.25 9.71 KINGS LOC SCH DIST OHIO 496026MA0 01/29/20 12/01/31 68.518 0.000 3.2189 20.51 0.062929 0.063942 0.064971 0.066017 0.067079 22.90 23.64 KINGSVILLE TEX INDPT SCH 496800QV8 08/18/21 02/15/33 76.454 0.000 2.3500 0.049907 0.050484 0.051077 6.64 18.23 KIRBYVILLE TEX CONS INDP 497332KB1 09/29/20 02/15/25 95.643 0.000 1.0201 2.49 0.027102 0.027207 0.027345 0.027485 0.027625 9.81 9.91 KIRBYVILLE TEX CONS INDP 497332KC9 09/29/20 02/15/26 93.418 0.000 1.2700 3.03 0.032956 0.033114 0.033324 0.033536 0.033749 11.94 12.09 KIRBYVILLE TEX CONS INDP 497332KD7 09/29/20 02/15/27 91.602 0.000 1.3800 3.23 0.035115 0.035298 0.035541 0.035787 0.036034 12.73 12.91 KFW 500769BR4 04/19/06 04/18/36 19.779 0.000 5.4760 239.87 0.065841 0.067644 0.069496 0.071399 0.073354 24.29 25.64 KFW 500769CH5 06/29/07 06/29/37 18.097 0.000 5.7800 209.71 0.062706 0.064518 0.066383 0.068302 0.070275 22.91 24.25 LA PORTE TEX INDPT SCH D 504102V43 03/09/21 02/15/23 99.201 0.000 0.4154 0.011445 0.011466 0.011490 0.011514 3.34 4.14 LA PORTE TEX INDPT SCH D 504102V50 03/09/21 02/15/24 98.439 0.000 0.5371 0.014686 0.014720 0.014759 0.014799 4.29 5.32 LA PORTE TEX INDPT SCH D 504102V68 03/09/21 02/15/25 97.014 0.000 0.7722 0.020809 0.020879 0.020959 0.021040 6.09 7.55 LA PORTE TEX INDPT SCH D 504102V76 03/09/21 02/15/26 95.563 0.000 0.9221 0.024476 0.024574 0.024687 0.024801 7.16 8.90 LA PORTE TEX INDPT SCH D 504102V84 03/09/21 02/15/27 93.152 0.000 1.1991 0.031028 0.031189 0.031376 0.031564 9.08 11.31 LA PORTE TEX INDPT SCH D 504102V92 03/09/21 02/15/28 91.162 0.000 1.3390 0.033908 0.034105 0.034333 0.034563 9.93 12.38 LA PORTE TEX INDPT SCH D 504102W26 03/09/21 02/15/29 87.964 0.000 1.6230 0.039657 0.039936 0.040260 0.040587 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Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ LAKE TRAVIS TEX INDPT SC 511074VM5 10/28/20 02/15/24 97.139 0.000 0.8822 1.50 0.023805 0.023868 0.023973 0.024079 0.024185 8.60 8.68 LEANDER TEX INDPT SCH DI 521841D37 06/23/21 08/15/23 99.263 0.000 0.3452 0.009519 0.009524 0.009540 0.009557 1.79 3.44 LEANDER TEX INDPT SCH DI 521841D45 06/23/21 08/15/24 98.238 0.000 0.5661 0.015449 0.015461 0.015505 0.015549 2.91 5.59 LEANDER TEX INDPT SCH DI 521841D52 06/23/21 08/15/25 96.410 0.000 0.8841 0.023675 0.023706 0.023810 0.023916 4.46 8.58 LEANDER TEX INDPT SCH 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Bank PLC 5394E8AN9 04/26/12 04/26/27 100.000 VARIES 4.6791 0.117966 0.118805 0.119878 0.120977 0.122101 42.74 43.50 Lloyds TSB Bank PLC 5394E8BB4 07/23/12 07/23/22 100.000 VARIES 2.8121 0.008199 0.008314 0.008431 0.008550 3.01 1.72 Lloyds TSB Bank PLC 5394E8BE8 07/23/12 07/23/24 96.000 VARIES 4.6384 25.76 0.010137 0.010373 0.010613 0.010859 0.011111 3.77 3.94 Lloyds TSB Bank PLC 5394E8BK4 01/31/13 01/31/33 100.000 VARIES 3.6033 0.084955 0.085045 0.085138 0.085232 0.085589 30.63 30.73 Lloyds TSB Bank PLC 5394E8BN8 02/22/13 02/22/33 100.000 VARIES 3.6892 0.084345 0.084118 0.084284 0.084453 0.084626 30.32 30.42 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Lloyds TSB Bank PLC 5394E8BR9 04/26/13 04/26/33 100.000 VARIES 3.6255 0.074209 0.075502 0.076819 0.078159 0.079576 27.12 28.08 Lloyds TSB Bank PLC 5394E8BT5 07/05/13 07/05/33 100.000 VARIES 4.1638 0.092047 0.093610 0.095205 0.096833 0.098495 33.97 35.15 Lloyds TSB Bank PLC 5394E8BV0 07/26/13 07/26/33 100.000 VARIES 4.0718 0.087868 0.088578 0.089302 0.090533 0.091790 31.98 32.76 Lloyds TSB Bank PLC 5394E8BY4 07/29/13 07/29/33 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SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MARSHALL TEX INDPT SCH D 572682RS3 02/11/21 02/15/22 99.684 0.000 0.3133 0.008674 0.008675 0.008688 2.78 0.38 MARSHALL TEX INDPT SCH D 572682RT1 02/11/21 02/15/23 99.173 0.000 0.4133 0.011387 0.011387 0.011411 0.011435 0.011458 3.65 4.12 MARSHALL TEX INDPT SCH D 572682RU8 02/11/21 02/15/24 98.059 0.000 0.6520 0.017760 0.017761 0.017819 0.017877 0.017935 5.69 6.44 MARSHALL TEX INDPT SCH D 572682RV6 02/11/21 02/15/25 96.566 0.000 0.8731 0.023419 0.023421 0.023523 0.023626 0.023729 7.51 8.51 MARSHALL TEX INDPT SCH D 572682RW4 02/11/21 02/15/26 95.015 0.000 1.0230 0.027001 0.027004 0.027142 0.027281 0.027421 8.66 9.83 Mashantucket Western 574754AL1 07/01/13 07/01/26 53.461 6.350 N/A 0.318316 0.326172 0.334636 0.343755 0.353578 117.49 123.83 Mashantucket Western 574754AM9 07/01/13 07/01/36 14.695 1.000 N/A 0.298884 0.328288 0.331636 0.335314 0.339354 115.87 120.75 MC GREGOR TEX INDPT SCH 580730LQ0 08/18/20 02/15/32 73.911 0.000 2.6480 7.23 0.054365 0.055072 0.055802 0.056540 0.057289 19.89 20.42 MC GREGOR TEX INDPT SCH 580730LR8 08/18/20 02/15/33 70.673 0.000 2.7980 7.31 0.054929 0.055685 0.056464 0.057254 0.058055 20.12 20.69 Mclean County, IL 582001FE8 06/30/14 12/01/21 112.369 VARIES 3.6290 0.102641 0.101732 33.71 Mclean County, IL 582001FF5 06/30/14 12/01/22 111.828 VARIES 3.8797 0.111098 0.110290 0.109465 0.108625 39.80 35.97 Mclean County, IL 582001FG3 06/30/14 12/01/23 110.876 VARIES 4.1300 0.119114 0.118418 0.117709 0.116985 0.116246 42.71 42.20 Mclean County, IL 582001FH1 06/30/14 12/01/24 109.553 VARIES 4.3801 0.126620 0.126047 0.125462 0.124864 0.124252 45.45 45.02 MC LENNAN CNTY TEX JR CO 582188LF3 05/26/21 08/15/24 97.606 0.000 0.7540 0.020443 0.020477 0.020554 0.020632 4.40 7.41 MELISSA TEX INDPT SCH DI 585488VG1 11/24/20 02/01/24 96.927 0.000 0.9819 0.98 0.026438 0.026486 0.026616 0.026747 0.026878 9.55 9.64 MELISSA TEX INDPT SCH DI 585488VH9 11/24/20 02/01/25 95.384 0.000 1.1321 1.11 0.029995 0.030058 0.030228 0.030399 0.030571 10.84 10.96 MELISSA TEX INDPT SCH DI 585488VJ5 11/24/20 02/01/26 93.269 0.000 1.3481 1.29 0.034926 0.035013 0.035249 0.035487 0.035726 12.64 12.80 MELISSA TEX INDPT SCH DI 585488VK2 11/24/20 02/01/27 91.181 0.000 1.4979 1.40 0.037939 0.038045 0.038330 0.038617 0.038906 13.74 13.94 MESQUITE TEX INDPT SCH D 590760TF1 09/30/21 08/15/23 99.273 0.000 0.3895 0.010741 0.010757 0.010778 0.98 3.87 MESQUITE TEX INDPT SCH D 590760TG9 09/30/21 08/15/30 85.371 0.000 1.7900 0.042448 0.042733 0.043116 3.86 15.42 MESQUITE TEX INDPT SCH D 590760TH7 09/30/21 08/15/31 82.561 0.000 1.9499 0.044719 0.045046 0.045485 4.07 16.26 MESQUITE TEX INDPT SCH D 590760TV6 09/30/21 08/15/23 99.273 0.000 0.3895 0.010741 0.010757 0.010778 0.98 3.87 MESQUITE TEX INDPT SCH D 590760TW4 09/30/21 08/15/24 98.160 0.000 0.6470 0.017641 0.017684 0.017741 1.61 6.37 MESQUITE TEX INDPT SCH D 590760TX2 09/30/21 08/15/25 96.330 0.000 0.9672 0.025880 0.025974 0.026100 2.36 9.36 MESQUITE TEX INDPT SCH D 590760TY0 09/30/21 08/15/26 94.668 0.000 1.1271 0.029639 0.029764 0.029932 2.70 10.73 MESQUITE TEX INDPT SCH D 590760TZ7 09/30/21 08/15/27 92.195 0.000 1.3879 0.035545 0.035730 0.035978 3.23 12.89 MESQUITE TEX INDPT SCH D 590760UA0 09/30/21 08/15/28 90.002 0.000 1.5380 0.038451 0.038673 0.038970 3.50 13.95 MESQUITE TEX INDPT SCH D 590760UB8 09/30/21 08/15/33 76.847 0.000 2.2299 0.047600 0.047998 0.048533 4.33 17.33 Miami-Dade County, FL 59333MXE0 12/15/09 12/15/26 73.673 5.760 8.7676 126.03 0.049925 0.052114 0.054398 0.056783 0.059272 18.44 20.09 MIAMI TEX INDPT SCH DIST 593745BQ4 10/21/20 02/15/30 80.069 0.000 2.4000 3.74 0.053378 0.053784 0.054429 0.055083 0.055744 19.43 19.89 MIAMI TEX INDPT SCH DIST 593745BR2 10/21/20 02/15/31 77.389 0.000 2.4998 3.76 0.053739 0.054165 0.054842 0.055527 0.056221 19.57 20.05 MICHIGAN FIN AUTH REV 59447TJ20 10/15/20 06/01/45 20.693 0.000 6.4997 2.85 0.037671 0.038895 0.040159 0.041464 0.042812 13.86 14.77 MIDDLETOWN OHIO CITY SCH 597137JN9 12/19/19 12/01/32 65.193 0.000 3.3310 22.66 0.062245 0.063281 0.064335 0.065407 0.066496 22.66 23.42 MIDDLETOWN OHIO CITY SCH 597137JP4 12/19/19 12/01/33 62.215 0.000 3.4310 22.28 0.061242 0.062293 0.063361 0.064448 0.065554 22.30 23.07 MIDDLETOWN OHIO CITY SCH 597137JQ2 12/19/19 12/01/34 59.694 0.000 3.4810 21.69 0.059644 0.060683 0.061739 0.062813 0.063907 21.72 22.48 MIDDLETOWN OHIO CITY SCH 597137JR0 12/19/19 12/01/35 57.219 0.000 3.5309 21.09 0.058020 0.059044 0.060086 0.061147 0.062227 21.13 21.89 MIDDLETOWN OHIO CITY SCH 597137JS8 12/19/19 12/01/36 55.067 0.000 3.5510 20.42 0.056164 0.057162 0.058177 0.059209 0.060261 20.46 21.19 MIDLOTHIAN TEX INDPT SCH 5978517L2 11/19/20 02/15/22 99.335 0.000 0.5392 0.62 0.014879 0.014898 0.014938 5.37 0.66 MIDLOTHIAN TEX INDPT SCH 5978517M0 11/19/20 02/15/23 98.612 0.000 0.6252 0.72 0.017126 0.017152 0.017205 0.017259 0.017313 6.18 6.22 MINERAL WELLS TEX INDPT 603109RL5 03/31/21 02/15/23 99.152 0.000 0.4547 0.012523 0.012544 0.012573 0.012602 3.40 4.53 MINERAL WELLS TEX INDPT 603109RM3 03/31/21 02/15/24 98.203 0.000 0.6317 0.017232 0.017272 0.017327 0.017382 4.68 6.24 MINERAL WELLS TEX INDPT 603109RN1 03/31/21 02/15/25 96.018 0.000 1.0513 0.028040 0.028151 0.028299 0.028448 7.61 10.20 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MINERAL WELLS TEX INDPT 603109RP6 03/31/21 02/15/26 94.328 0.000 1.2013 0.031477 0.031619 0.031809 0.032000 8.55 11.47 MINERAL WELLS TEX INDPT 603109RQ4 03/31/21 02/15/27 91.300 0.000 1.5552 0.039441 0.039671 0.039980 0.040291 10.72 14.42 MINERAL WELLS TEX INDPT 603109RR2 03/31/21 02/15/28 88.981 0.000 1.7053 0.042149 0.042419 0.042780 0.043145 11.46 15.43 MINERAL WELLS TEX INDPT 603109RS0 03/31/21 02/15/29 85.552 0.000 1.9913 0.047321 0.047675 0.048149 0.048629 12.87 17.38 MISSION CONS INDPT SCH D 605041HZ8 12/30/20 02/15/25 95.901 0.000 1.0172 0.03 0.027096 0.027131 0.027269 0.027407 0.027547 9.78 9.88 MOOD MEDIA BORROWER LLC 614875AB8 06/28/17 07/01/24* 65.470 VARIES 24.9700 415.94 0.470222 13.64* MOOD MEDIA BORROWER LLC 614875AC6 06/28/19 12/31/23 84.250 VARIES 20.4523 288.18 0.641998 0.707649 0.780014 0.859779 0.947702 243.07 295.33 MOOD MEDIA BORROWER LLC 614875AD4 06/28/19 12/31/23 84.250 VARIES 20.4523 288.18 0.641998 0.707649 0.780014 0.859779 0.947702 243.07 295.33 Morgan Stanley 6174464P1 03/20/08 03/20/23 81.700 2.935 4.6422 0.123810 0.124792 0.125796 0.126823 0.127875 44.95 45.68 Morgan Stanley 6174464Q9 03/20/08 03/20/23 78.350 VARIES 4.6440 0.122915 0.124077 0.125266 0.126482 0.127726 44.70 45.56 Morgan Stanley 61745E2E0 07/11/11 07/11/23 100.000 VARIES 5.5160 0.154783 0.154561 0.154332 0.154071 0.153803 55.61 55.42 Morgan Stanley 61745E2F7 11/28/11 11/28/26 100.000 VARIES 6.0157 0.149354 0.150569 0.151820 0.153109 0.154437 54.07 54.97 Morgan Stanley 61745E2K6 01/21/11 01/21/26 100.000 VARIES 5.7295 0.134366 0.135837 0.137769 0.139757 0.141802 49.18 50.60 Morgan Stanley 61745E2M2 11/30/11 11/30/31 100.000 VARIES 6.5857 0.160682 0.161001 0.161331 0.162045 0.162783 57.92 58.25 Morgan Stanley 61745E2S9 07/13/11 07/13/31 100.000 VARIES 5.5541 0.135315 0.135600 0.135894 0.136195 0.136505 48.86 49.08 Morgan Stanley 61745E2Z3 11/30/11 11/30/31 100.000 VARIES 6.7334 0.157450 0.158305 0.159188 0.160101 0.161045 56.89 57.53 Morgan Stanley 61745E3D1 02/14/11 02/14/31 100.000 VARIES 6.0719 0.140092 0.141132 0.142421 0.143750 0.145118 50.94 51.88 Morgan Stanley 61745E3S8 07/29/11 07/29/31 100.000 VARIES 5.6231 0.136613 0.137143 0.137688 0.138248 0.138824 49.44 49.84 Morgan Stanley 61745E3T6 12/27/11 12/27/26 100.000 VARIES 6.9292 0.169211 0.170832 0.172510 0.174245 0.176040 61.22 62.43 Morgan Stanley 61745E3Y5 07/29/11 07/29/26 100.000 VARIES 5.4529 0.128481 0.129966 0.131491 0.133057 0.134667 46.98 48.10 Morgan Stanley 61745E4E8 07/29/11 07/29/26 100.000 VARIES 5.4933 0.139316 0.140387 0.141487 0.142618 0.143780 50.68 51.49 Morgan Stanley 61745E4L2 07/29/11 07/29/26 100.000 VARIES 5.5117 0.131527 0.132925 0.134361 0.135837 0.137353 48.03 49.09 Morgan Stanley 61745E4T5 01/13/12 01/13/32 100.000 VARIES 6.1787 0.138097 0.138903 0.139824 0.140774 0.141754 50.15 50.83 Morgan Stanley 61745E5R8 03/15/11 03/15/21 100.000 VARIES 5.2217 0.145377 10.76 Morgan Stanley 61745E5S6 08/22/11 08/22/31 100.000 VARIES 5.6565 0.141085 0.141717 0.142368 0.143036 0.143724 51.07 51.55 Morgan Stanley 61745E5X5 03/22/11 03/22/31 100.000 VARIES 5.8739 0.160399 0.160608 0.160995 0.161394 0.161804 57.84 58.11 Morgan Stanley 61745E5Z0 01/31/12 01/31/32 100.000 VARIES 5.6272 0.136541 0.137024 0.137561 0.138113 0.138681 49.40 49.79 Morgan Stanley 61745E6D8 03/23/11 03/23/26 100.000 VARIES 5.5647 0.154110 0.154274 0.154442 0.154614 0.154701 55.54 55.66 Morgan Stanley 61745E6E6 08/24/11 08/24/23 100.000 VARIES 4.5799 0.128307 0.128162 0.128014 0.127822 0.127626 46.13 46.00 Morgan Stanley 61745E6R7 03/25/11 03/25/31 100.000 VARIES 5.9463 0.147512 0.148498 0.149531 0.150596 0.151692 53.48 54.23 Morgan Stanley 61745E6V8 04/15/10 04/15/25 100.000 VARIES 5.5533 0.152531 0.152676 0.152855 0.153039 0.153229 54.96 55.09 Morgan Stanley 61745E6Y2 08/12/11 08/12/23 100.000 VARIES 5.0167 0.140149 0.140040 0.139929 0.139791 0.139648 50.40 50.31 Morgan Stanley 61745E7E5 08/31/11 08/31/26 100.000 VARIES 5.5216 0.129048 0.128431 0.132113 0.131529 0.135350 47.37 48.51 Morgan Stanley 61745E7K1 03/31/11 04/01/21 100.000 VARIES 5.3224 0.148294 13.35 Morgan Stanley 61745ED65 04/08/11 04/08/26 100.000 VARIES 5.9065 0.164156 0.164477 0.164806 0.165146 0.165172 59.21 59.42 Morgan Stanley 61745EE49 04/15/11 04/15/26 100.000 VARIES 5.7613 0.154647 0.155208 0.155784 0.156377 0.156933 55.86 56.28 Morgan Stanley 61745EF22 04/15/11 04/15/26 100.000 VARIES 5.8397 0.170089 0.169732 0.169365 0.168987 0.168192 61.11 60.81 Morgan Stanley 61745EF63 05/18/10 05/18/25 100.000 VARIES 6.0399 0.163994 0.164156 0.164504 0.164862 0.165231 59.09 59.32 Morgan Stanley 61745EF89 04/15/11 04/15/21 100.000 VARIES 2.2565 0.007738 0.80 Morgan Stanley 61745EF97 08/31/11 08/31/31 100.000 VARIES 5.6735 0.140160 0.138522 0.141495 0.139873 0.142907 51.02 51.52 Morgan Stanley 61745EG62 04/25/11 04/25/23 100.000 VARIES 5.6779 0.156323 0.155387 0.156149 0.155202 0.156021 56.87 56.81 Morgan Stanley 61745EH46 04/26/11 04/26/26 100.000 VARIES 5.7525 0.137457 0.138117 0.140336 0.141063 0.143661 50.49 51.58 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61745EJ28 04/29/11 04/29/26 100.000 VARIES 5.7372 0.143242 0.144026 0.145219 0.146447 0.147710 51.83 52.65 Morgan Stanley 61745EJ93 09/09/11 09/09/26 100.000 VARIES 5.8527 0.146039 0.147091 0.148174 0.149393 0.150649 53.00 53.84 Morgan Stanley 61745EL58 09/16/11 09/16/31 100.000 VARIES 5.8547 0.140415 0.141458 0.142532 0.143324 0.144139 50.96 51.62 Morgan Stanley 61745EM32 09/22/11 09/22/26 100.000 VARIES 5.5348 0.138057 0.139033 0.140035 0.141066 0.142125 50.07 50.81 Morgan Stanley 61745EM81 05/17/11 05/17/23 100.000 VARIES 5.1511 0.143793 0.143663 0.143522 0.143376 0.143234 51.73 51.63 Morgan Stanley 61745EN64 05/19/11 05/19/26 100.000 VARIES 5.5224 0.141048 0.139408 0.142408 0.140782 0.144098 51.24 51.75 Morgan Stanley 61745EN72 09/30/11 09/30/31 100.000 VARIES 6.1252 0.141283 0.142408 0.143568 0.144762 0.145994 51.27 52.12 Morgan Stanley 61745EP47 05/12/11 05/12/21 100.000 VARIES 1.9923 0.014618 1.91 Morgan Stanley 61745ER60 05/31/11 05/31/31 100.000 VARIES 5.6682 0.137696 0.137938 0.138465 0.139007 0.139564 49.64 49.98 Morgan Stanley 61745ET27 05/31/11 05/31/26 100.000 VARIES 5.5394 0.149929 0.150095 0.150265 0.150440 0.150765 54.01 54.14 Morgan Stanley 61745EU66 06/10/11 06/10/26 100.000 VARIES 5.3579 0.147015 0.146971 0.146927 0.146882 0.147034 52.92 52.89 Morgan Stanley 61745EV40 06/14/11 06/14/21 100.000 VARIES 2.3142 0.015621 2.55 Morgan Stanley 61745EV65 01/20/09 01/20/24 100.000 VARIES 5.9022 0.158363 0.159155 0.159870 0.160607 0.161365 57.40 57.93 Morgan Stanley 61745EW23 06/23/11 06/23/26 100.000 VARIES 5.4880 0.132183 0.133622 0.135101 0.136621 0.138345 47.87 48.94 Morgan Stanley 61745EW31 10/27/11 10/27/31 100.000 VARIES 6.4618 0.176057 0.176539 0.177037 0.177551 0.178082 63.53 63.89 Morgan Stanley 61745EW49 01/30/09 01/30/24 100.000 VARIES 6.4553 0.174161 0.174810 0.175452 0.176115 0.176800 63.01 63.49 Morgan Stanley 61745EX63 06/30/11 06/30/31 100.000 VARIES 5.7759 0.138476 0.138804 0.139383 0.139979 0.140591 49.91 50.29 Morgan Stanley 61745EY47 06/30/11 06/30/26 100.000 VARIES 5.5720 0.143880 0.144879 0.145905 0.146960 0.147955 51.98 52.72 Morgan Stanley 61745EZ87 07/07/11 07/07/26 100.000 VARIES 5.7789 0.149626 0.150649 0.151701 0.152310 0.152937 54.41 54.94 Morgan Stanley 6174824H4 04/30/13 04/28/23 100.000 VARIES 3.0093 0.082187 0.082435 0.082709 0.082987 0.083287 29.66 29.86 Morgan Stanley 6174824W1 05/30/13 05/30/28 100.000 VARIES 3.5684 0.095734 0.095929 0.096134 0.096343 0.096556 34.51 34.66 Morgan Stanley 617482H23 03/16/12 03/16/27 100.000 VARIES 6.4024 0.167137 0.167363 0.167597 0.168095 0.168610 60.26 60.53 Morgan Stanley 617482PU2 12/22/10 12/22/25 100.000 VARIES 6.2468 0.163279 0.163964 0.164672 0.165401 0.166153 58.92 59.43 Morgan Stanley 617482RH9 02/28/11 02/27/26 100.000 VARIES 5.9551 0.157277 0.157677 0.158088 0.158511 0.159140 56.79 57.12 Morgan Stanley 617482UH5 05/31/11 05/29/26 100.000 VARIES 5.3835 0.144768 0.144886 0.145009 0.145134 0.145502 52.15 52.24 Morgan Stanley 617482UY8 06/15/11 06/13/31 100.000 VARIES 5.5345 0.137723 0.137732 0.137997 0.138269 0.138549 49.59 49.74 Morgan Stanley 617482VB7 06/30/11 06/30/31 100.000 VARIES 5.5330 0.139039 0.139110 0.139182 0.139257 0.139570 50.07 50.12 Morgan Stanley 617482XG4 08/30/11 08/29/31 100.000 VARIES 6.1189 0.151122 0.151971 0.151159 0.152009 0.151198 55.32 55.33 Morgan Stanley 61758S260 09/04/14 02/28/22 100.000 0.000 3.2754 0.109914 0.109893 0.113544 40.56 6.59 Morgan Stanley 61758S559 09/02/14 07/03/23 100.000 0.000 3.4567 0.117285 0.119312 0.121374 0.123472 0.125606 43.32 44.83 Morgan Stanley 61758S625 10/03/14 03/31/22 100.000 0.000 3.6906 0.127644 0.130000 0.132399 46.81 11.78 Morgan Stanley 61760E341 06/29/11 06/24/26 100.000 1.000 5.3273 0.225713 0.230986 0.236398 0.241955 0.247660 82.28 86.18 Morgan Stanley 61760QAB0 02/29/12 02/29/32 100.000 VARIES 5.1014 0.121218 0.119835 0.122444 0.121076 0.123738 44.14 44.60 Morgan Stanley 61760QAC8 02/29/12 02/29/32 100.000 VARIES 5.1025 0.131465 0.129648 0.132137 0.130325 0.132795 47.73 47.98 Morgan Stanley 61760QAG9 03/15/12 03/15/32 100.000 VARIES 5.5710 0.132134 0.132650 0.133260 0.133886 0.134530 47.78 48.22 Morgan Stanley 61760QAK0 03/30/12 03/30/32 100.000 VARIES 5.8741 0.136136 0.136821 0.137526 0.138251 0.139209 49.26 49.79 Morgan Stanley 61760QAN4 03/30/12 03/30/32 100.000 VARIES 6.0912 0.147796 0.148060 0.148332 0.148612 0.149269 53.30 53.54 Morgan Stanley 61760QAP9 03/30/12 03/30/27 100.000 VARIES 5.8451 0.142899 0.143948 0.145028 0.146139 0.147472 51.83 52.63 Morgan Stanley 61760QAW4 04/30/12 04/30/32 100.000 VARIES 5.9580 0.139655 0.140479 0.141328 0.142201 0.143089 50.53 51.14 Morgan Stanley 61760QBE3 05/21/12 05/21/21 100.000 VARIES 3.6559 0.017892 2.50 Morgan Stanley 61760QBG8 05/16/12 05/16/22 100.000 VARIES 3.9371 0.025369 0.025869 0.026378 9.27 3.56 Morgan Stanley 61760QBH6 05/31/12 05/31/27 100.000 VARIES 6.1478 0.144102 0.144817 0.146354 0.147938 0.149571 52.08 53.07 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61760QBJ2 05/31/12 05/31/27 100.000 VARIES 6.1478 0.144102 0.144817 0.146354 0.147938 0.149571 52.08 53.07 Morgan Stanley 61760QBY9 10/15/12 10/15/24 100.000 VARIES 4.4801 0.124509 0.124477 0.124456 0.124434 0.124412 44.81 44.80 Morgan Stanley 61760QBZ6 10/10/12 10/10/24 100.000 VARIES 4.6395 0.128863 0.128869 0.128874 0.128876 0.128877 46.39 46.40 Morgan Stanley 61760QCB8 11/28/12 11/28/27 100.000 VARIES 4.4679 0.140036 0.139751 0.139460 0.139162 0.138858 50.34 50.13 Morgan Stanley 61760QCD4 12/28/12 12/28/22 100.000 VARIES 2.1577 0.009305 0.009406 0.009507 0.009610 3.37 3.41 Morgan Stanley 61760QCG7 01/31/13 01/31/23 100.000 VARIES 2.1326 0.010078 0.010186 0.010295 0.010404 0.010515 3.68 3.76 Morgan Stanley 61760QCK8 02/28/13 03/01/23 100.000 VARIES 1.9099 0.009875 0.009969 0.010064 0.010161 0.010258 3.59 3.66 Morgan Stanley 61760QCQ5 06/28/13 06/28/28 100.000 VARIES 3.9696 0.099092 0.099703 0.100381 0.101071 0.101776 35.79 36.27 Morgan Stanley 61760QCS1 06/07/13 06/07/28 100.000 VARIES 4.0272 0.097809 0.098215 0.098949 0.099697 0.100460 35.31 35.79 Morgan Stanley 61760QCT9 06/28/13 06/28/28 100.000 VARIES 4.5851 0.111996 0.112800 0.113701 0.114622 0.115565 40.47 41.10 Morgan Stanley 61760QCV4 06/28/13 06/28/28 100.000 VARIES 4.3010 0.111822 0.112496 0.113185 0.113888 0.114446 40.38 40.88 Morgan Stanley 61760QCW2 06/28/13 06/28/28 100.000 VARIES 4.2811 0.111391 0.112064 0.112752 0.113454 0.114007 40.23 40.72 Morgan Stanley 61760QCY8 07/31/13 07/31/28 100.000 VARIES 4.5084 0.115375 0.116056 0.116752 0.117464 0.118192 41.87 42.38 Morgan Stanley 61760QCZ5 07/31/13 07/31/33 100.000 VARIES 4.4981 0.108538 0.109111 0.109697 0.110297 0.110910 39.35 39.78 Morgan Stanley 61760QDB7 08/19/13 08/19/33 100.000 VARIES 4.7352 0.120504 0.121102 0.121715 0.122311 0.122922 43.65 44.08 Morgan Stanley 61760QDD3 08/19/13 08/19/33 100.000 VARIES 4.5466 0.106924 0.107336 0.107757 0.108352 0.108960 38.68 39.06 Morgan Stanley 61760QDE1 08/28/13 08/28/33 100.000 VARIES 4.4982 0.103639 0.103910 0.104188 0.104710 0.105244 37.43 37.73 Morgan Stanley 61760QDH4 09/06/13 09/06/21 100.000 VARIES 2.3953 0.010723 0.010851 2.65 Morgan Stanley 61760QDL5 09/26/13 09/26/33 100.000 VARIES 4.6879 0.111561 0.111910 0.112267 0.112754 0.113253 40.29 40.60 Morgan Stanley 61760QDR2 11/27/13 11/27/33 100.000 VARIES 4.4302 0.101890 0.102361 0.102842 0.103568 0.104309 36.80 37.20 Morgan Stanley 61760QEC4 03/31/14 03/31/34 100.000 VARIES 4.3149 0.105330 0.105552 0.105779 0.106011 0.106314 38.00 38.17 Morgan Stanley 61760QEZ3 09/17/14 09/17/34 100.000 VARIES 2.6675 0.010188 0.010323 0.010461 0.010601 0.010742 3.72 3.82 Morgan Stanley 61760QFH2 10/30/14 10/30/24 100.000 VARIES 2.1052 0.056752 0.056960 0.057170 0.057382 0.057596 20.49 20.65 Morgan Stanley 61760QGA6 05/27/15 05/27/30 100.000 VARIES 2.7018 0.008893 0.009014 0.009135 0.009259 0.009384 3.23 3.32 Morgan Stanley 61760QGB4 05/20/15 05/20/25 100.000 VARIES 2.6352 0.008178 0.008286 0.008395 0.008505 0.008618 2.97 3.05 Morgan Stanley 61760QGP3 06/30/15 06/30/22 100.000 VARIES 1.5573 0.010846 0.010798 0.010750 3.90 1.92 Morgan Stanley 61760QGV0 07/31/15 07/31/27 100.000 VARIES 2.7160 0.009245 0.009371 0.009498 0.009627 0.009758 3.39 3.48 Morgan Stanley 61760QGW8 07/31/15 07/31/27 100.000 VARIES 2.7281 0.010313 0.010453 0.010596 0.010741 0.010887 3.78 3.88 Morgan Stanley 61760QHA5 08/28/15 08/28/25 100.000 VARIES 2.5293 0.007846 0.007945 0.008045 0.008147 0.008250 2.87 2.94 Morgan Stanley 61760QHQ0 09/30/15 09/30/22 100.000 VARIES 1.6929 0.009881 0.009964 0.010049 0.010134 3.59 2.72 Morgan Stanley 61760QHT4 10/07/15 10/07/25 100.000 VARIES 2.4403 0.009701 0.009820 0.009940 0.010061 0.010184 3.53 3.62 Morgan Stanley 61760QHZ0 11/10/15 11/10/25 100.000 VARIES 2.5656 0.008721 0.008833 0.008946 0.009061 0.009177 3.17 3.25 Morgan Stanley 61760QJA3 11/25/15 11/25/25 100.000 VARIES 2.4581 0.008657 0.008763 0.008871 0.008980 0.009090 3.14 3.22 Morgan Stanley 61760QJJ4 01/28/16 01/28/23 100.000 VARIES 2.2365 16.13 0.009340 0.009445 0.009550 0.009657 0.009765 3.41 3.49 Morgan Stanley 61760QJK1 02/17/16 02/17/26 100.000 VARIES 2.3885 30.72 0.016930 0.017133 0.017337 0.017544 0.017754 6.19 6.33 Morgan Stanley 61760QJS4 02/24/17 02/24/27 100.000 VARIES 2.8869 20.24 0.013416 0.013610 0.013806 0.014006 0.014208 4.91 5.06 Morgan Stanley 61760QJT2 03/20/17 03/20/27 100.000 VARIES 2.5542 9.96 0.007020 0.007109 0.007200 0.007292 0.007385 2.56 2.63 Morgan Stanley 61760QJV7 03/31/17 03/31/27 100.000 VARIES 2.8769 16.17 0.010981 0.011138 0.011299 0.011461 0.011626 4.01 4.13 Morgan Stanley 61760QKA1 09/30/16 09/30/26 100.000 VARIES 2.5378 28.02 0.017326 0.017546 0.017769 0.017994 0.018223 6.32 6.48 Morgan Stanley 61760QKE3 12/28/16 12/28/26 100.000 VARIES 2.2900 10.75 0.007070 0.007150 0.007232 0.007315 0.007399 2.56 2.62 Morgan Stanley 61760QKF0 12/30/16 12/30/26 100.000 VARIES 2.8667 18.70 0.012147 0.012321 0.012498 0.012677 0.012859 4.40 4.53 Morgan Stanley 61760QKH6 02/21/17 02/21/27 100.000 VARIES 2.7058 10.15 0.006992 0.007087 0.007183 0.007280 0.007379 2.56 2.63 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61760QKK9 06/30/17 06/30/27 100.000 VARIES 2.7385 15.23 0.011067 0.011219 0.011372 0.011528 0.011686 4.01 4.12 Morgan Stanley 61760QKQ6 08/02/17 08/02/27 100.000 VARIES 2.7106 15.80 0.011609 0.011767 0.011926 0.012088 0.012252 4.25 4.37 Morgan Stanley 61760QKR4 09/15/17 09/15/27 100.000 VARIES 2.6232 13.56 0.010327 0.010463 0.010600 0.010739 0.010880 3.77 3.87 Morgan Stanley 61760QKU7 09/29/17 09/29/27 100.000 VARIES 2.7477 13.69 0.010480 0.010624 0.010770 0.010917 0.011067 3.83 3.93 Morgan Stanley 61760QKZ6 03/22/18 03/22/28 100.000 VARIES 3.8651 107.40 0.106937 0.105272 0.107052 0.105368 0.107132 38.74 38.77 Morgan Stanley 61760QLA0 04/03/18 04/03/28 100.000 VARIES 3.1280 7.09 0.006448 0.006549 0.006652 0.006756 0.006861 2.36 2.43 Morgan Stanley 61760QLB8 04/03/18 04/03/28 100.000 VARIES 3.4407 15.60 0.014017 0.014258 0.014503 0.014752 0.015006 5.13 5.31 Morgan Stanley 61760QLC6 05/03/18 05/03/28 100.000 VARIES 3.4370 10.13 0.009358 0.009519 0.009683 0.009849 0.010018 3.42 3.54 Morgan Stanley 61760QLJ1 06/29/18 06/29/23 100.000 VARIES 3.3558 10.24 0.010961 0.011145 0.011332 0.011522 0.011716 3.98 4.11 Morgan Stanley 61760QLM4 06/29/18 06/29/23 100.000 VARIES 3.2564 7.63 0.008440 0.008578 0.008717 0.008859 0.009004 3.06 3.16 Morgan Stanley 61760QLN2 07/31/18 07/31/23 100.000 VARIES 3.2828 7.22 0.008133 0.008267 0.008402 0.008540 0.008680 2.99 3.09 Morgan Stanley 61760QLT9 09/05/18 03/05/21 100.000 VARIES 3.0209 6.39 0.007572 0.48 Morgan Stanley 61760QLX0 09/26/18 09/26/28 100.000 VARIES 3.8192 6.41 0.006571 0.006696 0.006824 0.006955 0.007087 2.41 2.51 Morgan Stanley 61760QMC5 08/23/19 08/23/21 100.000 VARIES 2.3620 3.51 0.007109 0.007193 1.66 Morgan Stanley 61760QMF8 11/28/18 11/28/28 100.000 VARIES 3.9167 12.40 0.014819 0.014104 0.013374 0.013636 0.013903 5.16 4.88 Morgan Stanley 61760QMM3 02/25/19 02/25/29 100.000 VARIES 3.3395 10.81 0.014574 0.013523 0.013749 0.013979 0.014212 4.95 5.05 Morgan Stanley 61760QMZ4 06/19/20 06/19/30 100.000 VARIES 1.9060 10.16 0.052390 0.051833 0.051960 0.052139 0.052306 18.75 18.74 Morgan Stanley 61760S134 02/05/14 01/29/21 100.000 0.000 3.2801 0.112511 3.15 Morgan Stanley 61760S282 03/04/14 02/26/21 100.000 0.000 3.1844 0.108542 5.97 Morgan Stanley 61760S522 04/03/14 03/31/21 100.000 0.000 3.3225 0.114303 10.17 Morgan Stanley 61760S613 03/18/14 09/20/21 100.000 0.000 3.4354 0.119100 0.121146 31.22 Morgan Stanley 61760S621 03/18/14 07/18/22 100.000 0.000 3.7451 0.131596 0.134060 0.136570 0.139128 48.63 27.36 Morgan Stanley 61760S738 05/05/14 10/29/21 100.000 0.000 3.5626 0.124423 0.126639 37.48 Morgan Stanley 61761JB24 07/06/15 07/06/22 100.000 0.000 3.3973 0.111684 0.113581 0.115510 0.117472 41.22 21.72 Morgan Stanley 61761JDB2 02/20/13 02/18/33 100.000 VARIES 4.5201 0.113124 0.113068 0.113178 0.113292 0.113407 40.72 40.80 Morgan Stanley 61761JGF0 05/08/13 05/06/33 100.000 VARIES 3.9967 0.102382 0.102303 0.102371 0.102440 0.102510 36.84 36.87 Morgan Stanley 61761JGH6 05/30/13 05/31/33 100.000 VARIES 4.3438 0.109843 0.109206 0.109913 0.109421 0.110134 39.98 40.04 Morgan Stanley 61761JGS2 05/24/13 05/24/33 100.000 VARIES 4.1821 0.105693 0.105676 0.105809 0.105944 0.106083 38.05 38.13 Morgan Stanley 61761JHD4 06/28/13 06/28/33 100.000 VARIES 5.2916 0.133310 0.133249 0.133387 0.133528 0.133672 47.98 48.05 Morgan Stanley 61761JHJ1 06/28/13 06/28/21 100.000 0.000 4.0232 0.150663 26.67 Morgan Stanley 61761JJB6 06/18/13 06/18/32 100.000 VARIES 4.7373 0.122587 0.122555 0.122673 0.122794 0.122918 44.13 44.19 Morgan Stanley 61761JJF7 06/25/13 06/25/21 100.000 0.000 3.9339 0.146358 25.47 Morgan Stanley 61761JJP5 07/31/13 07/29/33 100.000 VARIES 4.8133 0.122687 0.122617 0.122545 0.122634 0.122725 44.13 44.16 Morgan Stanley 61761JJW0 07/31/13 01/29/21 100.000 0.000 3.5968 0.128216 3.59 Morgan Stanley 61761JJY6 07/15/13 07/15/33 99.000 VARIES 4.8838 0.126549 0.126569 0.126590 0.126725 0.126863 45.57 45.64 Morgan Stanley 61761JKJ7 08/30/13 02/26/21 100.000 0.000 3.7094 0.133215 7.33 Morgan Stanley 61761JKL2 08/30/13 08/30/33 100.000 VARIES 5.0532 0.127731 0.127019 0.127703 0.127139 0.127976 46.49 46.54 Morgan Stanley 61761JKY4 09/30/13 09/30/33 100.000 VARIES 4.8148 0.123676 0.123700 0.123725 0.123869 0.124017 44.53 44.59 Morgan Stanley 61761JLU1 09/30/13 09/30/33 100.000 VARIES 4.8742 0.127800 0.127814 0.127829 0.127939 0.128052 46.01 46.06 Morgan Stanley 61761JLY3 10/31/13 10/31/33 100.000 VARIES 4.7082 0.118994 0.118912 0.118829 0.118945 0.119065 42.81 42.81 Morgan Stanley 61761JMC0 10/31/13 10/29/21 100.000 0.000 3.4604 0.122204 0.124318 36.80 Morgan Stanley 61761JMW6 11/29/13 03/29/22 100.000 0.000 3.7206 0.132960 0.135434 0.137953 48.77 12.14 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61761JMZ9 12/26/13 06/27/22 100.000 0.000 3.9457 0.144095 0.146938 0.149837 52.41 26.37 Morgan Stanley 61761JNF2 12/26/13 12/27/33 100.000 VARIES 4.7412 0.121198 0.120531 0.121189 0.120645 0.121430 44.12 44.14 Morgan Stanley 61761JRH4 06/30/14 06/30/21 100.000 0.000 3.0261 0.102180 18.29 Morgan Stanley 61761JVY2 01/30/15 01/29/21 100.000 0.000 2.7901 0.090256 2.53 Morgan Stanley 61761JWZ8 02/24/15 02/24/23 100.000 0.000 3.1504 0.103925 0.105562 0.107225 0.108914 0.110630 38.13 39.34 Morgan Stanley 61761JXP9 03/03/15 03/03/25 100.000 0.000 3.5983 0.121615 0.123803 0.126030 0.128297 0.130606 44.70 46.32 Morgan Stanley 61761JZB8 06/03/15 06/03/22 100.000 0.000 3.2133 0.106362 0.108071 0.109807 38.69 16.69 Morgan Stanley 61761S331 07/03/14 12/31/21 100.000 0.000 3.3219 0.114290 0.116189 41.37 Morgan Stanley 61761S679 08/05/14 01/31/22 100.000 0.000 3.4470 0.114932 0.118851 0.118928 43.27 3.57 Morgan Stanley 61762GAM6 11/27/13 05/27/21 100.000 0.000 3.3898 0.119139 17.39 Morgan Stanley 61762GBE3 03/11/14 03/04/24 100.000 VARIES 3.8517 0.109494 0.109200 0.108852 0.108497 0.108137 39.29 39.04 Morgan Stanley 61762GBF0 03/31/14 03/29/29 100.000 VARIES 4.2966 0.128225 0.128162 0.128099 0.128034 0.127687 46.14 46.07 Morgan Stanley 61762GFA7 10/30/15 10/30/23 100.000 0.000 3.5009 0.115674 0.117698 0.119759 0.121855 0.123988 42.26 43.75 Morgan Stanley 61762P476 08/09/13 08/09/23 100.000 0.000 4.3446 0.163049 0.166591 0.170210 0.173907 0.177685 60.35 63.00 Morgan Stanley 61764C275 11/05/14 04/29/22 100.000 0.000 3.5062 0.119912 0.122014 0.124154 43.81 14.65 Morgan Stanley 61764C622 12/03/14 05/31/22 100.000 0.000 3.3216 0.111166 0.112395 0.114889 40.92 17.23 Morgan Stanley 61764V364 04/06/15 04/05/22 100.000 0.000 2.9611 0.096680 0.098111 0.099564 35.31 9.36 Morgan Stanley 61764V570 04/01/15 11/07/25 100.000 0.000 3.4095 0.114450 0.116401 0.118385 0.120403 0.122456 41.77 43.20 Morgan Stanley 61764V646 05/05/15 11/03/22 100.000 0.000 3.1620 0.104356 0.106006 0.107682 0.109384 38.06 32.83 Morgan Stanley 61764V828 06/03/15 12/05/22 100.000 0.000 3.2131 0.106374 0.108083 0.109820 0.111584 38.69 37.00 Morgan Stanley 61765G309 07/06/15 01/05/23 100.000 0.000 3.3974 0.111675 0.113572 0.115501 0.117463 0.119458 41.22 42.63 Morgan Stanley 61765G564 08/05/15 02/03/23 100.000 0.000 3.4449 0.113492 0.115447 0.117436 0.119459 0.121516 41.79 43.24 Morgan Stanley 61765G804 09/03/15 03/03/23 100.000 0.000 3.4969 0.115520 0.117540 0.119595 0.121686 0.123813 42.43 43.93 Morgan Stanley 61765R271 09/18/15 03/20/23 100.000 0.000 3.6136 0.120088 0.122258 0.124467 0.126716 0.129005 44.06 45.67 Morgan Stanley 61765R438 10/05/15 04/04/23 100.000 0.000 3.3207 0.108743 0.110548 0.112384 0.114249 0.116146 39.79 41.12 Morgan Stanley 61765R669 11/04/15 05/05/23 100.000 0.000 3.3210 0.108173 0.108176 0.111795 0.111798 0.115538 39.69 41.02 Morgan Stanley 61765U175 12/03/15 06/02/23 100.000 0.000 3.3916 0.111452 0.113342 0.115264 0.117219 0.119207 40.57 41.96 Morgan Stanley 61765U381 01/05/16 07/06/23 100.000 0.000 3.3685 181.35 0.108757 0.110589 0.112451 0.114345 0.116271 40.13 41.49 Morgan Stanley 61765U407 01/05/16 07/06/21 100.000 0.000 2.9924 159.73 0.095016 0.096438 17.83 Morgan Stanley 61765U597 02/03/16 08/03/21 100.000 0.000 3.0506 160.33 0.097106 0.098587 20.85 Morgan Stanley 61765U787 03/03/16 09/02/21 100.000 0.000 3.1367 162.16 0.100220 0.101792 24.44 Morgan Stanley 61765U803 03/03/16 09/01/23 100.000 0.000 3.5888 187.39 0.116971 0.119070 0.121206 0.123381 0.125595 43.00 44.55 Morgan Stanley 61766B135 04/05/16 10/04/23 100.000 0.000 3.0621 154.93 0.097516 0.099009 0.100525 0.102064 0.103627 35.64 36.74 Morgan Stanley 61766B168 04/05/16 10/04/23 100.000 0.000 3.0621 154.93 0.097516 0.099009 0.100525 0.102064 0.103627 35.64 36.74 Morgan Stanley 61766B176 04/05/16 10/05/21 100.000 0.000 2.6206 131.34 0.081845 0.082917 22.62 Morgan Stanley 61766B259 05/04/16 11/03/23 100.000 0.000 3.0362 150.73 0.096581 0.098047 0.099535 0.101046 0.102580 35.20 36.28 Morgan Stanley 61766B309 05/04/16 11/03/21 100.000 0.000 2.5128 123.38 0.078094 0.079076 23.76 Morgan Stanley 61766B366 06/03/16 12/05/23 100.000 0.000 3.0194 147.06 0.095999 0.097448 0.098920 0.100413 0.101929 34.90 35.96 Morgan Stanley 61766B408 06/03/16 12/03/21 100.000 0.000 2.6240 126.77 0.081961 0.083037 27.40 Morgan Stanley 61766B564 07/06/16 01/03/24 100.000 0.000 2.7558 130.64 0.085386 0.086563 0.087755 0.088964 0.090190 31.37 32.24 Morgan Stanley 61766B598 07/06/16 01/04/22 100.000 0.000 2.5838 122.07 0.079523 0.080550 0.081591 29.18 0.24 Morgan Stanley 61766F250 11/03/16 05/03/24 100.000 0.000 2.9896 131.45 0.093510 0.094908 0.096326 0.097766 0.099228 34.08 35.10 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61766F466 12/05/16 06/05/24 100.000 0.000 3.5039 151.97 0.111838 0.113797 0.115791 0.117820 0.119884 40.72 42.16 Morgan Stanley 61766F839 02/03/17 02/03/22 100.000 0.000 3.0758 126.82 0.095071 0.096533 0.098018 34.92 3.14 Morgan Stanley 61766V578 04/05/17 10/04/23 100.000 0.000 3.3161 130.89 0.103344 0.105057 0.106799 0.108570 0.110370 37.81 39.08 Morgan Stanley Finance 61766V867 05/03/17 11/03/23 100.000 0.000 3.2047 123.47 0.099498 0.101093 0.102713 0.104358 0.106031 36.29 37.47 Morgan Stanley Finance 61766W352 06/05/17 12/05/23 100.000 0.000 3.0702 115.00 0.094881 0.096337 0.097816 0.099318 0.100843 34.50 35.56 Morgan Stanley Finance 61766X459 09/06/17 03/05/24 100.000 0.000 3.0212 104.69 0.091814 0.093201 0.094609 0.096038 0.097489 33.63 34.65 Morgan Stanley Finance 61766X483 09/06/17 09/06/23 100.000 0.000 2.9385 101.70 0.089091 0.090400 0.091728 0.093076 0.094443 32.61 33.58 Morgan Stanley Finance 61766X822 10/04/17 10/04/23 100.000 0.000 2.9409 99.29 0.089170 0.090482 0.091812 0.093162 0.094532 32.57 33.53 Morgan Stanley Finance 61766X848 10/04/17 10/04/23 100.000 0.000 2.9409 99.29 0.089170 0.090482 0.091812 0.093162 0.094532 32.57 33.53 Morgan Stanley 61766YAB7 05/25/16 05/25/26 100.000 VARIES 2.2927 15.41 0.009217 0.009323 0.009430 0.009538 0.009647 3.34 3.42 Morgan Stanley 61766YAD3 05/25/16 05/25/23 100.000 VARIES 1.9635 12.88 0.007855 0.007932 0.008010 0.008088 0.008168 2.85 2.90 Morgan Stanley 61766YAN1 09/30/16 09/30/26 100.000 VARIES 2.2435 13.52 0.008645 0.008742 0.008840 0.008939 0.009039 3.15 3.22 Morgan Stanley Finance 61766YDX6 06/18/19 07/19/21 100.000 0.000 2.7205 42.40 0.077820 0.078879 15.60 Morgan Stanley Finance 61766YEC1 07/03/19 07/01/21 100.000 0.000 2.3707 35.85 0.068215 12.28 Morgan Stanley 61767BAA8 02/22/16 02/23/26 100.000 VARIES 3.7844 185.06 0.106576 0.106753 0.106802 0.106852 0.106903 38.43 38.47 Morgan Stanley Finance 61768C2K2 05/30/18 05/29/26 100.000 0.000 4.0544 109.42 0.124496 0.127020 0.129595 0.132222 0.134903 45.44 47.30 Morgan Stanley Finance 61768C2X4 05/23/18 05/20/21 100.000 0.000 3.6531 98.95 0.111053 15.44 Morgan Stanley Finance 61768C3D7 06/04/18 06/04/21 100.000 0.000 3.3961 90.61 0.102622 15.70 Morgan Stanley Finance 61768C3H8 06/29/18 07/01/25 100.000 0.000 4.0272 105.06 0.123620 0.126109 0.128648 0.131239 44.95 46.78 Morgan Stanley Finance 61768C4D6 06/05/18 06/04/21 100.000 0.000 3.3960 90.50 0.102611 15.70 Morgan Stanley Finance 61768C4E4 06/20/18 06/18/21 100.000 0.000 3.4825 91.31 0.105437 17.61 Morgan Stanley Finance 61768C4F1 06/20/18 06/18/21 100.000 0.000 3.4825 91.31 0.105437 17.61 Morgan Stanley Finance 61768C4Q7 06/29/18 06/30/23 100.000 0.000 3.7636 97.93 0.114770 0.116930 0.119130 0.121372 0.123656 41.71 43.29 Morgan Stanley Finance 61768C5E3 06/20/18 06/18/21 100.000 0.000 3.4825 91.31 0.105437 17.61 Morgan Stanley Finance 61768C5F0 06/28/18 06/30/21 100.000 0.000 3.4856 90.55 0.105579 18.90 Morgan Stanley Finance L 61768C5S2 07/31/18 07/31/25 100.000 0.000 4.0045 100.71 0.120416 0.122827 0.125286 0.127795 0.130354 44.52 46.32 Morgan Stanley Finance 61768C6X0 07/26/18 07/28/21 100.000 0.000 3.4862 87.66 0.103791 0.105600 21.81 Morgan Stanley Finance 61768C6Y8 07/26/18 07/28/21 100.000 0.000 3.4862 87.66 0.103791 0.105600 21.81 Morgan Stanley Finance 61768C6Z5 07/26/18 07/28/21 100.000 0.000 3.4862 87.66 0.103791 0.105600 21.81 Morgan Stanley Finance 61768C7D3 07/17/18 07/17/23 100.000 2.500 3.7523 93.78 0.106967 0.108974 0.108398 0.110432 0.109905 39.10 39.64 Morgan Stanley Finance 61768C7J0 07/18/18 07/16/21 100.000 0.000 3.4782 88.27 0.103496 0.105296 20.51 Morgan Stanley Finance 61768CA56 02/07/18 02/04/21 100.000 0.000 2.9301 88.03 0.087509 2.89 Morgan Stanley 61768CAV9 10/31/16 10/31/23 100.000 0.000 2.9263 128.79 0.091302 0.092638 0.093993 0.095368 0.096764 33.27 34.25 Morgan Stanley Finance 61768CB63 03/05/18 03/04/21 100.000 0.000 3.1415 91.99 0.094327 5.94 Morgan Stanley Finance 61768CB89 02/28/18 03/03/26 100.000 0.000 3.7712 112.06 0.115072 0.117241 0.119452 0.121704 0.123999 42.33 43.94 Morgan Stanley Finance 61768CE78 03/02/18 03/04/21 100.000 0.000 3.1690 93.11 0.095242 6.00 Morgan Stanley Finance 61768CG27 02/28/18 02/24/21 100.000 0.000 3.0750 90.62 0.092156 4.88 Morgan Stanley Finance 61768CH42 03/29/18 03/31/25 100.000 0.000 3.8850 111.91 0.118827 0.121135 0.123488 0.125887 0.128333 43.62 45.33 Morgan Stanley Finance 61768CH75 03/14/18 03/12/21 100.000 0.000 3.2612 94.74 0.098201 6.97 Morgan Stanley Finance 61768CH91 03/29/18 10/01/25* 100.000 0.000 3.9182 112.91 0.119954 10.68* Morgan Stanley Finance 61768CL47 03/29/18 03/30/23 100.000 0.000 3.6383 104.50 0.110609 0.112622 0.114670 0.116756 0.118880 40.55 42.04 Morgan Stanley Finance 61768CM38 03/28/18 03/26/21 100.000 0.000 3.4041 97.62 0.102864 8.74 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61768CMZ7 07/31/17 07/29/22 100.000 0.000 2.8125 100.23 0.084948 0.086142 0.087354 0.088582 31.16 18.39 Morgan Stanley Finance 61768CN45 03/29/18 07/01/21 100.000 0.000 3.4534 98.98 0.105424 18.98 Morgan Stanley Finance 61768CN52 03/28/18 03/26/21 100.000 0.000 3.4041 97.62 0.102864 8.74 Morgan Stanley Finance 61768CNA1 07/31/17 07/29/22 100.000 0.000 2.8126 100.23 0.084951 0.086145 0.087357 0.088585 31.16 18.39 Morgan Stanley Finance 61768CNB9 08/01/17 02/01/22 100.000 0.000 2.7076 96.26 0.081530 0.082634 0.083753 29.88 2.51 Morgan Stanley Finance 61768CPJ0 08/28/17 08/28/24* 100.000 0.000 3.1530 110.23 0.096200 0.097717 22.88* Morgan Stanley Finance 61768CQ75 04/05/18 04/01/21 100.000 0.000 3.3668 95.80 0.101625 9.15 Morgan Stanley Finance 61768CQT7 09/29/17 03/31/23 100.000 0.000 2.8669 97.13 0.086743 0.087987 0.089248 0.090527 0.091825 31.68 32.59 Morgan Stanley Finance 61768CR58 04/18/18 04/16/21 100.000 0.000 3.3291 93.38 0.100413 10.54 Morgan Stanley Finance 61768CR66 04/18/18 04/16/21 100.000 0.000 3.3291 93.38 0.100413 10.54 Morgan Stanley Finance 61768CR74 04/18/18 04/16/21 100.000 0.000 3.3291 93.38 0.100413 10.54 Morgan Stanley Finance 61768CR82 04/04/18 07/08/21 100.000 0.000 3.3930 96.68 0.101703 0.103429 19.33 Morgan Stanley Finance 61768CRZ2 10/31/17 10/31/23 100.000 0.000 2.9977 98.92 0.091045 0.092410 0.093795 0.095201 0.096628 33.19 34.19 Morgan Stanley Finance 61768CSH1 10/30/17 10/28/32 100.000 0.000 3.7753 120.49 0.104615 0.106590 0.104903 0.106884 0.105378 38.03 38.15 Morgan Stanley Finance 61768CSS7 10/31/17 10/31/22 100.000 0.000 2.8463 93.73 0.086060 0.087285 0.088527 0.089787 31.35 26.70 Morgan Stanley 61768CST5 12/08/17 06/10/24 100.000 0.000 3.1083 99.13 0.094727 0.096200 0.097695 0.099213 0.100755 34.43 35.51 Morgan Stanley Finance 61768CSU2 11/30/17 11/29/24 100.000 0.000 3.1215 100.33 0.095143 0.096628 0.098136 0.099668 0.101223 34.61 35.70 Morgan Stanley Finance 61768CTF4 11/30/17 05/30/25* 100.000 0.000 3.2698 105.30 0.100109 0.101746 0.103410 33.44* Morgan Stanley Finance 61768CTQ0 11/30/17 12/03/25 100.000 0.000 3.2697 105.29 0.100134 0.101771 0.103435 0.105126 0.106845 36.44 37.64 Morgan Stanley Finance 61768CUZ8 12/27/17 12/27/24 100.000 0.000 3.2580 102.21 0.099712 0.101337 0.102987 0.104665 0.106370 36.20 37.39 Morgan Stanley Finance 61768CV46 04/25/18 04/26/21 100.000 0.000 3.4324 95.66 0.103822 11.94 Morgan Stanley Finance 61768CV53 04/30/18 04/29/21 100.000 0.000 3.4816 96.56 0.105418 12.44 Morgan Stanley Finance 61768CVP9 12/29/17 06/30/23 100.000 0.000 3.0395 94.91 0.092436 0.093840 0.095267 0.096714 0.098184 33.53 34.56 Morgan Stanley Finance 61768CVQ7 12/29/17 06/30/23 100.000 0.000 3.0395 94.91 0.092436 0.093840 0.095267 0.096714 0.098184 33.53 34.56 Morgan Stanley Finance 61768CVR5 12/08/17 06/10/24 100.000 0.000 3.1083 99.13 0.094727 0.096200 0.097695 0.099213 0.100755 34.43 35.51 Morgan Stanley Finance 61768CWE3 12/29/17 12/31/25 100.000 0.000 3.3131 103.80 0.101574 0.103257 0.104968 0.106706 0.108474 36.87 38.10 Morgan Stanley Finance 61768CWL7 12/18/17 06/18/25 100.000 0.000 3.2094 101.50 0.098086 0.099660 0.101259 0.102884 0.104535 35.64 36.79 Morgan Stanley Finance 61768CX28 05/30/18 05/30/25 100.000 0.000 3.9488 106.44 0.120953 0.123341 0.125776 0.128259 0.130792 44.12 45.88 Morgan Stanley Finance 61768CXC6 01/31/18 01/30/25 100.000 0.000 3.4110 103.80 0.103109 0.104868 0.106656 0.108475 0.110325 37.97 39.28 Morgan Stanley Finance 61768CXJ1 01/31/18 07/31/23 100.000 0.000 3.3080 100.54 0.099743 0.101393 0.103070 0.104775 0.106508 36.71 37.93 Morgan Stanley Finance 61768CXP7 01/31/18 07/31/25* 100.000 0.000 3.4534 105.15 0.104499 2.93* Morgan Stanley Finance 61768CXW2 01/31/18 07/31/25 100.000 0.000 3.4534 105.15 0.104499 0.106303 0.108139 0.110006 0.111906 38.49 39.83 Morgan Stanley Finance 61768CXY8 01/31/18 02/01/24 100.000 0.000 3.3672 102.42 0.101684 0.103396 0.105137 0.106907 0.108707 37.43 38.70 Morgan Stanley Finance 61768CY35 05/23/18 05/21/21 100.000 0.000 3.6531 98.95 0.111065 15.55 Morgan Stanley Finance 61768CY43 05/23/18 05/21/21 100.000 0.000 3.6531 98.95 0.111065 15.55 Morgan Stanley Finance 61768CY92 05/30/18 05/27/21 100.000 0.000 3.4134 91.50 0.103161 15.06 Morgan Stanley Finance 61768CYW1 01/31/18 01/31/23 100.000 0.000 3.2187 97.72 0.096839 0.098397 0.099981 0.101590 0.103225 35.62 36.77 Morgan Stanley Finance 61768CZ59 05/31/18 11/30/23 100.000 0.000 3.6409 97.83 0.110684 0.112699 0.114751 0.116840 0.118967 40.34 41.82 Morgan Stanley Finance 61768CZ91 05/30/18 11/28/25* 100.000 0.000 4.0016 107.93 0.122704 18.04* Morgan Stanley Finance 61768CZF7 02/28/18 02/27/25 100.000 0.000 3.6613 108.64 0.111348 0.113386 0.115462 0.117576 0.119728 40.96 42.48 Morgan Stanley Finance 61768CZL4 02/07/18 02/05/21 100.000 0.000 2.9301 88.04 0.087517 2.98 Morgan Stanley Finance 61768D8A6 05/31/19 03/03/23 100.000 0.000 2.9097 46.94 0.083820 0.085040 0.086277 0.087532 0.088805 30.68 31.58 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61768D8H1 06/05/19 12/06/21 100.000 0.000 2.6443 42.18 0.076411 0.077421 25.78 Morgan Stanley Finance 61768D8J7 06/05/19 06/03/22 100.000 0.000 2.6953 43.01 0.077926 0.078977 0.080041 28.30 12.17 Morgan Stanley Finance 61768DAR6 08/31/18 09/03/25 100.000 0.000 3.9373 95.41 0.118278 0.120607 0.122981 0.125402 0.127871 43.55 45.29 Morgan Stanley Finance 61768DAV7 08/29/18 08/27/21 100.000 0.000 3.3880 81.78 0.100635 0.102339 24.06 Morgan Stanley Finance 61768DAW5 08/29/18 08/27/21 100.000 0.000 3.3880 81.78 0.100635 0.102339 24.06 Morgan Stanley Finance 61768DAX3 08/29/18 08/27/21 100.000 0.000 3.3880 81.78 0.100635 0.102339 24.06 Morgan Stanley Finance 61768DBS3 08/07/18 08/07/23 100.000 0.000 3.7613 93.58 0.112563 0.114680 0.116837 0.119034 0.121273 41.52 43.10 Morgan Stanley Finance 61768DBW4 08/09/18 08/11/25 100.000 0.000 3.9321 97.76 0.118098 0.120420 0.122787 0.125201 0.127663 43.59 45.32 Morgan Stanley Finance 61768DBX2 08/29/18 08/29/23 100.000 0.000 3.6325 87.88 0.108437 0.110396 0.112412 0.114442 0.116532 39.88 41.34 Morgan Stanley Finance 61768DDL6 09/28/18 09/30/25 100.000 0.000 4.1262 96.68 0.124400 0.126967 0.129586 0.132259 0.134988 45.72 47.62 Morgan Stanley Finance 61768DEW1 09/27/18 09/29/21 100.000 0.000 3.5590 83.08 0.106108 0.107996 28.78 Morgan Stanley Finance 61768DFB6 09/26/18 09/24/21 100.000 0.000 3.5813 83.72 0.106779 0.108691 28.43 Morgan Stanley Finance 61768DFQ3 10/31/18 10/30/25 100.000 0.000 4.1832 94.03 0.126231 0.128871 0.131566 0.134318 0.137128 46.24 48.20 Morgan Stanley Finance 61768DFW0 11/05/18 11/04/21 100.000 0.000 3.6429 80.97 0.108758 0.110739 33.31 Morgan Stanley Finance 61768DFZ3 10/26/18 10/26/21 100.000 0.000 3.6548 82.22 0.109147 0.111142 32.56 Morgan Stanley Finance 61768DGC3 10/26/18 10/26/21 100.000 0.000 3.6548 82.22 0.109147 0.111142 32.56 Morgan Stanley Finance 61768DH40 03/05/19 03/04/24 100.000 0.000 3.5292 65.86 0.103306 0.105129 0.106984 0.108872 0.110793 37.95 39.30 Morgan Stanley Finance 61768DH57 02/28/19 03/02/22 100.000 0.000 3.1591 59.46 0.092009 0.093462 0.094939 33.73 5.79 Morgan Stanley Finance 61768DHD0 10/16/18 01/14/21 100.000 0.000 3.4749 79.10 0.102509 1.33 Morgan Stanley Finance 61768DHE8 10/31/18 05/01/23 100.000 VARIES 3.8571 85.93 0.113457 0.115645 0.116807 0.119060 0.120288 41.44 42.67 Morgan Stanley Finance 61768DHG3 10/16/18 10/15/21 100.000 0.000 3.5937 81.87 0.107184 0.109110 30.79 Morgan Stanley Finance 61768DHK4 10/22/18 10/20/23 100.000 0.000 3.9969 90.66 0.120145 0.122546 0.124995 0.127493 0.130041 44.03 45.81 Morgan Stanley Finance 61768DHP3 10/16/18 10/14/22 100.000 0.000 3.7996 86.72 0.113774 0.115936 0.118138 0.120383 41.68 33.84 Morgan Stanley Finance 61768DJG1 10/24/18 10/21/21 100.000 0.000 3.6547 82.44 0.109114 0.111108 32.00 Morgan Stanley Finance 61768DJJ5 10/25/18 10/27/21 100.000 0.000 3.6694 82.67 0.109639 0.111650 32.82 Morgan Stanley Finance 61768DKG9 11/30/18 12/03/25 100.000 0.000 4.2632 92.02 0.128893 0.131640 0.134446 0.137312 0.140239 47.05 49.08 Morgan Stanley Finance 61768DQA6 12/05/18 12/03/21 100.000 0.000 3.7382 79.80 0.111799 0.113889 37.49 Morgan Stanley Finance 61768DQE8 12/05/18 12/05/23 100.000 0.000 4.0845 87.43 0.123014 0.125527 0.128090 0.130706 0.133376 44.87 46.72 Morgan Stanley Finance 61768DQT5 11/21/18 11/19/21 100.000 0.000 3.6635 79.69 0.109405 0.111409 35.15 Morgan Stanley Finance 61768DRL1 11/21/18 11/18/21 100.000 0.000 3.6635 79.69 0.109393 0.111397 35.04 Morgan Stanley Finance 61768DRQ0 11/26/18 11/26/21 100.000 0.000 3.6347 78.50 0.108505 0.110477 35.62 Morgan Stanley Finance 61768DZW8 02/28/19 02/29/24 100.000 0.000 3.4964 65.95 0.102314 0.104093 0.105922 0.107764 0.109658 37.60 38.92 Morgan Stanley Finance 61768J441 11/03/17 11/03/23 100.000 0.000 2.9727 97.79 0.090218 0.091559 0.092920 0.094301 0.095703 32.88 33.86 Morgan Stanley Finance 61768J458 11/03/17 11/05/24 100.000 0.000 3.0987 102.11 0.094409 0.095872 0.097357 0.098866 0.100397 34.42 35.49 Morgan Stanley Finance 61768J854 12/05/17 09/03/21 100.000 0.000 2.7004 85.94 0.080743 0.081833 19.74 Morgan Stanley Finance 61768J870 12/05/17 12/04/24 100.000 0.000 3.1714 101.51 0.096808 0.098343 0.099902 0.101486 0.103096 35.21 36.34 Morgan Stanley Finance 61768K562 01/03/18 01/04/22 100.000 0.000 2.8170 87.37 0.083924 0.085106 0.086304 30.85 0.26 Morgan Stanley Finance 61768M576 03/05/18 03/05/25 100.000 0.000 3.7266 109.87 0.113528 0.115644 0.117799 0.119994 0.122229 41.75 43.32 Morgan Stanley Finance 61768M584 03/05/18 03/03/23 100.000 0.000 3.4611 101.73 0.104735 0.106547 0.108391 0.110267 0.112175 38.46 39.80 Morgan Stanley Finance 61768M592 03/05/18 03/03/22 100.000 0.000 3.3336 97.83 0.100561 0.102237 0.103941 36.90 6.44 Morgan Stanley Finance 61768P124 04/04/18 04/05/22 100.000 0.000 3.4793 99.23 0.105363 0.107196 0.109061 38.58 10.25 Morgan Stanley Finance 61768P157 04/05/18 04/03/25 100.000 0.000 3.8093 108.93 0.116256 0.118470 0.120727 0.123026 0.125369 42.64 44.28 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61768P173 04/05/18 04/07/21 100.000 0.000 3.3669 95.80 0.101684 9.76 Morgan Stanley Finance 61768P496 04/04/18 04/01/21 100.000 0.000 3.3669 95.90 0.101639 9.15 Morgan Stanley Finance 61768P702 05/03/18 05/05/21 100.000 0.000 3.4039 94.01 0.102896 12.76 Morgan Stanley Finance 61768Q601 07/05/18 07/05/22 100.000 0.000 3.6810 95.03 0.109987 0.112011 0.114072 0.116172 40.68 21.37 Morgan Stanley Finance 61768Q619 07/05/18 07/05/22 100.000 0.000 3.6810 95.03 0.109987 0.112011 0.114072 0.116172 40.68 21.37 Morgan Stanley Finance 61768R187 08/03/18 08/04/21 100.000 0.000 3.5287 88.02 0.105132 0.106987 22.73 Morgan Stanley Finance 61768R435 09/06/18 09/03/21 100.000 0.000 3.3743 80.74 0.100190 0.101880 24.55 Morgan Stanley Finance 61768R583 08/15/18 08/14/25 100.000 0.000 3.9076 96.42 0.117268 0.119559 0.121895 0.124277 0.126705 43.26 44.97 Morgan Stanley Finance 61768R591 08/15/18 08/15/24 100.000 0.000 3.7617 92.69 0.112579 0.114696 0.116853 0.119051 0.121290 41.49 43.07 Morgan Stanley Finance 61768R781 10/03/18 10/04/23 100.000 0.000 3.8198 88.69 0.114460 0.116646 0.118874 0.121145 0.123458 41.98 43.60 Morgan Stanley Finance 61768R799 10/03/18 10/05/21 100.000 0.000 3.5187 81.48 0.104823 0.106667 29.05 Morgan Stanley Finance 61768T357 11/05/18 11/03/21 100.000 0.000 3.6428 80.96 0.108742 0.110723 33.20 Morgan Stanley Finance 61768T381 11/05/18 11/05/25 100.000 0.000 4.2534 95.02 0.128526 0.131259 0.134050 0.136901 0.139813 47.07 49.09 Morgan Stanley Finance 61768T613 12/05/18 12/03/21 100.000 0.000 3.7382 79.80 0.111799 0.113889 37.49 Morgan Stanley Finance 61768X101 03/05/19 03/03/23 100.000 0.000 3.3204 61.88 0.096887 0.098496 0.100131 0.101794 0.103484 35.55 36.74 Morgan Stanley Finance 61768Y299 06/05/19 06/05/24 100.000 0.000 2.9744 47.53 0.086365 0.087649 0.088953 0.090275 0.091618 31.39 32.33 Morgan Stanley Finance 61768Y307 06/05/19 03/05/24 100.000 0.000 2.9394 47.00 0.084685 0.085929 0.087192 0.088474 0.089774 31.00 31.92 Morgan Stanley Finance 61768Y356 06/05/19 06/03/22 100.000 0.000 2.6952 43.00 0.077923 0.078974 0.080038 28.30 12.17 Morgan Stanley Finance 61768Y679 07/03/19 07/06/22 100.000 0.000 2.4288 36.74 0.069129 0.069969 0.070819 0.071679 25.33 13.26 Morgan Stanley Finance 61768Y687 07/03/19 07/06/23 100.000 0.000 2.5444 38.51 0.072503 0.073426 0.074360 0.075306 0.076264 26.59 27.27 Morgan Stanley Finance 61769H2F1 12/27/19 12/27/24 100.000 0.000 2.5252 25.70 0.071926 0.072834 0.073753 0.074684 0.075627 26.06 26.73 Morgan Stanley Finance 61769H2G9 12/26/19 12/24/26* 100.000 0.000 2.7295 27.87 0.077890 0.078953 27.61* Morgan Stanley Finance 61769H2L8 01/02/20 01/02/24 100.000 0.000 2.2779 22.85 0.063997 0.064726 0.065463 0.066208 0.066962 23.43 23.97 Morgan Stanley Finance 61769H2N4 01/02/20 01/02/25 100.000 0.000 2.3600 23.67 0.066330 0.067113 0.067905 0.068706 0.069517 24.30 24.88 Morgan Stanley Finance 61769H2P9 01/02/20 01/02/25 100.000 0.000 2.3600 23.67 0.066330 0.067113 0.067905 0.068706 0.069517 24.30 24.88 Morgan Stanley Finance 61769H2Q7 01/02/20 01/02/25* 100.000 0.000 2.3600 23.67 0.066330 0.067113 0.27* Morgan Stanley Finance 61769H2T1 12/18/19 12/17/26 100.000 0.000 2.5573 26.69 0.072860 0.073792 0.074736 0.075691 0.076659 26.42 27.10 Morgan Stanley Finance 61769H2Y0 12/26/19 12/24/26 100.000 0.000 2.7295 27.87 0.077890 0.078953 0.080031 0.081123 0.082230 28.25 29.02 Morgan Stanley Finance 61769H2Z7 12/26/19 12/24/26* 100.000 0.000 2.7295 27.87 0.077890 0.078953 27.61* Morgan Stanley Finance 61769H3A1 12/26/19 12/24/26* 100.000 0.000 2.7295 27.87 0.077890 0.078953 27.61* Morgan Stanley Finance 61769H3B9 12/26/19 06/25/24 100.000 0.000 2.4842 25.35 0.070725 0.071603 0.072493 0.073393 0.074305 25.63 26.27 Morgan Stanley Finance 61769H3D5 12/27/19 06/26/24 100.000 0.000 2.4842 25.28 0.070724 0.071603 0.072492 0.073393 0.074304 25.63 26.27 Morgan Stanley Finance 61769H4T9 12/27/19 01/02/24 100.000 0.000 2.4620 25.05 0.069254 0.070107 0.070970 0.071844 0.072728 25.39 26.02 Morgan Stanley Finance 61769H4W2 12/27/19 01/02/24 100.000 0.000 2.4620 25.05 0.069254 0.070107 0.070970 0.071844 0.072728 25.39 26.02 Morgan Stanley Finance 61769H5G6 12/18/19 06/17/21 100.000 0.000 2.0224 21.07 0.057317 9.51 Morgan Stanley Finance 61769H6P5 02/05/20 02/05/25* 100.000 0.000 1.9970 18.16 0.056026 0.056586 2.07* Morgan Stanley Finance 61769H6T7 01/23/20 01/22/27 100.000 0.000 2.5533 24.12 0.071827 0.072744 0.073673 0.074613 0.075566 26.32 26.99 Morgan Stanley Finance 61769H6W0 01/31/20 01/31/25 100.000 0.000 2.1858 20.20 0.061381 0.062052 0.062730 0.063416 0.064109 22.42 22.91 Morgan Stanley Finance 61769H6X8 01/31/20 01/31/25 100.000 0.000 2.1858 20.20 0.061381 0.062052 0.062730 0.063416 0.064109 22.42 22.91 Morgan Stanley Finance 61769H7K5 01/31/20 02/02/27 100.000 0.000 2.4454 22.61 0.068767 0.069608 0.070459 0.071321 0.072193 25.16 25.78 Morgan Stanley Finance 61769H7L3 01/31/20 02/02/27 100.000 0.000 2.4454 22.61 0.068767 0.069608 0.070459 0.071321 0.072193 25.16 25.78 Morgan Stanley Finance 61769H7M1 01/31/20 02/02/27 100.000 0.000 2.4454 22.61 0.068767 0.069608 0.070459 0.071321 0.072193 25.16 25.78 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61769H7N9 01/31/20 02/02/27 100.000 0.000 2.4454 22.61 0.068767 0.069608 0.070459 0.071321 0.072193 25.16 25.78 Morgan Stanley Finance 61769H7Q2 02/05/20 02/05/25 100.000 0.000 1.9970 18.16 0.056026 0.056586 0.057151 0.057722 0.058298 20.43 20.84 Morgan Stanley Finance 61769HA47 10/31/19 11/02/26* 100.000 0.000 2.7148 32.06 0.077483 0.078535 23.51* Morgan Stanley Finance 61769HA54 10/31/19 11/02/26* 100.000 0.000 2.7148 32.06 0.077483 0.078535 23.51* Morgan Stanley Finance 61769HAG0 06/05/19 12/03/21 100.000 0.000 2.6443 42.18 0.076395 0.077405 25.54 Morgan Stanley Finance 61769HAH8 06/05/19 06/05/24 100.000 0.000 2.9744 47.53 0.086364 0.087649 0.088952 0.090275 0.091618 31.39 32.33 Morgan Stanley Finance 61769HAP0 05/31/19 05/31/24 100.000 0.000 3.0990 50.00 0.090146 0.091543 0.092961 0.094402 0.095865 32.79 33.82 Morgan Stanley Finance 61769HAQ8 06/05/19 12/06/22 100.000 0.000 2.7658 44.15 0.080066 0.081174 0.082296 0.083434 29.08 27.77 Morgan Stanley Finance 61769HAR6 06/05/19 06/05/24 100.000 0.000 2.9744 47.53 0.086364 0.087649 0.088952 0.090275 0.091618 31.39 32.33 Morgan Stanley Finance 61769HB87 10/30/19 05/02/24 100.000 0.000 2.3725 27.98 0.067484 0.068284 0.069094 0.069914 0.070743 24.53 25.12 Morgan Stanley Finance 61769HCK9 05/24/19 05/26/22 100.000 0.000 2.9183 47.55 0.084677 0.085913 0.087166 30.79 12.64 Morgan Stanley Finance 61769HDG7 06/03/19 06/03/24 100.000 0.000 3.3497 53.83 0.097802 0.099440 0.101105 0.102799 0.104520 35.60 36.80 Morgan Stanley Finance 61769HDQ5 06/28/19 06/30/26* 100.000 0.000 2.8412 43.47 0.082347 14.74* Morgan Stanley Finance 61769HDR3 07/03/19 07/03/24* 100.000 0.000 2.6772 40.54 0.076370 0.077392 13.93* Morgan Stanley Finance 61769HE43 10/25/19 10/25/24 100.000 0.250 2.3773 28.35 0.067449 0.068168 0.068896 0.069633 0.070378 24.51 25.03 Morgan Stanley Finance 61769HE68 10/31/19 11/02/26* 100.000 0.000 2.7148 32.06 0.077483 0.078535 23.51* Morgan Stanley Finance 61769HEN1 06/28/19 12/30/22 100.000 0.000 2.4358 37.19 0.070173 0.071028 0.071893 0.072768 25.42 25.97 Morgan Stanley Finance 61769HEQ4 07/03/19 12/31/21 100.000 0.000 2.4181 36.58 0.069622 0.070463 25.15 Morgan Stanley Finance 61769HER2 07/03/19 07/01/22 100.000 0.000 2.4284 36.73 0.069934 0.070783 0.071643 25.33 12.90 Morgan Stanley Finance 61769HET8 06/28/19 06/28/24 100.000 0.000 2.6301 40.20 0.075980 0.076979 0.077991 0.079017 0.080056 27.54 28.27 Morgan Stanley Finance 61769HFS9 07/03/19 07/03/24 100.000 0.000 2.6772 40.54 0.076370 0.077392 0.078428 0.079478 0.080542 28.04 28.80 Morgan Stanley Finance 61769HFT7 07/03/19 01/03/23 100.000 0.000 2.4864 37.62 0.070794 0.071674 0.072565 0.073467 0.074380 25.96 26.61 Morgan Stanley Finance 61769HH32 11/27/19 08/27/24 100.000 0.000 2.3730 26.19 0.067094 0.067890 0.068695 0.069510 0.070335 24.50 25.08 Morgan Stanley Finance 61769HH40 11/27/19 02/26/26 100.000 0.000 2.5493 28.15 0.072170 0.073090 0.074022 0.074965 0.075921 26.38 27.05 Morgan Stanley Finance 61769HHQ1 07/01/19 07/01/25 100.000 0.000 2.7490 41.80 0.079554 0.080647 0.081756 0.082879 28.84 29.63 Morgan Stanley Finance 61769HJU0 07/02/19 07/03/24 100.000 0.000 2.6771 40.62 0.076375 0.077397 0.078433 0.079483 0.080547 28.05 28.80 Morgan Stanley Finance 61769HJV8 08/05/19 08/05/24 100.000 0.000 2.7548 39.22 0.078645 0.079728 0.080826 0.081939 0.083068 28.83 29.63 Morgan Stanley Finance 61769HJY2 07/31/19 05/02/23 100.000 0.000 2.6026 37.43 0.074683 0.075655 0.076639 0.077636 0.078647 27.18 27.89 Morgan Stanley Finance 61769HK38 12/02/19 12/02/24 100.000 0.000 2.3657 25.75 0.067277 0.068073 0.068878 0.069692 0.070517 24.41 24.99 Morgan Stanley Finance 61769HKB0 08/05/19 08/04/22 100.000 0.000 2.5169 35.79 0.071680 0.072582 0.073495 0.074420 26.23 15.82 Morgan Stanley Finance 61769HKR5 08/05/19 08/04/22 100.000 0.000 2.5169 35.79 0.071680 0.072582 0.073495 0.074420 26.23 15.82 Morgan Stanley Finance 61769HKS3 08/05/19 08/05/24 100.000 0.000 2.7548 39.22 0.078645 0.079728 0.080826 0.081939 0.083068 28.83 29.63 Morgan Stanley Finance 61769HL78 11/06/19 05/05/22 100.000 0.000 2.1373 24.82 0.060640 0.061288 0.061943 22.02 7.68 Morgan Stanley Finance 61769HM44 11/27/19 11/27/26* 100.000 0.000 2.6238 28.95 0.074807 0.075789 24.49* Morgan Stanley Finance 61769HM51 12/02/19 12/02/24 100.000 0.000 2.3657 25.75 0.067277 0.068073 0.068878 0.069692 0.070517 24.41 24.99 Morgan Stanley Finance 61769HM77 12/02/19 12/02/24 100.000 0.000 2.3657 25.75 0.067277 0.068073 0.068878 0.069692 0.070517 24.41 24.99 Morgan Stanley Finance 61769HNG6 08/30/19 09/01/26* 100.000 0.000 2.4648 33.29 0.070169 0.071033 17.00* Morgan Stanley Finance 61769HNU5 09/05/19 09/05/24 100.000 0.000 2.3651 31.59 0.067262 0.068057 0.068862 0.069676 0.070500 24.54 25.13 Morgan Stanley Finance 61769HNV3 09/05/19 09/05/24 100.000 0.000 2.3651 31.59 0.067262 0.068057 0.068862 0.069676 0.070500 24.54 25.13 Morgan Stanley Finance 61769HNY7 08/30/19 06/02/23 100.000 0.000 2.2160 29.91 0.063283 0.063984 0.064693 0.065409 0.066134 22.95 23.46 Morgan Stanley Finance 61769HP82 11/29/19 05/30/24 100.000 0.000 2.3629 25.92 0.067201 0.067995 0.068799 0.069612 0.070434 24.38 24.96 Morgan Stanley Finance 61769HPA7 09/05/19 09/02/22 100.000 0.000 2.1339 28.48 0.060537 0.061183 0.061836 0.062496 22.06 15.02 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61769HPC3 09/05/19 09/02/22 100.000 0.000 2.1339 28.48 0.060537 0.061183 0.061836 0.062496 22.06 15.02 Morgan Stanley Finance 61769HQ99 11/26/19 11/26/21 100.000 0.000 2.0848 23.03 0.059126 0.059742 19.33 Morgan Stanley Finance 61769HRA5 08/30/19 09/01/26 100.000 0.000 2.4648 33.29 0.070169 0.071033 0.071909 0.072795 0.073692 25.63 26.26 Morgan Stanley Finance 61769HRK3 08/29/19 08/31/26* 100.000 0.000 2.4648 33.36 0.070169 0.071024 16.93* Morgan Stanley Finance 61769HTA3 09/30/19 06/29/23 100.000 0.000 2.4287 30.72 0.069528 0.070372 0.071227 0.072092 0.072967 25.19 25.80 Morgan Stanley Finance 61769HTJ4 09/30/19 09/30/26* 100.000 0.000 2.7926 35.38 0.079754 0.080867 21.65* Morgan Stanley Finance 61769HTM7 10/03/19 10/05/22 100.000 0.000 2.1500 26.99 0.061022 0.061678 0.062341 0.063011 22.20 17.20 Morgan Stanley Finance 61769HTU9 10/03/19 10/03/24 100.000 0.000 2.1901 27.49 0.062176 0.062857 0.063545 0.064241 0.064944 22.63 23.12 Morgan Stanley Finance 61769HUJ2 09/13/19 03/15/23 100.000 0.000 2.3832 31.30 0.067795 0.068603 0.069420 0.070247 0.071084 24.72 25.32 Morgan Stanley Finance 61769HXH3 11/05/19 11/05/24 100.000 0.000 2.3221 27.05 0.066008 0.066775 0.067550 0.068334 0.069128 23.99 24.55 Morgan Stanley Finance 61769HXR1 10/31/19 10/31/25 100.000 0.000 2.5933 30.61 0.073917 0.074875 0.075846 0.076830 0.077826 26.90 27.60 Morgan Stanley Finance 61769HXW0 11/05/19 08/04/22 100.000 0.000 2.1452 24.99 0.060549 0.061198 0.061854 0.062518 22.11 13.29 Morgan Stanley Finance 61769HXY6 10/31/19 05/04/23 100.000 0.000 2.3061 27.19 0.065561 0.066317 0.067081 0.067855 0.068637 23.82 24.38 Morgan Stanley Finance 61769HYC3 11/05/19 11/03/22 100.000 0.000 2.1789 25.37 0.061844 0.062518 0.063199 0.063888 22.46 19.21 Morgan Stanley Finance 61769HZ57 01/02/20 06/30/22 100.000 0.000 2.1271 21.33 0.060343 0.060984 0.061633 21.84 11.03 Morgan Stanley Finance 61769HZU2 10/23/19 10/21/22 100.000 0.000 2.2217 26.63 0.063086 0.063787 0.064496 0.065212 22.94 18.83 Morgan Stanley Finance 61769P495 05/05/20 05/05/26 100.000 0.000 1.9401 12.75 0.054414 0.054941 0.055474 0.056013 0.056556 19.74 20.13 Morgan Stanley Finance 61769P529 05/05/20 05/05/27 100.000 0.000 2.0902 13.74 0.058668 0.059281 0.059900 0.060526 0.061159 21.30 21.75 Morgan Stanley Finance 61769Q212 08/05/19 02/05/25 100.000 0.000 2.8032 39.92 0.080066 0.081188 0.082326 0.083480 0.084650 29.36 30.18 Morgan Stanley Finance 61769Q220 08/05/19 08/03/23 100.000 0.000 2.6268 37.38 0.074884 0.075868 0.076864 0.077874 0.078897 27.43 28.15 Morgan Stanley Finance 61769Q535 09/05/19 09/06/23 100.000 0.000 2.2400 29.91 0.063628 0.064340 0.065061 0.065790 0.066526 23.20 23.72 Morgan Stanley Finance 61769Q543 09/05/19 09/06/22 100.000 0.000 2.1338 28.48 0.060548 0.061194 0.061847 0.062507 22.06 15.27 Morgan Stanley Finance 61769Q881 10/03/19 04/03/25 100.000 0.000 2.2103 27.75 0.062761 0.063455 0.064156 0.064865 0.065582 22.84 23.35 Morgan Stanley Finance 61770C111 10/03/19 04/03/24 100.000 0.000 2.1674 27.21 0.061518 0.062184 0.062858 0.063540 0.064228 22.38 22.87 Morgan Stanley Finance 61770C343 11/05/19 05/03/24 100.000 0.000 2.2919 26.70 0.065122 0.065868 0.066623 0.067386 0.068159 23.67 24.21 Morgan Stanley Finance 61770C640 12/04/19 12/04/24 100.000 0.000 2.3719 25.68 0.067459 0.068259 0.069068 0.069888 0.070716 24.47 25.06 Morgan Stanley Finance 61770E232 01/03/20 01/05/27 100.000 0.000 2.6098 26.12 0.073450 0.074408 0.075379 0.076363 0.077359 26.95 27.66 Morgan Stanley Finance 61770E307 01/03/20 01/03/25 100.000 0.000 2.3534 23.54 0.066141 0.066920 0.067707 0.068504 0.069310 24.23 24.80 Morgan Stanley Finance 61770E588 02/05/20 02/05/25 100.000 0.000 1.9970 18.17 0.056027 0.056587 0.057152 0.057722 0.058299 20.43 20.84 Morgan Stanley Finance 61770FAB2 02/05/20 02/05/25 100.000 0.000 1.9970 18.16 0.056026 0.056586 0.057151 0.057722 0.058298 20.43 20.84 Morgan Stanley Finance 61770FAJ5 02/05/20 02/05/24 100.000 0.000 1.9189 17.45 0.053813 0.054329 0.054851 0.055377 0.055908 19.62 20.00 Morgan Stanley Finance 61770FAP1 01/23/20 01/22/27 100.000 0.000 2.5533 24.12 0.071827 0.072744 0.073673 0.074613 0.075566 26.32 26.99 Morgan Stanley Finance 61770FB96 04/30/20 02/01/27 100.000 0.000 2.2244 14.94 0.062136 0.062828 0.063526 0.064233 0.064947 22.70 23.21 Morgan Stanley Finance 61770FBU9 01/31/20 08/01/24 100.000 0.000 2.1409 19.78 0.060108 0.060752 0.061402 0.062059 0.062724 21.95 22.42 Morgan Stanley Finance 61770FC38 04/30/20 04/30/27 100.000 0.000 2.2634 15.20 0.063584 0.064304 0.065031 0.065767 0.066511 23.11 23.63 Morgan Stanley Finance 61770FC46 04/30/20 04/30/27 100.000 0.000 2.2634 15.20 0.063584 0.064304 0.065031 0.065767 0.066511 23.11 23.63 Morgan Stanley Finance 61770FC53 04/30/20 04/30/27* 100.000 0.000 2.2634 15.20 0.063584 0.064304 7.82* Morgan Stanley Finance 61770FC61 04/30/20 04/30/27* 100.000 0.000 2.2634 15.20 0.063584 0.064304 7.82* Morgan Stanley Finance 61770FC79 04/30/20 04/30/27* 100.000 0.000 2.2634 15.20 0.063584 0.064304 7.82* Morgan Stanley Finance 61770FCR5 01/29/20 01/28/27 100.000 0.000 2.4281 22.52 0.068261 0.069090 0.069928 0.070777 0.071636 24.98 25.59 Morgan Stanley Finance 61770FCS3 01/30/20 02/01/24 100.000 0.000 2.0269 18.72 0.056875 0.057452 0.058034 0.058622 0.059216 20.75 21.18 Morgan Stanley Finance 61770FD37 04/22/20 04/22/27* 100.000 0.000 2.1853 15.16 0.061366 0.062037 6.87* ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61770FD45 04/22/20 04/22/27* 100.000 0.000 2.1853 15.16 0.061366 0.062037 6.87* Morgan Stanley Finance 61770FD52 04/22/20 04/22/27* 100.000 0.000 2.1853 15.16 0.061366 0.062037 6.87* Morgan Stanley Finance 61770FDU7 01/28/20 01/29/30 100.000 0.000 2.6694 24.84 0.075146 0.076149 0.077166 0.078196 0.079239 27.54 28.28 Morgan Stanley Finance 61770FE36 04/30/20 04/30/27 100.000 0.000 2.2634 15.20 0.063584 0.064304 0.065031 0.065767 0.066511 23.11 23.63 Morgan Stanley Finance 61770FE69 05/05/20 11/03/22 100.000 0.000 1.4528 9.54 0.040647 0.040942 0.041239 0.041539 14.72 12.51 Morgan Stanley Finance 61770FED4 01/29/20 01/27/23 100.000 0.000 2.0128 18.65 0.056468 0.057037 0.057611 0.058190 0.058776 20.61 21.02 Morgan Stanley Finance 61770FFB7 02/28/20 02/28/25 100.000 0.000 1.9133 16.17 0.053656 0.054169 0.054687 0.055210 0.055738 19.54 19.91 Morgan Stanley Finance 61770FFJ0 02/04/20 02/04/25 100.000 0.000 2.0787 18.97 0.058343 0.058949 0.059562 0.060181 0.060806 21.29 21.74 Morgan Stanley Finance 61770FGC4 03/04/20 03/03/23 100.000 0.000 1.6561 13.71 0.046382 0.046766 0.047153 0.047544 0.047938 16.86 17.14 Morgan Stanley Finance 61770FGP5 02/28/20 03/02/27 100.000 0.000 2.1748 18.39 0.061082 0.061746 0.062417 0.063096 0.063782 22.27 22.75 Morgan Stanley Finance 61770FGS9 03/04/20 03/04/24 100.000 0.000 1.7557 14.53 0.049199 0.049631 0.050066 0.050506 0.050949 17.89 18.21 Morgan Stanley Finance 61770FHN9 03/04/20 03/05/25 100.000 0.000 1.7527 14.51 0.049117 0.049547 0.049981 0.050419 0.050861 17.86 18.17 Morgan Stanley Finance 61770FHP4 03/04/20 03/05/25 100.000 0.000 1.7527 14.51 0.049117 0.049547 0.049981 0.050419 0.050861 17.86 18.17 Morgan Stanley Finance 61770FJD9 02/07/20 08/09/23 100.000 0.000 1.9816 17.91 0.055595 0.056145 0.056702 0.057263 0.057831 20.27 20.67 Morgan Stanley Finance 61770FJQ0 03/04/20 03/05/25* 100.000 0.000 1.7527 14.51 0.049117 3.14* Morgan Stanley Finance 61770FJW7 03/04/20 09/01/22 100.000 0.000 1.5946 13.20 0.044640 0.044996 0.045355 0.045717 16.22 10.95 Morgan Stanley Finance 61770FKC9 02/28/20 08/29/24 100.000 0.000 1.8417 15.56 0.051632 0.052105 0.052588 0.053069 0.053560 18.79 19.14 Morgan Stanley Finance 61770FL46 04/29/20 04/27/23 100.000 0.000 1.6712 11.26 0.046806 0.047197 0.047592 0.047989 0.048390 16.97 17.26 Morgan Stanley Finance 61770FLC8 02/19/20 02/19/25 100.000 0.000 2.1606 18.81 0.060664 0.061319 0.061982 0.062651 0.063328 22.13 22.61 Morgan Stanley Finance 61770FPB6 03/31/20 04/01/27* 100.000 0.000 3.4107 25.82 0.096367 8.67* Morgan Stanley Finance 61770FPC4 03/31/20 04/01/27* 100.000 0.000 3.4107 25.82 0.096367 8.67* Morgan Stanley Finance 61770FPD2 03/31/20 04/01/27 100.000 0.000 3.4107 25.82 0.096367 0.098011 0.099682 0.101382 0.103111 35.29 36.50 Morgan Stanley Finance 61770FPV2 04/03/20 04/03/25* 100.000 0.000 2.4892 18.61 0.070004 0.070876 6.72* Morgan Stanley Finance 61770FST4 04/03/20 10/05/22 100.000 0.000 2.4324 18.18 0.068399 0.069231 0.070073 0.070925 24.92 19.35 Morgan Stanley Finance 61770FV86 05/29/20 06/01/27 100.000 0.000 1.9425 11.46 0.054488 0.055017 0.055551 0.056091 0.056636 19.74 20.13 Morgan Stanley Finance 61770FV94 05/29/20 06/01/27 100.000 0.000 1.9425 11.46 0.054488 0.055017 0.055551 0.056091 0.056636 19.74 20.13 Morgan Stanley Finance 61770FW28 05/29/20 05/29/26 100.000 0.000 1.7764 10.47 0.049782 0.050225 0.050671 0.051121 0.051575 18.03 18.35 Morgan Stanley Finance 61770FW36 05/29/20 06/01/27 100.000 0.000 1.9425 11.46 0.054488 0.055017 0.055551 0.056091 0.056636 19.74 20.13 Morgan Stanley Finance 61770FW77 05/21/20 05/21/27 100.000 0.000 2.1231 13.00 0.059600 0.060233 0.060872 0.061518 0.062172 21.62 22.08 Morgan Stanley Finance 61770FW85 05/20/20 05/20/25 100.000 0.000 1.7889 11.00 0.050135 0.050584 0.051036 0.051493 0.051953 18.17 18.49 Morgan Stanley Finance 61770FW93 05/21/20 05/21/27 100.000 0.000 2.1231 13.00 0.059600 0.060233 0.060872 0.061518 0.062172 21.62 22.08 Morgan Stanley Finance 61770FX27 05/21/20 05/21/26 100.000 0.000 1.9379 11.86 0.054351 0.054878 0.055410 0.055946 0.056489 19.70 20.09 Morgan Stanley Finance 61770FX35 05/21/20 05/21/27 100.000 0.000 2.1231 13.00 0.059600 0.060233 0.060872 0.061518 0.062172 21.62 22.08 Morgan Stanley Finance 61770FX50 06/03/20 06/03/25* 100.000 0.000 1.5338 8.87 0.042931 0.043260 6.70* Morgan Stanley Finance 61770FX68 06/03/20 06/03/25 100.000 0.000 1.5338 8.87 0.042931 0.043260 0.043592 0.043926 0.044263 15.53 15.77 Morgan Stanley Finance 61770FX84 06/03/20 06/02/23 100.000 0.000 1.1097 6.42 0.030996 0.031168 0.031341 0.031515 0.031690 11.20 11.32 Morgan Stanley Finance 61770FXY7 04/01/20 05/28/27 100.000 0.000 2.8687 21.63 0.081195 0.082360 0.083541 0.084739 0.085955 29.52 30.37 Morgan Stanley Finance 61770FYH3 04/22/20 10/22/25 100.000 0.000 1.9271 13.36 0.054046 0.054567 0.055093 0.055624 0.056160 19.62 20.00 Morgan Stanley Finance 61770FYL4 05/05/20 05/05/25 100.000 0.000 1.8350 12.06 0.051439 0.051911 0.052387 0.052867 0.053353 18.66 19.00 Morgan Stanley Finance 61770FYU4 04/30/20 10/30/25 100.000 0.000 1.9442 13.05 0.054530 0.055060 0.055595 0.056136 0.056682 19.79 20.18 Morgan Stanley Finance 61770FYX8 04/30/20 04/30/27 100.000 0.000 2.2634 15.20 0.063584 0.064304 0.065031 0.065767 0.066511 23.11 23.63 Morgan Stanley Finance 61770FZG4 05/05/20 05/05/25* 100.000 0.000 1.8350 12.06 0.051439 0.051911 6.43* ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61770FZV1 04/30/20 04/30/27 100.000 0.000 2.2634 15.20 0.063584 0.064304 0.065031 0.065767 0.066511 23.11 23.63 Morgan Stanley Finance 61770FZW9 05/05/20 11/03/22 100.000 0.000 1.4528 9.54 0.040647 0.040942 0.041239 0.041539 14.72 12.51 Morgan Stanley Finance 61770FZZ2 05/05/20 05/05/25 100.000 0.000 1.8350 12.06 0.051439 0.051911 0.052387 0.052867 0.053353 18.66 19.00 Morgan Stanley Finance 61770G203 03/04/20 09/03/25 100.000 0.000 1.8551 15.36 0.052006 0.052488 0.052975 0.053466 0.053962 18.92 19.28 Morgan Stanley Finance 61770G211 03/04/20 03/04/27 100.000 0.000 2.0962 17.36 0.058837 0.059454 0.060077 0.060707 0.061343 21.44 21.89 Morgan Stanley Finance 61770G641 04/03/20 04/06/26 100.000 0.000 2.6405 19.74 0.074331 0.075312 0.076306 0.077314 0.078334 27.10 27.82 Morgan Stanley Finance 61770G708 04/03/20 04/07/26 100.000 0.000 2.6405 19.74 0.074338 0.075319 0.076314 0.077321 0.078342 27.10 27.82 Morgan Stanley Finance 61771BCJ1 05/29/20 06/01/27* 100.000 0.000 1.9425 11.46 0.054488 0.055017 8.23* Morgan Stanley Finance 61771BHX5 06/17/20 06/17/25 100.000 0.000 1.3734 7.40 0.038411 0.038675 0.038940 0.039208 0.039477 13.88 14.07 Morgan Stanley Finance 61771BJP0 06/30/20 06/30/27 100.000 0.000 1.6297 8.19 0.045638 0.046010 0.046385 0.046763 0.047144 16.50 16.77 Morgan Stanley Finance 61771BJQ8 06/30/20 06/30/27 100.000 0.000 1.6297 8.19 0.045638 0.046010 0.046385 0.046763 0.047144 16.50 16.77 Morgan Stanley Finance 61771BJV7 07/06/20 07/03/25 100.000 0.000 1.2523 6.09 0.034786 0.035001 0.035220 0.035440 0.035662 12.64 12.80 Morgan Stanley Finance 61771BKP8 06/16/20 06/16/27 100.000 0.000 1.6181 8.77 0.045310 0.045677 0.046046 0.046419 0.046794 16.39 16.65 Morgan Stanley Finance 61771BKX1 06/30/20 06/30/27* 100.000 0.000 1.6297 8.19 0.045638 0.046010 8.22* Morgan Stanley Finance 61771BKY9 06/30/20 06/30/27 100.000 0.000 1.6297 8.19 0.045638 0.046010 0.046385 0.046763 0.047144 16.50 16.77 Morgan Stanley Finance 61771BKZ6 06/30/20 12/30/27 100.000 0.000 1.6965 8.53 0.047525 0.047928 0.048334 0.048744 0.049158 17.18 17.48 Morgan Stanley Finance 61771BLH5 07/06/20 07/03/25 100.000 0.000 1.2523 6.09 0.034786 0.035001 0.035220 0.035440 0.035662 12.64 12.80 Morgan Stanley Finance 61771BMA9 06/26/20 06/28/27 100.000 0.000 1.6168 8.31 0.045278 0.045645 0.046014 0.046385 0.046760 16.37 16.63 Morgan Stanley Finance 61771BMB7 06/26/20 12/29/25 100.000 0.000 1.3458 6.92 0.037639 0.037892 0.038147 0.038404 0.038663 13.60 13.78 Morgan Stanley Finance 61771BRE6 07/31/20 08/04/27 100.000 0.000 1.3386 5.62 0.037188 0.037437 0.037688 0.037940 0.038194 13.51 13.69 Morgan Stanley Finance 61771BRF3 07/31/20 08/02/27 100.000 0.000 1.3386 5.62 0.037186 0.037435 0.037685 0.037937 0.038191 13.51 13.69 Morgan Stanley Finance 61771C136 06/03/20 06/03/26 100.000 0.000 1.6786 9.71 0.047020 0.047415 0.047813 0.048214 0.048619 17.02 17.31 Morgan Stanley Finance 61771C409 07/06/20 07/06/27 100.000 0.000 1.6108 7.83 0.044743 0.045104 0.045467 0.045833 0.046202 16.30 16.56 Morgan Stanley Finance 61771EJJ8 11/12/20 11/10/22 100.000 0.000 0.4618 0.63 0.012829 0.012858 0.012888 0.012918 4.63 3.99 Morgan Stanley Finance 61771V3Q1 07/06/21 07/06/26 100.000 0.000 1.4969 0.041582 0.041893 0.042206 7.28 15.13 Morgan Stanley Finance 61771V3W8 06/30/21 06/29/28 100.000 0.000 1.9839 0.055108 0.055652 0.056204 0.056762 9.98 20.14 Morgan Stanley Finance 61771V4J6 06/23/21 06/22/28 100.000 0.000 1.8975 0.052710 0.053207 0.053712 0.054221 9.91 19.25 Morgan Stanley Finance 61771V4K3 06/23/21 12/23/26 100.000 0.000 1.5784 0.043846 0.044192 0.044540 0.044892 8.25 15.98 Morgan Stanley Finance 61771VD49 05/26/21 05/25/28 100.000 0.000 1.9994 0.055539 0.056091 0.056652 0.057219 11.96 20.33 Morgan Stanley Finance 61771VFW5 03/31/21 03/30/28 100.000 0.000 2.1048 0.058467 0.059082 0.059704 0.060332 15.90 21.50 Morgan Stanley Finance 61771VQW3 04/30/21 05/02/28 100.000 0.000 2.0160 0.056000 0.056007 0.056571 0.057141 0.057717 13.53 20.54 Morgan Stanley Finance 61771VSJ0 04/28/21 04/27/28 100.000 0.000 1.9961 0.055448 0.055998 0.056557 0.057121 13.51 20.33 Morgan Stanley Finance 61771VSK7 04/28/21 10/28/26 100.000 0.000 1.6286 0.045238 0.045606 0.045978 0.046352 11.02 16.53 Morgan Stanley Finance 61771VVY3 04/30/21 04/28/28 100.000 0.000 2.0160 0.056000 0.056559 0.057129 0.057705 13.53 20.54 Morgan Stanley Finance 61771VX54 05/28/21 05/31/28 100.000 0.000 1.9431 0.053975 0.053980 0.054505 0.055034 0.055569 11.51 19.75 Morgan Stanley Finance 61771VXF2 06/02/21 06/01/26 100.000 0.000 1.4602 0.040562 0.040857 0.041155 0.041455 8.49 14.78 Morgan Stanley Finance 61771VXK1 05/28/21 05/31/28 100.000 0.000 1.9431 0.053975 0.053980 0.054505 0.055034 0.055569 11.51 19.75 Morgan Stanley Finance 61772X220 05/05/21 05/03/28 100.000 0.000 2.0240 0.056222 0.056785 0.057360 0.057940 13.30 20.61 Morgan Stanley Finance 61772X659 06/03/21 06/05/28 100.000 0.000 1.9849 0.055137 0.055143 0.055690 0.056243 0.056801 11.48 20.18 Morgan Stanley Finance 61772X691 06/03/21 06/05/28 100.000 0.000 1.9849 0.055137 0.055143 0.055690 0.056243 0.056801 11.48 20.18 Morgan Stanley Finance 61772Y145 07/06/21 07/06/28 100.000 0.000 1.9323 0.053674 0.054193 0.054716 9.39 19.60 Morgan Stanley Finance 61772Y475 08/04/21 08/03/28 100.000 0.000 1.7696 0.049156 0.049588 0.050027 7.23 17.90 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61773FAG8 06/30/21 06/30/28 100.000 0.000 1.9839 0.055108 0.055655 0.056207 0.056765 9.98 20.14 Morgan Stanley Finance 61773FCU5 07/30/21 08/01/28 100.000 0.000 1.7934 0.049816 0.049818 0.050265 0.050715 7.52 18.15 Morgan Stanley Finance 61773FDC4 08/04/21 08/04/26 100.000 0.000 1.7696 0.049157 0.049592 0.050030 7.23 17.90 Morgan Stanley Finance 61773FDU4 07/28/21 07/27/28 100.000 0.000 1.8084 0.050235 0.050686 0.051145 7.69 18.31 Morgan Stanley Finance 61773FDV2 07/28/21 01/28/27 100.000 0.000 1.4801 0.041115 0.041419 0.041725 6.29 14.95 Multnomah County, OR 625506HP8 12/08/99 06/01/21 19.568 0.000 7.7401 773.27 0.206992 31.05 Multnomah County, OR 625506HQ6 12/08/99 06/01/22 18.137 0.000 7.7401 716.72 0.191855 0.199280 0.206992 70.86 31.05 Multnomah County, OR 625506HR4 12/08/99 06/01/23 16.811 0.000 7.7400 664.31 0.177823 0.184705 0.191853 0.199277 0.206990 65.68 70.86 Multnomah County, OR 625506HS2 12/08/99 06/01/24 15.582 0.000 7.7399 615.73 0.164818 0.171196 0.177821 0.184703 0.191851 60.87 65.68 Multnomah County, OR 625506HT0 12/08/99 06/01/25 14.442 0.000 7.7401 570.70 0.152767 0.158679 0.164820 0.171199 0.177824 56.42 60.87 Multnomah County, OR 625506HU7 12/08/99 06/01/26 13.386 0.000 7.7400 528.97 0.141595 0.147075 0.152766 0.158679 0.164819 52.30 56.42 Multnomah County, OR 625506HV5 12/08/99 06/01/27 12.407 0.000 7.7400 490.28 0.131241 0.136320 0.141595 0.147075 0.152767 48.47 52.30 Multnomah County, OR 625506HW3 12/08/99 06/01/28 11.500 0.000 7.7400 454.43 0.121642 0.126350 0.131240 0.136319 0.141594 44.93 48.47 Multnomah County, OR 625506HX1 12/08/99 06/01/29 10.659 0.000 7.7400 421.20 0.112747 0.117110 0.121643 0.126350 0.131240 41.64 44.93 Multnomah County, OR 625506HY9 12/08/99 06/01/30 9.879 0.000 7.7401 390.40 0.104503 0.108547 0.112748 0.117112 0.121644 38.60 41.64 National Rural Utilities 637432KV6 02/06/08 12/15/23 87.915 0.000 0.8138 97.13 0.022062 0.022152 0.022242 0.022333 0.022424 7.96 8.03 National Rural Utilities 637432LK9 02/06/08 12/15/21 89.231 0.000 0.8239 99.87 0.022698 0.022791 7.82 National Rural Utilities 637432LL7 02/06/08 12/15/22 88.108 0.000 0.8539 102.40 0.023319 0.023418 0.023518 0.023619 8.42 8.11 Natixis US MTN LLC 63873HJP0 12/27/13 12/27/21 100.000 0.000 3.3519 0.117502 0.119472 42.19 Natixis US MTN LLC 63873HJT2 12/27/13 12/27/33 100.000 VARIES 4.8026 0.117860 0.118549 0.119256 0.119979 0.120720 42.56 43.07 Natixis US MTN LLC 63873HJU9 04/30/14 04/30/34 100.000 VARIES 4.2419 0.102314 0.102457 0.102719 0.102986 0.103258 36.88 37.06 Natixis US MTN LLC 63873HKA1 07/31/13 07/31/28 100.000 VARIES 4.2606 0.106287 0.107008 0.107744 0.108497 0.109266 38.61 39.15 Natixis US MTN LLC 63873HKC7 04/30/14 04/30/34 100.000 VARIES 4.2409 0.102731 0.102908 0.103190 0.103477 0.103771 37.04 37.24 Natixis US MTN LLC 63873HKX1 01/30/14 01/31/22 100.000 0.000 3.4392 0.116658 0.120631 0.120705 43.92 3.62 Natixis US Medium Term 63873HLN2 08/29/13 08/29/33 100.000 VARIES 4.5781 0.114981 0.116296 0.116356 0.117711 0.117795 42.38 42.90 Natixis US Medium 63873HLU6 07/31/14 07/31/34 100.000 VARIES 3.9932 0.104287 0.104541 0.104799 0.105028 0.105262 37.67 37.84 Natixis US MTN LLC 63873HME1 10/31/13 10/31/33 100.000 VARIES 4.5708 0.106405 0.106913 0.107433 0.107964 0.108508 38.46 38.84 Natixis US MTN LLC 63873HMW1 11/27/13 11/27/33 100.000 VARIES 4.5649 0.112205 0.112831 0.113470 0.114125 0.114794 40.55 41.01 NEW CANEY TEX INDPT SCH 643154GP6 09/24/20 02/15/23 98.305 0.000 0.7160 1.90 0.019552 0.019607 0.019677 0.019748 0.019818 7.07 7.12 NEW CANEY TEX INDPT SCH 643154GQ4 09/24/20 02/15/24 96.820 0.000 0.9550 2.49 0.025685 0.025781 0.025904 0.026028 0.026152 9.29 9.38 NEW CANEY TEX INDPT SCH 643154GR2 09/24/20 02/15/25 95.484 0.000 1.0550 2.71 0.027981 0.028097 0.028245 0.028394 0.028544 10.13 10.24 NEW CANEY TEX INDPT SCH 643154GS0 09/24/20 02/15/26 93.251 0.000 1.3001 3.27 0.033677 0.033849 0.034069 0.034290 0.034513 12.21 12.37 NEW CANEY TEX INDPT SCH 643154GT8 09/24/20 02/15/27 91.352 0.000 1.4201 3.50 0.036035 0.036236 0.036493 0.036752 0.037013 13.07 13.25 NEW HOPE CULTURAL ED FAC 64542UFK5 03/04/20 01/01/22 99.559 3.750 4.0028 1.96 0.006750 0.006885 2.45 NJ Econ Dev Auth 64578JAM8 09/07/07 07/01/21 41.265 0.000 6.5093 555.83 0.175113 31.52 NJ Econ Dev Auth 64578JAN6 09/07/07 07/01/22 38.760 0.000 6.4993 520.92 0.164020 0.169351 0.174854 60.01 31.47 NJ Econ Dev Auth 64578JAP1 09/07/07 07/01/23 36.303 0.000 6.5093 488.99 0.154057 0.159071 0.164248 0.169594 56.36 60.09 New Jersey Economic 645913AZ7 06/30/97 02/15/21 17.088 0.000 7.6195 820.15 0.203885 8.97 New Jersey Economic 645913BA1 06/30/97 02/15/22 15.838 0.000 7.6245 761.19 0.189305 0.196522 0.204014 71.45 8.98 New Jersey Economic 645913BB9 06/30/97 02/15/23 14.678 0.000 7.6295 706.41 0.175751 0.182455 0.189416 0.196641 0.204143 66.34 71.49 New Jersey Economic 645913BC7 06/30/97 02/15/24 13.601 0.000 7.6347 655.51 0.163154 0.169383 0.175849 0.182561 0.189530 61.58 66.37 New Jersey Economic 645913BD5 06/30/97 02/15/25 12.602 0.000 7.6398 608.21 0.151445 0.157230 0.163236 0.169471 0.175945 57.16 61.62 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ New Jersey Economic 645913BE3 06/30/97 02/15/26 11.676 0.000 7.6447 564.27 0.140559 0.145931 0.151509 0.157300 0.163313 53.06 57.19 NY State Dorm Auth 649902ZR7 10/20/09 09/15/25 86.380 5.800 7.2575 78.99 0.028347 0.029376 0.030442 0.031546 0.032691 10.61 11.40 Newark, NJ 6503667S0 04/10/03 04/01/22 30.037 0.000 6.4399 623.57 0.162663 0.167900 0.173307 60.46 15.60 Newark, NJ 6503667T8 04/10/03 04/01/23 28.029 0.000 6.4699 586.34 0.153272 0.158231 0.163349 0.168634 0.174089 56.98 60.72 Newark, NJ 6503667U5 04/10/03 04/01/24 26.193 0.000 6.4900 550.73 0.144164 0.148843 0.153672 0.158659 0.163808 53.60 57.13 Newark, NJ 6503667V3 04/10/03 04/01/25 24.468 0.000 6.5100 517.07 0.135543 0.139955 0.144511 0.149215 0.154071 50.40 53.73 Newark, NJ 6503667W1 04/10/03 04/01/26 22.848 0.000 6.5299 485.28 0.127386 0.131546 0.135841 0.140276 0.144856 47.37 50.51 Newark, NJ 6503667X9 04/10/03 04/01/27 21.327 0.000 6.5499 455.26 0.119673 0.123593 0.127640 0.131820 0.136137 44.50 47.47 Newark, NJ 6503667Y7 04/10/03 04/01/28 19.947 0.000 6.5600 426.89 0.112294 0.115978 0.119782 0.123711 0.127768 41.76 44.55 Newark, NJ 6503667Z4 04/10/03 04/01/29 18.653 0.000 6.5700 400.20 0.105349 0.108810 0.112384 0.116076 0.119889 39.18 41.80 Newark, NJ 6503668A8 04/10/03 04/01/30 17.440 0.000 6.5800 375.11 0.098813 0.102064 0.105422 0.108891 0.112473 36.75 39.21 Newark, NJ 6503668B6 04/10/03 04/01/31 16.302 0.000 6.5901 351.53 0.092666 0.095719 0.098873 0.102131 0.105496 34.47 36.78 Newark, NJ 6503668C4 04/10/03 04/01/32 15.279 0.000 6.5900 329.46 0.086848 0.089709 0.092665 0.095719 0.098873 32.30 34.47 Newark, NJ 6503668D2 04/10/03 04/01/33 14.320 0.000 6.5899 308.78 0.081395 0.084077 0.086848 0.089709 0.092665 30.28 32.30 City of Newark, NJ 650367KM6 01/29/13 04/01/21 97.005 3.305 3.7336 28.90 0.011687 1.05 Nomura America Finance 655365AA2 12/31/13 12/31/33 100.000 VARIES 4.5379 0.098118 0.098940 0.099780 0.101092 0.102435 35.47 36.16 Nomura America Finance 65539AAG5 11/24/10 11/24/25 100.000 VARIES 5.5492 0.127925 0.129853 0.131835 0.133872 0.135965 46.54 47.98 Nomura America Finance 65539AAL4 12/22/10 12/22/25* 100.000 VARIES 5.9587 0.135886 11.01* Nomura America Finance 65539AAX8 06/29/11 06/29/21 100.000 VARIES 2.3555 0.016725 2.98 Nomura America Finance 65539ABB5 02/28/14 02/28/34 100.000 VARIES 4.5092 0.096214 0.095303 0.097567 0.096664 0.099465 35.12 35.68 Nomura America Finance 65539ABC3 05/30/14 05/30/34 100.000 VARIES 3.7543 0.090546 0.090664 0.090785 0.090907 0.091173 32.63 32.72 Nomura America Finance 65539ABE9 07/29/14 07/29/34 100.000 VARIES 4.2954 0.080217 0.080939 0.081677 0.082430 0.083200 29.23 29.77 Nomura America Finance 65539ABL3 12/24/14 12/24/34 100.000 VARIES 2.8015 0.072805 0.073191 0.073582 0.073978 0.074380 26.28 26.57 Nomura America Finance 65539ACG3 01/22/16 01/22/23 103.000 0.125 3.0300 164.61 0.098751 0.100195 0.101660 0.103148 0.104658 36.27 37.34 NORTHMONT OHIO CITY SCH 666586LX8 07/22/20 11/01/27 86.846 0.000 1.9479 7.49 0.047242 0.047702 0.048167 0.048636 0.049109 17.15 17.48 NORTHMONT OHIO CITY SCH 666586LY6 07/22/20 11/01/28 83.705 0.000 2.1609 8.01 0.050543 0.051089 0.051641 0.052199 0.052763 18.36 18.76 NORTHMONT OHIO CITY SCH 666586LZ3 07/22/20 11/01/29 81.177 0.000 2.2609 8.13 0.051299 0.051878 0.052465 0.053058 0.053658 18.64 19.07 NORTHMONT OHIO CITY SCH 666586MA7 07/22/20 11/01/30 78.570 0.000 2.3609 8.21 0.051861 0.052474 0.053093 0.053720 0.054354 18.85 19.30 NORTHMONT OHIO CITY SCH 666586MB5 07/22/20 11/01/31 75.897 0.000 2.4609 8.27 0.052233 0.052876 0.053527 0.054185 0.054852 19.00 19.47 NORTHRIDGE OHIO LOC SCH 666705GM4 02/10/21 12/01/35 64.917 0.000 2.9389 0.052996 0.053476 0.054262 0.055059 0.055868 17.14 19.73 NORTHRIDGE OHIO LOC SCH 666705GN2 02/10/21 12/01/36 62.076 0.000 3.0389 0.052401 0.052891 0.053695 0.054511 0.055339 16.95 19.53 NORTHRIDGE OHIO LOC SCH 666705GP7 02/10/21 12/01/37 59.656 0.000 3.0969 0.051319 0.051809 0.052611 0.053426 0.054253 16.60 19.14 NORTHRIDGE OHIO LOC SCH 666705GQ5 02/10/21 12/01/38 57.346 0.000 3.1468 0.050128 0.050614 0.051410 0.052219 0.053041 16.22 18.70 NORTHWEST OHIO LOC SCH D 667712CN1 11/15/19 12/01/38 49.534 0.000 3.7230 21.06 0.053239 0.054230 0.055239 0.056267 0.057315 19.40 20.13 NORTHWEST OHIO LOC SCH D 667712CP6 11/15/19 12/01/39 47.272 0.000 3.7730 20.37 0.051517 0.052489 0.053479 0.054488 0.055516 18.78 19.50 NORTHWEST OHIO LOC SCH D 667712CQ4 11/15/19 12/01/40 45.070 0.000 3.8230 19.68 0.049794 0.050746 0.051716 0.052704 0.053711 18.15 18.86 Novellus Systems, Inc. 670008AC5 05/10/11 05/15/41* 100.000 VARIES 8.1005 0.396680 0.409793 55.61* Novellus Systems, Inc. 670008AD3 05/10/11 05/15/41* 100.000 VARIES 8.1005 0.396680 0.409793 55.61* NUTRIEN LTD 67077MAD0 04/10/18 04/01/25 94.730 3.000 3.8693 18.94 0.020322 0.020716 0.021116 0.021525 0.021941 7.46 7.75 NUTRIEN LTD 67077MAE8 04/10/18 12/15/26 97.410 4.000 4.3616 7.12 0.007753 0.007922 0.008095 0.008271 0.008451 2.83 2.95 NUTRIEN LTD 67077MAJ7 04/10/18 10/01/22 98.300 3.150 3.5643 10.03 0.010724 0.010915 0.011110 0.011308 3.93 3.04 NUTRIEN LTD 67077MAK4 04/10/18 06/01/23* 98.160 3.500 3.8983 9.30 0.010046 0.010242 0.010442 3.51* ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ NUTRIEN LTD 67077MAL2 04/10/18 03/15/25* 96.240 3.375 4.0016 13.57 0.014562 0.014854 0.015151 5.13* Nuverra Environmental 67091KAA2 04/15/16 04/15/21 36.385 VARIES N/A 1097.86 1.033132 107.45 OCCIDENTAL PETROLEUM COR 674599DG7 09/18/19 10/10/36 49.134 0.000 4.2087 27.08 0.060038 0.061302 0.062592 0.063909 0.065254 22.05 22.99 Orange County, CA 68428LCD4 01/17/97 09/01/21 15.306 0.000 7.7695 797.55 0.199979 0.207748 49.39 Oregon Community College 68583RAT9 04/23/03 06/30/21 32.815 0.000 6.2213 641.85 0.167601 30.00 Oregon Community College 68583RAU6 04/23/03 06/30/22 30.636 0.000 6.2613 605.47 0.158562 0.163526 0.168646 57.99 30.19 Oregon Community College 68583RAV4 04/23/03 06/30/23 28.748 0.000 6.2713 569.62 0.149283 0.153964 0.158792 0.163771 0.168907 54.59 58.07 Oregon School Boards 686053CL1 04/21/03 06/30/21 32.815 0.000 6.2194 641.86 0.167550 29.99 Oregon School Boards 686053CM9 04/21/03 06/30/22 30.636 0.000 6.2595 605.49 0.158520 0.163481 0.168598 57.97 30.18 Oregon School Boards 686053CN7 04/21/03 06/30/23 28.748 0.000 6.2695 569.66 0.149248 0.153926 0.158752 0.163728 0.168861 54.58 58.06 PIC AU HOLDINGS LLC 69291BAA6 01/29/21 12/31/24 91.510 10.000 12.8220 0.048150 0.050740 0.053993 0.057454 0.061137 16.46 20.07 PDL BIOPHARMA INC 69329YAJ3 09/17/19 12/01/24 98.000 2.750 5.4000 33.56 0.075428 0.077467 0.079560 0.081710 0.083917 27.64 29.16 PALMER TEX INDPT SCH DIS 696888HJ8 11/19/20 08/01/24 96.974 0.000 0.8321 0.94 0.022415 0.022453 0.022546 0.022640 0.022734 8.10 8.16 PALMER TEX INDPT SCH DIS 696888HK5 11/19/20 08/01/25 95.500 0.000 0.9820 1.09 0.026050 0.026101 0.026230 0.026358 0.026488 9.41 9.50 PALMER TEX INDPT SCH DIS 696888HL3 11/19/20 08/01/26 93.646 0.000 1.1550 1.26 0.030044 0.030114 0.030288 0.030462 0.030638 10.86 10.99 PALMER TEX INDPT SCH DIS 696888HM1 11/19/20 08/01/27 91.653 0.000 1.3051 1.40 0.033226 0.033313 0.033530 0.033749 0.033969 12.02 12.18 PAMPA TEX INDPT SCH DIST 697685FC4 02/16/21 08/15/29 87.041 0.000 1.6401 0.039653 0.039977 0.040304 0.040635 12.53 14.54 PAMPA TEX INDPT SCH DIST 697685FD2 02/16/21 08/15/30 84.430 0.000 1.7900 0.041981 0.042355 0.042734 0.043116 13.27 15.42 PAMPA TEX INDPT SCH DIST 697685FE0 02/16/21 08/15/31 81.485 0.000 1.9600 0.044364 0.044797 0.045236 0.045679 14.03 16.33 PARAMOUNT CALIF UNI SCH 699211PU6 12/10/20 08/01/41 46.709 0.000 3.7216 1.01 0.048287 0.048542 0.049445 0.050365 0.051302 17.60 18.24 PARAMOUNT CALIF UNI SCH 699211PV4 12/10/20 08/01/47 36.281 0.000 3.8417 0.81 0.038716 0.038927 0.039675 0.040437 0.041214 14.12 14.65 PARKER CNTY TEX 701060KL8 12/01/20 02/15/23 98.200 0.000 0.8252 0.68 0.022509 0.022547 0.022640 0.022733 0.022827 8.13 8.19 PARKER CNTY TEX 701060KM6 12/01/20 02/15/24 96.649 0.000 1.0660 0.86 0.028619 0.028682 0.028835 0.028988 0.029143 10.34 10.45 PEABODY ENERGY CORP 704551AB6 01/29/21 12/31/24 78.890 8.500 15.6223 0.175678 0.185442 0.197822 0.211142 0.225477 60.10 73.64 Peoria County SD #325, I 713165FL7 09/04/13 12/01/21 107.288 VARIES 4.1865 0.117490 0.116897 38.67 Philadelphia Authority 71781LAP4 02/03/99 04/15/24 19.046 0.000 6.6895 615.05 0.147596 0.152532 0.157634 0.162907 0.168356 54.79 58.51 Philadelphia Authority 71781LAZ2 02/03/99 04/15/21 23.403 0.000 6.6495 747.38 0.178765 18.59 Philadelphia Authority 71781LBA6 02/03/99 04/15/22 21.872 0.000 6.6595 700.43 0.167672 0.173256 0.179024 62.23 18.62 Philadelphia Authority 71781LBB4 02/03/99 04/15/23 20.437 0.000 6.6695 656.31 0.157239 0.162482 0.167901 0.173500 0.179285 58.36 62.32 Philadelphia Authority 71781LBC2 02/03/99 04/15/25 17.878 0.000 6.6796 575.74 0.138051 0.142662 0.147426 0.152350 0.157438 51.24 54.72 Philadelphia Authority 71781LBD0 02/03/99 04/15/26 16.697 0.000 6.6896 539.21 0.129397 0.133725 0.138198 0.142820 0.147597 48.03 51.30 Piatt and Champaign Coun 719457BX0 02/25/16 12/01/21 102.646 3.250 2.7507 135.65 0.076783 0.076597 25.30 Pike & Calhoun CNTYS, IL 721068BF0 08/08/13 12/01/23 111.543 VARIES 4.3459 0.120998 0.120178 0.119341 0.118486 43.36 39.23 Pike & Calhoun CNTYS, IL 721068BG8 08/08/13 12/01/24 110.329 VARIES 4.5669 0.124919 0.124156 0.123377 0.122580 44.79 40.57 Pike & Calhoun CNTYS, IL 721068BH6 08/08/13 12/01/25 109.132 VARIES 4.7572 0.128809 0.128108 0.127392 0.126659 46.20 41.91 Pike & Calhoun CNTYS, IL 721068BJ2 08/08/13 12/01/26 108.343 VARIES 4.8857 0.131389 0.130733 0.130061 0.129374 47.14 42.80 Pike & Calhoun CNTYS, IL 721068BK9 08/08/13 12/01/27 106.399 VARIES 5.1092 0.137800 0.137265 0.136717 0.136155 49.48 45.02 Pike & Calhoun CNTYS, IL 721068BL7 08/08/13 12/01/28 106.016 VARIES 5.1714 0.139072 0.138563 0.138041 0.137507 49.94 45.46 Pike & Calhoun CNTYS, IL 721068BM5 08/08/13 12/01/29 104.498 VARIES 5.3285 0.144146 0.143746 0.143336 0.142916 51.80 47.23 PIQUA OHIO CITY SCH DIST 724190EW9 02/13/20 12/01/23 92.646 0.000 2.0199 16.61 0.052826 0.053360 0.053899 0.054443 0.054993 19.15 19.53 PIQUA OHIO CITY SCH DIST 724190EX7 02/13/20 12/01/25 87.728 0.000 2.2699 17.69 0.056324 0.056963 0.057610 0.058264 0.058925 20.43 20.90 Playboy Enterprises, Inc 728117AA0 03/15/05 03/15/25 100.000 VARIES 7.7501 0.501868 0.517478 0.533670 0.550468 0.567894 186.85 198.77 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Playboy Enterprises, Inc 728117AB8 03/15/05 03/15/25 100.000 VARIES 7.7501 0.501868 0.517478 0.533670 0.550468 0.567894 186.85 198.77 PORT ARTHUR TEX INDPT SC 733505TV3 10/29/20 02/15/25 95.741 0.000 1.0160 1.68 0.027020 0.027101 0.027238 0.027377 0.027516 9.77 9.87 PORT ARTHUR TEX INDPT SC 733505TW1 10/29/20 02/15/26 93.487 0.000 1.2760 2.05 0.033136 0.033261 0.033473 0.033686 0.033901 12.00 12.15 PORT ARTHUR TEX INDPT SC 733505TX9 10/29/20 02/15/27 91.730 0.000 1.3760 2.17 0.035061 0.035203 0.035446 0.035689 0.035935 12.70 12.87 PORT ARTHUR TEX INDPT SC 733505TY7 10/29/20 02/15/28 88.383 0.000 1.7000 2.59 0.041737 0.041945 0.042302 0.042662 0.043024 15.14 15.39 PORT ARTHUR TEX INDPT SC 733505TZ4 10/29/20 02/15/29 86.188 0.000 1.8000 2.67 0.043093 0.043322 0.043712 0.044105 0.044502 15.64 15.91 PORT ARTHUR TEX INDPT SC 733505UA7 10/29/20 02/15/30 83.881 0.000 1.9000 2.74 0.044270 0.044518 0.044941 0.045368 0.045799 16.07 16.37 PORT ARTHUR TEX INDPT SC 733505UM1 10/29/20 02/15/31 81.475 0.000 2.0000 2.81 0.045263 0.045529 0.045985 0.046445 0.046909 16.44 16.76 Presidio Independent 741020EF4 05/14/98 02/15/21 19.782 0.000 7.2494 793.63 0.194327 8.55 Presidio Independent 741020EG2 05/14/98 02/15/22 18.422 0.000 7.2494 739.08 0.180972 0.187532 0.194329 68.15 8.55 Pride International 741932AE7 01/16/01 01/16/21 60.841 0.000 2.5000 390.56 0.068588 1.03 PRINCETON OHIO CITY SCH 742327FJ3 12/18/19 12/01/35 57.808 0.000 3.4650 20.97 0.057492 0.058488 0.059502 0.060532 0.061581 20.94 21.67 PRINCETON OHIO CITY SCH 742327FK0 12/18/19 12/01/36 55.393 0.000 3.5149 20.38 0.055911 0.056893 0.057893 0.058910 0.059946 20.36 21.09 PRINCETON TEX INDPT SCH 742395VN3 05/06/21 02/15/23 99.024 0.000 0.5533 0.015219 0.015242 0.015284 0.015326 3.58 5.51 PRINCETON TEX INDPT SCH 742395VP8 05/06/21 02/15/24 97.733 0.000 0.8280 0.022478 0.022529 0.022622 0.022716 5.29 8.15 PRINCETON TEX INDPT SCH 742395VQ6 05/06/21 02/15/25 95.336 0.000 1.2691 0.033609 0.033726 0.033940 0.034156 7.91 12.24 PRINCETON TEX INDPT SCH 742395VR4 05/06/21 02/15/26 93.692 0.000 1.3691 0.035632 0.035766 0.036010 0.036257 8.39 12.99 PRINCETON TEX INDPT SCH 742395VS2 05/06/21 02/15/27 90.505 0.000 1.7349 0.043615 0.043823 0.044203 0.044586 10.28 15.95 PRINCETON TEX INDPT SCH 742395VT0 05/06/21 02/15/28 87.768 0.000 1.9349 0.047174 0.047425 0.047884 0.048347 11.12 17.28 PRINCETON TEX INDPT SCH 742395VU7 05/06/21 02/15/29 84.864 0.000 2.1219 0.050020 0.050311 0.050845 0.051385 11.79 18.35 PRINCETON TEX INDPT SCH 742395VV5 05/06/21 02/15/30 82.373 0.000 2.2219 0.050840 0.051151 0.051719 0.052294 11.99 18.67 PRINCETON TEX INDPT SCH 742395VW3 05/06/21 02/15/31 79.798 0.000 2.3219 0.051467 0.051795 0.052397 0.053005 12.14 18.92 PUBLIC FIN AUTH WIS HEAL 74444KAM6 12/23/19 11/01/24 98.973 6.750 7.0031 1.89 0.005338 0.005525 0.005718 0.005919 0.006126 1.98 2.12 Puerto Rico Sales Tax FI 74529JPY5 02/12/19 07/01/40 82.961 4.550 5.9712 7.94 0.012534 0.012908 0.013293 0.013690 4.58 4.86 Puerto Rico Sales Tax FI 74529JPZ2 02/12/19 07/01/53 81.968 4.750 5.9941 3.21 0.005069 0.005221 0.005378 0.005539 1.85 1.96 Puerto Rico Sales Tax FI 74529JQA6 02/12/19 07/01/58 83.618 5.000 6.1032 2.03 0.003215 0.003314 0.003415 0.003519 1.18 1.25 Puerto Rico Sales Tax FI 74529JQY4 02/12/19 07/01/40 82.961 4.550 5.9712 7.94 0.012534 0.012908 0.013293 0.013690 4.58 4.86 Quicksilver Resources In 74837RAA2 11/01/04 11/01/24 98.500 VARIES 6.7503 0.427964 0.440144 0.452717 0.465696 0.479093 157.74 166.90 Quicksilver Resources In 74837RAB0 11/01/04 11/01/24 98.500 VARIES 6.7503 0.427964 0.440144 0.452717 0.465696 0.479093 157.74 166.90 Randolph & Perry CNTYS 752368BB5 05/16/13 12/01/21 108.667 VARIES 3.3340 0.093665 0.093142 30.82 Randolph & Perry CNTYS 752368BC3 05/16/13 12/01/22 107.818 VARIES 3.5344 0.099992 0.099550 0.099101 0.098643 35.89 32.62 Randolph County, IL 752535DP6 01/30/13 12/01/21 72.328 0.000 3.6997 243.70 0.099070 0.100903 33.02 Randolph County, IL 752535DQ4 01/30/13 12/01/22 68.391 0.000 3.8997 244.76 0.100273 0.102228 0.104221 0.106253 36.57 34.76 Regal Beloit Corporation 758750AA1 04/05/04 03/15/24 100.000 VARIES 8.7500 0.738296 0.766342 0.795580 0.826058 0.857828 276.91 298.49 Regal Beloit Corporation 758750AB9 04/05/04 03/15/24 100.000 VARIES 8.7500 0.738296 0.766342 0.795580 0.826058 0.857828 276.91 298.49 Reliant Energy, Inc. 75952J207 09/21/99 09/15/29 100.000 2.000 9.8184 1.678493 1.758166 1.841750 1.929438 2.021430 635.90 697.86 City of Reno, NV 759830AR3 09/22/16 06/01/21 98.102 2.000 2.4304 17.21 0.011813 1.77 City of Reno, NV 759830AS1 09/22/16 06/01/22 98.689 2.500 2.7504 9.66 0.006676 0.006768 0.006861 2.43 1.03 City of Reno, NV 759830AT9 09/22/16 06/01/25 97.746 3.000 3.3004 10.29 0.007201 0.007320 0.007441 0.007564 0.007689 2.62 2.71 RIVERSIDE OHIO LOC SCH D 769229CY9 12/30/19 10/01/39 46.260 0.000 3.9408 18.51 0.052151 0.053179 0.054227 0.055295 0.056385 19.15 19.91 RIVERSIDE OHIO LOC SCH D 769229CZ6 12/30/19 10/01/40 44.039 0.000 3.9908 17.85 0.050296 0.051300 0.052323 0.053367 0.054432 18.47 19.21 RIVERSIDE OHIO LOC SCH D 769229DA0 12/30/19 10/01/41 41.883 0.000 4.0409 17.19 0.048452 0.049431 0.050430 0.051449 0.052488 17.80 18.52 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ RIVERSIDE OHIO LOC SCH D 769229DB8 12/30/19 10/01/42 39.795 0.000 4.0908 16.53 0.046622 0.047576 0.048549 0.049542 0.050555 17.13 17.84 ROBINSON TEX INDPT SCH D 770842QF2 10/01/20 08/15/25 95.473 0.000 0.9531 2.27 0.025275 0.025365 0.025486 0.025607 0.025729 9.14 9.23 ROBINSON TEX INDPT SCH D 770842QG0 10/01/20 08/15/26 93.215 0.000 1.2000 2.80 0.031073 0.031211 0.031399 0.031587 0.031777 11.26 11.39 ROBSTOWN TEX INDPT SCH D 771146YV3 05/12/21 02/15/26 93.224 0.000 1.4799 0.038322 0.038469 0.038753 0.039040 8.80 13.98 ROBSTOWN TEX INDPT SCH D 771146YW1 05/12/21 02/15/27 90.041 0.000 1.8299 0.045769 0.045986 0.046406 0.046831 10.51 16.75 ROCKFORD ILL PK DIST 773182XJ4 06/09/20 12/15/21 100.000 2.000 1.9930 11.20 0.055931 0.055363 19.14 ROCKWALL TEX INDPT SCH D 774286AP3 09/17/20 02/15/22 99.237 0.000 0.5435 1.56 0.014982 0.015015 0.015056 5.41 0.66 ROCKWALL TEX INDPT SCH D 774286AQ1 09/17/20 02/15/23 98.414 0.000 0.6641 1.89 0.018155 0.018205 0.018265 0.018326 0.018387 6.56 6.60 ROCKWALL TEX INDPT SCH D 774286AR9 09/17/20 02/15/24 97.085 0.000 0.8691 2.44 0.023438 0.023522 0.023624 0.023727 0.023830 8.48 8.55 ROCKWALL TEX INDPT SCH D 774286AS7 09/17/20 02/15/25 95.825 0.000 0.9691 2.68 0.025796 0.025898 0.026024 0.026150 0.026277 9.34 9.43 ROCKWALL TEX INDPT SCH D 774286AT5 09/17/20 02/15/26 93.705 0.000 1.2051 3.26 0.031369 0.031524 0.031714 0.031905 0.032098 11.37 11.50 ROCKWALL TEX INDPT SCH D 774286AU2 09/17/20 02/15/27 91.998 0.000 1.3051 3.47 0.033352 0.033531 0.033750 0.033970 0.034192 12.09 12.25 ROCKWALL TEX INDPT SCH D 774286AV0 09/17/20 02/15/31 81.236 0.000 2.0059 4.71 0.045264 0.045637 0.046095 0.046557 0.047024 16.48 16.80 ROCKWALL TEX INDPT SCH D 774286AW8 09/17/20 02/15/32 78.736 0.000 2.1059 4.79 0.046059 0.046458 0.046947 0.047441 0.047941 16.77 17.12 Royal Bank of Canada 78008KN33 03/31/11 03/31/21 100.000 VARIES 4.1703 0.115931 10.32 Royal Bank of Canada 78008TLZ5 08/18/11 08/18/31 100.000 VARIES 4.0300 0.108943 0.109053 0.109165 0.109279 0.109396 39.27 39.35 Royal Bank of Scotland 78009KNQ1 11/16/10 11/16/30 100.000 VARIES 5.5209 0.148821 0.148994 0.149172 0.149355 0.149543 53.62 53.75 Royal Bank of Scotland 78009KPH9 12/13/10 12/13/28 100.000 VARIES 5.3208 0.140971 0.141319 0.141676 0.142043 0.142419 50.82 51.08 Royal Bank of Scotland 78009KPR7 12/30/10 12/30/30 100.000 VARIES 5.7104 0.153044 0.153255 0.153471 0.153694 0.153924 55.13 55.29 Royal Bank of Scotland 78009KQW5 02/25/11 02/25/31 100.000 VARIES 5.4494 0.144597 0.144841 0.145091 0.145347 0.145611 52.16 52.34 Royal Bank of Scotland 78009KRJ3 03/15/11 03/15/21 100.000 VARIES 5.5247 0.153412 11.35 Royal Bank of Scotland 78009PAM3 05/25/11 05/25/21 100.000 VARIES 4.4729 0.124496 17.93 Royal Bank of Scotland 78009PAP6 06/14/11 06/14/21 100.000 VARIES 2.5505 0.016470 2.68 Royal Bank of Scotland 78009PBD2 07/21/11 07/21/21 100.000 VARIES 2.8322 0.022475 0.022794 4.55 Royal Bank of Scotland 78009PBK6 08/26/11 08/26/31 100.000 VARIES 4.7435 0.132433 0.133852 0.135304 0.136791 0.138313 48.29 49.35 Royal Bank of Canada 78009Q489 09/26/13 09/26/22 100.000 0.000 3.5770 0.127350 0.129628 0.131947 0.134306 46.69 35.39 Royal Bank of Canada 78010UDU8 02/28/14 02/28/34 100.000 VARIES 4.0700 0.101249 0.099908 0.101885 0.100547 0.102548 36.79 37.02 Royal Bank of Canada 78010UVX2 06/30/14 06/30/29 100.000 VARIES 3.5597 0.096598 0.096714 0.096832 0.096953 0.097075 34.80 34.88 Royal Bank of Canada 78010UWN3 09/29/14 09/29/34 100.000 VARIES 3.6300 0.096468 0.096589 0.096713 0.096838 0.096966 34.77 34.86 Royal Bank of Canada 78010UWR4 11/28/14 11/28/34 100.000 VARIES 3.3500 0.088842 0.088961 0.089082 0.089205 0.089331 32.01 32.10 Royal Bank of Canada 78010UWU7 12/23/14 12/23/24 100.000 VARIES 2.8500 0.078730 0.078782 0.078835 0.078888 0.078942 28.35 28.39 Royal Bank of Canada 78012KDH7 06/29/15 06/29/35 100.000 VARIES 3.4100 0.087964 0.088146 0.088332 0.088520 0.088712 31.70 31.83 Royal Bank of Canada 78012KP84 05/18/17 02/21/23 100.000 0.000 2.4412 91.83 0.073391 0.074286 0.075193 0.076111 0.077040 26.82 27.47 Royal Bank of Canada 78012KT64 05/31/17 06/01/23 100.000 0.000 2.5535 95.27 0.077522 0.078512 0.079514 0.080529 0.081558 28.15 28.87 Royal Bank of Canada 78013GJR7 10/18/17 10/18/23 100.000 0.000 2.1352 70.41 0.063214 0.063889 0.064571 0.065260 0.065957 22.98 23.47 Royal Bank of Canada 78013Q152 02/05/18 02/03/21 100.000 0.000 2.7735 83.34 0.082523 2.64 Royal Bank of Canada 78013X3E6 03/29/19 03/31/22 100.000 0.000 2.7531 49.20 0.079682 0.080779 0.081891 29.08 7.29 Royal Bank of Canada 78013X3H9 03/29/19 03/30/23 100.000 0.000 2.8294 50.59 0.081984 0.083144 0.084321 0.085513 0.086723 29.94 30.79 Royal Bank of Canada 78013X4T2 04/30/19 04/28/23 100.000 0.000 2.9042 49.34 0.084226 0.085449 0.086690 0.087948 0.089225 30.70 31.59 Royal Bank of Canada 78013X5E4 04/30/19 05/01/23 100.000 0.000 2.8548 48.48 0.082750 0.083931 0.085129 0.086344 0.087577 30.15 31.01 Royal Bank of Canada 78013X6W3 05/31/19 06/01/23 100.000 0.000 2.5276 40.66 0.072913 0.073834 0.074768 0.075712 0.076669 26.47 27.14 Royal Bank of Canada 78013XBL1 12/29/17 12/30/22 100.000 0.000 2.7655 86.05 0.083422 0.084576 0.085745 0.086931 30.24 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Canada 78013XCS5 01/31/18 01/31/23 100.000 0.000 3.0653 92.89 0.091876 0.093284 0.094714 0.096165 0.097639 33.76 34.80 Royal Bank of Canada 78013XF45 09/28/18 09/29/22 100.000 0.000 3.5421 82.56 0.105561 0.107431 0.109333 0.111270 38.69 29.65 Royal Bank of Canada 78013XF52 09/28/18 09/29/22 100.000 0.000 3.5746 83.35 0.106597 0.108502 0.110441 0.112415 39.07 29.95 Royal Bank of Canada 78013XFK9 02/28/18 02/28/23 100.000 0.000 3.2254 95.22 0.097055 0.098620 0.100211 0.101827 0.103469 35.61 36.77 Royal Bank of Canada 78013XGY8 03/29/18 03/30/23 100.000 0.000 3.2987 94.38 0.099450 0.101091 0.102758 0.104453 0.106176 36.40 37.61 Royal Bank of Canada 78013XJD1 04/30/18 07/28/22 100.000 0.000 3.5027 97.19 0.105186 0.107028 0.108903 0.110810 38.77 22.89 Royal Bank of Canada 78013XJZ2 05/31/18 06/03/22 100.000 0.000 3.1800 85.03 0.095609 0.097129 0.098673 34.78 15.00 Royal Bank of Canada 78013XKR8 05/31/18 06/03/22 100.000 0.000 3.1798 85.03 0.095602 0.097122 0.098666 34.78 15.00 Royal Bank of Canada 78013XL97 10/31/18 10/31/22 100.000 0.000 3.5349 79.02 0.105321 0.107182 0.109076 0.111004 38.48 32.96 Royal Bank of Canada 78013XLY2 06/29/18 06/30/22 100.000 0.000 3.4324 89.01 0.103820 0.105602 0.107415 37.70 19.23 Royal Bank of Canada 78013XM62 10/31/18 11/02/22 100.000 0.000 3.5454 79.26 0.105675 0.107548 0.109455 0.111395 38.60 33.30 Royal Bank of Canada 78013XMP0 06/29/18 06/30/22 100.000 0.000 3.3884 87.83 0.102381 0.104115 0.105879 37.17 18.95 Royal Bank of Canada 78013XNY0 07/31/18 07/29/22 100.000 0.000 3.5199 88.11 0.104832 0.106677 0.108554 0.110465 38.64 22.92 Royal Bank of Canada 78013XPT9 07/31/18 07/31/22 100.000 0.000 3.5174 88.05 0.104764 0.106606 0.108481 0.110389 38.61 23.02 Royal Bank of Canada 78013XRF7 08/31/18 08/31/22 100.000 0.000 3.4339 82.82 0.102108 0.103842 0.105644 0.107438 37.50 25.58 Royal Bank of Canada 78013XRM2 11/30/18 11/30/22 100.000 0.000 3.4756 74.55 0.103432 0.105230 0.107058 0.108919 37.67 35.56 Royal Bank of Canada 78013XS33 11/29/18 12/01/22 100.000 0.000 3.4997 75.19 0.104218 0.106042 0.107897 0.109785 37.96 35.95 Royal Bank of Canada 78013XS74 11/29/18 06/01/21 100.000 0.000 3.3356 71.57 0.099012 14.85 Royal Bank of Canada 78013XSJ8 08/31/18 09/01/22 100.000 0.000 3.4206 82.49 0.101696 0.103435 0.105204 0.107003 37.34 25.57 Royal Bank of Canada 78013XSK5 12/03/18 12/02/21 100.000 0.000 3.4932 74.63 0.103983 0.105799 34.75 Royal Bank of Canada 78013XTJ7 12/31/18 07/01/21 100.000 0.000 3.0965 63.47 0.091474 16.47 Royal Bank of Canada 78013XTK4 12/31/18 06/30/22 100.000 0.000 3.2158 65.98 0.095213 0.096744 0.098299 34.56 17.60 Royal Bank of Canada 78013XUC0 12/24/18 12/23/21 100.000 0.000 3.3631 69.68 0.099855 0.101534 35.45 Royal Bank of Canada 78013XWE4 01/31/19 02/01/24 100.000 0.000 3.6269 71.45 0.106338 0.108266 0.110230 0.112228 0.114264 39.21 40.65 Royal Bank of Canada 78013XWF1 01/31/19 08/02/22 100.000 0.000 3.5183 69.26 0.103000 0.104812 0.106655 0.108532 37.95 22.84 Royal Bank of Canada 78013XWW4 01/31/19 08/02/21 100.000 0.000 3.4352 67.59 0.100444 0.102170 21.50 Royal Bank of Canada 78013XXM5 01/24/19 01/22/21 100.000 0.000 3.4789 69.07 0.101746 2.14 Royal Bank of Canada 78013XYA0 02/28/19 02/28/25 100.000 0.000 3.2010 60.26 0.093254 0.094746 0.096263 0.097803 0.099369 34.21 35.31 Royal Bank of Canada 78013XYV4 02/28/19 03/02/23 100.000 0.000 3.1550 59.38 0.091885 0.093334 0.094807 0.096302 0.097821 33.69 34.76 Royal Bank of Canada 78014G872 01/04/19 01/05/21 100.000 0.000 3.3158 67.69 0.096772 0.39 Royal Bank of Canada 78014H235 02/19/19 03/03/21 100.000 0.000 3.0491 58.15 0.088735 5.50 Royal Bank of Canada 78014RAE0 04/13/18 04/13/28* 100.000 VARIES 3.5146 92.89 0.092917 9.48* Royal Bank of Canada 78014RBT6 11/27/19 11/27/34 100.000 VARIES 2.3582 25.70 0.064589 0.064122 0.063650 0.063711 0.063774 23.14 22.93 Royal Bank of Canada 78014RBV1 12/27/19 12/27/34 100.000 VARIES 2.5623 25.81 0.070144 0.069619 0.069088 0.069156 0.069225 25.15 24.88 Royal Bank of Canada 78014RCU2 05/06/20 05/06/22 100.000 VARIES 1.1322 1.87 0.007705 0.007749 0.007794 2.83 0.97 Royal Bank of Canada 78014RDG2 03/15/21 03/15/41 100.000 VARIES 2.5737 0.071493 0.069553 0.067589 0.067669 20.24 24.49 Royal Bank of Canada 78014RDL1 04/30/21 04/30/41 100.000 VARIES 2.5777 0.071601 0.070734 0.069856 0.068966 17.20 25.20 Royal Bank of Canada 78015KDC5 11/29/19 12/01/25 100.000 0.000 2.1621 23.70 0.061371 0.062034 0.062705 0.063383 0.064068 22.25 22.74 ROYSE CITY TEX INDPT SCH 780869VS9 10/08/20 02/15/23 98.369 0.000 0.7001 1.59 0.019130 0.019177 0.019245 0.019312 0.019380 6.91 6.96 SG Structured Prods, Inc 78423A2D3 07/29/11 07/29/31 100.000 VARIES 3.8136 0.074117 0.074429 0.074747 0.075070 0.075400 26.83 27.07 SG Structured Prods, Inc 78423A2E1 07/29/11 07/29/31 100.000 VARIES 3.8227 0.074849 0.073792 0.072714 0.074104 0.075521 26.43 26.85 SG Structured Prods, Inc 78423A2P6 07/29/11 07/29/31 100.000 VARIES 3.8133 0.074557 0.074761 0.074969 0.075181 0.075397 26.94 27.09 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SG Structured Prods, Inc 78423A3B6 08/31/11 08/29/31 100.000 VARIES 3.8090 0.073569 0.074104 0.073832 0.074374 0.074105 26.98 27.08 SG Structured Prods, Inc 78423AD90 01/31/11 01/31/31 100.000 VARIES 4.1899 0.084268 0.083220 0.082151 0.081060 0.082758 29.83 29.47 SG Structured Prods, Inc 78423AE99 02/25/11 02/25/26 100.000 VARIES 4.0468 0.098138 0.099069 0.100019 0.100989 0.102269 35.73 36.46 SG Structured Prods, Inc 78423AF80 02/28/11 02/28/31 100.000 VARIES 4.1578 0.087291 0.084866 0.086247 0.084815 0.086194 31.29 31.21 SG Structured Prods, Inc 78423AG63 03/18/11 03/18/21 100.000 VARIES 4.1694 0.115859 8.92 SG Structured Prods, Inc 78423AJ45 03/31/11 03/31/26 100.000 VARIES 3.9820 0.095402 0.096224 0.097417 0.098633 0.099874 34.68 35.51 SG Structured Prods, Inc 78423AL75 03/31/11 03/31/31 100.000 VARIES 4.2878 0.093544 0.092556 0.091547 0.090515 0.090028 33.32 32.63 SG Structured Prods, Inc 78423AP48 04/29/11 04/29/31 100.000 VARIES 4.1591 0.088549 0.087497 0.086424 0.085328 0.085638 31.56 30.87 SG Structured Prods, Inc 78423AR20 04/29/11 04/30/26 100.000 VARIES 4.1342 0.102257 0.103106 0.103972 0.104856 0.105971 37.07 37.71 SG Structured Prods, Inc 78423AT93 05/31/11 05/30/31 100.000 VARIES 4.0970 0.087927 0.085418 0.085717 0.083199 0.084730 31.56 30.79 SG Structured Prods, Inc 78423AU26 05/31/11 05/30/23 100.000 VARIES 4.1100 0.112268 0.110661 0.112727 0.111122 0.113246 40.70 40.87 SG Structured Prods, Inc 78423AU83 05/31/11 05/29/26 100.000 VARIES 4.1202 0.101224 0.100467 0.103060 0.102311 0.104973 36.87 37.54 SG Structured Prods, Inc 78423AW65 06/30/11 06/30/31 100.000 VARIES 4.0040 0.080776 0.079961 0.079129 0.078280 0.079819 28.93 28.33 SG Structured Prods, Inc 78423AW73 06/30/11 06/30/31 100.000 VARIES 4.0073 0.081823 0.079331 0.079445 0.076945 0.079736 29.40 28.54 SG Structured Prods, Inc 78423AW81 06/30/11 06/30/23 100.000 VARIES 3.9769 0.110573 0.110588 0.110603 0.110619 0.110546 39.81 39.82 SG Structured Prods, Inc 78423AW99 06/30/11 06/30/26 100.000 VARIES 3.9854 0.097277 0.096545 0.099032 0.098306 0.101064 35.37 36.02 SG Structured Products, 78423AYJ5 08/31/10 08/29/25 100.000 0.000 3.6972 0.084108 0.086133 0.087246 0.089347 0.090502 31.46 32.63 SG Structured Prods, Inc 78423EBR4 07/31/12 07/30/32* 100.000 VARIES 2.2858 0.052889 1.53* SG Structured Prods, Inc 78423ECE2 08/31/12 08/31/32 100.000 VARIES 2.2189 0.052165 0.051446 0.052432 0.051669 0.052618 18.94 19.02 SG Structured Prods, Inc 78423ECF9 08/31/12 08/31/27 100.000 VARIES 2.2060 0.055204 0.054458 0.055519 0.054771 0.055840 20.05 20.17 SG Structured Prods, Inc 78423EDJ0 09/28/12 09/30/32 100.000 VARIES 2.1721 0.051645 0.051855 0.052067 0.052111 0.052156 18.67 18.76 SG Structured Prods, Inc 78423EDN1 10/31/12 10/29/27 100.000 VARIES 2.3465 0.059774 0.060164 0.060560 0.060986 0.061417 21.64 21.93 SG Structured Prods, Inc 78423EEA8 12/31/12 12/31/32 100.000 VARIES 2.3864 0.057006 0.057083 0.057160 0.057257 0.057356 20.54 20.60 SG Structured Prods, Inc 78423EEJ9 10/31/12 10/29/32 100.000 VARIES 2.3463 0.058726 0.058997 0.059271 0.059450 0.059630 21.22 21.39 SG Structured Prods, Inc 78423EES9 11/30/12 11/30/32 100.000 VARIES 2.3877 0.058903 0.058998 0.059094 0.059089 0.059084 21.23 21.27 SM Energy Company 78454LAM2 08/09/16 07/01/21 86.000 1.500 4.7379 124.19 0.087860 15.81 SABINE TEX INDPT SCH DIS 785700EF8 10/27/20 02/15/28 89.146 0.000 1.5800 2.50 0.039125 0.039311 0.039621 0.039934 0.040250 14.19 14.41 SABINE TEX INDPT SCH DIS 785700EG6 10/27/20 02/15/29 87.035 0.000 1.6799 2.60 0.040615 0.040819 0.041162 0.041508 0.041856 14.73 14.98 SABINE TEX INDPT SCH DIS 785700EH4 10/27/20 02/15/30 84.805 0.000 1.7800 2.68 0.041931 0.042155 0.042530 0.042909 0.043290 15.22 15.48 St. Clair County, IL 788550JV4 06/25/15 01/01/22 74.588 0.000 4.5500 210.13 0.120161 0.120891 43.99 St. Clair County, IL 788550JW2 06/25/15 01/01/23 70.267 0.000 4.7499 207.71 0.119455 0.120298 0.125196 0.126080 43.76 45.86 St. Clair County, IL 788550JX0 06/25/15 01/01/24 65.665 0.000 5.0000 205.65 0.119102 0.120089 0.125132 0.126169 43.65 45.86 St. Clair County, IL 788553GR0 04/13/17 12/01/22 99.225 2.850 3.0005 4.97 0.003940 0.003999 0.004059 0.004120 1.43 1.35 St. Clair County, IL 788553GS8 04/13/17 12/01/23 101.777 3.500 3.2006 120.59 0.089660 0.089539 0.089416 0.089292 0.089165 32.25 32.16 St. Clair County, IL 788553GT6 04/13/17 12/01/26 102.645 4.000 3.6716 139.54 0.103777 0.103642 0.103505 0.103366 0.103223 37.33 37.23 St. Clair County, IL 788553GU3 04/13/17 12/01/27 101.642 4.000 3.8108 143.66 0.107075 0.106998 0.106920 0.106840 0.106758 38.53 38.47 SAM RAYBURN TEX INDPT SC 795868EJ3 05/06/21 02/15/23 98.854 0.000 0.6503 0.017858 0.017890 0.017948 0.018007 4.20 6.47 SAM RAYBURN TEX INDPT SC 795868EK0 05/06/21 02/15/24 97.404 0.000 0.9500 0.025704 0.025771 0.025893 0.026016 6.05 9.33 SAM RAYBURN TEX INDPT SC 795868EL8 05/06/21 02/15/25 95.047 0.000 1.3500 0.035644 0.035776 0.036018 0.036261 8.39 12.99 SAM RAYBURN TEX INDPT SC 795868EM6 05/06/21 02/15/26 93.333 0.000 1.4500 0.037594 0.037744 0.038017 0.038293 8.85 13.71 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SAM RAYBURN TEX INDPT SC 795868EN4 05/06/21 02/15/27 89.911 0.000 1.8499 0.046201 0.046436 0.046866 0.047299 10.89 16.91 SAM RAYBURN TEX INDPT SC 795868EP9 05/06/21 02/15/28 87.094 0.000 2.0498 0.049591 0.049871 0.050382 0.050898 11.69 18.19 SAN ANGELO TEX INDPT SCH 796116SZ5 09/08/20 02/15/26 93.647 0.000 1.2111 3.56 0.031503 0.031670 0.031861 0.032054 0.032248 11.42 11.56 San Luis Obispo County 798703AT1 07/02/03 09/01/21 37.061 0.000 5.5396 593.70 0.145695 0.149730 35.69 San Luis Obispo County 798703AU8 07/02/03 09/01/22 34.700 0.000 5.5996 565.14 0.139278 0.143178 0.147186 0.151307 51.79 36.07 San Luis Obispo County 798703AV6 07/02/03 09/01/23 32.578 0.000 5.6397 536.46 0.132584 0.136323 0.140167 0.144120 0.148184 49.31 52.13 San Luis Obispo County 798703AW4 07/02/03 09/01/24 30.563 0.000 5.6797 508.80 0.126105 0.129686 0.133369 0.137156 0.141051 46.91 49.62 San Luis Obispo County 798703AX2 07/02/03 09/01/25 28.774 0.000 5.6997 481.63 0.119540 0.122947 0.126451 0.130054 0.133761 44.48 47.05 San Luis Obispo County 798703AY0 07/02/03 09/01/26 27.018 0.000 5.7298 455.94 0.113404 0.116653 0.119995 0.123433 0.126969 42.20 44.65 San Luis Obispo County 798703AZ7 07/02/03 09/01/27 25.534 0.000 5.7298 430.90 0.107175 0.110246 0.113404 0.116653 0.119995 39.88 42.20 San Luis Obispo County 798703BA1 07/02/03 09/01/28 24.132 0.000 5.7297 407.23 0.101288 0.104189 0.107174 0.110245 0.113403 37.69 39.88 San Luis Obispo County 798703BB9 07/02/03 09/01/29 22.806 0.000 5.7298 384.87 0.095725 0.098468 0.101289 0.104190 0.107175 35.62 37.69 San Luis Obispo County 798703BC7 07/02/03 09/01/30 21.553 0.000 5.7298 363.73 0.090468 0.093060 0.095726 0.098468 0.101289 33.67 35.62 SAN MARCOS TEX CONS INDP 798781B25 12/18/19 08/01/24 89.978 0.000 2.2990 21.58 0.058280 0.058950 0.059627 0.060313 0.061006 21.30 21.80 SAN MARCOS TEX CONS INDP 798781B33 12/18/19 08/01/25 87.215 0.000 2.4489 22.30 0.060231 0.060968 0.061715 0.062470 0.063235 22.04 22.58 SAN MARCOS TEX CONS INDP 798781B41 12/18/19 08/01/26 84.619 0.000 2.5388 22.43 0.060616 0.061385 0.062165 0.062954 0.063753 22.19 22.76 Santa Monica School, CA 802498PT6 10/11/16 07/01/32 95.746 3.000 3.3503 9.34 0.006640 0.006751 0.006864 0.006979 2.41 2.49 SCHERTZ-CIBOLO-UNVL CITY 806640G28 08/27/20 02/01/37 63.888 0.000 2.7458 6.04 0.048729 0.049301 0.049978 0.050664 0.051360 17.83 18.32 SCHERTZ-CIBOLO-UNVL CITY 806640G36 08/27/20 02/01/38 61.743 0.000 2.7858 5.92 0.047780 0.048349 0.049022 0.049705 0.050398 17.49 17.98 SEADRILL NEW FINANCE LTD 81173JAA7 07/02/18 07/15/25 44.667 12.000 26.7500 249.76 0.344889 0.385778 0.432000 0.484111 0.543000 145.90 183.22 Seacor Holdings, Inc. 811904AL5 12/11/12 12/15/27* 100.000 VARIES 7.1504 0.295252 40.45* Seacor Holdings, Inc. 811904AM3 12/11/12 12/15/27* 100.000 VARIES 7.1504 0.295252 40.45* SEACOR HOLDINGS INC 811904AN1 05/15/18 05/15/30 100.000 3.250 7.6251 210.19 0.236812 0.242399 0.248199 0.254219 0.260470 86.78 91.00 SEGUIN TEX INDPT SCH DIS 815853TB2 10/28/20 08/15/26 93.995 0.000 1.0710 1.76 0.027965 0.028054 0.028204 0.028355 0.028507 10.12 10.22 SEGUIN TEX INDPT SCH DIS 815853TC0 10/28/20 08/15/27 91.934 0.000 1.2410 2.00 0.031692 0.031809 0.032007 0.032205 0.032405 11.47 11.61 SEGUIN TEX INDPT SCH DIS 815853TD8 10/28/20 08/15/28 88.829 0.000 1.5249 2.37 0.037627 0.037797 0.038086 0.038376 0.038669 13.64 13.84 SEGUIN TEX INDPT SCH DIS 815853TE6 10/28/20 08/15/29 86.729 0.000 1.6250 2.47 0.039148 0.039337 0.039656 0.039978 0.040303 14.20 14.42 Shelby Christian CNTYS, 821510BB9 02/24/16 12/01/21 106.397 3.750 2.5508 128.80 0.071688 0.071274 23.58 SG Structured Prods, Inc 83367TAN9 09/28/12 09/28/27 100.000 VARIES 4.2451 0.107767 0.108197 0.108637 0.109333 0.110044 38.95 39.37 SG Structured Prods, Inc 83368W2F7 07/28/15 07/28/21 100.000 0.000 3.0305 0.097842 0.099325 20.52 SG Structured Prods, Inc 83368W2V2 08/31/15 09/03/30* 100.000 VARIES 3.4214 0.090528 5.16* SG Structured Prods, Inc 83368WB59 01/30/15 01/30/30* 100.000 VARIES 2.8761 0.080555 2.34* SG Structured Prods, Inc 83368WBD2 01/31/13 01/31/33 100.000 VARIES 3.8966 0.107550 0.108448 0.109364 0.110297 0.111065 39.15 39.80 SG Structured Prods, Inc 83368WBG5 01/31/13 01/31/33 100.000 VARIES 3.8943 0.098996 0.099481 0.099976 0.100480 0.101030 35.87 36.24 SG Structured Prods, Inc 83368WBT7 02/28/13 02/28/33 100.000 VARIES 3.4646 0.088812 0.088061 0.090308 0.089624 0.091925 32.46 33.04 SG Structured Prods, Inc 83368WBX8 03/28/13 03/31/33 100.000 VARIES 2.9028 0.074857 0.075319 0.075788 0.076263 0.076715 27.12 27.45 SG Structured Prods, Inc 83368WCB5 04/12/13 04/12/33 100.000 VARIES 3.9684 0.102038 0.102628 0.103229 0.103842 0.104437 36.93 37.37 SG Structured Prods, Inc 83368WCG4 04/30/13 04/29/33 100.000 VARIES 3.9499 0.103003 0.103684 0.104379 0.105088 0.105701 37.29 37.79 SG Structured Prods, Inc 83368WCQ2 04/30/13 05/01/23 100.000 VARIES 1.6708 0.010597 0.010685 0.010774 0.010864 0.010955 3.84 3.91 SG Structured Prods, Inc 83368WCY5 05/03/13 05/03/23 100.000 VARIES 3.1496 0.087118 0.087197 0.087272 0.087349 0.087419 31.39 31.44 SG Structured Prods, Inc 83368WDM0 06/28/13 06/28/33 100.000 VARIES 4.7593 0.125815 0.126804 0.127815 0.128851 0.129710 45.48 46.21 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SG Structured Prods, Inc 83368WDR9 07/31/13 07/31/33 100.000 VARIES 4.5906 0.118665 0.119479 0.120311 0.121184 0.122077 43.11 43.74 SG Structured Prods, Inc 83368WDT5 07/31/13 07/31/33 100.000 VARIES 4.5832 0.121649 0.122787 0.123952 0.125068 0.126210 44.35 45.16 SG Structured Prods, Inc 83368WDV0 07/31/13 07/31/33 100.000 VARIES 4.5941 0.111862 0.112560 0.113274 0.114251 0.115249 40.61 41.25 SG Structured Prods, Inc 83368WDW8 08/30/13 08/31/33 100.000 VARIES 4.6389 0.119151 0.118184 0.121157 0.120202 0.123257 43.56 44.30 SG Structured Prods, Inc 83368WDX6 08/30/13 08/31/33 100.000 VARIES 4.6414 0.124751 0.123700 0.126772 0.125734 0.128888 45.59 46.34 SG Structured Prods, Inc 83368WDZ1 08/30/13 08/31/28* 100.000 VARIES 4.5931 0.126353 7.20* SG Structured Prods, Inc 83368WEL1 09/30/13 09/30/33 100.000 VARIES 4.5116 0.119134 0.120078 0.121043 0.121970 0.122918 43.23 43.91 SG Structured Prods, Inc 83368WFA4 10/31/13 10/31/33 100.000 VARIES 4.2945 0.109308 0.109977 0.110660 0.111397 0.112150 39.55 40.06 SG Structured Prods, Inc 83368WFL0 10/31/13 10/31/33 100.000 VARIES 4.2911 0.114112 0.114925 0.115756 0.116432 0.117122 41.33 41.88 SG Structured Prods, Inc 83368WGF2 11/29/13 11/30/33 100.000 VARIES 4.4027 0.114888 0.115585 0.116298 0.116932 0.117580 41.53 42.02 SG Structured Prods, Inc 83368WGM7 11/29/13 11/29/32 90.000 VARIES 4.3778 0.103477 0.104636 0.105820 0.106910 0.108024 37.54 38.36 SG Structured Prods, Inc 83368WGR6 11/29/13 11/29/32 90.000 VARIES 4.3778 0.103475 0.104634 0.105818 0.106908 0.108022 37.53 38.36 SG Structured Prods, Inc 83368WHA2 12/30/13 12/30/32 93.000 VARIES 4.4186 0.111482 0.112656 0.113857 0.114875 0.115915 40.35 41.17 SG Structured Prods, Inc 83368WHD6 12/30/13 12/30/33 100.000 VARIES 4.4457 0.113550 0.114300 0.115067 0.115851 0.116652 41.01 41.57 SG Structured Prods, Inc 83368WHS3 01/31/14 01/31/34 100.000 VARIES 4.0888 0.107743 0.108535 0.109343 0.110168 0.110847 39.17 39.74 SG Structured Prods, Inc 83368WJB8 01/31/14 01/31/33 91.000 VARIES 4.0761 0.100439 0.101484 0.102550 0.103637 0.104577 36.66 37.42 SG Structured Prods, Inc 83368WKA8 02/21/14 02/21/24 100.000 0.000 3.6893 0.129968 0.132365 0.134807 0.137293 0.139826 47.85 49.63 SG Structured Prods, Inc 83368WKB6 02/28/14 02/28/34 91.000 VARIES 4.0373 0.100761 0.100394 0.103381 0.103023 0.105947 37.03 37.98 SG Structured Prods, Inc 83368WKC4 02/28/14 02/28/34* 100.000 VARIES 4.0411 0.107638 6.14* SG Structured Prods, Inc 83368WKZ3 03/31/14 03/31/34 100.000 VARIES 4.4731 0.113597 0.114125 0.114666 0.115219 0.115775 41.09 41.48 SG Structured Prods, Inc 83368WL58 04/17/15 04/17/25 100.000 VARIES 2.7151 0.075364 0.075338 0.075323 0.075307 0.075307 27.12 27.11 SG Structured Prods, Inc 83368WLG4 03/31/14 03/31/34 91.000 VARIES 4.4572 0.104652 0.105906 0.107187 0.108496 0.109640 38.13 39.05 SG Structured Prods, Inc 83368WLH2 03/31/14 03/31/34 100.000 VARIES 4.4742 0.109077 0.109298 0.109524 0.109755 0.110140 39.35 39.53 SG Structured Prods, Inc 83368WMW8 05/14/14 05/14/21 100.000 VARIES 2.9301 0.081433 10.83 SG Structured Prods, Inc 83368WNR8 05/22/14 05/22/34 91.000 VARIES 3.6947 0.088218 0.088797 0.089387 0.089988 0.090522 31.91 32.33 SG Structured Prods, Inc 83368WP21 05/20/15 05/21/35* 100.000 VARIES 3.3762 0.091044 4.83* SG Structured Prods, Inc 83368WPM7 06/26/14 06/26/34 100.000 VARIES 3.6333 0.095476 0.095980 0.096493 0.097015 0.097460 34.47 34.84 SG Structured Prods, Inc 83368WRU7 08/29/14 08/29/34 100.000 VARIES 3.4030 0.089584 0.090480 0.090393 0.091307 0.091230 32.96 33.26 SG Structured Prods, Inc 83368WSX0 08/29/14 08/29/34 100.000 VARIES 3.4025 0.087816 0.088535 0.088290 0.089019 0.088780 32.24 32.42 SG Structured Prods, Inc 83368WTC5 09/30/14 09/30/29 100.000 VARIES 3.5292 0.097075 0.097226 0.097380 0.097507 0.097637 35.00 35.10 SG Structured Prods, Inc 83368WTS0 09/30/14 09/30/24* 100.000 VARIES 3.2998 0.089519 7.97* SG Structured Prods, Inc 83368WU58 06/30/15 06/30/35 100.000 VARIES 3.7086 0.096016 0.096626 0.097247 0.097879 0.098512 34.68 35.12 SG Structured Prods, Inc 83368WUJ8 09/30/14 09/30/34 100.000 VARIES 3.5842 0.094681 0.095027 0.095379 0.095725 0.096078 34.21 34.46 SG Structured Prods, Inc 83368WUL3 09/30/14 09/30/34 100.000 VARIES 3.5616 0.094242 0.094650 0.095065 0.095488 0.095918 34.08 34.38 SG Structured Prods, Inc 83368WVM0 10/31/14 10/31/34 100.000 VARIES 3.4502 0.092366 0.092849 0.093341 0.093747 0.094161 33.40 33.73 SG Structured Prods, Inc 83368WXN6 11/26/14 11/26/34 100.000 VARIES 3.3123 0.088000 0.088413 0.088833 0.089260 0.089694 31.78 32.09 SG Structured Prods, Inc 83368WZJ3 12/31/14 12/31/34 100.000 VARIES 3.0162 0.083832 0.084254 0.084682 0.085116 0.085557 30.26 30.56 SG Structured Prods, Inc 83369EEM8 01/29/16 01/29/36* 100.000 VARIES 3.1196 146.52 0.082348 2.31* Societe Generale Medium 83369EG95 11/15/17 11/14/22 100.000 VARIES 2.7307 88.55 0.082276 0.083400 0.084538 0.085693 29.93 26.67 SG Structured Prods, Inc 83369EGC8 02/26/16 02/26/21 100.000 VARIES 1.8853 14.14 0.008261 0.45 SG Structured Prods, Inc 83369EGU8 03/23/16 03/23/26 100.000 VARIES 1.6326 44.76 0.025464 0.025672 0.025882 0.026093 0.026306 9.25 9.40 SG Structured Prods, Inc 83369EKC3 06/24/16 06/26/23 100.000 0.000 1.8500 86.79 0.055835 0.056352 0.056873 0.057399 0.057930 20.20 20.57 ----------------------------- * Called in 2021; 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Societe Generale SA 83369ER51 01/31/18 07/31/23 100.000 0.000 3.1299 94.92 0.093962 0.095433 0.096926 0.098443 0.099984 34.54 35.63 Societe Generale SA 83369F3A3 01/31/18 01/28/21 100.000 0.000 2.8909 87.42 0.086263 2.33 Societe Generale SA 83369F3F2 01/31/18 01/30/25 100.000 0.000 3.2105 97.46 0.096572 0.098123 0.099698 0.101298 0.102924 35.52 36.67 Societe Generale SA 83369F3S4 02/28/18 02/27/25 100.000 0.000 3.2782 96.84 0.098764 0.100383 0.102028 0.103701 0.105400 36.25 37.45 Societe Generale 83369F3V7 02/05/18 02/03/21 100.000 0.000 2.6909 80.77 0.079901 2.56 Societe Generale SA 83369F4R5 03/02/18 03/04/25 100.000 0.000 3.3609 98.97 0.101489 0.103195 0.104929 0.106692 0.108485 37.25 38.51 Societe Generale SA 83369F5K9 03/28/18 03/26/21 100.000 0.000 3.1620 90.43 0.094984 8.07 Societe Generale SA 83369F7H4 05/23/18 05/23/22 100.000 VARIES 2.8699 74.49 0.079348 0.079533 0.079653 28.61 11.31 Societe Generale SA 83369F7M3 05/30/18 05/31/22 100.000 VARIES 3.3928 87.88 0.094548 0.094508 0.094403 34.03 14.07 Societe Generale SA 83369FA23 05/29/18 05/27/21 100.000 0.000 3.4381 92.29 0.103979 15.18 Societe Generale SA 83369FA72 06/04/18 06/06/22 100.000 VARIES 2.9511 75.93 0.082134 0.082147 0.082085 0.083296 29.57 12.73 Societe Generale SA 83369FAD9 06/13/18 06/13/22 100.000 VARIES 3.2002 81.78 0.089279 0.089213 0.089076 32.12 14.43 Societe Generale SA 83369FAF4 06/20/18 06/20/22 100.000 VARIES 3.2003 81.15 0.089285 0.089221 0.089081 32.13 15.05 Societe Generale SA 83369FBT3 09/25/18 09/25/23 100.000 0.000 3.7818 88.68 0.113223 0.115364 0.117545 0.119768 0.122033 41.56 43.15 Societe Generale SA 83369FCD7 11/07/18 11/07/22 100.000 VARIES 3.3999 72.73 0.093279 0.093563 0.093851 0.094144 33.66 28.77 Societe Generale SA 83369FCK1 11/30/18 11/30/21 100.000 VARIES 3.2251 67.43 0.089839 0.089704 29.53 Societe Generale SCF SA 83369FDG9 01/30/19 01/30/23 100.000 VARIES 3.0400 57.74 0.083381 0.083573 0.083599 0.083667 0.083923 30.08 30.16 Societe Generale SA 83369FDJ3 02/06/19 02/06/23 100.000 VARIES 3.0400 57.24 0.083381 0.083573 0.083599 0.083667 0.083923 30.08 30.15 Societe Generale SA 83369FDU8 02/13/19 02/13/23 100.000 VARIES 3.1600 58.93 0.086747 0.086951 0.086991 0.087058 0.087293 31.30 31.37 Societe Generale SA 83369FE86 03/11/19 03/11/22 100.000 VARIES 3.0803 55.38 0.085371 0.085579 0.085584 30.79 5.99 Societe Generale SA 83369FEB9 03/22/19 03/22/21 100.000 0.000 2.7624 49.93 0.079956 6.48 Societe Generale SA 83369FF44 05/08/19 05/09/22 100.000 VARIES 2.7601 45.42 0.076685 0.076667 0.076627 27.60 9.81 Societe Generale SA 83369FF51 05/15/19 05/16/22 100.000 VARIES 2.6399 42.89 0.073161 0.073140 0.073163 26.33 9.88 Societe Generale SA 83369FFK8 06/19/19 06/20/22 100.000 VARIES 2.4001 36.92 0.066909 0.066784 0.066701 24.06 11.27 Societe Generale SA 83369FFY8 07/18/19 07/20/21 100.000 0.000 2.3006 33.80 0.065392 0.066144 13.15 Societe Generale SA 83369FG92 08/07/19 08/05/21 100.000 0.000 2.1609 30.56 0.061322 0.061985 13.24 Societe Generale SA 83369FGW1 10/08/19 11/03/21 100.000 0.000 2.0659 25.63 0.058661 0.059267 17.82 Societe Generale SA 83369FHE0 12/04/19 02/03/22 100.000 0.000 2.1751 23.55 0.061296 0.061962 0.062636 22.38 2.00 Societe Generale SA 83369FHF7 11/29/19 03/29/22 100.000 0.000 2.1604 23.70 0.061097 0.061757 0.062424 22.24 5.49 Societe Generale SA 83369FP84 03/06/19 03/04/22 100.000 0.000 2.9316 54.41 0.085054 0.086300 0.087565 31.14 5.52 Societe Generale SA 83369FP92 03/06/19 03/04/21 100.000 0.000 2.8823 53.47 0.083563 5.26 Societe Generale SA 83369FSM0 04/24/19 04/21/22 100.000 0.000 2.8816 49.45 0.083533 0.084737 0.085958 30.46 9.46 Societe Generale SA 83369FUX3 06/05/19 06/03/22 100.000 0.000 2.4706 39.37 0.071193 0.072072 0.072963 25.84 11.09 Societe Generale SA 83369FUZ8 06/05/19 06/03/22 100.000 0.000 2.4706 39.37 0.071193 0.072072 0.072963 25.84 11.09 Societe Generale SA 83369FXR3 08/05/19 08/05/25 100.000 0.000 2.3103 32.82 0.065668 0.066426 0.067194 0.067970 0.068755 24.00 24.56 Societe Generale SA 83369M5T5 04/30/21 04/30/31 100.000 VARIES 2.3695 0.065821 0.064676 0.063781 0.063132 15.79 23.03 Societe Generale SA 83369MJK9 12/16/19 12/16/22 100.000 0.000 2.2503 23.59 0.063923 0.064642 0.065370 0.066105 23.16 22.68 Societe Generale SA 83369MJQ6 12/20/19 12/21/26 100.000 0.100 2.4730 25.65 0.070334 0.071170 0.072015 0.072872 0.073738 25.49 26.10 Societe Generale SA 83369MJR4 12/18/19 12/21/23 100.000 2.100 2.2723 23.56 0.063249 0.063305 0.063361 0.063418 0.063476 22.78 22.82 Societe Generale SA 83369MMN9 02/10/20 02/03/22 100.000 0.000 1.8806 16.84 0.052712 0.053208 0.053708 19.21 1.72 Societe Generale SA 83369N2F6 05/28/21 05/28/31 100.000 VARIES 2.3296 0.064712 0.063750 0.062989 0.062460 13.75 22.77 Societe Generale SA 83369N3U2 06/22/21 06/22/26 100.000 0.000 1.3580 0.037722 0.037978 0.038236 0.038496 7.13 13.72 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Societe Generale SA 83369NAX8 08/25/21 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1.01 Toronto-Dominion Bank 89114TRA2 09/09/21 09/09/24 100.000 VARIES 0.6023 0.016731 0.016751 0.016771 1.87 6.03 Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38 24.099 0.000 4.8000 200.43 0.058135 0.059531 0.060959 0.062422 0.063921 21.44 22.48 Trenton, City of 895130K35 03/13/03 04/01/22 31.423 0.000 6.1698 612.73 0.156454 0.161280 0.166255 58.07 14.96 TULOSO-MIDWAY TEX INDPT 899474WH9 12/16/20 08/15/23 97.895 0.000 0.8002 0.33 0.021759 0.021787 0.021875 0.021962 0.022050 7.85 7.91 UBS AG 90261JGR8 03/25/11 03/25/21 100.000 VARIES 4.6496 0.129589 10.89 UBS AG 90261JHP1 09/21/11 09/21/21 100.000 VARIES 2.4224 0.067076 0.067182 17.46 UBS AG 90261JHS5 09/29/11 09/29/21 100.000 VARIES 2.5378 0.011318 0.011461 3.06 UBS AG 90261XDU3 07/20/07 07/20/27 100.000 VARIES 5.7801 0.111381 0.113625 0.115934 0.118310 0.120754 41.23 42.94 UBS AG London Branch 90270KJ75 08/07/19 08/05/21 100.000 0.000 2.0200 28.55 0.057243 0.057821 12.35 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 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ UBS AG London Branch 90270KK24 08/07/19 08/05/21 100.000 0.000 2.0200 28.55 0.057243 0.057821 12.35 UBS AG London Branch 90270KRF8 04/27/18 07/22/21 100.000 0.000 3.3688 93.64 0.100840 0.102539 20.57 UBS AG London Branch 90270KSF7 06/20/18 06/16/21 100.000 0.000 3.6899 96.96 0.112262 18.52 UBS AG London Branch 90270KTF6 08/17/18 06/14/21 100.000 0.000 3.3901 83.06 0.101830 16.60 UBS AG London Branch 90270KWM7 01/31/19 01/29/21 100.000 0.000 3.2702 64.26 0.095359 2.67 UBS AG London 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0.020141 6.56 7.03 WACO TEX INDPT SCH DIST 929845UM5 03/02/21 08/15/23 98.881 0.000 0.4593 0.012616 0.012642 0.012671 0.012700 3.78 4.56 WACO TEX INDPT SCH DIST 929845UN3 03/02/21 08/15/24 98.121 0.000 0.5501 0.014994 0.015031 0.015073 0.015114 4.49 5.43 WACO TEX INDPT SCH DIST 929845UP8 03/02/21 08/15/25 96.816 0.000 0.7280 0.019578 0.019643 0.019714 0.019786 5.86 7.10 Wells Fargo & Company 94986RA35 11/30/15 11/30/27 100.000 VARIES 2.3691 0.009416 0.009527 0.009640 0.009754 0.009870 3.42 3.50 Wells Fargo & Company 94986RB59 12/24/15 12/24/25 100.000 VARIES 2.3798 0.009148 0.009257 0.009367 0.009479 0.009592 3.31 3.39 Wells Fargo & Company 94986RB75 12/23/15 12/23/27 100.000 VARIES 2.4986 0.009317 0.009433 0.009551 0.009670 0.009791 3.38 3.46 Wells Fargo & Company 94986RB91 12/23/15 12/23/30 100.000 VARIES 2.5508 0.009730 0.009854 0.009980 0.010107 0.010236 3.53 3.62 Wells Fargo & Company 94986RD40 01/26/16 01/26/26 100.000 VARIES 2.1764 17.18 0.009603 0.009708 0.009813 0.009920 0.010028 3.51 3.59 Wells Fargo & Co. 94986RDD0 03/31/11 03/31/21 100.000 VARIES 4.1709 0.116021 10.33 Wells Fargo & Co. 94986RDL2 04/29/11 04/30/21 100.000 VARIES 4.3019 0.119687 14.24 Wells Fargo & Company 94986RDV0 05/31/11 05/28/21 100.000 VARIES 4.1141 0.114614 16.85 Wells Fargo & Company 94986RE72 02/24/16 02/24/28 100.000 VARIES 1.9880 20.37 0.011160 0.011271 0.011383 0.011496 0.011610 4.07 4.15 Wells Fargo & Company 94986RF71 02/29/16 03/01/23 100.000 VARIES 1.9956 16.52 0.009581 0.009677 0.009773 0.009871 0.009969 3.49 3.56 Wells Fargo & Company 94986RG21 03/23/16 03/23/26 100.000 VARIES 2.2005 18.50 0.010676 0.010793 0.010912 0.011032 0.011154 3.89 3.97 Wells Fargo & Company 94986RH53 03/16/16 03/16/22 100.000 0.000 2.2405 112.68 0.068800 0.069570 0.070350 25.07 5.28 Wells Fargo & Company 94986RJ28 03/29/16 03/29/21 100.000 0.125 2.5923 129.99 0.080431 7.08 Wells Fargo & Company 94986RK67 04/21/16 04/21/26 100.000 VARIES 2.1558 17.47 0.010018 0.010126 0.010235 0.010345 0.010457 3.64 3.72 Wells Fargo & Company 94986RLR0 10/03/12 10/03/22 100.000 VARIES 1.2945 0.011787 0.011863 0.011940 0.012017 4.27 3.26 Wells Fargo & Company 94986RLY5 11/07/12 11/07/22 100.000 VARIES 1.1530 0.009231 0.009284 0.009338 0.009391 3.34 2.87 Wells Fargo & Company 94986RMK4 12/27/12 12/28/22 100.000 VARIES 1.2833 0.011461 0.011535 0.011609 0.011683 4.14 4.16 Wells Fargo & Company 94986RMV0 01/25/13 01/27/25 100.000 VARIES 1.1863 0.010121 0.010181 0.010241 0.010302 0.010363 3.67 3.72 Wells Fargo & Company 94986RNJ6 02/22/13 02/22/21 100.000 VARIES 1.0349 0.012052 0.63 Wells Fargo & Company 94986RNW7 03/06/13 03/06/23 100.000 VARIES 1.1812 0.010737 0.010801 0.010864 0.010929 0.010993 3.89 3.94 Wells Fargo & Company 94986RNX5 03/27/13 03/27/25 100.000 VARIES 1.3587 0.011083 0.011159 0.011234 0.011311 0.011388 4.02 4.07 Wells Fargo & Company 94986RPH8 04/24/13 04/24/23 100.000 VARIES 1.3234 0.007978 0.008031 0.008084 0.008138 0.008191 2.89 2.93 Wells Fargo & Company 94986RTM3 03/27/14 03/27/23 100.000 0.000 3.5789 0.125193 0.127434 0.129714 0.132035 0.134398 45.90 47.56 Wells Fargo & Company 94986RUS8 08/25/14 08/25/21 100.000 VARIES 1.0019 0.027757 0.027794 6.50 Wells Fargo & Company 94986RUW9 09/23/14 09/23/24 100.000 VARIES 2.5651 0.007294 0.007388 0.007483 0.007579 0.007676 2.66 2.73 Wells Fargo & Company 94986RVA6 09/30/14 09/30/24 100.000 VARIES 2.5155 0.007312 0.007404 0.007497 0.007592 0.007687 2.67 2.73 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Wells Fargo & Company 94986RVZ1 02/27/15 02/27/25 100.000 VARIES 2.1821 0.010268 0.010380 0.010494 0.010608 0.010724 3.74 3.83 Wells Fargo & Company 94986RWD9 04/06/15 04/06/22 100.000 0.000 2.0104 0.062338 0.062964 0.063597 22.66 6.04 Wells Fargo & Company 94986RWJ6 03/31/15 03/31/25 100.000 VARIES 2.0659 0.056455 0.056554 0.056654 0.056756 0.056858 20.36 20.43 Wells Fargo & Company 94986RWQ0 04/22/15 04/22/30 100.000 VARIES 2.2225 0.058922 0.059056 0.059191 0.059328 0.059466 21.25 21.35 Wells Fargo & Company 94986RWZ0 05/21/15 05/21/27 100.000 VARIES 2.2895 0.010159 0.010275 0.010393 0.010512 0.010632 3.69 3.77 Wells Fargo & Company 94986RX30 10/18/16 10/18/26 100.000 VARIES 2.2447 14.03 0.008832 0.008931 0.009031 0.009133 0.009235 3.21 3.28 Wells Fargo & Company 94986RXQ9 06/30/15 06/30/27 100.000 VARIES 2.5017 0.009745 0.009867 0.009991 0.010116 0.010242 3.53 3.62 Wells Fargo & Company 94986RXR7 06/24/15 06/24/22 100.000 0.250 2.4237 0.075880 0.076715 0.077561 27.48 13.42 Wells Fargo & Company 94986RXZ9 07/29/15 07/29/27 100.000 VARIES 2.4666 0.008914 0.009024 0.009135 0.009248 0.009362 3.26 3.34 Wells Fargo & Company 94986RYP0 09/03/15 09/03/27 100.000 VARIES 2.4323 0.008605 0.008709 0.008815 0.008922 0.009031 3.14 3.22 Wells Fargo & Company 94986RZ46 10/20/16 10/20/26 100.000 VARIES 2.2262 19.29 0.012167 0.012302 0.012439 0.012578 0.012718 4.42 4.52 Wells Fargo & Company 94986RZ79 11/04/16 11/06/23 100.000 0.250 2.8285 123.36 0.087097 0.088231 0.089380 0.090546 0.091729 31.68 32.52 Wells Fargo & Company 94986RZB0 10/05/15 10/05/27 100.000 VARIES 2.2452 0.010405 0.010522 0.010640 0.010760 0.010880 3.79 3.87 Wells Fargo & Company 94986RZJ3 10/09/15 10/09/25 100.000 VARIES 2.2547 0.009413 0.009519 0.009626 0.009735 0.009845 3.43 3.50 Wells Fargo & Company 94986RZL8 10/09/15 10/09/27 100.000 VARIES 2.3811 0.011897 0.012039 0.012182 0.012327 0.012474 4.33 4.44 Wells Fargo & Company 94986RZN4 10/26/15 10/26/27 100.000 VARIES 2.3226 0.062796 0.062910 0.063025 0.063142 0.063260 22.64 22.73 Wells Fargo & Company 94986RZU8 11/13/15 11/13/30 100.000 VARIES 2.4455 0.008530 0.008634 0.008739 0.008846 0.008954 3.10 3.18 Wells Fargo & Company 94988U250 12/28/18 12/17/21 100.000 0.000 2.7409 56.21 0.080330 0.081431 27.99 Wells Fargo & Company 94988U326 12/06/18 11/19/21 100.000 0.000 2.6803 56.67 0.078428 0.079479 25.13 WELLMAN-UNION TEX CONS I 94990AAZ5 08/26/20 08/15/22 98.407 0.000 0.8170 2.79 0.022333 0.022419 0.022510 0.022602 8.08 5.06 WELLMAN-UNION TEX CONS I 94990ABA9 08/26/20 08/15/23 97.296 0.000 0.9253 3.13 0.025007 0.025115 0.025231 0.025348 0.025465 9.05 9.14 WELLMAN-UNION TEX CONS I 94990ABB7 08/26/20 08/15/24 95.697 0.000 1.1111 3.69 0.029536 0.029690 0.029855 0.030021 0.030187 10.70 10.82 WELLMAN-UNION TEX CONS I 94990ABC5 08/26/20 08/15/25 94.037 0.000 1.2410 4.05 0.032417 0.032606 0.032808 0.033012 0.033217 11.76 11.90 WELLMAN-UNION TEX CONS I 94990ABD3 08/26/20 08/15/26 91.400 0.000 1.5121 4.80 0.038390 0.038662 0.038955 0.039249 0.039546 13.95 14.16 WELLMAN-UNION TEX CONS I 94990ABE1 08/26/20 08/15/27 88.797 0.000 1.7121 5.28 0.042230 0.042570 0.042934 0.043301 0.043672 15.36 15.62 WELLMAN-UNION TEX CONS I 94990ABF8 08/26/20 08/15/28 85.921 0.000 1.9131 5.71 0.045660 0.046070 0.046511 0.046956 0.047405 16.63 16.95 WELLMAN-UNION TEX CONS I 94990ABG6 08/26/20 08/15/29 83.556 0.000 2.0130 5.84 0.046721 0.047163 0.047637 0.048117 0.048601 17.02 17.37 Wells Fargo & Company 95000E3U1 10/20/17 10/22/24 100.000 0.250 1.8358 59.97 0.053480 0.053908 0.054339 0.054774 0.055213 19.39 19.70 Wells Fargo & Company 95000N2A6 02/23/17 02/23/22 100.000 VARIES 1.8572 11.26 0.008238 0.008315 0.008392 3.00 0.44 Wells Fargo & Company 95000N2D0 02/24/17 02/24/27 100.000 VARIES 2.7668 106.27 0.076551 0.076573 0.076595 0.076617 0.076639 27.57 27.58 Wells Fargo & Company 95000N2J7 05/19/17 05/19/27 100.000 VARIES 2.6993 16.97 0.012215 0.012140 0.012304 0.012470 0.012639 4.39 4.47 Wells Fargo & Company 95000N2K4 06/23/17 06/23/27 100.000 VARIES 2.5340 12.94 0.009763 0.009886 0.010012 0.010138 0.010267 3.54 3.63 Wells Fargo & Company 95000N2P3 07/25/17 07/25/29 100.000 VARIES 2.6059 9.82 0.007325 0.007420 0.007517 0.007615 0.007714 2.68 2.75 Wells Fargo & Company 95000N2T5 08/16/17 08/16/27 100.000 VARIES 2.5861 11.20 0.008681 0.008793 0.008907 0.009022 0.009138 3.18 3.26 Wells Fargo & Company 95000N2V0 08/31/17 08/31/29 100.000 VARIES 2.4309 10.18 0.007842 0.007936 0.008033 0.008130 0.008230 2.86 2.93 Wells Fargo & Company 95000N2Y4 09/15/17 09/15/27 100.000 VARIES 2.8997 17.94 0.014120 0.013791 0.013458 0.013653 0.013851 4.95 4.92 Wells Fargo & Company 95000N2Z1 09/20/17 09/20/27 100.000 VARIES 2.5328 9.82 0.007983 0.008084 0.008187 0.008290 0.008395 2.91 2.99 Wells Fargo & Company 95000N3B3 09/21/17 09/21/27 100.000 VARIES 2.5668 9.94 0.007918 0.008020 0.008123 0.008227 0.008332 2.89 2.96 Wells Fargo & Company 95000N3F4 10/25/17 10/25/27 100.000 VARIES 2.7552 9.27 0.007551 0.007655 0.007761 0.007867 0.007976 2.75 2.83 Wells Fargo & Company 95000N3G2 10/20/17 10/20/27 100.000 VARIES 2.7158 10.19 0.008275 0.008388 0.008501 0.008617 0.008734 3.02 3.10 Wells Fargo & Company 95000N3M9 01/31/18 01/31/28 100.000 VARIES 3.2008 7.45 0.006387 0.006489 0.006593 0.006699 0.006806 2.35 2.42 Wells Fargo & Company 95000N3N7 01/31/18 01/31/38 100.000 VARIES 3.2610 8.94 0.006435 0.006540 0.006646 0.006755 0.006865 2.37 2.45 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Wells Fargo & Company 95001B2K9 02/14/18 02/14/25 105.000 0.125 3.5350 111.40 0.112226 0.114148 0.116104 0.118095 0.120121 41.28 42.71 Wells Fargo & Company 95001BAQ7 12/07/18 12/05/23 100.000 0.000 3.0505 64.58 0.090011 0.091384 0.092778 0.094193 0.095629 32.72 33.73 Wells Fargo & Company 95001BBA1 12/05/18 12/03/21 100.000 0.000 2.7407 58.04 0.080379 0.081481 26.88 Wells Fargo & Company 95001BBB9 01/03/19 01/03/22 100.000 0.000 3.1102 63.49 0.090488 0.091896 0.093325 33.33 0.19 Wells Fargo & Company 95001BBT0 02/05/19 02/03/22 100.000 0.000 2.8110 54.65 0.081409 0.082553 0.083713 29.85 2.68 Wells Fargo & Company 95001D2D1 03/21/18 03/21/30 100.000 VARIES 3.3176 8.80 0.007592 0.007718 0.007846 0.007976 0.008108 2.78 2.87 Wells Fargo & Company 95001D2G4 04/20/18 04/20/28 100.000 VARIES 3.4399 11.03 0.010064 0.010237 0.010413 0.010592 0.010774 3.68 3.81 Wells Fargo & Company 95001D2N9 07/03/18 07/03/28 100.000 VARIES 3.5475 14.62 0.015010 0.014357 0.013692 0.013935 0.014182 5.05 5.06 Wells Fargo & Company 95001D2R0 08/24/18 08/24/28 100.000 VARIES 3.6466 16.37 0.017706 0.016913 0.016105 0.016398 0.016697 6.03 5.93 Wells Fargo & Company 95001D2X7 09/26/18 09/26/28 100.000 VARIES 3.7928 6.97 0.007153 0.007289 0.007427 0.007568 0.007711 2.63 2.73 Wells Fargo Finance LLC 95001H3A7 02/11/19 09/28/23 96.600 0.000 3.5621 66.69 0.101250 0.103053 0.104889 0.106757 0.108658 37.11 38.45 Wells Fargo Finance LLC 95001H4M0 05/02/19 05/02/24 100.000 0.000 2.9409 49.80 0.085350 0.086605 0.087878 0.089171 0.090482 31.10 32.02 Wells Fargo Finance LLC 95001H5U1 05/30/19 06/03/22 100.000 0.000 2.3606 37.93 0.067934 0.068736 0.069547 24.65 10.57 Wells Fargo Finance LLC 95001H6P1 07/02/19 07/03/23 100.000 0.000 2.3900 36.21 0.067991 0.068803 0.069625 0.070457 0.071299 24.91 25.51 Wells Fargo & Company 95001H6Q9 07/02/19 07/01/22 100.000 0.000 2.3500 35.60 0.067602 0.068397 0.069200 24.48 12.46 Wells Fargo Finance LLC 95001H6S5 08/07/19 02/06/23 100.000 0.000 1.8604 26.27 0.052641 0.053130 0.053625 0.054123 0.054627 19.18 19.54 Wells Fargo Finance LLC 95001H6T3 08/07/19 02/06/25 100.000 0.000 1.8602 26.27 0.052637 0.053126 0.053620 0.054119 0.054622 19.18 19.54 Wells Fargo Finance LLC 95001H6Y2 07/31/19 07/29/21 100.000 0.000 3.4220 49.36 0.098326 0.100008 20.75 Wells Fargo & Company 95001HA76 08/30/19 08/31/21 100.000 0.000 2.9224 39.55 0.083566 0.084774 20.19 WELLS FARGO FIN LLC MEDI 95001HA92 10/03/19 04/06/26 100.000 0.000 1.5302 19.16 0.043164 0.043495 0.043827 0.044163 0.044501 15.66 15.90 Wells Fargo Finance LLC 95001HAH4 09/05/19 09/02/21 100.000 0.000 2.9424 39.40 0.084135 0.085373 20.50 Wells Fargo Finance LLC 95001HB26 11/07/19 05/07/24 100.000 0.000 1.5803 18.27 0.044593 0.044946 0.045301 0.045659 0.046020 16.16 16.41 Wells Fargo Finance LLC 95001HBY6 11/08/19 11/03/21 100.000 0.000 1.6707 19.28 0.047176 0.047570 14.32 Wells Fargo Finance LLC 95001HBZ3 11/08/19 11/03/21 100.000 0.000 1.6707 19.28 0.047176 0.047570 14.32 Wells Fargo Finance LLC 95001HC41 10/31/19 11/01/24 100.000 0.250 2.3100 27.21 0.065500 0.066177 0.066861 0.067553 0.068253 23.78 24.28 Wells Fargo Finance LLC 95001HFH9 02/28/20 02/28/22 100.000 0.000 1.8710 15.81 0.052457 0.052948 0.053443 19.09 3.05 Wells Fargo Finance LLC 95001HFJ5 02/28/20 02/28/22 100.000 0.000 1.6007 13.52 0.044820 0.045178 0.045540 16.29 2.60 WESTMONT ILL PK DIST 96081RBA7 03/17/21 12/01/28 84.924 0.000 2.1318 0.050290 0.050510 0.051049 0.051593 0.052143 14.34 18.51 WESTMONT ILL PK DIST 96081RBB5 03/17/21 12/01/29 81.532 0.000 2.3589 0.053424 0.053683 0.054316 0.054957 0.055605 15.25 19.71 WESTMONT ILL PK DIST 96081RBC3 03/17/21 12/01/30 78.883 0.000 2.4587 0.053875 0.054147 0.054813 0.055486 0.056169 15.38 19.89 WESTMONT ILL PK DIST 96081RBD1 03/17/21 12/01/31 76.168 0.000 2.5588 0.054138 0.054423 0.055119 0.055824 0.056538 15.46 20.01 WESTMONT ILL PK DIST 96081RBE9 03/17/21 12/01/32 72.980 0.000 2.7087 0.054912 0.055218 0.055966 0.056724 0.057492 15.68 20.33 WESTMONT ILL PK DIST 96081RBF6 03/17/21 12/01/33 70.158 0.000 2.8086 0.054736 0.055052 0.055825 0.056609 0.057404 15.63 20.29 WESTMONT ILL PK DIST 96081RBG4 03/17/21 12/01/34 67.312 0.000 2.9086 0.054385 0.054710 0.055506 0.056313 0.057132 15.54 20.18 WESTMONT ILL PK DIST 96081RBH2 03/17/21 12/01/35 64.455 0.000 3.0087 0.053868 0.054201 0.055016 0.055844 0.056684 15.39 20.00 WESTMONT ILL PK DIST 96081RBJ8 03/17/21 12/01/36 61.598 0.000 3.1087 0.053191 0.053531 0.054363 0.055208 0.056066 15.20 19.77 WESTMONT ILL PK DIST 96081RBK5 03/17/21 12/01/37 58.753 0.000 3.2086 0.052364 0.052710 0.053555 0.054415 0.055288 14.97 19.49 WEX INC 96208TAB0 07/01/20 07/15/27 96.500 6.500 7.0234 33.89 0.188265 0.195391 0.202252 0.209355 0.216706 71.38 76.49 WHITE GALLATIN ETC CNTYS 963806ED2 08/03/17 12/01/23 103.545 3.875 3.2387 114.30 0.091588 0.091328 0.091064 0.090795 0.090523 32.91 32.72 WHITE GALLATIN ETC CNTYS 963806EE0 08/03/17 12/01/24 103.054 3.875 3.3896 119.30 0.095851 0.095651 0.095448 0.095241 0.095031 34.46 34.31 WHITE GALLATIN ETC CNTYS 963806EF7 08/03/17 12/01/25 104.477 4.250 3.5381 126.02 0.100870 0.100566 0.100256 0.099941 0.099621 36.24 36.02 WHITE GALLATIN ETC CNTYS 963806EG5 08/03/17 12/01/26 103.497 4.250 3.6875 130.34 0.104555 0.104306 0.104053 0.103795 0.103532 37.58 37.40 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ WHITE SETTLEMENT TEX IND 964559W87 11/25/20 08/15/23 97.900 0.000 0.7811 0.76 0.021241 0.021278 0.021361 0.021445 0.021529 7.67 7.73 WHITE SETTLEMENT TEX IND 964559W95 11/25/20 08/15/24 96.169 0.000 1.0521 1.01 0.028106 0.028172 0.028320 0.028469 0.028619 10.16 10.26 WHITE SETTLEMENT TEX IND 964559X29 11/25/20 08/15/25 94.498 0.000 1.2019 1.14 0.031550 0.031634 0.031824 0.032015 0.032208 11.41 11.54 WHITE SETTLEMENT TEX IND 964559X37 11/25/20 08/15/26 91.950 0.000 1.4719 1.35 0.037596 0.037718 0.037996 0.038276 0.038557 13.61 13.81 WHITE SETTLEMENT TEX IND 964559X45 11/25/20 08/15/27 89.949 0.000 1.5819 1.42 0.039525 0.039664 0.039977 0.040294 0.040612 14.32 14.54 WHITE SETTLEMENT TEX IND 964559X52 11/25/20 08/15/28 85.781 0.000 1.9959 1.71 0.047557 0.047768 0.048245 0.048726 0.049213 17.25 17.59 WHITE SETTLEMENT TEX IND 964559X60 11/25/20 08/15/29 83.371 0.000 2.0959 1.75 0.048538 0.048764 0.049275 0.049791 0.050313 17.61 17.97 WHITE SETTLEMENT TEX IND 964559X78 11/25/20 08/15/30 80.636 0.000 2.2259 1.79 0.049857 0.050104 0.050662 0.051225 0.051795 18.10 18.49 WHITE SETTLEMENT TEX IND 964559X86 11/25/20 08/15/31 77.791 0.000 2.3558 1.83 0.050906 0.051172 0.051775 0.052385 0.053002 18.49 18.92 WHITE SETTLEMENT TEX IND 964559X94 11/25/20 08/15/32 75.028 0.000 2.4658 1.85 0.051390 0.051672 0.052309 0.052954 0.053606 18.68 19.12 WHITE SETTLEMENT TEX IND 964559Y28 11/25/20 08/15/33 72.207 0.000 2.5757 1.86 0.051662 0.051958 0.052627 0.053305 0.053992 18.78 19.25 WHITE SETTLEMENT TEX IND 964559Y36 11/25/20 08/15/34 69.435 0.000 2.6758 1.86 0.051609 0.051916 0.052610 0.053314 0.054027 18.77 19.26 WHITE SETTLEMENT TEX IND 964559Y44 11/25/20 08/15/35 66.639 0.000 2.7757 1.85 0.051381 0.051698 0.052415 0.053143 0.053880 18.69 19.20 Will County, IL 968852TN3 03/15/07 10/01/25 34.635 0.000 5.8000 415.90 0.121052 0.124562 0.128174 0.131891 0.135716 44.85 47.49 Will County, IL 968852TP8 03/15/07 10/01/26 32.402 0.000 5.8498 393.87 0.114973 0.118336 0.121797 0.125359 0.129026 42.61 45.14 Will County SD #122, IL 968852WM1 04/02/09 10/01/28 24.364 0.000 7.3751 326.93 0.114773 0.119005 0.123394 0.127944 0.132662 42.86 46.07 Will CNTY SD #365, IL 969078QM9 03/17/09 11/01/27 23.731 0.000 7.8744 352.71 0.127385 0.132401 0.137614 0.143032 0.148663 47.38 51.18 Will CNTY SD #365, IL 969078QN7 03/17/09 11/01/28 21.864 0.000 7.8993 326.51 0.118064 0.122727 0.127574 0.132613 0.137851 43.91 47.45 Williamson Jackson , IL 970013EM6 11/20/14 12/01/21 101.267 VARIES 2.7966 0.077839 0.077762 25.67 Williamson Jackson , IL 970013EN4 11/20/14 12/01/22 100.000 VARIES 2.9965 0.083243 0.083242 0.083240 0.083239 29.97 27.47 WIMBERLEY TEX INDPT SCH 972631MJ1 07/21/20 08/15/38 59.494 0.000 2.8950 7.67 0.047936 0.048629 0.049333 0.050048 0.050772 17.57 18.08 WIMBERLEY TEX INDPT SCH 972631MK8 07/21/20 08/15/39 57.268 0.000 2.9450 7.51 0.046940 0.047631 0.048333 0.049044 0.049767 17.21 17.72 WIMBERLEY TEX INDPT SCH 972631ML6 07/21/20 08/15/40 54.518 0.000 3.0460 7.39 0.046222 0.046926 0.047641 0.048366 0.049103 16.96 17.48 WINDTHORST TEX INDPT SCH 973814BZ8 11/24/20 08/01/24 95.931 0.000 1.1300 1.11 0.030113 0.030176 0.030347 0.030518 0.030690 10.89 11.01 WOODFORD & MARSHALL CNTY 979293BK2 08/07/18 12/01/21 105.912 5.250 3.3227 84.13 0.094033 0.093173 30.88 WOODFORD & MARSHALL CNTY 979293BL0 08/07/18 12/01/22 106.949 5.250 3.4778 89.09 0.099886 0.099087 0.098274 0.097447 35.77 32.28 WOODFORD & MARSHALL CNTY 979293BM8 08/07/18 12/01/23 109.113 5.500 3.5804 93.58 0.104842 0.103984 0.103110 0.102221 0.101316 37.54 36.91 WOODFORD & MARSHALL CNTY 979293BN6 08/07/18 12/01/24 110.347 5.500 3.6329 96.11 0.107871 0.107055 0.106225 0.105379 0.104518 38.64 38.04 WOODFORD CNTY ILL CMNTY 979336EV2 11/09/17 12/01/21 101.907 3.250 2.7435 87.68 0.076588 0.076400 25.24 XENIA OHIO CMNTY CITY SC 984071CA6 11/02/20 12/01/28 84.602 0.000 2.0800 2.89 0.048962 0.049472 0.049986 0.050506 0.051031 17.75 18.12 XENIA OHIO CMNTY CITY SC 984071CB4 11/02/20 12/01/29 82.128 0.000 2.1800 2.94 0.049820 0.050363 0.050912 0.051467 0.052028 18.07 18.46 XENIA OHIO CMNTY CITY SC 984071CC2 11/02/20 12/01/30 79.569 0.000 2.2800 2.98 0.050486 0.051062 0.051644 0.052233 0.052828 18.31 18.73 XENIA OHIO CMNTY CITY SC 984071CD0 11/02/20 12/01/31 76.938 0.000 2.3800 3.00 0.050962 0.051569 0.052182 0.052803 0.053432 18.49 18.93 YPF SA 984245AU4 02/12/21 02/12/26 84.050 VARIES 11.5342 0.158181 0.167303 0.176952 0.187157 51.73 64.73 YPF SA 984245AV2 02/12/21 06/30/29 62.500 VARIES 15.6363 0.202020 0.214129 0.230870 0.248919 0.268380 66.65 86.40 YPF SA 984245AW0 02/12/21 09/30/33 51.824 VARIES 14.1442 0.161947 0.165001 0.176670 0.189164 0.202542 53.55 68.20 York County, PA 986812MG7 12/28/95 02/01/21 16.787 0.000 7.2398 826.31 0.194079 5.82 York County, PA 986812MH5 12/28/95 02/01/22 15.635 0.000 7.2397 769.58 0.180754 0.187297 0.194076 68.25 5.82 York County, PA 986812MJ1 12/28/95 02/01/23 14.561 0.000 7.2398 716.75 0.168349 0.174443 0.180758 0.187301 0.194081 63.56 68.25 York County, PA 986812MK8 12/28/95 02/01/24 13.562 0.000 7.2397 667.55 0.156789 0.162465 0.168346 0.174440 0.180754 59.20 63.56 YSLETA TEX INDPT SCH DIS 98816PDK5 07/22/20 08/15/21 99.164 0.000 0.7906 3.46 0.021788 0.021874 4.90 YSLETA TEX INDPT SCH DIS 98816PDL3 07/22/20 08/15/22 98.183 0.000 0.8904 3.86 0.024298 0.024406 0.024514 0.024624 8.80 5.51 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2021 1st 2021 2nd 2021 3rd 2022 2nd 2022 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/21 Period Period 2022 1st Period Period 2021 2022 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ YSLETA TEX INDPT SCH DIS 98816PDM1 07/22/20 08/15/23 96.824 0.000 1.0561 4.52 0.028425 0.028575 0.028726 0.028877 0.029030 10.30 10.41 YSLETA TEX INDPT SCH DIS 98816PDN9 07/22/20 08/15/24 95.004 0.000 1.2651 5.31 0.033412 0.033623 0.033836 0.034050 0.034266 12.12 12.28 YSLETA TEX INDPT SCH DIS 98816PDP4 07/22/20 08/15/25 93.296 0.000 1.3750 5.67 0.035665 0.035910 0.036157 0.036406 0.036656 12.95 13.13 YSLETA TEX INDPT SCH DIS 98816PDQ2 07/22/20 08/15/26 90.614 0.000 1.6319 6.54 0.041120 0.041455 0.041794 0.042135 0.042478 14.96 15.20 YSLETA TEX INDPT SCH DIS 98816PDR0 07/22/20 08/15/27 88.221 0.000 1.7820 6.95 0.043719 0.044109 0.044502 0.044898 0.045298 15.92 16.20 YSLETA TEX INDPT SCH DIS 98816PDS8 07/22/20 08/15/28 85.466 0.000 1.9570 7.40 0.046519 0.046974 0.047434 0.047898 0.048367 16.95 17.29 YSLETA TEX INDPT SCH DIS 98816PDT6 07/22/20 08/15/29 83.069 0.000 2.0570 7.56 0.047527 0.048016 0.048510 0.049009 0.049513 17.33 17.69 YSLETA TEX INDPT SCH DIS 98816PDU3 07/22/20 08/15/30 80.420 0.000 2.1769 7.74 0.048698 0.049228 0.049764 0.050306 0.050853 17.77 18.16 YSLETA TEX INDPT SCH DIS 98816PDV1 07/22/20 08/15/31 76.994 0.000 2.3769 8.09 0.050913 0.051518 0.052130 0.052750 0.053377 18.60 19.05 YSLETA TEX INDPT SCH DIS 98816PDW9 07/22/20 08/15/32 74.040 0.000 2.5069 8.21 0.051641 0.052289 0.052944 0.053608 0.054280 18.88 19.36 YSLETA TEX INDPT SCH DIS 98816PDX7 07/22/20 08/15/33 70.834 0.000 2.6570 8.32 0.052368 0.053063 0.053768 0.054482 0.055206 19.17 19.68 QBE Funding Trust G7303WAA9 04/15/02 04/15/22 59.358 0.000 2.6250 373.39 0.070119 0.071039 0.071972 25.55 7.49 MC BRAZIL DOWNSTREAM TRA L626A6AA2 07/21/21 06/30/31 100.000 7.250 7.4281 0.206336 0.206498 0.198946 0.191431 32.81 72.98 Banco de Galicia y Bueno P0R66CAA6 07/19/16 07/19/26 100.000 VARIES 8.7499 0.248726 0.249582 0.250475 0.249867 0.249233 89.98 89.86 YPF SA P989MJBR1 02/12/21 02/12/26 84.050 VARIES 11.5342 0.158181 0.167303 0.176952 0.187157 51.73 64.73 YPF SA P989MJBS9 02/12/21 06/30/29 62.500 VARIES 15.6363 0.202020 0.214129 0.230870 0.248919 0.268380 66.65 86.40 YPF SA P989MJBT7 02/12/21 09/30/33 51.824 VARIES 14.1442 0.161947 0.165001 0.176670 0.189164 0.202542 53.55 68.20 CORONADO FINANCE PTY LTD Q2874LAA2 05/12/21 05/15/26 98.122 10.750 11.2507 0.008039 0.008499 0.008977 0.009482 1.86 3.19 ANHEUSER-BUSCH COMPANIES U00323AD4 11/13/18 02/01/26 96.122 3.650 4.2802 10.27 0.013868 0.014165 0.014468 0.014778 0.015094 5.14 5.36 ANHEUSER-BUSCH COMPANIES U00323AE2 11/13/18 02/01/36 93.636 4.700 5.2667 5.16 0.007033 0.007218 0.007408 0.007603 0.007803 2.62 2.76 Cheriere Energy, Inc. U16344AB6 11/28/14 05/28/21 100.000 0.000 4.8750 0.181600 26.51 CHESAPEAKE ENERGY CORP U16450AZ8 12/19/19 01/01/25^ 94.912 11.500 12.9059 8.00 0.023680 0.025209 0.026835 0.028567 8.80^ 9.97 CLEVELAND-CLIFFS INC U1852LAC1 03/16/20 10/15/25* 81.514 6.375 10.8800 20.19 0.073678 5.23* CLEVELAND-CLIFFS INC U1852LAD9 03/16/20 03/15/27 81.330 7.000 10.8801 14.93 0.054134 0.057079 0.060184 0.063458 0.066910 20.66 22.97 Kansas City Southern U24468AB3 12/09/15 05/15/43 90.810 4.300 4.9136 9.19 0.005718 0.005858 0.006002 0.006149 0.006301 2.10 2.20 Kansas City Southern U24468AF4 12/09/15 05/15/23 95.360 3.000 3.7202 30.20 0.018245 0.018584 0.018930 0.019282 0.019640 6.66 6.91 Eclipse Resources Corp. U2779QAA2 07/06/15 07/15/23 97.903 8.875 9.2509 12.64 0.007961 0.008329 0.008714 0.009117 0.009539 3.06 3.35 EXPEDIA GROUP INC U3010DAM2 03/03/21 03/15/31 99.081 2.950 3.3084 0.091056 0.091094 0.091131 0.091168 27.14 32.81 HOUGHTON MIFFLIN HARCOUR U44150AA5 11/22/19 02/15/25 98.000 9.000 9.4937 3.48 0.009035 0.009464 0.009913 0.010384 0.010877 3.45 3.78 Hovnanian Enterprises U48654AM6 11/01/11 11/01/21 53.000 5.000 13.8062 403.13 0.214046 0.228822 66.87 Hovnanian Enterprises U48654AN4 11/01/11 11/01/21 42.000 2.000 12.1926 0.307082 0.322415 94.88 Liberty Media Corp. U52892AD5 01/11/01 01/15/31* 100.000 3.500 N/A 1.116502 1.164918 1.215633 404.07* MOOD MEDIA BORROWER LLC U55360AB4 06/28/19 12/31/23 84.250 VARIES 20.4523 288.18 0.641998 0.707649 0.780014 0.859779 0.947702 243.07 295.33 PEABODY ENERGY CORP U70493AJ7 01/29/21 12/31/24 78.890 8.500 15.6223 0.175678 0.185442 0.197822 0.211142 0.225477 60.10 73.64 PIC AU HOLDINGS LLC U7190BAA5 01/29/21 12/31/24 91.510 10.000 12.8220 0.048150 0.050740 0.053993 0.057454 0.061137 16.46 20.07 ----------------------------- * Called in 2021; reportable OID is computed to call date. ^ Issuer filed for bankruptcy on 6/28/2020. SECTION I-C Inflation Indexed Debt Instruments Inflation-Adj Stated Issue Maturity Principal on Interest Total OID 2021 1st 2021 2nd 2021 3rd Calendar Year Name of Issuer CUSIP No. Date Date Issue Date Rate to 1/1/21 Period Period Period 2021 ______________ _________ ________ ________ ____________ ________ _________ ________ ________ ________ _____________ U.S. Treasury 912810FD5 04/15/98 04/15/28 100.000 3.625 609.92 0.110673 0.371913 0.263974 100.16 U.S. Treasury 912810FH6 04/15/99 04/15/29 100.000 3.875 583.93 0.108942 0.365902 0.259744 98.55 U.S. Treasury 912810FQ6 10/15/01 04/15/32 100.000 3.375 466.97 0.100962 0.338852 0.240641 91.28 U.S. Treasury 912810FR4 07/15/04 01/15/25 100.000 2.375 381.39 -0.027143 0.225856 0.267353 85.95 U.S. Treasury 912810FS2 01/15/06 01/15/26 100.000 2.000 311.93 -0.025714 0.214420 0.253941 81.62 U.S. Treasury 912810PS1 01/15/07 01/15/27 100.000 2.375 291.19 -0.025000 0.211050 0.249941 80.34 U.S. Treasury 912810PV4 01/15/08 01/15/28 100.000 1.750 242.92 -0.024286 0.203204 0.240588 77.34 U.S. Treasury 912810PZ5 01/15/09 01/15/29 100.000 2.500 212.80 -0.023571 0.198232 0.234765 75.46 U.S. Treasury 912810QF8 02/15/10 02/15/40 100.000 2.125 204.72 -0.003778 0.254917 0.208561 74.96 U.S. Treasury 912810QP6 02/15/11 02/15/41 100.000 2.125 189.04 -0.003778 0.251602 0.205827 73.98 U.S. Treasury 912810QV3 02/15/12 02/15/42 100.000 0.750 152.36 -0.003556 0.243812 0.199496 71.70 U.S. Treasury 912810RA8 02/15/13 02/15/43 100.000 0.625 132.56 -0.003556 0.239669 0.196043 70.47 U.S. Treasury 912810RF7 02/15/14 02/15/44 100.000 1.375 117.26 -0.003333 0.236409 0.193381 69.52 U.S. Treasury 912810RL4 02/15/15 02/15/45 100.000 0.750 105.77 -0.003556 0.233978 0.191439 68.80 U.S. Treasury 912810RR1 02/15/16 02/15/46 100.000 1.000 98.94 -0.003333 0.232541 0.190216 68.38 U.S. Treasury 912810RW0 02/15/17 02/15/47 100.000 0.875 78.69 -0.003333 0.228232 0.186763 67.12 U.S. Treasury 912810SB5 02/15/18 02/15/48 100.000 1.000 55.93 -0.003333 0.223425 0.182806 65.70 U.S. Treasury 912810SG4 02/15/19 02/15/49 100.000 1.000 34.78 -0.003111 0.218950 0.179137 64.39 U.S. Treasury 912810SM1 02/15/20 02/15/50 100.000 0.250 12.81 -0.003111 0.214309 0.175252 63.01 U.S. Treasury 912810SV1 02/15/21 02/15/51 100.000 0.125 0.211657 0.173094 62.37 U.S. Treasury 9128282L3 07/15/17 07/15/27 100.000 0.375 64.47 -0.021429 0.174033 0.206059 66.23 U.S. Treasury 9128283R9 01/15/18 01/15/28 100.000 0.500 55.63 -0.020714 0.172597 0.204294 65.68 U.S. Treasury 9128284H0 04/15/18 04/15/23 100.000 0.625 48.30 0.072019 0.242186 0.171923 65.22 U.S. Treasury 9128285W6 01/15/19 01/15/29 100.000 0.875 31.23 -0.020000 0.168564 0.199588 64.16 U.S. Treasury 9128286N5 04/15/19 04/15/24 100.000 0.500 32.43 0.071058 0.238470 0.169359 64.24 U.S. Treasury 9128287D6 07/15/19 07/15/29 100.000 0.250 17.96 -0.020000 0.166409 0.197059 63.34 U.S. Treasury 912828B25 01/15/14 01/15/24 100.000 0.625 115.96 -0.022143 0.182431 0.216059 69.44 U.S. Treasury 912828H45 01/15/15 01/15/25 100.000 0.250 99.36 -0.021429 0.179724 0.212765 68.40 U.S. Treasury 912828N71 01/15/16 01/15/26 100.000 0.625 95.86 -0.022143 0.179171 0.212118 68.18 U.S. Treasury 912828PP9 01/15/11 01/15/21 100.000 1.125 190.33 -0.023571 -0.33 U.S. Treasury 912828Q60 04/15/16 04/15/21 100.000 0.125 98.65 0.075577 7.86 U.S. Treasury 912828QV5 07/15/11 07/15/21 100.000 0.625 155.31 -0.022857 0.188895 33.87 U.S. Treasury 912828S50 07/15/16 07/15/26 100.000 0.125 86.30 -0.021429 0.177624 0.210235 67.59 U.S. Treasury 912828SA9 01/15/12 01/15/22 100.000 0.125 150.46 -0.022857 0.188066 0.222706 71.58 U.S. Treasury 912828TE0 07/15/12 07/15/22 100.000 0.125 132.30 -0.022143 0.185138 0.219118 70.45 U.S. Treasury 912828UH1 01/15/13 01/15/23 100.000 0.125 128.09 -0.022143 0.184420 0.218353 70.19 U.S. Treasury 912828V49 01/15/17 01/15/27 100.000 0.375 77.95 -0.021429 0.176243 0.208647 67.07 U.S. Treasury 912828VM9 07/15/13 07/15/23 100.000 0.375 118.90 -0.022143 0.182928 0.216588 69.62 U.S. Treasury 912828WU0 07/15/14 07/15/24 100.000 0.125 96.62 -0.021429 0.179282 0.212235 68.23 U.S. Treasury 912828X39 04/15/17 04/15/22 100.000 0.125 70.69 0.073654 0.247322 0.175641 66.62 SECTION I-C Inflation Indexed Debt Instruments Inflation-Adj Stated Issue Maturity Principal on Interest Total OID 2021 1st 2021 2nd 2021 3rd Calendar Year Name of Issuer CUSIP No. Date Date Issue Date Rate to 1/1/21 Period Period Period 2021 ______________ _________ ________ ________ ____________ ________ _________ ________ ________ ________ _____________ U.S. Treasury 912828XL9 07/15/15 07/15/25 100.000 0.375 98.02 -0.021429 0.179448 0.212588 68.32 U.S. Treasury 912828Y38 07/15/18 07/15/28 100.000 0.750 37.33 -0.020000 0.169558 0.200824 64.55 U.S. Treasury 912828YL8 10/15/19 10/15/24 100.000 0.125 14.90 0.069808 0.234426 0.166538 63.15 U.S. Treasury 912828Z37 01/15/20 01/15/30 100.000 0.125 12.07 -0.020000 0.165414 0.195941 62.97 U.S. Treasury 912828ZJ2 04/15/20 04/15/25 100.000 0.125 8.08 0.069327 0.232842 0.165385 62.72 U.S. Treasury 912828ZZ6 07/15/20 07/15/30 100.000 0.125 15.59 -0.020000 0.166022 0.196588 63.19 U.S. Treasury 91282CAQ4 10/15/20 10/15/25 100.000 0.125 3.54 0.069038 0.231803 0.164615 62.44 U.S. Treasury 91282CBF7 01/15/21 01/15/31 100.000 0.125 0.163536 0.193588 62.51 U.S. Treasury 91282CCA7 04/15/21 04/15/26 100.000 0.125 0.229344 0.162949 54.68 U.S. Treasury 91282CCM1 07/15/21 07/15/31 100.000 0.125 0.188059 31.97 U.S. Treasury 91282CDC2 10/15/21 10/15/26 100.000 0.125 0.156282 12.19 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 2021). Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 01/01/21 03/31/21 0.22 07/01/31 09/30/31 9.00 04/01/21 06/30/21 0.45 10/01/31 12/31/31 9.06 07/01/21 09/30/21 0.75 01/01/32 03/31/32 9.20 10/01/21 12/31/21 1.00 04/01/32 06/30/32 9.34 01/01/22 03/31/22 1.10 07/01/32 09/30/32 9.40 04/01/22 06/30/22 1.10 10/01/32 12/31/32 9.54 07/01/22 09/30/22 1.20 01/01/33 03/31/33 9.59 10/01/22 12/31/22 1.30 04/01/33 06/30/33 9.73 01/01/23 03/31/23 1.30 07/01/33 09/30/33 9.86 04/01/23 06/30/23 1.40 10/01/33 12/31/33 9.91 07/01/23 09/30/23 1.59 01/01/34 03/31/34 10.04 10/01/23 12/31/23 1.69 04/01/34 06/30/34 10.09 01/01/24 03/31/24 1.89 07/01/34 09/30/34 10.22 04/01/24 06/30/24 2.09 10/01/34 12/31/34 10.26 07/01/24 09/30/24 2.28 01/01/35 03/31/35 10.30 10/01/24 12/31/24 2.48 04/01/35 06/30/35 10.43 01/01/25 03/31/25 2.77 07/01/35 09/30/35 10.47 04/01/25 06/30/25 2.97 10/01/35 12/31/35 10.58 07/01/25 09/30/25 3.26 01/01/36 03/31/36 10.62 10/01/25 12/31/25 3.55 04/01/36 06/30/36 10.66 01/01/26 03/31/26 3.84 07/01/36 09/30/36 10.69 04/01/26 06/30/26 4.22 10/01/36 12/31/36 10.80 07/01/26 09/30/26 4.61 01/01/37 03/31/37 10.84 10/01/26 12/31/26 4.99 04/01/37 06/30/37 10.87 01/01/27 03/31/27 5.27 07/01/37 09/30/37 10.90 04/01/27 06/30/27 5.64 10/01/37 12/31/37 10.93 07/01/27 09/30/27 6.01 01/01/38 03/31/38 10.96 10/01/27 12/31/27 6.28 04/01/38 06/30/38 11.06 01/01/28 03/31/28 6.55 07/01/38 09/30/38 11.08 04/01/28 06/30/28 6.73 10/01/38 12/31/38 11.11 07/01/28 09/30/28 6.99 01/01/39 03/31/39 11.13 10/01/28 12/31/28 7.25 04/01/39 06/30/39 11.16 01/01/29 03/31/29 7.42 07/01/39 09/30/39 11.18 04/01/29 06/30/29 7.68 10/01/39 12/31/39 11.14 07/01/29 09/30/29 7.84 01/01/40 03/31/40 11.16 10/01/29 12/31/29 8.00 04/01/40 06/30/40 11.18 01/01/30 03/31/30 8.16 07/01/40 09/30/40 11.20 04/01/30 06/30/30 8.32 10/01/40 12/31/40 11.21 07/01/30 09/30/30 8.48 01/01/41 03/31/41 11.23 10/01/30 12/31/30 8.63 04/01/41 06/30/41 11.18 01/01/31 03/31/31 8.70 07/01/41 09/30/41 11.20 04/01/31 06/30/31 8.85 10/01/41 12/31/41 11.22 Section II (continued) Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 01/01/42 03/31/42 11.17 01/01/52 03/31/52 10.15 04/01/42 06/30/42 11.18 04/01/52 06/30/52 10.10 07/01/42 09/30/42 11.20 07/01/52 09/30/52 10.06 10/01/42 12/31/42 11.21 10/01/52 12/31/52 10.01 01/01/43 03/31/43 11.16 01/01/53 03/31/53 9.97 04/01/43 06/30/43 11.17 04/01/53 06/30/53 9.92 07/01/43 09/30/43 11.18 07/01/53 09/30/53 9.88 10/01/43 12/31/43 11.13 10/01/53 12/31/53 9.84 01/01/44 03/31/44 11.14 01/01/54 03/31/54 9.79 04/01/44 06/30/44 11.09 04/01/54 06/30/54 9.75 07/01/44 09/30/44 11.10 07/01/54 09/30/54 9.71 10/01/44 12/31/44 11.10 10/01/54 12/31/54 9.66 01/01/45 03/31/45 11.05 01/01/55 03/31/55 9.62 04/01/45 06/30/45 11.06 04/01/55 06/30/55 9.58 07/01/45 09/30/45 11.01 07/01/55 09/30/55 9.54 10/01/45 12/31/45 11.01 10/01/55 12/31/55 9.49 01/01/46 03/31/46 10.97 01/01/56 03/31/56 9.45 04/01/46 06/30/46 10.97 04/01/56 06/30/56 9.41 07/01/46 09/30/46 10.92 07/01/56 09/30/56 9.37 10/01/46 12/31/46 10.92 10/01/56 12/31/56 9.33 01/01/47 03/31/47 10.87 01/01/57 03/31/57 9.29 04/01/47 06/30/47 10.87 04/01/57 06/30/57 9.25 07/01/47 09/30/47 10.82 07/01/57 09/30/57 9.21 10/01/47 12/31/47 10.77 10/01/57 12/31/57 9.16 01/01/48 03/31/48 10.77 01/01/58 03/31/58 9.13 04/01/48 06/30/48 10.72 04/01/58 06/30/58 9.08 07/01/48 09/30/48 10.68 07/01/58 09/30/58 9.05 10/01/48 12/31/48 10.67 10/01/58 12/31/58 9.01 01/01/49 03/31/49 10.63 01/01/59 03/31/59 8.97 04/01/49 06/30/49 10.58 04/01/59 06/30/59 8.93 07/01/49 09/30/49 10.57 07/01/59 09/30/59 8.89 10/01/49 12/31/49 10.53 10/01/59 12/31/59 8.85 01/01/50 03/31/50 10.48 01/01/60 03/31/60 8.81 04/01/50 06/30/50 10.43 04/01/60 06/30/60 8.77 07/01/50 09/30/50 10.43 07/01/60 09/30/60 8.74 10/01/50 12/31/50 10.38 10/01/60 12/31/60 8.70 01/01/51 03/31/51 10.33 01/01/61 03/31/61 8.66 04/01/51 06/30/51 10.29 04/01/61 06/30/61 8.62 07/01/51 09/30/51 10.24 07/01/61 09/30/61 8.59 10/01/51 12/31/51 10.19 10/01/61 12/31/61 8.55 Note: This section lists OID for use SOLELY by brokers and other middlemen in preparing information returns for zero coupon instruments issued under the Department of the Treasury's STRIPS program, by government-sponsored enterprises such as the Resolution Funding Corporation and the Financing Corporation, or as instruments backed by U.S. Treasury securities that represent ownership interests in such securities. If you owned or held such debt instruments in 2021, do not rely on the amounts listed in this section. Instead, follow the OID computation rules and methods described earlier in this publication under "Figuring OID on Stripped Bonds and Coupons." Section III-A Short Term U.S. Treasury Bills Issued at a Discount and Maturing January 2021 - December 2022 Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912796A58 01/05/21 08/04/20 99.953 0.47 9127963T4 01/07/21 07/09/20 99.917 0.83 912796A66 01/12/21 08/11/20 99.953 0.47 9127963U1 01/14/21 07/16/20 99.927 0.73 912796A74 01/19/21 08/18/20 99.949 0.51 9127963V9 01/21/21 07/23/20 99.934 0.66 912796A82 01/26/21 08/25/20 99.951 0.49 912796UC1 01/28/21 01/30/20 98.493 15.07 912796B65 02/02/21 09/01/20 99.953 0.47 9127963W7 02/04/21 08/06/20 99.947 0.53 912796B73 02/09/21 09/08/20 99.949 0.51 9127964C0 02/11/21 08/13/20 99.939 0.61 912796B81 02/16/21 09/15/20 99.949 0.51 9127964D8 02/18/21 08/20/20 99.939 0.61 912796B99 02/23/21 09/22/20 99.953 0.47 912796XE4 02/25/21 02/27/20 98.716 12.84 912796C23 03/02/21 09/29/20 99.957 0.43 9127964F3 03/04/21 09/03/20 99.942 0.58 912796C72 03/09/21 10/06/20 99.955 0.45 9127964M8 03/11/21 09/10/20 99.937 0.63 912796C80 03/16/21 10/13/20 99.953 0.47 9127964N6 03/18/21 09/17/20 99.939 0.61 912796C98 03/23/21 10/20/20 99.949 0.51 9127962F5 03/25/21 03/26/20 99.737 2.63 912796D22 03/30/21 10/27/20 99.951 0.49 9127964P1 04/01/21 10/01/20 99.947 0.53 912796D71 04/06/21 11/03/20 99.955 0.45 9127964X4 04/08/21 10/08/20 99.944 0.56 912796D89 04/13/21 11/10/20 99.955 0.45 9127964Y2 04/15/21 10/15/20 99.942 0.58 912796D97 04/20/21 11/17/20 99.957 0.43 9127962Q1 04/22/21 04/23/20 99.833 1.67 912796F20 04/27/21 11/24/20 99.962 0.38 9127964Z9 04/29/21 10/29/20 99.944 0.56 912796F79 05/04/21 12/01/20 99.962 0.38 9127965A3 05/06/21 11/05/20 99.944 0.56 912796F87 05/11/21 12/08/20 99.962 0.38 912796A25 05/13/21 11/12/20 99.944 0.56 912796F95 05/18/21 12/15/20 99.962 0.38 9127962Y4 05/20/21 05/21/20 99.838 1.62 912796G29 05/25/21 12/22/20 99.962 0.38 912796A33 05/27/21 11/27/20 99.955 0.45 912796G37 06/01/21 12/29/20 99.959 0.41 912796A41 06/03/21 12/03/20 99.955 0.45 912796G86 06/08/21 01/05/21 99.962 0.38 912796B24 06/10/21 12/10/20 99.955 0.45 912796G94 06/15/21 01/12/21 99.962 0.38 Section III-A (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 9127963H0 06/17/21 06/18/20 99.798 2.02 912796H28 06/22/21 01/19/21 99.962 0.38 912796B32 06/24/21 12/24/20 99.955 0.45 912796H36 06/29/21 01/26/21 99.962 0.38 912796B40 07/01/21 12/31/20 99.949 0.51 912796H85 07/06/21 02/02/21 99.966 0.34 912796B57 07/08/21 01/07/21 99.955 0.45 912796H93 07/13/21 02/09/21 99.976 0.24 9127963S6 07/15/21 07/16/20 99.843 1.57 912796J26 07/20/21 02/16/21 99.976 0.24 912796C49 07/22/21 01/21/21 99.952 0.48 912796J34 07/27/21 03/30/21 99.990 0.10 912796C56 07/29/21 01/28/21 99.957 0.43 912796J83 08/03/21 04/06/21 99.990 0.10 912796C64 08/05/21 02/04/21 99.965 0.35 912796J91 08/10/21 04/13/21 99.992 0.08 9127964B2 08/12/21 08/13/20 99.858 1.42 912796K24 08/17/21 04/20/21 99.992 0.08 912796D48 08/19/21 02/18/21 99.970 0.30 912796K32 08/24/21 04/27/21 99.992 0.08 912796D55 08/26/21 02/25/21 99.977 0.23 912796K40 08/31/21 05/04/21 99.992 0.08 912796D63 09/02/21 03/04/21 99.970 0.30 912796L23 09/07/21 05/11/21 99.992 0.08 9127964L0 09/09/21 09/10/20 99.858 1.42 912796L31 09/14/21 05/18/21 99.993 0.07 912796F46 09/16/21 03/18/21 99.972 0.28 912796L49 09/21/21 05/25/21 99.995 0.05 912796F53 09/23/21 03/25/21 99.980 0.20 912796L56 09/28/21 06/01/21 99.993 0.07 912796F61 09/30/21 04/01/21 99.980 0.20 912796M22 10/05/21 06/08/21 99.990 0.10 9127964V8 10/07/21 10/08/20 99.858 1.42 912796M30 10/12/21 06/15/21 99.990 0.10 912796G52 10/14/21 04/15/21 99.980 0.20 912796ZB8 10/15/21 08/19/21 99.990 0.10 912796M48 10/19/21 06/22/21 99.988 0.12 912796G60 10/21/21 04/22/21 99.980 0.20 912796M55 10/26/21 06/29/21 99.983 0.17 912796G78 10/28/21 04/29/21 99.982 0.18 912796ZC6 11/01/21 08/26/21 99.989 0.11 912796M63 11/02/21 07/06/21 99.983 0.17 9127964W6 11/04/21 11/05/20 99.864 1.36 912796N54 11/09/21 07/13/21 99.983 0.17 912796H51 11/12/21 05/13/21 99.982 0.18 912796N62 11/16/21 07/20/21 99.983 0.17 912796H69 11/18/21 05/20/21 99.985 0.15 Section III-A (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912796N70 11/23/21 07/27/21 99.983 0.17 912796H77 11/26/21 05/27/21 99.985 0.15 912796N88 11/30/21 08/03/21 99.983 0.17 9127965G0 12/02/21 12/03/20 99.889 1.11 912796P52 12/07/21 08/10/21 99.983 0.17 912796J59 12/09/21 06/10/21 99.980 0.20 912796P60 12/14/21 08/17/21 99.985 0.15 912796ZX0 12/15/21 10/28/21 99.987 0.13 912796J67 12/16/21 06/17/21 99.980 0.20 912796P78 12/21/21 08/24/21 99.985 0.15 912796J75 12/23/21 06/24/21 99.972 0.28 912796P86 12/28/21 08/31/21 99.983 0.17 912796A90 12/30/21 12/31/20 99.889 1.11 912796Y94 12/31/21 11/26/21 99.985 0.15 Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912796Q51 01/04/22 09/07/21 99.985 0.15 912796K65 01/06/22 07/08/21 99.975 0.25 912796Q69 01/11/22 09/14/21 99.985 0.15 912796K73 01/13/22 07/15/21 99.975 0.25 912796Q77 01/18/22 09/21/21 99.985 0.15 912796K81 01/20/22 07/22/21 99.975 0.25 912796Q85 01/25/22 09/28/21 99.988 0.12 912796C31 01/27/22 01/28/21 99.909 0.91 912796Q93 02/01/22 10/05/21 99.983 0.17 912796K99 02/03/22 08/05/21 99.972 0.28 912796R76 02/08/22 10/12/21 99.982 0.18 912796L72 02/10/22 08/12/21 99.975 0.25 912796R84 02/15/22 10/19/21 99.983 0.17 912796L80 02/17/22 08/19/21 99.975 0.25 912796R92 02/22/22 10/26/21 99.982 0.18 912796D30 02/24/22 02/25/21 99.929 0.71 912796S26 03/01/22 11/02/21 99.982 0.18 912796L98 03/03/22 09/02/21 99.972 0.28 912796S75 03/08/22 11/09/21 99.982 0.18 912796M97 03/10/22 09/09/21 99.975 0.25 912796S83 03/15/22 11/16/21 99.982 0.18 912796N21 03/17/22 09/16/21 99.975 0.25 912796S91 03/22/22 11/23/21 99.982 0.18 912796F38 03/24/22 03/25/21 99.929 0.71 Section III-A (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912796T25 03/29/22 11/30/21 99.977 0.23 912796N39 03/31/22 09/30/21 99.975 0.25 912796T74 04/05/22 12/07/21 99.975 0.25 912796N47 04/07/22 10/07/21 99.972 0.28 912796T82 04/12/22 12/14/21 99.970 0.30 912796P29 04/14/22 10/14/21 99.972 0.28 912796T90 04/19/22 12/21/21 99.970 0.30 912796G45 04/21/22 04/22/21 99.934 0.66 912796U23 04/26/22 12/28/21 99.964 0.36 912796P37 04/28/22 10/28/21 99.970 0.30 912796U72 05/03/22 01/04/22 99.959 0.41 912796P45 05/05/22 11/04/21 99.967 0.33 912796U80 05/10/22 01/11/22 99.950 0.50 912796Q28 05/12/22 11/12/21 99.967 0.33 912796U98 05/17/22 01/18/22 99.934 0.66 912796H44 05/19/22 05/20/21 99.944 0.56 912796Q36 05/26/22 11/26/21 99.965 0.35 Section III-B FEDERAL HOME LOAN BANKS Short-Term Obligations Issued at a Discount and Maturing in 2021 Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385AD8 01/04/21 03/19/20 99.758 2.42 313385AE6 01/05/21 07/23/20 99.954 0.46 313385AF3 01/06/21 01/10/20 98.492 15.08 313385AG1 01/07/21 01/14/20 98.504 14.96 313385AH9 01/08/21 01/09/20 98.479 15.21 313385AL0 01/11/21 01/21/20 98.517 14.83 313385AM8 01/12/21 01/21/20 98.513 14.87 313385AN6 01/13/21 01/13/20 98.475 15.25 313385AP1 01/14/21 04/28/20 99.891 1.09 313385AQ9 01/15/21 01/28/20 98.529 14.71 313385AU0 01/19/21 03/27/20 99.917 0.83 313385AV8 01/20/21 01/23/20 98.442 15.58 313385AW6 01/21/21 01/21/20 98.429 15.71 313385AX4 01/22/21 01/22/20 98.429 15.71 313385BA3 01/25/21 03/16/20 99.545 4.55 313385BB1 01/26/21 06/11/20 99.886 1.14 313385BC9 01/27/21 05/08/20 99.905 0.95 313385BD7 01/28/21 02/28/20 98.935 10.65 313385BE5 01/29/21 02/14/20 98.561 14.39 313385BH8 02/01/21 02/07/20 98.510 14.90 313385BJ4 02/02/21 03/31/20 99.812 1.88 313385BK1 02/03/21 03/05/20 99.395 6.05 313385BL9 02/04/21 04/24/20 99.881 1.19 313385BM7 02/05/21 02/07/20 98.493 15.07 313385BQ8 02/08/21 02/12/20 98.502 14.98 313385BR6 02/09/21 03/13/20 99.644 3.56 313385BS4 02/10/21 02/11/20 98.489 15.11 313385BT2 02/11/21 02/11/20 98.485 15.15 313385BU9 02/12/21 02/12/20 98.485 15.15 313385BY1 02/16/21 03/24/20 99.653 3.47 313385BZ8 02/17/21 05/28/20 99.904 0.96 313385CA2 02/18/21 03/24/20 99.641 3.59 313385CB0 02/19/21 03/24/20 99.640 3.60 313385CE4 02/22/21 03/16/20 99.505 4.95 313385CF1 02/23/21 07/22/20 99.934 0.66 313385CG9 02/24/21 02/26/20 98.630 13.70 313385CH7 02/25/21 03/16/20 99.471 5.29 313385CJ3 02/26/21 03/24/20 99.633 3.67 313385CM6 03/01/21 03/16/20 99.491 5.09 313385CN4 03/02/21 03/31/20 99.776 2.24 313385CP9 03/03/21 03/30/20 99.887 1.13 313385CQ7 03/04/21 03/27/20 99.905 0.95 313385CR5 03/05/21 03/16/20 99.489 5.11 313385CU8 03/08/21 03/10/20 99.546 4.54 313385CV6 03/09/21 03/10/20 99.596 4.04 313385CW4 03/10/21 03/16/20 99.481 5.19 313385CX2 03/11/21 03/11/20 99.566 4.34 Section III-B (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385CY0 03/12/21 03/16/20 99.398 6.02 313385DB9 03/15/21 03/16/20 99.474 5.26 313385DC7 03/16/21 03/18/20 99.476 5.24 313385DD5 03/17/21 03/19/20 99.698 3.02 313385DE3 03/18/21 03/19/20 99.646 3.54 313385DF0 03/19/21 03/19/20 99.645 3.55 313385DJ2 03/22/21 03/23/20 99.596 4.04 313385DK9 03/23/21 03/25/20 99.587 4.13 313385DL7 03/24/21 03/25/20 99.574 4.26 313385DM5 03/25/21 03/25/20 99.554 4.46 313385DN3 03/26/21 04/24/20 99.832 1.68 313385DR4 03/29/21 04/30/20 99.852 1.48 313385DS2 03/30/21 04/13/20 99.708 2.93 313385DT0 03/31/21 04/22/20 99.886 1.14 313385DU7 04/01/21 04/03/20 99.758 2.42 313385DY9 04/05/21 04/15/20 99.783 2.17 313385DZ6 04/06/21 04/07/20 99.697 3.03 313385EA0 04/07/21 04/08/20 99.697 3.03 313385EB8 04/08/21 12/02/20 99.979 0.21 313385EC6 04/09/21 04/14/20 99.750 2.50 313385EF9 04/12/21 04/13/20 99.697 3.03 313385EG7 04/13/21 09/11/20 99.947 0.53 313385EH5 04/14/21 04/15/20 99.727 2.73 313385EJ1 04/15/21 04/15/20 99.777 2.23 313385EK8 04/16/21 04/24/20 99.802 1.98 313385EN2 04/19/21 04/28/20 99.792 2.08 313385EP7 04/20/21 04/21/20 99.767 2.33 313385EQ5 04/21/21 04/22/20 99.788 2.12 313385ER3 04/22/21 04/22/20 99.787 2.13 313385ES1 04/23/21 04/24/20 99.798 2.02 313385EV4 04/26/21 04/28/20 99.798 2.02 313385EW2 04/27/21 04/27/20 99.797 2.03 313385EX0 04/28/21 04/28/20 99.798 2.02 313385EY8 04/29/21 04/30/20 99.798 2.02 313385EZ5 04/30/21 04/30/20 99.821 1.79 313385FC5 05/03/21 05/04/20 99.828 1.72 313385FD3 05/04/21 05/05/20 99.848 1.52 313385FE1 05/05/21 05/05/20 99.848 1.52 313385FF8 05/06/21 05/08/20 99.849 1.51 313385FG6 05/07/21 05/08/20 99.848 1.52 313385FK7 05/10/21 05/12/20 99.859 1.41 313385FL5 05/11/21 09/25/20 99.949 0.51 313385FM3 05/12/21 05/28/20 99.830 1.70 313385FN1 05/13/21 05/13/20 99.838 1.62 313385FP6 05/14/21 05/15/20 99.855 1.45 313385FS0 05/17/21 06/29/20 99.884 1.16 313385FT8 05/18/21 05/20/20 99.859 1.41 Section III-B (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385FU5 05/19/21 05/19/20 99.833 1.67 313385FV3 05/20/21 09/22/20 99.940 0.60 313385FW1 05/21/21 05/22/20 99.853 1.47 313385FZ4 05/24/21 09/04/20 99.927 0.73 313385GA8 05/25/21 09/08/20 99.928 0.72 313385GB6 05/26/21 05/26/20 99.812 1.88 313385GC4 05/27/21 05/27/20 99.812 1.88 313385GD2 05/28/21 07/02/20 99.863 1.37 313385GH3 06/01/21 06/19/20 99.865 1.35 313385GJ9 06/02/21 06/15/20 99.883 1.17 313385GK6 06/03/21 06/12/20 99.832 1.68 313385GL4 06/04/21 06/15/20 99.833 1.67 313385GP5 06/07/21 06/11/20 99.809 1.91 313385GQ3 06/08/21 06/15/20 99.831 1.69 313385GR1 06/09/21 06/11/20 99.808 1.92 313385GS9 06/10/21 10/23/20 99.936 0.64 313385GT7 06/11/21 06/11/20 99.798 2.02 313385GW0 06/14/21 06/15/20 99.818 1.82 313385GX8 06/15/21 06/16/20 99.818 1.82 313385GY6 06/16/21 06/16/20 99.878 1.22 313385GZ3 06/17/21 06/18/20 99.818 1.82 313385HA7 06/18/21 06/19/20 99.818 1.82 313385HD1 06/21/21 10/08/20 99.943 0.57 313385HE9 06/22/21 10/08/20 99.943 0.57 313385HF6 06/23/21 06/29/20 99.860 1.40 313385HG4 06/24/21 06/24/20 99.812 1.88 313385HH2 06/25/21 06/26/20 99.833 1.67 313385HL3 06/28/21 08/17/20 99.899 1.01 313385HM1 06/29/21 09/10/20 99.919 0.81 313385HN9 06/30/21 09/30/20 99.939 0.61 313385HP4 07/01/21 07/13/20 99.882 1.18 313385HQ2 07/02/21 10/20/20 99.943 0.57 313385HU3 07/06/21 09/01/20 99.923 0.77 313385HV1 07/07/21 07/08/20 99.879 1.21 313385HW9 07/08/21 09/29/20 99.937 0.63 313385HX7 07/09/21 07/22/20 99.883 1.17 313385JA5 07/12/21 08/28/20 99.921 0.79 313385JB3 07/13/21 10/29/20 99.950 0.50 313385JC1 07/14/21 07/15/20 99.850 1.50 313385JD9 07/15/21 08/17/20 99.899 1.01 313385JE7 07/16/21 11/02/20 99.957 0.43 313385JH0 07/19/21 09/29/20 99.935 0.65 313385JJ6 07/20/21 11/02/20 99.957 0.43 313385JK3 07/21/21 08/24/20 99.917 0.83 313385JL1 07/22/21 09/29/20 99.934 0.66 313385JM9 07/23/21 10/20/20 99.939 0.61 313385JQ0 07/26/21 10/26/20 99.924 0.76 Section III-B (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385JR8 07/27/21 01/28/21 99.970 0.30 313385JS6 07/28/21 12/08/20 99.952 0.48 313385JT4 07/29/21 12/21/20 99.957 0.43 313385JU1 07/30/21 08/26/20 99.906 0.94 313385JX5 08/02/21 08/31/20 99.907 0.93 313385JY3 08/03/21 11/09/20 99.956 0.44 313385JZ0 08/04/21 11/09/20 99.955 0.45 313385KA3 08/05/21 08/26/20 99.904 0.96 313385KB1 08/06/21 08/28/20 99.905 0.95 313385KE5 08/09/21 10/27/20 99.921 0.79 313385KF2 08/10/21 11/03/20 99.953 0.47 313385KG0 08/11/21 11/12/20 99.955 0.45 313385KH8 08/12/21 05/10/21 99.996 0.04 313385KJ4 08/13/21 11/13/20 99.955 0.45 313385KM7 08/16/21 11/13/20 99.954 0.46 313385KN5 08/17/21 08/18/20 99.874 1.26 313385KP0 08/18/21 09/18/20 99.907 0.93 313385KQ8 08/19/21 08/27/20 99.901 0.99 313385KR6 08/20/21 09/09/20 99.895 1.05 313385KU9 08/23/21 11/05/20 99.952 0.48 313385KV7 08/24/21 11/18/20 99.938 0.62 313385KW5 08/25/21 11/17/20 99.945 0.55 313385KX3 08/26/21 11/19/20 99.938 0.62 313385KY1 08/27/21 08/27/20 99.899 1.01 313385LB0 08/30/21 09/09/20 99.892 1.08 313385LC8 08/31/21 09/11/20 99.892 1.08 313385LD6 09/01/21 09/03/20 99.899 1.01 313385LE4 09/02/21 09/04/20 99.899 1.01 313385LF1 09/03/21 09/08/20 99.900 1.00 313385LK0 09/07/21 12/07/20 99.932 0.68 313385LL8 09/08/21 11/18/20 99.935 0.65 313385LM6 09/09/21 09/10/20 99.889 1.11 313385LN4 09/10/21 03/12/21 99.972 0.28 313385LR5 09/13/21 12/07/20 99.930 0.70 313385LS3 09/14/21 12/07/20 99.930 0.70 313385LT1 09/15/21 10/19/20 99.894 1.06 313385LU8 09/16/21 09/22/20 99.900 1.00 313385LV6 09/17/21 03/19/21 99.980 0.20 313385LY0 09/20/21 10/19/20 99.893 1.07 313385LZ7 09/21/21 09/22/20 99.884 1.16 313385MA1 09/22/21 09/23/20 99.899 1.01 313385MB9 09/23/21 12/10/20 99.948 0.52 313385MC7 09/24/21 12/10/20 99.948 0.52 313385MF0 09/27/21 12/10/20 99.947 0.53 313385MG8 09/28/21 10/20/20 99.890 1.10 313385MH6 09/29/21 12/10/20 99.947 0.53 313385MJ2 09/30/21 10/19/20 99.889 1.11 Section III-B (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385MK9 10/01/21 10/02/20 99.919 0.81 313385MN3 10/04/21 10/28/20 99.924 0.76 313385MP8 10/05/21 10/21/20 99.884 1.16 313385MQ6 10/06/21 10/22/20 99.884 1.16 313385MR4 10/07/21 12/11/20 99.946 0.54 313385MS2 10/08/21 12/11/20 99.946 0.54 313385MW3 10/12/21 12/11/20 99.945 0.55 313385MX1 10/13/21 10/13/20 99.878 1.22 313385MY9 10/14/21 10/22/20 99.901 0.99 313385MZ6 10/15/21 10/15/20 99.878 1.22 313385NC6 10/18/21 10/19/20 99.879 1.21 313385ND4 10/19/21 10/19/20 99.868 1.32 313385NE2 10/20/21 12/11/20 99.943 0.57 313385NF9 10/21/21 11/20/20 99.953 0.47 313385NG7 10/22/21 10/27/20 99.920 0.80 313385NK8 10/25/21 11/20/20 99.953 0.47 313385NL6 10/26/21 12/15/20 99.939 0.61 313385NM4 10/27/21 11/20/20 99.953 0.47 313385NN2 10/28/21 10/28/20 99.919 0.81 313385NP7 10/29/21 11/04/20 99.940 0.60 313385NS1 11/01/21 11/19/20 99.942 0.58 313385NT9 11/02/21 11/19/20 99.942 0.58 313385NU6 11/03/21 12/18/20 99.929 0.71 313385NV4 11/04/21 07/16/21 99.986 0.14 313385NW2 11/05/21 11/19/20 99.942 0.59 313385NZ5 11/08/21 12/09/20 99.935 0.65 313385PA8 11/09/21 12/09/20 99.935 0.65 313385PB6 11/10/21 12/09/20 99.935 0.65 313385PD2 11/12/21 12/09/20 99.934 0.66 313385PG5 11/15/21 11/24/20 99.951 0.49 313385PH3 11/16/21 12/02/20 99.913 0.87 313385PJ9 11/17/21 12/02/20 99.913 0.87 313385PK6 11/18/21 12/02/20 99.912 0.88 313385PL4 11/19/21 12/02/20 99.912 0.88 313385PP5 11/22/21 11/24/20 99.950 0.50 313385PQ3 11/23/21 04/21/21 99.976 0.24 313385PR1 11/24/21 11/24/20 99.949 0.51 313385PT7 11/26/21 12/03/20 99.911 0.89 313385PW0 11/29/21 09/13/21 99.991 0.09 313385PX8 11/30/21 11/30/20 99.909 0.91 313385PY6 12/01/21 12/01/20 99.929 0.71 313385PZ3 12/02/21 12/11/20 99.911 0.89 313385QA7 12/03/21 03/26/21 99.972 0.28 313385QD1 12/06/21 08/30/21 99.995 0.05 313385QE9 12/07/21 01/05/21 99.935 0.65 313385QF6 12/08/21 06/09/21 99.982 0.18 313385QG4 12/09/21 08/13/21 99.992 0.08 Section III-B (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385QH2 12/10/21 12/11/20 99.909 0.91 313385QL3 12/13/21 12/28/20 99.932 0.68 313385QM1 12/14/21 01/15/21 99.935 0.65 313385QN9 12/15/21 12/15/20 99.914 0.86 313385QP4 12/16/21 12/16/20 99.914 0.86 313385QQ2 12/17/21 12/17/20 99.914 0.86 313385QT6 12/20/21 12/21/20 99.929 0.71 313385QU3 12/21/21 12/21/20 99.929 0.71 313385QV1 12/22/21 01/11/21 99.933 0.67 313385QW9 12/23/21 12/24/20 99.949 0.51 313385RA6 12/27/21 01/22/21 99.934 0.66 313385RB4 12/28/21 01/20/21 99.934 0.67 313385RC2 12/29/21 01/12/21 99.932 0.68 313385RD0 12/30/21 01/28/21 99.944 0.56 313385RE8 12/31/21 01/22/21 99.933 0.67 Section III-C FEDERAL NATIONAL MORTGAGE ASSOCIATION Short-Term Obligations Issued at a Discount and Maturing in 2021 Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313589AD5 01/04/21 07/01/20 99.899 1.01 313589AN3 01/13/21 10/14/20 99.979 0.21 313589AP8 01/14/21 04/20/20 99.903 0.97 313589AQ6 01/15/21 03/19/20 99.815 1.85 313589AU7 01/19/21 04/07/20 99.857 1.44 313589AV5 01/20/21 10/21/20 99.982 0.18 313589BA0 01/25/21 12/04/20 99.989 0.11 313589BC6 01/27/21 10/28/20 99.983 0.17 313589BK8 02/03/21 11/04/20 99.983 0.17 313589BU6 02/12/21 03/25/20 99.748 2.52 313589BZ5 02/17/21 04/22/20 99.916 0.84 313589CB7 02/19/21 03/31/20 99.838 1.62 313589CH4 02/25/21 01/07/21 99.990 0.10 313589CM3 03/01/21 03/23/20 99.733 2.67 313589CN1 03/02/21 04/07/20 99.817 1.83 313589CP6 03/03/21 04/07/20 99.817 1.83 313589CQ4 03/04/21 04/07/20 99.816 1.84 313589CR2 03/05/21 04/07/20 99.816 1.84 313589CU5 03/08/21 04/08/20 99.814 1.86 313589CV3 03/09/21 04/08/20 99.814 1.86 313589CW1 03/10/21 03/25/20 99.728 2.72 313589CY7 03/12/21 07/02/20 99.909 0.91 313589DB6 03/15/21 12/23/20 99.989 0.11 313589DD2 03/17/21 11/23/20 99.987 0.13 313589DF7 03/19/21 06/30/20 99.905 0.95 313589DM2 03/25/21 01/26/21 99.989 0.11 313589DU4 04/01/21 10/01/20 99.965 0.35 313589EH2 04/14/21 07/01/20 99.896 1.04 313589EJ8 04/15/21 05/21/20 99.899 1.01 313589EK5 04/16/21 07/27/20 99.927 0.73 313589FC2 05/03/21 11/02/20 99.972 0.28 313589FN8 05/13/21 07/02/20 99.886 1.14 313589FP3 05/14/21 06/17/20 99.880 1.20 313589FS7 05/17/21 09/17/20 99.953 0.47 313589GJ6 06/02/21 12/02/20 99.957 0.43 313589GR8 06/09/21 12/09/20 99.963 0.37 313589GW7 06/14/21 07/06/20 99.876 1.24 313589GX5 06/15/21 07/06/20 99.876 1.24 313589GY3 06/16/21 07/06/20 99.875 1.25 313589GZ0 06/17/21 08/20/20 99.933 0.67 313589HP1 07/01/21 01/04/21 99.968 0.32 313589JC8 07/14/21 10/22/20 99.948 0.52 313589JD6 07/15/21 09/17/20 99.941 0.59 313589KJ1 08/13/21 10/23/20 99.943 0.57 313589LT8 09/15/21 06/16/21 99.998 0.02 313589MA8 09/22/21 06/23/21 99.992 0.08 313589MH3 09/29/21 06/30/21 99.993 0.07 Section III-C (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313589MK6 10/01/21 04/01/21 99.989 0.11 313589MQ3 10/06/21 07/07/21 99.993 0.07 313589MX8 10/13/21 07/14/21 99.992 0.08 313589NE9 10/20/21 07/21/21 99.992 0.08 313589NM1 10/27/21 07/28/21 99.991 0.09 313589NS8 11/01/21 05/03/21 99.993 0.07 313589NU3 11/03/21 08/04/21 99.992 0.08 313589PB3 11/10/21 08/11/21 99.992 0.08 313589PG2 11/15/21 05/17/21 99.996 0.04 313589PJ6 11/17/21 08/18/21 99.991 0.09 313589PY3 12/01/21 09/01/21 99.992 0.08 313589QF3 12/08/21 09/08/21 99.992 0.08 313589QN6 12/15/21 09/15/21 99.992 0.08 313589RC9 12/29/21 09/29/21 99.994 0.06 Section III-D FEDERAL FARM CREDIT BANKS Short-Term Obligations Issued at a Discount and Maturing in 2021 Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313AD0 01/04/21 03/19/20 99.701 2.99 313313AE8 01/05/21 01/24/20 98.487 15.13 313313AF5 01/06/21 07/21/20 99.925 0.75 313313AG3 01/07/21 03/13/20 99.575 4.25 313313AH1 01/08/21 03/20/20 99.698 3.02 313313AL2 01/11/21 07/23/20 99.924 0.76 313313AM0 01/12/21 03/11/20 99.582 4.18 313313AN8 01/13/21 04/22/20 99.852 1.48 313313AP3 01/14/21 08/14/20 99.941 0.60 313313AQ1 01/15/21 03/17/20 99.536 4.64 313313AU2 01/19/21 03/09/20 99.675 3.25 313313AV0 01/20/21 03/02/20 99.181 8.19 313313AW8 01/21/21 09/08/20 99.948 0.53 313313AX6 01/22/21 03/24/20 99.704 2.96 313313BA5 01/25/21 03/11/20 99.564 4.36 313313BB3 01/26/21 02/06/20 98.462 15.38 313313BC1 01/27/21 02/10/20 98.484 15.16 313313BD9 01/28/21 08/28/20 99.941 0.60 313313BE7 01/29/21 01/30/20 98.479 15.21 313313BH0 02/01/21 08/05/20 99.935 0.65 313313BJ6 02/02/21 02/13/20 98.472 15.29 313313BK3 02/03/21 04/15/20 99.755 2.45 313313BL1 02/04/21 05/04/20 99.847 1.53 313313BM9 02/05/21 03/13/20 99.534 4.66 313313BQ0 02/08/21 08/18/20 99.932 0.68 313313BS6 02/10/21 03/04/20 99.238 7.62 313313BT4 02/11/21 03/10/20 99.540 4.60 313313BU1 02/12/21 03/11/20 99.568 4.32 313313BY3 02/16/21 03/17/20 99.477 5.23 313313BZ0 02/17/21 03/04/20 99.222 7.78 313313CA4 02/18/21 05/12/20 99.836 1.65 313313CB2 02/19/21 08/03/20 99.928 0.72 313313CE6 02/22/21 03/11/20 99.691 3.09 313313CG1 02/24/21 03/10/20 99.542 4.58 313313CH9 02/25/21 12/17/20 99.979 0.21 313313CJ5 02/26/21 08/18/20 99.920 0.80 313313CN6 03/02/21 06/30/20 99.857 1.43 313313CP1 03/03/21 06/01/20 99.840 1.60 313313CQ9 03/04/21 03/06/20 99.496 5.04 313313CU0 03/08/21 03/11/20 99.537 4.63 313313CW6 03/10/21 03/20/20 99.576 4.24 313313CX4 03/11/21 06/05/20 99.830 1.71 313313CY2 03/12/21 03/13/20 99.484 5.16 313313DB1 03/15/21 03/19/20 99.609 3.91 313313DC9 03/16/21 03/17/20 99.414 5.86 313313DD7 03/17/21 03/17/20 99.412 5.88 313313DE5 03/18/21 08/17/20 99.911 0.89 Section III-D (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313DF2 03/19/21 09/30/20 99.939 0.61 313313DJ4 03/22/21 08/27/20 99.914 0.86 313313DK1 03/23/21 02/16/21 99.994 0.06 313313DL9 03/24/21 03/25/20 99.525 4.75 313313DM7 03/25/21 03/25/20 99.524 4.77 313313DN5 03/26/21 06/30/20 99.843 1.57 313313DR6 03/29/21 08/18/20 99.907 0.93 313313DT2 03/31/21 09/10/20 99.910 0.90 313313DU9 04/01/21 04/02/20 99.666 3.34 313313DY1 04/05/21 04/28/20 99.782 2.19 313313DZ8 04/06/21 09/08/20 99.907 0.93 313313EA2 04/07/21 05/28/20 99.808 1.92 313313EB0 04/08/21 06/16/20 99.811 1.89 313313EC8 04/09/21 08/18/20 99.903 0.98 313313EF1 04/12/21 07/15/20 99.865 1.36 313313EG9 04/13/21 04/23/20 99.773 2.27 313313EH7 04/14/21 06/19/20 99.826 1.74 313313EK0 04/16/21 10/14/20 99.928 0.72 313313EN4 04/19/21 04/23/20 99.769 2.31 313313ER5 04/22/21 08/18/20 99.897 1.03 313313ES3 04/23/21 10/26/20 99.930 0.70 313313EV6 04/26/21 07/31/20 99.895 1.05 313313EW4 04/27/21 07/21/20 99.860 1.40 313313EX2 04/28/21 06/09/20 99.803 1.97 313313EY0 04/29/21 11/04/20 99.936 0.64 313313EZ7 04/30/21 02/11/21 99.985 0.15 313313FC7 05/03/21 06/30/20 99.864 1.36 313313FD5 05/04/21 10/01/20 99.916 0.84 313313FE3 05/05/21 06/16/20 99.794 2.06 313313FF0 05/06/21 07/30/20 99.876 1.24 313313FK9 05/10/21 08/18/20 99.875 1.25 313313FL7 05/11/21 06/16/20 99.790 2.10 313313FM5 05/12/21 11/23/20 99.948 0.52 313313FN3 05/13/21 02/12/21 99.983 0.18 313313FP8 05/14/21 07/17/20 99.850 1.51 313313FS2 05/17/21 06/09/20 99.772 2.28 313313FU7 05/19/21 04/27/21 99.998 0.02 313313FV5 05/20/21 08/05/20 99.880 1.20 313313FW3 05/21/21 04/28/21 99.997 0.03 313313FZ6 05/24/21 10/21/20 99.916 0.84 313313GA0 05/25/21 06/12/20 99.778 2.22 313313GC6 05/27/21 05/20/21 99.999 0.01 313313GD4 05/28/21 03/17/21 99.990 0.10 313313GH5 06/01/21 06/02/20 99.778 2.22 313313GJ1 06/02/21 09/02/20 99.886 1.14 313313GK8 06/03/21 03/16/21 99.989 0.11 313313GL6 06/04/21 12/14/20 99.943 0.57 Section III-D (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313GP7 06/07/21 03/22/21 99.991 0.09 313313GQ5 06/08/21 11/02/20 99.909 0.91 313313GR3 06/09/21 04/29/21 99.995 0.05 313313GS1 06/10/21 08/05/20 99.871 1.29 313313GT9 06/11/21 10/21/20 99.909 0.91 313313GW2 06/14/21 12/14/20 99.939 0.61 313313GX0 06/15/21 08/26/20 99.878 1.22 313313GY8 06/16/21 12/21/20 99.941 0.59 313313GZ5 06/17/21 09/24/20 99.897 1.03 313313HA9 06/18/21 12/17/20 99.939 0.61 313313HD3 06/21/21 06/24/20 99.779 2.21 313313HE1 06/22/21 01/19/21 99.949 0.51 313313HL5 06/28/21 12/23/20 99.938 0.62 313313HM3 06/29/21 04/30/21 99.993 0.07 313313HN1 06/30/21 11/12/20 99.911 0.89 313313HP6 07/01/21 07/27/20 99.831 1.70 313313HQ4 07/02/21 07/06/20 99.779 2.21 313313HU5 07/06/21 08/18/20 99.848 1.52 313313HV3 07/07/21 11/18/20 99.910 0.90 313313HX9 07/09/21 11/18/20 99.916 0.84 313313JA7 07/12/21 09/14/20 99.858 1.42 313313JB5 07/13/21 07/14/20 99.798 2.02 313313JC3 07/14/21 12/31/20 99.935 0.65 313313JD1 07/15/21 10/08/20 99.883 1.17 313313JE9 07/16/21 10/23/20 99.882 1.18 313313JH2 07/19/21 09/22/20 99.875 1.25 313313JJ8 07/20/21 09/15/20 99.855 1.45 313313JK5 07/21/21 08/11/20 99.838 1.62 313313JL3 07/22/21 12/30/20 99.932 0.68 313313JM1 07/23/21 07/15/21 99.998 0.02 313313JQ2 07/26/21 11/25/20 99.912 0.88 313313JS8 07/28/21 09/15/20 99.851 1.49 313313JT6 07/29/21 04/14/21 99.985 0.15 313313JU3 07/30/21 02/10/21 99.962 0.38 313313JX7 08/02/21 02/12/21 99.962 0.38 313313JY5 08/03/21 09/15/20 99.848 1.52 313313KA5 08/05/21 08/05/20 99.848 1.52 313313KB3 08/06/21 02/17/21 99.958 0.43 313313KE7 08/09/21 02/18/21 99.962 0.38 313313KF4 08/10/21 09/08/20 99.832 1.68 313313KG2 08/11/21 10/16/20 99.867 1.33 313313KH0 08/12/21 08/13/20 99.828 1.72 313313KJ6 08/13/21 09/11/20 99.841 1.59 313313KM9 08/16/21 02/08/21 99.958 0.42 313313KN7 08/17/21 10/19/20 99.866 1.34 313313KP2 08/18/21 08/20/20 99.839 1.61 313313KQ0 08/19/21 12/30/20 99.916 0.84 Section III-D (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313KU1 08/23/21 02/25/21 99.955 0.45 313313KV9 08/24/21 09/16/20 99.848 1.52 313313KW7 08/25/21 01/14/21 99.926 0.74 313313KX5 08/26/21 11/25/20 99.901 0.99 313313KY3 08/27/21 12/16/20 99.908 0.92 313313LB2 08/30/21 12/30/20 99.912 0.88 313313LC0 08/31/21 09/16/20 99.845 1.55 313313LD8 09/01/21 02/19/21 99.957 0.43 313313LE6 09/02/21 11/16/20 99.879 1.21 313313LF3 09/03/21 11/13/20 99.878 1.23 313313LK2 09/07/21 01/19/21 99.917 0.83 313313LL0 09/08/21 11/03/20 99.863 1.37 313313LM8 09/09/21 10/08/20 99.851 1.49 313313LN6 09/10/21 04/01/21 99.973 0.27 313313LR7 09/13/21 04/12/21 99.974 0.26 313313LS5 09/14/21 10/13/20 99.851 1.49 313313LT3 09/15/21 04/15/21 99.975 0.26 313313LU0 09/16/21 09/16/20 99.838 1.62 313313LV8 09/17/21 09/30/20 99.853 1.47 313313LZ9 09/21/21 05/06/21 99.981 0.19 313313MA3 09/22/21 01/04/21 99.906 0.94 313313MB1 09/23/21 01/19/21 99.911 0.89 313313MC9 09/24/21 08/20/21 99.993 0.07 313313MF2 09/27/21 10/14/20 99.836 1.64 313313MG0 09/28/21 10/28/20 99.851 1.49 313313MH8 09/29/21 10/01/20 99.849 1.51 313313MJ4 09/30/21 11/27/20 99.881 1.19 313313MK1 10/01/21 10/05/20 99.870 1.30 313313MN5 10/04/21 02/08/21 99.941 0.60 313313MQ8 10/06/21 12/16/20 99.894 1.06 313313MR6 10/07/21 05/19/21 99.984 0.16 313313MS4 10/08/21 09/03/21 99.994 0.06 313313MW5 10/12/21 11/12/20 99.861 1.39 313313MX3 10/13/21 11/13/20 99.861 1.39 313313MY1 10/14/21 12/30/20 99.896 1.04 313313MZ8 10/15/21 09/10/21 99.994 0.06 313313NC8 10/18/21 05/21/21 99.979 0.21 313313ND6 10/19/21 02/03/21 99.928 0.72 313313NE4 10/20/21 11/25/20 99.872 1.28 313313NF1 10/21/21 10/28/20 99.841 1.59 313313NG9 10/22/21 02/26/21 99.934 0.66 313313NK0 10/25/21 11/23/20 99.869 1.31 313313NL8 10/26/21 10/27/20 99.838 1.62 313313NM6 10/27/21 12/03/20 99.882 1.18 313313NN4 10/28/21 11/24/20 99.878 1.22 313313NP9 10/29/21 11/13/20 99.854 1.46 313313NS3 11/01/21 11/03/20 99.849 1.51 Section III-D (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313NU8 11/03/21 07/30/21 99.981 0.19 313313NV6 11/04/21 12/21/20 99.885 1.15 313313NW4 11/05/21 08/12/21 99.981 0.19 313313NZ7 11/08/21 08/13/21 99.983 0.17 313313PA0 11/09/21 02/09/21 99.932 0.68 313313PB8 11/10/21 08/16/21 99.983 0.17 313313PD4 11/12/21 11/13/20 99.848 1.52 313313PG7 11/15/21 08/18/21 99.983 0.17 313313PH5 11/16/21 01/28/21 99.911 0.89 313313PJ1 11/17/21 01/08/21 99.887 1.13 313313PL6 11/19/21 12/08/20 99.865 1.35 313313PP7 11/22/21 07/23/21 99.973 0.27 313313PQ5 11/23/21 11/24/20 99.858 1.42 313313PR3 11/24/21 08/20/21 99.981 0.19 313313PW2 11/29/21 01/07/21 99.882 1.18 313313PY8 12/01/21 02/11/21 99.919 0.81 313313PZ5 12/02/21 12/16/20 99.873 1.27 313313QA9 12/03/21 12/22/20 99.875 1.25 313313QD3 12/06/21 12/29/20 99.858 1.43 313313QE1 12/07/21 07/20/21 99.969 0.31 313313QF8 12/08/21 02/22/21 99.928 0.72 313313QG6 12/09/21 08/13/21 99.974 0.26 313313QH4 12/10/21 04/22/21 99.948 0.52 313313QL5 12/13/21 12/30/20 99.865 1.35 313313QM3 12/14/21 02/16/21 99.908 0.92 313313QN1 12/15/21 11/10/21 99.994 0.06 313313QT8 12/20/21 11/01/21 99.991 0.10 313313QU5 12/21/21 03/30/21 99.948 0.52 313313QV3 12/22/21 02/01/21 99.901 0.99 313313QW1 12/23/21 02/03/21 99.901 0.99 313313RA8 12/27/21 09/08/21 99.976 0.24 313313RB6 12/28/21 01/28/21 99.889 1.11 313313RC4 12/29/21 08/04/21 99.971 0.29 313313RD2 12/30/21 09/13/21 99.979 0.21 313313RE0 12/31/21 02/25/21 99.914 0.86 Section III-E FEDERAL HOME LOAN MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2021 Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313397AV3 01/20/21 04/09/20 99.897 1.03 313397BH3 02/01/21 02/25/20 98.765 12.35 Section III-F FEDERAL AGRICULTURAL MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2021 Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LAD0 01/04/21 02/05/20 98.580 14.20 31315LAF5 01/06/21 07/06/20 99.900 1.00 31315LAG3 01/07/21 12/04/20 99.990 0.10 31315LAL2 01/11/21 11/09/20 99.983 0.17 31315LAM0 01/12/21 12/08/20 99.990 0.10 31315LAN8 01/13/21 12/09/20 99.990 0.10 31315LAP3 01/14/21 10/14/20 99.966 0.34 31315LAQ1 01/15/21 12/16/20 99.992 0.08 31315LAU2 01/19/21 11/20/20 99.983 0.17 31315LAV0 01/20/21 12/15/20 99.990 0.10 31315LAW8 01/21/21 12/10/20 99.988 0.12 31315LAX6 01/22/21 07/24/20 99.919 0.81 31315LBA5 01/25/21 07/09/20 99.897 1.03 31315LBB3 01/26/21 01/04/21 99.994 0.06 31315LBC1 01/27/21 01/07/21 99.994 0.06 31315LBD9 01/28/21 05/08/20 99.875 1.25 31315LBH0 02/01/21 08/28/20 99.935 0.65 31315LBJ6 02/02/21 11/02/20 99.968 0.32 31315LBM9 02/05/21 01/06/21 99.991 0.09 31315LBU1 02/12/21 01/25/21 99.996 0.04 31315LCA4 02/18/21 01/27/21 99.995 0.05 31315LCG1 02/24/21 01/25/21 99.992 0.08 31315LCH9 02/25/21 03/18/20 99.541 4.59 31315LCJ5 02/26/21 01/22/21 99.991 0.09 31315LCM8 03/01/21 03/30/20 99.851 1.49 31315LCU0 03/08/21 02/01/21 99.992 0.08 31315LCV8 03/09/21 02/19/21 99.998 0.02 31315LCW6 03/10/21 02/17/21 99.997 0.03 31315LCY2 03/12/21 02/16/21 99.996 0.04 31315LDC9 03/16/21 02/17/21 99.996 0.04 31315LDD7 03/17/21 02/19/21 99.996 0.04 31315LDE5 03/18/21 02/12/21 99.993 0.07 31315LDJ4 03/22/21 04/23/20 99.815 1.85 31315LDL9 03/24/21 03/25/20 99.515 4.85 31315LDM7 03/25/21 04/08/20 99.669 3.31 31315LDT2 03/31/21 07/24/20 99.889 1.11 31315LDY1 04/05/21 03/09/21 99.996 0.04 31315LEA2 04/07/21 03/12/21 99.996 0.04 31315LEC8 04/09/21 03/19/21 99.998 0.02 31315LEN4 04/19/21 01/14/21 99.970 0.30 31315LEP9 04/20/21 04/23/20 99.759 2.41 31315LEQ7 04/21/21 03/19/21 99.996 0.04 31315LER5 04/22/21 04/01/21 99.998 0.02 31315LEV6 04/26/21 03/11/21 99.992 0.08 31315LEW4 04/27/21 04/14/21 99.999 0.01 31315LEX2 04/28/21 04/01/21 99.997 0.03 31315LEY0 04/29/21 01/20/21 99.968 0.32 Section III-F (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LFC7 05/03/21 03/31/21 99.997 0.03 31315LFF0 05/06/21 04/15/21 99.998 0.02 31315LFG8 05/07/21 04/13/21 99.998 0.02 31315LFL7 05/11/21 05/11/20 99.787 2.13 31315LFP8 05/14/21 08/05/20 99.898 1.02 31315LFS2 05/17/21 11/18/20 99.943 0.57 31315LFT0 05/18/21 04/27/21 99.998 0.02 31315LFW3 05/21/21 05/29/20 99.792 2.08 31315LFZ6 05/24/21 04/27/21 99.997 0.03 31315LGA0 05/25/21 04/28/21 99.997 0.03 31315LGD4 05/28/21 07/30/20 99.895 1.05 31315LGH5 06/01/21 06/04/20 99.789 2.11 31315LGJ1 06/02/21 02/26/21 99.988 0.12 31315LGQ5 06/08/21 04/30/21 99.996 0.04 31315LGT9 06/11/21 04/15/21 99.994 0.06 31315LGW2 06/14/21 11/25/20 99.958 0.42 31315LGX0 06/15/21 11/25/20 99.958 0.42 31315LGZ5 06/17/21 07/02/20 99.815 1.85 31315LHA9 06/18/21 06/22/20 99.779 2.21 31315LHD3 06/21/21 03/11/21 99.980 0.20 31315LHH4 06/25/21 08/13/20 99.855 1.45 31315LHL5 06/28/21 08/21/20 99.875 1.25 31315LHM3 06/29/21 07/02/20 99.819 1.81 31315LHN1 06/30/21 07/29/20 99.837 1.63 31315LHP6 07/01/21 03/31/21 99.989 0.11 31315LHQ4 07/02/21 06/03/21 99.997 0.03 31315LHU5 07/06/21 06/15/21 99.998 0.02 31315LJD1 07/15/21 06/11/21 99.997 0.03 31315LJE9 07/16/21 03/03/21 99.970 0.30 31315LJL3 07/22/21 07/24/20 99.819 1.81 31315LJR0 07/27/21 03/19/21 99.982 0.18 31315LJT6 07/29/21 01/28/21 99.947 0.53 31315LJU3 07/30/21 07/30/20 99.863 1.37 31315LJX7 08/02/21 02/23/21 99.973 0.27 31315LKG2 08/11/21 05/13/21 99.990 0.10 31315LKM9 08/16/21 09/02/20 99.855 1.45 31315LKN7 08/17/21 06/11/21 99.992 0.08 31315LKR8 08/20/21 08/26/20 99.830 1.70 31315LKU1 08/23/21 03/26/21 99.979 0.21 31315LKY3 08/27/21 02/10/21 99.959 0.41 31315LLK2 09/07/21 08/20/21 99.997 0.03 31315LLN6 09/10/21 05/13/21 99.985 0.15 31315LLT3 09/15/21 03/02/21 99.956 0.44 31315LLU0 09/16/21 08/18/21 99.994 0.06 31315LLY2 09/20/21 06/18/21 99.982 0.18 31315LMB1 09/23/21 06/25/21 99.980 0.20 31315LMG0 09/28/21 09/28/20 99.848 1.52 Section III-F (continued) Discount to be Issue Price Reported as 2021 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LMJ4 09/30/21 02/11/21 99.949 0.51 31315LMK1 10/01/21 02/25/21 99.973 0.27 31315LMN5 10/04/21 07/02/21 99.980 0.20 31315LMZ8 10/15/21 04/19/21 99.980 0.20 31315LNE4 10/20/21 07/28/21 99.988 0.12 31315LNF1 10/21/21 08/10/21 99.984 0.16 31315LNK0 10/25/21 08/10/21 99.983 0.17 31315LNN4 10/28/21 09/30/21 99.996 0.04 31315LNP9 10/29/21 11/13/20 99.849 1.51 31315LNS3 11/01/21 11/05/20 99.850 1.50 31315LPG7 11/15/21 05/11/21 99.969 0.31 31315LPQ5 11/23/21 08/27/21 99.982 0.18 31315LPX0 11/30/21 02/22/21 99.922 0.78 31315LPY8 12/01/21 09/28/21 99.989 0.11 31315LQA9 12/03/21 11/19/21 99.998 0.02 31315LQD3 12/06/21 06/02/21 99.969 0.31 31315LQG6 12/09/21 08/31/21 99.981 0.19 31315LQL5 12/13/21 09/16/21 99.983 0.17 31315LQN1 12/15/21 02/11/21 99.920 0.80 31315LQP6 12/16/21 09/30/21 99.987 0.13 31315LQQ4 12/17/21 09/28/21 99.988 0.12 31315LQT8 12/20/21 09/16/21 99.982 0.18 31315LQW1 12/23/21 10/01/21 99.987 0.13 31315LRA8 12/27/21 06/01/21 99.971 0.29 31315LRC4 12/29/21 11/22/21 99.994 0.06